置换均线二次穿越突破系统螺纹钢期货策略:年化收益率（30.51%）
本策略是基于置换均线的二次穿越突破系统，寻求一定周期内的二次穿越蕴含的盈利机会
概要
核心指标
- 累计收益率: 71.23%
- 年化收益率: 30.51%
- 基准收益率: 29.51%
- 阿尔法: 0.35
- 夏普比率: 0.88
- 最大回撤: 38.69%
源码
查看AI策略代码
绩效
持仓详情
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-08-25 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 8 | 1578 | 0 | 123600/0% |
| 2026-08-24 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 7 | 1584 | 0 | 130800/0% |
| 2026-08-21 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 6 | 1581.5 | 0 | 127800/0% |
| 2026-08-20 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 5 | 1591.5 | 0 | 139800/0% |
| 2026-08-19 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 4 | 1586.5 | 0 | 133800/0% |
| 2026-08-18 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 3 | 1546.5 | 0 | 85800/0% |
| 2026-08-17 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 2 | 1522 | 0 | 56400/0% |
| 2026-08-14 | 焦煤2701(jm2701.DCE) | 1475 | 20 | 1 | 1515.5 | 0 | 48600/0% |
| 2026-08-14 | 焦煤2609(jm2609.DCE) | 1264.5 | 0 | 78 | 1374 | 0 | 0/0% |
| 2026-08-14 | 焦煤2609(jm2609.DCE) | 1280 | 0 | 78 | 1374 | 0 | 0/0% |
交易详情
| 2026-08-14 | 焦煤2609(jm2609.DCE) | 卖 | -20 | 1330 | -26600 | ¥40 | 78600 |
| 2026-08-14 | 焦煤2701(jm2701.DCE) | 买 | 20 | 1475 | 29500 | ¥40 | 0 |
| 2026-08-10 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1264.5 | 25290 | ¥40 | 18600 |
| 2026-08-10 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1264.5 | 25290 | ¥40 | 0 |
| 2026-06-22 | 焦煤2609(jm2609.DCE) | 卖 | -20 | 1280 | -25600 | ¥40 | 2400 |
| 2026-06-22 | 焦煤2609(jm2609.DCE) | 卖 | -20 | 1280 | -25600 | ¥40 | 0 |
| 2026-05-28 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1278 | 25560 | ¥40 | -63600 |
| 2026-05-28 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1278 | 25560 | ¥40 | 0 |
| 2026-05-18 | 焦煤2609(jm2609.DCE) | 卖 | -20 | 1225 | -24500 | ¥40 | -64800 |
| 2026-05-18 | 焦煤2609(jm2609.DCE) | 卖 | -20 | 1225 | -24500 | ¥40 | 0 |
