期货研究

策略回测对比

2026-09-08 16:27:22 · 11 策略 × 31 品种

BEST STRATEGY

均线多空排列
年化 1.1%

HIGHEST WIN RATE

跳空缺口
49.0%

LOWEST DRAWDOWN

跳空缺口
-3.0%

MOST TRADES

波动率突破
1951 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 1297 42.8% 1.1% -7.5%
三均线趋势 31 1697 36.2% 1.1% -8.0%
动量突破 31 828 42.4% 0.9% -7.4%
海龟突破 31 1485 45.1% 0.3% -10.2%
双EXPMA趋势 31 1913 44.2% 0.1% -10.6%
跳空缺口 31 247 49.0% 0.1% -3.0%
价量背离 31 526 34.6% -0.0% -5.4%
MACD+KDJ双确认 31 631 45.2% -0.1% -6.7%
波动率突破 31 1951 37.1% -0.2% -11.3%
RSI极值反转 31 393 35.6% -1.1% -6.9%
布林带回归 31 880 30.6% -1.3% -10.0%

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 -1.11% -5.82% -0.32
豆粕(m2701) 60 41.67% 1.04 0.38% -11.14% 0.07
豆油(y2701) 63 36.51% 0.81 -1.76% -11.57% -0.42
棕榈油(p2701) 65 36.92% 0.72 -3.27% -14.8% -0.63
玉米(c2611) 59 49.15% 1.29 1.62% -2.76% 0.5
棉花(cf2701) 61 47.54% 1.39 2.47% -4.62% 0.64
白糖(sr2701) 64 37.5% 0.63 -2.35% -10.42% -0.8
菜油(oi2701) 61 39.34% 0.71 -2.76% -13.99% -0.58
沪铜(cu2610) 62 50.0% 1.26 1.85% -5.13% 0.43
沪铝(al2610) 62 51.61% 1.13 0.89% -4.63% 0.22
沪锌(zn2610) 66 43.94% 1.02 0.13% -7.66% 0.02
沪镍(ni2610) 63 34.92% 0.84 -1.72% -14.63% -0.3
沪锡(sn2610) 63 41.27% 0.86 -1.65% -13.52% -0.25
沪金(au2610) 73 67.12% 2.1 6.74% -3.42% 1.52
沪银(ag2610) 72 44.44% 0.89 -1.4% -15.73% -0.22
螺纹钢(rb2701) 64 35.94% 0.7 -2.79% -13.4% -0.71
热卷(hc2701) 64 39.06% 0.79 -1.83% -10.33% -0.52
铁矿石(i2701) 57 35.09% 0.7 -3.31% -12.84% -0.57
焦炭(j2701) 60 46.67% 0.96 -0.58% -12.93% -0.06
焦煤(jm2701) 63 49.21% 1.14 2.25% -14.76% 0.31
原油(sc2610) 66 46.97% 1.11 1.51% -10.52% 0.23
燃油(fu2611) 67 44.78% 1.09 1.25% -10.5% 0.19
甲醇(ma2610) 67 37.31% 0.86 -1.68% -15.31% -0.29
PTA(ta2701) 68 39.71% 0.87 -1.4% -11.44% -0.26
聚丙烯(pp2701) 62 41.94% 1.0 0.01% -8.81% -0.01
碳酸锂(lc2701) 54 61.11% 1.72 8.19% -7.44% 1.07
多晶硅(ps2611) 25 60.0% 1.58 7.28% -5.72% 0.88
生猪(lh2611) 62 46.77% 1.11 0.94% -6.76% 0.17
玻璃(fg2701) 60 38.33% 0.9 -1.64% -14.87% -0.19
纯碱(sa2701) 65 44.62% 0.9 -1.63% -14.94% -0.2
集运欧线(ec2610) 55 47.27% 0.95 -0.83% -19.06% -0.07

