TEC012因子集市技术因子高风险
趋势强度因子
ADX 与趋势持续天数构建强度评分，区分趋势市与震荡市。
计算公式
TrendStr = ADX_14d * TrendDays / 20历史绩效（Top30 等权多头，月度调仓）
年化收益
10.05%
夏普比率
0.68
最大回撤
-24.03%
累计收益
160.44%
累计净值（2016-09 … 2026-08）
2016 +7.4%2017 -9.6%2018 +0.1%2019 +30.1%2020 +33.2%2021 +10.6%2022 +27.1%2023 -11.7%2024 +3.9%2025 +2.6%2026 +17.1%
当前 Top30 持仓
| # | Ticker | 公司 | 得分 |
|---|---|---|---|
| 1 | AEP | American Electric Power | 100.000 |
| 2 | MAA | Mid-America Apartment | 94.425 |
| 3 | XEL | Xcel Energy | 93.548 |
| 4 | MCD | McDonald's | 89.495 |
| 5 | BNY | BNY Mellon | 87.760 |
| 6 | USB | U.S. Bancorp | 85.802 |
| 7 | WM | Waste Management | 83.619 |
| 8 | ESS | Essex Property Trust | 82.895 |
| 9 | SHW | Sherwin-Williams | 81.897 |
| 10 | EPR | EPR Properties | 81.875 |
| 11 | CMS | CMS Energy | 81.081 |
| 12 | FANG | Diamondback Energy | 81.029 |
| 13 | TSN | Tyson Foods | 80.484 |
| 14 | PLD | Prologis | 80.332 |
| 15 | ES | Eversource Energy | 77.918 |
| 16 | KVUE | Kenvue | 77.732 |
| 17 | KHC | Kraft Heinz | 73.645 |
| 18 | SBUX | Starbucks | 72.778 |
| 19 | FE | FirstEnergy | 72.330 |
| 20 | MET | MetLife | 70.681 |
| 21 | PM | Philip Morris | 69.750 |
| 22 | PPG | PPG Industries | 69.143 |
| 23 | GE | GE Aerospace | 68.122 |
| 24 | KIM | Kimco Realty | 65.769 |
| 25 | BAC | Bank of America | 65.534 |
| 26 | ECL | Ecolab | 65.487 |
| 27 | PSX | Phillips 66 | 64.949 |
| 28 | BMY | Bristol-Myers Squibb | 64.644 |
| 29 | AMT | American Tower | 62.913 |
| 30 | FTV | Fortive | 62.404 |
按上方公式在确定性研究面板最近月末观测（2026-08）计算的截面 Top30。
数据导出
导出包含公式、绩效统计、120 个月序列与当前持仓——本地复刻所需的一切。