置换均线二次穿越突破系统螺纹钢期货策略:年化收益率（28.83%）
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: 55.31%
- 年化收益率: 28.83%
- 基准收益率: 38.26%
- 阿尔法: 0.32
- 夏普比率: 0.85
- 最大回撤: 35.41%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 14 | 1225 | 0 | -64800/0% |
| 2026-05-14 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 13 | 1242.5 | 0 | -43800/0% |
| 2026-05-13 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 12 | 1244 | 0 | -42000/0% |
| 2026-05-12 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 11 | 1241 | 0 | -45600/0% |
| 2026-05-11 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 10 | 1309 | 0 | 36000/0% |
| 2026-05-08 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 9 | 1286 | 0 | 8400/0% |
| 2026-05-07 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 8 | 1304 | 0 | 30000/0% |
| 2026-05-06 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 7 | 1313.5 | 0 | 41400/0% |
| 2026-04-30 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 6 | 1287 | 0 | 9600/0% |
| 2026-04-29 | 焦煤2609(jm2609.DCE) | 1279 | 20 | 5 | 1273.5 | 0 | -6600/0% |
交易详情
| 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 |
| 2026-03-10 | 焦煤2605(jm2605.DCE) | 买 | 20 | 1164 | 23280 | ¥40 | -73200 |
| 2026-03-10 | 焦煤2605(jm2605.DCE) | 买 | 20 | 1164 | 23280 | ¥40 | 0 |
| 2026-02-25 | 焦煤2605(jm2605.DCE) | 卖 | -20 | 1103 | -22060 | ¥40 | -116400 |
| 2026-02-25 | 焦煤2605(jm2605.DCE) | 卖 | -20 | 1103 | -22060 | ¥40 | 0 |
