期货研究

策略回测对比

2026-08-22 10:50:14 · 11 策略 × 31 品种

BEST STRATEGY

均线多空排列
年化 1.0%

HIGHEST WIN RATE

跳空缺口
50.0%

LOWEST DRAWDOWN

跳空缺口
-3.0%

MOST TRADES

波动率突破
1921 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 1275 42.7% 1.0% -7.3%
三均线趋势 31 1671 35.9% 1.0% -7.9%
动量突破 31 813 42.2% 0.8% -7.3%
海龟突破 31 1462 44.9% 0.3% -10.2%
双EXPMA趋势 31 1878 44.2% 0.1% -10.6%
跳空缺口 31 242 50.0% 0.1% -3.0%
价量背离 31 522 35.1% -0.0% -5.4%
MACD+KDJ双确认 31 623 44.8% -0.1% -6.6%
波动率突破 31 1921 37.1% -0.2% -11.2%
RSI极值反转 31 381 35.4% -1.1% -6.8%
布林带回归 31 862 31.2% -1.2% -9.8%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 60 43.33% 0.85 -1.12% -5.82% -0.33
豆粕(m2701) 59 38.98% 0.98 -0.16% -11.14% -0.04
豆油(y2701) 61 36.07% 0.77 -2.23% -11.57% -0.52
棕榈油(p2701) 65 35.38% 0.7 -3.53% -14.8% -0.67
玉米(c2611) 58 50.0% 1.33 1.81% -2.76% 0.57
棉花(cf2701) 61 49.18% 1.43 2.68% -4.62% 0.69
白糖(sr2701) 63 38.1% 0.61 -2.51% -10.42% -0.85
菜油(oi2611) 61 40.98% 0.72 -2.7% -13.99% -0.57
沪铜(cu2610) 62 48.39% 1.22 1.62% -5.13% 0.37
沪铝(al2610) 61 49.18% 1.09 0.62% -4.63% 0.14
沪锌(zn2610) 64 42.19% 0.92 -0.64% -7.66% -0.16
沪镍(ni2610) 62 33.87% 0.83 -1.87% -14.63% -0.33
沪锡(sn2610) 62 43.55% 0.89 -1.27% -13.52% -0.19
沪金(au2610) 72 68.06% 2.35 7.37% -3.42% 1.67
沪银(ag2610) 72 45.83% 0.92 -1.07% -15.73% -0.17
螺纹钢(rb2610) 62 35.48% 0.69 -2.82% -13.4% -0.72
热卷(hc2610) 63 38.1% 0.78 -1.97% -10.33% -0.55
铁矿石(i2701) 55 38.18% 0.73 -2.89% -12.84% -0.49
焦炭(j2701) 59 45.76% 0.93 -1.0% -12.93% -0.12
焦煤(jm2701) 61 49.18% 1.12 1.92% -14.76% 0.26
原油(sc2610) 64 46.88% 1.01 0.2% -10.52% 0.04
燃油(fu2611) 66 43.94% 1.03 0.47% -10.5% 0.08
甲醇(ma2610) 65 36.92% 0.79 -2.54% -15.26% -0.45
PTA(ta2701) 67 38.81% 0.88 -1.32% -11.44% -0.25
聚丙烯(pp2701) 60 41.67% 1.03 0.22% -8.81% 0.04
碳酸锂(lc2701) 51 64.71% 2.0 9.85% -7.44% 1.28
多晶硅(ps2611) 25 60.0% 1.64 8.39% -5.72% 1.0
生猪(lh2611) 61 49.18% 1.15 1.34% -5.94% 0.24
玻璃(fg2701) 58 37.93% 0.91 -1.39% -14.87% -0.16
纯碱(sa2701) 64 43.75% 0.89 -1.74% -14.94% -0.21
集运欧线(ec2610) 54 48.15% 0.97 -0.63% -19.06% -0.04

