期货研究

策略回测对比

2026-06-30 03:16:02 · 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
1817 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 1213 43.3% 1.3% -7.2%
三均线趋势 31 1585 36.3% 1.3% -7.8%
动量突破 31 779 42.0% 1.0% -7.2%
海龟突破 31 1387 45.1% 0.4% -9.8%
双EXPMA趋势 31 1782 44.4% 0.2% -10.3%
跳空缺口 31 231 50.2% 0.2% -2.9%
价量背离 31 486 34.6% -0.0% -5.2%
MACD+KDJ双确认 31 593 45.0% -0.1% -6.5%
波动率突破 31 1817 36.9% -0.2% -10.9%
RSI极值反转 31 365 34.5% -1.3% -6.7%
布林带回归 31 818 30.6% -1.4% -9.7%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 55 43.64% 0.87 -0.89% -5.82% -0.26
豆粕(m2609) 56 37.5% 0.93 -0.62% -10.76% -0.14
豆油(y2609) 56 37.5% 0.79 -2.03% -10.15% -0.47
棕榈油(p2609) 60 36.67% 0.7 -3.5% -13.32% -0.67
玉米(c2609) 56 50.0% 1.31 1.73% -2.76% 0.54
棉花(cf2609) 57 49.12% 1.49 2.94% -2.8% 0.77
白糖(sr2609) 60 36.67% 0.6 -2.62% -10.42% -0.88
菜油(oi2609) 58 37.93% 0.68 -3.22% -13.3% -0.68
沪铜(cu2608) 58 50.0% 1.3 2.08% -5.13% 0.48
沪铝(al2608) 59 50.85% 1.09 0.67% -4.63% 0.16
沪锌(zn2608) 60 41.67% 0.93 -0.56% -7.66% -0.14
沪镍(ni2609) 60 33.33% 0.81 -2.23% -14.63% -0.4
沪锡(sn2608) 59 42.37% 0.91 -1.04% -13.52% -0.15
沪金(au2608) 69 69.57% 2.5 7.73% -3.42% 1.76
沪银(ag2608) 70 45.71% 0.92 -1.03% -15.73% -0.16
螺纹钢(rb2610) 60 35.0% 0.67 -3.21% -13.4% -0.81
热卷(hc2610) 61 37.7% 0.76 -2.14% -10.33% -0.59
铁矿石(i2609) 53 37.74% 0.71 -3.32% -12.84% -0.56
焦炭(j2609) 55 45.45% 0.91 -1.17% -12.66% -0.14
焦煤(jm2609) 57 49.12% 1.11 1.8% -14.61% 0.25
原油(sc2608) 60 50.0% 1.16 2.08% -8.71% 0.32
燃油(fu2609) 63 46.03% 1.15 1.89% -10.5% 0.28
甲醇(ma2609) 61 37.7% 0.83 -1.93% -15.26% -0.35
PTA(ta2609) 64 40.62% 0.91 -0.94% -11.44% -0.18
聚丙烯(pp2609) 57 43.86% 1.32 1.7% -8.81% 0.44
碳酸锂(lc2609) 49 65.31% 2.03 9.85% -7.44% 1.3
多晶硅(ps2609) 22 59.09% 1.57 7.43% -5.72% 0.9
生猪(lh2609) 58 48.28% 1.24 1.96% -5.27% 0.35
玻璃(fg2609) 56 37.5% 0.89 -1.93% -14.87% -0.22
纯碱(sa2609) 61 40.98% 0.83 -2.75% -14.94% -0.35
集运欧线(ec2607) 52 48.08% 0.96 -0.78% -19.06% -0.06

均线多空排列

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 43 34.88% 0.69 -1.88% -6.82% -0.65
豆粕(m2609) 39 46.15% 1.25 1.35% -5.06% 0.36
豆油(y2609) 37 29.73% 0.73 -1.46% -8.21% -0.46
棕榈油(p2609) 37 43.24% 1.28 1.36% -6.0% 0.34
玉米(c2609) 40 47.5% 1.07 0.26% -2.95% 0.07
