期货研究

策略回测对比

2026-07-22 03:50:45 · 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
-3.0%

MOST TRADES

波动率突破
1838 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 1226 43.0% 1.3% -7.2%
三均线趋势 31 1599 36.2% 1.3% -7.8%
动量突破 31 786 42.2% 1.0% -7.2%
海龟突破 31 1404 45.2% 0.4% -9.9%
双EXPMA趋势 31 1804 44.2% 0.2% -10.4%
跳空缺口 31 235 49.8% 0.1% -3.0%
价量背离 31 491 34.2% -0.1% -5.3%
MACD+KDJ双确认 31 598 44.6% -0.2% -6.5%
波动率突破 31 1838 36.8% -0.2% -11.0%
RSI极值反转 31 368 34.5% -1.2% -6.7%
布林带回归 31 830 31.0% -1.4% -9.8%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 57 42.11% 0.82 -1.32% -5.82% -0.38
豆粕(m2609) 57 36.84% 0.92 -0.77% -11.14% -0.17
豆油(y2609) 56 35.71% 0.77 -2.18% -10.25% -0.5
棕榈油(p2609) 60 36.67% 0.7 -3.4% -13.32% -0.65
玉米(c2609) 56 50.0% 1.33 1.83% -2.76% 0.57
棉花(cf2609) 58 50.0% 1.45 2.76% -3.47% 0.72
白糖(sr2609) 60 36.67% 0.58 -2.7% -10.42% -0.91
菜油(oi2609) 58 37.93% 0.68 -3.27% -13.54% -0.69
沪铜(cu2609) 59 49.15% 1.25 1.79% -5.13% 0.42
沪铝(al2609) 60 50.0% 1.11 0.82% -4.63% 0.19
沪锌(zn2609) 62 40.32% 0.88 -1.02% -7.66% -0.25
沪镍(ni2609) 61 34.43% 0.86 -1.64% -14.63% -0.29
沪锡(sn2609) 60 41.67% 0.87 -1.6% -13.52% -0.24
沪金(au2610) 70 68.57% 2.4 7.55% -3.42% 1.72
沪银(ag2610) 70 45.71% 0.92 -1.04% -15.73% -0.16
螺纹钢(rb2610) 61 36.07% 0.68 -3.03% -13.4% -0.77
热卷(hc2610) 61 37.7% 0.77 -2.02% -10.33% -0.56
铁矿石(i2609) 53 37.74% 0.71 -3.28% -12.84% -0.56
焦炭(j2609) 56 44.64% 0.91 -1.22% -12.66% -0.15
焦煤(jm2609) 58 48.28% 1.09 1.5% -14.76% 0.21
原油(sc2609) 60 50.0% 1.19 2.4% -8.71% 0.37
燃油(fu2609) 63 46.03% 1.15 1.9% -10.5% 0.29
甲醇(ma2609) 62 37.1% 0.86 -1.52% -15.26% -0.28
PTA(ta2609) 65 40.0% 0.93 -0.74% -11.44% -0.14
聚丙烯(pp2609) 58 43.1% 1.33 1.75% -8.81% 0.46
碳酸锂(lc2609) 50 64.0% 1.91 9.49% -7.44% 1.24
多晶硅(ps2609) 23 56.52% 1.54 7.07% -5.72% 0.86
生猪(lh2609) 59 49.15% 1.28 2.25% -5.27% 0.41
玻璃(fg2609) 57 38.6% 0.89 -1.83% -14.87% -0.21
纯碱(sa2609) 61 42.62% 0.85 -2.47% -14.94% -0.31
集运欧线(ec2608) 53 49.06% 0.93 -1.32% -19.06% -0.13

