基于动量因子与均线的趋势跟随期货交易策略:年化收益率（-2.34%）
通过计算5日动量因子以及20日均线加权动量因子（VWM_20）来判断市场趋势，结合自定义的准入条件（如买入价-5日真实波动范围和趋势判断），确定是否生成做多信号。
概要
核心指标
- 累计收益率: -11.24%
- 年化收益率: -2.34%
- 基准收益率: -15.52%
- 阿尔法: 0.05
- 夏普比率: 0.09
- 最大回撤: 64.28%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-03-31 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 16 | 3121 | 0 | 200/0% |
| 2026-03-30 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 15 | 3139 | 0 | 2000/0% |
| 2026-03-27 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 14 | 3124 | 0 | 500/0% |
| 2026-03-26 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 13 | 3128 | 0 | 900/0% |
| 2026-03-25 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 12 | 3132 | 0 | 1300/0% |
| 2026-03-24 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 11 | 3145 | 0 | 2600/0% |
| 2026-03-23 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 10 | 3154 | 0 | 3500/0% |
| 2026-03-20 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 9 | 3123 | 0 | 400/0% |
| 2026-03-19 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 8 | 3135 | 0 | 1600/0% |
| 2026-03-18 | 螺纹钢2605(rb2605.SHF) | 3119 | 10 | 7 | 3140 | 0 | 2100/0% |
交易详情
| 2026-03-10 | 螺纹钢2605(rb2605.SHF) | 买 | 10 | 3119 | 31190 | ¥20 | 0 |
| 2026-02-03 | 螺纹钢2605(rb2605.SHF) | 卖 | -10 | 3112 | -31120 | ¥20 | -4500 |
| 2026-01-30 | 螺纹钢2605(rb2605.SHF) | 买 | 10 | 3157 | 31570 | ¥20 | 0 |
| 2026-01-26 | 螺纹钢2605(rb2605.SHF) | 卖 | -10 | 3148 | -31480 | ¥20 | -3200 |
| 2026-01-08 | 螺纹钢2605(rb2605.SHF) | 买 | 10 | 3180 | 31800 | ¥20 | 0 |
| 2025-12-12 | 螺纹钢2605(rb2605.SHF) | 卖 | -10 | 3077 | -30770 | ¥20 | -9400 |
| 2025-12-04 | 螺纹钢2601(rb2601.SHF) | 卖 | -10 | 3133 | -31330 | ¥20 | 2200 |
| 2025-12-04 | 螺纹钢2605(rb2605.SHF) | 买 | 10 | 3171 | 31710 | ¥20 | 0 |
| 2025-12-01 | 螺纹钢2601(rb2601.SHF) | 买 | 10 | 3111 | 31110 | ¥20 | 0 |
| 2025-11-06 | 螺纹钢2601(rb2601.SHF) | 卖 | -10 | 3026 | -30260 | ¥20 | -11100 |
