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虚拟 1,000,000 元 · 起点 2026-10-23 收盘 · 更新于 2026-10-23 · 只记账不下单
| 回测 | 年化 | 夏普 | 最大回撤 | IS(<2022)夏普 | OOS夏普 |
|---|---|---|---|---|---|
| ETF 动量 + 52w 形成期跳过近月 SKIP=21 | 11.2% | 0.81 | -24.5% | 0.9 | 0.64 |
| 站点基线 52周高 top3 | 12.5% | 0.87 | -31.6% | 1.24 | 0.23 |
| 期间 | 当期收益 | 持仓 | 换手/门控 | 变动 / 挡住 |
|---|---|---|---|---|
| 2026-10 10-08→10-23 账本 | -1.58% | 红利 510880.SH -3.1% 国债 511010.SH +0.32% 豆粕 159985.SZ -1.81% | 0.667 | ＋红利、豆粕 / －A股红利低波(标普)、银行 |
| 2026-09 09-01→10-08 | +1.09% | A股红利低波(标普) 515450.SH +1.28% 国债 511010.SH +0.1% 银行 512700.SH +2.05% | 0.667 | ＋A股红利低波(标普)、银行 / －美股生物科技、中证1000 |
| 2026-08 08-03→09-01 | +6.38% | 美股生物科技 161127.SZ +10.08% 国债 511010.SH +0.16% 中证1000 512100.SH +8.89% | 0.667 | ＋美股生物科技、中证1000 / －电力、纳指 |
| 2026-07 07-01→08-03 | +0.05% | 电力 159611.SZ +3.63% 国债 511010.SH +0.23% 纳指 513100.SH -3.71% | 0.667 | ＋电力、纳指 / －通信、中概互联(港美) |
| 2026-06 06-01→07-01 | +3.83% | 通信 512220.SH +25.63% 国债 511010.SH -0.03% 中概互联(港美) 160644.SZ -11.82% | 0.667 | ＋通信、中概互联(港美) / －红利、化工 |
| 2026-05 05-06→06-01 | -2.57% | 红利 510880.SH -1.02% 国债 511010.SH +0.49% 化工 159981.SZ -7.12% | 0.333 | ＋化工 / －原油 |
| 2026-04 04-01→05-06 | +1.89% | 红利 510880.SH +3.09% 国债 511010.SH +0.3% 原油 159697.SZ +2.29% | 0.333 | ＋红利 / －半导体 |
| 2026-03 03-02→04-01 | -7.22% | 半导体 512480.SH -11.9% 国债 511010.SH +0.09% 原油 159697.SZ -10.51% | 0.333 | ＋半导体 / －标普500 |
| 2026-02 02-02→03-02 | +7.54% | 标普500 513500.SH -0.25% 国债 511010.SH +0.28% 原油 159697.SZ +23.69% | 0.333 | ＋原油 / －A股红利低波(标普) |
| 2026-01 01-05→02-02 | -1.33% | 标普500 513500.SH -4.21% 国债 511010.SH +0.33% A股红利低波(标普) 515450.SH +0.07% | 0.667 | ＋标普500、A股红利低波(标普) / －沪深300、中韩半导体 |
| 2025-12 12-01→01-05 | +5.36% | 沪深300 510300.SH +3.35% 国债 511010.SH +0.03% 中韩半导体 513310.SH +12.79% | 0.333 | ＋中韩半导体 / －半导体 |
| 2025-11 11-03→12-01 | -1.35% | 沪深300 510300.SH -1.6% 国债 511010.SH -0.04% 半导体 512480.SH -2.48% | 0.333 | ＋半导体 / －创新药 |
| 2025-10 10-09→11-03 | -1.97% | 沪深300 510300.SH -1.1% 国债 511010.SH +0.36% 创新药 159992.SZ -5.08% | 0.667 | ＋沪深300、创新药 / －全球芯片(美股为主)、纳指 |
| 2025-09 09-01→10-09 | +10.32% | 全球芯片(美股为主) 501225.SH +21.01% 国债 511010.SH +0.22% 纳指 513100.SH +10.64% | 0.667 | ＋全球芯片(美股为主)、纳指 / －红利低波、银行 |
| 2025-08 08-01→09-01 | -0.78% | 红利低波 512890.SH +0.85% 国债 511010.SH -0.04% 银行 512700.SH -3.14% | 0 | |
| 2025-07 07-01→08-01 | -1.09% | 红利低波 512890.SH -1.34% 国债 511010.SH -0.22% 银行 512700.SH -1.77% | 0 | |
| 2025-06 06-03→07-01 | +2.78% | 红利低波 512890.SH +2.4% 国债 511010.SH +0.4% 银行 512700.SH +5.67% | 0.333 | ＋红利低波 / －黄金 |
