期货研究

策略回测对比

2026-04-25 16:13:59 · 11 策略 × 27 品种

BEST STRATEGY

均线多空排列
年化 1.2%

HIGHEST WIN RATE

跳空缺口
54.0%

LOWEST DRAWDOWN

跳空缺口
-2.3%

MOST TRADES

波动率突破
1514 笔

策略综合排名

策略品种交易胜率年化回撤
均线多空排列 27 1019 43.2% 1.2% -6.9%
三均线趋势 27 1324 36.3% 1.1% -7.3%
动量突破 27 655 42.0% 0.9% -6.6%
双EXPMA趋势 27 1477 45.2% 0.4% -9.6%
跳空缺口 27 176 54.0% 0.4% -2.3%
MACD+KDJ双确认 27 502 46.2% 0.3% -6.0%
海龟突破 27 1159 44.8% 0.1% -9.2%
价量背离 27 373 35.4% -0.1% -4.4%
波动率突破 27 1514 36.8% -0.8% -10.3%
RSI极值反转 27 305 34.8% -1.1% -5.9%
布林带回归 27 688 29.7% -1.6% -9.1%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 52 48.08% 0.97 -0.23% -5.82% -0.08
豆粕(m2609) 52 40.38% 0.98 -0.2% -10.73% -0.05
豆油(y2609) 53 37.74% 0.81 -1.87% -10.15% -0.42
棕榈油(p2609) 55 40.0% 0.79 -2.29% -13.02% -0.42
玉米(c2607) 53 49.06% 1.37 2.0% -2.76% 0.62
棉花(cf2609) 54 51.85% 1.66 3.73% -2.8% 0.98
白糖(sr2609) 57 36.84% 0.61 -2.54% -10.42% -0.84
菜油(oi2609) 55 38.18% 0.68 -3.15% -12.59% -0.66
沪铜(cu2606) 56 51.79% 1.29 2.03% -5.13% 0.47
沪铝(al2606) 56 51.79% 1.11 0.81% -4.38% 0.19
沪锌(zn2606) 57 43.86% 0.95 -0.39% -7.66% -0.1
沪镍(ni2606) 57 33.33% 0.79 -2.47% -14.63% -0.44
沪锡(sn2606) 57 42.11% 0.89 -1.18% -13.52% -0.18
沪金(au2606) 67 68.66% 2.23 6.8% -3.42% 1.6
沪银(ag2606) 67 46.27% 0.92 -0.97% -15.73% -0.17
螺纹钢(rb2610) 57 35.09% 0.66 -3.23% -12.65% -0.8
热卷(hc2610) 59 37.29% 0.76 -2.15% -10.31% -0.58
铁矿石(i2609) 49 36.73% 0.69 -3.59% -11.42% -0.6
焦炭(j2609) 53 47.17% 0.9 -1.33% -11.24% -0.16
焦煤(jm2609) 55 49.09% 1.13 2.04% -13.43% 0.28
原油(sc2606) 56 50.0% 1.21 2.47% -8.71% 0.38
燃油(fu2606) 61 45.9% 1.07 0.94% -10.5% 0.15
甲醇(ma2609) 57 38.6% 0.88 -1.27% -15.26% -0.24
PTA(ta2609) 62 40.32% 0.94 -0.65% -11.44% -0.13
聚丙烯(pp2609) 54 44.44% 1.31 1.55% -8.81% 0.44
碳酸锂(lc2609) 46 65.22% 2.2 10.05% -7.44% 1.34
多晶硅(ps2606) 20 55.0% 1.45 6.79% -5.72% 0.86

