期货研究

策略回测对比

2026-05-23 14:38:44 · 11 策略 × 31 品种

BEST STRATEGY

均线多空排列
年化 1.3%

HIGHEST WIN RATE

跳空缺口
49.8%

LOWEST DRAWDOWN

跳空缺口
-2.9%

MOST TRADES

波动率突破
1755 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 1175 42.8% 1.3% -7.0%
三均线趋势 31 1534 35.9% 1.2% -7.6%
动量突破 31 756 41.5% 0.9% -7.0%
海龟突破 31 1344 44.9% 0.4% -9.4%
双EXPMA趋势 31 1713 44.5% 0.2% -10.1%
跳空缺口 31 227 49.8% 0.2% -2.9%
价量背离 31 467 35.3% 0.1% -5.1%
MACD+KDJ双确认 31 568 45.1% -0.0% -6.4%
波动率突破 31 1755 37.0% -0.3% -10.6%
RSI极值反转 31 361 34.6% -1.3% -6.6%
布林带回归 31 803 30.8% -1.4% -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) 53 39.62% 0.98 -0.21% -10.73% -0.05
豆油(y2609) 53 37.74% 0.8 -1.94% -10.15% -0.44
棕榈油(p2609) 56 37.5% 0.76 -2.64% -13.02% -0.49
玉米(c2607) 54 48.15% 1.31 1.73% -2.76% 0.53
棉花(cf2609) 54 51.85% 1.64 3.59% -2.8% 0.94
白糖(sr2609) 57 38.6% 0.62 -2.42% -10.42% -0.81
菜油(oi2609) 55 38.18% 0.67 -3.24% -13.02% -0.68
沪铜(cu2607) 57 50.88% 1.32 2.27% -5.13% 0.53
沪铝(al2607) 57 49.12% 1.05 0.39% -4.38% 0.08
沪锌(zn2607) 58 43.1% 0.95 -0.42% -7.66% -0.11
沪镍(ni2607) 58 32.76% 0.8 -2.36% -14.63% -0.42
沪锡(sn2607) 58 43.1% 0.98 -0.24% -13.52% -0.03
沪金(au2608) 67 68.66% 2.28 6.94% -3.42% 1.63
沪银(ag2608) 68 44.12% 0.82 -2.47% -15.73% -0.41
螺纹钢(rb2610) 58 34.48% 0.68 -3.08% -12.65% -0.77
热卷(hc2610) 60 36.67% 0.77 -2.1% -10.31% -0.58
铁矿石(i2609) 51 37.25% 0.69 -3.61% -12.14% -0.61
焦炭(j2609) 53 45.28% 0.89 -1.44% -11.56% -0.18
焦煤(jm2609) 55 49.09% 1.11 1.8% -13.93% 0.25
原油(sc2607) 58 50.0% 1.12 1.54% -8.71% 0.24
燃油(fu2609) 61 45.9% 1.08 1.01% -10.5% 0.16
甲醇(ma2609) 58 37.93% 0.87 -1.34% -15.26% -0.25
PTA(ta2609) 62 40.32% 0.93 -0.7% -11.44% -0.14
聚丙烯(pp2609) 55 45.45% 1.35 1.75% -8.81% 0.48
碳酸锂(lc2609) 47 65.96% 2.25 10.67% -7.44% 1.42
多晶硅(ps2609) 21 57.14% 1.5 7.25% -5.72% 0.92
生猪(lh2607) 56 48.21% 1.26 2.18% -5.27% 0.39
玻璃(fg2609) 53 37.74% 0.9 -1.66% -12.35% -0.19
纯碱(sa2609) 59 40.68% 0.8 -3.36% -14.44% -0.43
集运欧线(ec2606) 49 46.94% 0.89 -2.06% -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% 0.74 -1.47% -6.82% -0.5
豆粕(m2609) 38 47.37% 1.28 1.51% -5.06% 0.4
豆油(y2609) 35 28.57% 0.75 -1.4% -8.21% -0.43
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 54.76% 1.79 2.98% -2.18% 0.87
白糖(sr2609) 35 34.29% 0.73 -1.06% -3.89% -0.51
菜油(oi2609) 42 28.57% 0.65 -2.72% -10.22% -0.7
沪铜(cu2607) 43 48.84% 1.56 2.43% -3.4% 0.72
沪铝(al2607) 39 43.59% 1.15 0.67% -2.93% 0.2
沪锌(zn2607) 37 35.14% 0.85 -0.82% -7.31% -0.23
沪镍(ni2607) 38 28.95% 0.8 -1.51% -9.85% -0.38
沪锡(sn2607) 40 45.0% 1.26 1.8% -10.97% 0.37
沪金(au2608) 58 56.9% 1.64 3.88% -4.44% 1.11
沪银(ag2608) 47 48.94% 1.49 3.38% -7.85% 0.73
螺纹钢(rb2610) 35 40.0% 1.1 0.48% -4.47% 0.13
热卷(hc2610) 38 36.84% 0.92 -0.36% -3.84% -0.13
铁矿石(i2609) 34 29.41% 0.74 -2.28% -11.04% -0.46
焦炭(j2609) 35 40.0% 0.86 -1.42% -9.57% -0.22
焦煤(jm2609) 38 47.37% 1.35 3.47% -10.46% 0.56
原油(sc2607) 38 52.63% 1.53 3.73% -8.14% 0.65
燃油(fu2609) 42 42.86% 1.2 1.69% -8.24% 0.31
甲醇(ma2609) 37 37.84% 1.19 1.1% -9.82% 0.25
PTA(ta2609) 37 40.54% 1.06 0.38% -6.05% 0.09
聚丙烯(pp2609) 39 35.9% 1.25 0.95% -9.11% 0.29
碳酸锂(lc2609) 41 56.1% 2.25 10.18% -6.79% 1.51
多晶硅(ps2609) 14 50.0% 1.21 2.21% -7.88% 0.34
生猪(lh2607) 39 48.72% 1.41 2.28% -4.92% 0.49
玻璃(fg2609) 34 35.29% 0.8 -2.06% -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% 1.92 10.74% -8.95% 1.4