均线多空排列

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 46 36.96% 0.74 -1.5% -6.82% -0.52
豆粕(m2701) 42 47.62% 1.33 1.71% -5.06% 0.46
豆油(y2701) 39 30.77% 0.76 -1.27% -8.21% -0.41
棕榈油(p2701) 40 42.5% 1.38 1.74% -6.0% 0.43
玉米(c2611) 43 46.51% 1.03 0.14% -2.95% 0.02
棉花(cf2701) 45 53.33% 1.69 2.61% -2.18% 0.78
白糖(sr2701) 38 34.21% 0.75 -0.97% -4.32% -0.47
菜油(oi2611) 47 29.79% 0.67 -2.65% -11.69% -0.68
沪铜(cu2610) 44 47.73% 1.53 2.16% -3.4% 0.65
沪铝(al2610) 43 41.86% 1.17 0.73% -3.32% 0.22
沪锌(zn2610) 41 31.71% 0.83 -0.9% -7.31% -0.25
沪镍(ni2610) 40 27.5% 0.77 -1.69% -10.54% -0.42
沪锡(sn2610) 41 46.34% 1.23 1.51% -10.97% 0.31
沪金(au2610) 62 58.06% 1.77 4.53% -4.44% 1.22
沪银(ag2610) 50 50.0% 1.6 4.21% -7.85% 0.82
螺纹钢(rb2610) 37 40.54% 1.06 0.26% -4.47% 0.07
热卷(hc2610) 40 37.5% 0.87 -0.59% -4.43% -0.21
铁矿石(i2701) 38 31.58% 0.73 -2.37% -12.33% -0.49
焦炭(j2701) 37 40.54% 0.82 -1.72% -10.77% -0.26
焦煤(jm2701) 42 45.24% 1.16 1.77% -14.74% 0.3
原油(sc2610) 41 53.66% 1.67 4.5% -8.14% 0.77
燃油(fu2611) 45 44.44% 1.23 1.95% -8.24% 0.36
甲醇(ma2610) 40 35.0% 0.94 -0.38% -9.82% -0.08
PTA(ta2701) 40 37.5% 0.92 -0.54% -6.05% -0.12
聚丙烯(pp2701) 42 35.71% 1.1 0.45% -9.11% 0.13
碳酸锂(lc2701) 43 55.81% 1.97 8.37% -6.79% 1.2
多晶硅(ps2611) 18 38.89% 0.84 -2.04% -8.09% -0.26
生猪(lh2611) 41 48.78% 1.37 1.99% -4.92% 0.43
玻璃(fg2701) 37 37.84% 0.87 -1.24% -9.54% -0.18
纯碱(sa2701) 36 47.22% 1.13 0.96% -6.19% 0.19
集运欧线(ec2610) 37 54.05% 1.91 10.52% -8.95% 1.4

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 57 35.09% 0.88 -0.67% -5.51% -0.25
豆粕(m2701) 50 40.0% 1.15 0.9% -5.44% 0.23
豆油(y2701) 48 25.0% 0.71 -1.63% -9.85% -0.51
棕榈油(p2701) 60 31.67% 1.13 0.84% -9.44% 0.19
玉米(c2611) 49 48.98% 1.32 1.3% -3.0% 0.45
棉花(cf2701) 59 44.07% 1.63 2.91% -3.23% 0.82
白糖(sr2701) 45 31.11% 0.79 -0.77% -3.88% -0.36
菜油(oi2611) 55 29.09% 0.69 -2.48% -11.24% -0.63
沪铜(cu2610) 60 36.67% 1.28 1.53% -4.25% 0.43
沪铝(al2610) 60 31.67% 1.09 0.45% -3.98% 0.11
沪锌(zn2610) 52 32.69% 0.83 -1.05% -8.93% -0.29
沪镍(ni2610) 62 20.97% 0.81 -1.75% -11.17% -0.39
沪锡(sn2610) 58 37.93% 1.16 1.32% -10.95% 0.25
沪金(au2610) 81 48.15% 1.49 3.56% -7.05% 0.87
沪银(ag2610) 67 40.3% 1.45 3.68% -8.04% 0.66
螺纹钢(rb2610) 56 30.36% 0.93 -0.44% -5.99% -0.15
热卷(hc2610) 57 31.58% 0.88 -0.67% -5.28% -0.23
铁矿石(i2701) 47 25.53% 0.72 -2.45% -11.34% -0.48
焦炭(j2701) 51 33.33% 0.86 -1.78% -12.54% -0.27
焦煤(jm2701) 53 39.62% 1.23 2.52% -11.53% 0.39
原油(sc2610) 57 42.11% 1.42 3.82% -9.93% 0.63
燃油(fu2611) 52 40.38% 1.22 1.97% -7.33% 0.33
甲醇(ma2610) 49 32.65% 1.12 0.82% -7.88% 0.18
PTA(ta2701) 57 31.58% 1.0 0.03% -5.46% -0.0
聚丙烯(pp2701) 52 32.69% 1.18 0.87% -7.87% 0.24
碳酸锂(lc2701) 57 43.86% 1.56 6.68% -9.4% 0.9
多晶硅(ps2611) 20 35.0% 1.01 0.1% -8.01% 0.04
生猪(lh2611) 54 38.89% 1.33 1.97% -6.0% 0.42
玻璃(fg2701) 48 35.42% 1.07 0.73% -9.04% 0.13
纯碱(sa2701) 56 33.93% 0.9 -1.09% -11.43% -0.18
集运欧线(ec2610) 42 47.62% 1.74 10.19% -9.64% 1.19

