期货研究

策略回测对比

2026-08-22 10:42:55 · 11 策略 × 31 品种

BEST STRATEGY

均线多空排列
年化 1.2%

HIGHEST WIN RATE

跳空缺口
49.0%

LOWEST DRAWDOWN

跳空缺口
-3.0%

MOST TRADES

波动率突破
1864 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 1241 42.7% 1.2% -7.3%
三均线趋势 31 1626 36.0% 1.2% -7.8%
动量突破 31 793 42.1% 0.9% -7.2%
海龟突破 31 1422 45.1% 0.3% -10.0%
双EXPMA趋势 31 1831 44.2% 0.1% -10.4%
跳空缺口 31 239 49.0% 0.1% -3.0%
MACD+KDJ双确认 31 612 44.9% -0.1% -6.6%
价量背离 31 498 34.7% -0.1% -5.3%
波动率突破 31 1864 36.9% -0.3% -11.0%
布林带回归 31 836 31.1% -1.2% -9.8%
RSI极值反转 31 371 35.0% -1.2% -6.7%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 57 43.86% 0.83 -1.24% -5.82% -0.36
豆粕(m2701) 58 39.66% 0.98 -0.17% -11.14% -0.04
豆油(y2701) 58 36.21% 0.77 -2.22% -10.71% -0.52
棕榈油(p2701) 62 35.48% 0.69 -3.58% -13.5% -0.68
玉米(c2611) 57 50.88% 1.34 1.83% -2.76% 0.57
棉花(cf2701) 59 47.46% 1.39 2.43% -4.1% 0.63
白糖(sr2701) 62 37.1% 0.61 -2.48% -10.42% -0.84
菜油(oi2611) 59 38.98% 0.7 -3.01% -13.99% -0.63
沪铜(cu2610) 61 47.54% 1.19 1.4% -5.13% 0.32
沪铝(al2610) 60 50.0% 1.09 0.67% -4.63% 0.15
沪锌(zn2610) 63 41.27% 0.88 -1.02% -7.66% -0.25
沪镍(ni2610) 61 32.79% 0.82 -2.09% -14.63% -0.37
沪锡(sn2610) 61 40.98% 0.86 -1.62% -13.52% -0.24
沪金(au2610) 70 68.57% 2.49 7.59% -3.42% 1.74
沪银(ag2610) 71 45.07% 0.93 -0.83% -15.73% -0.13
螺纹钢(rb2610) 61 36.07% 0.68 -3.0% -13.4% -0.76
热卷(hc2610) 62 37.1% 0.77 -1.99% -10.33% -0.55
铁矿石(i2701) 54 37.04% 0.69 -3.44% -12.84% -0.59
焦炭(j2701) 57 45.61% 0.89 -1.48% -12.66% -0.19
焦煤(jm2701) 58 48.28% 1.09 1.47% -14.76% 0.21
原油(sc2610) 61 49.18% 1.15 1.89% -8.71% 0.29
燃油(fu2611) 64 45.31% 1.1 1.32% -10.5% 0.2
甲醇(ma2610) 63 36.51% 0.82 -2.09% -15.26% -0.38
PTA(ta2701) 65 40.0% 0.9 -1.09% -11.44% -0.21
聚丙烯(pp2701) 59 44.07% 1.2 1.18% -8.81% 0.3
碳酸锂(lc2701) 51 64.71% 2.02 10.28% -7.44% 1.33
多晶硅(ps2611) 23 60.87% 1.72 8.67% -5.72% 1.04
生猪(lh2611) 60 50.0% 1.21 1.8% -5.27% 0.32
玻璃(fg2701) 58 37.93% 0.92 -1.32% -14.87% -0.15
纯碱(sa2701) 63 44.44% 0.9 -1.64% -14.94% -0.2
集运欧线(ec2610) 53 47.17% 0.91 -1.7% -19.06% -0.17

