大小盘轮动策略 - AI量化实验室

沪深300及创业板指数的大小盘轮动，取动量大者。当动量大于0.02时建仓，动量为负时清仓。

年化收益：0.197

最大回撤：-0.26

夏普比率：0.614

卡玛比率：0.756

基准：

年化收益：0.027

最大回撤：-0.466

夏普比率：0.236

卡玛比率：0.059

订单明细

日期	交易类型	代码	份额	价格
20240530	卖出	510300.SH	-2219681.0	4.265
20240529	卖出	159915.SZ	-5324001.0	1.784
20240429	买入	159915.SZ	5324001.0	1.837
20240410	卖出	159915.SZ	-5624031.0	1.739
20240401	买入	159915.SZ	5624031.0	1.822
20240329	卖出	510300.SH	-2442666.0	4.195
20240328	卖出	159915.SZ	-5806543.0	1.758
20240229	买入	159915.SZ	5806543.0	1.761
20240228	卖出	159915.SZ	-5932111.0	1.701
20240227	买入	159915.SZ	5932111.0	1.746
20240219	买入	510300.SH	2493972.0	4.058
20231127	卖出	159915.SZ	-5388998.0	1.878
20231113	买入	159915.SZ	5388998.0	1.958
20230811	卖出	510300.SH	-2319045.0	4.55
20230725	买入	510300.SH	2319045.0	4.585
20230717	卖出	159915.SZ	-4940903.0	2.152
20230707	买入	159915.SZ	4940903.0	2.118
20230703	买入	510300.SH	2342174.0	4.527
20230421	卖出	510300.SH	-2290069.0	4.63
20230420	卖出	159915.SZ	-4654363.0	2.314
20230411	买入	159915.SZ	4654363.0	2.362
20230410	卖出	159915.SZ	-4652465.0	2.368
20230407	买入	159915.SZ	4652465.0	2.369
20230217	卖出	159915.SZ	-4634857.0	2.378
20230110	买入	159915.SZ	4634857.0	2.401
20221229	卖出	510300.SH	-2496252.0	4.458
20221121	买入	510300.SH	2496252.0	4.369
20221111	卖出	159915.SZ	-4680740.0	2.33
20221102	买入	159915.SZ	4680740.0	2.305
20220824	卖出	159915.SZ	-4149656.0	2.6
20220822	买入	159915.SZ	4149656.0	2.699
20220721	卖出	159915.SZ	-4194727.0	2.67
20220526	买入	159915.SZ	4194727.0	2.249
20220418	卖出	510300.SH	-2008503.0	4.697
20220414	买入	510300.SH	2008503.0	4.719
20220105	卖出	510300.SH	-1753910.0	5.404
20211228	买入	510300.SH	1753910.0	5.488
20211220	卖出	510300.SH	-1776242.0	5.419
20211215	卖出	159915.SZ	-2933050.0	3.355
20211214	买入	159915.SZ	2933050.0	3.384
20211208	买入	510300.SH	1776842.0	5.535
20211207	卖出	159915.SZ	-3011274.0	3.266
20211020	买入	159915.SZ	3011274.0	3.185
20210826	卖出	510300.SH	-1793699.0	5.347
20210824	买入	510300.SH	1793699.0	5.418
20210809	卖出	159915.SZ	-2902706.0	3.348
20210730	买入	159915.SZ	2902706.0	3.328
20210726	卖出	159915.SZ	-2954192.0	3.27
20210413	买入	159915.SZ	2954192.0	2.649
20210412	卖出	159915.SZ	-2978932.0	2.627
20210406	买入	159915.SZ	2978932.0	2.73
20210224	卖出	510300.SH	-1381196.0	5.888
20210223	卖出	159915.SZ	-2770196.0	3.009
20210209	买入	159915.SZ	2770196.0	3.222
20210208	卖出	159915.SZ	-2829244.0	3.084
20210120	买入	159915.SZ	2829244.0	3.096
20210119	卖出	159915.SZ	-2928433.0	2.976