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 -1.48% -6.82% -0.51
豆粕(m2701) 43 51.16% 1.44 2.24% -5.06% 0.6
豆油(y2701) 41 31.71% 0.85 -0.8% -8.21% -0.26
棕榈油(p2701) 40 45.0% 1.43 1.93% -6.0% 0.48
玉米(c2611) 43 46.51% 1.03 0.14% -2.95% 0.02
棉花(cf2701) 45 53.33% 1.64 2.4% -2.18% 0.72
白糖(sr2701) 39 35.9% 0.77 -0.89% -4.32% -0.43
菜油(oi2701) 47 29.79% 0.64 -2.9% -11.69% -0.75
沪铜(cu2610) 45 48.89% 1.6 2.39% -3.4% 0.72
沪铝(al2610) 44 43.18% 1.19 0.78% -3.32% 0.24
沪锌(zn2610) 42 35.71% 0.93 -0.33% -7.31% -0.1
沪镍(ni2610) 43 27.91% 0.76 -1.83% -11.15% -0.46
沪锡(sn2610) 41 43.9% 1.18 1.18% -10.97% 0.25
沪金(au2610) 62 56.45% 1.69 4.14% -4.44% 1.08
沪银(ag2610) 51 49.02% 1.53 3.84% -7.85% 0.74
螺纹钢(rb2701) 38 39.47% 1.03 0.13% -4.68% 0.03
热卷(hc2701) 41 36.59% 0.87 -0.58% -4.44% -0.21
铁矿石(i2701) 38 28.95% 0.71 -2.58% -12.64% -0.54
焦炭(j2701) 38 42.11% 0.84 -1.52% -10.85% -0.23
焦煤(jm2701) 43 44.19% 1.18 1.89% -14.74% 0.32
原油(sc2610) 42 54.76% 1.85 5.58% -8.14% 0.92
燃油(fu2611) 45 44.44% 1.27 2.27% -8.24% 0.4
甲醇(ma2610) 42 38.1% 1.07 0.47% -10.2% 0.1
PTA(ta2701) 42 35.71% 0.87 -0.98% -6.77% -0.22
聚丙烯(pp2701) 43 34.88% 1.09 0.44% -9.11% 0.12
碳酸锂(lc2701) 43 55.81% 1.97 8.22% -6.79% 1.19
多晶硅(ps2611) 18 38.89% 0.79 -2.66% -9.19% -0.35
生猪(lh2611) 41 48.78% 1.37 1.96% -4.92% 0.43
玻璃(fg2701) 37 37.84% 0.87 -1.22% -9.54% -0.18
纯碱(sa2701) 37 45.95% 1.13 0.95% -6.19% 0.19
集运欧线(ec2610) 37 54.05% 1.93 10.4% -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 -0.66% -5.51% -0.24
豆粕(m2701) 51 43.14% 1.24 1.44% -5.44% 0.38
豆油(y2701) 50 26.0% 0.79 -1.16% -9.85% -0.37
棕榈油(p2701) 60 33.33% 1.17 1.04% -9.44% 0.24
玉米(c2611) 49 48.98% 1.3 1.21% -3.0% 0.42
棉花(cf2701) 59 44.07% 1.59 2.69% -3.23% 0.76
白糖(sr2701) 46 32.61% 0.81 -0.69% -3.88% -0.32
菜油(oi2701) 55 29.09% 0.67 -2.73% -11.24% -0.69
沪铜(cu2610) 61 37.7% 1.33 1.76% -4.25% 0.5
沪铝(al2610) 61 32.79% 1.12 0.57% -3.98% 0.15
沪锌(zn2610) 54 35.19% 0.95 -0.27% -8.93% -0.08
沪镍(ni2610) 67 20.9% 0.79 -1.94% -11.96% -0.43
沪锡(sn2610) 58 36.21% 1.12 1.0% -10.95% 0.19
沪金(au2610) 81 46.91% 1.43 3.18% -7.05% 0.76
沪银(ag2610) 68 39.71% 1.39 3.32% -8.04% 0.59
螺纹钢(rb2701) 57 29.82% 0.91 -0.54% -5.99% -0.18
热卷(hc2701) 58 31.03% 0.88 -0.67% -5.28% -0.23
铁矿石(i2701) 47 25.53% 0.7 -2.65% -11.34% -0.53
焦炭(j2701) 52 34.62% 0.87 -1.58% -12.55% -0.24
焦煤(jm2701) 54 38.89% 1.24 2.63% -11.53% 0.41
原油(sc2610) 59 42.37% 1.57 5.03% -9.93% 0.79
燃油(fu2611) 52 40.38% 1.25 2.28% -7.33% 0.37
甲醇(ma2610) 51 35.29% 1.26 1.66% -7.88% 0.35
PTA(ta2701) 59 32.2% 0.98 -0.13% -6.37% -0.04
聚丙烯(pp2701) 53 33.96% 1.18 0.88% -7.87% 0.24
碳酸锂(lc2701) 57 43.86% 1.56 6.56% -9.4% 0.89
多晶硅(ps2611) 20 35.0% 0.94 -0.61% -9.11% -0.05
生猪(lh2611) 54 38.89% 1.33 1.94% -6.0% 0.42
玻璃(fg2701) 48 35.42% 1.07 0.72% -9.04% 0.13
纯碱(sa2701) 57 33.33% 0.9 -1.07% -11.43% -0.18
集运欧线(ec2610) 42 47.62% 1.75 10.07% -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 -1.46% -7.07% -0.48
豆粕(m2701) 51 47.06% 1.28 2.17% -10.24% 0.48
豆油(y2701) 47 40.43% 0.96 -0.31% -9.3% -0.09
棕榈油(p2701) 47 48.94% 0.94 -0.49% -7.89% -0.1
玉米(c2611) 52 44.23% 1.01 0.05% -4.73% -0.03
棉花(cf2701) 48 56.25% 1.61 2.5% -3.83% 0.74
白糖(sr2701) 50 38.0% 0.53 -2.82% -10.5% -1.16
菜油(oi2701) 41 43.9% 1.03 0.18% -8.05% 0.04
沪铜(cu2610) 55 45.45% 1.03 0.2% -4.74% 0.03
沪铝(al2610) 51 50.98% 1.17 0.96% -6.05% 0.27
沪锌(zn2610) 50 38.0% 0.75 -1.98% -11.32% -0.51
沪镍(ni2610) 44 36.36% 0.68 -3.27% -14.89% -0.67
沪锡(sn2610) 44 40.91% 0.72 -2.82% -11.47% -0.54
沪金(au2610) 58 58.62% 1.6 3.9% -4.91% 1.03
沪银(ag2610) 53 45.28% 1.19 2.07% -9.99% 0.34
螺纹钢(rb2701) 49 48.98% 1.03 0.21% -5.93% 0.04
热卷(hc2701) 46 50.0% 1.04 0.22% -5.07% 0.05
铁矿石(i2701) 47 34.04% 0.62 -4.66% -20.4% -0.8
焦炭(j2701) 45 44.44% 0.96 -0.48% -14.51% -0.05
焦煤(jm2701) 52 46.15% 1.12 1.82% -21.14% 0.24
原油(sc2610) 51 49.02% 1.29 3.29% -9.49% 0.49
燃油(fu2611) 50 42.0% 0.97 -0.45% -11.26% -0.04
甲醇(ma2610) 54 35.19% 0.82 -2.28% -19.05% -0.41
PTA(ta2701) 45 44.44% 0.88 -1.01% -8.16% -0.19
聚丙烯(pp2701) 52 36.54% 0.75 -2.09% -11.28% -0.5
碳酸锂(lc2701) 44 50.0% 1.26 3.91% -11.03% 0.51
多晶硅(ps2611) 20 45.0% 0.91 -1.54% -12.99% -0.19
生猪(lh2611) 53 41.51% 0.84 -1.54% -9.85% -0.31
玻璃(fg2701) 43 48.84% 1.25 2.87% -10.19% 0.42
纯碱(sa2701) 49 51.02% 1.3 3.84% -11.28% 0.53
集运欧线(ec2610) 45 51.11% 1.6 9.22% -8.87% 0.98

