期货研究

策略回测对比

2026-05-14 09:46:46 · 11 策略 × 31 品种

BEST STRATEGY

均线多空排列
年化 1.4%

HIGHEST WIN RATE

跳空缺口
51.1%

LOWEST DRAWDOWN

跳空缺口
-2.9%

MOST TRADES

波动率突破
1748 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 31 1174 43.2% 1.4% -7.0%
三均线趋势 31 1533 36.3% 1.3% -7.6%
动量突破 31 755 41.9% 1.0% -7.0%
海龟突破 31 1341 45.1% 0.5% -9.4%
双EXPMA趋势 31 1709 44.8% 0.3% -10.0%
跳空缺口 31 225 51.1% 0.2% -2.9%
价量背离 31 466 35.2% 0.1% -5.1%
MACD+KDJ双确认 31 566 45.2% -0.0% -6.4%
波动率突破 31 1748 37.1% -0.2% -10.5%
RSI极值反转 31 360 34.4% -1.3% -6.6%
布林带回归 31 803 30.3% -1.5% -9.6%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 52 46.15% 0.94 -0.4% -5.82% -0.13
豆粕(m2609) 52 40.38% 1.0 0.02% -10.73% -0.0
豆油(y2609) 53 37.74% 0.81 -1.82% -10.15% -0.42
棕榈油(p2609) 55 38.18% 0.76 -2.53% -13.02% -0.47
玉米(c2607) 53 49.06% 1.31 1.74% -2.76% 0.54
棉花(cf2609) 54 53.7% 1.7 3.85% -2.8% 1.01
白糖(sr2609) 57 38.6% 0.63 -2.35% -10.42% -0.78
菜油(oi2609) 55 38.18% 0.68 -3.12% -12.68% -0.66
沪铜(cu2606) 57 52.63% 1.39 2.63% -5.13% 0.62
沪铝(al2606) 57 49.12% 1.08 0.62% -4.38% 0.14
沪锌(zn2606) 58 43.1% 0.96 -0.36% -7.66% -0.09
沪镍(ni2606) 58 32.76% 0.81 -2.13% -14.63% -0.38
沪锡(sn2606) 57 43.86% 1.0 -0.03% -13.52% 0.01
沪金(au2606) 67 68.66% 2.23 6.69% -3.42% 1.58
沪银(ag2608) 68 45.59% 0.88 -1.57% -15.73% -0.27
螺纹钢(rb2610) 58 34.48% 0.68 -3.01% -12.65% -0.75
热卷(hc2610) 60 36.67% 0.78 -2.01% -10.31% -0.55
铁矿石(i2609) 51 37.25% 0.7 -3.49% -12.14% -0.59
焦炭(j2609) 53 45.28% 0.9 -1.39% -11.56% -0.17
焦煤(jm2609) 55 49.09% 1.12 1.92% -13.68% 0.26
原油(sc2606) 58 48.28% 1.1 1.25% -8.71% 0.2
燃油(fu2609) 61 45.9% 1.11 1.39% -10.5% 0.22
甲醇(ma2609) 58 37.93% 0.87 -1.34% -15.26% -0.25
PTA(ta2609) 62 40.32% 0.93 -0.74% -11.44% -0.15
聚丙烯(pp2609) 55 45.45% 1.37 1.83% -8.81% 0.51
碳酸锂(lc2609) 47 65.96% 2.35 11.05% -7.44% 1.47
多晶硅(ps2606) 21 57.14% 1.5 7.2% -5.72% 0.92
生猪(lh2607) 56 48.21% 1.28 2.25% -5.27% 0.4
玻璃(fg2609) 53 39.62% 0.92 -1.4% -11.9% -0.15
纯碱(sa2609) 59 40.68% 0.81 -3.14% -13.84% -0.4
集运欧线(ec2606) 49 46.94% 0.9 -1.99% -19.06% -0.21

