期货研究

策略回测对比

2026-10-10 02:49:29 · 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
48.4%

LOWEST DRAWDOWN

跳空缺口
-3.0%

MOST TRADES

波动率突破
1999 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 1303 42.6% 1.1% -7.5%
三均线趋势 31 1730 35.8% 1.0% -8.2%
动量突破 31 848 41.7% 0.9% -7.4%
海龟突破 31 1522 44.7% 0.3% -10.2%
双EXPMA趋势 31 1913 44.2% 0.1% -10.6%
跳空缺口 31 256 48.4% 0.1% -3.0%
波动率突破 31 1999 37.1% -0.0% -11.4%
价量背离 31 540 35.4% -0.1% -5.5%
MACD+KDJ双确认 31 649 44.8% -0.1% -6.8%
RSI极值反转 31 402 36.6% -1.0% -7.0%
布林带回归 31 901 31.0% -1.2% -10.2%

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(cu2611) 62 50.0% 1.26 1.85% -5.13% 0.43
沪铝(al2611) 62 51.61% 1.13 0.89% -4.63% 0.22
沪锌(zn2611) 66 43.94% 1.02 0.13% -7.66% 0.02
沪镍(ni2611) 63 34.92% 0.84 -1.72% -14.63% -0.3
沪锡(sn2611) 63 41.27% 0.86 -1.65% -13.52% -0.25
沪金(au2612) 73 67.12% 2.1 6.74% -3.42% 1.52
沪银(ag2612) 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(sc2611) 66 46.97% 1.11 1.51% -10.52% 0.23
燃油(fu2701) 67 44.78% 1.09 1.25% -10.5% 0.19
甲醇(ma2701) 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(lh2701) 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(ec2611) 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) 48 37.5% 0.8 -1.14% -6.82% -0.4
豆粕(m2701) 44 50.0% 1.39 2.07% -5.06% 0.55
豆油(y2701) 41 31.71% 0.8 -1.1% -8.21% -0.36
棕榈油(p2701) 40 42.5% 1.29 1.37% -6.0% 0.34
玉米(c2611) 45 46.67% 1.1 0.38% -2.95% 0.12
棉花(cf2701) 46 50.0% 1.52 2.06% -3.08% 0.62
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(cu2611) 45 48.89% 1.6 2.39% -3.4% 0.72
沪铝(al2611) 44 43.18% 1.19 0.78% -3.32% 0.24
沪锌(zn2611) 42 35.71% 0.93 -0.33% -7.31% -0.1
沪镍(ni2611) 43 27.91% 0.76 -1.83% -11.15% -0.46
沪锡(sn2611) 41 43.9% 1.18 1.18% -10.97% 0.25
沪金(au2612) 62 56.45% 1.69 4.14% -4.44% 1.08
沪银(ag2612) 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(sc2611) 42 54.76% 1.85 5.58% -8.14% 0.92
燃油(fu2701) 45 44.44% 1.27 2.27% -8.24% 0.4
甲醇(ma2701) 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(lh2701) 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(ec2611) 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) 60 36.67% 1.0 -0.01% -5.51% -0.03
豆粕(m2701) 52 42.31% 1.21 1.26% -5.44% 0.33
豆油(y2701) 50 26.0% 0.75 -1.44% -9.85% -0.46
棕榈油(p2701) 60 31.67% 1.08 0.51% -9.44% 0.11
玉米(c2611) 51 49.02% 1.35 1.4% -3.0% 0.49
棉花(cf2701) 60 41.67% 1.5 2.34% -4.12% 0.66
白糖(sr2701) 47 29.79% 0.77 -0.8% -3.88% -0.37
菜油(oi2701) 55 29.09% 0.67 -2.67% -11.24% -0.69
沪铜(cu2611) 65 35.38% 1.23 1.34% -4.25% 0.37
沪铝(al2611) 62 30.65% 1.07 0.32% -3.98% 0.07
沪锌(zn2611) 54 33.33% 0.89 -0.7% -8.93% -0.2
沪镍(ni2611) 69 20.29% 0.83 -1.57% -12.1% -0.35
沪锡(sn2611) 61 36.07% 1.13 1.05% -10.95% 0.2
沪金(au2612) 81 46.91% 1.41 3.01% -7.05% 0.73
沪银(ag2612) 68 39.71% 1.34 2.93% -8.04% 0.53
螺纹钢(rb2701) 57 29.82% 0.87 -0.78% -6.76% -0.25
热卷(hc2701) 58 31.03% 0.85 -0.82% -5.63% -0.28
铁矿石(i2701) 48 27.08% 0.74 -2.29% -11.53% -0.46
焦炭(j2701) 52 32.69% 0.82 -2.29% -14.24% -0.35
焦煤(jm2701) 54 38.89% 1.18 2.05% -12.34% 0.33
原油(sc2611) 60 43.33% 1.57 5.11% -9.93% 0.8
燃油(fu2701) 55 41.82% 1.51 4.4% -7.33% 0.67
甲醇(ma2701) 52 34.62% 1.17 1.21% -7.88% 0.25
PTA(ta2701) 60 33.33% 1.1 0.73% -6.37% 0.14
聚丙烯(pp2701) 55 34.55% 1.23 1.18% -7.87% 0.32
碳酸锂(lc2701) 59 44.07% 1.64 7.23% -9.4% 0.98
多晶硅(ps2611) 20 35.0% 0.89 -1.22% -9.76% -0.13
生猪(lh2701) 56 39.29% 1.28 1.8% -6.0% 0.39
玻璃(fg2701) 49 34.69% 1.04 0.4% -9.04% 0.08
纯碱(sa2701) 57 33.33% 0.88 -1.38% -11.43% -0.24
集运欧线(ec2611) 43 46.51% 1.72 9.6% -9.64% 1.15

