基于价格区间突破的期货策略:年化收益率（-66.81%）
该策略通过利用较长时间窗口内的最高价和最低价形成的通道，结合平均真实范围(ATR)指标来进行期货交易。策略的基本思路是捕捉市场价格突破这些历史高低点所形成的上轨和下轨通道，当价格突破上轨时产生买入信号，突破下轨则产生卖出信号。ATR乘以特定系数用于确定止损位，从而帮助控制风险。
概要
核心指标
- 累计收益率: -81.62%
- 年化收益率: -66.81%
- 基准收益率: 7.01%
- 阿尔法: -0.58
- 夏普比率: -1.38
- 最大回撤: 85.4%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-05-14 | 螺纹钢2510(rb2510.SHF) | 3023 | 0 | 3 | 3127 | 0 | 0/0% |
| 2025-05-13 | 螺纹钢2510(rb2510.SHF) | 3023 | -10 | 2 | 3079 | 0 | -5600/0% |
| 2025-05-12 | 螺纹钢2510(rb2510.SHF) | 3023 | -10 | 1 | 3082 | 0 | -5900/0% |
| 2025-01-15 | 螺纹钢2505(rb2505.SHF) | 3207 | 0 | 5 | 3290 | 0 | 0/0% |
| 2025-01-14 | 螺纹钢2505(rb2505.SHF) | 3207 | -10 | 4 | 3283 | 0 | -7600/0% |
| 2025-01-13 | 螺纹钢2505(rb2505.SHF) | 3207 | -10 | 3 | 3249 | 0 | -4200/0% |
| 2025-01-10 | 螺纹钢2505(rb2505.SHF) | 3207 | -10 | 2 | 3202 | 0 | 500/0% |
| 2025-01-09 | 螺纹钢2505(rb2505.SHF) | 3207 | -10 | 1 | 3205 | 0 | 200/0% |
| 2024-10-18 | 螺纹钢2501(rb2501.SHF) | 3500 | 0 | 8 | 3336 | 0 | 0/0% |
| 2024-10-17 | 螺纹钢2501(rb2501.SHF) | 3500 | 10 | 7 | 3300 | 0 | -20000/0% |
交易详情
| 2025-05-14 | 螺纹钢2510(rb2510.SHF) | 买 | 10 | 3084 | 30840 | ¥20 | -6100 |
| 2025-05-12 | 螺纹钢2510(rb2510.SHF) | 卖 | -10 | 3023 | -30230 | ¥20 | 0 |
| 2025-01-15 | 螺纹钢2505(rb2505.SHF) | 买 | 10 | 3285 | 32850 | ¥20 | -7800 |
| 2025-01-09 | 螺纹钢2505(rb2505.SHF) | 卖 | -10 | 3207 | -32070 | ¥20 | 0 |
| 2024-10-18 | 螺纹钢2501(rb2501.SHF) | 卖 | -10 | 3311 | -33110 | ¥20 | -18900 |
| 2024-10-09 | 螺纹钢2501(rb2501.SHF) | 买 | 10 | 3500 | 35000 | ¥20 | 0 |
| 2024-10-08 | 螺纹钢2501(rb2501.SHF) | 买 | 10 | 3680 | 36800 | ¥20 | -54000 |
| 2024-09-04 | 螺纹钢2410(rb2410.SHF) | 买 | 10 | 3099 | 30990 | ¥20 | 38100 |
| 2024-09-04 | 螺纹钢2501(rb2501.SHF) | 卖 | -10 | 3140 | -31400 | ¥20 | 0 |
| 2024-07-19 | 螺纹钢2410(rb2410.SHF) | 卖 | -10 | 3480 | -34800 | ¥20 | 0 |
