# RMB_ETF动量模型
RMB_ETF动量模型: 在 9 个 ETF（创业板 / 黄金ETF / 南方原油 / 日经ETF / 科创板 / 上证180 / 30年国债 / 港股科技 / 纳指100）与现金之间按动态信号轮动；信号源 ETF动量模型V2 - 每日推送。
## 当前持仓
ETF-V2518880 (黄金ETF)100%
−1.4%·entry ¥9.6070 → ¥9.4750·2026-08-25·held 3d
## metrics
strategyhodl
cagr+39.9%+9.4%
// 年化复合增长率 (Compound Annual Growth Rate)。如果每年都以这个速率增长，经过 N 年会达到当前终值。
= CAGR = (终值 / 初值) ^ (1 / 年数) − 1
dd-23.5%-14.4%
// 回撤。Strategy 列是账户最大回撤，按每笔平仓后的账户净值计算；HODL 列没有平仓事件，仍按每日净值计算。
= Strategy: max((历史最高平仓后净值 − 当前平仓后净值) / 历史最高平仓后净值)，平仓点在下一仓买入和当日波动前。HODL: 每日净值 peak-to-date 回撤。
sharpe1.430.84
// 每承受一单位波动率获得的超额回报。> 1 为好，> 2 为优秀。
= Sharpe = mean(daily return) / std(daily return) × √365
sortino1.961.03
// 类似 Sharpe 但只惩罚下行波动，对非对称收益更公平。正向大涨不算"风险"。
= Sortino = mean(daily return) / downside_std × √365
final×20.37×2.24
// 总倍数 — 初始投入到现在翻了多少倍。×800 = 投入 $1 变成 $800。
= Total = 终值 / 初值
## equity (log scale)2017-09..2026-08
## account drawdown (strategy)
## monthly (strategy)
| jan | feb | mar | apr | may | jun | jul | aug | sep | oct | nov | dec | ytd |
|---|
| 2017 | · | · | · | · | · | · | · | · | +0 | +3 | +3 | +0 | +6 |
| 2018 | +3 | -10 | +2 | +6 | +2 | +4 | -3 | +6 | +11 | -5 | -0 | +6 | +23 |
| 2019 | -1 | +10 | +4 | -2 | -3 | +8 | -7 | -0 | -0 | +3 | +5 | -1 | +14 |
| 2020 | -4 | +19 | -3 | +5 | +6 | +9 | +14 | +15 | -4 | -3 | +11 | +3 | +86 |
| 2021 | +7 | +13 | +1 | +10 | +2 | -3 | -6 | +6 | -2 | +8 | -2 | -4 | +30 |
| 2022 | +11 | +10 | +28 | -9 | +8 | +2 | +4 | -2 | -5 | +4 | -3 | -1 | +51 |
| 2023 | +7 | -4 | +3 | -5 | +8 | +7 | +6 | +0 | +5 | -5 | -5 | +6 | +21 |
| 2024 | +24 | +6 | -0 | +3 | +0 | +9 | -5 | -1 | +27 | -2 | -9 | +6 | +68 |
| 2025 | -1 | +4 | +5 | +7 | +1 | +4 | +7 | +16 | +12 | +2 | -11 | +3 | +57 |
| 2026 | +23 | +13 | -9 | -3 | +8 | +7 | -8 | -10 | · | · | · | · | +17 |
## trades (254)
#1518880 (黄金ETF)LIVE−1.4%08-25
pool-ETF-V2·3d·¥9.6070→¥9.4750
entry 2026-08-25 · ¥9.6070
last 2026-08-28 · ¥9.4750
#2588120 (科创板)−7.0%08-20 → 08-25
pool-ETF-V2·5d·¥0.9350→¥0.8700
entry 2026-08-20 · ¥0.9350
exit 2026-08-25 · ¥0.8700
#3518880 (黄金ETF)+2.0%08-12 → 08-20
pool-ETF-V2·8d·¥9.0700→¥9.2510
entry 2026-08-12 · ¥9.0700
exit 2026-08-20 · ¥9.2510
#4513020 (港股科技)−3.0%08-11 → 08-12
pool-ETF-V2·1d·¥1.0000→¥0.9700
entry 2026-08-11 · ¥1.0000
exit 2026-08-12 · ¥0.9700
#5501018 (南方原油)−2.1%08-05 → 08-11
pool-ETF-V2·6d·¥1.8700→¥1.8300
entry 2026-08-05 · ¥1.8700
exit 2026-08-11 · ¥1.8300
#6513020 (港股科技)+2.9%07-23 → 08-05
pool-ETF-V2·13d·¥0.9460→¥0.9730
entry 2026-07-23 · ¥0.9460
exit 2026-08-05 · ¥0.9730
#7501018 (南方原油)+10.9%07-21 → 07-23
