期货研究

策略回测对比

2026-06-01 05:12:08 · 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
50.2%

LOWEST DRAWDOWN

跳空缺口
-2.9%

MOST TRADES

波动率突破
1772 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 1182 42.9% 1.3% -7.1%
三均线趋势 31 1545 35.8% 1.2% -7.7%
动量突破 31 760 41.7% 0.9% -7.1%
海龟突破 31 1354 44.7% 0.4% -9.6%
跳空缺口 31 227 50.2% 0.2% -2.9%
价量背离 31 470 35.3% 0.1% -5.1%
双EXPMA趋势 31 1732 44.2% 0.0% -10.2%
MACD+KDJ双确认 31 576 44.6% -0.1% -6.4%
波动率突破 31 1772 36.8% -0.3% -10.8%
RSI极值反转 31 362 34.8% -1.3% -6.6%
布林带回归 31 805 30.7% -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) 53 47.17% 0.95 -0.31% -5.82% -0.1
豆粕(m2609) 54 38.89% 0.95 -0.44% -10.73% -0.1
豆油(y2609) 54 37.04% 0.8 -1.85% -10.15% -0.42
棕榈油(p2609) 58 37.93% 0.73 -3.11% -13.02% -0.59
玉米(c2607) 54 50.0% 1.34 1.88% -2.76% 0.58
棉花(cf2609) 55 50.91% 1.61 3.46% -2.8% 0.91
白糖(sr2609) 57 36.84% 0.6 -2.56% -10.42% -0.85
菜油(oi2609) 55 38.18% 0.68 -3.13% -13.02% -0.66
沪铜(cu2607) 57 50.88% 1.33 2.27% -5.13% 0.53
沪铝(al2607) 58 48.28% 1.04 0.27% -4.38% 0.05
沪锌(zn2607) 58 43.1% 0.97 -0.24% -7.66% -0.07
沪镍(ni2607) 58 32.76% 0.8 -2.39% -14.63% -0.42
沪锡(sn2607) 58 43.1% 1.01 0.1% -13.52% 0.03
沪金(au2608) 68 69.12% 2.3 6.97% -3.42% 1.64
沪银(ag2608) 69 43.48% 0.81 -2.53% -15.73% -0.43
螺纹钢(rb2610) 58 34.48% 0.66 -3.3% -12.96% -0.82
热卷(hc2610) 60 36.67% 0.75 -2.3% -10.31% -0.63
铁矿石(i2609) 51 35.29% 0.66 -3.91% -12.64% -0.66
焦炭(j2609) 54 44.44% 0.87 -1.84% -12.66% -0.24
焦煤(jm2609) 56 48.21% 1.09 1.52% -14.61% 0.22
原油(sc2607) 58 48.28% 1.06 0.81% -8.71% 0.13
燃油(fu2609) 62 43.55% 1.03 0.4% -10.5% 0.07
甲醇(ma2609) 58 37.93% 0.86 -1.51% -15.26% -0.28
PTA(ta2609) 63 41.27% 0.91 -0.92% -11.44% -0.18
聚丙烯(pp2609) 55 43.64% 1.28 1.41% -8.81% 0.38
碳酸锂(lc2609) 47 65.96% 2.15 10.2% -7.44% 1.36
多晶硅(ps2609) 21 57.14% 1.49 6.85% -5.72% 0.88
生猪(lh2609) 57 49.12% 1.27 2.2% -5.27% 0.39
玻璃(fg2609) 55 36.36% 0.87 -2.19% -13.86% -0.25
纯碱(sa2609) 60 40.0% 0.8 -3.33% -14.88% -0.42
集运欧线(ec2606) 51 47.06% 0.93 -1.25% -19.06% -0.12

