置换均线二次穿越突破系统螺纹钢期货策略:年化收益率（29%）
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: 58.06%
- 年化收益率: 29%
- 基准收益率: 37.04%
- 阿尔法: 0.34
- 夏普比率: 0.83
- 最大回撤: 44.2%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-05 | 焦煤2609(jm2609.DCE) | 1330.5 | 20 | 29 | 1459 | 0 | 154200/0% |
| 2026-06-05 | 焦煤2609(jm2609.DCE) | 1225 | 0 | 29 | 1459 | 0 | 0/0% |
| 2026-06-04 | 焦煤2609(jm2609.DCE) | 1330.5 | 20 | 28 | 1431.5 | 0 | 121200/0% |
| 2026-06-04 | 焦煤2609(jm2609.DCE) | 1225 | 0 | 28 | 1431.5 | 0 | 0/0% |
| 2026-06-03 | 焦煤2609(jm2609.DCE) | 1330.5 | 20 | 27 | 1381.5 | 0 | 61200/0% |
| 2026-06-03 | 焦煤2609(jm2609.DCE) | 1225 | 0 | 27 | 1381.5 | 0 | 0/0% |
| 2026-06-02 | 焦煤2609(jm2609.DCE) | 1330.5 | 20 | 26 | 1362.5 | 0 | 38400/0% |
| 2026-06-02 | 焦煤2609(jm2609.DCE) | 1225 | 0 | 26 | 1362.5 | 0 | 0/0% |
| 2026-06-01 | 焦煤2609(jm2609.DCE) | 1330.5 | 20 | 25 | 1377 | 0 | 55800/0% |
| 2026-06-01 | 焦煤2609(jm2609.DCE) | 1225 | 0 | 25 | 1377 | 0 | 0/0% |
交易详情
| 2026-05-26 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1330.5 | 26610 | ¥40 | -126600 |
| 2026-05-26 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1330.5 | 26610 | ¥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 |
| 2026-04-23 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1279 | 25580 | ¥40 | 0 |
| 2026-04-22 | 焦煤2609(jm2609.DCE) | 买 | 20 | 1260 | 25200 | ¥40 | -54000 |
| 2026-04-20 | 焦煤2605(jm2605.DCE) | 买 | 20 | 1074.5 | 21490 | ¥40 | 54600 |
| 2026-04-20 | 焦煤2609(jm2609.DCE) | 卖 | -20 | 1215 | -24300 | ¥40 | 0 |
| 2026-04-02 | 焦煤2605(jm2605.DCE) | 卖 | -20 | 1120 | -22400 | ¥40 | -52800 |
| 2026-04-02 | 焦煤2605(jm2605.DCE) | 卖 | -20 | 1120 | -22400 | ¥40 | 0 |
