行业 ETF · 多窗口风险动量 · Top N 等权 · 次日开盘换仓
| # | 代码 | 名称 | 因子1 | 因子2 | 过滤 | 综合分 |
|---|---|---|---|---|---|---|
| 1 | 510880.SH | 红利ETF | +2.166 | -0.922 | 通过 | +1.244 |
| 2 | 512800.SH | 银行ETF | +1.598 | -1.080 | 通过 | +0.518 |
| 3 | 513120.SH | 创新药ETF | +0.540 | -0.031 | 通过 | +0.509 |
| 4 | 513500.SH | 标普500ETF | +0.653 | -0.163 | 通过 | +0.490 |
| 5 | 159930.SZ | 能源ETF | +1.111 | -0.712 | 通过 | +0.398 |
| 6 | 512400.SH | 有色金属ETF | +0.217 | -0.054 | 通过 | +0.163 |
| 7 | 159995.SZ | 芯片ETF | -0.764 | +0.801 | 通过 | +0.037 |
| 8 | 512200.SH | 房地产ETF | -0.023 | +0.049 | 通过 | +0.026 |
| 9 | 512880.SH | 证券ETF | +0.549 | -0.561 | 通过 | -0.012 |
| 10 | 159941.SZ | 纳指100ETF | +0.032 | -0.053 | 通过 | -0.022 |
| 11 | 159928.SZ | 消费ETF | +0.076 | -0.129 | 通过 | -0.054 |
| 12 | 159732.SZ | 消费电子ETF | -0.662 | +0.607 | 通过 | -0.055 |
| 13 | 513520.SH | 日经225ETF | -0.442 | +0.327 | 通过 | -0.115 |
| 14 | 159870.SZ | 化工ETF | +0.241 | -0.361 | 通过 | -0.120 |
| 15 | 515880.SH | 通信ETF | -0.469 | +0.116 | 通过 | -0.353 |
| 16 | 159559.SZ | 机器人ETF | -1.118 | +0.761 | 通过 | -0.358 |
| 17 | 512980.SH | 传媒ETF | -0.050 | -0.370 | 通过 | -0.420 |
| 18 | 159206.SZ | 卫星ETF | -0.694 | +0.239 | 通过 | -0.455 |
| 19 | 159985.SZ | 豆粕ETF | +1.637 | -2.109 | 通过 | -0.472 |
| 20 | 512660.SH | 军工ETF | -0.443 | -0.189 | 通过 | -0.632 |
| 21 | 159920.SZ | 恒生ETF | -0.274 | +0.220 | 未通过 | -inf |
| 22 | 513330.SH | 互联网ETF | -1.219 | +1.183 | 未通过 | -inf |
| 23 | 515030.SH | 新能源车ETF | -1.149 | +0.790 | 未通过 | -inf |
| 24 | 515790.SH | 光伏ETF | -1.231 | +0.860 | 未通过 | -inf |
| 25 | 518880.SH | 黄金ETF | +0.641 | +0.066 | 未通过 | -inf |
| 26 | 561380.SH | 电网设备ETF | -0.921 | +0.714 | 未通过 | -inf |
| 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 | 17.19% | 13.52% | 3.67% | 17.19% | 17.67% | 0.97 | -9.62% | 0.25 | 54.96% |
| 2022 | train | 13.94% | -20.26% | 34.20% | 14.00% | 17.85% | 0.78 | -11.79% | 1.84 | 53.11% |
| 2023 | train | 38.84% | -8.84% | 47.68% | 39.03% | 14.66% | 2.66 | -6.50% | 2.86 | 53.94% |
| 2024 | train | 38.35% | 5.85% | 32.50% | 38.54% | 17.71% | 2.18 | -8.56% | 1.00 | 57.68% |
| 2025 | train | 48.86% | 34.62% | 14.25% | 48.86% | 16.84% | 2.90 | -8.35% | 0.66 | 56.61% |
| 2026 | test | 19.91% | 2.71% | 17.21% | 31.61% | 27.76% | 1.14 | -13.57% | 0.92 | 51.25% |
| 日期 | 买入 | 卖出 | 保持 | 持仓 | 当前持仓 |
|---|---|---|---|---|---|
| 2026-09-01 | — | — | 518880.SH(+0.47%) 510880.SH(+4.19%) 513120.SH(-0.29%) | 3 | 518880.SH 510880.SH 513120.SH |
| 2026-09-01 | 513120.SH | 512800.SH(-0.42%) | — | 3 | 518880.SH 510880.SH 513120.SH |
| 2026-08-25 | 512800.SH | 513120.SH(+1.67%) | — | 3 | 518880.SH 510880.SH 512800.SH |
