momentum_rotation 真实数据回测 (M5 管线验证)

生成时间: 2026-08-18 22:46:53

概览

407.1%
总收益
10.5%
年化
0.38
夏普
-53.3%
最大回撤

策略参数

参数值
策略momentum_rotation 多资产动量轮动
候选资产399606 / H00922 / 515080
参数momentum_window=60, rebalance_days=20
区间2010-06-01 ~ 2026-08-17
口径说明399606/H00922 全收益指数; 515080 前复权 ETF 价格 (跨口径, 示例局限)

核心指标

指标策略基准
总收益率407.1%356.8%
年化收益 (CAGR)10.5%9.8%
年化波动率27.1%23.3%
夏普比率0.380.42
最大回撤-53.3%-53.7%
最长回撤持续(交易日)1244—
水下时间占比95.1%—
Sortino0.51—
Calmar0.20—
年换手率375.6%—
交易次数135—
月度胜率56.7%—
盈亏比1.32—
持有1年盈利概率64.9%—
持有3年盈利概率81.5%—
持有5年盈利概率96.5%—

策略事件 (194)

日期事件
2010-08-26rebalance -> H00922 (mom 0.0329), rank: [('H00922', 0.03287650908434103), ('399606', 0.008476927345026253)]
2010-09-28rebalance -> H00922 (mom 0.1348), rank: [('H00922', 0.1347762206148282), ('399606', 0.07929313738955268)]
2010-11-02rebalance -> H00922 (mom 0.1997), rank: [('H00922', 0.19971660360318277), ('399606', 0.11039235713475093)]
2010-11-30rebalance -> 399606 (mom 0.1824), rank: [('399606', 0.18236164427383228), ('H00922', 0.08912194438825538)]
2010-12-28rebalance -> 399606 (mom 0.1777), rank: [('399606', 0.1777349013182714), ('H00922', 0.0757588008458765)]
2011-01-26rebalance -> 399606 (mom -0.0431), rank: [('399606', -0.04313100575016082), ('H00922', -0.1042201176184896)]
2011-03-02rebalance -> H00922 (mom 0.0554), rank: [('H00922', 0.05537794342246238), ('399606', -0.07492362525458263)]
2011-03-30rebalance -> H00922 (mom 0.0781), rank: [('H00922', 0.07808411228405521), ('399606', -0.09566879323804145)]
2011-04-29rebalance -> H00922 (mom 0.0689), rank: [('H00922', 0.0688576533237737), ('399606', -0.09656042915746299)]
2011-05-30rebalance -> H00922 (mom -0.0686), rank: [('H00922', -0.06856774670632315), ('399606', -0.21211637728765842)]
2011-06-28rebalance -> H00922 (mom -0.0468), rank: [('H00922', -0.04678558955484513), ('399606', -0.15818347460983917)]
2011-07-26rebalance -> 399606 (mom -0.0289), rank: [('399606', -0.02889299331410733), ('H00922', -0.06904504581817017)]
2011-08-23rebalance -> 399606 (mom 0.1077), rank: [('399606', 0.10769646296209312), ('H00922', -0.06352720622908214)]
2011-09-21rebalance -> 399606 (mom 0.0540), rank: [('399606', 0.05397319149441393), ('H00922', -0.07629460428269552)]
2011-10-26rebalance -> 399606 (mom -0.1138), rank: [('399606', -0.1137977771753863), ('H00922', -0.11487641580093888)]
2011-11-23rebalance -> H00922 (mom -0.0613), rank: [('H00922', -0.061294871873825985), ('399606', -0.07991511196984569)]
2011-12-21rebalance -> 399606 (mom -0.1073), rank: [('399606', -0.10732944694616076), ('H00922', -0.1212888808474033)]
2012-01-20rebalance -> H00922 (mom -0.0374), rank: [('H00922', -0.0373601530346066), ('399606', -0.20285403076772446)]
2012-02-24rebalance -> H00922 (mom 0.0211), rank: [('H00922', 0.021121703115623447), ('399606', -0.12193644261545489)]
2012-03-23rebalance -> H00922 (mom 0.0813), rank: [('H00922', 0.08133954025477252), ('399606', -0.026135917244991536)]
2012-04-25rebalance -> H00922 (mom 0.0535), rank: [('H00922', 0.05346972780289261), ('399606', 0.05022552724612961)]
2012-05-25rebalance -> H00922 (mom -0.0391), rank: [('H00922', -0.03913328956007889), ('399606', -0.06957713390759601)]
2012-06-25rebalance -> 399606 (mom -0.0135), rank: [('399606', -0.013511876724311866), ('H00922', -0.04103299378136427)]