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% 0.89 -0.6% -5.51% -0.22
豆粕(m2609) 46 39.13% 1.1 0.63% -5.44% 0.16
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 47.17% 1.86 3.66% -2.04% 1.02
白糖(sr2609) 42 30.95% 0.76 -0.88% -3.6% -0.4
菜油(oi2609) 50 28.0% 0.68 -2.54% -9.99% -0.64
沪铜(cu2607) 58 36.21% 1.28 1.62% -4.25% 0.45
沪铝(al2607) 56 32.14% 1.07 0.37% -3.57% 0.08
沪锌(zn2607) 49 32.65% 0.8 -1.27% -8.93% -0.35
沪镍(ni2607) 58 20.69% 0.81 -1.77% -11.0% -0.39
沪锡(sn2607) 56 37.5% 1.19 1.65% -10.95% 0.31
沪金(au2608) 75 48.0% 1.42 3.13% -7.05% 0.79
沪银(ag2608) 64 39.06% 1.32 2.72% -8.04% 0.53
螺纹钢(rb2610) 52 28.85% 0.95 -0.33% -5.55% -0.12
热卷(hc2610) 53 30.19% 0.9 -0.52% -5.28% -0.18
铁矿石(i2609) 41 24.39% 0.7 -2.63% -10.32% -0.51
焦炭(j2609) 48 33.33% 0.87 -1.57% -11.49% -0.23
焦煤(jm2609) 47 40.43% 1.3 3.15% -10.14% 0.49
原油(sc2607) 52 42.31% 1.32 2.99% -9.93% 0.5
燃油(fu2609) 46 41.3% 1.31 2.54% -7.33% 0.43
甲醇(ma2609) 44 34.09% 1.22 1.27% -7.88% 0.28
PTA(ta2609) 53 32.08% 1.1 0.71% -5.46% 0.15
聚丙烯(pp2609) 49 32.65% 1.29 1.2% -7.87% 0.36
碳酸锂(lc2609) 54 44.44% 1.69 7.89% -9.4% 1.07
多晶硅(ps2609) 15 46.67% 1.6 4.93% -7.08% 0.65
生猪(lh2607) 52 38.46% 1.38 2.32% -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 -2.11% -11.16% -0.36
集运欧线(ec2606) 38 47.37% 1.74 10.5% -9.64% 1.19