| 2026-08-20 | 510880.SH | 513500.SH(-0.69%) | — | 3 | 518880.SH 513120.SH 510880.SH |
| 2026-08-18 | 513120.SH | 159928.SZ(-3.54%) | — | 3 | 513500.SH 518880.SH 513120.SH |
| 2026-08-12 | 518880.SH | 159920.SZ(+0.82%) | — | 3 | 513500.SH 159928.SZ 518880.SH |
| 2026-08-11 | 159928.SZ | 512400.SH(+13.30%) | — | 3 | 159920.SZ 513500.SH 159928.SZ |
| 2026-08-07 | 513500.SH | 512800.SH(-2.13%) | — | 3 | 159920.SZ 512400.SH 513500.SH |
| 2026-08-04 | 512400.SH | 510880.SH(+1.83%) | — | 3 | 159920.SZ 512800.SH 512400.SH |
| 2026-07-30 | 512800.SH | 159928.SZ(+1.43%) | — | 3 | 159920.SZ 510880.SH 512800.SH |
| 2026-07-28 | 510880.SH | 159985.SZ(+3.15%) | — | 3 | 159920.SZ 159928.SZ 510880.SH |
| 2026-07-23 | 159928.SZ | 159995.SZ(-2.35%) | — | 3 | 159985.SZ 159920.SZ 159928.SZ |
| 2026-07-22 | 159920.SZ | 512800.SH(+1.75%) | — | 3 | 159985.SZ 159995.SZ 159920.SZ |
| 2026-07-16 | 159995.SZ | 513500.SH(+1.36%) | — | 3 | 159985.SZ 512800.SH 159995.SZ |
| 2026-07-15 | 512800.SH | 159995.SZ(-0.19%) | — | 3 | 159985.SZ 513500.SH 512800.SH |
| 2026-07-08 | 159985.SZ 159995.SZ 513500.SH | 515880.SH(-14.47%) 561380.SH(-11.09%) 159559.SZ(+0.29%) | — | 3 | 159985.SZ 159995.SZ 513500.SH |
| 2026-07-01 | 515880.SH 561380.SH 159559.SZ | 159941.SZ(+2.78%) 513520.SH(+4.70%) 512400.SH(-5.40%) | — | 3 | 515880.SH 561380.SH 159559.SZ |
| 2026-06-24 | 159941.SZ 513520.SH 512400.SH | 159559.SZ(-0.70%) 159995.SZ(+11.22%) 159732.SZ(+5.93%) | — | 3 | 159941.SZ 513520.SH 512400.SH |
| 2026-06-16 | 159559.SZ 159995.SZ 159732.SZ | 510880.SH(-1.31%) 512800.SH(+1.85%) 159930.SZ(-6.72%) | — | 3 | 159559.SZ 159995.SZ 159732.SZ |
| 2026-06-09 | 510880.SH 512800.SH 159930.SZ | 159941.SZ(+10.14%) 513500.SH(-1.00%) 159995.SZ(+0.07%) | — | 3 | 510880.SH 512800.SH 159930.SZ |
| 2026-06-02 | 159995.SZ | 159559.SZ(-12.12%) | — | 3 | 159941.SZ 513500.SH 159995.SZ |
| 2026-05-26 | 513500.SH 159559.SZ | 159732.SZ(+5.31%) 515880.SH(+2.87%) | — | 3 | 159941.SZ 513500.SH 159559.SZ |
| 2026-05-19 | 515880.SH | 513500.SH(-2.07%) | — | 3 | 159941.SZ 159732.SZ 515880.SH |
| 2026-05-14 | 159732.SZ | 510880.SH(-2.55%) | — | 3 | 159941.SZ 513500.SH 159732.SZ |
| 2026-05-12 | 513500.SH | 515880.SH(+11.81%) | — | 3 | 159941.SZ 510880.SH 513500.SH |
| 2026-05-07 | 510880.SH | 512800.SH(-1.93%) | — | 3 | 159941.SZ 515880.SH 510880.SH |
| 2026-04-30 | 515880.SH | 159732.SZ(-0.21%) | — | 3 | 512800.SH 159941.SZ 515880.SH |
| 2026-04-28 | 159941.SZ | 515030.SH(+1.72%) | — | 3 | 159732.SZ 512800.SH 159941.SZ |
| 2026-04-27 | 512800.SH | 515790.SH(-1.74%) | — | 3 | 515030.SH 159732.SZ 512800.SH |
| 2026-04-23 | 159732.SZ | 159941.SZ(+0.72%) | — | 3 | 515030.SH 515790.SH 159732.SZ |