2012-07-23rebalance -> 399606 (mom 0.0454), rank: [('399606', 0.045415433080053136), ('H00922', -0.10124443377776626)]
2012-08-20rebalance -> 399606 (mom 0.0372), rank: [('399606', 0.03720236019473), ('H00922', -0.1060260950851184)]
2012-09-17rebalance -> 399606 (mom 0.0117), rank: [('399606', 0.011671815997253754), ('H00922', -0.06843726960368357)]
2012-10-22rebalance -> 399606 (mom 0.0253), rank: [('399606', 0.025338472456064798), ('H00922', -0.0005182820390079446)]
2012-11-19rebalance -> H00922 (mom -0.0396), rank: [('H00922', -0.03962244770687984), ('399606', -0.12280494527128127)]
2012-12-17rebalance -> H00922 (mom 0.0781), rank: [('H00922', 0.07813512820899349), ('399606', -0.10226701620461565)]
2013-01-17rebalance -> H00922 (mom 0.1262), rank: [('H00922', 0.12615528149508726), ('399606', 0.08020562710740142)]
2013-02-21rebalance -> 399606 (mom 0.2782), rank: [('399606', 0.2782318424046464), ('H00922', 0.22594635709181987)]
2013-03-21rebalance -> 399606 (mom 0.3665), rank: [('399606', 0.3664896773113846), ('H00922', 0.1353610442187554)]
2013-04-22rebalance -> 399606 (mom 0.1649), rank: [('399606', 0.16487535732564362), ('H00922', -0.013232038479302988)]
2013-05-23rebalance -> 399606 (mom 0.2476), rank: [('399606', 0.24760944970469678), ('H00922', -0.00565397663023004)]
2013-06-25rebalance -> 399606 (mom 0.1228), rank: [('399606', 0.12281737851420171), ('H00922', -0.18681690106223126)]
2013-07-23rebalance -> 399606 (mom 0.3251), rank: [('399606', 0.32505601194921585), ('H00922', -0.07531157961295898)]
2013-08-20rebalance -> 399606 (mom 0.0980), rank: [('399606', 0.09798412843199866), ('H00922', -0.09387571223715441)]
2013-09-17rebalance -> 399606 (mom 0.2224), rank: [('399606', 0.22235077224072075), ('H00922', 0.1617992474630383)]
2013-10-24rebalance -> 399606 (mom 0.0771), rank: [('399606', 0.07706608215619415), ('H00922', 0.06889467245991732)]
2013-11-21rebalance -> 399606 (mom 0.0996), rank: [('399606', 0.09956094293911888), ('H00922', 0.047734281158463565)]
2013-12-19rebalance -> 399606 (mom -0.0260), rank: [('399606', -0.026024585507729237), ('H00922', -0.056746997794297815)]
2014-01-17rebalance -> 399606 (mom 0.0995), rank: [('399606', 0.09954361093794506), ('H00922', -0.07637453316613307)]
2014-02-21rebalance -> 399606 (mom 0.1734), rank: [('399606', 0.17342967477221993), ('H00922', -0.008791519244481072)]
2014-03-21rebalance -> 399606 (mom 0.1326), rank: [('399606', 0.132558375080833), ('H00922', 0.009491113988631783)]
2014-04-21rebalance -> H00922 (mom 0.0661), rank: [('H00922', 0.06612746756070642), ('399606', -0.005664029145556859)]
2014-05-21rebalance -> H00922 (mom -0.0435), rank: [('H00922', -0.04348259390357068), ('399606', -0.18121043751823507)]
2014-06-19rebalance -> H00922 (mom -0.0408), rank: [('H00922', -0.04080423119047272), ('399606', -0.051056571855973454)]
2014-07-17rebalance -> H00922 (mom 0.0262), rank: [('H00922', 0.02621796057706738), ('399606', -0.013862412994734008)]
2014-08-14rebalance -> H00922 (mom 0.1675), rank: [('H00922', 0.16750295584969876), ('399606', 0.08958133466364782)]
2014-09-12rebalance -> H00922 (mom 0.2098), rank: [('H00922', 0.2097607580170755), ('399606', 0.14318113865248994)]
2014-10-17rebalance -> 399606 (mom 0.1572), rank: [('399606', 0.15719486862580134), ('H00922', 0.15174193373608214)]
