ETF动量因子止盈策略:年化收益率（39.74%）
该策略针对 20 只指定 ETF 构建，以 21 日动量为核心评分因子，采用每 3 天调仓机制。并在动量策略的基础上设立止盈机制，调仓时先检查持仓：若持有的 ETF的 21 日涨幅超 25%，立即清仓并剔除该标的；随后从剩余标的中选取评分最高的 2 只，等权重配置。
概要
核心指标
- 累计收益率: 336.63%
- 年化收益率: 39.74%
- 基准收益率: -23.02%
- 阿尔法: 0.49
- 夏普比率: 1.17
- 最大回撤: 23.96%
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 | 云计算(516510.SH) | 1.3192638169777 | 166100 | 2 | 1.321 | 219418.1 | 288.38/0.132% |
| 2025-08-01 | 恒生医疗(513060.SH) | 0.65113020895522 | 320800 | 11 | 0.677 | 217181.6 | 8299.03/3.973% |
| 2025-07-31 | 云计算(516510.SH) | 1.3192638169777 | 166100 | 1 | 1.325 | 220082.5 | 952.78/0.435% |
| 2025-07-31 | 光伏ETF(515790.SH) | 0.75415078975079 | 0 | 7 | 0.716 | 0 | -4316.46/-2.009% |
| 2025-07-31 | 恒生医疗(513060.SH) | 0.65113020895522 | 320800 | 10 | 0.685 | 219748 | 10865.43/5.202% |
| 2025-07-30 | 光伏ETF(515790.SH) | 0.75415078975079 | 284900 | 6 | 0.739 | 210541.1 | -4316.46/-2.009% |
| 2025-07-30 | 恒生医疗(513060.SH) | 0.65113020895522 | 335000 | 9 | 0.687 | 230145 | 12016.38/5.509% |
| 2025-07-29 | 光伏ETF(515790.SH) | 0.75415078975079 | 284900 | 5 | 0.748 | 213105.2 | -1752.36/-0.816% |
| 2025-07-29 | 恒生医疗(513060.SH) | 0.65113020895522 | 335000 | 8 | 0.699 | 234165 | 16036.38/7.352% |
| 2025-07-28 | 光伏ETF(515790.SH) | 0.75415078975079 | 284900 | 4 | 0.738 | 210256.2 | -4601.36/-2.142% |
交易详情
| 2025-07-31 | 光伏ETF(515790.SH) | 卖 | -284900 | 0.735 | -209401.5 | ¥41.88 | -5456.06 |
| 2025-07-31 | 恒生医疗(513060.SH) | 卖 | -14200 | 0.69 | -9798 | ¥5 | 551.95 |
| 2025-07-31 | 云计算(516510.SH) | 买 | 166100 | 1.319 | 219085.9 | ¥43.82 | 0 |
| 2025-07-23 | 云计算(516510.SH) | 卖 | -169700 | 1.257 | -213312.9 | ¥42.66 | -4795.21 |
| 2025-07-23 | 光伏ETF(515790.SH) | 买 | 284900 | 0.754 | 214814.6 | ¥42.96 | 0 |
| 2025-07-18 | 标普科技(161128.SZ) | 卖 | -40800 | 5.384 | -219667.2 | ¥43.93 | 5220.32 |
| 2025-07-18 | 光伏ETF(515790.SH) | 卖 | -300800 | 0.725 | -218080 | ¥43.62 | 2953.13 |
| 2025-07-18 | 恒生医疗(513060.SH) | 买 | 335000 | 0.651 | 218085 | ¥43.62 | 0 |
| 2025-07-18 | 云计算(516510.SH) | 买 | 169700 | 1.285 | 218064.5 | ¥43.61 | 0 |
| 2025-07-15 | 嘉实原油(160723.SZ) | 卖 | -147900 | 1.44 | -212976 | ¥42.6 | -5406.98 |