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 28 42.86% 1.02 0.07% -5.02% 0.01
豆粕(m2701) 27 51.85% 1.74 2.72% -5.59% 0.77
豆油(y2701) 23 39.13% 0.71 -1.19% -9.16% -0.42
棕榈油(p2701) 25 44.0% 1.17 0.68% -6.41% 0.18
玉米(c2611) 30 43.33% 0.97 -0.08% -3.79% -0.06
棉花(cf2701) 27 48.15% 1.38 0.99% -2.47% 0.37
白糖(sr2701) 24 37.5% 0.52 -1.41% -5.75% -0.75
菜油(oi2701) 26 26.92% 0.65 -1.84% -9.19% -0.54
沪铜(cu2610) 30 40.0% 0.88 -0.57% -6.63% -0.18
沪铝(al2610) 28 46.43% 1.07 0.23% -3.84% 0.07
沪锌(zn2610) 28 42.86% 1.25 0.89% -4.09% 0.26
沪镍(ni2610) 22 36.36% 1.19 0.84% -5.73% 0.19
沪锡(sn2610) 26 34.62% 0.8 -1.34% -7.76% -0.29
沪金(au2610) 35 54.29% 1.69 2.83% -5.55% 0.78
沪银(ag2610) 30 46.67% 1.77 4.29% -10.27% 0.8
螺纹钢(rb2701) 30 36.67% 0.69 -1.5% -6.7% -0.49
热卷(hc2701) 27 33.33% 0.76 -1.0% -5.7% -0.34
铁矿石(i2701) 24 25.0% 0.58 -3.08% -10.19% -0.73
焦炭(j2701) 25 48.0% 1.04 0.25% -9.43% 0.06
焦煤(jm2701) 32 43.75% 1.28 2.85% -11.36% 0.41
原油(sc2610) 29 44.83% 1.35 2.5% -11.89% 0.43
燃油(fu2611) 28 50.0% 1.58 3.82% -5.08% 0.59
甲醇(ma2610) 27 51.85% 1.45 2.33% -7.25% 0.48
PTA(ta2701) 27 37.04% 0.87 -0.77% -9.3% -0.17
聚丙烯(pp2701) 27 40.74% 1.58 1.68% -5.89% 0.42
碳酸锂(lc2701) 28 42.86% 1.4 4.27% -9.19% 0.61
多晶硅(ps2611) 11 54.55% 1.25 1.74% -7.52% 0.25
生猪(lh2611) 25 44.0% 1.25 1.04% -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 0.45% -10.5% 0.09
集运欧线(ec2610) 29 44.83% 1.48 5.81% -14.33% 0.68

