螺纹钢期货海龟交易策略:年化收益率（5.58%）
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: 32.86%
- 年化收益率: 5.58%
- 基准收益率: -7.28%
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-16 | 螺纹钢2610(rb2610.SHF) | 3168 | 1 | 47 | 3169 | 0 | 10/0% |
| 2026-06-16 | 螺纹钢2610(rb2610.SHF) | 3172 | 0 | 47 | 3169 | 0 | 0/0% |
| 2026-06-15 | 螺纹钢2610(rb2610.SHF) | 3168 | 1 | 46 | 3187 | 0 | 190/0% |
| 2026-06-15 | 螺纹钢2610(rb2610.SHF) | 3172 | 0 | 46 | 3187 | 0 | 0/0% |
| 2026-06-12 | 螺纹钢2610(rb2610.SHF) | 3168 | 1 | 45 | 3178 | 0 | 100/0% |
| 2026-06-12 | 螺纹钢2610(rb2610.SHF) | 3172 | 0 | 45 | 3178 | 0 | 0/0% |
| 2026-06-11 | 螺纹钢2610(rb2610.SHF) | 3168 | 1 | 44 | 3156 | 0 | -120/0% |
| 2026-06-11 | 螺纹钢2610(rb2610.SHF) | 3172 | 0 | 44 | 3156 | 0 | 0/0% |
| 2026-06-10 | 螺纹钢2610(rb2610.SHF) | 3168 | 1 | 43 | 3180 | 0 | 120/0% |
| 2026-06-10 | 螺纹钢2610(rb2610.SHF) | 3172 | 0 | 43 | 3180 | 0 | 0/0% |
交易详情
| 2026-05-25 | 螺纹钢2610(rb2610.SHF) | 买 | 1 | 3168 | 3168 | ¥2 | 40 |
| 2026-05-25 | 螺纹钢2610(rb2610.SHF) | 买 | 1 | 3168 | 3168 | ¥2 | 0 |
| 2026-04-21 | 螺纹钢2610(rb2610.SHF) | 卖 | -1 | 3172 | -3172 | ¥2 | 710 |
| 2026-04-21 | 螺纹钢2610(rb2610.SHF) | 卖 | -1 | 3172 | -3172 | ¥2 | 0 |
| 2026-04-10 | 螺纹钢2610(rb2610.SHF) | 买 | 1 | 3101 | 3101 | ¥2 | 190 |
| 2026-04-10 | 螺纹钢2610(rb2610.SHF) | 买 | 1 | 3101 | 3101 | ¥2 | 0 |
| 2026-04-08 | 螺纹钢2605(rb2605.SHF) | 买 | 1 | 3091 | 3091 | ¥2 | 510 |
| 2026-04-08 | 螺纹钢2610(rb2610.SHF) | 卖 | -1 | 3120 | -3120 | ¥2 | 0 |
| 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 |
