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（7.82%）
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: 37.02%
- 年化收益率: 7.82%
- 基准收益率: -25.14%
- 阿尔法: 0.19
- 夏普比率: 0.33
- 最大回撤: 44.53%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-02-12 | 螺纹钢2505(rb2505.SHF) | 3355 | 0 | 4 | 3292 | 0 | 0/0% |
| 2025-02-11 | 螺纹钢2505(rb2505.SHF) | 3355 | 10 | 3 | 3275 | 0 | -8000/0% |
| 2025-02-10 | 螺纹钢2505(rb2505.SHF) | 3355 | 10 | 2 | 3331 | 0 | -2400/0% |
| 2025-02-07 | 螺纹钢2505(rb2505.SHF) | 3355 | 10 | 1 | 3352 | 0 | -300/0% |
| 2024-11-12 | 螺纹钢2501(rb2501.SHF) | 3380 | 0 | 12 | 3344 | 0 | 0/0% |
| 2024-11-11 | 螺纹钢2501(rb2501.SHF) | 3380 | 10 | 11 | 3331 | 0 | -4900/0% |
| 2024-11-08 | 螺纹钢2501(rb2501.SHF) | 3380 | 10 | 10 | 3367 | 0 | -1300/0% |
| 2024-11-07 | 螺纹钢2501(rb2501.SHF) | 3380 | 10 | 9 | 3436 | 0 | 5600/0% |
| 2024-11-06 | 螺纹钢2501(rb2501.SHF) | 3380 | 10 | 8 | 3392 | 0 | 1200/0% |
| 2024-11-05 | 螺纹钢2501(rb2501.SHF) | 3380 | 10 | 7 | 3433 | 0 | 5300/0% |
交易详情
| 2025-02-12 | 螺纹钢2505(rb2505.SHF) | 卖 | -10 | 3275 | -32750 | ¥20 | -8000 |
| 2025-02-07 | 螺纹钢2505(rb2505.SHF) | 买 | 10 | 3355 | 33550 | ¥20 | 0 |
| 2024-11-12 | 螺纹钢2501(rb2501.SHF) | 卖 | -10 | 3333 | -33330 | ¥20 | -4700 |
| 2024-10-28 | 螺纹钢2501(rb2501.SHF) | 买 | 10 | 3380 | 33800 | ¥20 | 0 |
| 2024-10-24 | 螺纹钢2501(rb2501.SHF) | 卖 | -10 | 3307 | -33070 | ¥20 | 200 |
| 2024-09-27 | 螺纹钢2501(rb2501.SHF) | 买 | 10 | 3305 | 33050 | ¥20 | 0 |
| 2024-06-05 | 螺纹钢2410(rb2410.SHF) | 卖 | -10 | 3636 | -36360 | ¥20 | -9400 |
| 2024-05-21 | 螺纹钢2410(rb2410.SHF) | 买 | 10 | 3730 | 37300 | ¥20 | 0 |
| 2024-05-16 | 螺纹钢2410(rb2410.SHF) | 卖 | -10 | 3624 | -36240 | ¥20 | -6200 |
| 2024-04-18 | 螺纹钢2410(rb2410.SHF) | 买 | 10 | 3686 | 36860 | ¥20 | 0 |