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 51 43.14% 0.81 -1.14% -7.07% -0.38
豆粕(m2701) 52 46.15% 1.25 2.0% -10.24% 0.44
豆油(y2701) 48 39.58% 0.94 -0.44% -9.3% -0.13
棕榈油(p2701) 48 47.92% 0.93 -0.64% -7.89% -0.14
玉米(c2611) 53 43.4% 1.0 -0.02% -4.73% -0.05
棉花(cf2701) 50 56.0% 1.61 2.58% -3.83% 0.76
白糖(sr2701) 52 36.54% 0.51 -3.03% -10.6% -1.25
菜油(oi2701) 42 42.86% 1.0 -0.02% -8.05% -0.0
沪铜(cu2611) 55 45.45% 1.0 0.01% -4.74% -0.02
沪铝(al2611) 52 51.92% 1.16 0.88% -6.05% 0.25
沪锌(zn2611) 51 35.29% 0.71 -2.32% -11.32% -0.6
沪镍(ni2611) 45 40.0% 0.73 -2.64% -14.89% -0.54
沪锡(sn2611) 44 43.18% 0.76 -2.34% -11.63% -0.45
沪金(au2612) 59 59.32% 1.64 4.03% -4.91% 1.05
沪银(ag2612) 54 46.3% 1.2 2.16% -9.99% 0.36
螺纹钢(rb2701) 50 48.0% 1.02 0.15% -5.93% 0.02
热卷(hc2701) 47 48.94% 1.01 0.04% -5.07% -0.01
铁矿石(i2701) 48 33.33% 0.61 -4.75% -20.75% -0.82
焦炭(j2701) 46 43.48% 0.94 -0.77% -14.51% -0.09
焦煤(jm2701) 53 43.4% 1.04 0.69% -21.14% 0.11
原油(sc2611) 52 50.0% 1.3 3.48% -9.49% 0.5
燃油(fu2701) 52 42.31% 1.02 0.24% -11.26% 0.05
甲醇(ma2701) 54 35.19% 0.78 -2.78% -19.05% -0.49
PTA(ta2701) 47 42.55% 0.86 -1.27% -8.16% -0.24
聚丙烯(pp2701) 54 35.19% 0.71 -2.5% -12.22% -0.6
碳酸锂(lc2701) 46 50.0% 1.33 4.85% -11.03% 0.63
多晶硅(ps2611) 20 45.0% 0.91 -1.45% -12.99% -0.19
生猪(lh2701) 56 42.86% 0.91 -0.9% -9.85% -0.18
玻璃(fg2701) 44 50.0% 1.28 3.15% -10.19% 0.46
纯碱(sa2701) 50 48.0% 1.22 2.84% -11.28% 0.4
集运欧线(ec2611) 47 51.06% 1.61 9.5% -8.87% 1.0