2014-11-14rebalance -> H00922 (mom 0.0989), rank: [('H00922', 0.09891227124623336), ('399606', 0.03524745838453813)]
2014-12-12rebalance -> H00922 (mom 0.2490), rank: [('H00922', 0.24898982615886722), ('399606', 0.06407038377248853)]
2015-01-13rebalance -> H00922 (mom 0.3171), rank: [('H00922', 0.31708347784017876), ('399606', 0.04505830552348078)]
2015-02-10rebalance -> H00922 (mom 0.2163), rank: [('H00922', 0.21626383643341707), ('399606', 0.1875375662983243)]
2015-03-17rebalance -> 399606 (mom 0.2896), rank: [('399606', 0.28956983256604985), ('H00922', 0.16429214034513784)]
2015-04-15rebalance -> 399606 (mom 0.5381), rank: [('399606', 0.5381046239731644), ('H00922', 0.36376987789294324)]
2015-05-14rebalance -> 399606 (mom 0.7738), rank: [('399606', 0.7737922261639096), ('H00922', 0.4804928084715385)]
2015-06-11rebalance -> 399606 (mom 0.7721), rank: [('399606', 0.7721224751522924), ('H00922', 0.5770029487911519)]
2015-07-10rebalance -> 399606 (mom 0.0225), rank: [('399606', 0.02247089930533841), ('H00922', -0.0486176280654429)]
2015-08-07rebalance -> H00922 (mom -0.0488), rank: [('H00922', -0.04879308139407912), ('399606', -0.17979814196751376)]
2015-09-08rebalance -> H00922 (mom -0.3920), rank: [('H00922', -0.39201303695914635), ('399606', -0.4866175749627333)]
2015-10-13rebalance -> 399606 (mom -0.1271), rank: [('399606', -0.12708886205375547), ('H00922', -0.16390201577788033)]
2015-11-10rebalance -> 399606 (mom 0.0147), rank: [('399606', 0.014736819470377638), ('H00922', -0.0945880287760763)]
2015-12-08rebalance -> 399606 (mom 0.2992), rank: [('399606', 0.2992395864548998), ('H00922', 0.10953827258521587)]
2016-01-06rebalance -> H00922 (mom 0.0916), rank: [('H00922', 0.09162722757814779), ('399606', 0.07087455863848113)]
2016-02-03rebalance -> H00922 (mom -0.2040), rank: [('H00922', -0.2039978094194962), ('399606', -0.2546320475085343)]
2016-03-09rebalance -> H00922 (mom -0.1513), rank: [('H00922', -0.15126894829509174), ('399606', -0.26128975958811473)]
2016-04-07rebalance -> 399606 (mom -0.0030), rank: [('399606', -0.003009212489091584), ('H00922', -0.0229698785244965)]
2016-05-06rebalance -> H00922 (mom 0.0634), rank: [('H00922', 0.06339816020857536), ('399606', 0.002381071847246563)]
2016-06-03rebalance -> 399606 (mom 0.1412), rank: [('399606', 0.1411980348262445), ('H00922', 0.05971709974853323)]
2016-07-05rebalance -> H00922 (mom 0.0175), rank: [('H00922', 0.017500553377181927), ('399606', 0.009731069417570737)]
2016-08-02rebalance -> H00922 (mom 0.0908), rank: [('H00922', 0.09078113279092581), ('399606', 0.03128523776497616)]
2016-08-30rebalance -> H00922 (mom 0.0884), rank: [('H00922', 0.08836609885396429), ('399606', -0.0008271480551022004)]
2016-09-29rebalance -> H00922 (mom 0.0515), rank: [('H00922', 0.05152393792445786), ('399606', -0.04219050659671586)]
2016-11-03rebalance -> H00922 (mom 0.0598), rank: [('H00922', 0.05981989385121067), ('399606', 0.021322743801501343)]
2016-12-01rebalance -> H00922 (mom 0.0781), rank: [('H00922', 0.07812525427866213), ('399606', -0.0042300923209930286)]
2016-12-29rebalance -> H00922 (mom 0.0247), rank: [('H00922', 0.02465686580251747), ('399606', -0.08848089141901283)]