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 -1.86% -6.82% -0.64
豆粕(m2609) 39 46.15% 1.22 1.21% -5.06% 0.32
豆油(y2609) 37 27.03% 0.71 -1.62% -8.21% -0.51
棕榈油(p2609) 37 43.24% 1.3 1.41% -6.0% 0.35
玉米(c2609) 41 46.34% 1.08 0.31% -2.95% 0.09
棉花(cf2609) 43 53.49% 1.68 2.61% -2.18% 0.78
白糖(sr2609) 36 30.56% 0.7 -1.17% -4.32% -0.56
菜油(oi2609) 44 29.55% 0.65 -2.76% -10.69% -0.71
沪铜(cu2609) 43 46.51% 1.51 2.17% -3.4% 0.65
沪铝(al2609) 43 41.86% 1.21 0.89% -3.32% 0.27
沪锌(zn2609) 37 32.43% 0.82 -0.91% -7.31% -0.25
沪镍(ni2609) 39 30.77% 0.83 -1.25% -9.87% -0.32
沪锡(sn2609) 40 45.0% 1.22 1.5% -10.97% 0.31
沪金(au2610) 60 58.33% 1.75 4.57% -4.44% 1.22
沪银(ag2610) 49 51.02% 1.74 4.81% -7.85% 0.96
螺纹钢(rb2610) 36 41.67% 1.08 0.39% -4.47% 0.1
热卷(hc2610) 39 38.46% 0.91 -0.44% -4.28% -0.16
铁矿石(i2609) 37 29.73% 0.73 -2.4% -12.05% -0.49
焦炭(j2609) 36 41.67% 0.86 -1.36% -10.59% -0.2
焦煤(jm2609) 39 46.15% 1.21 2.23% -13.42% 0.37
原油(sc2609) 40 55.0% 1.83 5.49% -8.14% 0.93
燃油(fu2609) 44 45.45% 1.34 2.76% -8.24% 0.49
甲醇(ma2609) 39 38.46% 1.18 1.07% -9.82% 0.24
PTA(ta2609) 39 41.03% 1.04 0.27% -6.05% 0.06
聚丙烯(pp2609) 41 36.59% 1.33 1.34% -9.11% 0.41
碳酸锂(lc2609) 42 54.76% 1.93 8.38% -6.79% 1.22
多晶硅(ps2609) 16 43.75% 0.92 -1.01% -7.88% -0.12
生猪(lh2609) 41 51.22% 1.45 2.36% -4.92% 0.51
玻璃(fg2609) 36 36.11% 0.84 -1.58% -9.54% -0.24
纯碱(sa2609) 34 47.06% 1.09 0.63% -6.19% 0.13
集运欧线(ec2608) 36 55.56% 1.96 11.33% -8.95% 1.47

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 52 34.62% 0.84 -0.9% -5.51% -0.32
豆粕(m2609) 47 38.3% 1.06 0.37% -5.44% 0.09
豆油(y2609) 44 22.73% 0.68 -1.87% -9.85% -0.57
棕榈油(p2609) 54 33.33% 1.1 0.65% -9.44% 0.14
玉米(c2609) 47 51.06% 1.34 1.38% -3.0% 0.48
棉花(cf2609) 55 45.45% 1.72 3.17% -2.17% 0.89
白糖(sr2609) 43 27.91% 0.72 -1.0% -3.88% -0.45
菜油(oi2609) 52 28.85% 0.68 -2.58% -10.23% -0.65
沪铜(cu2609) 58 36.21% 1.28 1.54% -4.25% 0.43
沪铝(al2609) 60 31.67% 1.12 0.6% -3.98% 0.15
沪锌(zn2609) 49 30.61% 0.78 -1.34% -8.93% -0.37
沪镍(ni2609) 60 23.33% 0.87 -1.15% -11.0% -0.26
沪锡(sn2609) 57 36.84% 1.15 1.3% -10.95% 0.25
沪金(au2610) 77 48.05% 1.52 3.78% -7.05% 0.92
沪银(ag2610) 66 40.91% 1.54 4.25% -8.04% 0.78
螺纹钢(rb2610) 54 29.63% 0.93 -0.42% -5.99% -0.14
热卷(hc2610) 54 31.48% 0.89 -0.59% -5.28% -0.2
铁矿石(i2609) 44 27.27% 0.7 -2.66% -11.34% -0.52
焦炭(j2609) 50 34.0% 0.89 -1.43% -12.54% -0.21
焦煤(jm2609) 49 40.82% 1.28 3.03% -10.77% 0.47
原油(sc2609) 54 44.44% 1.56 4.77% -9.93% 0.78
燃油(fu2609) 50 42.0% 1.42 3.35% -7.33% 0.55
甲醇(ma2609) 48 33.33% 1.27 1.62% -7.88% 0.35
PTA(ta2609) 55 32.73% 1.09 0.63% -5.46% 0.13
聚丙烯(pp2609) 51 35.29% 1.46 1.93% -7.87% 0.57
碳酸锂(lc2609) 56 42.86% 1.53 6.41% -9.4% 0.87
多晶硅(ps2609) 17 41.18% 1.18 1.8% -7.08% 0.25
生猪(lh2609) 54 38.89% 1.4 2.37% -6.0% 0.5
玻璃(fg2609) 47 34.04% 1.04 0.46% -9.04% 0.09
纯碱(sa2609) 54 33.33% 0.86 -1.5% -11.43% -0.26
集运欧线(ec2608) 41 48.78% 1.77 10.97% -9.64% 1.25

