期货研究

策略回测对比

2026-06-22 19:08:33 · 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
1805 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 1203 43.0% 1.3% -7.1%
三均线趋势 31 1571 36.0% 1.2% -7.7%
动量突破 31 769 41.6% 0.9% -7.1%
海龟突破 31 1378 44.9% 0.3% -9.7%
价量背离 31 480 35.4% 0.1% -5.1%
跳空缺口 31 229 50.2% 0.1% -2.9%
双EXPMA趋势 31 1766 44.3% 0.0% -10.3%
MACD+KDJ双确认 31 587 44.6% -0.1% -6.4%
波动率突破 31 1805 36.8% -0.3% -10.9%
RSI极值反转 31 364 34.3% -1.3% -6.7%
布林带回归 31 813 30.6% -1.4% -9.6%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 54 44.44% 0.88 -0.82% -5.82% -0.24
豆粕(m2609) 56 39.29% 0.94 -0.6% -10.73% -0.14
豆油(y2609) 56 37.5% 0.79 -2.06% -10.15% -0.47
棕榈油(p2609) 60 35.0% 0.69 -3.62% -13.32% -0.69
玉米(c2609) 55 49.09% 1.31 1.75% -2.76% 0.54
棉花(cf2609) 56 50.0% 1.54 3.17% -2.8% 0.83
白糖(sr2609) 60 36.67% 0.59 -2.7% -10.42% -0.9
菜油(oi2609) 57 38.6% 0.69 -3.06% -13.02% -0.64
沪铜(cu2608) 57 50.88% 1.3 2.07% -5.13% 0.48
沪铝(al2608) 58 50.0% 1.06 0.47% -4.63% 0.1
沪锌(zn2608) 59 42.37% 0.94 -0.45% -7.66% -0.11
沪镍(ni2609) 60 33.33% 0.8 -2.31% -14.63% -0.41
沪锡(sn2607) 58 43.1% 0.95 -0.54% -13.52% -0.07
沪金(au2608) 69 69.57% 2.5 7.85% -3.42% 1.8
沪银(ag2608) 70 45.71% 0.91 -1.13% -15.73% -0.18
螺纹钢(rb2610) 59 33.9% 0.66 -3.29% -13.26% -0.83
热卷(hc2610) 61 36.07% 0.75 -2.25% -10.31% -0.62
铁矿石(i2609) 52 36.54% 0.68 -3.66% -12.84% -0.62
焦炭(j2609) 55 47.27% 0.93 -0.89% -12.66% -0.1
焦煤(jm2609) 57 49.12% 1.15 2.38% -14.61% 0.32
原油(sc2608) 59 49.15% 1.07 0.93% -8.71% 0.15
燃油(fu2609) 62 45.16% 1.04 0.54% -10.5% 0.09
甲醇(ma2609) 60 36.67% 0.81 -2.11% -15.26% -0.39
PTA(ta2609) 64 39.06% 0.84 -1.81% -11.44% -0.35
聚丙烯(pp2609) 56 44.64% 1.31 1.52% -8.81% 0.4
碳酸锂(lc2609) 48 64.58% 1.98 9.32% -7.44% 1.24
多晶硅(ps2609) 22 54.55% 1.44 6.17% -5.72% 0.77
生猪(lh2609) 58 48.28% 1.25 2.03% -5.27% 0.37
玻璃(fg2609) 56 37.5% 0.87 -2.17% -14.87% -0.25
纯碱(sa2609) 60 41.67% 0.82 -2.97% -14.94% -0.38
集运欧线(ec2607) 52 50.0% 0.96 -0.7% -19.06% -0.05