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 -1.46% -6.82% -0.51
豆粕(m2609) 38 47.37% 1.29 1.53% -5.06% 0.41
豆油(y2609) 36 27.78% 0.75 -1.38% -8.21% -0.43
棕榈油(p2609) 36 41.67% 1.28 1.39% -6.0% 0.34
玉米(c2607) 40 47.5% 1.07 0.27% -2.95% 0.07
棉花(cf2609) 42 54.76% 1.75 2.86% -2.18% 0.84
白糖(sr2609) 35 31.43% 0.7 -1.18% -4.14% -0.57
菜油(oi2609) 42 28.57% 0.65 -2.7% -10.22% -0.7
沪铜(cu2607) 43 48.84% 1.57 2.43% -3.4% 0.72
沪铝(al2607) 40 42.5% 1.14 0.62% -3.02% 0.18
沪锌(zn2607) 37 35.14% 0.88 -0.65% -7.31% -0.18
沪镍(ni2607) 38 28.95% 0.8 -1.57% -9.85% -0.39
沪锡(sn2607) 40 47.5% 1.33 2.17% -10.97% 0.45
沪金(au2608) 58 58.62% 1.66 3.94% -4.44% 1.12
沪银(ag2608) 47 48.94% 1.49 3.34% -7.85% 0.72
螺纹钢(rb2610) 35 40.0% 1.05 0.23% -4.47% 0.06
热卷(hc2610) 38 36.84% 0.88 -0.58% -4.25% -0.2
铁矿石(i2609) 34 29.41% 0.72 -2.54% -11.85% -0.52
焦炭(j2609) 35 42.86% 0.89 -1.05% -10.59% -0.15
焦煤(jm2609) 38 47.37% 1.29 2.99% -11.64% 0.49
原油(sc2607) 39 51.28% 1.53 3.69% -8.14% 0.65
燃油(fu2609) 42 42.86% 1.2 1.68% -8.24% 0.31
甲醇(ma2609) 37 37.84% 1.19 1.09% -9.82% 0.25
PTA(ta2609) 38 39.47% 1.06 0.37% -6.05% 0.08
聚丙烯(pp2609) 39 35.9% 1.17 0.68% -9.11% 0.2
碳酸锂(lc2609) 41 56.1% 2.13 9.62% -6.79% 1.43
多晶硅(ps2609) 14 50.0% 1.17 1.87% -7.88% 0.3
生猪(lh2609) 39 48.72% 1.41 2.26% -4.92% 0.49
玻璃(fg2609) 34 35.29% 0.8 -2.04% -9.42% -0.31
纯碱(sa2609) 32 43.75% 1.01 0.07% -5.92% 0.03
集运欧线(ec2606) 35 54.29% 2.05 12.08% -8.95% 1.56

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% 1.11 0.66% -5.44% 0.17
豆油(y2609) 43 23.26% 0.71 -1.64% -9.85% -0.5
棕榈油(p2609) 53 32.08% 1.1 0.65% -9.44% 0.14
玉米(c2607) 45 51.11% 1.34 1.4% -3.0% 0.49
棉花(cf2609) 53 47.17% 1.82 3.53% -2.04% 0.98
白糖(sr2609) 42 28.57% 0.73 -1.01% -3.7% -0.46
菜油(oi2609) 50 28.0% 0.68 -2.51% -9.99% -0.64
沪铜(cu2607) 58 36.21% 1.28 1.63% -4.25% 0.45
沪铝(al2607) 57 31.58% 1.06 0.32% -3.69% 0.06
沪锌(zn2607) 49 32.65% 0.83 -1.09% -8.93% -0.3
沪镍(ni2607) 58 20.69% 0.8 -1.83% -11.0% -0.41
沪锡(sn2607) 56 39.29% 1.24 2.02% -10.95% 0.38
沪金(au2608) 75 48.0% 1.43 3.19% -7.05% 0.8
沪银(ag2608) 65 38.46% 1.31 2.58% -8.04% 0.5
螺纹钢(rb2610) 52 28.85% 0.91 -0.56% -5.82% -0.18
热卷(hc2610) 53 30.19% 0.87 -0.74% -5.28% -0.24
铁矿石(i2609) 41 24.39% 0.68 -2.89% -11.14% -0.57
焦炭(j2609) 48 33.33% 0.85 -1.95% -12.53% -0.3
焦煤(jm2609) 47 40.43% 1.27 2.89% -10.76% 0.45
原油(sc2607) 53 41.51% 1.32 2.95% -9.93% 0.5
燃油(fu2609) 48 39.58% 1.27 2.28% -7.33% 0.39
甲醇(ma2609) 45 33.33% 1.19 1.11% -7.88% 0.24
PTA(ta2609) 54 31.48% 1.1 0.7% -5.46% 0.15
聚丙烯(pp2609) 49 32.65% 1.21 0.93% -7.87% 0.27
碳酸锂(lc2609) 54 44.44% 1.63 7.37% -9.4% 1.01
多晶硅(ps2609) 15 46.67% 1.54 4.51% -7.08% 0.6
生猪(lh2609) 52 38.46% 1.38 2.3% -6.0% 0.49
玻璃(fg2609) 45 33.33% 1.01 0.07% -9.04% 0.02
纯碱(sa2609) 51 31.37% 0.82 -2.09% -11.16% -0.36
集运欧线(ec2606) 40 47.5% 1.83 11.7% -9.64% 1.32

