橡胶期货均线突破策略:年化收益率（10.9%）
以橡胶期货的主力合约进行因子计算，产生交易信号。然后具体交易在当期主力合约品种上。均线金叉做多，均线死叉做空。无止盈止损。
概要
核心指标
- 累计收益率: 75.39%
- 年化收益率: 10.9%
- 基准收益率: -13.59%
- 阿尔法: 0.1
- 夏普比率: 0.46
- 最大回撤: 26.87%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-08-25 | 橡胶2701(ru2701.SHF) | 17790 | 0 | 12 | 18545 | 0 | 0/0% |
| 2026-08-25 | 橡胶2701(ru2701.SHF) | 17830 | -1 | 12 | 18545 | 0 | -7150/0% |
| 2026-08-24 | 橡胶2701(ru2701.SHF) | 17790 | 0 | 11 | 18610 | 0 | 0/0% |
| 2026-08-24 | 橡胶2701(ru2701.SHF) | 17830 | -1 | 11 | 18610 | 0 | -7800/0% |
| 2026-08-21 | 橡胶2701(ru2701.SHF) | 17790 | 0 | 10 | 18500 | 0 | 0/0% |
| 2026-08-21 | 橡胶2701(ru2701.SHF) | 17830 | -1 | 10 | 18500 | 0 | -6700/0% |
| 2026-08-20 | 橡胶2701(ru2701.SHF) | 17790 | 0 | 9 | 18460 | 0 | 0/0% |
| 2026-08-20 | 橡胶2701(ru2701.SHF) | 17830 | -1 | 9 | 18460 | 0 | -6300/0% |
| 2026-08-19 | 橡胶2701(ru2701.SHF) | 17790 | 0 | 8 | 18215 | 0 | 0/0% |
| 2026-08-19 | 橡胶2701(ru2701.SHF) | 17830 | -1 | 8 | 18215 | 0 | -3850/0% |
交易详情
| 2026-08-11 | 橡胶2701(ru2701.SHF) | 卖 | -1 | 17830 | -17830 | ¥2 | 400 |
| 2026-08-11 | 橡胶2701(ru2701.SHF) | 卖 | -1 | 17830 | -17830 | ¥2 | 0 |
| 2026-08-10 | 橡胶2609(ru2609.SHF) | 卖 | -1 | 16880 | -16880 | ¥2 | 1200 |
| 2026-08-10 | 橡胶2701(ru2701.SHF) | 买 | 1 | 17790 | 17790 | ¥2 | 0 |
| 2026-06-26 | 橡胶2609(ru2609.SHF) | 买 | 1 | 16760 | 16760 | ¥2 | 10000 |
| 2026-06-26 | 橡胶2609(ru2609.SHF) | 买 | 1 | 16760 | 16760 | ¥2 | 0 |
| 2026-06-16 | 橡胶2609(ru2609.SHF) | 卖 | -1 | 17760 | -17760 | ¥2 | 1450 |
| 2026-06-16 | 橡胶2609(ru2609.SHF) | 卖 | -1 | 17760 | -17760 | ¥2 | 0 |
| 2026-06-15 | 橡胶2609(ru2609.SHF) | 买 | 1 | 17615 | 17615 | ¥2 | -6050 |
| 2026-06-15 | 橡胶2609(ru2609.SHF) | 买 | 1 | 17615 | 17615 | ¥2 | 0 |