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 0.29% -5.97% 0.06
豆粕(m2701) 62 45.16% 1.53 3.9% -5.19% 0.81
豆油(y2701) 61 34.43% 0.89 -0.87% -10.11% -0.25
棕榈油(p2701) 62 37.1% 0.9 -1.07% -8.82% -0.23
玉米(c2611) 70 38.57% 1.08 0.48% -4.08% 0.12
棉花(cf2701) 63 44.44% 1.25 1.41% -3.47% 0.39
白糖(sr2701) 62 37.1% 0.71 -1.7% -8.34% -0.66
菜油(oi2701) 58 29.31% 0.7 -3.02% -13.99% -0.69
沪铜(cu2610) 65 41.54% 1.09 0.62% -6.54% 0.14
沪铝(al2610) 66 39.39% 0.95 -0.35% -7.84% -0.14
沪锌(zn2610) 64 34.38% 0.82 -1.44% -9.62% -0.38
沪镍(ni2610) 63 33.33% 0.81 -2.25% -11.91% -0.44
沪锡(sn2610) 58 34.48% 0.83 -1.97% -12.33% -0.34
沪金(au2610) 78 47.44% 1.39 3.26% -4.45% 0.71
沪银(ag2610) 72 40.28% 1.26 3.32% -11.0% 0.45
螺纹钢(rb2701) 57 38.6% 0.83 -1.12% -6.62% -0.32
热卷(hc2701) 58 43.1% 1.02 0.14% -4.86% 0.02
铁矿石(i2701) 69 27.54% 0.61 -6.26% -22.15% -0.97
焦炭(j2701) 67 29.85% 0.7 -5.34% -23.22% -0.71
焦煤(jm2701) 63 38.1% 1.02 0.28% -18.93% 0.06
原油(sc2610) 71 33.8% 0.91 -1.48% -15.47% -0.18
燃油(fu2611) 70 30.0% 0.66 -5.95% -22.3% -0.77
甲醇(ma2610) 70 31.43% 0.81 -2.8% -17.18% -0.46
PTA(ta2701) 64 32.81% 0.67 -3.83% -14.65% -0.75
聚丙烯(pp2701) 70 30.0% 0.8 -1.63% -11.07% -0.37
碳酸锂(lc2701) 56 39.29% 1.05 1.14% -11.72% 0.15
多晶硅(ps2611) 26 38.46% 1.3 5.46% -13.03% 0.65
生猪(lh2611) 65 33.85% 0.83 -1.67% -9.82% -0.34
玻璃(fg2701) 55 43.64% 1.16 2.25% -11.88% 0.3
纯碱(sa2701) 67 43.28% 1.3 4.76% -10.9% 0.57
集运欧线(ec2610) 57 42.11% 1.39 9.7% -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(a2611) 29 31.03% 0.8 -0.68% -5.47% -0.32
豆粕(m2701) 34 35.29% 0.81 -0.95% -7.28% -0.35
豆油(y2701) 27 37.04% 1.12 0.36% -3.53% 0.13
棕榈油(p2701) 28 25.0% 0.65 -1.78% -11.45% -0.51
玉米(c2611) 37 37.84% 1.1 0.31% -4.01% 0.11
棉花(cf2701) 35 28.57% 0.59 -1.65% -7.0% -0.7
白糖(sr2701) 21 33.33% 0.67 -0.63% -3.86% -0.48
菜油(oi2701) 21 52.38% 1.53 1.4% -3.04% 0.47
沪铜(cu2610) 33 24.24% 0.65 -1.72% -9.02% -0.56
沪铝(al2610) 25 28.0% 0.81 -0.58% -5.06% -0.26
沪锌(zn2610) 23 30.43% 0.75 -0.8% -6.55% -0.28
沪镍(ni2610) 22 40.91% 1.26 0.97% -5.38% 0.24
沪锡(sn2610) 25 32.0% 0.64 -1.95% -12.71% -0.42
沪金(au2610) 53 22.64% 1.01 0.04% -7.32% -0.0
沪银(ag2610) 46 21.74% 0.48 -6.43% -28.88% -1.06
螺纹钢(rb2701) 25 24.0% 0.5 -1.89% -8.57% -0.73
热卷(hc2701) 29 24.14% 0.51 -1.96% -8.73% -0.78
铁矿石(i2701) 16 68.75% 4.28 4.65% -3.61% 1.36
焦炭(j2701) 19 47.37% 1.76 2.92% -4.72% 0.67
焦煤(jm2701) 23 43.48% 1.73 4.14% -6.27% 0.64
原油(sc2610) 33 24.24% 0.63 -3.24% -15.66% -0.49
燃油(fu2611) 30 16.67% 0.34 -6.2% -19.54% -1.21
甲醇(ma2610) 26 15.38% 0.22 -5.71% -18.39% -1.3
PTA(ta2701) 26 34.62% 1.19 1.02% -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 -8.1% -25.0% -1.02
多晶硅(ps2611) 12 25.0% 0.44 -6.43% -10.36% -1.02
生猪(lh2611) 25 36.0% 0.67 -1.26% -7.11% -0.36
玻璃(fg2701) 25 40.0% 1.16 1.02% -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% 0.72 -5.07% -20.79% -0.43