pool-ETF-V2·2d·¥1.9640→¥2.1780
entry 2026-07-21 · ¥1.9640
exit 2026-07-23 · ¥2.1780
#8513020 (港股科技)−1.1%07-16 → 07-21
pool-ETF-V2·5d·¥0.9620→¥0.9510
entry 2026-07-16 · ¥0.9620
exit 2026-07-21 · ¥0.9510
#9588120 (科创板)−11.4%07-09 → 07-16
pool-ETF-V2·7d·¥1.0500→¥0.9300
entry 2026-07-09 · ¥1.0500
exit 2026-07-16 · ¥0.9300
#10513520 (日经ETF)−5.0%06-30 → 07-09
pool-ETF-V2·9d·¥2.5050→¥2.3800
entry 2026-06-30 · ¥2.5050
exit 2026-07-09 · ¥2.3800
#11588120 (科创板)+1.4%06-29 → 06-30
pool-ETF-V2·1d·¥1.0500→¥1.0650
entry 2026-06-29 · ¥1.0500
exit 2026-06-30 · ¥1.0650
#12513520 (日经ETF)+3.4%06-24 → 06-29
pool-ETF-V2·5d·¥2.4380→¥2.5220
entry 2026-06-24 · ¥2.4380
exit 2026-06-29 · ¥2.5220
#13588120 (科创板)−4.4%06-23 → 06-24
pool-ETF-V2·1d·¥2.0970→¥1.0020
entry 2026-06-23 · ¥2.0970
exit 2026-06-24 · ¥1.0020
#14513520 (日经ETF)+13.2%06-09 → 06-23
pool-ETF-V2·14d·¥2.2720→¥2.5710
entry 2026-06-09 · ¥2.2720
exit 2026-06-23 · ¥2.5710
#15513100 (纳指100)−5.4%06-01 → 06-09
pool-ETF-V2·8d·¥2.2730→¥2.1500
entry 2026-06-01 · ¥2.2730
exit 2026-06-09 · ¥2.1500
#16588120 (科创板)−3.5%05-27 → 06-01
pool-ETF-V2·5d·¥1.8660→¥1.8010
entry 2026-05-27 · ¥1.8660
exit 2026-06-01 · ¥1.8010
#17513100 (纳指100)+7.3%05-18 → 05-27
pool-ETF-V2·9d·¥2.0650→¥2.2150
entry 2026-05-18 · ¥2.0650
exit 2026-05-27 · ¥2.2150
#18159915 (创业板)−1.0%05-12 → 05-18
pool-ETF-V2·6d·¥3.9520→¥3.9120
entry 2026-05-12 · ¥3.9520
exit 2026-05-18 · ¥3.9120
#19513100 (纳指100)+3.3%05-07 → 05-12
pool-ETF-V2·5d·¥2.0300→¥2.0980
entry 2026-05-07 · ¥2.0300
exit 2026-05-12 · ¥2.0980
#20159915 (创业板)+1.4%05-06 → 05-07
pool-ETF-V2·1d·¥3.7630→¥3.8140
entry 2026-05-06 · ¥3.7630
exit 2026-05-07 · ¥3.8140
#21588120 (科创板)+4.4%04-29 → 05-06
pool-ETF-V2·7d·¥1.6290→¥1.7010
entry 2026-04-29 · ¥1.6290
exit 2026-05-06 · ¥1.7010
#22159915 (创业板)−4.9%04-23 → 04-29
pool-ETF-V2·6d·¥3.7690→¥3.5850
entry 2026-04-23 · ¥3.7690
exit 2026-04-29 · ¥3.5850
#23588120 (科创板)+0.6%04-20 → 04-23
pool-ETF-V2·3d·¥1.6200→¥1.6300
entry 2026-04-20 · ¥1.6200
exit 2026-04-23 · ¥1.6300
#24501018 (南方原油)−2.7%04-16 → 04-20
pool-ETF-V2·4d·¥2.2560→¥2.1950
entry 2026-04-16 · ¥2.2560
exit 2026-04-20 · ¥2.1950
#25511090 (30年国债)+0.5%04-13 → 04-16
pool-ETF-V2·3d·¥115.07→¥115.60
entry 2026-04-13 · ¥115.07
exit 2026-04-16 · ¥115.60
#26现金+0.3%04-03 → 04-13
pool-ETF-V2·10d
entry 2026-04-03 · —
exit 2026-04-13 · —
#27159915 (创业板)−1.3%04-02 → 04-03
pool-ETF-V2·1d·¥3.2240→¥3.1820
entry 2026-04-02 · ¥3.2240
exit 2026-04-03 · ¥3.1820
#28现金−1.9%04-01 → 04-02
pool-ETF-V2·1d
entry 2026-04-01 · —
exit 2026-04-02 · —