均线多空排列

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 42 35.71% 0.7 -1.78% -6.82% -0.61
豆粕(m2609) 39 46.15% 1.26 1.39% -5.06% 0.37
豆油(y2609) 37 29.73% 0.73 -1.49% -8.21% -0.47
棕榈油(p2609) 36 41.67% 1.28 1.37% -6.0% 0.34
玉米(c2609) 40 45.0% 1.03 0.14% -2.95% 0.02
棉花(cf2609) 42 54.76% 1.75 2.82% -2.18% 0.83
白糖(sr2609) 36 33.33% 0.71 -1.13% -4.15% -0.54
菜油(oi2609) 44 29.55% 0.67 -2.65% -10.41% -0.67
沪铜(cu2608) 43 46.51% 1.51 2.22% -3.4% 0.66
沪铝(al2608) 42 42.86% 1.14 0.62% -3.32% 0.18
沪锌(zn2608) 37 32.43% 0.81 -1.01% -7.31% -0.28
沪镍(ni2609) 38 28.95% 0.8 -1.55% -9.85% -0.39
沪锡(sn2607) 40 45.0% 1.22 1.53% -10.97% 0.31
沪金(au2608) 59 59.32% 1.84 4.89% -4.44% 1.34
沪银(ag2608) 49 51.02% 1.72 4.83% -7.85% 0.98
螺纹钢(rb2610) 35 40.0% 1.05 0.23% -4.47% 0.06
热卷(hc2610) 38 36.84% 0.88 -0.55% -4.28% -0.19
铁矿石(i2609) 35 31.43% 0.72 -2.48% -12.05% -0.51
焦炭(j2609) 36 44.44% 0.9 -0.96% -10.59% -0.14
焦煤(jm2609) 39 46.15% 1.29 2.95% -11.69% 0.48
原油(sc2608) 39 53.85% 1.57 3.93% -8.14% 0.68
燃油(fu2609) 43 44.19% 1.2 1.67% -8.24% 0.3
甲醇(ma2609) 38 36.84% 1.11 0.65% -9.82% 0.15
PTA(ta2609) 38 39.47% 0.96 -0.28% -6.05% -0.07
聚丙烯(pp2609) 39 35.9% 1.17 0.67% -9.11% 0.2
碳酸锂(lc2609) 41 56.1% 2.1 9.36% -6.79% 1.4
多晶硅(ps2609) 14 50.0% 1.15 1.55% -7.88% 0.24
生猪(lh2609) 40 47.5% 1.37 2.06% -4.92% 0.45
玻璃(fg2609) 35 37.14% 0.81 -1.84% -9.43% -0.28
纯碱(sa2609) 33 42.42% 1.01 0.06% -5.95% 0.02
集运欧线(ec2607) 36 58.33% 2.14 12.6% -8.95% 1.62

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 50 36.0% 0.85 -0.83% -5.51% -0.29
豆粕(m2609) 47 38.3% 1.09 0.54% -5.44% 0.13
豆油(y2609) 44 25.0% 0.7 -1.74% -9.85% -0.53
棕榈油(p2609) 54 31.48% 1.08 0.51% -9.44% 0.11
玉米(c2609) 45 48.89% 1.31 1.25% -3.0% 0.44
棉花(cf2609) 54 46.3% 1.78 3.39% -2.04% 0.95
白糖(sr2609) 43 30.23% 0.74 -0.96% -3.71% -0.44
菜油(oi2609) 52 28.85% 0.69 -2.47% -9.99% -0.62
沪铜(cu2608) 58 36.21% 1.25 1.44% -4.25% 0.4
沪铝(al2608) 59 32.2% 1.06 0.32% -3.98% 0.07
沪锌(zn2608) 49 30.61% 0.78 -1.45% -8.93% -0.39
沪镍(ni2609) 58 20.69% 0.8 -1.8% -11.0% -0.41
沪锡(sn2607) 56 37.5% 1.16 1.38% -10.95% 0.26
沪金(au2608) 77 48.05% 1.55 3.97% -7.05% 0.98
沪银(ag2608) 66 40.91% 1.53 4.26% -8.04% 0.79
螺纹钢(rb2610) 52 28.85% 0.91 -0.55% -5.82% -0.18
热卷(hc2610) 53 30.19% 0.87 -0.71% -5.28% -0.24
铁矿石(i2609) 42 26.19% 0.68 -2.83% -11.34% -0.56
焦炭(j2609) 50 34.0% 0.9 -1.24% -12.54% -0.18
焦煤(jm2609) 49 40.82% 1.33 3.48% -10.77% 0.53
原油(sc2608) 53 43.4% 1.36 3.2% -9.93% 0.53
燃油(fu2609) 49 40.82% 1.27 2.27% -7.33% 0.38
甲醇(ma2609) 46 32.61% 1.11 0.67% -7.88% 0.14
PTA(ta2609) 54 31.48% 1.01 0.04% -5.46% 0.0
聚丙烯(pp2609) 49 32.65% 1.21 0.92% -7.87% 0.27
碳酸锂(lc2609) 54 44.44% 1.61 7.15% -9.4% 0.98
多晶硅(ps2609) 15 46.67% 1.5 4.07% -7.08% 0.53
生猪(lh2609) 53 37.74% 1.34 2.1% -6.0% 0.45
玻璃(fg2609) 46 34.78% 1.02 0.25% -9.04% 0.05
纯碱(sa2609) 53 32.08% 0.82 -2.08% -11.3% -0.36
集运欧线(ec2607) 41 51.22% 1.9 12.22% -9.64% 1.37

