焦煤期货近远月套利交易策略:年化收益率(80.14%)
以焦煤期货的主力合约和焦炭期货的主力合约的价格之比作为价差,统计在过去一个较长时间窗口下的分位数,若较高则做空价差,若较低则做多价差
以焦煤期货的主力合约和焦炭期货的主力合约的价格之比作为价差,统计在过去一个较长时间窗口下的分位数,若较高则做空价差,若较低则做多价差
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
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2025-08-01 | 焦炭主力(j8888.DCE) | 1702 | 158 | 7 | 1585 | 0 | -1848600/0% |
2025-08-01 | 焦煤主力(jm8888.DCE) | 1140.5 | -158 | 7 | 1092.5 | 0 | 455040/0% |
2025-07-31 | 焦炭主力(j8888.DCE) | 1702 | 158 | 6 | 1601 | 0 | -1595800/0% |
2025-07-31 | 焦煤主力(jm8888.DCE) | 1140.5 | -158 | 6 | 1135 | 0 | 52140/0% |
2025-07-30 | 焦炭主力(j8888.DCE) | 1702 | 158 | 5 | 1676.5 | 0 | -402900/0% |
2025-07-30 | 焦煤主力(jm8888.DCE) | 1140.5 | -158 | 5 | 1117 | 0 | 222780/0% |
2025-07-29 | 焦炭主力(j8888.DCE) | 1702 | 158 | 4 | 1633 | 0 | -1090200/0% |
2025-07-29 | 焦煤主力(jm8888.DCE) | 1140.5 | -158 | 4 | 1120.5 | 0 | 189600/0% |
2025-07-28 | 焦炭主力(j8888.DCE) | 1702 | 158 | 3 | 1608.5 | 0 | -1477300/0% |
2025-07-28 | 焦煤主力(jm8888.DCE) | 1140.5 | -158 | 3 | 1100.5 | 0 | 379200/0% |
2025-07-24 | 焦煤主力(jm8888.DCE) | 卖 | -158 | 1140.5 | -180199 | ¥316 | 0 |
2025-07-24 | 焦炭主力(j8888.DCE) | 买 | 158 | 1702 | 268916 | ¥316 | 0 |
2025-06-24 | 焦煤主力(jm8888.DCE) | 卖 | -160 | 806.5 | -129040 | ¥320 | -878400 |
2025-06-24 | 焦炭主力(j8888.DCE) | 买 | 160 | 1385 | 221600 | ¥320 | 1568000 |
2025-05-13 | 焦煤主力(jm8888.DCE) | 买 | 160 | 898 | 143680 | ¥320 | 0 |
2025-05-13 | 焦炭主力(j8888.DCE) | 卖 | -160 | 1483 | -237280 | ¥320 | 0 |
2025-05-12 | 焦煤主力(jm8888.DCE) | 卖 | -125 | 877 | -109625 | ¥250 | -686250 |
2025-05-12 | 焦炭主力(j8888.DCE) | 买 | 125 | 1453 | 181625 | ¥250 | 1487500 |
2025-04-17 | 焦煤主力(jm8888.DCE) | 买 | 125 | 968.5 | 121062.5 | ¥250 | 0 |
2025-04-17 | 焦炭主力(j8888.DCE) | 卖 | -125 | 1572 | -196500 | ¥250 | 0 |