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 47 38.3% 0.68 -2.13% -6.87% -0.69
豆粕(m2609) 47 44.68% 1.21 1.73% -10.24% 0.37
豆油(y2609) 42 40.48% 0.96 -0.28% -9.3% -0.08
棕榈油(p2609) 43 44.19% 0.84 -1.5% -7.63% -0.31
玉米(c2607) 48 43.75% 1.04 0.18% -4.73% 0.03
棉花(cf2609) 43 60.47% 1.89 3.23% -2.44% 0.97
白糖(sr2609) 47 36.17% 0.52 -3.01% -9.66% -1.23
菜油(oi2609) 37 45.95% 1.11 0.7% -5.85% 0.15
沪铜(cu2607) 51 45.1% 1.01 0.05% -4.74% -0.01
沪铝(al2607) 46 50.0% 1.1 0.56% -6.05% 0.15
沪锌(zn2607) 44 38.64% 0.75 -1.9% -10.05% -0.49
沪镍(ni2607) 41 36.59% 0.63 -4.07% -14.89% -0.84
沪锡(sn2607) 39 46.15% 0.89 -1.03% -11.47% -0.19
沪金(au2608) 54 59.26% 1.63 3.87% -4.91% 1.09
沪银(ag2608) 49 42.86% 1.06 0.67% -9.99% 0.12
螺纹钢(rb2610) 45 46.67% 1.02 0.16% -5.93% 0.03
热卷(hc2610) 43 46.51% 1.01 0.04% -5.07% 0.0
铁矿石(i2609) 43 32.56% 0.59 -5.27% -19.83% -0.89
焦炭(j2609) 40 45.0% 0.94 -0.73% -12.71% -0.09
焦煤(jm2609) 46 45.65% 1.09 1.41% -17.65% 0.2
原油(sc2607) 47 51.06% 1.25 2.83% -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 -2.57% -14.83% -0.5
PTA(ta2609) 42 45.24% 0.94 -0.46% -8.16% -0.09
聚丙烯(pp2609) 47 38.3% 0.87 -0.82% -11.28% -0.22
碳酸锂(lc2609) 40 52.5% 1.36 5.27% -11.03% 0.68
多晶硅(ps2609) 17 47.06% 1.1 1.81% -11.44% 0.27
生猪(lh2609) 47 42.55% 0.9 -0.88% -9.85% -0.19
玻璃(fg2609) 40 45.0% 1.14 1.74% -10.19% 0.26
纯碱(sa2609) 44 45.45% 1.17 2.32% -11.21% 0.33
集运欧线(ec2606) 42 52.38% 1.57 9.26% -8.87% 0.99