均线多空排列

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 44 34.09% 0.68 -1.9% -6.82% -0.66
豆粕(m2701) 41 48.78% 1.32 1.72% -5.06% 0.46
豆油(y2701) 37 27.03% 0.71 -1.6% -8.21% -0.51
棕榈油(p2701) 38 42.11% 1.29 1.39% -6.0% 0.34
玉米(c2611) 42 45.24% 1.03 0.13% -2.95% 0.02
棉花(cf2701) 43 53.49% 1.68 2.57% -2.18% 0.77
白糖(sr2701) 37 35.14% 0.77 -0.86% -4.32% -0.42
菜油(oi2611) 45 31.11% 0.66 -2.63% -10.7% -0.68
沪铜(cu2610) 43 46.51% 1.51 2.14% -3.4% 0.65
沪铝(al2610) 43 41.86% 1.17 0.73% -3.32% 0.22
沪锌(zn2610) 38 31.58% 0.8 -1.03% -7.31% -0.29
沪镍(ni2610) 39 28.21% 0.77 -1.71% -10.46% -0.42
沪锡(sn2610) 40 45.0% 1.22 1.47% -10.97% 0.3
沪金(au2610) 60 58.33% 1.82 4.73% -4.44% 1.26
沪银(ag2610) 50 50.0% 1.77 4.96% -7.85% 0.97
螺纹钢(rb2610) 36 41.67% 1.07 0.34% -4.47% 0.09
热卷(hc2610) 39 38.46% 0.91 -0.44% -4.28% -0.16
铁矿石(i2701) 37 29.73% 0.72 -2.52% -12.18% -0.52
焦炭(j2701) 37 40.54% 0.85 -1.43% -10.59% -0.22
焦煤(jm2701) 40 45.0% 1.17 1.89% -14.28% 0.31
原油(sc2610) 40 52.5% 1.65 4.49% -8.14% 0.77
燃油(fu2611) 44 43.18% 1.21 1.84% -8.24% 0.33
甲醇(ma2610) 39 35.9% 1.02 0.12% -9.82% 0.03
PTA(ta2701) 39 38.46% 0.93 -0.5% -6.05% -0.11
聚丙烯(pp2701) 41 36.59% 1.17 0.77% -9.11% 0.23
碳酸锂(lc2701) 43 55.81% 1.99 8.78% -6.79% 1.27
多晶硅(ps2611) 17 47.06% 0.95 -0.54% -7.88% -0.05
生猪(lh2611) 41 48.78% 1.37 2.03% -4.92% 0.44
玻璃(fg2701) 37 37.84% 0.88 -1.11% -9.54% -0.16
纯碱(sa2701) 35 48.57% 1.19 1.36% -6.19% 0.27
集运欧线(ec2610) 36 55.56% 1.96 11.1% -8.95% 1.46