均线多空排列

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 40 37.5% 0.77 -1.27% -6.82% -0.44
豆粕(m2609) 38 47.37% 1.32 1.75% -5.06% 0.47
豆油(y2609) 35 28.57% 0.75 -1.4% -8.21% -0.44
棕榈油(p2609) 36 41.67% 1.28 1.4% -6.0% 0.34
玉米(c2607) 39 46.15% 1.06 0.22% -2.95% 0.06
棉花(cf2609) 42 57.14% 1.88 3.25% -2.18% 0.96
白糖(sr2609) 35 34.29% 0.75 -0.98% -3.89% -0.47
菜油(oi2609) 42 28.57% 0.65 -2.67% -10.22% -0.69
沪铜(cu2606) 43 48.84% 1.65 2.8% -3.4% 0.84
沪铝(al2606) 39 43.59% 1.15 0.67% -2.93% 0.2
沪锌(zn2606) 37 35.14% 0.86 -0.77% -7.31% -0.21
沪镍(ni2606) 38 28.95% 0.83 -1.32% -9.85% -0.33
沪锡(sn2606) 40 47.5% 1.35 2.37% -10.97% 0.49
沪金(au2606) 57 57.89% 1.64 3.89% -4.43% 1.11
沪银(ag2608) 47 48.94% 1.49 3.38% -7.85% 0.73
螺纹钢(rb2610) 35 40.0% 1.12 0.56% -4.47% 0.15
热卷(hc2610) 38 36.84% 0.94 -0.26% -3.84% -0.1
铁矿石(i2609) 34 29.41% 0.75 -2.16% -10.94% -0.44
焦炭(j2609) 35 40.0% 0.86 -1.38% -9.57% -0.21
焦煤(jm2609) 38 47.37% 1.37 3.62% -10.15% 0.58
原油(sc2606) 38 52.63% 1.53 3.74% -8.14% 0.65
燃油(fu2609) 42 42.86% 1.28 2.24% -8.24% 0.41
甲醇(ma2609) 37 37.84% 1.19 1.11% -9.82% 0.25
PTA(ta2609) 37 40.54% 1.06 0.38% -6.05% 0.09
聚丙烯(pp2609) 39 38.46% 1.27 1.03% -9.11% 0.32
碳酸锂(lc2609) 41 58.54% 2.38 10.65% -6.79% 1.58
多晶硅(ps2606) 14 50.0% 1.19 2.09% -7.88% 0.33
生猪(lh2607) 39 48.72% 1.41 2.29% -4.92% 0.5
玻璃(fg2609) 34 35.29% 0.8 -2.07% -9.42% -0.31
纯碱(sa2609) 32 43.75% 1.01 0.07% -5.92% 0.03
集运欧线(ec2606) 33 54.55% 1.94 10.91% -8.95% 1.44

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 48 37.5% 0.91 -0.48% -5.51% -0.18
豆粕(m2609) 46 39.13% 1.14 0.86% -5.44% 0.22
豆油(y2609) 42 23.81% 0.71 -1.65% -9.85% -0.5
棕榈油(p2609) 53 32.08% 1.1 0.66% -9.44% 0.14
玉米(c2607) 44 50.0% 1.33 1.37% -3.0% 0.48
棉花(cf2609) 53 49.06% 1.94 3.92% -2.04% 1.1
白糖(sr2609) 42 30.95% 0.78 -0.81% -3.6% -0.37
菜油(oi2609) 50 28.0% 0.68 -2.49% -9.99% -0.63
沪铜(cu2606) 58 37.93% 1.35 1.98% -4.25% 0.56
沪铝(al2606) 56 32.14% 1.07 0.37% -3.57% 0.08
沪锌(zn2606) 49 32.65% 0.81 -1.22% -8.93% -0.33
沪镍(ni2606) 58 20.69% 0.83 -1.57% -11.0% -0.35
沪锡(sn2606) 56 39.29% 1.26 2.22% -10.95% 0.42
沪金(au2606) 75 46.67% 1.38 2.88% -7.05% 0.72
沪银(ag2608) 64 39.06% 1.32 2.72% -8.04% 0.53
螺纹钢(rb2610) 52 28.85% 0.96 -0.25% -5.55% -0.09
热卷(hc2610) 53 30.19% 0.92 -0.42% -5.28% -0.15
铁矿石(i2609) 41 24.39% 0.71 -2.51% -10.23% -0.49
焦炭(j2609) 48 33.33% 0.88 -1.52% -11.49% -0.23
焦煤(jm2609) 47 40.43% 1.32 3.29% -9.85% 0.51
原油(sc2606) 51 43.14% 1.38 3.34% -9.93% 0.56
燃油(fu2609) 46 43.48% 1.41 3.17% -7.33% 0.54
甲醇(ma2609) 44 34.09% 1.22 1.28% -7.88% 0.28
PTA(ta2609) 53 32.08% 1.1 0.71% -5.46% 0.15
聚丙烯(pp2609) 49 34.69% 1.31 1.28% -7.87% 0.39
碳酸锂(lc2609) 54 46.3% 1.75 8.35% -9.4% 1.13
多晶硅(ps2606) 15 46.67% 1.57 4.82% -7.08% 0.64
生猪(lh2607) 52 38.46% 1.38 2.33% -6.0% 0.49
玻璃(fg2609) 45 33.33% 1.01 0.07% -9.04% 0.03
纯碱(sa2609) 51 31.37% 0.82 -2.12% -11.16% -0.36
集运欧线(ec2606) 38 47.37% 1.75 10.67% -9.64% 1.22