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 -0.08% -5.02% -0.05
豆粕(m2609) 23 47.83% 1.57 2.17% -5.59% 0.61
豆油(y2609) 20 35.0% 0.62 -1.63% -9.16% -0.56
棕榈油(p2609) 22 40.91% 1.03 0.13% -6.41% 0.04
玉米(c2607) 28 42.86% 0.99 -0.02% -3.79% -0.03
棉花(cf2609) 26 50.0% 1.41 1.13% -2.47% 0.41
白糖(sr2609) 21 33.33% 0.44 -1.69% -5.4% -0.89
菜油(oi2609) 24 29.17% 0.72 -1.48% -7.95% -0.42
沪铜(cu2607) 29 37.93% 0.83 -0.91% -6.47% -0.28
沪铝(al2607) 26 42.31% 1.02 0.06% -3.84% 0.01
沪锌(zn2607) 24 41.67% 1.08 0.29% -3.5% 0.08
沪镍(ni2607) 21 38.1% 1.23 1.08% -5.06% 0.24
沪锡(sn2607) 25 36.0% 0.87 -0.89% -7.76% -0.18
沪金(au2608) 33 54.55% 1.75 3.11% -4.81% 0.87
沪银(ag2608) 29 44.83% 1.72 4.37% -10.27% 0.81
螺纹钢(rb2610) 27 37.04% 0.69 -1.52% -6.7% -0.49
热卷(hc2610) 25 36.0% 0.82 -0.77% -5.7% -0.25
铁矿石(i2609) 22 27.27% 0.6 -3.06% -9.32% -0.72
焦炭(j2609) 23 43.48% 0.93 -0.48% -9.43% -0.07
焦煤(jm2609) 29 41.38% 1.19 1.9% -11.36% 0.28
原油(sc2607) 26 42.31% 1.14 1.01% -11.89% 0.19
燃油(fu2609) 25 48.0% 1.49 3.22% -5.04% 0.5
甲醇(ma2609) 25 48.0% 1.26 1.47% -7.25% 0.31
PTA(ta2609) 26 34.62% 0.84 -1.06% -9.3% -0.23
聚丙烯(pp2609) 26 42.31% 1.6 1.89% -5.89% 0.48
碳酸锂(lc2609) 26 46.15% 1.6 6.22% -8.21% 0.84
多晶硅(ps2609) 9 66.67% 2.24 6.15% -4.16% 0.73
生猪(lh2609) 23 43.48% 1.31 1.28% -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) 27 48.15% 1.57 7.03% -14.33% 0.79

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2607) 56 41.07% 1.13 0.74% -5.16% 0.19
豆粕(m2609) 55 43.64% 1.49 3.72% -4.48% 0.76
豆油(y2609) 55 32.73% 0.86 -1.12% -8.77% -0.31
棕榈油(p2609) 57 35.09% 0.88 -1.34% -8.82% -0.28
玉米(c2607) 63 39.68% 1.15 0.84% -4.08% 0.26
棉花(cf2609) 58 44.83% 1.29 1.61% -3.47% 0.46
白糖(sr2609) 56 33.93% 0.63 -2.24% -8.34% -0.86
菜油(oi2609) 51 29.41% 0.7 -2.97% -13.05% -0.68
沪铜(cu2607) 60 45.0% 1.15 1.0% -6.54% 0.25
沪铝(al2607) 59 38.98% 0.9 -0.7% -7.84% -0.24
沪锌(zn2607) 56 37.5% 0.86 -1.03% -9.62% -0.27
沪镍(ni2607) 59 33.9% 0.77 -2.79% -11.91% -0.54
沪锡(sn2607) 53 37.74% 0.97 -0.35% -10.77% -0.05
沪金(au2608) 72 48.61% 1.49 3.81% -4.45% 0.86
沪银(ag2608) 68 38.24% 1.09 1.26% -11.0% 0.19
螺纹钢(rb2610) 51 33.33% 0.72 -1.87% -6.25% -0.52
热卷(hc2610) 54 38.89% 0.95 -0.31% -4.86% -0.11
铁矿石(i2609) 63 26.98% 0.61 -6.53% -21.0% -0.99
焦炭(j2609) 61 24.59% 0.58 -8.08% -23.22% -1.12
焦煤(jm2609) 57 38.6% 1.0 0.02% -16.67% 0.03
原油(sc2607) 66 33.33% 0.86 -2.44% -15.39% -0.34
燃油(fu2609) 66 30.3% 0.64 -6.39% -21.64% -0.9
甲醇(ma2609) 61 32.79% 0.78 -2.83% -14.4% -0.51
PTA(ta2609) 59 33.9% 0.74 -2.78% -10.75% -0.57
聚丙烯(pp2609) 63 28.57% 0.85 -1.03% -11.07% -0.27
碳酸锂(lc2609) 51 41.18% 1.11 2.17% -11.72% 0.27
多晶硅(ps2609) 22 36.36% 1.22 4.78% -13.03% 0.55
生猪(lh2609) 58 36.21% 0.92 -0.7% -9.82% -0.15
玻璃(fg2609) 50 42.0% 1.13 1.94% -11.88% 0.26
纯碱(sa2609) 59 42.37% 1.22 3.73% -10.9% 0.45
集运欧线(ec2606) 53 41.51% 1.38 9.73% -12.42% 0.8