棉花(cf2609) 42 54.76% 1.75 2.79% -2.18% 0.83
白糖(sr2609) 36 33.33% 0.72 -1.07% -4.32% -0.51
菜油(oi2609) 44 29.55% 0.65 -2.79% -10.69% -0.71
沪铜(cu2608) 43 46.51% 1.51 2.2% -3.4% 0.66
沪铝(al2608) 42 42.86% 1.19 0.82% -3.32% 0.25
沪锌(zn2608) 37 32.43% 0.82 -0.92% -7.31% -0.26
沪镍(ni2609) 38 28.95% 0.8 -1.54% -9.85% -0.39
沪锡(sn2608) 40 45.0% 1.22 1.51% -10.97% 0.31
沪金(au2608) 59 59.32% 1.83 4.81% -4.44% 1.3
沪银(ag2608) 49 51.02% 1.74 4.89% -7.85% 0.98
螺纹钢(rb2610) 36 41.67% 1.06 0.27% -4.47% 0.07
热卷(hc2610) 38 36.84% 0.88 -0.55% -4.28% -0.19
铁矿石(i2609) 35 31.43% 0.75 -2.15% -12.05% -0.44
焦炭(j2609) 36 41.67% 0.87 -1.3% -10.59% -0.19
焦煤(jm2609) 39 46.15% 1.21 2.26% -13.42% 0.37
原油(sc2608) 40 55.0% 1.76 5.11% -8.14% 0.87
燃油(fu2609) 44 45.45% 1.34 2.75% -8.24% 0.49
甲醇(ma2609) 39 38.46% 1.13 0.8% -9.82% 0.18
PTA(ta2609) 39 41.03% 0.97 -0.24% -6.05% -0.06
聚丙烯(pp2609) 40 37.5% 1.33 1.31% -9.11% 0.4
碳酸锂(lc2609) 42 57.14% 2.15 9.58% -6.79% 1.44
多晶硅(ps2609) 15 46.67% 1.06 0.64% -7.88% 0.12
生猪(lh2609) 40 47.5% 1.36 1.99% -4.92% 0.43
玻璃(fg2609) 35 37.14% 0.84 -1.6% -9.54% -0.24
纯碱(sa2609) 33 45.45% 1.04 0.27% -6.19% 0.07
集运欧线(ec2607) 36 55.56% 2.12 12.3% -8.95% 1.6

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 51 35.29% 0.84 -0.91% -5.51% -0.32
豆粕(m2609) 47 38.3% 1.08 0.5% -5.44% 0.12
豆油(y2609) 44 25.0% 0.7 -1.71% -9.85% -0.53
棕榈油(p2609) 54 31.48% 1.09 0.59% -9.44% 0.13
玉米(c2609) 45 51.11% 1.34 1.37% -3.0% 0.48
棉花(cf2609) 54 46.3% 1.78 3.35% -2.04% 0.94
白糖(sr2609) 43 30.23% 0.75 -0.9% -3.88% -0.41
菜油(oi2609) 52 28.85% 0.68 -2.61% -10.23% -0.66
沪铜(cu2608) 58 36.21% 1.28 1.56% -4.25% 0.43
沪铝(al2608) 59 32.2% 1.11 0.52% -3.98% 0.13
沪锌(zn2608) 49 30.61% 0.78 -1.36% -8.93% -0.37
沪镍(ni2609) 59 20.34% 0.8 -1.78% -11.0% -0.4
沪锡(sn2608) 57 36.84% 1.15 1.32% -10.95% 0.25
沪金(au2608) 77 48.05% 1.54 3.91% -7.05% 0.96
沪银(ag2608) 66 40.91% 1.54 4.33% -8.04% 0.8
螺纹钢(rb2610) 54 29.63% 0.91 -0.55% -5.99% -0.18
热卷(hc2610) 53 30.19% 0.87 -0.7% -5.28% -0.24
铁矿石(i2609) 42 26.19% 0.71 -2.49% -11.34% -0.49
焦炭(j2609) 50 34.0% 0.88 -1.55% -12.54% -0.23
焦煤(jm2609) 49 40.82% 1.28 3.07% -10.77% 0.47
原油(sc2608) 54 44.44% 1.5 4.38% -9.93% 0.71
燃油(fu2609) 50 42.0% 1.41 3.35% -7.33% 0.55