均线多空排列

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 40 40.0% 0.8 -1.13% -6.82% -0.4
豆粕(m2609) 38 47.37% 1.28 1.56% -5.06% 0.41
豆油(y2609) 34 29.41% 0.76 -1.35% -8.21% -0.42
棕榈油(p2609) 35 42.86% 1.32 1.57% -6.0% 0.38
玉米(c2607) 39 48.72% 1.11 0.42% -2.95% 0.13
棉花(cf2609) 42 54.76% 1.82 3.11% -2.18% 0.92
白糖(sr2609) 34 32.35% 0.72 -1.1% -3.79% -0.52
菜油(oi2609) 41 29.27% 0.67 -2.48% -10.22% -0.63
沪铜(cu2606) 42 47.62% 1.56 2.47% -3.4% 0.74
沪铝(al2606) 39 46.15% 1.2 0.85% -2.93% 0.26
沪锌(zn2606) 36 33.33% 0.83 -0.96% -7.31% -0.26
沪镍(ni2606) 37 27.03% 0.78 -1.64% -9.85% -0.42
沪锡(sn2606) 39 46.15% 1.29 1.99% -10.97% 0.41
沪金(au2606) 56 58.93% 1.74 4.29% -3.51% 1.22
沪银(ag2606) 47 48.94% 1.49 3.44% -7.85% 0.73
螺纹钢(rb2610) 34 41.18% 1.08 0.36% -4.47% 0.09
热卷(hc2610) 37 37.84% 0.92 -0.38% -3.84% -0.14
铁矿石(i2609) 33 30.3% 0.75 -2.16% -10.61% -0.44
焦炭(j2609) 35 40.0% 0.87 -1.31% -9.14% -0.2
焦煤(jm2609) 38 50.0% 1.39 3.79% -9.83% 0.61
原油(sc2606) 38 52.63% 1.53 3.81% -8.14% 0.66
燃油(fu2606) 41 43.9% 1.29 2.33% -8.24% 0.42
甲醇(ma2609) 37 37.84% 1.19 1.13% -9.82% 0.25
PTA(ta2609) 36 41.67% 1.13 0.8% -6.05% 0.18
聚丙烯(pp2609) 38 36.84% 1.27 1.04% -9.11% 0.32
碳酸锂(lc2609) 40 57.5% 2.19 9.55% -6.79% 1.42
多晶硅(ps2606) 13 53.85% 1.26 2.85% -7.88% 0.42

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 48 39.58% 0.94 -0.33% -5.51% -0.13
豆粕(m2609) 46 39.13% 1.1 0.66% -5.44% 0.17
豆油(y2609) 41 24.39% 0.72 -1.65% -9.85% -0.5
棕榈油(p2609) 52 32.69% 1.13 0.84% -9.44% 0.18
玉米(c2607) 44 52.27% 1.39 1.59% -3.0% 0.56
棉花(cf2609) 53 47.17% 1.89 3.8% -2.04% 1.06
白糖(sr2609) 41 31.71% 0.76 -0.86% -3.6% -0.39
菜油(oi2609) 49 28.57% 0.68 -2.48% -9.99% -0.62
沪铜(cu2606) 56 35.71% 1.24 1.37% -4.25% 0.38
沪铝(al2606) 56 33.93% 1.11 0.54% -3.57% 0.14
沪锌(zn2606) 48 31.25% 0.79 -1.42% -8.93% -0.38
沪镍(ni2606) 57 19.3% 0.79 -1.89% -11.0% -0.43
沪锡(sn2606) 55 38.18% 1.21 1.83% -10.95% 0.35
沪金(au2606) 72 48.61% 1.42 3.12% -6.5% 0.79
沪银(ag2606) 63 39.68% 1.4 3.21% -8.04% 0.62
螺纹钢(rb2610) 51 29.41% 0.93 -0.43% -5.55% -0.14
热卷(hc2610) 52 30.77% 0.89 -0.61% -5.28% -0.21
铁矿石(i2609) 40 25.0% 0.71 -2.47% -9.73% -0.47
焦炭(j2609) 48 33.33% 0.88 -1.46% -11.06% -0.22
焦煤(jm2609) 47 40.43% 1.34 3.45% -9.55% 0.53
原油(sc2606) 50 44.0% 1.41 3.62% -9.93% 0.61
燃油(fu2606) 45 42.22% 1.4 3.13% -7.33% 0.53
甲醇(ma2609) 44 34.09% 1.22 1.3% -7.88% 0.28
PTA(ta2609) 52 32.69% 1.18 1.14% -5.46% 0.24
聚丙烯(pp2609) 47 34.04% 1.39 1.52% -7.87% 0.47
碳酸锂(lc2609) 53 45.28% 1.63 7.16% -9.4% 0.98
多晶硅(ps2606) 14 50.0% 1.7 5.75% -7.08% 0.73