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 46 39.13% 0.7 -1.99% -6.55% -0.65
豆粕(m2609) 46 47.83% 1.24 2.0% -10.24% 0.43
豆油(y2609) 42 40.48% 0.96 -0.28% -9.3% -0.08
棕榈油(p2609) 43 44.19% 0.84 -1.52% -7.63% -0.31
玉米(c2607) 47 42.55% 1.01 0.03% -4.73% -0.03
棉花(cf2609) 43 62.79% 2.05 3.62% -2.44% 1.09
白糖(sr2609) 47 38.3% 0.54 -2.88% -9.27% -1.18
菜油(oi2609) 37 45.95% 1.12 0.72% -5.79% 0.16
沪铜(cu2606) 51 47.06% 1.08 0.55% -4.74% 0.13
沪铝(al2606) 46 50.0% 1.07 0.44% -6.05% 0.11
沪锌(zn2606) 43 37.21% 0.74 -2.03% -10.05% -0.52
沪镍(ni2606) 41 36.59% 0.64 -3.88% -14.89% -0.8
沪锡(sn2606) 39 46.15% 0.93 -0.61% -11.47% -0.11
沪金(au2606) 54 57.41% 1.55 3.55% -4.91% 1.01
沪银(ag2608) 49 44.9% 1.14 1.56% -9.99% 0.27
螺纹钢(rb2610) 44 47.73% 1.05 0.32% -5.93% 0.07
热卷(hc2610) 42 47.62% 1.03 0.19% -5.07% 0.04
铁矿石(i2609) 43 34.88% 0.61 -4.96% -19.09% -0.83
焦炭(j2609) 39 46.15% 1.01 0.09% -10.66% 0.03
焦煤(jm2609) 45 46.67% 1.16 2.31% -15.5% 0.3
原油(sc2606) 46 50.0% 1.24 2.8% -9.49% 0.44
燃油(fu2609) 47 42.55% 0.99 -0.14% -11.26% -0.0
甲醇(ma2609) 46 34.78% 0.77 -2.6% -14.83% -0.51
PTA(ta2609) 41 43.9% 0.92 -0.67% -8.16% -0.14
聚丙烯(pp2609) 47 38.3% 0.9 -0.66% -11.28% -0.18
碳酸锂(lc2609) 40 52.5% 1.43 6.05% -11.03% 0.77
多晶硅(ps2606) 17 47.06% 1.1 1.87% -11.44% 0.28
生猪(lh2607) 47 42.55% 0.91 -0.77% -9.85% -0.16
玻璃(fg2609) 39 46.15% 1.14 1.78% -10.19% 0.27
纯碱(sa2609) 43 46.51% 1.18 2.53% -10.3% 0.35
集运欧线(ec2606) 41 51.22% 1.5 8.28% -8.87% 0.89