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 -0.51% -7.28% -0.19
豆油(y2609) 23 43.48% 1.37 1.02% -3.53% 0.39
棕榈油(p2609) 25 28.0% 0.7 -1.56% -11.45% -0.43
玉米(c2607) 35 37.14% 1.06 0.21% -4.01% 0.06
棉花(cf2609) 34 29.41% 0.61 -1.62% -7.0% -0.66
白糖(sr2609) 19 31.58% 0.58 -0.82% -3.86% -0.6
菜油(oi2609) 19 47.37% 1.2 0.6% -3.04% 0.2
沪铜(cu2607) 32 25.0% 0.65 -1.82% -9.02% -0.59
沪铝(al2607) 22 27.27% 0.71 -0.86% -5.06% -0.39
沪锌(zn2607) 21 33.33% 0.8 -0.66% -6.55% -0.23
沪镍(ni2607) 20 40.0% 1.28 1.06% -5.38% 0.26
沪锡(sn2607) 25 32.0% 0.55 -2.73% -11.77% -0.59
沪金(au2608) 48 22.92% 1.06 0.34% -7.32% 0.07
沪银(ag2608) 44 20.45% 0.48 -6.75% -28.88% -1.13
螺纹钢(rb2610) 21 19.05% 0.45 -2.13% -8.57% -0.81
热卷(hc2610) 25 20.0% 0.48 -2.13% -8.73% -0.83
铁矿石(i2609) 14 64.29% 3.93 4.58% -3.61% 1.35
焦炭(j2609) 16 56.25% 2.44 4.33% -3.96% 0.99
焦煤(jm2609) 20 45.0% 1.82 4.33% -6.27% 0.66
原油(sc2607) 30 23.33% 0.54 -4.0% -12.57% -0.62
燃油(fu2609) 29 17.24% 0.36 -6.15% -17.89% -1.16
甲醇(ma2609) 21 19.05% 0.29 -4.35% -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 -1.34% -10.46% -0.35
碳酸锂(lc2609) 35 20.0% 0.41 -9.13% -25.0% -1.1
多晶硅(ps2609) 12 25.0% 0.44 -8.09% -10.36% -1.16
生猪(lh2609) 25 36.0% 0.67 -1.38% -7.11% -0.38
玻璃(fg2609) 24 41.67% 1.22 1.44% -10.7% 0.28
纯碱(sa2609) 23 34.78% 1.12 0.86% -10.4% 0.16
集运欧线(ec2606) 35 28.57% 0.64 -7.0% -20.79% -0.67

