业绩分析
AlphaGo 美股动量一号
业绩分析 · SPY
48.9%回测年化
1.22夏普比率
-31.7%最大回撤日度
39.0%年化波动
48.9%样本外年化2022-01→
-31.7%样本外回撤
净值地形
山脊=累计净值 · 峡谷=回撤(数据驱动)
分年表现(日度采样)
| 年份 | 产品 | 年内最大回撤 | SPY |
|---|
| 2022 | 1.4% | -23.7% | -18.6% |
| 2023 | 39.8% | -13.3% | 26.7% |
| 2024 | 76.2% | -25.9% | 25.6% |
| 2025 | 36.7% | -31.7% | 18.0% |
| 2026 | 91.9% | -27.4% | 13.5% |
危机窗口
| 区间 | 产品 | SPY |
|---|
| 2022 bear (Jan-Oct) (2022-01→2022-10) | 9.4% | -18.2% |
| 2024 vol spike (Jul-Aug) (2024-07→2024-08) | -6.0% | 3.4% |
| 2025 tariff shock (Mar-Apr) (2025-03→2025-04) | 6.0% | -4.7% |
月度收益 — 回测(%)
| 年 | 1月 | 2月 | 3月 | 4月 | 5月 | 6月 | 7月 | 8月 | 9月 | 10月 | 11月 | 12月 | 年 |
|---|
| 2022 | | 11.2 | 8.8 | -6.4 | 3.6 | -12.0 | 9.1 | 6.7 | -8.2 | 17.6 | 0.2 | -7.6 |
1.4 |
| 2023 | 4.3 | -5.2 | 5.6 | -5.6 | 4.3 | 5.4 | 4.7 | -0.4 | -9.4 | 0.2 | 20.1 | 8.6 |
39.8 |
| 2024 | 8.3 | 12.5 | 6.1 | -9.5 | 2.3 | -0.2 | -10.8 | 5.8 | 36.4 | 6.1 | 16.9 | -9.3 |
76.2 |
| 2025 | 13.6 | -14.3 | -3.7 | 7.7 | 13.3 | 5.8 | 16.4 | -6.9 | 10.0 | -3.0 | -1.4 | 3.9 |
36.7 |
| 2026 | 17.1 | 1.1 | -11.1 | 29.3 | 22.6 | 27.8 | -23.1 | 7.0 | 8.6 | 3.3 | | |
91.9 |
注:月度表为回测净值计算,当月格显示实盘(●)为主、回测仅到其净值截止日;实盘自 2026-10-05 起步,见上方实盘线。
月度评论
2026-10
**Monthly Commentary — October 2026**
In October 2026 the fund returned +3.27%, versus SPY +0.92%, a difference of +2.35 percentage points. Maximum intra-month drawdown was -0.1%, occurring over 2 trading days (0 up / 1 down). Top signal names for the month were SNDK, INTC, STX, MRVL, and WDC. There was 1 execution during the month, with total commissions of $31.39. The month-end backtest-track NAV was $6,759,221; this figure is a hypothetical simulation and does not represent the fund's $400,000 paper basis.
Please note that the backtest results presented here precede live validation. The live track is a simulated paper account and does not involve client money. Figures reported as backtest or simulation results are hypothetical in nature and are presented for informational purposes only.
| 日期 | 净值 | 日涨跌 | 来源 |
|---|
| 2026-10-20 | 4.2776 |
+0.00% |
实盘成交 |
| 2026-10-18 | 4.2776 |
+0.00% |
实盘成交 |
| 2026-10-16 | 4.2776 |
-23.79% |
实盘成交 |
| 2026-10-15 | 5.6130 |
-3.57% |
实盘成交 |
| 2026-10-13 | 5.8206 |
-11.82% |
实盘成交 |
| 2026-10-12 | 6.6008 |
+0.00% |
实盘成交 |
| 2026-10-02 | 6.6008 |
-0.14% |
回测 |
| 2026-10-01 | 6.6101 |
+3.41% |
回测 |
| 2026-09-30 | 6.3919 |
+0.24% |
回测 |
| 2026-09-29 | 6.3766 |
+1.42% |
回测 |
| 2026-09-28 | 6.2876 |
-2.64% |
回测 |
| 2026-09-25 | 6.4582 |
+1.02% |
回测 |
| 2026-09-24 | 6.3929 |
-1.18% |
回测 |
| 2026-09-23 | 6.4692 |
-1.29% |
回测 |
| 2026-09-22 | 6.5536 |
+2.03% |
回测 |
| 2026-09-21 | 6.4234 |
+2.96% |
回测 |
| 2026-09-18 | 6.2386 |
+3.64% |
回测 |
| 2026-09-17 | 6.0192 |
+3.26% |
回测 |
| 2026-09-16 | 5.8292 |
+1.67% |
回测 |
| 2026-09-15 | 5.7332 |
+0.21% |
回测 |