橡胶期货均线突破策略:年化收益率（10.84%）
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: 69.81%
- 年化收益率: 10.84%
- 基准收益率: -7.75%
- 阿尔法: 0.1
- 夏普比率: 0.45
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 橡胶2609(ru2609.SHF) | 16410 | 0 | 29 | 17585 | 0 | 0/0% |
| 2026-05-15 | 橡胶2609(ru2609.SHF) | 17010 | -1 | 29 | 17585 | 0 | -5750/0% |
| 2026-05-14 | 橡胶2609(ru2609.SHF) | 16410 | 0 | 28 | 17765 | 0 | 0/0% |
| 2026-05-14 | 橡胶2609(ru2609.SHF) | 17010 | -1 | 28 | 17765 | 0 | -7550/0% |
| 2026-05-13 | 橡胶2609(ru2609.SHF) | 16410 | 0 | 27 | 18325 | 0 | 0/0% |
| 2026-05-13 | 橡胶2609(ru2609.SHF) | 17010 | -1 | 27 | 18325 | 0 | -13150/0% |
| 2026-05-12 | 橡胶2609(ru2609.SHF) | 16410 | 0 | 26 | 17750 | 0 | 0/0% |
| 2026-05-12 | 橡胶2609(ru2609.SHF) | 17010 | -1 | 26 | 17750 | 0 | -7400/0% |
| 2026-05-11 | 橡胶2609(ru2609.SHF) | 16410 | 0 | 25 | 17865 | 0 | 0/0% |
| 2026-05-11 | 橡胶2609(ru2609.SHF) | 17010 | -1 | 25 | 17865 | 0 | -8550/0% |
交易详情
| 2026-04-07 | 橡胶2609(ru2609.SHF) | 卖 | -1 | 17010 | -17010 | ¥2 | 6000 |
| 2026-04-07 | 橡胶2609(ru2609.SHF) | 卖 | -1 | 17010 | -17010 | ¥2 | 0 |
| 2026-04-01 | 橡胶2605(ru2605.SHF) | 卖 | -1 | 16400 | -16400 | ¥2 | 3500 |
| 2026-04-01 | 橡胶2609(ru2609.SHF) | 买 | 1 | 16410 | 16410 | ¥2 | 0 |
| 2026-03-23 | 橡胶2605(ru2605.SHF) | 买 | 1 | 16050 | 16050 | ¥2 | -8950 |
| 2026-03-23 | 橡胶2605(ru2605.SHF) | 买 | 1 | 16050 | 16050 | ¥2 | 0 |
| 2025-12-17 | 橡胶2605(ru2605.SHF) | 卖 | -1 | 15155 | -15155 | ¥2 | 1150 |
| 2025-12-17 | 橡胶2605(ru2605.SHF) | 卖 | -1 | 15155 | -15155 | ¥2 | 0 |
| 2025-12-09 | 橡胶2605(ru2605.SHF) | 买 | 1 | 15040 | 15040 | ¥2 | 3100 |
| 2025-12-09 | 橡胶2605(ru2605.SHF) | 买 | 1 | 15040 | 15040 | ¥2 | 0 |