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 54 33.33% 0.82 -1.02% -5.51% -0.36
豆粕(m2701) 49 40.82% 1.14 0.89% -5.44% 0.23
豆油(y2701) 46 23.91% 0.68 -1.87% -9.85% -0.58
棕榈油(p2701) 56 32.14% 1.09 0.58% -9.44% 0.12
玉米(c2611) 48 50.0% 1.32 1.29% -3.0% 0.45
棉花(cf2701) 57 43.86% 1.62 2.87% -2.95% 0.81
白糖(sr2701) 44 31.82% 0.8 -0.69% -3.88% -0.32
菜油(oi2611) 53 30.19% 0.69 -2.45% -10.24% -0.62
沪铜(cu2610) 59 35.59% 1.27 1.49% -4.25% 0.42
沪铝(al2610) 60 31.67% 1.09 0.45% -3.98% 0.11
沪锌(zn2610) 51 29.41% 0.77 -1.44% -8.93% -0.4
沪镍(ni2610) 60 21.67% 0.83 -1.62% -11.0% -0.36
沪锡(sn2610) 57 36.84% 1.15 1.28% -10.95% 0.24
沪金(au2610) 78 48.72% 1.51 3.71% -7.05% 0.9
沪银(ag2610) 67 40.3% 1.57 4.41% -8.04% 0.8
螺纹钢(rb2610) 54 29.63% 0.92 -0.48% -5.99% -0.16
热卷(hc2610) 54 31.48% 0.89 -0.58% -5.28% -0.2
铁矿石(i2701) 45 24.44% 0.69 -2.8% -11.34% -0.56
焦炭(j2701) 51 33.33% 0.88 -1.5% -12.54% -0.22
焦煤(jm2701) 51 39.22% 1.24 2.65% -11.05% 0.41
原油(sc2610) 54 42.59% 1.43 3.79% -9.93% 0.62
燃油(fu2611) 50 40.0% 1.28 2.42% -7.33% 0.4
甲醇(ma2610) 48 33.33% 1.15 1.0% -7.88% 0.21
PTA(ta2701) 55 32.73% 1.04 0.26% -5.46% 0.05
聚丙烯(pp2701) 51 33.33% 1.22 1.07% -7.87% 0.3
碳酸锂(lc2701) 57 43.86% 1.67 7.66% -9.4% 1.02
多晶硅(ps2611) 19 42.11% 1.18 1.77% -7.08% 0.25
生猪(lh2611) 54 38.89% 1.33 2.01% -6.0% 0.43
玻璃(fg2701) 48 35.42% 1.08 0.91% -9.04% 0.16
纯碱(sa2701) 55 34.55% 0.93 -0.75% -11.43% -0.12
集运欧线(ec2610) 41 48.78% 1.77 10.75% -9.64% 1.24

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 47 40.43% 0.7 -1.86% -7.07% -0.61
豆粕(m2701) 49 46.94% 1.28 2.23% -10.24% 0.49
豆油(y2701) 44 40.91% 0.94 -0.45% -9.3% -0.13
棕榈油(p2701) 45 46.67% 0.85 -1.34% -7.63% -0.28
玉米(c2611) 50 44.0% 1.0 -0.01% -4.73% -0.05
棉花(cf2701) 45 57.78% 1.63 2.54% -3.09% 0.76
白糖(sr2701) 49 36.73% 0.52 -2.96% -9.94% -1.21
菜油(oi2611) 40 45.0% 1.05 0.29% -7.92% 0.06
沪铜(cu2610) 53 45.28% 1.0 -0.01% -4.74% -0.02
沪铝(al2610) 48 52.08% 1.15 0.85% -6.05% 0.23
沪锌(zn2610) 46 34.78% 0.68 -2.65% -10.58% -0.69
沪镍(ni2610) 43 37.21% 0.67 -3.43% -14.89% -0.7
沪锡(sn2610) 42 42.86% 0.74 -2.75% -11.47% -0.53
沪金(au2610) 56 58.93% 1.61 3.88% -4.91% 1.04
沪银(ag2610) 51 45.1% 1.17 1.86% -9.99% 0.31
螺纹钢(rb2610) 46 50.0% 1.06 0.36% -5.93% 0.08
热卷(hc2610) 44 50.0% 1.04 0.25% -5.07% 0.06
铁矿石(i2701) 45 33.33% 0.61 -4.9% -19.96% -0.83
焦炭(j2701) 42 45.24% 0.92 -0.98% -14.09% -0.12
焦煤(jm2701) 48 43.75% 1.02 0.39% -20.29% 0.08
原油(sc2610) 49 51.02% 1.33 3.68% -9.49% 0.56
燃油(fu2611) 50 44.0% 1.06 0.76% -11.26% 0.12
甲醇(ma2610) 51 33.33% 0.72 -3.5% -18.15% -0.67
PTA(ta2701) 43 44.19% 0.91 -0.79% -8.16% -0.15
聚丙烯(pp2701) 50 40.0% 0.91 -0.6% -11.28% -0.15
碳酸锂(lc2701) 43 51.16% 1.37 5.29% -11.03% 0.68
多晶硅(ps2611) 19 47.37% 1.02 0.34% -11.44% 0.07
生猪(lh2611) 51 43.14% 0.88 -1.05% -9.85% -0.22
玻璃(fg2701) 42 47.62% 1.22 2.59% -10.19% 0.38
纯碱(sa2701) 47 51.06% 1.28 3.54% -11.28% 0.49
集运欧线(ec2610) 44 50.0% 1.52 8.53% -8.87% 0.91

