置换均线二次穿越突破系统螺纹钢期货策略:年化收益率（101.39%）
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: 84.77%
- 年化收益率: 101.39%
- 基准收益率: 9.44%
- 阿尔法: 1.07
- 夏普比率: 2.1
- 最大回撤: 23.08%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-06-20 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 44 | 795 | 0 | 1800/0% |
| 2025-06-20 | 焦煤2509(jm2509.DCE) | 984 | 0 | 44 | 795 | 0 | 0/0% |
| 2025-06-19 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 43 | 790.5 | 0 | -3600/0% |
| 2025-06-19 | 焦煤2509(jm2509.DCE) | 984 | 0 | 43 | 790.5 | 0 | 0/0% |
| 2025-06-18 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 42 | 790.5 | 0 | -3600/0% |
| 2025-06-18 | 焦煤2509(jm2509.DCE) | 984 | 0 | 42 | 790.5 | 0 | 0/0% |
| 2025-06-17 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 41 | 789.5 | 0 | -4800/0% |
| 2025-06-17 | 焦煤2509(jm2509.DCE) | 984 | 0 | 41 | 789.5 | 0 | 0/0% |
| 2025-06-16 | 焦煤2509(jm2509.DCE) | 984 | -20 | 40 | 795.5 | 0 | 226200/0% |
| 2025-06-13 | 焦煤2509(jm2509.DCE) | 984 | -20 | 39 | 774.5 | 0 | 251400/0% |
交易详情
| 2025-06-17 | 焦煤2509(jm2509.DCE) | 买 | 20 | 793.5 | 15870 | ¥40 | 228600 |
| 2025-06-17 | 焦煤2509(jm2509.DCE) | 买 | 20 | 793.5 | 15870 | ¥40 | 0 |
| 2025-04-16 | 焦煤2505(jm2505.DCE) | 买 | 20 | 910 | 18200 | ¥40 | 220800 |
| 2025-04-16 | 焦煤2509(jm2509.DCE) | 卖 | -20 | 984 | -19680 | ¥40 | 0 |
| 2025-02-14 | 焦煤2505(jm2505.DCE) | 卖 | -20 | 1094 | -21880 | ¥40 | -91200 |
| 2025-02-14 | 焦煤2505(jm2505.DCE) | 卖 | -20 | 1094 | -21880 | ¥40 | 0 |
| 2025-01-20 | 焦煤2505(jm2505.DCE) | 买 | 20 | 1170 | 23400 | ¥40 | -4800 |
| 2025-01-20 | 焦煤2505(jm2505.DCE) | 买 | 20 | 1170 | 23400 | ¥40 | 0 |
| 2024-12-19 | 焦煤2501(jm2501.DCE) | 买 | 20 | 1125.5 | 22510 | ¥40 | 240000 |
| 2024-12-19 | 焦煤2505(jm2505.DCE) | 卖 | -20 | 1166 | -23320 | ¥40 | 0 |