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 0.83% -2.08% 0.47
豆粕(m2701) 24 29.17% 0.5 -2.29% -10.09% -1.02
豆油(y2701) 11 54.55% 1.4 0.52% -2.25% 0.31
棕榈油(p2701) 13 15.38% 0.23 -2.53% -8.66% -1.28
玉米(c2611) 14 71.43% 3.38 1.67% -1.03% 1.11
棉花(cf2701) 15 53.33% 1.17 0.26% -3.29% 0.13
白糖(sr2701) 9 44.44% 1.13 0.12% -1.56% 0.1
菜油(oi2701) 8 50.0% 1.13 0.18% -3.78% 0.09
沪铜(cu2610) 16 31.25% 0.6 -1.1% -4.41% -0.5
沪铝(al2610) 9 44.44% 0.71 -0.37% -2.58% -0.26
沪锌(zn2610) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2610) 12 50.0% 0.88 -0.29% -5.37% -0.11
沪锡(sn2610) 10 20.0% 0.36 -2.1% -6.93% -0.87
沪金(au2610) 23 34.78% 0.9 -0.33% -4.66% -0.12
沪银(ag2610) 20 20.0% 0.38 -3.83% -14.81% -0.89
螺纹钢(rb2701) 12 33.33% 0.68 -0.58% -6.52% -0.29
热卷(hc2701) 9 33.33% 0.83 -0.22% -4.55% -0.12
铁矿石(i2701) 5 40.0% 0.64 -0.48% -4.43% -0.19
焦炭(j2701) 7 57.14% 1.12 0.19% -3.87% 0.08
焦煤(jm2701) 9 22.22% 0.21 -3.03% -11.28% -1.07
原油(sc2610) 13 46.15% 1.28 0.68% -4.28% 0.21
燃油(fu2611) 8 25.0% 0.49 -1.31% -7.95% -0.48
甲醇(ma2610) 12 25.0% 0.26 -2.72% -8.93% -0.97
PTA(ta2701) 8 37.5% 1.11 0.2% -4.34% 0.07
聚丙烯(pp2701) 13 15.38% 0.27 -2.79% -11.54% -1.09
碳酸锂(lc2701) 23 30.43% 0.65 -3.24% -15.29% -0.56
多晶硅(ps2611) 9 33.33% 0.74 -1.94% -7.97% -0.35
生猪(lh2611) 12 41.67% 1.13 0.24% -3.25% 0.09
玻璃(fg2701) 8 25.0% 0.55 -1.3% -5.74% -0.46
纯碱(sa2701) 17 41.18% 0.67 -1.77% -16.12% -0.39
集运欧线(ec2610) 23 21.74% 0.33 -8.08% -23.32% -1.53