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 26 42.31% 0.98 -0.08% -5.02% -0.05
豆粕(m2701) 25 52.0% 1.73 2.62% -5.59% 0.74
豆油(y2701) 21 33.33% 0.59 -1.77% -9.16% -0.62
棕榈油(p2701) 23 39.13% 1.03 0.11% -6.41% 0.03
玉米(c2611) 30 40.0% 0.95 -0.14% -3.79% -0.09
棉花(cf2701) 26 50.0% 1.41 1.07% -2.47% 0.4
白糖(sr2701) 22 36.36% 0.5 -1.42% -5.75% -0.75
菜油(oi2611) 25 28.0% 0.68 -1.68% -8.49% -0.49
沪铜(cu2610) 29 37.93% 0.83 -0.86% -6.47% -0.27
沪铝(al2610) 27 44.44% 1.05 0.17% -3.84% 0.05
沪锌(zn2610) 24 41.67% 1.05 0.19% -4.09% 0.05
沪镍(ni2610) 22 36.36% 1.17 0.81% -5.73% 0.18
沪锡(sn2610) 26 34.62% 0.8 -1.39% -7.76% -0.3
沪金(au2610) 34 55.88% 1.84 3.3% -5.55% 0.89
沪银(ag2610) 30 46.67% 1.77 4.46% -10.27% 0.82
螺纹钢(rb2610) 28 39.29% 0.7 -1.41% -6.7% -0.46
热卷(hc2610) 25 36.0% 0.82 -0.73% -5.7% -0.25
铁矿石(i2701) 23 26.09% 0.59 -3.04% -9.86% -0.72
焦炭(j2701) 24 45.83% 1.01 0.09% -9.43% 0.03
焦煤(jm2701) 30 43.33% 1.24 2.44% -11.36% 0.35
原油(sc2610) 28 42.86% 1.21 1.56% -11.89% 0.28
燃油(fu2611) 27 48.15% 1.53 3.66% -5.08% 0.57
甲醇(ma2610) 26 50.0% 1.28 1.54% -7.25% 0.33
PTA(ta2701) 27 37.04% 0.87 -0.8% -9.3% -0.17
聚丙烯(pp2701) 27 40.74% 1.58 1.75% -5.89% 0.43
碳酸锂(lc2701) 28 42.86% 1.45 4.88% -8.21% 0.68
多晶硅(ps2611) 10 60.0% 2.23 5.31% -4.41% 0.67
生猪(lh2611) 25 44.0% 1.25 1.08% -4.99% 0.25
玻璃(fg2701) 19 42.11% 1.1 0.58% -8.56% 0.12
纯碱(sa2701) 28 42.86% 1.07 0.6% -10.5% 0.12
集运欧线(ec2610) 28 46.43% 1.51 6.32% -14.33% 0.73

