螺纹钢期货海龟交易策略:年化收益率（6.99%）
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: 32.38%
- 年化收益率: 6.99%
- 基准收益率: -28.34%
- 阿尔法: 0.05
- 夏普比率: 0.43
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-04-29 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 16 | 3100 | 0 | -580/0% |
| 2025-04-28 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 15 | 3129 | 0 | -290/0% |
| 2025-04-25 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 14 | 3101 | 0 | -570/0% |
| 2025-04-24 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 13 | 3106 | 0 | -520/0% |
| 2025-04-23 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 12 | 3137 | 0 | -210/0% |
| 2025-04-22 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 11 | 3075 | 0 | -830/0% |
| 2025-04-21 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 10 | 3113 | 0 | -450/0% |
| 2025-04-18 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 9 | 3076 | 0 | -820/0% |
| 2025-04-17 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 8 | 3092 | 0 | -660/0% |
| 2025-04-16 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 7 | 3093 | 0 | -650/0% |
交易详情
| 2025-04-08 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3078 | -3078 | ¥2 | -1820 |
| 2025-04-08 | 螺纹钢2510(rb2510.SHF) | 买 | 1 | 3158 | 3158 | ¥2 | 0 |
| 2025-03-06 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3260 | 3260 | ¥2 | 1110 |
| 2025-03-06 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3260 | 3260 | ¥2 | 0 |
| 2025-01-20 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3371 | -3371 | ¥2 | 1060 |
| 2025-01-20 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3371 | -3371 | ¥2 | 0 |
| 2024-12-30 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3265 | 3265 | ¥2 | 1370 |
| 2024-12-30 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3265 | 3265 | ¥2 | 0 |
| 2024-12-11 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3402 | -3402 | ¥2 | 970 |
| 2024-12-11 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3402 | -3402 | ¥2 | 0 |