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 46 39.13% 0.71 -1.92% -6.55% -0.62
豆粕(m2609) 46 45.65% 1.21 1.82% -10.24% 0.39
豆油(y2609) 42 40.48% 0.99 -0.1% -9.3% -0.03
棕榈油(p2609) 43 44.19% 0.84 -1.55% -7.63% -0.31
玉米(c2607) 47 42.55% 1.03 0.14% -4.73% 0.01
棉花(cf2609) 43 60.47% 1.98 3.5% -2.44% 1.05
白糖(sr2609) 46 36.96% 0.53 -3.03% -9.26% -1.23
菜油(oi2609) 36 47.22% 1.21 1.24% -4.38% 0.26
沪铜(cu2606) 50 46.0% 0.99 -0.08% -4.74% -0.04
沪铝(al2606) 45 51.11% 1.12 0.71% -5.31% 0.19
沪锌(zn2606) 43 37.21% 0.71 -2.31% -10.05% -0.6
沪镍(ni2606) 40 37.5% 0.61 -4.15% -14.89% -0.87
沪锡(sn2606) 39 43.59% 0.84 -1.45% -11.47% -0.28
沪金(au2606) 53 58.49% 1.6 3.81% -4.91% 1.08
沪银(ag2606) 48 43.75% 1.12 1.37% -9.99% 0.24
螺纹钢(rb2610) 43 48.84% 1.02 0.15% -5.93% 0.03
热卷(hc2610) 41 48.78% 1.01 0.08% -5.07% 0.01
铁矿石(i2609) 42 33.33% 0.61 -4.93% -18.58% -0.82
焦炭(j2609) 39 46.15% 1.02 0.19% -10.22% 0.05
焦煤(jm2609) 44 47.73% 1.18 2.7% -14.57% 0.35
原油(sc2606) 46 50.0% 1.23 2.78% -9.49% 0.43
燃油(fu2606) 47 42.55% 1.01 0.15% -11.26% 0.04
甲醇(ma2609) 46 34.78% 0.77 -2.64% -14.83% -0.51
PTA(ta2609) 41 43.9% 0.92 -0.68% -8.16% -0.14
聚丙烯(pp2609) 47 38.3% 0.95 -0.31% -11.28% -0.09
碳酸锂(lc2609) 39 53.85% 1.36 5.16% -11.03% 0.66
多晶硅(ps2606) 17 47.06% 1.17 3.0% -11.44% 0.42