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 47 38.3% 0.7 -1.94% -7.07% -0.63
豆粕(m2609) 47 46.81% 1.22 1.81% -10.24% 0.39
豆油(y2609) 43 41.86% 0.96 -0.26% -9.3% -0.08
棕榈油(p2609) 44 43.18% 0.83 -1.62% -7.63% -0.34
玉米(c2609) 48 43.75% 1.01 0.06% -4.73% -0.02
棉花(cf2609) 44 61.36% 1.91 3.26% -2.44% 0.98
白糖(sr2609) 48 37.5% 0.53 -3.01% -9.83% -1.23
菜油(oi2609) 38 44.74% 1.06 0.4% -6.69% 0.09
沪铜(cu2608) 52 44.23% 1.01 0.05% -4.74% -0.01
沪铝(al2608) 47 53.19% 1.11 0.66% -6.05% 0.18
沪锌(zn2608) 45 35.56% 0.72 -2.21% -10.05% -0.57
沪镍(ni2609) 42 38.1% 0.65 -3.7% -14.89% -0.76
沪锡(sn2607) 41 43.9% 0.83 -1.62% -11.47% -0.31
沪金(au2608) 55 60.0% 1.73 4.42% -4.91% 1.21
沪银(ag2608) 50 44.0% 1.13 1.47% -9.99% 0.25
螺纹钢(rb2610) 45 46.67% 1.02 0.13% -5.93% 0.02
热卷(hc2610) 43 48.84% 1.01 0.06% -5.07% 0.0
铁矿石(i2609) 44 34.09% 0.6 -5.16% -19.96% -0.87
焦炭(j2609) 41 46.34% 0.95 -0.63% -13.14% -0.07
焦煤(jm2609) 47 44.68% 1.08 1.28% -17.96% 0.18
原油(sc2608) 47 51.06% 1.26 2.98% -9.49% 0.46
燃油(fu2609) 48 43.75% 0.99 -0.11% -11.26% 0.0
甲醇(ma2609) 48 33.33% 0.72 -3.24% -17.19% -0.63
PTA(ta2609) 42 42.86% 0.89 -0.97% -8.16% -0.2
聚丙烯(pp2609) 47 38.3% 0.87 -0.81% -11.28% -0.22
碳酸锂(lc2609) 41 51.22% 1.35 5.1% -11.03% 0.65
多晶硅(ps2609) 18 44.44% 1.02 0.41% -11.44% 0.08
生猪(lh2609) 49 40.82% 0.84 -1.49% -9.85% -0.31
玻璃(fg2609) 40 47.5% 1.16 2.02% -10.19% 0.3
纯碱(sa2609) 44 47.73% 1.19 2.62% -11.28% 0.37
集运欧线(ec2607) 43 53.49% 1.64 10.08% -8.87% 1.06