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 60 38.33% 1.02 0.1% -5.5% 0.0
豆粕(m2701) 58 44.83% 1.54 3.96% -5.02% 0.83
豆油(y2701) 57 33.33% 0.84 -1.27% -9.46% -0.35
棕榈油(p2701) 59 37.29% 0.89 -1.18% -8.82% -0.25
玉米(c2611) 68 38.24% 1.07 0.4% -4.08% 0.09
棉花(cf2701) 60 45.0% 1.24 1.34% -3.47% 0.37
白糖(sr2701) 59 35.59% 0.64 -2.19% -8.34% -0.84
菜油(oi2611) 55 30.91% 0.73 -2.66% -13.49% -0.61
沪铜(cu2610) 63 42.86% 1.07 0.51% -6.54% 0.11
沪铝(al2610) 63 38.1% 0.91 -0.63% -7.84% -0.22
沪锌(zn2610) 60 33.33% 0.75 -2.0% -9.62% -0.52
沪镍(ni2610) 62 33.87% 0.81 -2.31% -11.91% -0.44
沪锡(sn2610) 56 35.71% 0.85 -1.77% -11.51% -0.3
沪金(au2610) 75 48.0% 1.42 3.43% -4.45% 0.76
沪银(ag2610) 70 40.0% 1.22 2.84% -11.0% 0.39
螺纹钢(rb2610) 52 36.54% 0.76 -1.58% -6.62% -0.45
热卷(hc2610) 55 41.82% 0.99 -0.09% -4.86% -0.05
铁矿石(i2701) 66 27.27% 0.62 -6.26% -21.16% -0.96
焦炭(j2701) 63 26.98% 0.62 -6.98% -23.22% -0.95
焦煤(jm2701) 59 37.29% 0.97 -0.45% -18.37% -0.02
原油(sc2610) 68 33.82% 0.93 -1.14% -15.39% -0.14
燃油(fu2611) 68 30.88% 0.68 -5.42% -21.64% -0.73
甲醇(ma2610) 65 32.31% 0.8 -2.75% -15.75% -0.47
PTA(ta2701) 62 32.26% 0.69 -3.5% -12.73% -0.69
聚丙烯(pp2701) 67 29.85% 0.88 -0.94% -11.07% -0.23
碳酸锂(lc2701) 54 40.74% 1.14 2.73% -11.72% 0.33
多晶硅(ps2611) 23 39.13% 1.28 5.19% -13.03% 0.61
生猪(lh2611) 64 34.38% 0.87 -1.35% -9.82% -0.29
玻璃(fg2701) 54 42.59% 1.13 1.91% -11.88% 0.26
纯碱(sa2701) 63 44.44% 1.28 4.41% -10.9% 0.53
集运欧线(ec2610) 56 41.07% 1.36 9.2% -12.42% 0.76

布林带回归

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 26 30.77% 0.85 -0.48% -5.47% -0.24
豆粕(m2701) 29 34.48% 0.83 -0.8% -7.28% -0.3
豆油(y2701) 23 43.48% 1.37 0.97% -3.53% 0.38
棕榈油(p2701) 25 28.0% 0.7 -1.48% -11.45% -0.42
玉米(c2611) 35 37.14% 1.06 0.2% -4.01% 0.06
棉花(cf2701) 34 29.41% 0.61 -1.54% -7.0% -0.64
白糖(sr2701) 20 35.0% 0.61 -0.72% -3.86% -0.54
菜油(oi2611) 20 50.0% 1.39 1.08% -3.04% 0.36
沪铜(cu2610) 32 25.0% 0.66 -1.7% -9.02% -0.55
沪铝(al2610) 24 29.17% 0.77 -0.69% -5.06% -0.3
沪锌(zn2610) 21 33.33% 0.8 -0.63% -6.55% -0.22
沪镍(ni2610) 22 40.91% 1.3 1.15% -5.38% 0.28
沪锡(sn2610) 25 32.0% 0.64 -2.03% -12.71% -0.43
沪金(au2610) 51 21.57% 0.94 -0.37% -7.32% -0.11
沪银(ag2610) 46 21.74% 0.47 -6.85% -28.88% -1.11
螺纹钢(rb2610) 22 22.73% 0.46 -2.0% -8.57% -0.77
热卷(hc2610) 26 23.08% 0.49 -2.02% -8.73% -0.79
铁矿石(i2701) 15 66.67% 4.0 4.45% -3.61% 1.31
焦炭(j2701) 17 52.94% 2.14 3.71% -3.96% 0.84
焦煤(jm2701) 21 47.62% 2.04 5.16% -6.27% 0.78
原油(sc2610) 32 25.0% 0.66 -3.01% -15.66% -0.44
燃油(fu2611) 30 16.67% 0.34 -6.44% -19.54% -1.23
甲醇(ma2610) 22 18.18% 0.26 -4.72% -14.92% -1.12
PTA(ta2701) 26 34.62% 1.19 1.06% -8.68% 0.23
聚丙烯(pp2701) 32 34.38% 0.94 -0.29% -10.46% -0.07
碳酸锂(lc2701) 35 20.0% 0.42 -8.46% -25.0% -1.05
多晶硅(ps2611) 12 25.0% 0.44 -7.07% -10.36% -1.07
生猪(lh2611) 25 36.0% 0.67 -1.31% -7.11% -0.37
玻璃(fg2701) 25 44.0% 1.24 1.45% -10.7% 0.29
纯碱(sa2701) 26 30.77% 1.04 0.27% -10.4% 0.06
集运欧线(ec2610) 37 27.03% 0.71 -5.56% -20.79% -0.47