甲醇(ma2609) 47 34.04% 1.2 1.24% -7.88% 0.27
PTA(ta2609) 55 32.73% 1.02 0.13% -5.46% 0.02
聚丙烯(pp2609) 51 35.29% 1.44 1.88% -7.87% 0.55
碳酸锂(lc2609) 56 44.64% 1.59 7.02% -9.4% 0.97
多晶硅(ps2609) 16 50.0% 1.35 3.09% -7.08% 0.41
生猪(lh2609) 53 37.74% 1.33 2.03% -6.0% 0.43
玻璃(fg2609) 46 34.78% 1.04 0.47% -9.04% 0.09
纯碱(sa2609) 53 32.08% 0.83 -1.85% -11.43% -0.32
集运欧线(ec2607) 41 48.78% 1.88 11.93% -9.64% 1.35

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 47 40.43% 0.7 -1.91% -7.07% -0.62
豆粕(m2609) 47 46.81% 1.22 1.76% -10.24% 0.39
豆油(y2609) 43 41.86% 0.96 -0.25% -9.3% -0.07
棕榈油(p2609) 44 43.18% 0.84 -1.51% -7.63% -0.32
玉米(c2609) 48 43.75% 1.03 0.13% -4.73% 0.01
棉花(cf2609) 44 59.09% 1.87 3.1% -2.44% 0.94
白糖(sr2609) 48 37.5% 0.53 -2.93% -9.85% -1.2
菜油(oi2609) 38 44.74% 1.06 0.4% -6.69% 0.09
沪铜(cu2608) 52 44.23% 1.0 0.01% -4.74% -0.02
沪铝(al2608) 47 53.19% 1.15 0.86% -6.05% 0.24
沪锌(zn2608) 45 35.56% 0.7 -2.45% -10.05% -0.64
沪镍(ni2609) 42 38.1% 0.66 -3.61% -14.89% -0.75
沪锡(sn2608) 41 43.9% 0.78 -2.2% -11.47% -0.42
沪金(au2608) 55 60.0% 1.72 4.34% -4.91% 1.17
沪银(ag2608) 51 43.14% 1.14 1.6% -9.99% 0.27
螺纹钢(rb2610) 45 48.89% 1.04 0.26% -5.93% 0.06
热卷(hc2610) 43 48.84% 1.03 0.15% -5.07% 0.03
铁矿石(i2609) 45 33.33% 0.62 -4.76% -19.96% -0.8
焦炭(j2609) 41 43.9% 0.91 -1.04% -13.61% -0.13
焦煤(jm2609) 47 44.68% 1.05 0.74% -19.28% 0.12
原油(sc2608) 48 52.08% 1.35 3.89% -9.49% 0.6
燃油(fu2609) 49 44.9% 1.09 1.14% -11.26% 0.18
甲醇(ma2609) 49 34.69% 0.74 -3.21% -18.06% -0.62
PTA(ta2609) 42 45.24% 0.98 -0.18% -8.16% -0.03
聚丙烯(pp2609) 49 40.82% 1.04 0.24% -11.28% 0.05
碳酸锂(lc2609) 41 53.66% 1.42 5.86% -11.03% 0.74
多晶硅(ps2609) 18 44.44% 1.0 -0.09% -11.44% 0.01
生猪(lh2609) 49 40.82% 0.83 -1.54% -9.85% -0.32
玻璃(fg2609) 41 48.78% 1.18 2.23% -10.19% 0.33
纯碱(sa2609) 45 46.67% 1.18 2.46% -11.28% 0.35
集运欧线(ec2607) 43 51.16% 1.6 9.59% -8.87% 1.02

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 2.12% -5.59% 0.6
豆油(y2609) 21 38.1% 0.63 -1.57% -9.16% -0.55
棕榈油(p2609) 23 39.13% 1.01 0.05% -6.41% 0.02
玉米(c2609) 28 42.86% 1.0 -0.01% -3.79% -0.03
棉花(cf2609) 26 50.0% 1.41 1.1% -2.47% 0.4
白糖(sr2609) 22 31.82% 0.44 -1.65% -5.41% -0.88
菜油(oi2609) 25 28.0% 0.68 -1.72% -8.49% -0.49