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 -1.89% -7.07% -0.62
豆粕(m2609) 48 43.75% 1.2 1.65% -10.24% 0.36
豆油(y2609) 43 39.53% 0.94 -0.42% -9.3% -0.12
棕榈油(p2609) 44 45.45% 0.84 -1.43% -7.63% -0.3
玉米(c2609) 49 42.86% 1.03 0.12% -4.73% 0.01
棉花(cf2609) 45 57.78% 1.74 2.83% -2.44% 0.85
白糖(sr2609) 48 37.5% 0.52 -3.01% -9.85% -1.23
菜油(oi2609) 39 43.59% 1.03 0.2% -7.28% 0.04
沪铜(cu2609) 52 46.15% 1.01 0.06% -4.74% 0.0
沪铝(al2609) 48 52.08% 1.18 1.0% -6.05% 0.28
沪锌(zn2609) 46 34.78% 0.68 -2.65% -10.45% -0.68
沪镍(ni2609) 43 39.53% 0.71 -3.01% -14.89% -0.62
沪锡(sn2609) 42 42.86% 0.74 -2.79% -11.47% -0.53
沪金(au2610) 56 58.93% 1.61 3.94% -4.91% 1.05
沪银(ag2610) 51 43.14% 1.14 1.55% -9.99% 0.26
螺纹钢(rb2610) 46 50.0% 1.06 0.38% -5.93% 0.09
热卷(hc2610) 44 50.0% 1.04 0.25% -5.07% 0.06
铁矿石(i2609) 45 35.56% 0.62 -4.7% -19.96% -0.79
焦炭(j2609) 41 43.9% 0.91 -1.12% -13.88% -0.14
焦煤(jm2609) 48 43.75% 1.03 0.41% -20.29% 0.08
原油(sc2609) 48 52.08% 1.41 4.46% -9.49% 0.68
燃油(fu2609) 49 44.9% 1.1 1.19% -11.26% 0.19
甲醇(ma2609) 50 34.0% 0.76 -2.84% -18.06% -0.54
PTA(ta2609) 43 46.51% 1.02 0.17% -8.16% 0.04
聚丙烯(pp2609) 49 40.82% 1.06 0.37% -11.28% 0.08
碳酸锂(lc2609) 42 52.38% 1.37 5.41% -11.03% 0.69
多晶硅(ps2609) 18 44.44% 1.0 -0.09% -11.44% 0.01
生猪(lh2609) 50 42.0% 0.88 -1.06% -9.85% -0.22
玻璃(fg2609) 41 48.78% 1.18 2.21% -10.19% 0.33
纯碱(sa2609) 45 48.89% 1.2 2.7% -11.28% 0.38
集运欧线(ec2608) 44 52.27% 1.56 9.18% -8.87% 0.98

