活跃均线趋势跟踪期货策略:年化收益率（-28.75%）
本策略聚焦于近期交易活跃持仓量大的期货品种，结合10日短期均线和30日长期均线为择股标准，寻求短期趋势
概要
核心指标
- 累计收益率: -56.81%
- 年化收益率: -28.75%
- 基准收益率: 4.16%
- 阿尔法: 0.6
- 夏普比率: 0.37
- 最大回撤: 93.03%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-01 | 热轧卷板2510(hc2510.SHF) | 3461 | 2 | 38 | 3401 | 0 | -1200/0% |
| 2025-08-01 | 热轧卷板2510(hc2510.SHF) | 3461 | -1 | 38 | 3401 | 0 | 600/0% |
| 2025-08-01 | 螺纹钢2510(rb2510.SHF) | 3301 | 2 | 44 | 3203 | 0 | -1960/0% |
| 2025-08-01 | 螺纹钢2510(rb2510.SHF) | 3301 | -1 | 44 | 3203 | 0 | 980/0% |
| 2025-08-01 | 豆粕2509(m2509.DCE) | 3007 | 1 | 83 | 3010 | 0 | 30/0% |
| 2025-08-01 | 豆粕2509(m2509.DCE) | 3007 | -2 | 83 | 3010 | 0 | -60/0% |
| 2025-07-31 | 热轧卷板2510(hc2510.SHF) | 3461 | 2 | 37 | 3390 | 0 | -1420/0% |
| 2025-07-31 | 热轧卷板2510(hc2510.SHF) | 3461 | -1 | 37 | 3390 | 0 | 710/0% |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 3301 | 2 | 43 | 3205 | 0 | -1920/0% |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 3301 | -1 | 43 | 3205 | 0 | 960/0% |
交易详情
| 2025-07-31 | 豆粕2509(m2509.DCE) | 卖 | -1 | 3007 | -3007 | ¥2 | 530 |
| 2025-07-31 | 豆粕2509(m2509.DCE) | 卖 | -2 | 3007 | -6014 | ¥4 | 0 |
| 2025-07-31 | 热轧卷板2510(hc2510.SHF) | 买 | 1 | 3461 | 3461 | ¥2 | -1660 |
| 2025-07-31 | 热轧卷板2510(hc2510.SHF) | 买 | 2 | 3461 | 6922 | ¥4 | 0 |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 买 | 1 | 3301 | 3301 | ¥2 | 510 |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 买 | 2 | 3301 | 6602 | ¥4 | 0 |
| 2025-07-31 | 豆粕2509(m2509.DCE) | 买 | 1 | 3007 | 3007 | ¥2 | 0 |
| 2025-07-31 | 热轧卷板2510(hc2510.SHF) | 卖 | -1 | 3461 | -3461 | ¥2 | 0 |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 卖 | -1 | 3301 | -3301 | ¥2 | 0 |
| 2025-07-31 | PTA9月(TA509.CZC) | 卖 | -1 | 4864 | -4864 | ¥2 | 760 |
