橡胶期货均线突破策略:年化收益率（13.04%）
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: 71.94%
- 年化收益率: 13.04%
- 基准收益率: -21.89%
- 阿尔法: 0.12
- 夏普比率: 0.54
- 最大回撤: 23.11%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-07 | 橡胶2601(ru2601.SHF) | 15450 | -1 | 2 | 15525 | 0 | -750/0% |
| 2025-08-06 | 橡胶2601(ru2601.SHF) | 15450 | -1 | 1 | 15495 | 0 | -450/0% |
| 2025-08-06 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 84 | 14535 | 0 | 0/0% |
| 2025-08-06 | 橡胶2509(ru2509.SHF) | 14340 | 0 | 84 | 14535 | 0 | 0/0% |
| 2025-08-05 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 83 | 14545 | 0 | 0/0% |
| 2025-08-05 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 83 | 14545 | 0 | -2050/0% |
| 2025-08-04 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 82 | 14365 | 0 | 0/0% |
| 2025-08-04 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 82 | 14365 | 0 | -250/0% |
| 2025-08-01 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 81 | 14310 | 0 | 0/0% |
| 2025-08-01 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 81 | 14310 | 0 | 300/0% |
交易详情
| 2025-08-06 | 橡胶2509(ru2509.SHF) | 买 | 1 | 14520 | 14520 | ¥2 | -1800 |
| 2025-08-06 | 橡胶2601(ru2601.SHF) | 卖 | -1 | 15450 | -15450 | ¥2 | 0 |
| 2025-07-14 | 橡胶2509(ru2509.SHF) | 卖 | -1 | 14340 | -14340 | ¥2 | -12400 |
| 2025-07-14 | 橡胶2509(ru2509.SHF) | 卖 | -1 | 14340 | -14340 | ¥2 | 0 |
| 2025-05-15 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 14860 | -14860 | ¥0 | -22200 |
| 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 |