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 2.09% -5.59% 0.6
豆油(y2609) 21 33.33% 0.6 -1.73% -9.16% -0.6
棕榈油(p2609) 23 39.13% 1.03 0.11% -6.41% 0.03
玉米(c2609) 29 41.38% 1.01 0.04% -3.79% 0.0
棉花(cf2609) 26 50.0% 1.41 1.09% -2.47% 0.4
白糖(sr2609) 22 31.82% 0.43 -1.74% -5.75% -0.93
菜油(oi2609) 25 28.0% 0.68 -1.7% -8.49% -0.49
沪铜(cu2609) 29 37.93% 0.83 -0.88% -6.47% -0.27
沪铝(al2609) 27 44.44% 1.09 0.31% -3.84% 0.1
沪锌(zn2609) 24 41.67% 1.05 0.19% -4.09% 0.05
沪镍(ni2609) 22 40.91% 1.3 1.32% -5.11% 0.29
沪锡(sn2609) 26 34.62% 0.8 -1.42% -7.76% -0.3
沪金(au2610) 34 55.88% 1.78 3.12% -5.55% 0.84
沪银(ag2610) 30 43.33% 1.71 4.18% -10.27% 0.77
螺纹钢(rb2610) 28 39.29% 0.7 -1.42% -6.7% -0.46
热卷(hc2610) 25 36.0% 0.82 -0.74% -5.7% -0.25
铁矿石(i2609) 23 30.43% 0.62 -2.84% -9.35% -0.67
焦炭(j2609) 24 45.83% 1.01 0.1% -9.43% 0.04
焦煤(jm2609) 30 43.33% 1.24 2.48% -11.36% 0.36
原油(sc2609) 28 46.43% 1.37 2.54% -11.89% 0.45
燃油(fu2609) 27 48.15% 1.69 4.32% -5.08% 0.67
甲醇(ma2609) 26 50.0% 1.42 2.31% -7.25% 0.48
PTA(ta2609) 27 37.04% 0.92 -0.49% -9.3% -0.1
聚丙烯(pp2609) 27 44.44% 1.9 2.69% -5.89% 0.67
碳酸锂(lc2609) 27 44.44% 1.46 5.0% -8.21% 0.69
多晶硅(ps2609) 9 66.67% 2.24 5.55% -4.16% 0.69
生猪(lh2609) 25 44.0% 1.35 1.44% -4.99% 0.33
玻璃(fg2609) 18 38.89% 1.03 0.16% -8.56% 0.05
纯碱(sa2609) 27 40.74% 0.98 -0.21% -10.5% -0.01
集运欧线(ec2608) 28 46.43% 1.51 6.44% -14.33% 0.74

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 58 39.66% 1.06 0.37% -5.16% 0.08
豆粕(m2609) 57 42.11% 1.45 3.4% -5.02% 0.71
豆油(y2609) 57 31.58% 0.83 -1.41% -9.25% -0.39
棕榈油(p2609) 58 36.21% 0.88 -1.27% -8.82% -0.26
玉米(c2609) 67 37.31% 1.08 0.5% -4.08% 0.13
棉花(cf2609) 59 47.46% 1.34 1.81% -3.47% 0.52
白糖(sr2609) 58 34.48% 0.62 -2.36% -8.34% -0.91
菜油(oi2609) 54 31.48% 0.73 -2.61% -13.06% -0.6
沪铜(cu2609) 62 41.94% 1.07 0.5% -6.54% 0.11
沪铝(al2609) 62 38.71% 0.94 -0.38% -7.84% -0.15
沪锌(zn2609) 58 34.48% 0.78 -1.67% -9.62% -0.44
沪镍(ni2609) 61 36.07% 0.85 -1.69% -11.91% -0.33
沪锡(sn2609) 56 35.71% 0.85 -1.8% -11.51% -0.3
沪金(au2610) 75 48.0% 1.42 3.48% -4.45% 0.77
沪银(ag2610) 70 38.57% 1.18 2.42% -11.0% 0.34
螺纹钢(rb2610) 52 36.54% 0.76 -1.59% -6.62% -0.45
热卷(hc2610) 55 41.82% 0.99 -0.09% -4.86% -0.05
铁矿石(i2609) 65 27.69% 0.63 -6.13% -21.14% -0.93
焦炭(j2609) 63 25.4% 0.6 -7.58% -23.22% -1.03
焦煤(jm2609) 59 37.29% 0.97 -0.54% -18.37% -0.03
原油(sc2609) 67 34.33% 0.99 -0.16% -15.39% -0.01
燃油(fu2609) 67 31.34% 0.73 -4.46% -21.64% -0.6
甲醇(ma2609) 64 32.81% 0.82 -2.38% -15.75% -0.42
PTA(ta2609) 61 32.79% 0.73 -3.11% -12.73% -0.62
聚丙烯(pp2609) 66 30.3% 0.92 -0.59% -11.07% -0.16
碳酸锂(lc2609) 53 41.51% 1.14 2.81% -11.72% 0.34
多晶硅(ps2609) 23 34.78% 1.17 3.47% -13.03% 0.42
生猪(lh2609) 62 33.87% 0.83 -1.71% -9.82% -0.37
玻璃(fg2609) 52 42.31% 1.11 1.58% -11.88% 0.22
纯碱(sa2609) 61 42.62% 1.24 3.91% -10.9% 0.47
集运欧线(ec2608) 56 42.86% 1.39 10.03% -12.42% 0.82