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 49 42.86% 0.75 -1.48% -7.07% -0.49
豆粕(m2701) 50 44.0% 1.2 1.64% -10.24% 0.36
豆油(y2701) 46 39.13% 0.9 -0.71% -9.3% -0.19
棕榈油(p2701) 46 47.83% 0.91 -0.78% -7.89% -0.16
玉米(c2611) 51 43.14% 1.01 0.02% -4.73% -0.03
棉花(cf2701) 48 58.33% 1.66 2.72% -3.83% 0.8
白糖(sr2701) 50 38.0% 0.51 -2.98% -10.5% -1.22
菜油(oi2611) 41 46.34% 1.07 0.47% -8.05% 0.1
沪铜(cu2610) 54 46.3% 1.03 0.2% -4.74% 0.03
沪铝(al2610) 50 52.0% 1.17 0.97% -6.05% 0.27
沪锌(zn2610) 48 35.42% 0.67 -2.7% -11.32% -0.7
沪镍(ni2610) 44 36.36% 0.67 -3.45% -14.89% -0.71
沪锡(sn2610) 43 44.19% 0.75 -2.53% -11.47% -0.48
沪金(au2610) 58 58.62% 1.7 4.31% -4.91% 1.15
沪银(ag2610) 52 46.15% 1.25 2.66% -9.99% 0.43
螺纹钢(rb2610) 47 48.94% 1.04 0.27% -5.93% 0.06
热卷(hc2610) 45 48.89% 1.01 0.07% -5.07% 0.0
铁矿石(i2701) 46 34.78% 0.62 -4.7% -19.96% -0.8
焦炭(j2701) 44 45.45% 0.97 -0.36% -14.51% -0.03
焦煤(jm2701) 51 45.1% 1.09 1.36% -21.14% 0.19
原油(sc2610) 49 48.98% 1.21 2.42% -9.49% 0.37
燃油(fu2611) 50 42.0% 0.97 -0.46% -11.26% -0.04
甲醇(ma2610) 52 34.62% 0.73 -3.45% -18.99% -0.65
PTA(ta2701) 43 44.19% 0.91 -0.77% -8.16% -0.15
聚丙烯(pp2701) 51 37.25% 0.8 -1.58% -11.28% -0.38
碳酸锂(lc2701) 44 50.0% 1.33 4.74% -11.03% 0.61
多晶硅(ps2611) 20 45.0% 0.95 -0.82% -12.99% -0.09
生猪(lh2611) 53 41.51% 0.87 -1.21% -9.85% -0.25
玻璃(fg2701) 43 46.51% 1.18 2.21% -10.19% 0.33
纯碱(sa2701) 49 48.98% 1.27 3.51% -11.28% 0.49
集运欧线(ec2610) 45 51.11% 1.57 9.17% -8.87% 0.97