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 26 42.31% 0.98 -0.08% -5.02% -0.05
豆粕(m2609) 23 47.83% 1.57 2.14% -5.59% 0.6
豆油(y2609) 21 38.1% 0.62 -1.6% -9.16% -0.55
棕榈油(p2609) 22 40.91% 1.03 0.13% -6.41% 0.04
玉米(c2609) 28 39.29% 0.95 -0.14% -3.79% -0.09
棉花(cf2609) 26 50.0% 1.41 1.11% -2.47% 0.4
白糖(sr2609) 21 33.33% 0.44 -1.66% -5.4% -0.89
菜油(oi2609) 25 28.0% 0.68 -1.74% -8.49% -0.5
沪铜(cu2608) 29 37.93% 0.83 -0.89% -6.47% -0.28
沪铝(al2608) 26 42.31% 1.02 0.06% -3.84% 0.01
沪锌(zn2608) 24 37.5% 0.98 -0.08% -4.09% -0.03
沪镍(ni2609) 21 38.1% 1.23 1.07% -5.06% 0.23
沪锡(sn2607) 26 34.62% 0.8 -1.45% -7.76% -0.3
沪金(au2608) 34 55.88% 1.82 3.33% -4.82% 0.93
沪银(ag2608) 29 44.83% 1.72 4.31% -10.27% 0.8
螺纹钢(rb2610) 27 37.04% 0.69 -1.49% -6.7% -0.48
热卷(hc2610) 25 36.0% 0.82 -0.76% -5.7% -0.25
铁矿石(i2609) 22 27.27% 0.6 -3.02% -9.32% -0.71
焦炭(j2609) 23 47.83% 1.05 0.35% -9.43% 0.08
焦煤(jm2609) 30 43.33% 1.24 2.54% -11.36% 0.36
原油(sc2608) 27 40.74% 1.12 0.88% -11.89% 0.17
燃油(fu2609) 26 46.15% 1.45 2.98% -5.08% 0.47
甲醇(ma2609) 25 48.0% 1.26 1.45% -7.25% 0.31
PTA(ta2609) 26 34.62% 0.84 -1.04% -9.3% -0.23
聚丙烯(pp2609) 26 42.31% 1.6 1.87% -5.89% 0.48
碳酸锂(lc2609) 26 46.15% 1.58 5.97% -8.21% 0.81
多晶硅(ps2609) 9 66.67% 2.24 5.9% -4.16% 0.71
生猪(lh2609) 24 41.67% 1.24 1.06% -4.99% 0.25
玻璃(fg2609) 18 38.89% 1.03 0.16% -8.56% 0.05
纯碱(sa2609) 26 38.46% 0.95 -0.47% -10.5% -0.06
集运欧线(ec2607) 28 50.0% 1.63 7.59% -14.33% 0.85

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 57 40.35% 1.09 0.55% -5.16% 0.13
豆粕(m2609) 56 44.64% 1.49 3.68% -4.48% 0.76
豆油(y2609) 56 33.93% 0.85 -1.26% -8.77% -0.34
棕榈油(p2609) 58 34.48% 0.87 -1.45% -8.82% -0.3
玉米(c2609) 65 40.0% 1.14 0.8% -4.08% 0.24
棉花(cf2609) 58 46.55% 1.33 1.82% -3.47% 0.52
白糖(sr2609) 58 34.48% 0.63 -2.35% -8.34% -0.9
菜油(oi2609) 53 30.19% 0.73 -2.75% -13.06% -0.63
沪铜(cu2608) 61 42.62% 1.13 0.91% -6.54% 0.22
沪铝(al2608) 61 39.34% 0.89 -0.75% -7.84% -0.26
沪锌(zn2608) 57 35.09% 0.83 -1.3% -9.62% -0.34
沪镍(ni2609) 59 33.9% 0.82 -2.19% -11.91% -0.42
沪锡(sn2607) 55 36.36% 0.93 -0.81% -10.77% -0.13
沪金(au2608) 74 50.0% 1.61 4.56% -4.45% 1.02
沪银(ag2608) 69 39.13% 1.18 2.35% -11.0% 0.34
螺纹钢(rb2610) 51 33.33% 0.72 -1.88% -6.55% -0.52
热卷(hc2610) 54 40.74% 0.95 -0.29% -4.86% -0.1
铁矿石(i2609) 64 28.12% 0.62 -6.4% -21.14% -0.97
焦炭(j2609) 62 27.42% 0.62 -7.08% -23.22% -0.96
焦煤(jm2609) 58 37.93% 1.0 -0.09% -16.98% 0.02
原油(sc2608) 66 33.33% 0.87 -2.15% -15.39% -0.3
燃油(fu2609) 66 30.3% 0.65 -6.17% -21.64% -0.86
甲醇(ma2609) 62 30.65% 0.75 -3.42% -15.25% -0.62
PTA(ta2609) 60 31.67% 0.68 -3.63% -12.42% -0.73
聚丙烯(pp2609) 64 28.12% 0.77 -1.78% -11.07% -0.46
碳酸锂(lc2609) 52 40.38% 1.1 2.03% -11.72% 0.25
多晶硅(ps2609) 22 36.36% 1.21 4.41% -13.03% 0.51
生猪(lh2609) 60 35.0% 0.88 -1.2% -9.82% -0.26
玻璃(fg2609) 52 42.31% 1.09 1.39% -11.88% 0.2
纯碱(sa2609) 60 43.33% 1.23 3.71% -10.9% 0.45
集运欧线(ec2607) 55 41.82% 1.41 10.58% -12.42% 0.85