| 2025-05 05-06→06-03 | +2.02% | 黄金 518880.SH -1.76% 国债 511010.SH -0.1% 银行 512700.SH +8.22% | 0.667 | ＋黄金、银行 / －港股低波红利、工程机械 |
| 2025-04 04-01→05-06 | -0.09% | 港股低波红利 513630.SH +0.15% 国债 511010.SH +0.73% 工程机械 560280.SH -1.42% | 0.667 | ＋港股低波红利、工程机械 / －纳指、中韩半导体 |
| 2025-03 03-03→04-01 | -3.48% | 纳指 513100.SH -6.87% 国债 511010.SH -0.3% 中韩半导体 513310.SH -3.31% | 0.333 | ＋中韩半导体 / －银行 |
| 2025-02 02-05→03-03 | -1.53% | 纳指 513100.SH -4.34% 国债 511010.SH -0.61% 银行 512700.SH +0.54% | 0.667 | ＋纳指、银行 / －传媒、中证2000 |
| 2025-01 01-02→02-05 | +2.67% | 传媒 512980.SH +6.48% 国债 511010.SH +0.03% 中证2000 563300.SH +1.5% | 0.667 | ＋传媒、中证2000 / －港股证券、黄金 |
| 2024-12 12-02→01-02 | -1.55% | 港股证券 513090.SH -7.41% 国债 511010.SH +1.12% 黄金 518880.SH +1.79% | 0.333 | ＋港股证券 / －银行 |
| 2024-11 11-01→12-02 | -0.67% | 银行 512700.SH -0.07% 国债 511010.SH +0.87% 黄金 518880.SH -2.96% | 0 | |
| 2024-10 10-08→11-01 | +0.7% | 银行 512700.SH -4.51% 国债 511010.SH +0.61% 黄金 518880.SH +5.9% | 0 | |
| 2024-09 09-02→10-08 | +6.49% | 银行 512700.SH +16.09% 国债 511010.SH -0.23% 黄金 518880.SH +4.06% | 0.333 | ＋黄金 / －电力 |
| 2024-08 08-01→09-02 | -2.01% | 银行 512700.SH -1.78% 国债 511010.SH +0.16% 电力 159611.SZ -4.47% | 0 | |
| 2024-07 07-01→08-01 | -0.38% | 银行 512700.SH +1.27% 国债 511010.SH +0.89% 电力 159611.SZ -3.29% | 0.333 | ＋电力 / －中概互联(港美) |
| 2024-06 06-03→07-01 | +1.89% | 银行 512700.SH +1.83% 国债 511010.SH +0.38% 中概互联(港美) 160644.SZ +2.89% | 0.667 | ＋银行、中概互联(港美) / －标普500、黄金 |
| 2024-05 05-06→06-03 | +1.89% | 标普500 513500.SH +4.32% 国债 511010.SH +0.47% 黄金 518880.SH +0.8% | 0 | |
| 2024-04 04-01→05-06 | -0.8% | 标普500 513500.SH -4.87% 国债 511010.SH +0.48% 黄金 518880.SH +1.92% | 0 | |
| 2024-03 03-01→04-01 | +4.75% | 标普500 513500.SH +3.82% 国债 511010.SH +0.25% 黄金 518880.SH +10.46% | 0.333 | ＋标普500 / －中韩半导体 |
| 2024-02 02-01→03-01 | +4.88% | 中韩半导体 513310.SH +14.8% 国债 511010.SH +0.34% 黄金 518880.SH -0.02% | 0 | |
| 2024-01 01-02→02-01 | -4.72% | 中韩半导体 513310.SH -14.17% 国债 511010.SH +0.62% 黄金 518880.SH +0.04% | 0.333 | ＋中韩半导体 / －A股红利低波(标普) |
| 2023-12 12-01→01-02 | +0.5% | A股红利低波(标普) 515450.SH -0.9% 国债 511010.SH +0.8% 黄金 518880.SH +1.68% | 0.333 | ＋A股红利低波(标普) / －化工 |
| 2023-11 11-01→12-01 | +0.47% | 化工 159981.SZ +1.57% 国债 511010.SH +0.08% 黄金 518880.SH -0.3% | 0 | |
| 2023-10 10-09→11-01 | +0.68% | 化工 159981.SZ -2.27% 国债 511010.SH +0.08% 黄金 518880.SH +4.49% | 0.667 | ＋化工、黄金 / －证券、纳指 |
| 2023-09 09-01→10-09 | -2.48% | 证券 512880.SH -3.51% 国债 511010.SH -0.16% 纳指 513100.SH -3.78% | 0.333 | ＋证券 / －机器人 |