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 28 42.86% 1.07 0.22% -5.02% 0.07
豆粕(m2701) 26 46.15% 1.57 2.15% -5.59% 0.61
豆油(y2701) 22 36.36% 0.62 -1.6% -9.16% -0.56
棕榈油(p2701) 24 41.67% 1.1 0.4% -6.41% 0.11
玉米(c2611) 30 43.33% 0.97 -0.08% -3.79% -0.06
棉花(cf2701) 27 51.85% 1.46 1.18% -2.47% 0.44
白糖(sr2701) 23 34.78% 0.48 -1.55% -5.75% -0.82
菜油(oi2611) 26 30.77% 0.69 -1.59% -8.53% -0.46
沪铜(cu2610) 30 40.0% 0.83 -0.84% -6.63% -0.26
沪铝(al2610) 27 44.44% 1.05 0.17% -3.84% 0.05
沪锌(zn2610) 26 42.31% 1.02 0.07% -4.09% 0.02
沪镍(ni2610) 22 36.36% 1.19 0.85% -5.73% 0.19
沪锡(sn2610) 26 34.62% 0.8 -1.36% -7.76% -0.29
沪金(au2610) 34 55.88% 1.84 3.22% -5.55% 0.88
沪银(ag2610) 30 46.67% 1.77 4.36% -10.27% 0.81
螺纹钢(rb2610) 29 37.93% 0.73 -1.27% -6.7% -0.42
热卷(hc2610) 26 34.62% 0.79 -0.86% -5.7% -0.29
铁矿石(i2701) 24 29.17% 0.6 -2.88% -9.88% -0.68
焦炭(j2701) 24 45.83% 1.01 0.09% -9.43% 0.03
焦煤(jm2701) 31 45.16% 1.31 3.04% -11.36% 0.44
原油(sc2610) 28 42.86% 1.21 1.52% -11.89% 0.28
燃油(fu2611) 27 48.15% 1.53 3.57% -5.08% 0.56
甲醇(ma2610) 26 50.0% 1.28 1.51% -7.25% 0.32
PTA(ta2701) 27 37.04% 0.87 -0.79% -9.3% -0.17
聚丙烯(pp2701) 27 40.74% 1.58 1.71% -5.89% 0.42
碳酸锂(lc2701) 28 42.86% 1.4 4.35% -9.19% 0.61
多晶硅(ps2611) 11 54.55% 1.48 2.93% -6.74% 0.38
生猪(lh2611) 25 44.0% 1.25 1.06% -4.99% 0.25
玻璃(fg2701) 21 38.1% 1.01 0.03% -8.56% 0.03
纯碱(sa2701) 29 41.38% 1.05 0.46% -10.5% 0.1
集运欧线(ec2610) 29 44.83% 1.45 5.7% -14.33% 0.67

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 62 40.32% 1.05 0.3% -5.97% 0.06
豆粕(m2701) 61 42.62% 1.45 3.43% -5.19% 0.71
豆油(y2701) 60 33.33% 0.84 -1.34% -10.11% -0.37
棕榈油(p2701) 61 36.07% 0.9 -1.01% -8.82% -0.21
玉米(c2611) 69 37.68% 1.08 0.46% -4.08% 0.12
棉花(cf2701) 63 46.03% 1.28 1.61% -3.47% 0.45
白糖(sr2701) 62 37.1% 0.69 -1.84% -8.34% -0.71
菜油(oi2611) 57 29.82% 0.72 -2.74% -13.75% -0.62
沪铜(cu2610) 64 42.19% 1.09 0.63% -6.54% 0.14
沪铝(al2610) 65 38.46% 0.95 -0.35% -7.84% -0.14
沪锌(zn2610) 62 33.87% 0.75 -2.02% -9.62% -0.53
沪镍(ni2610) 63 33.33% 0.8 -2.38% -11.91% -0.46
沪锡(sn2610) 57 36.84% 0.86 -1.66% -11.86% -0.28
沪金(au2610) 77 48.05% 1.49 3.86% -4.45% 0.86
沪银(ag2610) 71 40.85% 1.31 3.78% -11.0% 0.52
螺纹钢(rb2610) 55 36.36% 0.77 -1.46% -6.62% -0.42
热卷(hc2610) 57 42.11% 0.97 -0.15% -4.86% -0.07
铁矿石(i2701) 67 28.36% 0.63 -6.03% -21.3% -0.93
焦炭(j2701) 66 28.79% 0.68 -5.7% -23.22% -0.76
焦煤(jm2701) 62 38.71% 1.03 0.55% -18.93% 0.09
原油(sc2610) 70 32.86% 0.84 -2.81% -15.39% -0.36
燃油(fu2611) 70 30.0% 0.64 -6.36% -21.64% -0.84
甲醇(ma2610) 67 31.34% 0.77 -3.34% -17.18% -0.57
PTA(ta2701) 62 32.26% 0.67 -3.77% -13.06% -0.75
聚丙烯(pp2701) 68 29.41% 0.84 -1.27% -11.07% -0.29
碳酸锂(lc2701) 55 41.82% 1.11 2.17% -11.72% 0.27
多晶硅(ps2611) 25 40.0% 1.31 5.79% -13.03% 0.68
生猪(lh2611) 65 35.38% 0.87 -1.35% -9.82% -0.28
玻璃(fg2701) 55 41.82% 1.11 1.59% -11.88% 0.22
纯碱(sa2701) 66 43.94% 1.27 4.36% -10.9% 0.52
集运欧线(ec2610) 57 42.11% 1.4 10.11% -12.42% 0.81