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 26 42.31% 1.0 0.01% -5.02% -0.01
豆粕(m2609) 23 47.83% 1.57 2.24% -5.59% 0.61
豆油(y2609) 20 35.0% 0.62 -1.68% -9.16% -0.57
棕榈油(p2609) 22 40.91% 1.03 0.14% -6.41% 0.04
玉米(c2607) 27 40.74% 0.98 -0.06% -3.79% -0.05
棉花(cf2609) 25 52.0% 1.48 1.22% -2.47% 0.44
白糖(sr2609) 21 33.33% 0.44 -1.74% -5.4% -0.9
菜油(oi2609) 24 29.17% 0.72 -1.52% -7.95% -0.43
沪铜(cu2606) 28 39.29% 0.88 -0.61% -5.56% -0.19
沪铝(al2606) 26 42.31% 1.02 0.07% -3.84% 0.01
沪锌(zn2606) 23 39.13% 1.03 0.13% -3.47% 0.04
沪镍(ni2606) 20 40.0% 1.38 1.61% -4.75% 0.34
沪锡(sn2606) 25 36.0% 0.87 -0.92% -7.76% -0.18
沪金(au2606) 33 54.55% 1.75 3.21% -4.81% 0.88
沪银(ag2606) 29 44.83% 1.72 4.5% -10.27% 0.82
螺纹钢(rb2610) 26 38.46% 0.66 -1.69% -6.66% -0.54
热卷(hc2610) 24 37.5% 0.8 -0.83% -5.7% -0.27
铁矿石(i2609) 22 27.27% 0.6 -3.15% -9.32% -0.73
焦炭(j2609) 22 45.45% 1.0 0.02% -8.02% 0.02
焦煤(jm2609) 27 44.44% 1.27 2.6% -9.67% 0.38
原油(sc2606) 26 42.31% 1.14 1.04% -11.89% 0.19
燃油(fu2606) 25 48.0% 1.49 3.32% -5.04% 0.51
甲醇(ma2609) 25 48.0% 1.26 1.51% -7.25% 0.32
PTA(ta2609) 26 34.62% 0.84 -1.09% -9.3% -0.23
聚丙烯(pp2609) 26 42.31% 1.6 1.95% -5.89% 0.49
碳酸锂(lc2609) 25 48.0% 1.73 7.19% -8.21% 0.97
多晶硅(ps2606) 9 66.67% 2.24 6.71% -4.16% 0.76

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 55 43.64% 1.22 1.23% -5.16% 0.33
豆粕(m2609) 55 43.64% 1.5 3.87% -4.39% 0.79
豆油(y2609) 52 34.62% 0.93 -0.59% -8.77% -0.17
棕榈油(p2609) 56 35.71% 0.9 -1.09% -8.82% -0.22
玉米(c2607) 62 38.71% 1.12 0.73% -4.08% 0.21
棉花(cf2609) 56 46.43% 1.3 1.65% -3.47% 0.46
白糖(sr2609) 54 35.19% 0.66 -2.03% -8.34% -0.77
菜油(oi2609) 49 30.61% 0.74 -2.52% -11.58% -0.57
沪铜(cu2606) 59 44.07% 1.11 0.77% -6.54% 0.18
沪铝(al2606) 58 37.93% 0.9 -0.73% -7.53% -0.25
沪锌(zn2606) 55 36.36% 0.81 -1.46% -9.62% -0.38
沪镍(ni2606) 57 33.33% 0.76 -2.87% -11.91% -0.56
沪锡(sn2606) 53 37.74% 0.87 -1.52% -10.77% -0.26
沪金(au2606) 72 47.22% 1.45 3.61% -4.45% 0.82
沪银(ag2606) 66 39.39% 1.21 2.68% -11.0% 0.39
螺纹钢(rb2610) 48 35.42% 0.73 -1.84% -6.22% -0.51
热卷(hc2610) 51 41.18% 0.99 -0.03% -4.86% -0.03
铁矿石(i2609) 62 27.42% 0.63 -6.36% -20.57% -0.95
焦炭(j2609) 59 27.12% 0.6 -7.45% -21.12% -1.03
焦煤(jm2609) 56 41.07% 1.05 0.89% -15.13% 0.13
原油(sc2606) 65 32.31% 0.85 -2.67% -15.39% -0.37
燃油(fu2606) 64 29.69% 0.66 -5.81% -18.5% -0.82
甲醇(ma2609) 60 31.67% 0.78 -2.92% -14.4% -0.53
PTA(ta2609) 57 33.33% 0.77 -2.43% -10.75% -0.51
聚丙烯(pp2609) 62 30.65% 0.89 -0.8% -11.07% -0.22
碳酸锂(lc2609) 50 42.0% 1.07 1.48% -11.72% 0.19
多晶硅(ps2606) 21 38.1% 1.26 5.81% -13.03% 0.64