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 26 42.31% 0.98 -0.09% -5.02% -0.05
豆粕(m2609) 23 47.83% 1.57 2.2% -5.59% 0.61
豆油(y2609) 20 35.0% 0.62 -1.65% -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) 26 50.0% 1.5 1.31% -2.47% 0.48
白糖(sr2609) 21 33.33% 0.44 -1.71% -5.4% -0.9
菜油(oi2609) 24 29.17% 0.72 -1.5% -7.95% -0.42
沪铜(cu2606) 29 41.38% 0.92 -0.42% -5.57% -0.13
沪铝(al2606) 26 42.31% 1.02 0.06% -3.84% 0.01
沪锌(zn2606) 23 39.13% 1.03 0.13% -3.47% 0.04
沪镍(ni2606) 21 38.1% 1.23 1.1% -5.06% 0.24
沪锡(sn2606) 25 36.0% 0.87 -0.9% -7.76% -0.18
沪金(au2606) 33 54.55% 1.75 3.15% -4.81% 0.88
沪银(ag2608) 29 44.83% 1.72 4.43% -10.27% 0.81
螺纹钢(rb2610) 27 37.04% 0.71 -1.45% -6.7% -0.46
热卷(hc2610) 25 36.0% 0.85 -0.63% -5.7% -0.21
铁矿石(i2609) 22 27.27% 0.6 -3.1% -9.32% -0.72
焦炭(j2609) 22 45.45% 0.99 -0.07% -8.47% 0.01
焦煤(jm2609) 28 42.86% 1.23 2.21% -10.65% 0.33
原油(sc2606) 26 42.31% 1.14 1.03% -11.89% 0.19
燃油(fu2609) 25 48.0% 1.49 3.26% -5.04% 0.51
甲醇(ma2609) 25 48.0% 1.26 1.49% -7.25% 0.31
PTA(ta2609) 26 34.62% 0.84 -1.07% -9.3% -0.23
聚丙烯(pp2609) 26 42.31% 1.6 1.92% -5.89% 0.48
碳酸锂(lc2609) 26 50.0% 1.81 7.74% -8.21% 1.04
多晶硅(ps2606) 9 66.67% 2.24 6.36% -4.16% 0.74
生猪(lh2607) 23 43.48% 1.31 1.3% -4.99% 0.3
玻璃(fg2609) 18 38.89% 1.03 0.17% -8.56% 0.05
纯碱(sa2609) 26 38.46% 0.95 -0.48% -10.5% -0.06
集运欧线(ec2606) 26 46.15% 1.48 6.02% -14.33% 0.69

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 55 41.82% 1.19 1.04% -5.16% 0.28
豆粕(m2609) 55 45.45% 1.54 4.02% -4.39% 0.83
豆油(y2609) 53 33.96% 0.88 -0.95% -8.77% -0.26
棕榈油(p2609) 57 36.84% 0.91 -1.0% -8.82% -0.21
玉米(c2607) 63 38.1% 1.1 0.59% -4.08% 0.17
棉花(cf2609) 57 45.61% 1.29 1.64% -3.47% 0.46
白糖(sr2609) 55 36.36% 0.66 -2.07% -8.34% -0.79
菜油(oi2609) 50 30.0% 0.72 -2.69% -12.18% -0.61
沪铜(cu2606) 60 45.0% 1.2 1.35% -6.54% 0.35
沪铝(al2606) 59 37.29% 0.88 -0.83% -7.84% -0.28
沪锌(zn2606) 55 36.36% 0.84 -1.19% -9.62% -0.31
沪镍(ni2606) 58 32.76% 0.77 -2.87% -11.91% -0.56
沪锡(sn2606) 53 37.74% 0.97 -0.35% -10.77% -0.05
沪金(au2606) 72 48.61% 1.46 3.57% -4.45% 0.81
沪银(ag2608) 68 39.71% 1.17 2.22% -11.0% 0.33
螺纹钢(rb2610) 49 34.69% 0.75 -1.64% -6.22% -0.46
热卷(hc2610) 52 42.31% 1.02 0.13% -4.86% 0.01
铁矿石(i2609) 63 28.57% 0.64 -6.15% -20.57% -0.93
焦炭(j2609) 59 25.42% 0.6 -7.41% -21.41% -1.02
焦煤(jm2609) 56 39.29% 1.04 0.76% -15.13% 0.11
原油(sc2606) 65 32.31% 0.85 -2.53% -15.39% -0.35
燃油(fu2609) 65 29.23% 0.64 -6.29% -19.7% -0.9
甲醇(ma2609) 60 31.67% 0.78 -2.89% -14.4% -0.52
PTA(ta2609) 58 32.76% 0.74 -2.73% -10.75% -0.56
聚丙烯(pp2609) 62 29.03% 0.85 -1.04% -11.07% -0.28
碳酸锂(lc2609) 51 41.18% 1.14 2.75% -11.72% 0.33
多晶硅(ps2606) 22 36.36% 1.23 5.06% -13.03% 0.58
生猪(lh2607) 58 36.21% 0.94 -0.58% -9.82% -0.13
玻璃(fg2609) 49 42.86% 1.14 1.98% -11.88% 0.27
纯碱(sa2609) 58 43.1% 1.27 4.29% -10.9% 0.51
集运欧线(ec2606) 51 41.18% 1.32 8.24% -12.42% 0.69