布林带回归

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 29 31.03% 0.8 -0.69% -5.47% -0.32
豆粕(m2701) 30 40.0% 0.94 -0.24% -7.28% -0.1
豆油(y2701) 25 44.0% 1.32 0.84% -3.53% 0.33
棕榈油(p2701) 27 25.93% 0.67 -1.62% -11.45% -0.47
玉米(c2611) 37 37.84% 1.1 0.32% -4.01% 0.11
棉花(cf2701) 35 28.57% 0.59 -1.64% -7.0% -0.69
白糖(sr2701) 21 33.33% 0.67 -0.64% -3.86% -0.48
菜油(oi2611) 21 52.38% 1.41 1.12% -3.04% 0.38
沪铜(cu2610) 33 27.27% 0.67 -1.59% -9.02% -0.52
沪铝(al2610) 25 32.0% 0.89 -0.31% -5.06% -0.14
沪锌(zn2610) 21 33.33% 0.8 -0.62% -6.55% -0.22
沪镍(ni2610) 22 40.91% 1.26 0.98% -5.38% 0.24
沪锡(sn2610) 25 32.0% 0.64 -1.98% -12.71% -0.42
沪金(au2610) 52 21.15% 0.91 -0.61% -7.32% -0.17
沪银(ag2610) 46 21.74% 0.48 -6.53% -28.88% -1.07
螺纹钢(rb2610) 24 20.83% 0.47 -2.05% -8.57% -0.8
热卷(hc2610) 27 22.22% 0.51 -1.92% -8.73% -0.76
铁矿石(i2701) 16 68.75% 4.09 4.47% -3.61% 1.31
焦炭(j2701) 18 50.0% 1.96 3.34% -3.96% 0.77
焦煤(jm2701) 23 43.48% 1.73 4.2% -6.27% 0.64
原油(sc2610) 32 25.0% 0.66 -2.94% -15.66% -0.44
燃油(fu2611) 30 16.67% 0.34 -6.29% -19.54% -1.22
甲醇(ma2610) 23 17.39% 0.26 -4.61% -14.93% -1.11
PTA(ta2701) 26 34.62% 1.19 1.03% -8.68% 0.23
聚丙烯(pp2701) 32 34.38% 0.94 -0.28% -10.46% -0.07
碳酸锂(lc2701) 35 20.0% 0.42 -8.24% -25.0% -1.03
多晶硅(ps2611) 12 25.0% 0.44 -6.67% -10.36% -1.04
生猪(lh2611) 25 36.0% 0.67 -1.28% -7.11% -0.36
玻璃(fg2701) 25 40.0% 1.16 1.04% -10.7% 0.21
纯碱(sa2701) 27 29.63% 0.96 -0.29% -10.4% -0.03
集运欧线(ec2610) 38 28.95% 0.74 -4.9% -20.79% -0.41

