宽基轮动-保守版
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
2026-09-02 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 7 只）
| # | 代码 | 名称 | 因子1 | 因子2 | 过滤 | 综合分 |
|---|---|---|---|---|---|---|
| 1 | 510880.SH | 红利ETF | +2.105 | -1.171 | 通过 | +0.934 |
| 2 | 159920.SZ | 恒生ETF | -0.321 | +0.065 | 未通过 | -inf |
| 3 | 159915.SZ | 创业板ETF | -0.959 | +1.062 | 未通过 | -inf |
| 4 | 159941.SZ | 纳指ETF | -0.107 | -0.365 | 未通过 | -inf |
| 5 | 510500.SH | 中证500ETF | -0.299 | -0.142 | 未通过 | -inf |
| 6 | 518880.SH | 黄金ETF | +0.277 | -0.282 | 未通过 | -inf |
| 7 | 588000.SH | 科创50ETF | -0.696 | +0.833 | 未通过 | -inf |
回测表现
2026-01-01 ~ 2026-09-02 · 共 162 个交易日 · 基准：中证500总收益
72.36%
超额（vs 主基准）
71.34%
年化收益
126.66%
夏普比率
4.49
最大回撤
-8.70%
信息比率
2.68
日胜率
53.42%
交易次数
241
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 | 30.80% | 13.52% | 17.28% | 30.80% | 16.91% | 1.82 | -10.50% | 0.95 | 52.48% |
| 2022 | train | 16.60% | -20.26% | 36.86% | 16.68% | 16.96% | 0.98 | -6.52% | 1.61 | 50.21% |
| 2023 | train | 24.39% | -8.84% | 33.23% | 24.50% | 13.28% | 1.85 | -12.69% | 1.91 | 53.11% |
| 2024 | train | 24.52% | 5.85% | 18.67% | 24.63% | 19.50% | 1.26 | -9.94% | 0.46 | 54.77% |
| 2025 | train | 59.65% | 34.62% | 25.03% | 59.65% | 18.32% | 3.26 | -8.60% | 0.87 | 59.92% |
| 2026 | test | 72.36% | 1.02% | 71.34% | 126.66% | 28.20% | 4.49 | -8.70% | 2.68 | 53.42% |
操作历史
共 31 条 · 最新在前
| 日期 | 买入 | 卖出 | 保持 | 持仓 | 当前持仓 |
|---|---|---|---|---|---|
| 2026-09-02 | — | — | 510880.SH(+2.57%) | 1 | 510880.SH |
| 2026-08-20 | 510880.SH | 518880.SH(+1.93%) | — | 1 | 510880.SH |
| 2026-08-12 | 518880.SH | 159941.SZ(-0.90%) | — | 1 | 518880.SH |
| 2026-08-07 | 159941.SZ | 159920.SZ(-2.08%) | — | 1 | 159941.SZ |
| 2026-07-30 | 159920.SZ | 510880.SH(+1.74%) | — | 1 | 159920.SZ |
| 2026-07-27 | 510880.SH | 159920.SZ(-0.80%) | — | 1 | 510880.SH |
| 2026-07-22 | 159920.SZ | 510880.SH(+2.44%) | — | 1 | 159920.SZ |
| 2026-07-15 | 510880.SH | 510500.SH(-4.47%) | — | 1 | 510880.SH |
| 2026-07-10 | 510500.SH | 588000.SH(+12.14%) | — | 1 | 510500.SH |
| 2026-07-07 | 588000.SH | 510500.SH(-0.93%) | — | 1 | 588000.SH |
| 2026-06-22 | 510500.SH | 159915.SZ(+5.42%) | — | 1 | 510500.SH |
| 2026-06-16 | 159915.SZ | 510880.SH(-2.32%) | — | 1 | 159915.SZ |
| 2026-06-05 | 510880.SH | 159941.SZ(+4.38%) | — | 1 | 510880.SH |
| 2026-05-15 | 159941.SZ | 159915.SZ(+0.17%) | — | 1 | 159941.SZ |
| 2026-05-12 | 159915.SZ | 510880.SH(-2.07%) | — | 1 | 159915.SZ |
| 2026-05-07 | 510880.SH | 159941.SZ(+4.28%) | — | 1 | 510880.SH |
| 2026-04-29 | 159941.SZ | 510880.SH(+1.10%) | — | 1 | 159941.SZ |
| 2026-04-24 | 510880.SH | 159915.SZ(+4.68%) | — | 1 | 510880.SH |
| 2026-04-16 | 159915.SZ | 159941.SZ(+4.24%) | — | 1 | 159915.SZ |
| 2026-04-10 | 159941.SZ | 159915.SZ(+0.94%) | — | 1 | 159941.SZ |
| 2026-03-26 | 159915.SZ | 510880.SH(-2.28%) | — | 1 | 159915.SZ |
| 2026-03-12 | 510880.SH | 510500.SH(+1.79%) | — | 1 | 510880.SH |
| 2026-03-09 | 510500.SH | 510880.SH(+4.63%) | — | 1 | 510500.SH |
| 2026-02-26 | 510880.SH | 159915.SZ(+1.00%) | — | 1 | 510880.SH |
| 2026-02-13 | 159915.SZ | 510880.SH(+1.15%) | — | 1 | 159915.SZ |
| 2026-02-05 | 510880.SH | 510500.SH(-4.23%) | — | 1 | 510880.SH |
| 2026-01-29 | 510500.SH | 518880.SH(+9.41%) | — | 1 | 510500.SH |
| 2026-01-26 | 518880.SH | 510500.SH(+6.15%) | — | 1 | 518880.SH |
| 2026-01-15 | 510500.SH | 518880.SH(+0.78%) | — | 1 | 510500.SH |
| 2026-01-12 | 518880.SH | 510500.SH(+8.15%) | — | 1 | 518880.SH |
| 2026-01-05 | 510500.SH | 518880.SH(+1.43%) | — | 1 | 510500.SH |