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 -0.49% -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 0.98% -3.53% 0.38
棕榈油(p2609) 25 28.0% 0.7 -1.5% -11.45% -0.42
玉米(c2609) 35 37.14% 1.06 0.2% -4.01% 0.06
棉花(cf2609) 34 29.41% 0.61 -1.56% -7.0% -0.65
白糖(sr2609) 19 31.58% 0.58 -0.79% -3.86% -0.59
菜油(oi2609) 20 50.0% 1.39 1.1% -3.04% 0.37
沪铜(cu2609) 32 25.0% 0.66 -1.73% -9.02% -0.56
沪铝(al2609) 24 29.17% 0.73 -0.84% -5.06% -0.37
沪锌(zn2609) 21 33.33% 0.8 -0.64% -6.55% -0.22
沪镍(ni2609) 22 36.36% 1.17 0.66% -5.38% 0.17
沪锡(sn2609) 25 32.0% 0.64 -2.06% -12.71% -0.43
沪金(au2610) 51 23.53% 0.98 -0.15% -7.32% -0.05
沪银(ag2610) 46 21.74% 0.5 -6.55% -28.88% -1.07
螺纹钢(rb2610) 22 22.73% 0.45 -2.04% -8.57% -0.79
热卷(hc2610) 26 23.08% 0.49 -2.05% -8.73% -0.81
铁矿石(i2609) 15 60.0% 3.87 4.39% -3.61% 1.3
焦炭(j2609) 17 52.94% 2.14 3.77% -3.96% 0.85
焦煤(jm2609) 21 47.62% 2.04 5.24% -6.27% 0.79
原油(sc2609) 32 21.88% 0.49 -4.87% -15.66% -0.77
燃油(fu2609) 30 16.67% 0.34 -6.53% -19.54% -1.24
甲醇(ma2609) 22 18.18% 0.26 -4.79% -14.92% -1.13
PTA(ta2609) 26 34.62% 1.01 0.04% -8.68% 0.02
聚丙烯(pp2609) 32 34.38% 0.71 -1.56% -10.46% -0.41
碳酸锂(lc2609) 35 20.0% 0.42 -8.62% -25.0% -1.06
多晶硅(ps2609) 12 25.0% 0.44 -7.35% -10.36% -1.1
生猪(lh2609) 25 36.0% 0.67 -1.33% -7.11% -0.37
玻璃(fg2609) 24 41.67% 1.22 1.39% -10.7% 0.28
纯碱(sa2609) 24 37.5% 1.12 0.87% -10.4% 0.16
集运欧线(ec2608) 37 27.03% 0.72 -5.31% -20.79% -0.44

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 0.77% -2.08% 0.45
豆粕(m2609) 20 30.0% 0.48 -2.29% -10.09% -1.02
豆油(y2609) 10 60.0% 1.59 0.71% -1.73% 0.42
棕榈油(p2609) 12 16.67% 0.24 -2.44% -8.66% -1.22
玉米(c2609) 14 71.43% 3.38 1.76% -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(cu2609) 16 31.25% 0.6 -1.16% -4.41% -0.52
沪铝(al2609) 9 44.44% 0.71 -0.39% -2.58% -0.27
沪锌(zn2609) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2609) 12 41.67% 0.81 -0.5% -5.09% -0.2
沪锡(sn2609) 10 20.0% 0.36 -2.21% -6.93% -0.89
沪金(au2610) 22 31.82% 0.79 -0.77% -4.66% -0.28
沪银(ag2610) 20 20.0% 0.38 -4.03% -14.81% -0.92
螺纹钢(rb2610) 10 30.0% 0.57 -0.81% -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 -0.51% -4.43% -0.2
焦炭(j2609) 5 60.0% 1.49 0.59% -3.36% 0.23
焦煤(jm2609) 6 16.67% 0.27 -2.27% -8.46% -0.84
原油(sc2609) 12 41.67% 0.97 -0.07% -4.28% -0.01
燃油(fu2609) 8 25.0% 0.49 -1.38% -7.95% -0.49
甲醇(ma2609) 11 27.27% 0.3 -2.33% -7.3% -0.83
PTA(ta2609) 8 37.5% 1.11 0.21% -4.34% 0.07
聚丙烯(pp2609) 13 15.38% 0.12 -3.56% -11.54% -1.41
碳酸锂(lc2609) 23 30.43% 0.65 -3.45% -15.29% -0.58
多晶硅(ps2609) 9 33.33% 0.74 -2.22% -7.97% -0.38
生猪(lh2609) 12 41.67% 1.13 0.25% -3.25% 0.09
玻璃(fg2609) 7 28.57% 0.63 -1.01% -5.74% -0.35
纯碱(sa2609) 14 35.71% 0.53 -2.54% -16.12% -0.59
集运欧线(ec2608) 22 18.18% 0.31 -8.88% -23.32% -1.67