| 2023-08 08-01→09-01 | -1.46% | 机器人 562360.SH -3.61% 国债 511010.SH +0.29% 纳指 513100.SH -1.21% | 0.333 | ＋机器人 / －电力 |
| 2023-07 07-03→08-01 | +0.66% | 电力 159611.SZ -1.16% 国债 511010.SH +0.18% 纳指 513100.SH +3.13% | 0.667 | ＋电力、纳指 / －A股红利低波(标普)、日经 |
| 2023-06 06-01→07-03 | +3.39% | A股红利低波(标普) 515450.SH +3% 国债 511010.SH +0.2% 日经 513520.SH +6.82% | 0 | |
| 2023-05 05-04→06-01 | +1.39% | A股红利低波(标普) 515450.SH -3.34% 国债 511010.SH +0.83% 日经 513520.SH +6.09% | 0.333 | ＋日经 / －游戏 |
| 2023-04 04-03→05-04 | +11.01% | A股红利低波(标普) 515450.SH +7.57% 国债 511010.SH +0.6% 游戏 159869.SZ +24.77% | 0.667 | ＋A股红利低波(标普)、游戏 / －白酒、豆粕 |
| 2023-03 03-01→04-03 | -1.9% | 白酒 161725.SZ -2.62% 国债 511010.SH +0.39% 豆粕 159985.SZ -3.5% | 0.333 | ＋白酒 / －红利 |
| 2023-02 02-01→03-01 | -0.02% | 红利 510880.SH +3.63% 国债 511010.SH +0.06% 豆粕 159985.SZ -3.67% | 0 | |
| 2023-01 01-03→02-01 | +0.37% | 红利 510880.SH +2.69% 国债 511010.SH -0.14% 豆粕 159985.SZ -1.39% | 0.333 | ＋红利 / －美股油气上游 |
| 2022-12 12-01→01-03 | -1.37% | 美股油气上游 162411.SZ -12% 国债 511010.SH +0.38% 豆粕 159985.SZ +8.28% | 0.333 | ＋美股油气上游 / －红利低波 |
| 2022-11 11-01→12-01 | +3.53% | 红利低波 512890.SH +10% 国债 511010.SH -0.74% 豆粕 159985.SZ +1.47% | 0 | |
| 2022-10 10-10→11-01 | -1.36% | 红利低波 512890.SH -7.36% 国债 511010.SH +0.42% 豆粕 159985.SZ +3.09% | 0.333 | ＋豆粕 / －黄金 |
| 2022-09 09-01→10-10 | +0.09% | 红利低波 512890.SH -1.41% 国债 511010.SH -0.41% 黄金 518880.SH +2.14% | 0.333 | ＋黄金 / －农业 |
| 2022-08 08-01→09-01 | +1.64% | 红利低波 512890.SH +4.53% 国债 511010.SH +0.64% 农业 159825.SZ -0.1% | 0.667 | ＋红利低波、农业 / －美股油气上游、豆粕 |
| 2022-07 07-01→08-01 | +5.91% | 美股油气上游 162411.SZ +13.53% 国债 511010.SH +0.62% 豆粕 159985.SZ +3.41% | 0.333 | ＋豆粕 / －黄金 |
| 2022-06 06-01→07-01 | -8.07% | 美股油气上游 162411.SZ -21.6% 国债 511010.SH +0.09% 黄金 518880.SH -1.77% | 0 | |
| 2022-05 05-05→06-01 | +3.03% | 美股油气上游 162411.SZ +10.59% 国债 511010.SH +0.33% 黄金 518880.SH -1.96% | 0 | |
| 2022-04 04-01→05-05 | +4.35% | 美股油气上游 162411.SZ +10.95% 国债 511010.SH +0.19% 黄金 518880.SH +1.97% | 0.667 | ＋美股油气上游、黄金 / －A股红利低波(标普)、人工智能 |
| 2022-03 03-01→04-01 | -4.6% | A股红利低波(标普) 515450.SH +0.32% 国债 511010.SH +0.27% 人工智能 512930.SH -13.9% | 0.667 | ＋A股红利低波(标普)、人工智能 / －标普500、中证1000 |
| 2022-02 02-07→03-01 | +0.48% | 标普500 513500.SH -3.27% 国债 511010.SH -0.44% 中证1000 512100.SH +5.26% | 0.333 | ＋标普500 / －新能源 |
| 2022-01 01-04→02-07 | -6.31% | 新能源 515700.SH -7.73% 国债 511010.SH +0.74% 中证1000 512100.SH -11.63% | 0.667 | ＋新能源、中证1000 / －标普500、环保 |
| 2021-12 12-01→01-04 | -0.82% | 标普500 513500.SH +4.28% 国债 511010.SH +0.76% 环保 512580.SH -7.16% | 0.667 | ＋标普500、环保 / －A股红利低波(标普)、化工 |