布林带回归

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 26 30.77% 0.85 -0.52% -5.47% -0.24
豆粕(m2609) 27 37.04% 0.89 -0.53% -7.28% -0.2
豆油(y2609) 23 43.48% 1.37 1.05% -3.53% 0.39
棕榈油(p2609) 25 28.0% 0.7 -1.6% -11.45% -0.44
玉米(c2607) 35 37.14% 1.01 0.03% -4.01% -0.02
棉花(cf2609) 33 30.3% 0.54 -1.88% -6.44% -0.77
白糖(sr2609) 19 31.58% 0.58 -0.85% -3.86% -0.61
菜油(oi2609) 19 47.37% 1.2 0.61% -3.04% 0.2
沪铜(cu2606) 31 22.58% 0.63 -2.01% -9.02% -0.65
沪铝(al2606) 22 27.27% 0.71 -0.89% -5.06% -0.39
沪锌(zn2606) 21 33.33% 0.8 -0.68% -6.55% -0.23
沪镍(ni2606) 18 38.89% 1.18 0.62% -5.38% 0.16
沪锡(sn2606) 24 29.17% 0.52 -2.98% -11.76% -0.65
沪金(au2606) 48 22.92% 1.06 0.35% -7.32% 0.07
沪银(ag2606) 44 20.45% 0.48 -6.94% -28.88% -1.15
螺纹钢(rb2610) 19 15.79% 0.38 -2.39% -8.01% -0.92
热卷(hc2610) 23 17.39% 0.42 -2.31% -8.03% -0.9
铁矿石(i2609) 14 64.29% 3.93 4.72% -3.61% 1.37
焦炭(j2609) 16 56.25% 2.44 4.46% -3.96% 1.0
焦煤(jm2609) 20 45.0% 1.82 4.46% -6.27% 0.67
原油(sc2606) 30 23.33% 0.54 -4.12% -12.57% -0.63
燃油(fu2606) 29 17.24% 0.36 -6.32% -17.89% -1.18
甲醇(ma2609) 21 19.05% 0.29 -4.47% -13.21% -1.03
PTA(ta2609) 25 32.0% 1.0 0.02% -8.68% 0.01
聚丙烯(pp2609) 30 33.33% 0.74 -1.38% -10.46% -0.36
碳酸锂(lc2609) 34 17.65% 0.34 -10.72% -24.32% -1.32
多晶硅(ps2606) 12 25.0% 0.44 -8.77% -10.36% -1.2

RSI极值反转

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 12 50.0% 1.69 0.83% -2.08% 0.46
豆粕(m2609) 20 30.0% 0.48 -2.45% -10.09% -1.06
豆油(y2609) 10 60.0% 1.59 0.76% -1.73% 0.44
棕榈油(p2609) 12 16.67% 0.24 -2.6% -8.66% -1.26
玉米(c2607) 14 71.43% 3.38 1.88% -1.03% 1.17
棉花(cf2609) 13 46.15% 1.01 0.01% -3.29% -0.01
白糖(sr2609) 9 44.44% 1.13 0.13% -1.56% 0.11
菜油(oi2609) 7 42.86% 0.91 -0.14% -3.78% -0.06
沪铜(cu2606) 15 26.67% 0.57 -1.34% -4.4% -0.6
沪铝(al2606) 9 44.44% 0.71 -0.41% -2.58% -0.28
沪锌(zn2606) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2606) 11 45.45% 0.82 -0.49% -4.97% -0.19
沪锡(sn2606) 10 20.0% 0.36 -2.36% -6.93% -0.92
沪金(au2606) 21 33.33% 0.89 -0.37% -4.66% -0.14
沪银(ag2606) 20 20.0% 0.38 -4.3% -14.81% -0.95
螺纹钢(rb2610) 9 22.22% 0.47 -1.08% -6.52% -0.52
热卷(hc2610) 7 28.57% 0.69 -0.45% -4.55% -0.23
铁矿石(i2609) 5 40.0% 0.64 -0.54% -4.43% -0.21
焦炭(j2609) 5 60.0% 1.49 0.63% -3.36% 0.24
焦煤(jm2609) 6 16.67% 0.27 -2.42% -8.46% -0.87
原油(sc2606) 11 45.45% 1.17 0.37% -2.84% 0.12
燃油(fu2606) 8 25.0% 0.49 -1.47% -7.95% -0.51
甲醇(ma2609) 11 27.27% 0.3 -2.49% -7.3% -0.86
PTA(ta2609) 8 37.5% 1.11 0.22% -4.34% 0.08
聚丙烯(pp2609) 12 8.33% 0.08 -3.97% -11.47% -1.59
碳酸锂(lc2609) 23 30.43% 0.65 -3.73% -15.29% -0.61
多晶硅(ps2606) 9 33.33% 0.74 -2.66% -7.97% -0.42

