宽基轮动-激进版
按照每日操作提示，在开盘时做卖出和买入操作。
候选 ETF 池
少量、差异性大的 ETF，分两类：
- 宽基（中证500 / 创业板 / 科创50 / 纳指 / 恒生 / 红利）
- 商品（黄金）
聚焦宽基与商品两大类资产之间的轮动，目标是抓住市场风格与大类资产切换。
操作提示
2026-09-01 信号 · 次一交易日开盘执行今日信号与上一交易日一致，无需调仓，继续持有：
红利ETF510880.SH
当日信号
Top 1 · 次一交易日开盘执行
打分明细（共 6 只）
| # | 代码 | 名称 | 因子1 | 因子2 | 过滤 | 综合分 |
|---|---|---|---|---|---|---|
| 1 | 510880.SH | 红利ETF | +1.828 | +0.111 | 通过 | +1.938 |
| 2 | 159941.SZ | 纳指ETF | -0.201 | +0.055 | 通过 | -0.146 |
| 3 | 159920.SZ | 恒生ETF | -0.849 | -0.011 | 未通过 | -inf |
| 4 | 510500.SH | 中证500ETF | -0.516 | +0.059 | 未通过 | -inf |
| 5 | 518880.SH | 黄金ETF | +0.540 | -0.422 | 未通过 | -inf |
| 6 | 588000.SH | 科创50ETF | -0.802 | +0.209 | 未通过 | -inf |
回测表现
2026-01-01 ~ 2026-09-01 · 共 161 个交易日 · 基准：中证500总收益
60.21%
超额（vs 主基准）
57.50%
年化收益
103.99%
夏普比率
3.72
最大回撤
-8.52%
信息比率
2.20
日胜率
51.88%
交易次数
239
按年绩效
train = 样本内 / test = 样本外
| 年份 | 阶段 | 策略收益 | 基准收益 | 超额 | 年化 | 波动率 | 夏普 | 最大回撤 | IR | 日胜率 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | train | 16.80% | 13.52% | 3.27% | 16.80% | 17.49% | 0.96 | -13.13% | 0.20 | 50.83% |
| 2022 | train | 25.32% | -20.26% | 45.58% | 25.44% | 20.02% | 1.27 | -7.28% | 1.95 | 48.96% |
| 2023 | train | 34.21% | -8.84% | 43.05% | 34.37% | 14.98% | 2.29 | -9.73% | 2.24 | 53.94% |
| 2024 | train | 100.62% | 5.85% | 94.77% | 101.20% | 31.71% | 3.19 | -13.13% | 2.20 | 54.36% |
| 2025 | train | 65.35% | 34.62% | 30.73% | 65.35% | 21.83% | 2.99 | -7.96% | 1.02 | 57.44% |
| 2026 | test | 60.21% | 2.71% | 57.50% | 103.99% | 27.94% | 3.72 | -8.52% | 2.20 | 51.88% |
操作历史
共 27 条 · 最新在前
| 日期 | 买入 | 卖出 | 保持 | 持仓 | 当前持仓 |
|---|---|---|---|---|---|
| 2026-09-01 | — | — | 510880.SH(-0.06%) | 1 | 510880.SH |
| 2026-09-01 | 510880.SH | 518880.SH(-0.08%) | — | 1 | 510880.SH |
| 2026-08-11 | 518880.SH | 159941.SZ(+0.06%) | — | 1 | 518880.SH |
| 2026-08-06 | 159941.SZ | 159920.SZ(-1.30%) | — | 1 | 159941.SZ |
| 2026-07-30 | 159920.SZ | 510880.SH(+1.11%) | — | 1 | 159920.SZ |
| 2026-07-23 | 510880.SH | 159920.SZ(+3.30%) | — | 1 | 510880.SH |
| 2026-07-13 | 159920.SZ | 588000.SH(+6.55%) | — | 1 | 159920.SZ |
| 2026-07-01 | — | 获利减仓 588000.SH(+15.73%) | — | 1 | 588000.SH |
| 2026-06-22 | 588000.SH | 159941.SZ(+0.59%) | — | 1 | 588000.SH |
| 2026-06-16 | 159941.SZ | 510880.SH(-2.32%) | — | 1 | 159941.SZ |
| 2026-06-05 | 510880.SH | 159941.SZ(+0.80%) | — | 1 | 510880.SH |
| 2026-05-26 | 159941.SZ | 588000.SH(+6.72%) | — | 1 | 159941.SZ |
| 2026-05-20 | 588000.SH | 159941.SZ(-4.18%) | — | 1 | 588000.SH |
| 2026-05-15 | 159941.SZ | 588000.SH(+5.06%) | — | 1 | 159941.SZ |
| 2026-05-06 | 588000.SH | 159941.SZ(+3.52%) | — | 1 | 588000.SH |
| 2026-04-28 | 159941.SZ | 510500.SH(-1.41%) | — | 1 | 159941.SZ |
| 2026-04-23 | 510500.SH | 588000.SH(+2.80%) | — | 1 | 510500.SH |
| 2026-04-20 | 588000.SH | 159941.SZ(+6.10%) | — | 1 | 588000.SH |
| 2026-04-09 | 159941.SZ | 510880.SH(-1.92%) | — | 1 | 159941.SZ |
| 2026-03-05 | 510880.SH | 510500.SH(-2.93%) | — | 1 | 510880.SH |
| 2026-03-02 | 510500.SH | 510880.SH(+4.50%) | — | 1 | 510500.SH |
| 2026-02-05 | 510880.SH | 518880.SH(+7.02%) | — | 1 | 510880.SH |
| 2026-02-02 | 518880.SH | 510500.SH(-2.54%) | — | 1 | 518880.SH |
| 2026-01-27 | 510500.SH | 518880.SH(+4.93%) | — | 1 | 510500.SH |
| 2026-01-21 | 518880.SH | 510500.SH(+0.32%) | — | 1 | 518880.SH |
| 2026-01-15 | 510500.SH | 588000.SH(+0.26%) | — | 1 | 510500.SH |
| 2026-01-12 | 588000.SH | 510500.SH(+9.56%) | — | 1 | 588000.SH |