宽基轮动
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
2026-10-19 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 | +1.164 | -0.057 | 通过 | +1.107 |
| 2 | 159941.SZ | 纳指ETF | +1.206 | -0.387 | 通过 | +0.819 |
| 3 | 159920.SZ | 恒生ETF | +0.009 | +0.124 | 未通过 | -inf |
| 4 | 510500.SH | 中证500ETF | -1.130 | +0.023 | 未通过 | -inf |
| 5 | 518880.SH | 黄金ETF | +0.129 | +0.265 | 未通过 | -inf |
| 6 | 588000.SH | 科创50ETF | -1.378 | +0.032 | 未通过 | -inf |
回测表现
2026-01-01 ~ 2026-10-19 · 共 189 个交易日 · 基准：中证500总收益
61.70%
超额（vs 主基准）
72.82%
年化收益
85.64%
夏普比率
3.16
最大回撤
-8.52%
信息比率
2.63
日胜率
49.47%
交易次数
288
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 | 34.64% | 13.52% | 21.12% | 34.64% | 16.72% | 2.07 | -5.98% | 1.09 | 50.41% |
| 2022 | train | 9.71% | -20.26% | 29.97% | 9.75% | 19.58% | 0.50 | -11.24% | 1.34 | 46.47% |
| 2023 | train | 32.43% | -8.84% | 41.27% | 32.58% | 14.31% | 2.28 | -10.11% | 2.18 | 56.85% |
| 2024 | train | 109.65% | 5.85% | 103.80% | 110.30% | 30.96% | 3.56 | -12.92% | 2.31 | 54.77% |
| 2025 | train | 81.19% | 34.62% | 46.57% | 81.19% | 21.33% | 3.81 | -9.25% | 1.49 | 56.61% |
| 2026 | test | 61.70% | -11.12% | 72.82% | 85.64% | 27.09% | 3.16 | -8.52% | 2.63 | 49.47% |
操作历史
共 41 条 · 最新在前
| 日期 | 买入 | 卖出 | 保持 | 持仓 | 当前持仓 |
|---|---|---|---|---|---|
| 2026-10-19 | — | — | 510880.SH(+1.64%) | 1 | 510880.SH |
| 2026-10-16 | 510880.SH | 159941.SZ(+2.66%) | — | 1 | 510880.SH |
| 2026-09-21 | 159941.SZ | — | — | 1 | 159941.SZ |
| 2026-09-14 | — | 510880.SH(-1.10%) | — | 0 | 空仓 |
| 2026-09-09 | 510880.SH | — | — | 1 | 510880.SH |
| 2026-09-08 | — | 510880.SH(-1.86%) | — | 0 | 空仓 |
| 2026-08-28 | 510880.SH | 518880.SH(-1.83%) | — | 1 | 510880.SH |
| 2026-08-25 | 518880.SH | 510880.SH(+2.93%) | — | 1 | 518880.SH |
| 2026-08-20 | 510880.SH | 518880.SH(+3.42%) | — | 1 | 510880.SH |
| 2026-08-10 | 518880.SH | 159920.SZ(-0.72%) | — | 1 | 518880.SH |
| 2026-08-05 | 159920.SZ | 510880.SH(-1.67%) | — | 1 | 159920.SZ |
| 2026-07-31 | 510880.SH | 159920.SZ(+2.55%) | — | 1 | 510880.SH |
| 2026-07-28 | 159920.SZ | 510880.SH(-0.59%) | — | 1 | 159920.SZ |
| 2026-07-23 | 510880.SH | 159920.SZ(+3.30%) | — | 1 | 510880.SH |
| 2026-07-13 | 159920.SZ | 588000.SH(+1.21%) | — | 1 | 159920.SZ |
| 2026-07-06 | 588000.SH | — | — | 1 | 588000.SH |
| 2026-07-03 | — | 588000.SH(+3.05%) | — | 0 | 空仓 |
| 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(+4.44%) | — | 1 | 510880.SH |
| 2026-05-22 | 159941.SZ | 588000.SH(+4.75%) | — | 1 | 159941.SZ |
| 2026-05-19 | 588000.SH | 159941.SZ(-1.99%) | — | 1 | 588000.SH |
| 2026-05-13 | 159941.SZ | 588000.SH(+2.00%) | — | 1 | 159941.SZ |
| 2026-05-08 | 588000.SH | 159941.SZ(+4.80%) | — | 1 | 588000.SH |
| 2026-04-30 | 159941.SZ | 588000.SH(+2.52%) | — | 1 | 159941.SZ |
| 2026-04-27 | 588000.SH | 159920.SZ(-1.41%) | — | 1 | 588000.SH |
| 2026-04-22 | 159920.SZ | 159941.SZ(-0.63%) | — | 1 | 159920.SZ |
| 2026-04-17 | 159941.SZ | 588000.SH(+1.23%) | — | 1 | 159941.SZ |
| 2026-04-14 | 588000.SH | 159941.SZ(+2.27%) | — | 1 | 588000.SH |
| 2026-04-09 | 159941.SZ | — | — | 1 | 159941.SZ |
| 2026-03-24 | — | 510880.SH(-1.67%) | — | 0 | 空仓 |
| 2026-03-05 | 510880.SH | 510500.SH(-2.93%) | — | 1 | 510880.SH |
| 2026-03-02 | 510500.SH | 510880.SH(+4.70%) | — | 1 | 510500.SH |
| 2026-02-09 | 510880.SH | 510500.SH(-0.18%) | — | 1 | 510880.SH |
| 2026-02-04 | 510500.SH | 159920.SZ(-4.36%) | — | 1 | 510500.SH |
| 2026-01-30 | 159920.SZ | 510500.SH(-0.34%) | — | 1 | 159920.SZ |
| 2026-01-27 | 510500.SH | 518880.SH(+5.70%) | — | 1 | 510500.SH |
| 2026-01-22 | 518880.SH | 510500.SH(+2.48%) | — | 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 |