布林带回归

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 26 30.77% 0.85 -0.5% -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 1.01% -3.53% 0.38
棕榈油(p2609) 25 28.0% 0.7 -1.53% -11.45% -0.43
玉米(c2609) 35 37.14% 1.06 0.2% -4.01% 0.06
棉花(cf2609) 34 29.41% 0.61 -1.6% -7.0% -0.66
白糖(sr2609) 19 31.58% 0.58 -0.81% -3.86% -0.6
菜油(oi2609) 20 50.0% 1.33 0.95% -3.04% 0.32
沪铜(cu2608) 32 25.0% 0.68 -1.63% -9.02% -0.52
沪铝(al2608) 22 27.27% 0.71 -0.85% -5.06% -0.38
沪锌(zn2608) 21 33.33% 0.8 -0.66% -6.55% -0.23
沪镍(ni2609) 20 40.0% 1.28 1.04% -5.38% 0.26
沪锡(sn2607) 25 32.0% 0.64 -2.11% -12.71% -0.43
沪金(au2608) 51 21.57% 0.96 -0.29% -7.32% -0.09
沪银(ag2608) 45 20.0% 0.48 -6.66% -28.88% -1.12
螺纹钢(rb2610) 21 19.05% 0.45 -2.1% -8.57% -0.81
热卷(hc2610) 25 20.0% 0.48 -2.12% -8.73% -0.83
铁矿石(i2609) 14 64.29% 3.93 4.51% -3.61% 1.34
焦炭(j2609) 17 58.82% 2.5 4.42% -3.96% 1.01
焦煤(jm2609) 21 47.62% 1.92 4.75% -6.27% 0.72
原油(sc2608) 30 23.33% 0.54 -3.94% -12.57% -0.62
燃油(fu2609) 29 17.24% 0.36 -6.06% -17.89% -1.15
甲醇(ma2609) 21 19.05% 0.29 -4.29% -13.21% -1.01
PTA(ta2609) 25 32.0% 1.0 0.02% -8.68% 0.01
聚丙烯(pp2609) 30 33.33% 0.74 -1.32% -10.46% -0.35
碳酸锂(lc2609) 35 20.0% 0.42 -8.84% -25.0% -1.07
多晶硅(ps2609) 12 25.0% 0.44 -7.78% -10.36% -1.13
生猪(lh2609) 25 36.0% 0.67 -1.36% -7.11% -0.38
玻璃(fg2609) 24 41.67% 1.22 1.42% -10.7% 0.28
纯碱(sa2609) 23 34.78% 1.12 0.85% -10.4% 0.15
集运欧线(ec2607) 36 25.0% 0.59 -8.04% -20.79% -0.76

RSI极值反转

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 12 50.0% 1.69 0.79% -2.08% 0.45
豆粕(m2609) 20 30.0% 0.48 -2.34% -10.09% -1.03
豆油(y2609) 10 60.0% 1.59 0.73% -1.73% 0.43
棕榈油(p2609) 12 16.67% 0.24 -2.49% -8.66% -1.24
玉米(c2609) 14 71.43% 3.38 1.8% -1.03% 1.15
棉花(cf2609) 14 50.0% 1.07 0.11% -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(cu2608) 16 31.25% 0.67 -0.96% -4.41% -0.43
沪铝(al2608) 9 44.44% 0.71 -0.4% -2.58% -0.27
沪锌(zn2608) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2609) 11 45.45% 0.82 -0.47% -4.97% -0.19
沪锡(sn2607) 10 20.0% 0.36 -2.26% -6.93% -0.9
沪金(au2608) 21 33.33% 0.89 -0.35% -4.66% -0.14
沪银(ag2608) 20 20.0% 0.38 -4.12% -14.81% -0.93
螺纹钢(rb2610) 10 30.0% 0.57 -0.83% -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 -0.52% -4.43% -0.2
焦炭(j2609) 5 60.0% 1.49 0.6% -3.36% 0.24
焦煤(jm2609) 6 16.67% 0.27 -2.32% -8.46% -0.85
原油(sc2608) 11 45.45% 1.17 0.35% -2.84% 0.12
燃油(fu2609) 8 25.0% 0.49 -1.41% -7.95% -0.5
甲醇(ma2609) 11 27.27% 0.3 -2.38% -7.3% -0.84
PTA(ta2609) 8 37.5% 1.11 0.21% -4.34% 0.07
聚丙烯(pp2609) 12 8.33% 0.08 -3.8% -11.47% -1.55
碳酸锂(lc2609) 23 30.43% 0.65 -3.54% -15.29% -0.59
多晶硅(ps2609) 9 33.33% 0.74 -2.35% -7.97% -0.39
生猪(lh2609) 12 41.67% 1.13 0.26% -3.25% 0.09
玻璃(fg2609) 7 28.57% 0.63 -1.03% -5.74% -0.35
纯碱(sa2609) 14 35.71% 0.53 -2.6% -16.12% -0.59
集运欧线(ec2607) 22 13.64% 0.24 -10.11% -23.32% -1.93