沪铜(cu2608) 29 37.93% 0.83 -0.89% -6.47% -0.28
沪铝(al2608) 27 40.74% 1.02 0.06% -3.84% 0.01
沪锌(zn2608) 24 41.67% 1.05 0.19% -4.09% 0.05
沪镍(ni2609) 21 38.1% 1.23 1.06% -5.06% 0.23
沪锡(sn2608) 26 34.62% 0.8 -1.43% -7.76% -0.3
沪金(au2608) 34 55.88% 1.81 3.26% -5.55% 0.9
沪银(ag2608) 30 43.33% 1.72 4.26% -10.27% 0.8
螺纹钢(rb2610) 27 37.04% 0.69 -1.48% -6.7% -0.48
热卷(hc2610) 25 36.0% 0.82 -0.75% -5.7% -0.25
铁矿石(i2609) 23 30.43% 0.62 -2.88% -9.33% -0.68
焦炭(j2609) 24 45.83% 1.01 0.1% -9.43% 0.04
焦煤(jm2609) 30 43.33% 1.24 2.51% -11.36% 0.36
原油(sc2608) 27 44.44% 1.27 1.92% -11.89% 0.34
燃油(fu2609) 26 50.0% 1.69 4.38% -5.08% 0.67
甲醇(ma2609) 26 50.0% 1.36 1.98% -7.25% 0.42
PTA(ta2609) 27 37.04% 0.85 -0.95% -9.3% -0.21
聚丙烯(pp2609) 27 44.44% 1.86 2.6% -5.89% 0.65
碳酸锂(lc2609) 26 46.15% 1.58 5.89% -8.21% 0.81
多晶硅(ps2609) 9 66.67% 2.24 5.72% -4.16% 0.7
生猪(lh2609) 24 41.67% 1.22 0.98% -4.99% 0.23
玻璃(fg2609) 18 38.89% 1.03 0.16% -8.56% 0.05
纯碱(sa2609) 27 37.04% 0.95 -0.47% -10.5% -0.06
集运欧线(ec2607) 28 46.43% 1.59 7.13% -14.33% 0.81

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% 1.08 0.49% -5.16% 0.11
豆粕(m2609) 56 42.86% 1.49 3.61% -4.62% 0.75
豆油(y2609) 56 33.93% 0.85 -1.23% -8.78% -0.34
棕榈油(p2609) 58 34.48% 0.87 -1.35% -8.82% -0.28
玉米(c2609) 65 38.46% 1.11 0.66% -4.08% 0.19
棉花(cf2609) 58 46.55% 1.33 1.79% -3.47% 0.51
白糖(sr2609) 58 34.48% 0.63 -2.28% -8.34% -0.87
菜油(oi2609) 54 31.48% 0.74 -2.57% -13.06% -0.59
沪铜(cu2608) 61 42.62% 1.1 0.67% -6.54% 0.16
沪铝(al2608) 61 39.34% 0.92 -0.54% -7.84% -0.19
沪锌(zn2608) 57 35.09% 0.8 -1.48% -9.62% -0.39
沪镍(ni2609) 60 33.33% 0.8 -2.33% -11.91% -0.45
沪锡(sn2608) 55 36.36% 0.89 -1.28% -10.77% -0.21
沪金(au2608) 74 48.65% 1.5 3.91% -4.45% 0.87
沪银(ag2608) 70 38.57% 1.19 2.5% -11.0% 0.35
螺纹钢(rb2610) 51 35.29% 0.74 -1.73% -6.62% -0.48
热卷(hc2610) 54 40.74% 0.97 -0.2% -4.86% -0.08
铁矿石(i2609) 65 27.69% 0.64 -6.0% -21.14% -0.91
焦炭(j2609) 62 25.81% 0.6 -7.39% -23.22% -1.0
焦煤(jm2609) 59 38.98% 0.98 -0.28% -18.0% -0.0
原油(sc2608) 67 34.33% 0.94 -0.95% -15.39% -0.12
燃油(fu2609) 67 31.34% 0.73 -4.59% -21.64% -0.62
甲醇(ma2609) 63 31.75% 0.79 -2.84% -15.75% -0.51
PTA(ta2609) 61 32.79% 0.69 -3.62% -12.73% -0.73
聚丙烯(pp2609) 66 30.3% 0.9 -0.73% -11.07% -0.2