20201215	买入	159915.SZ	2928433.0	2.667
20201106	卖出	159915.SZ	-2927756.0	2.637
20201013	买入	159915.SZ	2927756.0	2.688
20200907	卖出	510300.SH	-1536772.0	5.121
20200821	买入	510300.SH	1536772.0	5.173
20200820	卖出	510300.SH	-1549049.0	5.132
20200813	买入	510300.SH	1549049.0	5.076
20200807	卖出	159915.SZ	-2959343.0	2.657
20200729	买入	159915.SZ	2959343.0	2.68
20200728	卖出	159915.SZ	-3003219.0	2.573
20200707	买入	159915.SZ	3003219.0	2.503
20200706	卖出	159915.SZ	-3096923.0	2.45
20200414	买入	159915.SZ	3096923.0	1.909
20200312	卖出	510300.SH	-1363160.0	4.337
20200311	卖出	159915.SZ	-2963392.0	2.024
20200204	买入	159915.SZ	2963392.0	1.816
20200203	卖出	159915.SZ	-3150773.0	1.708
20191209	买入	159915.SZ	3150773.0	1.656
20191122	卖出	159915.SZ	-3232763.0	1.614
20191114	买入	159915.SZ	3232763.0	1.63
20191111	卖出	159915.SZ	-3272922.0	1.61
20191104	买入	159915.SZ	3272922.0	1.634
20191101	卖出	159915.SZ	-3281250.0	1.625
20191031	买入	159915.SZ	3281250.0	1.608
20191008	卖出	510300.SH	-1250000.0	4.221
20190926	卖出	159915.SZ	-3390454.0	1.561
20190819	买入	159915.SZ	3390454.0	1.568
20190806	卖出	159915.SZ	-3663841.0	1.451
20190801	买入	159915.SZ	3663841.0	1.516
20190729	卖出	159915.SZ	-3680836.0	1.509
20190712	买入	159915.SZ	3680836.0	1.465
20190711	卖出	159915.SZ	-3671093.0	1.458
20190710	买入	159915.SZ	3671093.0	1.456
20190708	卖出	159915.SZ	-3693389.0	1.45
20190705	买入	159915.SZ	3693389.0	1.492
20190619	买入	510300.SH	1297207.0	4.062
20190430	卖出	510300.SH	-1247752.0	4.223
20190403	卖出	159915.SZ	-3186905.0	1.7
20190215	买入	159915.SZ	3186905.0	1.302
20190118	买入	510300.SH	1131229.0	3.493
20181210	卖出	159915.SZ	-3126096.0	1.264
20181204	买入	159915.SZ	3126096.0	1.315
20181130	卖出	159915.SZ	-3252228.0	1.264
20181108	买入	159915.SZ	3252228.0	1.265
20181008	卖出	510300.SH	-1139947.0	3.609
20180928	买入	510300.SH	1139947.0	3.776
20180925	卖出	510300.SH	-1158041.0	3.717
20180921	买入	510300.SH	1158041.0	3.752
20180803	卖出	510300.SH	-1194658.0	3.637
20180727	卖出	159915.SZ	-3029930.0	1.518
20180717	买入	159915.SZ	3029930.0	1.543
20180530	卖出	510300.SH	-1170258.0	3.995
20180528	买入	510300.SH	1170258.0	4.103
20180525	卖出	159915.SZ	-2816170.0	1.705
20180522	买入	159915.SZ	2816170.0	1.77
20180518	卖出	159915.SZ	-2877547.0	1.731
20180517	买入	159915.SZ	2877547.0	1.729
20180516	卖出	159915.SZ	-2873972.0	1.745
20180515	买入	159915.SZ	2873972.0	1.756
20180426	卖出	159915.SZ	-3002198.0	1.681
20180424	买入	159915.SZ	3002198.0	1.705
20180410	卖出	159915.SZ	-2955397.0	1.732