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 -0.52% -7.28% -0.2
豆油(y2609) 23 43.48% 1.37 1.03% -3.53% 0.39
棕榈油(p2609) 25 28.0% 0.7 -1.57% -11.45% -0.43
玉米(c2607) 35 37.14% 1.06 0.21% -4.01% 0.06
棉花(cf2609) 34 29.41% 0.54 -1.97% -7.0% -0.8
白糖(sr2609) 19 31.58% 0.58 -0.83% -3.86% -0.61
菜油(oi2609) 19 47.37% 1.2 0.6% -3.04% 0.2
沪铜(cu2606) 32 21.88% 0.6 -2.16% -9.02% -0.7
沪铝(al2606) 22 27.27% 0.71 -0.87% -5.06% -0.39
沪锌(zn2606) 21 33.33% 0.8 -0.67% -6.55% -0.23
沪镍(ni2606) 20 40.0% 1.19 0.73% -5.38% 0.18
沪锡(sn2606) 25 28.0% 0.52 -2.93% -11.77% -0.64
沪金(au2606) 48 22.92% 1.06 0.34% -7.32% 0.07
沪银(ag2608) 44 20.45% 0.48 -6.82% -28.88% -1.14
螺纹钢(rb2610) 21 19.05% 0.38 -2.46% -8.57% -0.95
热卷(hc2610) 25 20.0% 0.41 -2.47% -8.73% -0.97
铁矿石(i2609) 14 64.29% 3.93 4.63% -3.61% 1.36
焦炭(j2609) 16 56.25% 2.44 4.38% -3.96% 0.99
焦煤(jm2609) 20 45.0% 1.82 4.38% -6.27% 0.66
原油(sc2606) 30 23.33% 0.54 -4.05% -12.57% -0.63
燃油(fu2609) 29 17.24% 0.36 -6.22% -17.89% -1.17
甲醇(ma2609) 21 19.05% 0.29 -4.4% -13.21% -1.02
PTA(ta2609) 25 32.0% 1.0 0.02% -8.68% 0.01
聚丙烯(pp2609) 30 33.33% 0.74 -1.35% -10.46% -0.35
碳酸锂(lc2609) 35 17.14% 0.33 -10.65% -25.0% -1.32
多晶硅(ps2606) 12 25.0% 0.44 -8.35% -10.36% -1.18
生猪(lh2607) 25 36.0% 0.67 -1.4% -7.11% -0.38
玻璃(fg2609) 24 41.67% 1.22 1.45% -10.7% 0.29
纯碱(sa2609) 23 34.78% 1.12 0.87% -10.4% 0.16
集运欧线(ec2606) 33 27.27% 0.67 -5.84% -20.79% -0.55

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 0.81% -2.08% 0.46
豆粕(m2609) 20 30.0% 0.48 -2.4% -10.09% -1.05
豆油(y2609) 10 60.0% 1.59 0.75% -1.73% 0.43
棕榈油(p2609) 12 16.67% 0.24 -2.55% -8.66% -1.25
玉米(c2607) 14 71.43% 3.38 1.85% -1.03% 1.17
棉花(cf2609) 14 50.0% 0.89 -0.17% -3.29% -0.1
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 -1.31% -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 -0.48% -4.97% -0.19
沪锡(sn2606) 10 20.0% 0.36 -2.32% -6.93% -0.92
沪金(au2606) 21 33.33% 0.89 -0.36% -4.66% -0.14
沪银(ag2608) 20 20.0% 0.38 -4.23% -14.81% -0.94
螺纹钢(rb2610) 10 30.0% 0.48 -1.05% -6.52% -0.51
热卷(hc2610) 8 37.5% 0.71 -0.41% -4.55% -0.21
铁矿石(i2609) 5 40.0% 0.64 -0.53% -4.43% -0.21
焦炭(j2609) 5 60.0% 1.49 0.62% -3.36% 0.24
焦煤(jm2609) 6 16.67% 0.27 -2.38% -8.46% -0.86
原油(sc2606) 11 45.45% 1.17 0.36% -2.84% 0.12
燃油(fu2609) 8 25.0% 0.49 -1.45% -7.95% -0.5
甲醇(ma2609) 11 27.27% 0.3 -2.44% -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 -3.9% -11.47% -1.58
碳酸锂(lc2609) 23 30.43% 0.65 -3.65% -15.29% -0.6
多晶硅(ps2606) 9 33.33% 0.74 -2.53% -7.97% -0.41
生猪(lh2607) 12 41.67% 1.2 0.39% -3.25% 0.14
玻璃(fg2609) 7 28.57% 0.63 -1.06% -5.74% -0.36
纯碱(sa2609) 14 35.71% 0.53 -2.67% -16.12% -0.6
集运欧线(ec2606) 19 15.79% 0.27 -8.9% -20.13% -1.74