MACD+KDJ双确认

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 16 62.5% 2.89 1.77% -2.07% 0.88
豆粕(m2609) 22 36.36% 0.75 -1.14% -6.12% -0.37
豆油(y2609) 20 45.0% 0.63 -1.28% -7.28% -0.54
棕榈油(p2609) 22 40.91% 0.97 -0.14% -6.01% -0.03
玉米(c2609) 18 50.0% 1.32 0.59% -2.9% 0.34
棉花(cf2609) 23 43.48% 1.02 0.05% -3.73% 0.0
白糖(sr2609) 16 56.25% 1.37 0.54% -3.92% 0.29
菜油(oi2609) 20 45.0% 0.67 -1.3% -7.02% -0.42
沪铜(cu2608) 20 55.0% 2.25 2.01% -3.5% 0.9
沪铝(al2608) 17 52.94% 1.03 0.06% -3.22% 0.02
沪锌(zn2608) 24 50.0% 0.91 -0.29% -5.5% -0.13
沪镍(ni2609) 22 31.82% 0.44 -3.09% -9.83% -0.94
沪锡(sn2607) 18 66.67% 2.95 3.93% -4.97% 1.05
沪金(au2608) 20 70.0% 3.37 2.85% -1.64% 1.25
沪银(ag2608) 17 41.18% 1.19 0.64% -5.75% 0.21
螺纹钢(rb2610) 22 31.82% 0.43 -2.61% -9.87% -0.96
热卷(hc2610) 21 23.81% 0.43 -2.19% -7.28% -0.94
铁矿石(i2609) 17 52.94% 1.15 0.56% -5.61% 0.15
焦炭(j2609) 20 40.0% 0.81 -1.15% -8.76% -0.21
焦煤(jm2609) 18 44.44% 1.05 0.27% -8.65% 0.07
原油(sc2608) 25 36.0% 0.59 -3.12% -13.51% -0.64
燃油(fu2609) 20 30.0% 0.61 -2.35% -13.24% -0.49
甲醇(ma2609) 20 35.0% 0.42 -2.88% -11.45% -0.78
PTA(ta2609) 23 39.13% 1.08 0.3% -5.33% 0.09
聚丙烯(pp2609) 21 52.38% 1.57 0.91% -1.83% 0.46
碳酸锂(lc2609) 14 57.14% 1.7 2.12% -3.64% 0.52
多晶硅(ps2609) 6 66.67% 3.38 6.06% -3.6% 1.21
生猪(lh2609) 21 47.62% 1.11 0.4% -4.65% 0.12
玻璃(fg2609) 13 15.38% 0.22 -3.74% -13.45% -0.9
纯碱(sa2609) 18 44.44% 0.87 -0.7% -7.16% -0.16
集运欧线(ec2607) 13 46.15% 0.86 -0.81% -8.15% -0.18