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 47 40.43% 0.71 -1.91% -6.55% -0.62
豆粕(m2609) 46 45.65% 1.21 1.77% -10.24% 0.38
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 60.47% 1.95 3.36% -2.44% 1.0
白糖(sr2609) 47 38.3% 0.53 -2.95% -9.27% -1.21
菜油(oi2609) 37 45.95% 1.11 0.7% -5.85% 0.15
沪铜(cu2607) 51 45.1% 1.03 0.2% -4.74% 0.03
沪铝(al2607) 46 52.17% 1.11 0.65% -6.05% 0.18
沪锌(zn2607) 44 36.36% 0.74 -2.08% -10.05% -0.54
沪镍(ni2607) 41 36.59% 0.63 -4.11% -14.89% -0.85
沪锡(sn2607) 39 46.15% 0.88 -1.06% -11.47% -0.2
沪金(au2608) 54 59.26% 1.61 3.81% -4.91% 1.07
沪银(ag2608) 49 42.86% 1.07 0.78% -9.99% 0.14
螺纹钢(rb2610) 44 47.73% 1.04 0.24% -5.93% 0.05
热卷(hc2610) 42 47.62% 1.02 0.09% -5.07% 0.01
铁矿石(i2609) 43 32.56% 0.6 -5.07% -19.18% -0.85
焦炭(j2609) 39 46.15% 1.0 0.04% -10.66% 0.03
焦煤(jm2609) 45 46.67% 1.14 2.16% -15.82% 0.28
原油(sc2607) 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% 0.91 -0.6% -11.28% -0.17
碳酸锂(lc2609) 40 52.5% 1.36 5.34% -11.03% 0.68
多晶硅(ps2609) 17 47.06% 1.1 1.86% -11.44% 0.28
生猪(lh2607) 47 42.55% 0.9 -0.84% -9.85% -0.18
玻璃(fg2609) 39 46.15% 1.14 1.78% -10.19% 0.27
纯碱(sa2609) 44 45.45% 1.17 2.41% -10.58% 0.34
集运欧线(ec2606) 41 51.22% 1.49 8.17% -8.87% 0.88