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 30 43.33% 1.03 0.11% -5.02% 0.03
豆粕(m2701) 27 51.85% 1.71 2.54% -5.59% 0.71
豆油(y2701) 23 34.78% 0.65 -1.46% -9.16% -0.52
棕榈油(p2701) 25 40.0% 1.07 0.31% -6.41% 0.08
玉米(c2611) 31 45.16% 1.01 0.04% -3.79% -0.01
棉花(cf2701) 28 46.43% 1.24 0.68% -2.47% 0.25
白糖(sr2701) 24 37.5% 0.53 -1.34% -5.75% -0.7
菜油(oi2701) 26 26.92% 0.65 -1.8% -9.19% -0.53
沪铜(cu2611) 31 38.71% 0.87 -0.63% -6.63% -0.2
沪铝(al2611) 28 42.86% 0.99 -0.03% -3.84% -0.02
沪锌(zn2611) 28 42.86% 1.16 0.59% -4.09% 0.17
沪镍(ni2611) 23 39.13% 1.27 1.16% -5.95% 0.26
沪锡(sn2611) 27 33.33% 0.8 -1.31% -7.76% -0.29
沪金(au2612) 35 54.29% 1.69 2.76% -5.55% 0.77
沪银(ag2612) 30 46.67% 1.77 4.18% -10.27% 0.79
螺纹钢(rb2701) 30 36.67% 0.69 -1.46% -6.7% -0.49
热卷(hc2701) 27 33.33% 0.76 -0.98% -5.7% -0.34
铁矿石(i2701) 25 24.0% 0.58 -3.01% -10.2% -0.72
焦炭(j2701) 25 44.0% 0.95 -0.32% -9.43% -0.04
焦煤(jm2701) 32 43.75% 1.28 2.78% -11.36% 0.41
原油(sc2611) 31 45.16% 1.42 3.18% -11.89% 0.53
燃油(fu2701) 30 50.0% 1.87 5.63% -5.08% 0.81
甲醇(ma2701) 28 50.0% 1.34 1.94% -7.25% 0.4
PTA(ta2701) 28 39.29% 0.97 -0.16% -9.3% -0.02
聚丙烯(pp2701) 29 37.93% 1.35 1.16% -5.89% 0.29
碳酸锂(lc2701) 29 44.83% 1.5 5.15% -9.19% 0.73
多晶硅(ps2611) 11 54.55% 1.25 1.64% -7.52% 0.24
生猪(lh2701) 26 42.31% 1.15 0.68% -4.99% 0.16
玻璃(fg2701) 22 36.36% 0.94 -0.42% -8.56% -0.06
纯碱(sa2701) 29 41.38% 1.05 0.44% -10.5% 0.09
集运欧线(ec2611) 30 43.33% 1.41 5.08% -14.33% 0.61