| 2021-11 11-01→12-01 | -3.7% | A股红利低波(标普) 515450.SH -1% 国债 511010.SH +0.56% 化工 159981.SZ -10.34% | 0.667 | ＋A股红利低波(标普)、化工 / －新能源、中证1000 |
| 2021-10 10-08→11-01 | +3.63% | 新能源 515700.SH +11.06% 国债 511010.SH -0.3% 中证1000 512100.SH +0.28% | 0 | |
| 2021-09 09-01→10-08 | -1.55% | 新能源 515700.SH -2.77% 国债 511010.SH +0.04% 中证1000 512100.SH -2.09% | 0.667 | ＋国债、中证1000 / －红利低波、中证500 |
| 2021-08 08-02→09-01 | +5.03% | 新能源 515700.SH -1.92% 红利低波 512890.SH +12.07% 中证500 510500.SH +4.79% | 0 | |
| 2021-07 07-01→08-02 | +4.14% | 新能源 515700.SH +16.97% 红利低波 512890.SH -6.35% 中证500 510500.SH +2.54% | 0.667 | ＋新能源、中证500 / －标普500、化工 |
| 2021-06 06-01→07-01 | +0.78% | 标普500 513500.SH +3.51% 红利低波 512890.SH -1.56% 化工 159981.SZ +0.4% | 0.333 | ＋红利低波 / －A股红利低波(标普) |
| 2021-05 05-06→06-01 | -0.22% | 标普500 513500.SH -1.25% A股红利低波(标普) 515450.SH +1.35% 化工 159981.SZ -0.87% | 0.667 | ＋标普500、化工 / －钢铁、国债 |
| 2021-04 04-01→05-06 | +3.28% | 钢铁 515210.SH +12.25% A股红利低波(标普) 515450.SH -2.48% 国债 511010.SH +0.6% | 1 | ＋钢铁、A股红利低波(标普)、国债 / －医疗、电子、深证100 |
| 2021-03 03-01→04-01 | -6.29% | 医疗 512170.SH -3.83% 电子 159909.SZ -7.28% 深证100 159901.SZ -7.14% | 0.333 | ＋电子 / －日经 |
| 2021-02 02-01→03-01 | -1.04% | 医疗 512170.SH -4.01% 日经 513520.SH +4.09% 深证100 159901.SZ -2.2% | 0.333 | ＋医疗 / －美股生物科技 |
| 2021-01 01-04→02-01 | +3.33% | 美股生物科技 161127.SZ +5.44% 日经 513520.SH +0.63% 深证100 159901.SZ +3.69% | 0.333 | ＋美股生物科技 / －医疗 |
| 2020-12 12-01→01-04 | +7.57% | 医疗 512170.SH +12.79% 日经 513520.SH +0.8% 深证100 159901.SZ +9.4% | 0.667 | ＋医疗、深证100 / －环保、红利 |
| 2020-11 11-02→12-01 | +8.17% | 环保 512580.SH +1.7% 日经 513520.SH +14.55% 红利 510880.SH +8.78% | 1 | ＋环保、日经、红利 / －沪深300、医药、消费 |
| 2020-10 10-09→11-02 | +0.28% | 沪深300 510300.SH +0.97% 医药 510660.SH -0.86% 消费 510150.SH +0.78% | 0.333 | ＋沪深300 / －黄金 |
| 2020-09 09-01→10-09 | -4.59% | 黄金 518880.SH -4.75% 医药 510660.SH -4.9% 消费 510150.SH -4.24% | 0.333 | ＋消费 / －沪深300 |
| 2020-08 08-03→09-01 | +0.77% | 黄金 518880.SH -0.74% 医药 510660.SH +1.21% 沪深300 510300.SH +1.72% | 0.333 | ＋沪深300 / －国债 |
| 2020-07 07-01→08-03 | +8.02% | 黄金 518880.SH +6.63% 医药 510660.SH +18.02% 国债 511010.SH -0.41% | 0 | |
| 2020-06 06-01→07-01 | +4.02% | 黄金 518880.SH +1.13% 医药 510660.SH +12.55% 国债 511010.SH -1.26% | 0 | |
| 2020-05 05-06→06-01 | +2.05% | 黄金 518880.SH +4.12% 医药 510660.SH +4.14% 国债 511010.SH -1.95% | 0.667 | ＋黄金、医药 / －深证100、消费 |
| 2020-04 04-01→05-06 | +6.42% | 深证100 159901.SZ +9.14% 消费 510150.SH +8.15% 国债 511010.SH +2.23% | 0.667 | ＋深证100、消费 / －创业板、标普500 |