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 2.19% -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 0.13% -6.41% 0.04
玉米(c2607) 27 40.74% 0.98 -0.06% -3.79% -0.05
棉花(cf2609) 26 50.0% 1.41 1.14% -2.47% 0.41
白糖(sr2609) 21 33.33% 0.44 -1.7% -5.4% -0.9
菜油(oi2609) 24 29.17% 0.72 -1.49% -7.95% -0.42
沪铜(cu2607) 29 37.93% 0.85 -0.77% -6.05% -0.24
沪铝(al2607) 26 42.31% 1.02 0.06% -3.84% 0.01
沪锌(zn2607) 24 37.5% 1.03 0.13% -3.47% 0.03
沪镍(ni2607) 21 38.1% 1.23 1.1% -5.06% 0.24
沪锡(sn2607) 25 36.0% 0.87 -0.9% -7.76% -0.18
沪金(au2608) 33 54.55% 1.75 3.15% -4.81% 0.88
沪银(ag2608) 29 44.83% 1.72 4.42% -10.27% 0.81
螺纹钢(rb2610) 27 37.04% 0.69 -1.53% -6.7% -0.49
热卷(hc2610) 25 36.0% 0.83 -0.72% -5.7% -0.24
铁矿石(i2609) 22 27.27% 0.6 -3.09% -9.32% -0.72
焦炭(j2609) 22 45.45% 0.98 -0.12% -8.47% -0.0
焦煤(jm2609) 28 42.86% 1.21 2.06% -10.99% 0.3
原油(sc2607) 26 42.31% 1.14 1.02% -11.89% 0.19
燃油(fu2609) 25 48.0% 1.49 3.25% -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 1.91% -5.89% 0.48
碳酸锂(lc2609) 26 46.15% 1.73 7.0% -8.21% 0.94
多晶硅(ps2609) 9 66.67% 2.24 6.33% -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 6.0% -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) 56 42.86% 1.2 1.12% -5.16% 0.3
豆粕(m2609) 55 43.64% 1.5 3.78% -4.41% 0.78
豆油(y2609) 54 33.33% 0.88 -0.95% -8.77% -0.26
棕榈油(p2609) 57 36.84% 0.91 -0.92% -8.82% -0.19
玉米(c2607) 63 39.68% 1.12 0.69% -4.08% 0.2
棉花(cf2609) 58 44.83% 1.29 1.64% -3.47% 0.46
白糖(sr2609) 55 34.55% 0.65 -2.14% -8.34% -0.82
菜油(oi2609) 51 29.41% 0.72 -2.8% -12.49% -0.64
沪铜(cu2607) 60 45.0% 1.14 0.99% -6.54% 0.24
沪铝(al2607) 59 38.98% 0.91 -0.62% -7.84% -0.22
沪锌(zn2607) 56 35.71% 0.84 -1.21% -9.62% -0.32
沪镍(ni2607) 59 32.2% 0.77 -2.87% -11.91% -0.55
沪锡(sn2607) 53 37.74% 0.97 -0.35% -10.77% -0.05
沪金(au2608) 72 48.61% 1.49 3.82% -4.45% 0.86
沪银(ag2608) 68 38.24% 1.09 1.28% -11.0% 0.19
螺纹钢(rb2610) 49 34.69% 0.74 -1.71% -6.22% -0.48
热卷(hc2610) 52 42.31% 1.0 0.03% -4.86% -0.02
铁矿石(i2609) 63 28.57% 0.63 -6.26% -20.57% -0.94
焦炭(j2609) 59 25.42% 0.6 -7.44% -21.41% -1.03
焦煤(jm2609) 56 39.29% 1.03 0.61% -15.15% 0.1
原油(sc2607) 65 32.31% 0.85 -2.53% -15.39% -0.35
燃油(fu2609) 66 28.79% 0.62 -6.99% -21.11% -0.99
甲醇(ma2609) 60 31.67% 0.78 -2.88% -14.4% -0.52
PTA(ta2609) 58 32.76% 0.75 -2.68% -10.75% -0.55
聚丙烯(pp2609) 62 29.03% 0.85 -1.04% -11.07% -0.28
碳酸锂(lc2609) 51 41.18% 1.11 2.2% -11.72% 0.27
多晶硅(ps2609) 22 36.36% 1.23 5.13% -13.03% 0.59
生猪(lh2607) 58 36.21% 0.93 -0.65% -9.82% -0.14
玻璃(fg2609) 49 42.86% 1.14 1.98% -11.88% 0.27
纯碱(sa2609) 58 43.1% 1.24 4.02% -10.9% 0.48
集运欧线(ec2606) 51 41.18% 1.31 8.13% -12.42% 0.68