RSI极值反转

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 12 50.0% 1.69 0.76% -2.08% 0.44
豆粕(m2701) 21 28.57% 0.46 -2.45% -10.09% -1.1
豆油(y2701) 10 60.0% 1.59 0.7% -1.73% 0.42
棕榈油(p2701) 12 16.67% 0.24 -2.4% -8.66% -1.21
玉米(c2611) 14 71.43% 3.38 1.73% -1.03% 1.13
棉花(cf2701) 14 50.0% 1.07 0.11% -3.29% 0.05
白糖(sr2701) 9 44.44% 1.13 0.12% -1.56% 0.11
菜油(oi2611) 7 42.86% 0.91 -0.13% -3.78% -0.06
沪铜(cu2610) 16 31.25% 0.6 -1.14% -4.41% -0.51
沪铝(al2610) 9 44.44% 0.71 -0.38% -2.58% -0.27
沪锌(zn2610) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2610) 12 50.0% 1.0 0.0% -5.37% 0.0
沪锡(sn2610) 10 20.0% 0.36 -2.18% -6.93% -0.89
沪金(au2610) 22 31.82% 0.79 -0.76% -4.66% -0.28
沪银(ag2610) 20 20.0% 0.38 -3.97% -14.81% -0.91
螺纹钢(rb2610) 10 30.0% 0.57 -0.8% -6.52% -0.4
热卷(hc2610) 8 37.5% 0.85 -0.2% -4.55% -0.11
铁矿石(i2701) 5 40.0% 0.64 -0.5% -4.43% -0.2
焦炭(j2701) 5 60.0% 1.49 0.58% -3.36% 0.23
焦煤(jm2701) 6 16.67% 0.27 -2.23% -8.46% -0.83
原油(sc2610) 12 50.0% 1.59 1.19% -4.28% 0.36
燃油(fu2611) 8 25.0% 0.49 -1.36% -7.95% -0.49
甲醇(ma2610) 11 27.27% 0.3 -2.3% -7.3% -0.83
PTA(ta2701) 8 37.5% 1.11 0.2% -4.34% 0.07
聚丙烯(pp2701) 13 15.38% 0.27 -2.9% -11.54% -1.12
碳酸锂(lc2701) 23 30.43% 0.65 -3.39% -15.29% -0.58
多晶硅(ps2611) 9 33.33% 0.74 -2.13% -7.97% -0.37
生猪(lh2611) 12 41.67% 1.13 0.25% -3.25% 0.09
玻璃(fg2701) 8 37.5% 0.64 -0.96% -5.74% -0.33
纯碱(sa2701) 15 33.33% 0.52 -2.55% -16.12% -0.59
集运欧线(ec2610) 22 18.18% 0.31 -8.71% -23.32% -1.65

