行业 ETF · 多窗口风险动量 · Top N 等权 · 次日开盘换仓
打分排名有变化，但持仓处于最小持有期（5 日）保护内，暂不调仓，继续持有：
| # | 代码 | 名称 | 因子1 | 因子2 | 过滤 | 综合分 |
|---|---|---|---|---|---|---|
| 1 | 510880.SH | 红利ETF | +1.756 | -0.827 | 通过 | +0.929 |
| 2 | 512800.SH | 银行ETF | +1.798 | -1.342 | 通过 | +0.456 |
| 3 | 512400.SH | 有色金属ETF | +0.204 | +0.198 | 通过 | +0.402 |
| 4 | 159930.SZ | 能源ETF | +0.745 | -0.522 | 通过 | +0.224 |
| 5 | 513500.SH | 标普500ETF | +0.099 | +0.121 | 通过 | +0.220 |
| 6 | 159732.SZ | 消费电子ETF | -0.422 | +0.572 | 通过 | +0.150 |
| 7 | 159995.SZ | 芯片ETF | -0.667 | +0.789 | 通过 | +0.122 |
| 8 | 515880.SH | 通信ETF | -0.184 | +0.281 | 通过 | +0.097 |
| 9 | 512880.SH | 证券ETF | +0.508 | -0.434 | 通过 | +0.075 |
| 10 | 512980.SH | 传媒ETF | +0.255 | -0.196 | 通过 | +0.059 |
| 11 | 159559.SZ | 机器人ETF | -0.701 | +0.700 | 通过 | -0.001 |
| 12 | 159928.SZ | 消费ETF | +0.285 | -0.299 | 通过 | -0.014 |
| 13 | 512200.SH | 房地产ETF | +0.051 | -0.105 | 通过 | -0.055 |
| 14 | 159870.SZ | 化工ETF | -0.067 | -0.036 | 通过 | -0.103 |
| 15 | 512660.SH | 军工ETF | +0.421 | -0.593 | 通过 | -0.172 |
| 16 | 159941.SZ | 纳指100ETF | -0.206 | -0.005 | 通过 | -0.211 |
| 17 | 159206.SZ | 卫星ETF | -0.262 | +0.033 | 通过 | -0.229 |
| 18 | 159985.SZ | 豆粕ETF | +1.857 | -2.089 | 通过 | -0.232 |
| 19 | 159920.SZ | 恒生ETF | -0.461 | -0.100 | 未通过 | -inf |
| 20 | 513120.SH | 创新药ETF | +0.700 | -0.322 | 未通过 | -inf |
| 21 | 513520.SH | 日经225ETF | -0.692 | +0.568 | 未通过 | -inf |
| 22 | 513330.SH | 互联网ETF | -1.860 | +0.975 | 未通过 | -inf |
| 23 | 515030.SH | 新能源车ETF | -1.449 | +0.923 | 未通过 | -inf |
| 24 | 515790.SH | 光伏ETF | -1.165 | +0.867 | 未通过 | -inf |
| 25 | 518880.SH | 黄金ETF | +0.092 | +0.321 | 未通过 | -inf |
| 26 | 561380.SH | 电网设备ETF | -0.636 | +0.523 | 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 | 18.29% | 1.02% | 17.27% | 28.73% | 27.74% | 1.04 | -13.57% | 0.94 | 50.93% |
| 日期 | 买入 | 卖出 | 保持 | 持仓 | 当前持仓 |
|---|---|---|---|---|---|
| 2026-09-02 | — | — | 510880.SH(+2.57%) 513120.SH(-0.29%) 512800.SH(-0.30%) | 3 | 510880.SH 513120.SH 512800.SH |
| 2026-09-02 | 512800.SH | 518880.SH(-1.93%) | — | 3 | 510880.SH 513120.SH 512800.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。