橡胶期货均线突破策略:年化收益率（14.19%）
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: 73.45%
- 年化收益率: 14.19%
- 基准收益率: -28.34%
- 阿尔法: 0.13
- 夏普比率: 0.59
- 最大回撤: 20.57%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-04-29 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 17 | 14635 | 0 | -9450/0% |
| 2025-04-29 | 橡胶2505(ru2505.SHF) | 17080 | 1 | 100 | 14460 | 0 | -26200/0% |
| 2025-04-29 | 橡胶2505(ru2505.SHF) | 17955 | 0 | 100 | 14460 | 0 | 0/0% |
| 2025-04-28 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 16 | 14730 | 0 | -8500/0% |
| 2025-04-28 | 橡胶2505(ru2505.SHF) | 17080 | 1 | 99 | 14550 | 0 | -25300/0% |
| 2025-04-28 | 橡胶2505(ru2505.SHF) | 17955 | 0 | 99 | 14550 | 0 | 0/0% |
| 2025-04-25 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 15 | 14720 | 0 | -8600/0% |
| 2025-04-25 | 橡胶2505(ru2505.SHF) | 17080 | 1 | 98 | 14545 | 0 | -25350/0% |
| 2025-04-25 | 橡胶2505(ru2505.SHF) | 17955 | 0 | 98 | 14545 | 0 | 0/0% |
| 2025-04-24 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 14 | 14735 | 0 | -8450/0% |
交易详情
| 2025-04-07 | 橡胶2509(ru2509.SHF) | 买 | 1 | 15580 | 15580 | ¥2 | 0 |
| 2025-03-11 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17080 | 17080 | ¥2 | 8750 |
| 2025-03-11 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17080 | 17080 | ¥2 | 0 |
| 2025-02-17 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 17955 | -17955 | ¥2 | 3550 |
| 2025-02-17 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 17955 | -17955 | ¥2 | 0 |
| 2024-12-23 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17600 | 17600 | ¥2 | 11000 |
| 2024-12-23 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17600 | 17600 | ¥2 | 0 |
| 2024-12-04 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 18700 | -18700 | ¥2 | 6400 |
| 2024-12-04 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 18700 | -18700 | ¥2 | 0 |
| 2024-11-29 | 橡胶2501(ru2501.SHF) | 卖 | -1 | 17820 | -17820 | ¥2 | 1300 |