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2611) 65 40.0% 1.07 0.41% -5.97% 0.09
豆粕(m2701) 62 43.55% 1.51 3.69% -5.19% 0.77
豆油(y2701) 62 33.87% 0.88 -0.93% -10.11% -0.27
棕榈油(p2701) 64 35.94% 0.89 -1.11% -8.82% -0.24
玉米(c2611) 72 37.5% 1.09 0.54% -4.08% 0.15
棉花(cf2701) 66 43.94% 1.22 1.31% -3.47% 0.36
白糖(sr2701) 65 36.92% 0.7 -1.83% -8.34% -0.71
菜油(oi2701) 59 28.81% 0.69 -3.15% -14.64% -0.73
沪铜(cu2611) 66 40.91% 1.04 0.3% -6.54% 0.05
沪铝(al2611) 67 37.31% 0.91 -0.64% -7.84% -0.23
沪锌(zn2611) 66 33.33% 0.77 -1.84% -9.62% -0.48
沪镍(ni2611) 65 33.85% 0.84 -1.8% -11.91% -0.35
沪锡(sn2611) 59 35.59% 0.85 -1.7% -12.99% -0.29
沪金(au2612) 79 46.84% 1.38 3.14% -4.45% 0.69
沪银(ag2612) 73 41.1% 1.27 3.39% -11.0% 0.47
螺纹钢(rb2701) 58 39.66% 0.83 -1.05% -6.62% -0.31
热卷(hc2701) 59 42.37% 1.0 -0.01% -4.86% -0.03
铁矿石(i2701) 70 27.14% 0.62 -6.14% -22.99% -0.96
焦炭(j2701) 68 29.41% 0.69 -5.48% -23.22% -0.73
焦煤(jm2701) 64 39.06% 1.03 0.52% -18.93% 0.09
原油(sc2611) 74 33.78% 0.95 -0.87% -15.47% -0.09
燃油(fu2701) 72 30.56% 0.73 -4.55% -22.3% -0.56
甲醇(ma2701) 72 31.94% 0.78 -3.32% -17.18% -0.54
PTA(ta2701) 66 31.82% 0.67 -3.89% -14.65% -0.76
聚丙烯(pp2701) 72 30.56% 0.87 -1.14% -11.07% -0.26
碳酸锂(lc2701) 57 42.11% 1.14 2.74% -11.72% 0.33
多晶硅(ps2611) 26 42.31% 1.34 5.64% -13.03% 0.68
生猪(lh2701) 68 35.29% 0.91 -0.94% -9.82% -0.2
玻璃(fg2701) 56 44.64% 1.21 2.86% -11.88% 0.38
纯碱(sa2701) 68 44.12% 1.28 4.42% -10.9% 0.53
集运欧线(ec2611) 59 42.37% 1.41 10.15% -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(a2611) 30 26.67% 0.7 -1.11% -5.93% -0.5
豆粕(m2701) 35 34.29% 0.83 -0.89% -7.28% -0.32
豆油(y2701) 27 37.04% 1.12 0.35% -3.53% 0.13
棕榈油(p2701) 28 28.57% 0.7 -1.47% -11.45% -0.43
玉米(c2611) 38 36.84% 1.05 0.17% -4.01% 0.05
棉花(cf2701) 36 27.78% 0.56 -1.79% -7.0% -0.76
白糖(sr2701) 22 36.36% 0.77 -0.42% -3.86% -0.33
菜油(oi2701) 21 52.38% 1.53 1.37% -3.04% 0.47
沪铜(cu2611) 34 26.47% 0.7 -1.42% -9.02% -0.47
沪铝(al2611) 26 30.77% 0.86 -0.41% -5.06% -0.19
沪锌(zn2611) 23 34.78% 0.88 -0.38% -6.55% -0.14
沪镍(ni2611) 23 43.48% 1.26 0.97% -5.38% 0.24
沪锡(sn2611) 25 32.0% 0.64 -1.91% -12.71% -0.41
沪金(au2612) 53 22.64% 1.01 0.04% -7.32% -0.0
沪银(ag2612) 46 21.74% 0.48 -6.28% -28.88% -1.05
螺纹钢(rb2701) 25 24.0% 0.58 -1.53% -8.57% -0.6
热卷(hc2701) 29 24.14% 0.58 -1.64% -8.73% -0.66
铁矿石(i2701) 16 68.75% 4.28 4.53% -3.61% 1.34
焦炭(j2701) 19 47.37% 1.76 2.84% -4.72% 0.66
焦煤(jm2701) 23 43.48% 1.73 4.03% -6.27% 0.63
原油(sc2611) 37 24.32% 0.67 -3.41% -16.81% -0.47
燃油(fu2701) 33 18.18% 0.32 -6.94% -22.74% -1.29
甲醇(ma2701) 27 18.52% 0.34 -4.96% -19.59% -1.03
PTA(ta2701) 27 33.33% 1.11 0.6% -8.68% 0.14
聚丙烯(pp2701) 32 34.38% 0.94 -0.27% -10.46% -0.07
碳酸锂(lc2701) 36 19.44% 0.4 -8.51% -25.0% -1.07
多晶硅(ps2611) 12 25.0% 0.44 -6.07% -10.36% -0.99
生猪(lh2701) 27 37.04% 0.84 -0.61% -7.94% -0.17
玻璃(fg2701) 25 40.0% 1.16 1.0% -10.7% 0.21
纯碱(sa2701) 27 29.63% 0.96 -0.28% -10.4% -0.03
集运欧线(ec2611) 39 30.77% 0.76 -4.27% -20.79% -0.36