2017-02-03rebalance -> H00922 (mom 0.0242), rank: [('H00922', 0.024158649770958496), ('399606', -0.12495493546758962)]
2017-03-03rebalance -> H00922 (mom 0.0027), rank: [('H00922', 0.002728776558961865), ('399606', -0.10037922342617778)]
2017-03-31rebalance -> H00922 (mom 0.0701), rank: [('H00922', 0.0700944819882019), ('399606', -0.0277338535278151)]
2017-05-03rebalance -> H00922 (mom 0.0274), rank: [('H00922', 0.027398140797014747), ('399606', -0.03077400357021165)]
2017-06-02rebalance -> H00922 (mom 0.0193), rank: [('H00922', 0.019270418167569803), ('399606', -0.10578850178505472)]
2017-06-30rebalance -> H00922 (mom 0.0520), rank: [('H00922', 0.05202937905452809), ('399606', -0.05881797113557918)]
2017-07-28rebalance -> H00922 (mom 0.1083), rank: [('H00922', 0.10833150068512842), ('399606', -0.05107889856199399)]
2017-08-25rebalance -> H00922 (mom 0.1021), rank: [('H00922', 0.10208032484996243), ('399606', 0.030754450224626417)]
2017-09-22rebalance -> H00922 (mom 0.0514), rank: [('H00922', 0.05137603484202824), ('399606', 0.017230373176500002)]
2017-10-27rebalance -> 399606 (mom 0.0922), rank: [('399606', 0.09217336488907568), ('H00922', 0.04677957344639205)]
2017-11-24rebalance -> H00922 (mom 0.0260), rank: [('H00922', 0.026014135003155525), ('399606', -0.03262375876548618)]
2017-12-22rebalance -> H00922 (mom 0.0107), rank: [('H00922', 0.01071110945031939), ('399606', -0.03486882531218416)]
2018-01-22rebalance -> H00922 (mom 0.0678), rank: [('H00922', 0.06777382675875021), ('399606', -0.047294151726135714)]
2018-02-26rebalance -> H00922 (mom 0.0303), rank: [('H00922', 0.030281781053422163), ('399606', -0.018024501545658378)]
2018-03-26rebalance -> 399606 (mom 0.0141), rank: [('399606', 0.014123475151323062), ('H00922', -0.03021844588311251)]
2018-04-25rebalance -> 399606 (mom 0.0297), rank: [('399606', 0.029727542780182414), ('H00922', -0.12642848371909754)]
2018-05-25rebalance -> 399606 (mom 0.0367), rank: [('399606', 0.03668871036127075), ('H00922', -0.05228349737020255)]
2018-06-22rebalance -> H00922 (mom -0.0521), rank: [('H00922', -0.05207399869378326), ('399606', -0.12566452795600358)]
2018-07-20rebalance -> H00922 (mom -0.0386), rank: [('H00922', -0.03863109212463944), ('399606', -0.11088902132237777)]
2018-08-17rebalance -> H00922 (mom -0.1257), rank: [('H00922', -0.12571418137886647), ('399606', -0.20195780572788302)]
2018-09-14rebalance -> H00922 (mom -0.0627), rank: [('H00922', -0.06266383560890654), ('399606', -0.11086197686985255)]
2018-10-22rebalance -> H00922 (mom -0.0632), rank: [('H00922', -0.06322980443824433), ('399606', -0.188692691890873)]
2018-11-19rebalance -> H00922 (mom 0.0253), rank: [('H00922', 0.02533393795918082), ('399606', -0.02875114698724679)]
2018-12-17rebalance -> H00922 (mom 0.0171), rank: [('H00922', 0.017132668039973487), ('399606', -0.03747683777246558)]
2019-01-16rebalance -> H00922 (mom 0.0399), rank: [('H00922', 0.03989636757039117), ('399606', -0.019157880737944222)]
2019-02-20rebalance -> H00922 (mom 0.0898), rank: [('H00922', 0.08978153023411761), ('399606', 0.03913986673991743)]
2019-03-20rebalance -> 399606 (mom 0.3051), rank: [('399606', 0.305071484983356), ('H00922', 0.20237758571931108)]
2019-04-18rebalance -> 399606 (mom 0.3630), rank: [('399606', 0.36295397853399547), ('H00922', 0.2579052996802502)]