RSI极值反转

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 13 53.85% 1.77 0.84% -2.08% 0.48
豆粕(m2701) 22 31.82% 0.53 -2.1% -10.09% -0.94
豆油(y2701) 11 54.55% 1.59 0.68% -1.74% 0.41
棕榈油(p2701) 12 16.67% 0.24 -2.34% -8.66% -1.2
玉米(c2611) 14 71.43% 3.38 1.69% -1.03% 1.11
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% 0.1
菜油(oi2611) 8 37.5% 0.91 -0.13% -3.78% -0.06
沪铜(cu2610) 16 31.25% 0.6 -1.11% -4.41% -0.51
沪铝(al2610) 9 44.44% 0.71 -0.37% -2.58% -0.27
沪锌(zn2610) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2610) 12 50.0% 0.88 -0.3% -5.37% -0.11
沪锡(sn2610) 10 20.0% 0.36 -2.13% -6.93% -0.87
沪金(au2610) 22 31.82% 0.79 -0.74% -4.66% -0.27
沪银(ag2610) 20 20.0% 0.38 -3.88% -14.81% -0.9
螺纹钢(rb2610) 11 36.36% 0.66 -0.62% -6.52% -0.31
热卷(hc2610) 8 37.5% 0.85 -0.2% -4.55% -0.11
铁矿石(i2701) 5 40.0% 0.64 -0.49% -4.43% -0.2
焦炭(j2701) 5 60.0% 1.49 0.57% -3.36% 0.23
焦煤(jm2701) 8 12.5% 0.23 -2.65% -9.91% -0.98
原油(sc2610) 12 50.0% 1.59 1.16% -4.28% 0.35
燃油(fu2611) 8 25.0% 0.49 -1.33% -7.95% -0.48
甲醇(ma2610) 11 27.27% 0.3 -2.24% -7.3% -0.82
PTA(ta2701) 8 37.5% 1.11 0.2% -4.34% 0.07
聚丙烯(pp2701) 13 15.38% 0.27 -2.83% -11.54% -1.1
碳酸锂(lc2701) 23 30.43% 0.65 -3.29% -15.29% -0.57
多晶硅(ps2611) 9 33.33% 0.74 -2.01% -7.97% -0.36
生猪(lh2611) 12 41.67% 1.13 0.24% -3.25% 0.09
玻璃(fg2701) 8 25.0% 0.55 -1.32% -5.74% -0.46
纯碱(sa2701) 17 41.18% 0.65 -1.9% -16.12% -0.42
集运欧线(ec2610) 23 21.74% 0.34 -8.08% -23.32% -1.52

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) 24 37.5% 0.8 -0.91% -6.72% -0.3
豆油(y2701) 20 40.0% 0.59 -1.37% -7.28% -0.59
棕榈油(p2701) 23 47.83% 1.08 0.32% -6.01% 0.09
玉米(c2611) 22 50.0% 1.41 0.77% -2.9% 0.43
棉花(cf2701) 24 41.67% 0.94 -0.2% -3.73% -0.1
白糖(sr2701) 16 56.25% 1.37 0.5% -3.92% 0.28
菜油(oi2611) 21 47.62% 0.77 -0.84% -7.02% -0.27
沪铜(cu2610) 21 52.38% 1.8 1.52% -3.5% 0.67
沪铝(al2610) 18 50.0% 0.92 -0.2% -3.68% -0.11
沪锌(zn2610) 26 50.0% 0.94 -0.22% -5.5% -0.1
沪镍(ni2610) 23 34.78% 0.45 -2.88% -10.62% -0.86
沪锡(sn2610) 20 60.0% 2.19 3.06% -6.89% 0.81
沪金(au2610) 21 66.67% 2.46 2.27% -1.64% 0.96
沪银(ag2610) 18 38.89% 1.0 -0.01% -5.75% -0.0
螺纹钢(rb2610) 24 37.5% 0.54 -1.99% -9.87% -0.75
热卷(hc2610) 22 22.73% 0.4 -2.33% -7.74% -1.02
铁矿石(i2701) 18 55.56% 1.27 0.96% -5.61% 0.25
焦炭(j2701) 21 38.1% 0.74 -1.63% -8.76% -0.31
焦煤(jm2701) 19 42.11% 1.02 0.14% -8.65% 0.04
原油(sc2610) 26 38.46% 0.69 -2.25% -13.51% -0.46
燃油(fu2611) 20 30.0% 0.61 -2.21% -13.24% -0.47
甲醇(ma2610) 20 35.0% 0.42 -2.71% -11.45% -0.75
PTA(ta2701) 26 38.46% 0.99 -0.04% -5.33% -0.01
聚丙烯(pp2701) 22 50.0% 1.51 0.8% -2.27% 0.34
碳酸锂(lc2701) 16 56.25% 1.57 2.04% -3.64% 0.47
多晶硅(ps2611) 7 71.43% 4.5 7.52% -3.6% 1.53
生猪(lh2611) 21 52.38% 1.25 0.82% -4.65% 0.25
玻璃(fg2701) 14 21.43% 0.29 -3.21% -13.45% -0.77
纯碱(sa2701) 18 44.44% 0.94 -0.32% -7.16% -0.07
集运欧线(ec2610) 15 40.0% 0.71 -1.9% -8.32% -0.45