MACD+KDJ双确认

品种交易胜率盈亏年化回撤夏普
豆一(a2609) 17 58.82% 2.41 1.55% -2.69% 0.77
豆粕(m2609) 23 34.78% 0.72 -1.31% -6.71% -0.43
豆油(y2609) 20 40.0% 0.59 -1.42% -7.28% -0.6
棕榈油(p2609) 22 45.45% 1.0 0.01% -6.01% 0.01
玉米(c2609) 19 52.63% 1.41 0.74% -2.9% 0.42
棉花(cf2609) 24 41.67% 0.94 -0.21% -3.73% -0.11
白糖(sr2609) 16 56.25% 1.37 0.52% -3.92% 0.28
菜油(oi2609) 20 45.0% 0.67 -1.27% -7.02% -0.41
沪铜(cu2609) 20 55.0% 2.08 1.84% -3.5% 0.81
沪铝(al2609) 17 52.94% 1.03 0.06% -3.22% 0.02
沪锌(zn2609) 25 48.0% 0.84 -0.56% -5.5% -0.23
沪镍(ni2609) 22 31.82% 0.44 -3.02% -9.83% -0.93
沪锡(sn2609) 19 63.16% 2.19 3.18% -6.88% 0.83
沪金(au2610) 20 70.0% 3.37 2.79% -1.64% 1.24
沪银(ag2610) 17 41.18% 1.19 0.63% -5.75% 0.21
螺纹钢(rb2610) 23 34.78% 0.49 -2.3% -9.87% -0.85
热卷(hc2610) 21 23.81% 0.41 -2.28% -7.28% -0.99
铁矿石(i2609) 17 52.94% 1.15 0.55% -5.61% 0.15
焦炭(j2609) 21 42.86% 0.82 -1.07% -8.76% -0.2
焦煤(jm2609) 18 44.44% 1.05 0.27% -8.65% 0.07
原油(sc2609) 25 36.0% 0.59 -3.06% -13.51% -0.64
燃油(fu2609) 20 30.0% 0.61 -2.3% -13.24% -0.48
甲醇(ma2609) 20 35.0% 0.42 -2.82% -11.45% -0.77
PTA(ta2609) 24 41.67% 1.3 1.17% -5.33% 0.33
聚丙烯(pp2609) 21 52.38% 1.57 0.89% -1.83% 0.46
碳酸锂(lc2609) 15 53.33% 1.59 1.85% -3.64% 0.44
多晶硅(ps2609) 6 66.67% 3.38 5.7% -3.6% 1.17
生猪(lh2609) 21 52.38% 1.25 0.86% -4.65% 0.26
玻璃(fg2609) 13 15.38% 0.18 -3.86% -13.45% -0.93
纯碱(sa2609) 18 44.44% 0.94 -0.33% -7.16% -0.07
集运欧线(ec2608) 14 42.86% 0.75 -1.57% -8.15% -0.36