MACD+KDJ双确认

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 17 64.71% 2.51 1.54% -2.77% 0.76
豆粕(m2701) 23 34.78% 0.72 -1.29% -6.71% -0.42
豆油(y2701) 20 40.0% 0.59 -1.4% -7.28% -0.59
棕榈油(p2701) 23 47.83% 1.06 0.24% -6.01% 0.07
玉米(c2611) 20 55.0% 1.43 0.76% -2.9% 0.43
棉花(cf2701) 24 41.67% 0.94 -0.21% -3.73% -0.1
白糖(sr2701) 16 56.25% 1.37 0.52% -3.92% 0.28
菜油(oi2611) 20 45.0% 0.67 -1.25% -7.02% -0.41
沪铜(cu2610) 21 52.38% 1.8 1.56% -3.5% 0.68
沪铝(al2610) 18 50.0% 0.99 -0.03% -3.29% -0.03
沪锌(zn2610) 26 46.15% 0.83 -0.6% -5.5% -0.25
沪镍(ni2610) 23 30.43% 0.42 -3.24% -10.62% -1.0
沪锡(sn2610) 19 63.16% 2.19 3.13% -6.88% 0.83
沪金(au2610) 21 71.43% 3.39 2.77% -1.64% 1.21
沪银(ag2610) 17 41.18% 1.19 0.62% -5.75% 0.21
螺纹钢(rb2610) 24 37.5% 0.49 -2.25% -9.87% -0.84
热卷(hc2610) 22 22.73% 0.41 -2.28% -7.46% -0.99
铁矿石(i2701) 18 55.56% 1.16 0.57% -5.61% 0.15
焦炭(j2701) 21 38.1% 0.74 -1.67% -8.76% -0.32
焦煤(jm2701) 19 42.11% 1.01 0.05% -8.65% 0.03
原油(sc2610) 25 36.0% 0.59 -3.01% -13.51% -0.63
燃油(fu2611) 20 30.0% 0.61 -2.26% -13.24% -0.48
甲醇(ma2610) 20 35.0% 0.42 -2.78% -11.45% -0.76
PTA(ta2701) 25 40.0% 1.13 0.58% -5.33% 0.16
聚丙烯(pp2701) 21 52.38% 1.57 0.88% -1.83% 0.45
碳酸锂(lc2701) 15 60.0% 2.01 2.87% -3.64% 0.66
多晶硅(ps2611) 7 71.43% 4.15 7.21% -3.6% 1.45
生猪(lh2611) 21 52.38% 1.25 0.84% -4.65% 0.25
玻璃(fg2701) 14 21.43% 0.29 -3.28% -13.45% -0.78
纯碱(sa2701) 18 44.44% 0.94 -0.32% -7.16% -0.07
集运欧线(ec2610) 14 42.86% 0.75 -1.54% -8.15% -0.36