2019-05-21rebalance -> H00922 (mom 0.0672), rank: [('H00922', 0.0672496740040247), ('399606', 0.058728120564979225)]
2019-06-19rebalance -> H00922 (mom -0.0510), rank: [('H00922', -0.05102139897246094), ('399606', -0.1334999187615905)]
2019-07-17rebalance -> H00922 (mom -0.0901), rank: [('H00922', -0.09013921176116058), ('399606', -0.09163747567417291)]
2019-08-14rebalance -> 399606 (mom 0.0374), rank: [('399606', 0.03737078738039412), ('H00922', -0.04045847552847215)]
2019-09-11rebalance -> 399606 (mom 0.1393), rank: [('399606', 0.13931399421349178), ('H00922', 0.002251392133005403)]
2019-10-17rebalance -> 399606 (mom 0.0889), rank: [('399606', 0.08888736742518555), ('H00922', 0.0008259767437326371)]
2019-11-14rebalance -> 399606 (mom 0.0889), rank: [('399606', 0.08888346850417705), ('H00922', 0.012536835312138006)]
2019-12-12rebalance -> 399606 (mom 0.0070), rank: [('399606', 0.006965897053359038), ('H00922', -0.02695289626965225)]
2020-01-10rebalance -> 399606 (mom 0.1550), rank: [('399606', 0.15501727716482017), ('H00922', 0.06394558029669128)]
2020-02-17rebalance -> 399606 (mom 0.2815), rank: [('399606', 0.2814606455410351), ('H00922', 0.04333318330738911)]
2020-03-16rebalance -> 399606 (mom 0.0885), rank: [('399606', 0.0885013094306002), ('H00922', -0.06183735817205349)]
2020-04-14rebalance -> 399606 (mom 0.0263), rank: [('399606', 0.026319012094107697), ('H00922', -0.10425560554000923), ('515080', -0.15233785822021118)]
2020-05-15rebalance -> 399606 (mom -0.0206), rank: [('399606', -0.02056463232533179), ('H00922', -0.057288334360085846), ('515080', -0.07293354943273911)]
2020-06-12rebalance -> 399606 (mom 0.1561), rank: [('399606', 0.1560776211471162), ('515080', 0.06557377049180313), ('H00922', 0.01944028473208892)]
2020-07-14rebalance -> 399606 (mom 0.4528), rank: [('399606', 0.45282648176455664), ('515080', 0.37163375224416506), ('H00922', 0.1743314215185725)]
2020-08-11rebalance -> 515080 (mom 0.3990), rank: [('515080', 0.3989547038327528), ('399606', 0.27701655875267517), ('H00922', 0.15817862360824209)]
2020-09-08rebalance -> 515080 (mom 0.4308), rank: [('515080', 0.4307958477508651), ('399606', 0.1953682921852682), ('H00922', 0.1697381321132725)]
2020-10-14rebalance -> 515080 (mom 0.1333), rank: [('515080', 0.1333333333333333), ('H00922', 0.03163864237251213), ('399606', -0.01711951148394797)]
2020-11-11rebalance -> 515080 (mom 0.1212), rank: [('515080', 0.12124999999999986), ('H00922', 0.050384484369591975), ('399606', 0.018134344373703426)]
2020-12-09rebalance -> 515080 (mom 0.1200), rank: [('515080', 0.12004950495049505), ('399606', 0.06974363954891327), ('H00922', 0.0527042842616221)]
2021-01-07rebalance -> 399606 (mom 0.1557), rank: [('399606', 0.15567206929316013), ('515080', 0.03541912632821731), ('H00922', 0.0029595443965197976)]
2021-02-04rebalance -> 399606 (mom 0.1852), rank: [('399606', 0.18516386723178613), ('H00922', -0.06743502637539978), ('515080', -0.06747787610619471)]
2021-03-11rebalance -> 515080 (mom 0.0419), rank: [('515080', 0.04189636163175292), ('H00922', 0.014372771921433936), ('399606', 0.010312600708991315)]
2021-04-09rebalance -> 515080 (mom 0.1031), rank: [('515080', 0.10305775764439407), ('H00922', 0.06054398087944435), ('399606', -0.1163869139095024)]