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 -1.14% -5.33% -0.77
棕榈油(p2609) 8 12.5% 0.09 -1.36% -5.15% -0.86
玉米(c2609) 17 41.18% 1.21 0.29% -1.83% 0.2
棉花(cf2609) 18 33.33% 0.7 -0.59% -4.29% -0.38
白糖(sr2609) 14 50.0% 2.21 1.07% -1.28% 0.8
菜油(oi2609) 11 45.45% 1.56 0.67% -2.13% 0.34
沪铜(cu2609) 9 22.22% 0.16 -1.16% -3.73% -0.79
沪铝(al2609) 13 53.85% 1.77 0.79% -1.87% 0.53
沪锌(zn2609) 8 50.0% 1.64 0.52% -2.05% 0.35
沪镍(ni2609) 14 57.14% 2.1 2.03% -3.13% 0.69
沪锡(sn2609) 21 23.81% 0.29 -3.56% -11.35% -1.16
沪金(au2610) 19 15.79% 0.48 -1.28% -6.2% -0.86
沪银(ag2610) 22 36.36% 0.97 -0.13% -9.91% -0.03
螺纹钢(rb2610) 13 53.85% 2.06 0.99% -1.58% 0.54
热卷(hc2610) 13 30.77% 1.02 0.03% -2.34% 0.0
铁矿石(i2609) 20 35.0% 1.22 0.7% -5.78% 0.22
焦炭(j2609) 13 23.08% 0.65 -1.17% -4.47% -0.36
焦煤(jm2609) 14 42.86% 1.52 1.85% -6.86% 0.52
原油(sc2609) 27 25.93% 0.71 -1.75% -9.65% -0.34
燃油(fu2609) 23 39.13% 1.11 0.56% -6.14% 0.13
甲醇(ma2609) 17 41.18% 1.03 0.09% -3.73% 0.03
PTA(ta2609) 10 20.0% 0.37 -1.16% -5.71% -0.64
聚丙烯(pp2609) 12 33.33% 0.93 -0.08% -1.84% -0.11
碳酸锂(lc2609) 13 23.08% 0.43 -2.76% -7.2% -0.71
多晶硅(ps2609) 9 33.33% 1.07 0.44% -5.87% 0.09
生猪(lh2609) 26 30.77% 0.84 -0.62% -6.02% -0.19
玻璃(fg2609) 20 50.0% 1.72 2.67% -6.39% 0.51
纯碱(sa2609) 18 5.56% 0.12 -4.75% -16.73% -1.16
集运欧线(ec2608) 28 39.29% 1.43 4.97% -8.98% 0.55

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 0.17% -1.35% 0.21
棕榈油(p2609) 6 66.67% 2.87 1.15% -2.02% 0.71
玉米(c2609) 5 40.0% 0.57 -0.22% -1.23% -0.29
棉花(cf2609) 4 100.0% inf 0.95% -0.31% 1.37
白糖(sr2609) 7 85.71% 5.36 0.8% -1.62% 0.66
菜油(oi2609) 2 50.0% 1.45 0.09% -0.87% 0.14
沪铜(cu2609) 15 40.0% 1.08 0.11% -2.56% 0.06
沪铝(al2609) 3 66.67% 3.16 0.28% -0.42% 0.61
沪锌(zn2609) 7 28.57% 0.82 -0.14% -1.58% -0.13
沪镍(ni2609) 3 33.33% 0.48 -0.42% -2.56% -0.32
沪锡(sn2609) 4 50.0% 0.97 -0.03% -1.74% -0.02
沪金(au2610) 14 71.43% 2.82 1.9% -1.93% 1.18
沪银(ag2610) 13 46.15% 1.01 0.02% -4.64% 0.01
螺纹钢(rb2610) 3 33.33% 0.93 -0.02% -0.9% -0.05
热卷(hc2610) 1 100.0% inf 0.26% -0.01% 0.77
铁矿石(i2609) 5 40.0% 0.69 -0.36% -2.11% -0.3
焦炭(j2609) 5 20.0% 0.26 -1.35% -4.83% -0.59
焦煤(jm2609) 6 33.33% 0.61 -0.67% -3.45% -0.35
原油(sc2609) 18 50.0% 1.3 1.15% -4.87% 0.27
燃油(fu2609) 23 60.87% 1.79 2.92% -7.62% 0.73
甲醇(ma2609) 4 25.0% 0.33 -0.84% -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 -0.93% -4.11% -0.33
多晶硅(ps2609) 4 75.0% 3.92 3.55% -1.43% 1.61
生猪(lh2609) 18 44.44% 0.83 -0.46% -4.73% -0.16
玻璃(fg2609) 3 33.33% 0.49 -0.53% -3.91% -0.36
纯碱(sa2609) 6 16.67% 0.11 -2.16% -6.92% -1.13
集运欧线(ec2608) 23 47.83% 0.82 -1.4% -11.94% -0.24