碳酸锂(lc2609) 52 42.31% 1.15 3.06% -11.72% 0.37
多晶硅(ps2609) 22 36.36% 1.23 4.51% -13.03% 0.53
生猪(lh2609) 61 34.43% 0.85 -1.43% -9.82% -0.31
玻璃(fg2609) 52 42.31% 1.11 1.6% -11.88% 0.22
纯碱(sa2609) 60 43.33% 1.24 3.89% -10.9% 0.47
集运欧线(ec2607) 55 41.82% 1.37 9.72% -12.42% 0.79

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 -0.5% -7.28% -0.19
豆油(y2609) 23 43.48% 1.37 1.0% -3.53% 0.38
棕榈油(p2609) 25 28.0% 0.7 -1.52% -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 -1.58% -7.0% -0.65
白糖(sr2609) 19 31.58% 0.58 -0.8% -3.86% -0.59
菜油(oi2609) 20 50.0% 1.39 1.11% -3.04% 0.37
沪铜(cu2608) 32 25.0% 0.66 -1.75% -9.02% -0.56
沪铝(al2608) 22 27.27% 0.71 -0.84% -5.06% -0.38
沪锌(zn2608) 21 33.33% 0.8 -0.65% -6.55% -0.22
沪镍(ni2609) 20 40.0% 1.28 1.03% -5.38% 0.26
沪锡(sn2608) 25 32.0% 0.64 -2.08% -12.71% -0.43
沪金(au2608) 51 23.53% 0.96 -0.26% -7.32% -0.08
沪银(ag2608) 45 20.0% 0.47 -6.78% -28.88% -1.12
螺纹钢(rb2610) 21 19.05% 0.45 -2.07% -8.57% -0.8
热卷(hc2610) 25 20.0% 0.48 -2.1% -8.73% -0.82
铁矿石(i2609) 15 60.0% 3.89 4.45% -3.61% 1.33
焦炭(j2609) 17 52.94% 2.14 3.81% -3.96% 0.86
焦煤(jm2609) 21 47.62% 2.04 5.3% -6.27% 0.79
原油(sc2608) 31 22.58% 0.53 -4.18% -13.37% -0.66
燃油(fu2609) 30 16.67% 0.34 -6.42% -19.04% -1.22
甲醇(ma2609) 22 18.18% 0.29 -4.24% -13.22% -1.01
PTA(ta2609) 25 32.0% 1.0 0.02% -8.68% 0.01
聚丙烯(pp2609) 31 32.26% 0.69 -1.64% -10.46% -0.43
碳酸锂(lc2609) 35 20.0% 0.42 -8.73% -25.0% -1.07
多晶硅(ps2609) 12 25.0% 0.44 -7.57% -10.36% -1.12
生猪(lh2609) 25 36.0% 0.67 -1.35% -7.11% -0.37
玻璃(fg2609) 24 41.67% 1.22 1.4% -10.7% 0.28
纯碱(sa2609) 23 34.78% 1.12 0.84% -10.4% 0.15
集运欧线(ec2607) 36 27.78% 0.61 -7.54% -20.79% -0.72

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 0.78% -2.08% 0.45
豆粕(m2609) 20 30.0% 0.48 -2.32% -10.09% -1.03
豆油(y2609) 10 60.0% 1.59 0.72% -1.73% 0.42
棕榈油(p2609) 12 16.67% 0.24 -2.46% -8.66% -1.23
玉米(c2609) 14 71.43% 3.38 1.78% -1.03% 1.14
棉花(cf2609) 14 50.0% 1.07 0.11% -3.29% 0.05
白糖(sr2609) 9 44.44% 1.13 0.12% -1.56% 0.11
菜油(oi2609) 7 42.86% 0.91 -0.13% -3.78% -0.06
沪铜(cu2608) 16 31.25% 0.6 -1.17% -4.41% -0.52
沪铝(al2608) 9 44.44% 0.71 -0.39% -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 -0.46% -4.97% -0.18
沪锡(sn2608) 10 20.0% 0.36 -2.24% -6.93% -0.9