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 0.8% -2.08% 0.46
豆粕(m2609) 20 30.0% 0.48 -2.38% -10.09% -1.04
豆油(y2609) 10 60.0% 1.59 0.74% -1.73% 0.43
棕榈油(p2609) 12 16.67% 0.24 -2.52% -8.66% -1.25
玉米(c2607) 14 71.43% 3.38 1.83% -1.03% 1.16
棉花(cf2609) 14 50.0% 1.07 0.12% -3.29% 0.05
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% 0.62 -1.14% -4.41% -0.52
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 -0.47% -4.97% -0.19
沪锡(sn2607) 10 20.0% 0.36 -2.29% -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 -4.18% -14.81% -0.94
螺纹钢(rb2610) 10 30.0% 0.57 -0.84% -6.52% -0.41
热卷(hc2610) 8 37.5% 0.85 -0.21% -4.55% -0.11
铁矿石(i2609) 5 40.0% 0.64 -0.53% -4.43% -0.2
焦炭(j2609) 5 60.0% 1.49 0.61% -3.36% 0.24
焦煤(jm2609) 6 16.67% 0.27 -2.35% -8.46% -0.85
原油(sc2607) 11 45.45% 1.17 0.36% -2.84% 0.12
燃油(fu2609) 8 25.0% 0.49 -1.43% -7.95% -0.5
甲醇(ma2609) 11 27.27% 0.3 -2.42% -7.3% -0.85
PTA(ta2609) 8 37.5% 1.11 0.21% -4.34% 0.08
聚丙烯(pp2609) 12 8.33% 0.08 -3.86% -11.47% -1.57
碳酸锂(lc2609) 23 30.43% 0.65 -3.6% -15.29% -0.6
多晶硅(ps2609) 9 33.33% 0.74 -2.45% -7.97% -0.4
生猪(lh2609) 12 41.67% 1.13 0.26% -3.25% 0.1
玻璃(fg2609) 7 28.57% 0.63 -1.05% -5.74% -0.36
纯碱(sa2609) 14 35.71% 0.53 -2.64% -16.12% -0.6
集运欧线(ec2606) 20 20.0% 0.28 -8.62% -20.14% -1.7

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 1.88% -2.07% 0.95
豆粕(m2609) 22 36.36% 0.75 -1.15% -6.12% -0.37
豆油(y2609) 19 42.11% 0.6 -1.39% -7.28% -0.58
棕榈油(p2609) 21 42.86% 0.97 -0.13% -6.01% -0.03
玉米(c2607) 18 50.0% 1.32 0.6% -2.9% 0.34
棉花(cf2609) 23 43.48% 1.12 0.33% -3.73% 0.13
白糖(sr2609) 16 56.25% 1.37 0.54% -3.92% 0.29
菜油(oi2609) 20 40.0% 0.55 -1.89% -7.02% -0.61
沪铜(cu2607) 19 57.89% 2.54 2.22% -3.5% 1.01
沪铝(al2607) 16 56.25% 1.16 0.34% -3.22% 0.15
沪锌(zn2607) 23 52.17% 0.97 -0.1% -5.5% -0.05
沪镍(ni2607) 22 31.82% 0.47 -2.8% -8.88% -0.86
沪锡(sn2607) 18 66.67% 2.95 3.99% -4.97% 1.06
沪金(au2608) 20 70.0% 2.94 2.38% -1.64% 1.12
沪银(ag2608) 17 41.18% 1.19 0.65% -5.75% 0.21
螺纹钢(rb2610) 22 31.82% 0.43 -2.65% -9.87% -0.97
热卷(hc2610) 20 25.0% 0.44 -2.15% -7.28% -0.92
铁矿石(i2609) 17 52.94% 1.15 0.57% -5.61% 0.15
焦炭(j2609) 20 35.0% 0.67 -2.05% -8.76% -0.4
焦煤(jm2609) 18 38.89% 0.88 -0.7% -8.65% -0.13
原油(sc2607) 25 36.0% 0.59 -3.17% -13.51% -0.65
燃油(fu2609) 20 30.0% 0.61 -2.38% -13.24% -0.49
甲醇(ma2609) 20 40.0% 0.48 -2.26% -10.91% -0.63
PTA(ta2609) 23 39.13% 1.08 0.3% -5.33% 0.09
聚丙烯(pp2609) 21 52.38% 1.57 0.92% -1.83% 0.47
碳酸锂(lc2609) 13 61.54% 2.35 2.98% -3.64% 0.73
多晶硅(ps2609) 5 80.0% 14.47 8.34% -3.6% 1.65
生猪(lh2609) 20 45.0% 0.94 -0.23% -4.65% -0.09
玻璃(fg2609) 13 15.38% 0.17 -4.08% -13.45% -0.99
纯碱(sa2609) 17 41.18% 0.84 -0.91% -7.15% -0.22
集运欧线(ec2606) 13 46.15% 0.86 -0.82% -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 36.84% 1.3 0.49% -2.73% 0.28
豆粕(m2609) 11 36.36% 0.94 -0.08% -2.88% -0.06
豆油(y2609) 11 18.18% 0.34 -1.18% -5.33% -0.78
棕榈油(p2609) 8 12.5% 0.09 -1.41% -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 -0.61% -4.29% -0.38
白糖(sr2609) 13 53.85% 2.57 1.23% -1.28% 0.94
菜油(oi2609) 11 45.45% 1.56 0.7% -2.13% 0.34
沪铜(cu2607) 9 22.22% 0.16 -1.21% -3.73% -0.8
沪铝(al2607) 11 54.55% 1.85 0.76% -1.87% 0.57
沪锌(zn2607) 8 50.0% 1.64 0.54% -2.05% 0.35
沪镍(ni2607) 13 61.54% 2.39 2.33% -3.13% 0.79
沪锡(sn2607) 20 25.0% 0.32 -3.17% -9.86% -1.04
沪金(au2608) 19 21.05% 0.56 -1.01% -5.5% -0.7
沪银(ag2608) 22 36.36% 0.97 -0.13% -9.91% -0.03
螺纹钢(rb2610) 12 58.33% 2.41 1.17% -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 0.75% -5.78% 0.23
焦炭(j2609) 12 25.0% 0.75 -0.77% -4.47% -0.24
焦煤(jm2609) 13 38.46% 1.53 1.77% -6.86% 0.51
原油(sc2607) 26 26.92% 0.89 -0.57% -9.65% -0.11
燃油(fu2609) 21 42.86% 1.45 1.78% -6.14% 0.39
甲醇(ma2609) 16 43.75% 1.19 0.49% -2.56% 0.16
PTA(ta2609) 9 22.22% 0.48 -0.75% -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 -2.88% -7.2% -0.73
多晶硅(ps2609) 8 37.5% 1.28 1.72% -5.87% 0.3
生猪(lh2609) 25 32.0% 0.9 -0.36% -6.02% -0.12
玻璃(fg2609) 19 52.63% 1.77 2.87% -6.39% 0.54
纯碱(sa2609) 17 5.88% 0.13 -4.7% -16.16% -1.13
集运欧线(ec2606) 27 40.74% 1.52 5.86% -8.98% 0.63

