好基优选·多因子动态智能轮动:年化收益率（24.56%）
本策略通过精选8只大类ETF，结合趋势打分和短期均线比进行量化评分，每隔5个交易日择优持有得分最高的4只ETF，并采用均值-方差优化分配权重
概要
核心指标
- 累计收益率: 163.05%
- 年化收益率: 24.56%
- 基准收益率: -23.02%
- 阿尔法: 0.27
- 夏普比率: 1.28
- 最大回撤: 10.86%
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 | 恒生科技(513130.SH) | 0.70427624309392 | 18100 | 14 | 0.728 | 13176.8 | 429.4/3.369% |
| 2025-08-01 | 300ETF(510300.SH) | 4.0660395721925 | 18700 | 24 | 4.133 | 77287.1 | 1252.16/1.647% |
| 2025-08-01 | 创业板(159915.SZ) | 2.0044008 | 35300 | 29 | 2.303 | 81295.9 | 10540.55/14.897% |
| 2025-08-01 | 标普500(513500.SH) | 2.0821074074828 | 36000 | 74 | 2.172 | 78192 | 3236.13/4.317% |
| 2025-08-01 | 纳指ETF(513100.SH) | 1.4195748968961 | 7800 | 79 | 1.671 | 13033.8 | 1961.12/17.711% |
| 2025-07-31 | 恒生科技(513130.SH) | 0.70427624309392 | 18100 | 13 | 0.729 | 13194.9 | 447.5/3.511% |
| 2025-07-31 | 300ETF(510300.SH) | 4.0660395721925 | 18700 | 23 | 4.155 | 77698.5 | 1663.56/2.188% |
| 2025-07-31 | 创业板(159915.SZ) | 2.0044008 | 35300 | 28 | 2.301 | 81225.3 | 10469.95/14.797% |
| 2025-07-31 | 标普500(513500.SH) | 2.0821074074828 | 36000 | 73 | 2.202 | 79272 | 4316.13/5.758% |
| 2025-07-31 | 纳指ETF(513100.SH) | 1.4195748968961 | 7800 | 78 | 1.704 | 13291.2 | 2218.52/20.036% |
交易详情
| 2025-07-15 | 嘉实原油(160723.SZ) | 卖 | -52400 | 1.44 | -75456 | ¥15.09 | 509.01 |
| 2025-07-15 | 创业板(159915.SZ) | 卖 | -200 | 2.184 | -436.8 | ¥5 | 35.92 |
| 2025-07-15 | 300ETF(510300.SH) | 买 | 15600 | 4.082 | 63679.2 | ¥12.74 | 0 |
| 2025-07-15 | 恒生科技(513130.SH) | 买 | 18100 | 0.704 | 12742.4 | ¥5 | 0 |
| 2025-07-15 | 标普500(513500.SH) | 买 | 200 | 2.118 | 423.6 | ¥5 | 0 |
| 2025-07-01 | 豆粕ETF(159985.SZ) | 卖 | -38300 | 1.925 | -73727.5 | ¥14.75 | -1177.58 |
| 2025-07-01 | 黄金ETF(518880.SH) | 卖 | -1700 | 7.359 | -12510.3 | ¥5 | -284.76 |
| 2025-07-01 | 创业板(159915.SZ) | 卖 | -2000 | 2.128 | -4256 | ¥5 | 247.2 |
| 2025-07-01 | 嘉实原油(160723.SZ) | 买 | 52400 | 1.43 | 74932 | ¥14.99 | 0 |
| 2025-07-01 | 300ETF(510300.SH) | 买 | 3100 | 3.98 | 12338 | ¥5 | 0 |