| 2026-04-20 | 515790.SH | 159920.SZ(+1.45%) | — | 3 | 159941.SZ 515030.SH 515790.SH |
| 2026-04-17 | 515030.SH | 513120.SH(+3.59%) | — | 3 | 159920.SZ 159941.SZ 515030.SH |
| 2026-04-16 | 159941.SZ | 159870.SZ(-0.06%) | — | 3 | 513120.SH 159920.SZ 159941.SZ |
| 2026-04-13 | 159920.SZ | 515030.SH(+4.23%) | — | 3 | 159870.SZ 513120.SH 159920.SZ |
| 2026-04-10 | 513120.SH | 512800.SH(-1.68%) | — | 3 | 515030.SH 159870.SZ 513120.SH |
| 2026-04-09 | 159870.SZ | 561380.SH(-0.21%) | — | 3 | 512800.SH 515030.SH 159870.SZ |
| 2026-04-02 | 512800.SH 515030.SH | 515880.SH(+0.59%) 515790.SH(-9.38%) | — | 3 | 561380.SH 512800.SH 515030.SH |
| 2026-04-01 | 561380.SH | 512800.SH(+1.33%) | — | 3 | 515880.SH 515790.SH 561380.SH |
| 2026-03-26 | 515880.SH 515790.SH | 159985.SZ(+7.64%) | — | 3 | 512800.SH 515880.SH 515790.SH |
| 2026-03-24 | — | 561380.SH(-6.75%) | — | 2 | 159985.SZ 512800.SH |
| 2026-03-17 | 561380.SH | 510880.SH(+0.51%) | — | 3 | 159985.SZ 512800.SH 561380.SH |
| 2026-03-13 | 512800.SH | 159206.SZ(-3.24%) | — | 3 | 159985.SZ 510880.SH 512800.SH |
| 2026-03-06 | 159206.SZ | 513520.SH(-7.22%) | — | 3 | 159985.SZ 510880.SH 159206.SZ |
| 2026-03-03 | 510880.SH | 512400.SH(+8.38%) | — | 3 | 159985.SZ 513520.SH 510880.SH |
| 2026-02-27 | 513520.SH | 510880.SH(+1.21%) | — | 3 | 512400.SH 159985.SZ 513520.SH |
| 2026-02-26 | 159985.SZ | 159870.SZ(+6.48%) | — | 3 | 510880.SH 512400.SH 159985.SZ |
| 2026-02-24 | 512400.SH | 561380.SH(+3.65%) | — | 3 | 159870.SZ 510880.SH 512400.SH |
| 2026-02-11 | 159870.SZ 510880.SH | 515880.SH(+0.79%) 512400.SH(-4.58%) | — | 3 | 561380.SH 159870.SZ 510880.SH |
| 2026-02-09 | 561380.SH | 510880.SH(-0.41%) | — | 3 | 515880.SH 512400.SH 561380.SH |
| 2026-02-04 | 515880.SH 512400.SH | 159870.SZ(-2.36%) 159930.SZ(+0.52%) | — | 3 | 510880.SH 515880.SH 512400.SH |
| 2026-02-02 | 510880.SH | 518880.SH(+0.52%) | — | 3 | 159870.SZ 159930.SZ 510880.SH |
| 2026-01-28 | 159870.SZ 159930.SZ | 515880.SH(+7.77%) 515790.SH(+7.63%) | — | 3 | 518880.SH 159870.SZ 159930.SZ |
| 2026-01-21 | 515880.SH 515790.SH | 159870.SZ(+13.00%) 159930.SZ(-0.66%) | — | 3 | 518880.SH 515880.SH 515790.SH |
| 2026-01-16 | 518880.SH | 159206.SZ(+2.65%) | — | 3 | 159870.SZ 159930.SZ 518880.SH |
| 2026-01-14 | 159930.SZ | 512660.SH(+15.10%) | — | 3 | 159870.SZ 159206.SZ 159930.SZ |
| 2026-01-09 | 159206.SZ | 512400.SH(+5.38%) | — | 3 | 159870.SZ 512660.SH 159206.SZ |
按照每日操作提示，在开盘时做卖出和买入操作。
行业与主题 ETF 共 26 只，覆盖： 跨境（纳指100 / 标普500 / 日经225 / 恒生）、红利（红利ETF）、 商品（黄金 / 豆粕）、 科技（通信 / 芯片 / 互联网 / 传媒 / 机器人 / 消费电子 / 卫星）、 能源材料（能源 / 有色金属 / 化工 / 新能源车 / 光伏 / 电网设备）、 消费医疗（消费 / 创新药）、 金融周期（证券 / 银行 / 房地产 / 军工）。
目标是抓住行业之间的相对强弱切换。