A-shareA股策略Difficulty: IntermediatePaid forecast
微盘风控 + ETF轮动
- Author
- MoreMoneyQuant Research
- Updated
- Sep 3, 2026
- Version
- 5
Annualized return
59.3%
Maximum drawdown
-19.8%
Sharpe ratio
1.98
Calmar ratio
2.99
Paid accessUpdated after completed market data is available
Next trading-day portfolio forecast
The model uses the latest complete market data to estimate the assets and weights the strategy should hold next.
Comparable results
Historical results
Prior close signal · next-open fillA-share backtests calculate the target from the prior adjusted close and fill at the next trading day's open, after 1bp adverse slippage and 3bp commission per traded side. Historical simulations are not actual performance and do not predict future results.
Loading the interactive historical series…