diff --git a/strategies/rotation/strategy.py b/strategies/rotation/strategy.py
index 7b8953c..b08d7c3 100644
--- a/strategies/rotation/strategy.py
+++ b/strategies/rotation/strategy.py
@@ -417,7 +417,7 @@ class RotationStrategy(StrategyBase):
             for idx_code in valid_codes:
                 etf_code = etf_code_map.get(idx_code, idx_code)
                 if etf_code in etf_data.columns:
-                    returns_data[f'日收益率_{idx_code}'] = etf_data[etf_code].pct_change()
+                    returns_data[f'日收益率_{idx_code}'] = etf_data[etf_code].pct_change(fill_method=None)
             returns_df = pd.DataFrame(returns_data)
         else:
             # 回退到指数收盘价数据