20180307	买入	159915.SZ	2955397.0	1.679
20180206	卖出	510300.SH	-1124940.0	4.411
20180104	卖出	159915.SZ	-2918998.0	1.693
20180103	买入	159915.SZ	2918998.0	1.689
20171130	卖出	510300.SH	-1152990.0	4.276
20171016	卖出	159915.SZ	-2693735.0	1.796
20171013	买入	159915.SZ	2693735.0	1.84
20171012	买入	510300.SH	1177309.0	4.202
20170925	卖出	159915.SZ	-2826888.0	1.75
20170918	买入	159915.SZ	2826888.0	1.808
20170913	卖出	159915.SZ	-2838687.0	1.797
20170814	买入	159915.SZ	2838687.0	1.702
20170811	卖出	510300.SH	-1231883.0	3.922
20170602	买入	510300.SH	1231883.0	3.71
20170417	卖出	510300.SH	-1236884.0	3.695
20170410	买入	510300.SH	1236884.0	3.727
20170329	卖出	159915.SZ	-2498572.0	1.845
20170222	买入	159915.SZ	2498572.0	1.838
20170126	买入	510300.SH	1238839.0	3.609
20161212	卖出	510300.SH	-1231672.0	3.63
20161021	卖出	159915.SZ	-2096789.0	2.09
20161020	买入	159915.SZ	2096789.0	2.101
20160912	卖出	159915.SZ	-2138521.0	2.06
20160906	买入	159915.SZ	2138521.0	2.128
20160830	卖出	159915.SZ	-2145350.0	2.104
20160829	买入	159915.SZ	2145350.0	2.101
20160815	买入	510300.SH	1277602.0	3.614
20160809	卖出	510300.SH	-1330237.0	3.471
20160722	卖出	159915.SZ	-2126280.0	2.154
20160719	买入	159915.SZ	2126280.0	2.173
20160718	卖出	159915.SZ	-2161593.0	2.148
20160603	买入	159915.SZ	2161593.0	2.109
20160420	卖出	159915.SZ	-2245714.0	2.03
20160324	买入	159915.SZ	2245714.0	2.1
20160302	买入	510300.SH	1412399.0	3.216
20160223	卖出	159915.SZ	-2145619.0	2.117
20160216	买入	159915.SZ	2145619.0	2.099
20151231	卖出	159915.SZ	-1773790.0	2.539
20151230	买入	159915.SZ	1773790.0	2.605
20151221	卖出	159915.SZ	-1783749.0	2.663
20151216	买入	159915.SZ	1783749.0	2.593
20151204	卖出	159915.SZ	-1828166.0	2.53
20151203	买入	159915.SZ	1828166.0	2.561
20151202	卖出	159915.SZ	-1903982.0	2.454
20150925	买入	159915.SZ	1903982.0	1.845
20150924	买入	510300.SH	1045801.0	3.431
20150814	卖出	159915.SZ	-1421047.0	2.525
20150812	买入	159915.SZ	1421047.0	2.489
20150811	卖出	159915.SZ	-1378942.0	2.565
20150804	买入	159915.SZ	1378942.0	2.442
20150619	卖出	510300.SH	-713578.0	4.719
20150618	卖出	159915.SZ	-1080039.0	3.32
20150616	买入	159915.SZ	1080039.0	3.402
20150615	卖出	159915.SZ	-1073834.0	3.512
20150505	买入	159915.SZ	1073834.0	2.67
20150504	卖出	159915.SZ	-1086698.0	2.74
20150428	买入	159915.SZ	1086698.0	2.583
20150427	卖出	159915.SZ	-1072794.0	2.65
20150424	买入	159915.SZ	1072794.0	2.645
20150414	卖出	159915.SZ	-1094661.0	2.44
20150409	买入	159915.SZ	1094661.0	2.466
20150408	卖出	159915.SZ	-1143743.0	2.377