MACD+KDJ双确认

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 15 66.67% 3.16 1.93% -2.07% 0.97
豆粕(m2609) 21 38.1% 0.78 -1.0% -5.91% -0.32
豆油(y2609) 19 42.11% 0.6 -1.43% -7.28% -0.59
棕榈油(p2609) 21 42.86% 0.97 -0.13% -6.01% -0.03
玉米(c2607) 18 50.0% 1.32 0.62% -2.9% 0.35
棉花(cf2609) 22 45.45% 1.12 0.34% -3.73% 0.13
白糖(sr2609) 16 56.25% 1.37 0.56% -3.92% 0.29
菜油(oi2609) 19 42.11% 0.57 -1.77% -7.02% -0.57
沪铜(cu2606) 19 57.89% 2.54 2.29% -3.5% 1.02
沪铝(al2606) 16 56.25% 1.16 0.35% -3.22% 0.15
沪锌(zn2606) 22 50.0% 0.86 -0.46% -5.5% -0.19
沪镍(ni2606) 21 33.33% 0.49 -2.69% -8.34% -0.82
沪锡(sn2606) 18 66.67% 3.66 4.5% -4.22% 1.19
沪金(au2606) 19 68.42% 2.84 2.33% -1.64% 1.13
沪银(ag2606) 17 47.06% 1.6 1.72% -5.75% 0.57
螺纹钢(rb2610) 22 31.82% 0.42 -2.8% -9.87% -1.01
热卷(hc2610) 20 25.0% 0.44 -2.21% -7.28% -0.93
铁矿石(i2609) 16 56.25% 1.26 0.94% -5.61% 0.24
焦炭(j2609) 19 36.84% 0.69 -1.97% -8.76% -0.37
焦煤(jm2609) 17 41.18% 0.89 -0.66% -8.5% -0.12
原油(sc2606) 24 37.5% 0.66 -2.47% -13.51% -0.5
燃油(fu2606) 20 30.0% 0.61 -2.45% -13.24% -0.5
甲醇(ma2609) 19 36.84% 0.47 -2.36% -10.91% -0.66
PTA(ta2609) 23 43.48% 1.16 0.62% -5.33% 0.18
聚丙烯(pp2609) 21 52.38% 1.57 0.95% -1.83% 0.47
碳酸锂(lc2609) 13 61.54% 2.35 3.09% -3.64% 0.75
多晶硅(ps2606) 5 80.0% 14.47 9.11% -3.6% 1.71