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 -0.51% -5.47% -0.24
豆粕(m2609) 27 37.04% 0.89 -0.52% -7.28% -0.19
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% 0.59 -1.73% -7.0% -0.7
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(cu2607) 32 25.0% 0.66 -1.81% -9.02% -0.58
沪铝(al2607) 22 27.27% 0.71 -0.87% -5.06% -0.39
沪锌(zn2607) 21 33.33% 0.8 -0.67% -6.55% -0.23
沪镍(ni2607) 20 40.0% 1.26 0.97% -5.38% 0.24
沪锡(sn2607) 25 32.0% 0.61 -2.37% -11.77% -0.51
沪金(au2608) 48 22.92% 1.06 0.34% -7.32% 0.07
沪银(ag2608) 44 20.45% 0.48 -6.81% -28.88% -1.14
螺纹钢(rb2610) 21 19.05% 0.39 -2.38% -8.57% -0.92
热卷(hc2610) 25 20.0% 0.43 -2.37% -8.73% -0.93
铁矿石(i2609) 14 64.29% 3.93 4.63% -3.61% 1.36
焦炭(j2609) 16 56.25% 2.44 4.37% -3.96% 0.99
焦煤(jm2609) 20 45.0% 1.82 4.38% -6.27% 0.66
原油(sc2607) 30 23.33% 0.54 -4.04% -12.57% -0.63
燃油(fu2609) 29 17.24% 0.36 -6.21% -17.89% -1.17
甲醇(ma2609) 21 19.05% 0.29 -4.39% -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 20.0% 0.37 -9.92% -25.0% -1.21
多晶硅(ps2609) 12 25.0% 0.44 -8.31% -10.36% -1.17
生猪(lh2607) 25 36.0% 0.67 -1.39% -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 30.3% 0.68 -5.73% -20.79% -0.54

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 0.74% -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 1.84% -1.03% 1.16
棉花(cf2609) 14 50.0% 1.04 0.07% -3.29% 0.02
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(cu2607) 16 31.25% 0.63 -1.13% -4.41% -0.51
沪铝(al2607) 9 44.44% 0.71 -0.4% -2.58% -0.28
沪锌(zn2607) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2607) 11 45.45% 0.82 -0.48% -4.97% -0.19
沪锡(sn2607) 10 20.0% 0.36 -2.31% -6.93% -0.91
沪金(au2608) 21 33.33% 0.89 -0.36% -4.66% -0.14
沪银(ag2608) 20 20.0% 0.38 -4.22% -14.81% -0.94
螺纹钢(rb2610) 10 30.0% 0.52 -0.97% -6.52% -0.47
热卷(hc2610) 8 37.5% 0.78 -0.32% -4.55% -0.16
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 -2.37% -8.46% -0.86
原油(sc2607) 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% -0.85
PTA(ta2609) 8 37.5% 1.11 0.22% -4.34% 0.08
聚丙烯(pp2609) 12 8.33% 0.08 -3.89% -11.47% -1.57
碳酸锂(lc2609) 23 30.43% 0.65 -3.64% -15.29% -0.6
多晶硅(ps2609) 9 33.33% 0.74 -2.52% -7.97% -0.41
生猪(lh2607) 12 41.67% 1.16 0.32% -3.25% 0.12
玻璃(fg2609) 7 28.57% 0.63 -1.06% -5.74% -0.36
纯碱(sa2609) 14 35.71% 0.53 -2.66% -16.12% -0.6
集运欧线(ec2606) 19 15.79% 0.27 -8.88% -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 1.89% -2.07% 0.96
豆粕(m2609) 22 36.36% 0.76 -1.1% -5.93% -0.36
豆油(y2609) 19 42.11% 0.6 -1.4% -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% 0.34
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(cu2607) 19 57.89% 2.54 2.24% -3.5% 1.01
沪铝(al2607) 16 56.25% 1.16 0.35% -3.22% 0.15
沪锌(zn2607) 23 52.17% 0.91 -0.27% -5.5% -0.12
沪镍(ni2607) 21 33.33% 0.49 -2.64% -8.34% -0.81
沪锡(sn2607) 18 66.67% 2.95 4.03% -4.97% 1.06
沪金(au2608) 20 65.0% 2.86 2.31% -1.64% 1.09
沪银(ag2608) 17 41.18% 1.19 0.66% -5.75% 0.21
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% -0.11
原油(sc2607) 24 37.5% 0.65 -2.55% -13.51% -0.52
燃油(fu2609) 20 30.0% 0.61 -2.4% -13.24% -0.5
甲醇(ma2609) 19 36.84% 0.48 -2.3% -10.91% -0.64
PTA(ta2609) 23 43.48% 1.15 0.57% -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 3.02% -3.64% 0.74
多晶硅(ps2609) 5 80.0% 14.47 8.59% -3.6% 1.67
生猪(lh2607) 19 47.37% 1.0 -0.01% -4.65% -0.01
玻璃(fg2609) 13 15.38% 0.14 -4.24% -13.45% -1.03
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) 19 31.58% 1.15 0.25% -2.73% 0.13
豆粕(m2609) 11 36.36% 0.92 -0.11% -2.88% -0.08
豆油(y2609) 11 18.18% 0.34 -1.19% -5.33% -0.78
棕榈油(p2609) 8 12.5% 0.09 -1.42% -5.15% -0.88
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 1.24% -1.28% 0.95
菜油(oi2609) 11 45.45% 1.56 0.7% -2.13% 0.34
沪铜(cu2607) 9 22.22% 0.16 -1.22% -3.73% -0.81
沪铝(al2607) 11 54.55% 1.75 0.68% -1.87% 0.51
沪锌(zn2607) 8 50.0% 1.64 0.55% -2.05% 0.35
沪镍(ni2607) 13 61.54% 2.39 2.35% -3.13% 0.79
沪锡(sn2607) 20 25.0% 0.32 -3.2% -9.86% -1.04
沪金(au2608) 18 16.67% 0.57 -0.9% -4.91% -0.64
沪银(ag2608) 22 36.36% 0.9 -0.42% -9.91% -0.1
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% 0.86 -0.39% -4.47% -0.13
焦煤(jm2609) 12 41.67% 1.47 1.59% -6.86% 0.46
原油(sc2607) 25 28.0% 0.89 -0.58% -9.65% -0.11
燃油(fu2609) 21 42.86% 1.45 1.83% -6.14% 0.4
甲醇(ma2609) 16 43.75% 1.19 0.5% -2.56% 0.16
PTA(ta2609) 9 22.22% 0.48 -0.76% -4.8% -0.43
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(ps2609) 8 37.5% 1.28 1.77% -5.87% 0.31
生猪(lh2607) 25 32.0% 0.9 -0.37% -6.02% -0.12
玻璃(fg2609) 19 52.63% 1.75 2.82% -6.39% 0.53
纯碱(sa2609) 17 5.88% 0.13 -4.75% -16.16% -1.14
集运欧线(ec2606) 27 40.74% 1.58 6.38% -8.98% 0.68

