动量阈值止损ETF轮动策略:年化收益率（23.04%）
创业板，纳指和黄金ETF，代表了三大类资产，三者呈现较低的相关性，辅以动量以及相应的止损规则每五日轮动持仓，长期坚持效果不错。
概要
核心指标
- 累计收益率: 901.36%
- 年化收益率: 23.04%
- 基准收益率: 71.9%
- 阿尔法: 0.21
- 夏普比率: 0.86
- 最大回撤: 33.89%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-07-09 | 创业板(159915.SZ) | 2.1104220000435 | 4600900 | 5 | 2.163 | 9951746.7 | 241906.12/2.491% |
| 2025-07-08 | 创业板(159915.SZ) | 2.1104220000435 | 4600900 | 4 | 2.159 | 9933343.1 | 223502.52/2.302% |
| 2025-07-07 | 创业板(159915.SZ) | 2.1104220000435 | 4600900 | 3 | 2.11 | 9707899 | -1941.58/-0.02% |
| 2025-07-04 | 创业板(159915.SZ) | 2.1104220000435 | 4600900 | 2 | 2.133 | 9813719.7 | 103879.12/1.07% |
| 2025-07-03 | 创业板(159915.SZ) | 2.1104220000435 | 4600900 | 1 | 2.141 | 9850526.9 | 140686.32/1.449% |
| 2025-07-03 | 纳指ETF(513100.SH) | 1.5993198003745 | 0 | 6 | 1.626 | 0 | 141636.01/1.481% |
| 2025-07-02 | 纳指ETF(513100.SH) | 1.5993198003745 | 5981200 | 5 | 1.623 | 9707487.6 | 141636.01/1.481% |
| 2025-07-01 | 纳指ETF(513100.SH) | 1.5993198003745 | 5981200 | 4 | 1.622 | 9701506.4 | 135654.81/1.418% |
| 2025-06-30 | 纳指ETF(513100.SH) | 1.5993198003745 | 5981200 | 3 | 1.629 | 9743374.8 | 177523.21/1.856% |
| 2025-06-27 | 纳指ETF(513100.SH) | 1.5993198003745 | 5981200 | 2 | 1.619 | 9683562.8 | 117711.21/1.231% |
交易详情
| 2025-07-03 | 纳指ETF(513100.SH) | 卖 | -5981200 | 1.63 | -9749356 | ¥1949.87 | 183504.41 |
| 2025-07-03 | 创业板(159915.SZ) | 买 | 4600900 | 2.11 | 9707899 | ¥1941.58 | 0 |
| 2025-06-26 | 黄金ETF(159934.SZ) | 卖 | -1310100 | 7.319 | -9588621.9 | ¥1917.72 | -146057.55 |
| 2025-06-26 | 纳指ETF(513100.SH) | 买 | 5981200 | 1.599 | 9563938.8 | ¥1912.79 | 0 |
| 2025-06-19 | 纳指ETF(513100.SH) | 卖 | -6243600 | 1.56 | -9740016 | ¥1948 | 85479.88 |
| 2025-06-19 | 黄金ETF(159934.SZ) | 买 | 1310100 | 7.429 | 9732732.9 | ¥1946.55 | 0 |
| 2025-05-14 | 黄金ETF(159934.SZ) | 卖 | -1335400 | 7.231 | -9656277.4 | ¥1931.26 | 635213.57 |
| 2025-05-14 | 纳指ETF(513100.SH) | 买 | 6243600 | 1.546 | 9652605.6 | ¥1930.52 | 0 |
| 2025-03-27 | 黄金ETF(159934.SZ) | 买 | 1800 | 6.735 | 12123 | ¥5 | 0 |
| 2025-03-20 | 创业板(159915.SZ) | 卖 | -4087000 | 2.178 | -8901486 | ¥1780.3 | 129029.86 |