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) 12 25.0% 0.5 -0.82% -5.33% -0.55
棕榈油(p2701) 9 11.11% 0.08 -1.48% -5.71% -0.88
玉米(c2611) 19 36.84% 1.04 0.06% -1.83% 0.01
棉花(cf2701) 19 36.84% 0.87 -0.24% -4.34% -0.17
白糖(sr2701) 16 56.25% 2.52 1.29% -1.28% 0.97
菜油(oi2611) 12 41.67% 1.4 0.52% -2.13% 0.26
沪铜(cu2610) 10 20.0% 0.15 -1.25% -4.14% -0.86
沪铝(al2610) 14 50.0% 1.74 0.85% -1.87% 0.55
沪锌(zn2610) 8 50.0% 1.64 0.5% -2.05% 0.34
沪镍(ni2610) 15 60.0% 2.26 2.22% -3.13% 0.74
沪锡(sn2610) 22 22.73% 0.26 -3.81% -12.51% -1.24
沪金(au2610) 19 15.79% 0.48 -1.23% -6.2% -0.84
沪银(ag2610) 23 39.13% 1.3 1.2% -9.91% 0.29
螺纹钢(rb2610) 14 50.0% 1.87 0.86% -1.58% 0.48
热卷(hc2610) 14 28.57% 0.95 -0.07% -2.66% -0.07
铁矿石(i2701) 20 40.0% 1.26 0.79% -5.78% 0.24
焦炭(j2701) 17 23.53% 0.67 -1.34% -4.99% -0.4
焦煤(jm2701) 17 41.18% 1.43 1.8% -6.86% 0.49
原油(sc2610) 27 25.93% 0.71 -1.68% -9.65% -0.33
燃油(fu2611) 23 39.13% 1.11 0.54% -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 -1.11% -5.71% -0.63
聚丙烯(pp2701) 14 42.86% 2.48 1.52% -1.84% 0.87
碳酸锂(lc2701) 14 28.57% 0.72 -1.29% -7.21% -0.31
多晶硅(ps2611) 10 30.0% 0.92 -0.57% -5.87% -0.09
生猪(lh2611) 26 30.77% 0.84 -0.6% -6.02% -0.19
玻璃(fg2701) 22 50.0% 1.6 2.35% -6.39% 0.45
纯碱(sa2701) 19 5.26% 0.12 -4.71% -17.23% -1.16
集运欧线(ec2610) 29 41.38% 1.46 5.13% -8.98% 0.57

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) 5 100.0% inf 1.04% -0.31% 1.48
白糖(sr2701) 7 85.71% 5.36 0.77% -1.62% 0.64
菜油(oi2611) 2 50.0% 1.45 0.08% -0.87% 0.13
沪铜(cu2610) 16 37.5% 0.99 -0.02% -2.81% -0.04
沪铝(al2610) 3 66.67% 3.16 0.27% -0.42% 0.59
沪锌(zn2610) 7 28.57% 0.82 -0.14% -1.58% -0.13
沪镍(ni2610) 3 33.33% 0.48 -0.41% -2.56% -0.31
沪锡(sn2610) 4 50.0% 0.97 -0.03% -1.74% -0.02
沪金(au2610) 15 66.67% 2.28 1.6% -1.93% 0.96
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 0.25% -0.01% 0.76
铁矿石(i2701) 5 40.0% 0.69 -0.34% -2.11% -0.3
焦炭(j2701) 6 33.33% 0.5 -0.88% -4.83% -0.39
焦煤(jm2701) 7 42.86% 0.83 -0.28% -3.54% -0.14
原油(sc2610) 18 50.0% 1.3 1.11% -4.87% 0.27
燃油(fu2611) 24 58.33% 1.58 2.35% -7.62% 0.54
甲醇(ma2610) 4 25.0% 0.33 -0.81% -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% 0.27
碳酸锂(lc2701) 5 40.0% 0.6 -0.89% -4.11% -0.32
多晶硅(ps2611) 4 75.0% 3.92 3.2% -1.43% 1.52
生猪(lh2611) 18 44.44% 0.74 -0.76% -4.73% -0.26
玻璃(fg2701) 3 33.33% 0.49 -0.51% -3.91% -0.35
纯碱(sa2701) 6 16.67% 0.11 -2.08% -6.92% -1.11
集运欧线(ec2610) 23 47.83% 0.85 -1.13% -11.94% -0.19