2021-05-12rebalance -> 515080 (mom 0.2213), rank: [('515080', 0.22130177514792915), ('H00922', 0.1438149351547926), ('399606', -0.07236172603895363)]
2021-06-09rebalance -> 399606 (mom 0.1662), rank: [('399606', 0.16620649120768727), ('515080', 0.12879581151832475), ('H00922', 0.07780347408414556)]
2021-07-08rebalance -> 399606 (mom 0.2658), rank: [('399606', 0.2658012645166652), ('515080', 0.08290685772773809), ('H00922', 0.05152591709158538)]
2021-08-05rebalance -> 399606 (mom 0.2032), rank: [('399606', 0.20315178183120586), ('515080', 0.022571148184494794), ('H00922', 0.002977443388191059)]
2021-09-02rebalance -> 515080 (mom 0.1221), rank: [('515080', 0.12210915818686408), ('H00922', 0.08298166130337425), ('399606', -0.043597907208915765)]
2021-10-11rebalance -> 515080 (mom 0.0965), rank: [('515080', 0.09653233364573577), ('H00922', 0.06188550082240463), ('399606', -0.06225538396282804)]
2021-11-08rebalance -> 515080 (mom 0.0210), rank: [('515080', 0.021032504780114758), ('H00922', 0.009753504331182272), ('399606', -0.03164499091016659)]
2021-12-06rebalance -> 399606 (mom 0.0980), rank: [('399606', 0.09797085659812077), ('H00922', -0.06019672345431559), ('515080', -0.06699751861042202)]
2022-01-04rebalance -> 399606 (mom 0.0357), rank: [('399606', 0.035663111922104695), ('515080', 0.017452006980802848), ('H00922', 0.017317037892480514)]
2022-02-08rebalance -> 515080 (mom 0.0847), rank: [('515080', 0.08472998137802601), ('H00922', 0.06444256837553697), ('399606', -0.16523462772034636)]
2022-03-08rebalance -> H00922 (mom -0.0058), rank: [('H00922', -0.005763891451130876), ('515080', -0.006183745583038802), ('399606', -0.23325279851526126)]
2022-04-07rebalance -> 515080 (mom 0.0197), rank: [('515080', 0.019742489270386132), ('H00922', 0.01607308048103606), ('399606', -0.18424819018095218)]
2022-05-10rebalance -> H00922 (mom -0.0635), rank: [('H00922', -0.063511978244145), ('515080', -0.07941929974380868), ('399606', -0.2098707556076439)]
2022-06-08rebalance -> 515080 (mom 0.0444), rank: [('515080', 0.04442429737080689), ('H00922', 0.037542922727929584), ('399606', 0.006609000969222567)]
2022-07-06rebalance -> 399606 (mom 0.0947), rank: [('399606', 0.09473861054907484), ('H00922', -0.03675332342137494), ('515080', -0.04398340248962673)]
2022-08-03rebalance -> 399606 (mom 0.1244), rank: [('399606', 0.12439085817539297), ('515080', 0.018587360594795488), ('H00922', 0.0074090627177159085)]
2022-08-31rebalance -> 399606 (mom 0.0297), rank: [('399606', 0.029694110599423285), ('515080', 0.022667829119441985), ('H00922', 0.015504158181549377)]
2022-09-29rebalance -> 515080 (mom -0.0267), rank: [('515080', -0.026678141135972444), ('H00922', -0.026821714156999632), ('399606', -0.1807751113910927)]
2022-11-03rebalance -> 515080 (mom -0.0191), rank: [('515080', -0.01909090909090916), ('H00922', -0.019877971668286754), ('399606', -0.09997805635976242)]
2022-12-01rebalance -> 515080 (mom 0.0178), rank: [('515080', 0.017766497461929154), ('H00922', 0.011930053384763273), ('399606', -0.05984308894208612)]
2022-12-29rebalance -> 399606 (mom 0.0266), rank: [('399606', 0.02656200249822427), ('H00922', 0.005079202885042378), ('515080', 0.0008779631255486642)]