| 2020-03 03-02→04-01 | -9.5% | 创业板 159908.SZ -12.79% 标普500 513500.SH -16.63% 国债 511010.SH +1.38% | 0.333 | ＋创业板 / －美股生物科技 |
| 2020-02 02-03→03-02 | -0.7% | 美股生物科技 161127.SZ +0.52% 标普500 513500.SH -2.17% 国债 511010.SH -0.69% | 0 | |
| 2020-01 01-02→02-03 | -1.16% | 美股生物科技 161127.SZ -5.38% 标普500 513500.SH -0.66% 国债 511010.SH +2.7% | 0.333 | ＋美股生物科技 / －深证100 |
| 2019-12 12-02→01-02 | +3.75% | 深证100 159901.SZ +10.1% 标普500 513500.SH +1.04% 国债 511010.SH +0.37% | 0.333 | ＋深证100 / －黄金 |
| 2019-11 11-01→12-02 | +0.84% | 黄金 518880.SH -3.48% 标普500 513500.SH +5.35% 国债 511010.SH +0.77% | 0 | |
| 2019-10 10-08→11-01 | +0.69% | 黄金 518880.SH -0.09% 标普500 513500.SH +2.51% 国债 511010.SH -0.28% | 0.333 | ＋黄金 / －上证50 |
| 2019-09 09-02→10-08 | +0.53% | 上证50 510050.SH +0.95% 标普500 513500.SH +0.41% 国债 511010.SH +0.17% | 0 | |
| 2019-08 08-01→09-02 | +0.47% | 上证50 510050.SH +0.17% 标普500 513500.SH +0.88% 国债 511010.SH +0.33% | 0.333 | ＋上证50 / －黄金 |
| 2019-07 07-01→08-01 | +1.24% | 黄金 518880.SH +2.57% 标普500 513500.SH +0.78% 国债 511010.SH +0.49% | 0.667 | ＋黄金、标普500 / －纳指、上证50 |
| 2019-06 06-03→07-01 | +6.48% | 纳指 513100.SH +9.3% 上证50 510050.SH +10.22% 国债 511010.SH +0.16% | 0.333 | ＋纳指 / －红利 |
| 2019-05 05-06→06-03 | -0.83% | 红利 510880.SH -1.46% 上证50 510050.SH -1.69% 国债 511010.SH +0.77% | 0.667 | ＋红利、上证50 / －黄金、银行 |
| 2019-04 04-01→05-06 | -0.35% | 黄金 518880.SH +0.18% 银行 512700.SH -0.73% 国债 511010.SH -0.55% | 0.333 | ＋银行 / －标普500 |
| 2019-03 03-01→04-01 | +0.32% | 黄金 518880.SH -1.34% 标普500 513500.SH +1.95% 国债 511010.SH +0.27% | 0 | |
| 2019-02 02-01→03-01 | +0.6% | 黄金 518880.SH -0.91% 标普500 513500.SH +3.08% 国债 511010.SH -0.35% | 0 | |
| 2019-01 01-02→02-01 | +2.82% | 黄金 518880.SH +0.53% 标普500 513500.SH +7.5% 国债 511010.SH +0.48% | 0 | |
| 2018-12 12-03→01-02 | -2.62% | 黄金 518880.SH +4.3% 标普500 513500.SH -12.61% 国债 511010.SH +1.24% | 0.667 | ＋黄金、标普500 / －美股油气上游、纳指 |
| 2018-11 11-01→12-03 | -0.4% | 美股油气上游 162411.SZ -3.57% 纳指 513100.SH +1.75% 国债 511010.SH +0.39% | 0 | |
| 2018-10 10-08→11-01 | -7.2% | 美股油气上游 162411.SZ -15.48% 纳指 513100.SH -6.09% 国债 511010.SH +0.34% | 0 | |
| 2018-09 09-03→10-08 | +0.66% | 美股油气上游 162411.SZ +3.69% 纳指 513100.SH -2.37% 国债 511010.SH +0.61% | 0 | |
| 2018-08 08-01→09-03 | +1% | 美股油气上游 162411.SZ -1.4% 纳指 513100.SH +4.78% 国债 511010.SH -0.35% | 0.333 | ＋美股油气上游 / －消费 |
| 2018-07 07-02→08-01 | +1.41% | 消费 510150.SH -3.64% 纳指 513100.SH +7.39% 国债 511010.SH +0.77% | 0.667 | ＋消费、纳指 / －医药、美股油气上游 |
| 2018-06 06-01→07-02 | -0.45% | 医药 510660.SH -5.69% 美股油气上游 162411.SZ +3.77% 国债 511010.SH +0.58% | 0.333 | ＋美股油气上游 / －消费 |