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 1.9% -2.07% 0.96
豆粕(m2609) 22 40.91% 0.8 -0.88% -5.91% -0.29
豆油(y2609) 19 42.11% 0.6 -1.41% -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 0.61% -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 0.55% -3.92% 0.29
菜油(oi2609) 19 42.11% 0.57 -1.74% -7.02% -0.56
沪铜(cu2606) 19 57.89% 2.54 2.25% -3.5% 1.01
沪铝(al2606) 16 56.25% 1.16 0.35% -3.22% 0.15
沪锌(zn2606) 23 52.17% 0.93 -0.22% -5.5% -0.1
沪镍(ni2606) 21 33.33% 0.49 -2.65% -8.34% -0.81
沪锡(sn2606) 18 66.67% 2.95 4.04% -4.97% 1.06
沪金(au2606) 19 68.42% 2.85 2.31% -1.64% 1.09
沪银(ag2608) 17 41.18% 1.24 0.82% -5.75% 0.27
螺纹钢(rb2610) 22 31.82% 0.43 -2.68% -9.87% -0.97
热卷(hc2610) 20 25.0% 0.44 -2.17% -7.28% -0.93
铁矿石(i2609) 17 52.94% 1.15 0.57% -5.61% 0.15
焦炭(j2609) 19 36.84% 0.69 -1.93% -8.76% -0.37
焦煤(jm2609) 17 41.18% 0.89 -0.65% -8.5% -0.12
原油(sc2606) 24 37.5% 0.65 -2.55% -13.51% -0.52
燃油(fu2609) 20 30.0% 0.61 -2.41% -13.24% -0.5
甲醇(ma2609) 19 36.84% 0.48 -2.3% -10.91% -0.64
PTA(ta2609) 23 43.48% 1.14 0.54% -5.33% 0.16
聚丙烯(pp2609) 21 52.38% 1.57 0.93% -1.83% 0.47
碳酸锂(lc2609) 13 61.54% 2.35 3.03% -3.64% 0.74
多晶硅(ps2606) 5 80.0% 14.47 8.64% -3.6% 1.68
生猪(lh2607) 19 47.37% 1.0 -0.01% -4.65% -0.01
玻璃(fg2609) 12 8.33% 0.12 -4.37% -13.45% -1.07
纯碱(sa2609) 17 41.18% 0.84 -0.92% -7.15% -0.22
集运欧线(ec2606) 13 46.15% 0.86 -0.83% -8.15% -0.19