价量背离

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 18 33.33% 1.15 0.26% -2.73% 0.14
豆粕(m2609) 10 30.0% 0.83 -0.25% -2.8% -0.16
豆油(y2609) 11 18.18% 0.31 -1.26% -5.33% -0.83
棕榈油(p2609) 8 12.5% 0.09 -1.45% -5.15% -0.89
玉米(c2607) 17 41.18% 1.21 0.31% -1.83% 0.2
棉花(cf2609) 18 33.33% 0.7 -0.63% -4.29% -0.39
白糖(sr2609) 13 53.85% 2.46 1.18% -1.28% 0.9
菜油(oi2609) 11 45.45% 1.56 0.72% -2.13% 0.35
沪铜(cu2606) 9 22.22% 0.16 -1.24% -3.73% -0.81
沪铝(al2606) 11 54.55% 1.54 0.5% -1.87% 0.39
沪锌(zn2606) 8 50.0% 1.64 0.56% -2.05% 0.36
沪镍(ni2606) 12 58.33% 2.38 1.97% -3.13% 0.69
沪锡(sn2606) 20 30.0% 0.38 -2.59% -8.43% -0.91
沪金(au2606) 17 17.65% 0.59 -0.84% -4.69% -0.64
沪银(ag2606) 21 33.33% 0.69 -1.4% -9.78% -0.4
螺纹钢(rb2610) 12 58.33% 2.41 1.2% -1.58% 0.65
热卷(hc2610) 12 33.33% 1.15 0.19% -2.34% 0.11
铁矿石(i2609) 19 36.84% 1.22 0.77% -5.78% 0.23
焦炭(j2609) 12 33.33% 0.82 -0.54% -4.47% -0.2
焦煤(jm2609) 11 36.36% 1.27 0.94% -6.86% 0.28
原油(sc2606) 25 28.0% 0.91 -0.47% -9.65% -0.09
燃油(fu2606) 21 42.86% 1.43 1.79% -6.14% 0.4
甲醇(ma2609) 16 43.75% 1.18 0.48% -2.56% 0.16
PTA(ta2609) 9 22.22% 0.51 -0.73% -4.8% -0.46
聚丙烯(pp2609) 11 27.27% 0.76 -0.28% -1.83% -0.35
碳酸锂(lc2609) 13 23.08% 0.43 -2.98% -7.2% -0.74
多晶硅(ps2606) 8 37.5% 1.28 1.88% -5.87% 0.32

跳空缺口

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 6 33.33% 0.55 -0.31% -2.85% -0.3
豆粕(m2609) 5 80.0% 2.89 0.65% -1.86% 0.45
豆油(y2609) 4 50.0% 1.32 0.19% -1.35% 0.21
棕榈油(p2609) 6 66.67% 2.87 1.23% -2.02% 0.74
玉米(c2607) 5 40.0% 0.57 -0.23% -1.23% -0.3
棉花(cf2609) 4 100.0% inf 1.01% -0.31% 1.42
白糖(sr2609) 7 85.71% 5.36 0.85% -1.62% 0.68
菜油(oi2609) 2 50.0% 1.45 0.09% -0.87% 0.14
沪铜(cu2606) 14 42.86% 1.25 0.32% -2.56% 0.2
沪铝(al2606) 3 66.67% 3.16 0.3% -0.42% 0.63
沪锌(zn2606) 6 33.33% 1.05 0.03% -1.58% 0.02
沪镍(ni2606) 3 33.33% 0.48 -0.45% -2.56% -0.33
沪锡(sn2606) 4 50.0% 0.97 -0.03% -1.74% -0.02
沪金(au2606) 13 69.23% 2.37 1.54% -1.93% 0.98
沪银(ag2606) 11 54.55% 2.13 1.17% -2.76% 0.41
螺纹钢(rb2610) 3 33.33% 0.93 -0.02% -0.9% -0.05
热卷(hc2610) 1 100.0% inf 0.28% -0.01% 0.8
铁矿石(i2609) 5 40.0% 0.79 -0.23% -2.11% -0.19
焦炭(j2609) 5 40.0% 0.35 -1.01% -4.83% -0.48
焦煤(jm2609) 6 50.0% 0.69 -0.53% -3.26% -0.28
原油(sc2606) 17 52.94% 1.57 1.92% -4.87% 0.44
燃油(fu2606) 21 57.14% 1.42 1.69% -7.62% 0.46
甲醇(ma2609) 4 25.0% 0.33 -0.87% -2.73% -0.59
PTA(ta2609) 6 50.0% 1.01 0.01% -2.1% 0.01
聚丙烯(pp2609) 6 50.0% 1.77 0.32% -1.63% 0.29
碳酸锂(lc2609) 5 40.0% 0.6 -1.0% -4.11% -0.34
多晶硅(ps2606) 4 75.0% 3.92 4.28% -1.43% 1.77