| 2018-05 05-02→06-01 | +4.79% | 医药 510660.SH +7.03% 消费 510150.SH +7.34% 国债 511010.SH -0.08% | 0.333 | ＋医药 / －纳指 |
| 2018-04 04-02→05-02 | -0.06% | 纳指 513100.SH +2.48% 消费 510150.SH -3.49% 国债 511010.SH +0.97% | 0.667 | ＋纳指、消费 / －恒生、红利 |
| 2018-03 03-01→04-02 | -2.72% | 恒生 159920.SZ -3.73% 红利 510880.SH -4.75% 国债 511010.SH +0.27% | 0 | |
| 2018-02 02-01→03-01 | -3.31% | 恒生 159920.SZ -5.61% 红利 510880.SH -5.34% 国债 511010.SH +0.94% | 0 | |
| 2018-01 01-02→02-01 | +3.53% | 恒生 159920.SZ +4.55% 红利 510880.SH +5.85% 国债 511010.SH +0.32% | 0.333 | ＋国债 / －沪深300 |
| 2017-12 12-01→01-02 | +2.03% | 恒生 159920.SZ +2.23% 红利 510880.SH +1.84% 沪深300 510300.SH +1.95% | 0 | |
| 2017-11 11-01→12-01 | +1.1% | 恒生 159920.SZ +2.55% 红利 510880.SH +0.49% 沪深300 510300.SH +0.22% | 0 | |
| 2017-10 10-09→11-01 | +1.3% | 恒生 159920.SZ +0.66% 红利 510880.SH +0.56% 沪深300 510300.SH +2.66% | 0 | |
| 2017-09 09-01→10-09 | +1.67% | 恒生 159920.SZ +2.22% 红利 510880.SH +1.46% 沪深300 510300.SH +1.39% | 0.333 | ＋沪深300 / －消费 |
| 2017-08 08-01→09-01 | +0.42% | 恒生 159920.SZ -0.34% 红利 510880.SH -0.4% 消费 510150.SH +1.97% | 0 | |
| 2017-07 07-03→08-01 | +2.17% | 恒生 159920.SZ +6.35% 红利 510880.SH +3.88% 消费 510150.SH -3.03% | 0 | |
| 2017-06 06-01→07-03 | +4.13% | 恒生 159920.SZ +0.5% 红利 510880.SH +3.78% 消费 510150.SH +8.01% | 0.333 | ＋恒生 / －国债 |
| 2017-05 05-02→06-01 | +2.24% | 国债 511010.SH -0.49% 红利 510880.SH +3.77% 消费 510150.SH +2.56% | 0.333 | ＋红利 / －纳指 |
| 2017-04 04-05→05-02 | -0.33% | 国债 511010.SH -0.69% 纳指 513100.SH +2.61% 消费 510150.SH -2.97% | 0 | |
| 2017-03 03-01→04-05 | +2.12% | 国债 511010.SH -0.31% 纳指 513100.SH +2.21% 消费 510150.SH +4.36% | 0.333 | ＋消费 / －美股油气上游 |
| 2017-02 02-03→03-01 | -0.61% | 国债 511010.SH +0.3% 纳指 513100.SH +4.23% 美股油气上游 162411.SZ -6.07% | 0.333 | ＋纳指 / －标普500 |
| 2017-01 01-03→02-03 | -1.64% | 国债 511010.SH +0.1% 标普500 513500.SH -0.34% 美股油气上游 162411.SZ -4.55% | 0.333 | ＋美股油气上游 / －黄金 |
| 2016-12 12-01→01-03 | -4.94% | 国债 511010.SH -0.86% 标普500 513500.SH -13.78% 黄金 518880.SH -0.53% | 0 | |
| 2016-11 11-01→12-01 | +1.18% | 国债 511010.SH -1.61% 标普500 513500.SH +11.24% 黄金 518880.SH -5.68% | 0 | |
| 2016-10 10-10→11-01 | +1.97% | 国债 511010.SH +0.29% 标普500 513500.SH +3.35% 黄金 518880.SH +2.27% | 0 | |
| 2016-09 09-01→10-10 | +0.73% | 国债 511010.SH +0.46% 标普500 513500.SH +4.5% 黄金 518880.SH -2.77% | 0 | |
| 2016-08 08-01→09-01 | -0.88% | 国债 511010.SH +0.01% 标普500 513500.SH -0.57% 黄金 518880.SH -2.16% | 0 | |
| 2016-07 07-01→08-01 | +3.4% | 国债 511010.SH +0.71% 标普500 513500.SH +8.89% 黄金 518880.SH +0.66% | 0 | |