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% 1.98 1.02% -2.08% 0.56
豆粕(m2701) 24 29.17% 0.48 -2.46% -10.09% -1.09
豆油(y2701) 12 58.33% 1.63 0.8% -2.26% 0.47
棕榈油(p2701) 13 15.38% 0.23 -2.47% -8.66% -1.27
玉米(c2611) 14 71.43% 3.38 1.63% -1.03% 1.09
棉花(cf2701) 16 50.0% 1.21 0.31% -3.29% 0.15
白糖(sr2701) 9 44.44% 1.13 0.11% -1.56% 0.1
菜油(oi2701) 8 50.0% 1.13 0.18% -3.78% 0.09
沪铜(cu2611) 16 31.25% 0.6 -1.07% -4.41% -0.5
沪铝(al2611) 9 44.44% 0.71 -0.36% -2.58% -0.26
沪锌(zn2611) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2611) 12 50.0% 0.88 -0.29% -5.37% -0.11
沪锡(sn2611) 10 20.0% 0.36 -2.04% -6.93% -0.86
沪金(au2612) 23 34.78% 0.9 -0.33% -4.66% -0.12
沪银(ag2612) 20 20.0% 0.38 -3.73% -14.81% -0.88
螺纹钢(rb2701) 12 41.67% 0.81 -0.33% -6.52% -0.17
热卷(hc2701) 9 44.44% 0.99 -0.01% -4.55% -0.01
铁矿石(i2701) 5 40.0% 0.64 -0.47% -4.43% -0.19
焦炭(j2701) 7 57.14% 1.49 0.75% -3.87% 0.28
焦煤(jm2701) 9 22.22% 0.38 -2.32% -11.28% -0.79
原油(sc2611) 15 46.67% 1.51 1.28% -4.28% 0.36
燃油(fu2701) 9 22.22% 0.49 -1.28% -7.95% -0.47
甲醇(ma2701) 13 23.08% 0.23 -3.23% -10.76% -1.07
PTA(ta2701) 8 37.5% 1.11 0.19% -4.34% 0.07
聚丙烯(pp2701) 13 15.38% 0.27 -2.72% -11.54% -1.08
碳酸锂(lc2701) 23 30.43% 0.65 -3.14% -15.29% -0.56
多晶硅(ps2611) 9 33.33% 0.74 -1.82% -7.97% -0.35
生猪(lh2701) 14 50.0% 1.42 0.76% -3.25% 0.29
玻璃(fg2701) 8 25.0% 0.55 -1.27% -5.74% -0.45
纯碱(sa2701) 17 41.18% 0.67 -1.72% -16.12% -0.39
集运欧线(ec2611) 24 25.0% 0.36 -7.53% -23.32% -1.43

