动量双筛etf策略:年化收益率（9.28%）
仅纳入 20 日涨幅超 2% 的 ETF 作为候选池，每日从中选取涨幅最高的 1 只全仓配置。止损机制为：若持有标的 20 日涨幅跌破 1%，立即清仓。策略每日调仓。
概要
核心指标
- 累计收益率: 61.03%
- 年化收益率: 9.28%
- 基准收益率: -2.34%
- 阿尔法: 0.17
- 夏普比率: 0.35
- 最大回撤: 52.32%
源码
查看AI策略代码
绩效
持仓详情
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-01 | 恒生医疗(513060.SH) | 0.64512901597981 | 237800 | 7 | 0.677 | 160990.6 | 7578.92/4.94% |
| 2025-07-31 | 恒生医疗(513060.SH) | 0.64512901597981 | 237800 | 6 | 0.685 | 162893 | 9481.32/6.18% |
| 2025-07-30 | 恒生医疗(513060.SH) | 0.64512901597981 | 237800 | 5 | 0.687 | 163368.6 | 9956.92/6.49% |
| 2025-07-29 | 恒生医疗(513060.SH) | 0.64512901597981 | 237800 | 4 | 0.699 | 166222.2 | 12810.52/8.35% |
| 2025-07-28 | 恒生医疗(513060.SH) | 0.64512901597981 | 237800 | 3 | 0.676 | 160752.8 | 7341.12/4.785% |
| 2025-07-25 | 恒生医疗(513060.SH) | 0.64512901597981 | 237800 | 2 | 0.655 | 155759 | 2347.32/1.53% |
| 2025-07-24 | 恒生医疗(513060.SH) | 0.64512901597981 | 237800 | 1 | 0.655 | 155759 | 2347.32/1.53% |
| 2025-07-24 | 光伏ETF(515790.SH) | 0.75415079288803 | 0 | 2 | 0.754 | 0 | -3569.08/-2.274% |
| 2025-07-23 | 光伏ETF(515790.SH) | 0.75415079288803 | 208100 | 1 | 0.737 | 153369.7 | -3569.08/-2.274% |
| 2025-07-23 | 恒生医疗(513060.SH) | 0.62012401477833 | 0 | 5 | 0.644 | 0 | 5572.59/3.689% |
交易详情
| 2025-07-24 | 光伏ETF(515790.SH) | 卖 | -208100 | 0.733 | -152537.3 | ¥30.51 | -4401.48 |
| 2025-07-24 | 恒生医疗(513060.SH) | 买 | 237800 | 0.645 | 153381 | ¥30.68 | 0 |
| 2025-07-23 | 恒生医疗(513060.SH) | 卖 | -243600 | 0.648 | -157852.8 | ¥31.57 | 6790.59 |
| 2025-07-23 | 光伏ETF(515790.SH) | 买 | 208100 | 0.754 | 156907.4 | ¥31.38 | 0 |
| 2025-07-17 | 云计算(516510.SH) | 卖 | -121600 | 1.241 | -150905.6 | ¥30.18 | -2219.42 |
| 2025-07-17 | 恒生医疗(513060.SH) | 买 | 243600 | 0.62 | 151032 | ¥30.21 | 0 |
| 2025-07-16 | 光伏ETF(515790.SH) | 卖 | -210400 | 0.716 | -150646.4 | ¥30.13 | -240.57 |
| 2025-07-16 | 云计算(516510.SH) | 买 | 121600 | 1.259 | 153094.4 | ¥30.62 | 0 |
| 2025-07-09 | 嘉实原油(160723.SZ) | 卖 | -105800 | 1.452 | -153621.6 | ¥30.72 | -10189.56 |
| 2025-07-09 | 光伏ETF(515790.SH) | 买 | 210400 | 0.717 | 150856.8 | ¥30.17 | 0 |