MACD+KDJ双确认

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 18 66.67% 2.54 1.55% -2.77% 0.77
豆粕(m2701) 24 37.5% 0.8 -0.89% -6.72% -0.3
豆油(y2701) 20 40.0% 0.59 -1.35% -7.28% -0.58
棕榈油(p2701) 23 47.83% 1.08 0.32% -6.01% 0.09
玉米(c2611) 22 54.55% 1.46 0.85% -2.9% 0.47
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(oi2701) 22 50.0% 0.79 -0.75% -7.02% -0.25
沪铜(cu2610) 21 52.38% 1.8 1.5% -3.5% 0.67
沪铝(al2610) 19 52.63% 1.03 0.07% -3.69% 0.02
沪锌(zn2610) 26 50.0% 0.94 -0.22% -5.5% -0.1
沪镍(ni2610) 24 33.33% 0.44 -2.94% -10.62% -0.89
沪锡(sn2610) 20 60.0% 1.88 2.61% -8.11% 0.69
沪金(au2610) 21 66.67% 2.46 2.24% -1.64% 0.96
沪银(ag2610) 18 38.89% 1.0 -0.01% -5.75% -0.0
螺纹钢(rb2701) 24 37.5% 0.54 -1.96% -9.87% -0.74
热卷(hc2701) 22 22.73% 0.4 -2.3% -7.74% -1.02
铁矿石(i2701) 19 52.63% 1.17 0.64% -5.61% 0.17
焦炭(j2701) 21 38.1% 0.74 -1.61% -8.76% -0.31
焦煤(jm2701) 19 42.11% 1.02 0.13% -8.65% 0.04
原油(sc2610) 26 38.46% 0.71 -2.04% -13.51% -0.41
燃油(fu2611) 21 33.33% 0.65 -1.92% -13.24% -0.4
甲醇(ma2610) 20 35.0% 0.42 -2.67% -11.45% -0.75
PTA(ta2701) 26 38.46% 0.99 -0.04% -5.33% -0.01
聚丙烯(pp2701) 22 54.55% 1.86 1.27% -2.91% 0.49
碳酸锂(lc2701) 16 56.25% 1.57 2.0% -3.64% 0.47
多晶硅(ps2611) 8 62.5% 3.6 6.73% -3.6% 1.37
生猪(lh2611) 21 52.38% 1.25 0.81% -4.65% 0.25
玻璃(fg2701) 15 20.0% 0.26 -3.6% -13.45% -0.87
纯碱(sa2701) 18 44.44% 0.94 -0.31% -7.16% -0.07
集运欧线(ec2610) 15 40.0% 0.73 -1.66% -8.42% -0.39