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% 2.94 1.9% -2.97% 0.89
豆粕(m2701) 25 36.0% 0.8 -0.89% -6.72% -0.3
豆油(y2701) 21 42.86% 0.6 -1.27% -7.28% -0.55
棕榈油(p2701) 24 50.0% 1.2 0.76% -6.01% 0.2
玉米(c2611) 22 50.0% 1.29 0.58% -2.9% 0.31
棉花(cf2701) 24 41.67% 0.94 -0.19% -3.73% -0.1
白糖(sr2701) 17 58.82% 1.51 0.67% -3.92% 0.38
菜油(oi2701) 22 45.45% 0.77 -0.84% -7.02% -0.27
沪铜(cu2611) 22 50.0% 1.79 1.46% -3.5% 0.65
沪铝(al2611) 20 50.0% 0.97 -0.07% -3.69% -0.05
沪锌(zn2611) 27 48.15% 0.86 -0.49% -5.5% -0.21
沪镍(ni2611) 25 36.0% 0.47 -2.81% -10.74% -0.85
沪锡(sn2611) 21 61.9% 1.94 2.71% -8.12% 0.73
沪金(au2612) 21 66.67% 2.46 2.18% -1.64% 0.95
沪银(ag2612) 20 35.0% 0.76 -1.18% -9.1% -0.37
螺纹钢(rb2701) 25 36.0% 0.53 -2.0% -9.87% -0.76
热卷(hc2701) 22 22.73% 0.4 -2.24% -7.74% -1.01
铁矿石(i2701) 19 52.63% 1.17 0.62% -5.61% 0.17
焦炭(j2701) 21 38.1% 0.74 -1.57% -8.76% -0.31
焦煤(jm2701) 19 42.11% 1.02 0.13% -8.65% 0.04
原油(sc2611) 27 37.04% 0.7 -2.14% -13.51% -0.44
燃油(fu2701) 22 36.36% 0.92 -0.43% -13.24% -0.07
甲醇(ma2701) 21 38.1% 0.6 -1.77% -11.6% -0.47
PTA(ta2701) 27 37.04% 0.95 -0.25% -5.33% -0.07
聚丙烯(pp2701) 23 56.52% 2.59 2.27% -2.91% 0.8
碳酸锂(lc2701) 16 56.25% 1.57 1.94% -3.64% 0.46
多晶硅(ps2611) 9 55.56% 2.29 4.94% -3.6% 1.01
生猪(lh2701) 21 52.38% 1.25 0.79% -4.65% 0.25
玻璃(fg2701) 15 20.0% 0.26 -3.51% -13.45% -0.86
纯碱(sa2701) 18 44.44% 0.94 -0.3% -7.16% -0.07
集运欧线(ec2611) 15 40.0% 0.73 -1.61% -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) 21 38.1% 1.27 0.43% -2.73% 0.23
豆粕(m2701) 11 36.36% 0.89 -0.14% -2.88% -0.1
豆油(y2701) 12 25.0% 0.5 -0.79% -5.33% -0.54
棕榈油(p2701) 10 20.0% 0.09 -1.41% -6.07% -0.85
玉米(c2611) 19 36.84% 1.04 0.06% -1.83% 0.01
棉花(cf2701) 19 36.84% 0.87 -0.23% -4.34% -0.16
白糖(sr2701) 16 50.0% 2.23 1.12% -1.28% 0.84
菜油(oi2701) 12 41.67% 1.4 0.5% -2.13% 0.26
沪铜(cu2611) 10 20.0% 0.15 -1.2% -4.14% -0.84
沪铝(al2611) 14 50.0% 1.74 0.82% -1.87% 0.54
沪锌(zn2611) 8 50.0% 1.64 0.48% -2.05% 0.33
沪镍(ni2611) 16 62.5% 2.25 2.11% -3.13% 0.72
沪锡(sn2611) 22 22.73% 0.26 -3.66% -12.51% -1.21
沪金(au2612) 21 19.05% 0.49 -1.29% -7.05% -0.83
沪银(ag2612) 25 40.0% 1.21 0.91% -9.91% 0.22
螺纹钢(rb2701) 14 50.0% 1.87 0.83% -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 0.55% -5.78% 0.17
焦炭(j2701) 18 27.78% 0.75 -0.99% -4.99% -0.29
焦煤(jm2701) 18 44.44% 1.47 1.9% -6.86% 0.52
原油(sc2611) 29 24.14% 0.62 -2.43% -10.24% -0.49
燃油(fu2701) 24 41.67% 1.16 0.75% -6.14% 0.17
甲醇(ma2701) 17 41.18% 1.03 0.09% -3.73% 0.03
PTA(ta2701) 12 33.33% 0.93 -0.12% -5.72% -0.06
聚丙烯(pp2701) 14 42.86% 3.16 2.11% -1.84% 0.99
碳酸锂(lc2701) 15 26.67% 0.64 -1.82% -7.21% -0.41
多晶硅(ps2611) 10 30.0% 0.92 -0.52% -5.87% -0.08
生猪(lh2701) 26 30.77% 0.84 -0.57% -6.02% -0.19
玻璃(fg2701) 22 45.45% 1.43 1.77% -6.39% 0.35
纯碱(sa2701) 20 10.0% 0.12 -4.74% -18.43% -1.17
集运欧线(ec2611) 30 40.0% 1.35 3.96% -8.98% 0.45