2023-02-03rebalance -> 515080 (mom 0.0789), rank: [('515080', 0.07887579329102445), ('H00922', 0.06907579752734683), ('399606', 0.05275235477759699)]
2023-03-03rebalance -> 515080 (mom 0.0526), rank: [('515080', 0.05263157894736836), ('H00922', 0.04974668237765534), ('399606', 0.01641227059275474)]
2023-03-31rebalance -> 515080 (mom 0.0636), rank: [('515080', 0.06364428945074097), ('H00922', 0.051126342040891615), ('399606', 0.02267108809280205)]
2023-05-04rebalance -> 515080 (mom 0.1178), rank: [('515080', 0.11779661016949161), ('H00922', 0.09530702980445405), ('399606', -0.09538672826019112)]
2023-06-01rebalance -> H00922 (mom -0.0116), rank: [('H00922', -0.011629282179838274), ('515080', -0.011971268954509062), ('399606', -0.08884380871148811)]
2023-07-03rebalance -> H00922 (mom 0.0135), rank: [('H00922', 0.013459299539150482), ('515080', 0.011391375101708734), ('399606', -0.08122363676728384)]
2023-07-31rebalance -> H00922 (mom -0.0004), rank: [('H00922', -0.00039700618945781585), ('515080', -0.004531722054380682), ('399606', -0.008758583823348043)]
2023-08-28rebalance -> 515080 (mom 0.0305), rank: [('515080', 0.030473135525260542), ('H00922', 0.025904304004994883), ('399606', -0.07531610775151187)]
2023-09-25rebalance -> 515080 (mom 0.0533), rank: [('515080', 0.05331179321486279), ('H00922', 0.044870863841021125), ('399606', -0.10147259362735317)]
2023-10-31rebalance -> H00922 (mom -0.0504), rank: [('H00922', -0.050411089470394854), ('515080', -0.05614567526555392), ('399606', -0.11474014486464834)]
2023-11-28rebalance -> H00922 (mom -0.0228), rank: [('H00922', -0.022774416951785836), ('515080', -0.028726708074534257), ('399606', -0.08397615324301)]
2023-12-26rebalance -> H00922 (mom -0.0491), rank: [('H00922', -0.04913190344671814), ('515080', -0.07071483474250562), ('399606', -0.09024610879519535)]
2024-01-24rebalance -> H00922 (mom -0.0098), rank: [('H00922', -0.009783162953003521), ('515080', -0.024959742351046588), ('399606', -0.13354735760520098)]
2024-02-29rebalance -> H00922 (mom 0.0853), rank: [('H00922', 0.08525374812234587), ('515080', 0.07971014492753614), ('399606', -0.05780402694943598)]
2024-03-28rebalance -> 515080 (mom 0.0863), rank: [('515080', 0.08634868421052633), ('H00922', 0.0765967817434583), ('399606', -0.0016235761697943607)]
2024-04-29rebalance -> 399606 (mom 0.0979), rank: [('399606', 0.09787708534213868), ('515080', 0.09032773780975245), ('H00922', 0.08161194591318521)]
2024-05-30rebalance -> 515080 (mom 0.0603), rank: [('515080', 0.06031273268801196), ('H00922', 0.05530079130050081), ('399606', 0.0021902632381338716)]
2024-06-28rebalance -> H00922 (mom 0.0248), rank: [('H00922', 0.024766322854463896), ('515080', 0.02470059880239517), ('399606', -0.06422542103331563)]
2024-07-26rebalance -> H00922 (mom -0.0356), rank: [('H00922', -0.035618197913592775), ('515080', -0.03879941434846279), ('399606', -0.10153331779015717)]
2024-08-23rebalance -> H00922 (mom -0.0758), rank: [('H00922', -0.07576423168189017), ('515080', -0.08555399719495083), ('399606', -0.14007423511860817)]
2024-09-24rebalance -> 399606 (mom -0.0380), rank: [('399606', -0.03801054879909327), ('H00922', -0.06053230648863417), ('515080', -0.06923625981441828)]
2024-10-29rebalance -> 399606 (mom 0.3336), rank: [('399606', 0.33360408252435336), ('515080', 0.07077625570776247), ('H00922', 0.0682729760212426)]
