螺纹钢期货海龟交易策略:年化收益率（6.89%）
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: 32.2%
- 年化收益率: 6.89%
- 基准收益率: -26.17%
- 阿尔法: 0.04
- 夏普比率: 0.42
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-05-16 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 26 | 3082 | 0 | -760/0% |
| 2025-05-15 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 25 | 3118 | 0 | -400/0% |
| 2025-05-14 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 24 | 3127 | 0 | -310/0% |
| 2025-05-13 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 23 | 3079 | 0 | -790/0% |
| 2025-05-12 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 22 | 3082 | 0 | -760/0% |
| 2025-05-09 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 21 | 3022 | 0 | -1360/0% |
| 2025-05-08 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 20 | 3052 | 0 | -1060/0% |
| 2025-05-07 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 19 | 3098 | 0 | -600/0% |
| 2025-05-06 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 18 | 3077 | 0 | -810/0% |
| 2025-04-30 | 螺纹钢2510(rb2510.SHF) | 3158 | 1 | 17 | 3096 | 0 | -620/0% |
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 |