价量背离

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 20 40.0% 1.4 0.61% -2.73% 0.33
豆粕(m2701) 11 36.36% 0.89 -0.14% -2.88% -0.1
豆油(y2701) 11 18.18% 0.34 -1.12% -5.33% -0.76
棕榈油(p2701) 9 11.11% 0.09 -1.34% -5.16% -0.86
玉米(c2611) 18 44.44% 1.22 0.3% -1.83% 0.21
棉花(cf2701) 18 33.33% 0.7 -0.58% -4.29% -0.37
白糖(sr2701) 14 50.0% 2.21 1.05% -1.28% 0.8
菜油(oi2611) 11 45.45% 1.56 0.66% -2.13% 0.33
沪铜(cu2610) 9 22.22% 0.16 -1.15% -3.73% -0.78
沪铝(al2610) 13 53.85% 1.91 0.92% -1.87% 0.61
沪锌(zn2610) 8 50.0% 1.64 0.51% -2.05% 0.34
沪镍(ni2610) 15 53.33% 2.05 1.95% -3.13% 0.67
沪锡(sn2610) 22 27.27% 0.3 -3.44% -11.47% -1.13
沪金(au2610) 19 15.79% 0.48 -1.26% -6.2% -0.86
沪银(ag2610) 23 39.13% 1.07 0.29% -9.91% 0.08
螺纹钢(rb2610) 13 53.85% 2.06 0.98% -1.58% 0.54
热卷(hc2610) 13 30.77% 1.02 0.03% -2.34% 0.0
铁矿石(i2701) 20 40.0% 1.26 0.81% -5.78% 0.25
焦炭(j2701) 14 21.43% 0.63 -1.3% -4.64% -0.4
焦煤(jm2701) 14 42.86% 1.52 1.82% -6.86% 0.52
原油(sc2610) 27 25.93% 0.71 -1.72% -9.65% -0.33
燃油(fu2611) 23 39.13% 1.11 0.55% -6.14% 0.12
甲醇(ma2610) 17 41.18% 1.03 0.09% -3.73% 0.03
PTA(ta2701) 10 20.0% 0.37 -1.14% -5.71% -0.64
聚丙烯(pp2701) 12 33.33% 1.61 0.65% -1.84% 0.53
碳酸锂(lc2701) 13 23.08% 0.43 -2.71% -7.2% -0.7
多晶硅(ps2611) 9 33.33% 1.07 0.43% -5.87% 0.09
生猪(lh2611) 26 30.77% 0.84 -0.61% -6.02% -0.19
玻璃(fg2701) 20 50.0% 1.65 2.48% -6.39% 0.47
纯碱(sa2701) 18 5.56% 0.12 -4.67% -16.73% -1.15
集运欧线(ec2610) 28 39.29% 1.41 4.67% -8.98% 0.52

跳空缺口

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 6 33.33% 0.55 -0.28% -2.85% -0.28
豆粕(m2701) 7 71.43% 2.32 0.65% -1.86% 0.45
豆油(y2701) 4 50.0% 1.32 0.17% -1.35% 0.2
棕榈油(p2701) 6 66.67% 2.87 1.11% -2.02% 0.7
玉米(c2611) 5 40.0% 0.57 -0.21% -1.23% -0.29
棉花(cf2701) 4 100.0% inf 0.93% -0.31% 1.36
白糖(sr2701) 7 85.71% 5.36 0.79% -1.62% 0.65
菜油(oi2611) 2 50.0% 1.45 0.09% -0.87% 0.14
沪铜(cu2610) 16 37.5% 1.08 0.11% -2.56% 0.05
沪铝(al2610) 3 66.67% 3.16 0.28% -0.42% 0.6
沪锌(zn2610) 7 28.57% 0.82 -0.14% -1.58% -0.13
沪镍(ni2610) 3 33.33% 0.48 -0.42% -2.56% -0.31
沪锡(sn2610) 4 50.0% 0.97 -0.03% -1.74% -0.02
沪金(au2610) 15 66.67% 2.81 1.87% -1.93% 1.17
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(i2701) 5 40.0% 0.69 -0.35% -2.11% -0.3
焦炭(j2701) 5 20.0% 0.26 -1.33% -4.83% -0.59
焦煤(jm2701) 6 33.33% 0.61 -0.66% -3.45% -0.35
原油(sc2610) 18 50.0% 1.3 1.13% -4.87% 0.27
燃油(fu2611) 24 58.33% 1.58 2.41% -7.62% 0.55
甲醇(ma2610) 4 25.0% 0.33 -0.83% -3.62% -0.5
PTA(ta2701) 6 50.0% 1.01 0.01% -2.1% 0.01
聚丙烯(pp2701) 6 50.0% 1.77 0.29% -1.63% 0.28
碳酸锂(lc2701) 5 40.0% 0.6 -0.91% -4.11% -0.33
多晶硅(ps2611) 4 75.0% 3.92 3.4% -1.43% 1.57
生猪(lh2611) 18 44.44% 0.74 -0.78% -4.73% -0.26
玻璃(fg2701) 3 33.33% 0.49 -0.52% -3.91% -0.35
纯碱(sa2701) 6 16.67% 0.11 -2.13% -6.92% -1.12
集运欧线(ec2610) 23 43.48% 0.8 -1.58% -11.94% -0.27