2024-11-26rebalance -> 399606 (mom 0.3941), rank: [('399606', 0.3941132540689196), ('515080', 0.06835637480798762), ('H00922', 0.06413751614629648)]
2024-12-24rebalance -> 399606 (mom 0.3497), rank: [('399606', 0.3496639133197337), ('515080', 0.0913207547169812), ('H00922', 0.09041643575330549)]
2025-01-22rebalance -> H00922 (mom -0.0132), rank: [('H00922', -0.013232351911889983), ('515080', -0.017229002153625328), ('399606', -0.022869190779210347)]
2025-02-27rebalance -> 399606 (mom 0.0227), rank: [('399606', 0.02271636207124872), ('H00922', -0.00016553225634496904), ('515080', -0.002844950213371278)]
2025-03-27rebalance -> H00922 (mom -0.0106), rank: [('H00922', -0.010637114906335343), ('515080', -0.011019283746556474), ('399606', -0.024540233941925615)]
2025-04-25rebalance -> H00922 (mom 0.0196), rank: [('H00922', 0.01963936649401332), ('515080', 0.019480519480519654), ('399606', -0.06477430510073112)]
2025-05-28rebalance -> 515080 (mom 0.0295), rank: [('515080', 0.02947519769949669), ('H00922', 0.02866942113718496), ('399606', -0.07919979805629185)]
2025-06-26rebalance -> H00922 (mom 0.0255), rank: [('H00922', 0.025507747960033855), ('515080', 0.024526979677645278), ('399606', 0.002959950581694626)]
2025-07-24rebalance -> 399606 (mom 0.2192), rank: [('399606', 0.21923859561729575), ('515080', 0.09045936395759702), ('H00922', 0.08920560591611904)]
2025-08-21rebalance -> 399606 (mom 0.2943), rank: [('399606', 0.2943362903625475), ('515080', 0.06615598885793861), ('H00922', 0.06430814965409315)]
2025-09-18rebalance -> 399606 (mom 0.4594), rank: [('399606', 0.4593974431564205), ('515080', 0.0185439560439562), ('H00922', 0.016944142546361673)]
2025-10-24rebalance -> 399606 (mom 0.3576), rank: [('399606', 0.35758104892295317), ('H00922', 0.011441098688150131), ('515080', 0.011074918566775338)]
2025-11-21rebalance -> 399606 (mom 0.0902), rank: [('399606', 0.09024440350658591), ('515080', 0.0), ('H00922', -0.0012688041069683909)]
2025-12-19rebalance -> 399606 (mom 0.0112), rank: [('399606', 0.011233197677985585), ('H00922', 0.008782415480677264), ('515080', 0.00870147255689413)]
2026-01-20rebalance -> 399606 (mom 0.0141), rank: [('399606', 0.014074210488132843), ('H00922', -0.008389298522788802), ('515080', -0.010890454836643082)]
2026-02-25rebalance -> 399606 (mom 0.1455), rank: [('399606', 0.14545941684425778), ('H00922', 0.05154680222518615), ('515080', 0.04937458854509558)]
2026-03-25rebalance -> 515080 (mom 0.0527), rank: [('515080', 0.05266666666666664), ('H00922', 0.052575052824514135), ('399606', 0.03926062407804087)]
2026-04-23rebalance -> 399606 (mom 0.1330), rank: [('399606', 0.1329976052001367), ('515080', 0.03976531942633632), ('H00922', 0.03883358112049984)]
2026-05-26rebalance -> 399606 (mom 0.2142), rank: [('399606', 0.21419788706189435), ('H00922', -0.028638530595397782), ('515080', -0.029522613065326775)]
2026-06-24rebalance -> 399606 (mom 0.3068), rank: [('399606', 0.30684596240081374), ('515080', -0.0677215189873418), ('H00922', -0.06822912164273887)]
2026-07-22rebalance -> 399606 (mom -0.0249), rank: [('399606', -0.024945360814638384), ('H00922', -0.030739332961914112), ('515080', -0.03448275862068961)]

净值对比

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