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 -0.26% -2.85% -0.28
豆粕(m2701) 7 71.43% 2.32 0.63% -1.86% 0.44
豆油(y2701) 4 50.0% 1.32 0.16% -1.35% 0.2
棕榈油(p2701) 6 66.67% 2.87 1.06% -2.02% 0.69
玉米(c2611) 5 40.0% 0.57 -0.2% -1.23% -0.28
棉花(cf2701) 5 100.0% inf 1.09% -0.32% 1.47
白糖(sr2701) 7 85.71% 5.36 0.74% -1.62% 0.63
菜油(oi2701) 2 50.0% 1.45 0.08% -0.87% 0.13
沪铜(cu2611) 16 37.5% 0.99 -0.02% -2.81% -0.04
沪铝(al2611) 4 50.0% 2.46 0.23% -0.54% 0.5
沪锌(zn2611) 8 37.5% 0.87 -0.09% -1.58% -0.09
沪镍(ni2611) 3 33.33% 0.48 -0.39% -2.56% -0.3
沪锡(sn2611) 4 50.0% 0.97 -0.02% -1.74% -0.02
沪金(au2612) 18 61.11% 2.09 1.62% -1.93% 0.89
沪银(ag2612) 14 42.86% 0.83 -0.4% -6.03% -0.12
螺纹钢(rb2701) 4 25.0% 0.54 -0.23% -1.16% -0.38
热卷(hc2701) 1 100.0% inf 0.24% -0.01% 0.74
铁矿石(i2701) 6 33.33% 0.68 -0.33% -2.11% -0.29
焦炭(j2701) 6 33.33% 0.5 -0.85% -4.83% -0.38
焦煤(jm2701) 7 42.86% 0.83 -0.27% -3.54% -0.14
原油(sc2611) 19 47.37% 1.13 0.53% -4.87% 0.13
燃油(fu2701) 26 53.85% 1.33 1.55% -7.62% 0.36
甲醇(ma2701) 5 20.0% 0.24 -1.21% -4.11% -0.68
PTA(ta2701) 6 50.0% 1.01 0.01% -2.1% 0.01
聚丙烯(pp2701) 7 57.14% 2.14 0.41% -1.63% 0.39
碳酸锂(lc2701) 5 40.0% 0.6 -0.84% -4.11% -0.32
多晶硅(ps2611) 4 75.0% 3.92 2.9% -1.43% 1.46
生猪(lh2701) 18 44.44% 0.74 -0.73% -4.73% -0.25
玻璃(fg2701) 3 33.33% 0.49 -0.49% -3.91% -0.34
纯碱(sa2701) 6 16.67% 0.11 -2.0% -6.92% -1.09
集运欧线(ec2611) 24 45.83% 0.83 -1.3% -11.94% -0.23