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 0.25% -2.73% 0.13
豆粕(m2609) 11 27.27% 0.78 -0.34% -2.88% -0.21
豆油(y2609) 11 18.18% 0.34 -1.2% -5.33% -0.78
棕榈油(p2609) 8 12.5% 0.09 -1.42% -5.15% -0.89
玉米(c2607) 17 41.18% 1.21 0.3% -1.83% 0.2
棉花(cf2609) 18 33.33% 0.7 -0.62% -4.29% -0.39
白糖(sr2609) 13 53.85% 2.57 1.25% -1.28% 0.95
菜油(oi2609) 11 45.45% 1.56 0.7% -2.13% 0.34
沪铜(cu2606) 9 22.22% 0.16 -1.22% -3.73% -0.81
沪铝(al2606) 11 54.55% 1.53 0.48% -1.87% 0.36
沪锌(zn2606) 8 50.0% 1.64 0.55% -2.05% 0.35
沪镍(ni2606) 13 61.54% 2.26 2.13% -3.13% 0.72
沪锡(sn2606) 20 25.0% 0.32 -3.2% -9.86% -1.04
沪金(au2606) 18 22.22% 0.68 -0.65% -4.69% -0.49
沪银(ag2608) 22 31.82% 0.69 -1.38% -9.79% -0.4
螺纹钢(rb2610) 12 58.33% 2.41 1.18% -1.58% 0.64
热卷(hc2610) 12 33.33% 1.15 0.18% -2.34% 0.11
铁矿石(i2609) 19 36.84% 1.22 0.76% -5.78% 0.23
焦炭(j2609) 12 33.33% 0.85 -0.44% -4.47% -0.15
焦煤(jm2609) 12 41.67% 1.43 1.45% -6.86% 0.42
原油(sc2606) 25 28.0% 0.89 -0.58% -9.65% -0.11
燃油(fu2609) 21 42.86% 1.53 2.14% -6.14% 0.47
甲醇(ma2609) 16 43.75% 1.19 0.5% -2.56% 0.16
PTA(ta2609) 9 22.22% 0.46 -0.79% -4.8% -0.45
聚丙烯(pp2609) 11 27.27% 0.76 -0.28% -1.83% -0.34
碳酸锂(lc2609) 13 23.08% 0.43 -2.92% -7.2% -0.73
多晶硅(ps2606) 8 37.5% 1.28 1.78% -5.87% 0.31
生猪(lh2607) 25 32.0% 0.9 -0.37% -6.02% -0.12
玻璃(fg2609) 19 52.63% 1.68 2.56% -6.39% 0.48
纯碱(sa2609) 17 5.88% 0.13 -4.76% -16.16% -1.14
集运欧线(ec2606) 27 40.74% 1.56 6.26% -8.98% 0.67

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 -0.3% -2.85% -0.3
豆粕(m2609) 5 80.0% 2.89 0.64% -1.86% 0.45
豆油(y2609) 4 50.0% 1.32 0.18% -1.35% 0.21
棕榈油(p2609) 6 66.67% 2.87 1.21% -2.02% 0.73
玉米(c2607) 5 40.0% 0.57 -0.23% -1.23% -0.3
棉花(cf2609) 4 100.0% inf 0.99% -0.31% 1.41
白糖(sr2609) 7 85.71% 5.36 0.84% -1.62% 0.67
菜油(oi2609) 2 50.0% 1.45 0.09% -0.87% 0.14
沪铜(cu2606) 14 42.86% 1.25 0.31% -2.56% 0.19
沪铝(al2606) 3 66.67% 3.16 0.3% -0.42% 0.62
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% -0.32
沪锡(sn2606) 4 50.0% 0.97 -0.03% -1.74% -0.02
沪金(au2606) 13 69.23% 2.37 1.51% -1.93% 0.98
沪银(ag2608) 12 58.33% 2.4 1.42% -2.76% 0.5
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% 0.79
铁矿石(i2609) 5 40.0% 0.69 -0.38% -2.11% -0.31
焦炭(j2609) 5 20.0% 0.32 -1.08% -4.83% -0.47
焦煤(jm2609) 6 33.33% 0.66 -0.57% -3.26% -0.29
原油(sc2606) 18 50.0% 1.5 1.75% -4.87% 0.4
燃油(fu2609) 21 57.14% 1.42 1.66% -7.62% 0.45
甲醇(ma2609) 4 25.0% 0.33 -0.88% -3.62% -0.52
PTA(ta2609) 6 50.0% 1.01 0.01% -2.1% 0.01
聚丙烯(pp2609) 6 50.0% 1.77 0.31% -1.63% 0.29
碳酸锂(lc2609) 5 40.0% 0.6 -0.98% -4.11% -0.34
多晶硅(ps2606) 4 75.0% 3.92 4.06% -1.43% 1.73
生猪(lh2607) 17 47.06% 0.85 -0.42% -4.73% -0.14
玻璃(fg2609) 3 33.33% 0.49 -0.56% -3.91% -0.37
纯碱(sa2609) 6 33.33% 0.13 -2.01% -6.22% -1.04
集运欧线(ec2606) 21 47.62% 0.89 -0.81% -11.94% -0.13