20150120	买入	159915.SZ	1143743.0	1.657
20150119	卖出	510300.SH	-561203.0	3.377
20141031	买入	510300.SH	561203.0	2.635
20141023	卖出	159915.SZ	-1028352.0	1.438
20141021	买入	159915.SZ	1028352.0	1.474
20141017	卖出	159915.SZ	-1031150.0	1.47
20140820	买入	159915.SZ	1031150.0	1.392
20140819	卖出	159915.SZ	-1026038.0	1.404
20140818	买入	159915.SZ	1026038.0	1.396
20140717	买入	510300.SH	574548.0	2.273
20140711	卖出	510300.SH	-578878.0	2.256
20140710	卖出	159915.SZ	-977834.0	1.332
20140528	买入	159915.SZ	977834.0	1.314
20140428	卖出	510300.SH	-580865.0	2.212
20140408	买入	510300.SH	580865.0	2.314
20140227	卖出	159915.SZ	-970485.0	1.385
20131230	买入	159915.SZ	970485.0	1.28
20131216	卖出	510300.SH	-506409.0	2.453
20131202	卖出	159915.SZ	-1049290.0	1.208
20131126	买入	159915.SZ	1049290.0	1.265
20131025	卖出	159915.SZ	-1060185.0	1.252
20130913	买入	159915.SZ	1060185.0	1.235
20130911	卖出	159915.SZ	-1086758.0	1.202
20130904	买入	159915.SZ	1086758.0	1.215
20130829	卖出	159915.SZ	-1079148.0	1.207
20130822	买入	159915.SZ	1079148.0	1.181
20130815	卖出	159915.SZ	-1117489.0	1.151
20130813	买入	159915.SZ	1117489.0	1.163
20130812	卖出	159915.SZ	-1128159.0	1.152
20130709	买入	159915.SZ	1128159.0	1.048
20130708	卖出	159915.SZ	-1151228.0	1.027
20130703	买入	159915.SZ	1151228.0	1.1
20130620	卖出	159915.SZ	-1237879.0	1.023
20130418	买入	159915.SZ	1237879.0	0.871
20130329	卖出	159915.SZ	-1253713.0	0.86
20130208	买入	159915.SZ	1253713.0	0.822
20130204	卖出	159915.SZ	-1325195.0	0.771
20130107	买入	159915.SZ	1325195.0	0.721
20130104	卖出	159915.SZ	-1347424.0	0.708
20121226	买入	159915.SZ	1347424.0	0.711
20121211	买入	510300.SH	385365.0	2.294
20121106	卖出	510300.SH	-380391.0	2.324
20121105	卖出	159915.SZ	-1275075.0	0.696
20121031	买入	159915.SZ	1275075.0	0.695
20121022	买入	510300.SH	387654.0	2.378
20121012	卖出	510300.SH	-394286.0	2.338
20120928	买入	510300.SH	394286.0	2.338
20120917	卖出	159915.SZ	-1268007.0	0.727
20120907	买入	159915.SZ	1268007.0	0.766
20120831	卖出	159915.SZ	-1362263.0	0.713
20120807	买入	159915.SZ	1362263.0	0.741
20120710	卖出	159915.SZ	-1401996.0	0.72
20120703	买入	159915.SZ	1401996.0	0.749
20120628	卖出	159915.SZ	-1466613.0	0.716
20120611	买入	159915.SZ	1466613.0	0.744
20120604	卖出	159915.SZ	-1509212.0	0.723
20120523	买入	159915.SZ	1509212.0	0.716
20120516	卖出	159915.SZ	-1513439.0	0.714
20120503	买入	159915.SZ	1513439.0	0.703
20120321	卖出	159915.SZ	-1418597.0	0.75
20120217	买入	159915.SZ	1418597.0	0.719
20120214	卖出	159915.SZ	-1426533.0	0.715
20120209	买入	159915.SZ	1426533.0	0.701