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) 6 66.67% 2.86 0.63% -1.86% 0.44
豆油(y2609) 4 50.0% 1.32 0.18% -1.35% 0.21
棕榈油(p2609) 6 66.67% 2.87 1.2% -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% 1.4
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(cu2607) 14 42.86% 1.25 0.31% -2.56% 0.19
沪铝(al2607) 3 66.67% 3.16 0.3% -0.42% 0.62
沪锌(zn2607) 6 33.33% 1.05 0.03% -1.58% 0.02
沪镍(ni2607) 3 33.33% 0.48 -0.44% -2.56% -0.32
沪锡(sn2607) 4 50.0% 0.97 -0.03% -1.74% -0.02
沪金(au2608) 13 69.23% 2.37 1.51% -1.93% 0.97
沪银(ag2608) 12 50.0% 1.47 0.7% -2.76% 0.23
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% 0.31 -1.13% -4.83% -0.49
焦煤(jm2609) 6 33.33% 0.63 -0.64% -3.27% -0.33
原油(sc2607) 18 50.0% 1.38 1.43% -4.87% 0.33
燃油(fu2609) 22 54.55% 1.34 1.42% -7.62% 0.39
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% 0.28
碳酸锂(lc2609) 5 40.0% 0.6 -0.98% -4.11% -0.34
多晶硅(ps2609) 4 75.0% 3.92 4.04% -1.43% 1.72
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 16.67% 0.11 -2.26% -6.92% -1.16
集运欧线(ec2606) 21 47.62% 0.89 -0.81% -11.94% -0.13