月度动量期货轮动策略:年化收益率（175.64%）
本策略每五日（一周）选取动量最大的5只股票，次日开盘买入并持有，旨在捕捉日内价格上涨的动能。
概要
核心指标
- 累计收益率: 366.92%
- 年化收益率: 175.64%
- 基准收益率: 19.74%
- 阿尔法: 4.35
- 夏普比率: 1.45
- 最大回撤: 81.52%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-01 | 苹果510(AP510.CZC) | 7881 | 52 | 2 | 7758 | 0 | -63960/0% |
| 2025-08-01 | 生猪2509(lh2509.DCE) | 14460 | 26 | 7 | 14055 | 0 | -168480/0% |
| 2025-08-01 | 线材2601(wr2601.SHF) | 3572 | 4 | 7 | 3410 | 0 | -6480/0% |
| 2025-08-01 | 热轧卷板2510(hc2510.SHF) | 3202 | 253 | 22 | 3401 | 0 | 503470/0% |
| 2025-08-01 | 螺纹钢2510(rb2510.SHF) | 3075 | 264 | 22 | 3203 | 0 | 337920/0% |
| 2025-07-31 | 苹果510(AP510.CZC) | 7881 | 52 | 1 | 7814 | 0 | -34840/0% |
| 2025-07-31 | 生猪2509(lh2509.DCE) | 14460 | 26 | 6 | 14075 | 0 | -160160/0% |
| 2025-07-31 | 线材2601(wr2601.SHF) | 3572 | 4 | 6 | 3410 | 0 | -6480/0% |
| 2025-07-31 | 热轧卷板2510(hc2510.SHF) | 3202 | 253 | 21 | 3390 | 0 | 475640/0% |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 3075 | 264 | 21 | 3205 | 0 | 343200/0% |
交易详情
| 2025-07-31 | 棉花9月(CF509.CZC) | 卖 | -28 | 13750 | -385000 | ¥56 | 58800 |
| 2025-07-31 | 苹果510(AP510.CZC) | 买 | 52 | 7881 | 409812 | ¥104 | 0 |
| 2025-07-24 | 白糖9月(SR509.CZC) | 卖 | -50 | 5835 | -291750 | ¥100 | 16500 |
| 2025-07-24 | 苹果510(AP510.CZC) | 卖 | -44 | 7938 | -349272 | ¥88 | 89320 |
| 2025-07-24 | 线材2601(wr2601.SHF) | 买 | 4 | 3572 | 14288 | ¥8 | 0 |
| 2025-07-24 | 生猪2509(lh2509.DCE) | 买 | 26 | 14460 | 375960 | ¥52 | 0 |
| 2025-07-17 | 白糖9月(SR509.CZC) | 买 | 50 | 5802 | 290100 | ¥100 | 0 |
| 2025-07-17 | 生猪2509(lh2509.DCE) | 卖 | -56 | 14000 | -784000 | ¥112 | -309120 |
| 2025-07-10 | 鸡蛋2508(jd2508.DCE) | 卖 | -1 | 3485 | -3485 | ¥2 | -850 |
| 2025-07-10 | 苹果510(AP510.CZC) | 买 | 44 | 7735 | 340340 | ¥88 | 0 |