| 2016-06 06-01→07-01 | +4.25% | 国债 511010.SH +0.85% 标普500 513500.SH +1.17% 黄金 518880.SH +10.82% | 0 | |
| 2016-05 05-03→06-01 | -0.58% | 国债 511010.SH +0.14% 标普500 513500.SH +2.73% 黄金 518880.SH -4.55% | 0 | |
| 2016-04 04-01→05-03 | +2.31% | 国债 511010.SH -0.89% 标普500 513500.SH +2.47% 黄金 518880.SH +5.38% | 0 | |
| 2016-03 03-01→04-01 | +0.43% | 国债 511010.SH +1.1% 标普500 513500.SH +2.62% 黄金 518880.SH -2.36% | 0.333 | ＋标普500 / －纳指 |
| 2016-02 02-01→03-01 | +2.96% | 国债 511010.SH +0.66% 纳指 513100.SH -1.75% 黄金 518880.SH +10.2% | 0 | |
| 2016-01 01-04→02-01 | -0.25% | 国债 511010.SH +0.27% 纳指 513100.SH -6.78% 黄金 518880.SH +5.86% | 0 | |
| 2015-12 12-01→01-04 | +1.13% | 国债 511010.SH +0.99% 纳指 513100.SH +0.7% 黄金 518880.SH +1.58% | 0 | |
| 2015-11 11-02→12-01 | -1.25% | 国债 511010.SH -0.37% 纳指 513100.SH +1.93% 黄金 518880.SH -5.3% | 0 | |
| 2015-10 10-08→11-02 | +2.48% | 国债 511010.SH +0.24% 纳指 513100.SH +7.55% 黄金 518880.SH -0.26% | 0 | |
| 2015-09 09-01→10-08 | +0.17% | 国债 511010.SH -0.5% 纳指 513100.SH +1.19% 黄金 518880.SH -0.34% | 0 | |
| 2015-08 08-03→09-01 | +0.52% | 国债 511010.SH +0.68% 纳指 513100.SH -6.68% 黄金 518880.SH +7.54% | 0.333 | ＋黄金 / －医药 |
| 2015-07 07-01→08-03 | +0.91% | 国债 511010.SH +2.19% 纳指 513100.SH +6.11% 医药 510660.SH -7.89% | 0.667 | ＋纳指、医药 / －中证500、消费 |
| 2015-06 06-01→07-01 | -10.21% | 国债 511010.SH +0.26% 中证500 510500.SH -22.42% 消费 510150.SH -8.63% | 0 | |
| 2015-05 05-04→06-01 | +11.59% | 国债 511010.SH -1.04% 中证500 510500.SH +25.9% 消费 510150.SH +10.72% | 0.333 | ＋消费 / －纳指 |
| 2015-04 04-01→05-04 | +7.04% | 国债 511010.SH +1.42% 中证500 510500.SH +308.64% 纳指 513100.SH +2.97% | 0.333 | ＋纳指 / －国际金价(QDII) |
| 2015-03 03-02→04-01 | +5.14% | 国债 511010.SH -0.93% 中证500 510500.SH +21.24% 国际金价(QDII) 161116.SZ -3.29% | 0.667 | ＋中证500、国际金价(QDII) / －上证50、纳指 |
| 2015-02 02-02→03-02 | +4.65% | 国债 511010.SH +0.9% 上证50 510050.SH +6.18% 纳指 513100.SH +7% | 0.667 | ＋上证50、纳指 / －中证500、红利 |
| 2015-01 01-05→02-02 | -2.2% | 国债 511010.SH +2.09% 中证500 510500.SH +4.1% 红利 510880.SH -12.38% | 0 | |
| 2014-12 12-01→01-05 | +9.01% | 国债 511010.SH -0.89% 中证500 510500.SH +3.49% 红利 510880.SH +25.5% | 0 | |
| 2014-11 11-03→12-01 | +5.25% | 国债 511010.SH +1.16% 中证500 510500.SH +3.47% 红利 510880.SH +11.35% | 0.333 | ＋红利 / －恒生 |
| 2014-10 10-08→11-03 | +0.97% | 国债 511010.SH +1.92% 中证500 510500.SH +0.57% 恒生 159920.SZ +0.27% | 0 | |
| 2014-09 09-01→10-08 | +2.67% | 国债 511010.SH +1.03% 中证500 510500.SH +10.98% 恒生 159920.SZ -3.59% | 0 | |