价量背离

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 19 36.84% 1.2 0.33% -2.73% 0.17
豆粕(m2609) 11 36.36% 0.89 -0.15% -2.88% -0.1
豆油(y2609) 11 18.18% 0.34 -1.17% -5.33% -0.77
棕榈油(p2609) 8 12.5% 0.09 -1.39% -5.15% -0.87
玉米(c2609) 17 41.18% 1.21 0.29% -1.83% 0.2
棉花(cf2609) 18 33.33% 0.7 -0.6% -4.29% -0.38
白糖(sr2609) 14 50.0% 2.34 1.14% -1.28% 0.88
菜油(oi2609) 11 45.45% 1.56 0.69% -2.13% 0.34
沪铜(cu2608) 9 22.22% 0.16 -1.19% -3.73% -0.8
沪铝(al2608) 12 58.33% 1.92 0.81% -1.87% 0.61
沪锌(zn2608) 8 50.0% 1.64 0.53% -2.05% 0.35
沪镍(ni2609) 13 61.54% 2.39 2.3% -3.13% 0.78
沪锡(sn2607) 20 25.0% 0.32 -3.12% -9.86% -1.03
沪金(au2608) 19 15.79% 0.48 -1.31% -6.2% -0.87
沪银(ag2608) 22 36.36% 0.97 -0.13% -9.91% -0.03
螺纹钢(rb2610) 13 61.54% 2.45 1.19% -1.58% 0.65
热卷(hc2610) 13 30.77% 1.13 0.16% -2.34% 0.09
铁矿石(i2609) 19 36.84% 1.22 0.74% -5.78% 0.23
焦炭(j2609) 13 23.08% 0.73 -0.85% -4.47% -0.26
焦煤(jm2609) 14 42.86% 1.52 1.89% -6.86% 0.53
原油(sc2608) 26 26.92% 0.79 -1.17% -9.65% -0.22
燃油(fu2609) 22 40.91% 1.43 1.71% -6.14% 0.36
甲醇(ma2609) 17 47.06% 1.5 1.24% -2.56% 0.37
PTA(ta2609) 9 22.22% 0.48 -0.74% -4.8% -0.42
聚丙烯(pp2609) 11 27.27% 0.76 -0.27% -1.83% -0.34
碳酸锂(lc2609) 13 23.08% 0.43 -2.83% -7.2% -0.72
多晶硅(ps2609) 9 33.33% 1.07 0.47% -5.87% 0.1
生猪(lh2609) 26 34.62% 0.96 -0.16% -6.02% -0.06
玻璃(fg2609) 19 52.63% 1.77 2.83% -6.39% 0.53
纯碱(sa2609) 17 5.88% 0.13 -4.64% -16.16% -1.12
集运欧线(ec2607) 27 40.74% 1.52 5.75% -8.98% 0.62

跳空缺口

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 6 33.33% 0.55 -0.29% -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 1.17% -2.02% 0.72
玉米(c2609) 5 40.0% 0.57 -0.22% -1.23% -0.3
棉花(cf2609) 4 100.0% inf 0.97% -0.31% 1.39
白糖(sr2609) 7 85.71% 5.36 0.82% -1.62% 0.66
菜油(oi2609) 2 50.0% 1.45 0.09% -0.87% 0.14
沪铜(cu2608) 15 40.0% 1.08 0.11% -2.56% 0.06
沪铝(al2608) 3 66.67% 3.16 0.29% -0.42% 0.61
沪锌(zn2608) 6 33.33% 1.05 0.03% -1.58% 0.02
沪镍(ni2609) 3 33.33% 0.48 -0.43% -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 1.47% -1.93% 0.96
沪银(ag2608) 12 50.0% 1.47 0.68% -2.76% 0.22
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% 0.78
铁矿石(i2609) 5 40.0% 0.69 -0.37% -2.11% -0.31
焦炭(j2609) 5 20.0% 0.26 -1.38% -4.83% -0.6
焦煤(jm2609) 6 33.33% 0.61 -0.69% -3.45% -0.35
原油(sc2608) 18 50.0% 1.3 1.18% -4.87% 0.27
燃油(fu2609) 22 59.09% 1.51 1.95% -7.62% 0.51
甲醇(ma2609) 4 25.0% 0.33 -0.86% -3.62% -0.51
PTA(ta2609) 6 50.0% 1.01 0.01% -2.1% 0.01
聚丙烯(pp2609) 6 50.0% 1.77 0.3% -1.63% 0.28
碳酸锂(lc2609) 5 40.0% 0.6 -0.95% -4.11% -0.34
多晶硅(ps2609) 4 75.0% 3.92 3.77% -1.43% 1.66
生猪(lh2609) 17 47.06% 0.85 -0.41% -4.73% -0.14
玻璃(fg2609) 3 33.33% 0.49 -0.54% -3.91% -0.36
纯碱(sa2609) 6 16.67% 0.11 -2.21% -6.92% -1.15
集运欧线(ec2607) 22 50.0% 0.9 -0.75% -11.94% -0.12