沪金(au2608) 22 31.82% 0.85 -0.49% -4.66% -0.18
沪银(ag2608) 20 20.0% 0.38 -4.08% -14.81% -0.92
螺纹钢(rb2610) 10 30.0% 0.57 -0.82% -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% 0.23
焦煤(jm2609) 6 16.67% 0.27 -2.29% -8.46% -0.84
原油(sc2608) 11 45.45% 1.17 0.35% -2.84% 0.12
燃油(fu2609) 8 25.0% 0.49 -1.4% -7.95% -0.49
甲醇(ma2609) 11 27.27% 0.3 -2.36% -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 -3.76% -11.47% -1.55
碳酸锂(lc2609) 23 30.43% 0.65 -3.5% -15.29% -0.59
多晶硅(ps2609) 9 33.33% 0.74 -2.29% -7.97% -0.39
生猪(lh2609) 12 41.67% 1.13 0.25% -3.25% 0.09
玻璃(fg2609) 7 28.57% 0.63 -1.02% -5.74% -0.35
纯碱(sa2609) 14 35.71% 0.53 -2.57% -16.12% -0.59
集运欧线(ec2607) 22 18.18% 0.26 -9.69% -23.32% -1.85

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% 3.06 1.8% -2.07% 0.9
豆粕(m2609) 22 36.36% 0.75 -1.12% -6.12% -0.37
豆油(y2609) 20 45.0% 0.63 -1.26% -7.28% -0.53
棕榈油(p2609) 22 45.45% 0.99 -0.05% -6.01% -0.01
玉米(c2609) 19 52.63% 1.35 0.62% -2.9% 0.36
棉花(cf2609) 23 43.48% 1.02 0.05% -3.73% 0.0
白糖(sr2609) 16 56.25% 1.37 0.53% -3.92% 0.29
菜油(oi2609) 20 45.0% 0.67 -1.28% -7.02% -0.41
沪铜(cu2608) 20 55.0% 2.31 2.03% -3.5% 0.9
沪铝(al2608) 17 52.94% 1.03 0.06% -3.22% 0.02
沪锌(zn2608) 25 48.0% 0.88 -0.41% -5.5% -0.17
沪镍(ni2609) 22 31.82% 0.44 -3.05% -9.83% -0.93
沪锡(sn2608) 19 63.16% 2.27 3.31% -6.61% 0.86
沪金(au2608) 20 70.0% 3.37 2.82% -1.64% 1.24
沪银(ag2608) 17 41.18% 1.19 0.64% -5.75% 0.21
螺纹钢(rb2610) 23 34.78% 0.46 -2.46% -9.87% -0.91
热卷(hc2610) 21 23.81% 0.42 -2.25% -7.28% -0.97
铁矿石(i2609) 17 52.94% 1.15 0.55% -5.61% 0.15
焦炭(j2609) 20 40.0% 0.81 -1.14% -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 -3.09% -13.51% -0.64
燃油(fu2609) 20 30.0% 0.61 -2.32% -13.24% -0.49
甲醇(ma2609) 20 35.0% 0.42 -2.85% -11.45% -0.77
PTA(ta2609) 24 41.67% 1.3 1.18% -5.33% 0.33
聚丙烯(pp2609) 21 52.38% 1.57 0.9% -1.83% 0.46
碳酸锂(lc2609) 15 60.0% 1.76 2.27% -3.64% 0.56
多晶硅(ps2609) 6 66.67% 3.38 5.88% -3.6% 1.19
生猪(lh2609) 21 47.62% 1.09 0.33% -4.65% 0.1
玻璃(fg2609) 13 15.38% 0.18 -3.9% -13.45% -0.94
纯碱(sa2609) 18 44.44% 0.91 -0.49% -7.16% -0.11
集运欧线(ec2607) 13 46.15% 0.86 -0.79% -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% 1.19 0.31% -2.73% 0.16