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% -0.29
豆粕(m2609) 6 66.67% 1.81 0.43% -1.86% 0.29
豆油(y2609) 4 50.0% 1.32 0.18% -1.35% 0.21
棕榈油(p2609) 6 66.67% 2.87 1.19% -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 0.98% -0.31% 1.4
白糖(sr2609) 7 85.71% 5.36 0.83% -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 0.29% -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 1.5% -1.93% 0.97
沪银(ag2608) 12 50.0% 1.47 0.69% -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 0.27% -0.01% 0.79
铁矿石(i2609) 5 40.0% 0.69 -0.37% -2.11% -0.31
焦炭(j2609) 5 20.0% 0.26 -1.4% -4.83% -0.61
焦煤(jm2609) 6 33.33% 0.61 -0.7% -3.45% -0.36
原油(sc2607) 18 50.0% 1.3 1.19% -4.87% 0.28
燃油(fu2609) 22 59.09% 1.48 1.86% -7.62% 0.5
甲醇(ma2609) 4 25.0% 0.33 -0.87% -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 -0.97% -4.11% -0.34
多晶硅(ps2609) 4 75.0% 3.92 3.93% -1.43% 1.7
生猪(lh2609) 17 47.06% 0.85 -0.42% -4.73% -0.14
玻璃(fg2609) 3 33.33% 0.49 -0.55% -3.91% -0.36
纯碱(sa2609) 6 16.67% 0.11 -2.24% -6.92% -1.16
集运欧线(ec2606) 21 47.62% 0.89 -0.8% -11.94% -0.12