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 0.6% -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 -0.81% -5.33% -0.55
棕榈油(p2701) 9 11.11% 0.08 -1.46% -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 50.0% 2.23 1.15% -1.28% 0.85
菜油(oi2701) 12 41.67% 1.4 0.51% -2.13% 0.26
沪铜(cu2610) 10 20.0% 0.15 -1.23% -4.14% -0.85
沪铝(al2610) 14 50.0% 1.74 0.84% -1.87% 0.55
沪锌(zn2610) 8 50.0% 1.64 0.5% -2.05% 0.34
沪镍(ni2610) 15 60.0% 2.23 2.14% -3.13% 0.72
沪锡(sn2610) 22 22.73% 0.26 -3.75% -12.51% -1.23
沪金(au2610) 19 15.79% 0.48 -1.21% -6.2% -0.84
沪银(ag2610) 23 39.13% 1.3 1.18% -9.91% 0.29
螺纹钢(rb2701) 14 50.0% 1.87 0.85% -1.58% 0.47
热卷(hc2701) 14 28.57% 0.95 -0.07% -2.66% -0.07
铁矿石(i2701) 21 38.1% 1.17 0.57% -5.78% 0.18
焦炭(j2701) 17 23.53% 0.67 -1.32% -4.99% -0.39
焦煤(jm2701) 17 41.18% 1.43 1.77% -6.86% 0.49
原油(sc2610) 29 24.14% 0.66 -2.09% -9.65% -0.41
燃油(fu2611) 23 39.13% 1.11 0.53% -6.14% 0.12
甲醇(ma2610) 17 41.18% 1.03 0.09% -3.73% 0.03
PTA(ta2701) 11 27.27% 0.81 -0.33% -5.72% -0.17
聚丙烯(pp2701) 14 42.86% 3.16 2.17% -1.84% 1.0
碳酸锂(lc2701) 14 28.57% 0.73 -1.2% -7.21% -0.29
多晶硅(ps2611) 10 30.0% 0.92 -0.55% -5.87% -0.08
生猪(lh2611) 26 30.77% 0.84 -0.59% -6.02% -0.19
玻璃(fg2701) 22 45.45% 1.43 1.82% -6.39% 0.35
纯碱(sa2701) 19 5.26% 0.11 -4.89% -17.86% -1.21
集运欧线(ec2610) 29 41.38% 1.43 4.73% -8.98% 0.53

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 -0.27% -2.85% -0.28
豆粕(m2701) 7 71.43% 2.32 0.64% -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 1.09% -2.02% 0.69
玉米(c2611) 5 40.0% 0.57 -0.21% -1.23% -0.28
棉花(cf2701) 5 100.0% inf 1.12% -0.32% 1.49
白糖(sr2701) 7 85.71% 5.36 0.76% -1.62% 0.64
菜油(oi2701) 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 -0.4% -2.56% -0.31
沪锡(sn2610) 4 50.0% 0.97 -0.02% -1.74% -0.02
沪金(au2610) 17 58.82% 1.86 1.3% -1.93% 0.77
沪银(ag2610) 13 46.15% 1.01 0.02% -4.64% 0.01
螺纹钢(rb2701) 4 25.0% 0.78 -0.08% -0.94% -0.14
热卷(hc2701) 1 100.0% inf 0.25% -0.01% 0.75
铁矿石(i2701) 5 40.0% 0.69 -0.34% -2.11% -0.3
焦炭(j2701) 6 33.33% 0.5 -0.87% -4.83% -0.38
焦煤(jm2701) 7 42.86% 0.83 -0.28% -3.54% -0.14
原油(sc2610) 19 47.37% 1.13 0.54% -4.87% 0.14
燃油(fu2611) 25 56.0% 1.36 1.7% -7.62% 0.39
甲醇(ma2610) 4 25.0% 0.33 -0.8% -3.62% -0.49
PTA(ta2701) 6 50.0% 1.01 0.01% -2.1% 0.01
聚丙烯(pp2701) 6 50.0% 1.77 0.28% -1.63% 0.27
碳酸锂(lc2701) 5 40.0% 0.6 -0.87% -4.11% -0.32
多晶硅(ps2611) 4 75.0% 3.92 3.08% -1.43% 1.5
生猪(lh2611) 18 44.44% 0.74 -0.75% -4.73% -0.26
玻璃(fg2701) 3 33.33% 0.49 -0.5% -3.91% -0.35
纯碱(sa2701) 6 16.67% 0.11 -2.05% -6.92% -1.1
集运欧线(ec2610) 23 47.83% 0.85 -1.11% -11.94% -0.19