豆粕(m2609) 11 36.36% 0.89 -0.15% -2.88% -0.1
豆油(y2609) 11 18.18% 0.34 -1.15% -5.33% -0.77
棕榈油(p2609) 8 12.5% 0.09 -1.37% -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% 2.21 1.08% -1.28% 0.81
菜油(oi2609) 11 45.45% 1.56 0.68% -2.13% 0.34
沪铜(cu2608) 9 22.22% 0.16 -1.18% -3.73% -0.79
沪铝(al2608) 12 50.0% 1.56 0.58% -1.87% 0.4
沪锌(zn2608) 8 50.0% 1.64 0.53% -2.05% 0.35
沪镍(ni2609) 13 61.54% 2.39 2.27% -3.13% 0.78
沪锡(sn2608) 20 25.0% 0.32 -3.09% -9.86% -1.02
沪金(au2608) 19 15.79% 0.48 -1.3% -6.2% -0.87
沪银(ag2608) 22 36.36% 0.97 -0.13% -9.91% -0.03
螺纹钢(rb2610) 13 53.85% 2.14 1.04% -1.58% 0.57
热卷(hc2610) 13 30.77% 1.05 0.07% -2.34% 0.03
铁矿石(i2609) 20 35.0% 1.22 0.71% -5.78% 0.22
焦炭(j2609) 13 23.08% 0.65 -1.19% -4.47% -0.36
焦煤(jm2609) 14 42.86% 1.52 1.87% -6.86% 0.53
原油(sc2608) 27 25.93% 0.75 -1.46% -9.65% -0.28
燃油(fu2609) 23 39.13% 1.11 0.57% -6.14% 0.13
甲醇(ma2609) 17 41.18% 1.03 0.1% -3.73% 0.03
PTA(ta2609) 10 20.0% 0.45 -0.82% -4.8% -0.47
聚丙烯(pp2609) 11 27.27% 0.76 -0.27% -1.83% -0.34
碳酸锂(lc2609) 13 23.08% 0.43 -2.8% -7.2% -0.71
多晶硅(ps2609) 9 33.33% 1.07 0.46% -5.87% 0.1
生猪(lh2609) 26 34.62% 0.97 -0.09% -6.02% -0.03
玻璃(fg2609) 20 50.0% 1.72 2.7% -6.39% 0.51
纯碱(sa2609) 18 11.11% 0.13 -4.56% -16.17% -1.11
集运欧线(ec2607) 27 40.74% 1.52 5.67% -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 0.42% -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 1.16% -2.02% 0.72
玉米(c2609) 5 40.0% 0.57 -0.22% -1.23% -0.29
棉花(cf2609) 4 100.0% inf 0.96% -0.31% 1.38
白糖(sr2609) 7 85.71% 5.36 0.81% -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(sn2608) 4 50.0% 0.97 -0.03% -1.74% -0.02
沪金(au2608) 14 71.43% 2.56 1.66% -1.93% 1.06
沪银(ag2608) 12 50.0% 1.47 0.67% -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 -0.36% -2.11% -0.31
焦炭(j2609) 5 20.0% 0.26 -1.36% -4.83% -0.6
焦煤(jm2609) 6 33.33% 0.61 -0.68% -3.45% -0.35
原油(sc2608) 18 50.0% 1.3 1.17% -4.87% 0.27
燃油(fu2609) 23 60.87% 1.76 2.84% -7.62% 0.72
甲醇(ma2609) 4 25.0% 0.33 -0.85% -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 -0.94% -4.11% -0.33
多晶硅(ps2609) 4 75.0% 3.92 3.66% -1.43% 1.64
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 -2.19% -6.92% -1.14
集运欧线(ec2607) 22 45.45% 0.88 -0.88% -11.94% -0.14