螺纹钢期货海龟交易策略:年化收益率（5.61%）
以螺纹钢期货的主力合约进行因子计算，产生交易信号。然后具体交易在当期主力合约品种上。价格上穿近期上轨做多，价格下穿近期下轨做空。无止盈止损。
概要
核心指标
- 累计收益率: 31.62%
- 年化收益率: 5.61%
- 基准收益率: -15.52%
- 阿尔法: 0.03
- 夏普比率: 0.32
- 最大回撤: 17.6%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-03-31 | 螺纹钢2605(rb2605.SHF) | 3112 | 0 | 76 | 3121 | 0 | 0/0% |
| 2026-03-31 | 螺纹钢2605(rb2605.SHF) | 3142 | -1 | 76 | 3121 | 0 | 210/0% |
| 2026-03-30 | 螺纹钢2605(rb2605.SHF) | 3112 | 0 | 75 | 3139 | 0 | 0/0% |
| 2026-03-30 | 螺纹钢2605(rb2605.SHF) | 3142 | -1 | 75 | 3139 | 0 | 30/0% |
| 2026-03-27 | 螺纹钢2605(rb2605.SHF) | 3112 | 0 | 74 | 3124 | 0 | 0/0% |
| 2026-03-27 | 螺纹钢2605(rb2605.SHF) | 3142 | -1 | 74 | 3124 | 0 | 180/0% |
| 2026-03-26 | 螺纹钢2605(rb2605.SHF) | 3112 | 0 | 73 | 3128 | 0 | 0/0% |
| 2026-03-26 | 螺纹钢2605(rb2605.SHF) | 3142 | -1 | 73 | 3128 | 0 | 140/0% |
| 2026-03-25 | 螺纹钢2605(rb2605.SHF) | 3112 | 0 | 72 | 3132 | 0 | 0/0% |
| 2026-03-25 | 螺纹钢2605(rb2605.SHF) | 3142 | -1 | 72 | 3132 | 0 | 100/0% |
交易详情
| 2026-03-13 | 螺纹钢2605(rb2605.SHF) | 卖 | -1 | 3142 | -3142 | ¥2 | 300 |
| 2026-03-13 | 螺纹钢2605(rb2605.SHF) | 卖 | -1 | 3142 | -3142 | ¥2 | 0 |
| 2026-02-03 | 螺纹钢2605(rb2605.SHF) | 买 | 1 | 3112 | 3112 | ¥2 | 590 |
| 2026-02-03 | 螺纹钢2605(rb2605.SHF) | 买 | 1 | 3112 | 3112 | ¥2 | 0 |
| 2025-12-04 | 螺纹钢2601(rb2601.SHF) | 买 | 1 | 3133 | 3133 | ¥2 | -220 |
| 2025-12-04 | 螺纹钢2605(rb2605.SHF) | 卖 | -1 | 3171 | -3171 | ¥2 | 0 |
| 2025-12-01 | 螺纹钢2601(rb2601.SHF) | 卖 | -1 | 3111 | -3111 | ¥2 | 230 |
| 2025-12-01 | 螺纹钢2601(rb2601.SHF) | 卖 | -1 | 3111 | -3111 | ¥2 | 0 |
| 2025-10-09 | 螺纹钢2601(rb2601.SHF) | 买 | 1 | 3088 | 3088 | ¥2 | 800 |
| 2025-10-09 | 螺纹钢2601(rb2601.SHF) | 买 | 1 | 3088 | 3088 | ¥2 | 0 |