| 2014-08 08-01→09-01 | +2.55% | 国债 511010.SH +0.26% 中证500 510500.SH +6.84% 恒生 159920.SZ +0.62% | 0 | |
| 2014-07 07-01→08-01 | +4.29% | 国债 511010.SH +0.01% 中证500 510500.SH +6.85% 恒生 159920.SZ +6.07% | 0 | |
| 2014-06 06-03→07-01 | +1.25% | 国债 511010.SH -0.2% 中证500 510500.SH +3.84% 恒生 159920.SZ +0.09% | 0 | |
| 2014-05 05-05→06-03 | +2.75% | 国债 511010.SH +1.25% 中证500 510500.SH +0.75% 恒生 159920.SZ +6.36% | 0.333 | ＋中证500 / －电子 |
| 2014-04 04-01→05-05 | -0.66% | 国债 511010.SH +1.28% 电子 159909.SZ -1.76% 恒生 159920.SZ -1.08% | 0 | |
| 2014-03 03-03→04-01 | -3.73% | 国债 511010.SH -0.36% 电子 159909.SZ -10.48% 恒生 159920.SZ -0.1% | 0.333 | ＋国债 / －消费 |
| 2014-02 02-07→03-03 | +1.3% | 消费 510150.SH -0.07% 电子 159909.SZ -1.73% 恒生 159920.SZ +5.6% | 0 | |
| 2014-01 01-02→02-07 | -0.4% | 消费 510150.SH -1.11% 电子 159909.SZ +6.72% 恒生 159920.SZ -6.68% | 0 | |
| 2013-12 12-02→01-02 | -1.34% | 消费 510150.SH -1.46% 电子 159909.SZ -0.79% 恒生 159920.SZ -3.91% | 0 | |
| 2013-11 11-01→12-02 | +3.19% | 消费 510150.SH +1.86% 电子 159909.SZ +5.14% 恒生 159920.SZ +2.58% | 0.333 | ＋恒生 / －美股油气上游 |
| 2013-10 10-08→11-01 | -4.8% | 消费 510150.SH -5.85% 电子 159909.SZ -9.75% 美股油气上游 162411.SZ +6.29% | 0.333 | ＋美股油气上游 / －深证100 |
| 2013-09 09-02→10-08 | +6.92% | 消费 510150.SH +9.46% 电子 159909.SZ +7.32% 深证100 159901.SZ +4.04% | 0.333 | ＋深证100 / －美股油气上游 |
| 2013-08 08-01→09-02 | +0.38% | 消费 510150.SH +2.27% 电子 159909.SZ +2.16% 美股油气上游 162411.SZ +0.1% | 0.333 | ＋美股油气上游 / －沪深300 |
| 2013-07 07-01→08-01 | +5.68% | 消费 510150.SH +2.65% 电子 159909.SZ +11.71% 沪深300 510300.SH +2.73% | 0 | |
| 2013-06 06-03→07-01 | -8.87% | 消费 510150.SH -6.58% 电子 159909.SZ -5.69% 沪深300 510300.SH -14.29% | 0 | |
| 2013-05 05-02→06-03 | +9% | 消费 510150.SH +8.61% 电子 159909.SZ +11.71% 沪深300 510300.SH +6.66% | 0.333 | ＋沪深300 / －上证50 |
| 2013-04 04-01→05-02 | +0.51% | 消费 510150.SH -1.92% 电子 159909.SZ +4.51% 上证50 510050.SH -1.01% | 0.333 | ＋电子 / －红利 |
| 2013-03 03-01→04-01 | -5.74% | 消费 510150.SH -2.23% 红利 510880.SH -6.63% 上证50 510050.SH -8.28% | 0.333 | ＋消费 / －国际金价(QDII) |
| 2013-02 02-01→03-01 | -4.58% | 国际金价(QDII) 161116.SZ -3.43% 红利 510880.SH -5.34% 上证50 510050.SH -5.08% | 0 | |
| 2013-01 01-04→02-01 | +6.6% | 国际金价(QDII) 161116.SZ -1.89% 红利 510880.SH +12.73% 上证50 510050.SH +9.69% | 1 | ＋国际金价(QDII)、红利、上证50 |
站点 ETF 动量基线 + 52w 形成期跳过近月 SKIP=21：用 px=close.shift(21) 再算 nearness 排名，其余主题 cap / QDII 溢价 / 2pp 钝化 / 月初换仓同基线。与秩稳定 / 反转 / 隔夜门控分账，不叠加。成本=换手×0.1%。起点 20261023 收盘，虚拟 1,000,000 元。只记账不下单。
纸面按月初首个交易日收盘成交；研究影子与基线分账，不叠多层；IS/OOS 数字来自冻结研究，影子期继续盯 OOS；只记账不下单、不改实盘。 影子对照同一基线，满约 12 个月再评估；不改实盘、不连券商。