期货研究

策略回测对比

2026-10-21 10:31:34 · 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
49.6%

LOWEST DRAWDOWN

跳空缺口
-3.0%

MOST TRADES

波动率突破
2015 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 1340 42.2% 1.0% -7.7%
三均线趋势 31 1748 35.8% 1.0% -8.2%
动量突破 31 854 42.0% 0.9% -7.4%
海龟突破 31 1535 44.9% 0.4% -10.3%
双EXPMA趋势 31 1972 44.4% 0.2% -10.7%
跳空缺口 31 256 49.6% 0.1% -3.0%
波动率突破 31 2015 37.2% 0.0% -11.4%
价量背离 31 543 34.3% -0.1% -5.5%
MACD+KDJ双确认 31 653 45.0% -0.1% -6.8%
RSI极值反转 31 407 36.9% -1.0% -7.0%
布林带回归 31 911 31.3% -1.2% -10.2%

双EXPMA趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 63 44.44% 0.91 -0.66% -5.82% -0.2
豆粕(m2701) 61 40.98% 1.0 -0.01% -11.14% -0.01
豆油(y2701) 64 35.94% 0.78 -2.03% -11.57% -0.48
棕榈油(p2701) 66 36.36% 0.68 -3.62% -14.8% -0.7
玉米(c2701) 62 50.0% 1.31 1.71% -2.76% 0.53
棉花(cf2701) 63 49.21% 1.37 2.33% -4.62% 0.61
白糖(sr2701) 66 37.88% 0.62 -2.5% -10.42% -0.85
菜油(oi2701) 63 38.1% 0.68 -3.13% -13.99% -0.67
沪铜(cu2612) 63 49.21% 1.24 1.63% -5.13% 0.38
沪铝(al2612) 63 50.79% 1.11 0.76% -4.63% 0.18
沪锌(zn2612) 67 43.28% 0.96 -0.31% -7.66% -0.08
沪镍(ni2612) 65 35.38% 0.9 -1.02% -14.63% -0.18
沪锡(sn2611) 65 43.08% 0.95 -0.61% -13.52% -0.08
沪金(au2612) 75 68.0% 2.18 6.92% -3.42% 1.57
沪银(ag2612) 74 44.59% 0.93 -0.88% -15.73% -0.13
螺纹钢(rb2701) 65 36.92% 0.68 -2.96% -13.4% -0.77
热卷(hc2701) 65 38.46% 0.78 -1.9% -10.33% -0.54
铁矿石(i2701) 59 35.59% 0.72 -3.09% -12.84% -0.54
焦炭(j2701) 62 45.16% 0.9 -1.36% -12.93% -0.17
焦煤(jm2701) 66 46.97% 1.05 0.8% -16.27% 0.12
原油(sc2612) 68 47.06% 1.11 1.52% -10.52% 0.23
燃油(fu2701) 69 44.93% 1.18 2.31% -10.5% 0.33
甲醇(ma2701) 69 37.68% 0.87 -1.56% -15.31% -0.26
PTA(ta2701) 70 40.0% 0.93 -0.74% -11.44% -0.13
聚丙烯(pp2701) 64 42.19% 1.13 0.89% -8.81% 0.2
碳酸锂(lc2701) 56 64.29% 1.93 9.88% -7.44% 1.27
多晶硅(ps2611) 29 55.17% 1.4 5.64% -5.72% 0.7
生猪(lh2701) 64 50.0% 1.25 2.08% -6.76% 0.37
玻璃(fg2701) 62 38.71% 0.91 -1.51% -15.05% -0.18
纯碱(sa2701) 67 44.78% 0.9 -1.48% -14.94% -0.18
集运欧线(ec2611) 57 47.37% 0.99 -0.18% -19.06% 0.01

均线多空排列

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 49 36.73% 0.8 -1.17% -6.82% -0.41
豆粕(m2701) 44 50.0% 1.39 2.05% -5.06% 0.55
豆油(y2701) 41 31.71% 0.8 -1.09% -8.21% -0.36
棕榈油(p2701) 41 41.46% 1.26 1.24% -6.0% 0.31
玉米(c2701) 45 46.67% 1.04 0.16% -2.95% 0.03
棉花(cf2701) 46 52.17% 1.54 2.11% -3.43% 0.64
白糖(sr2701) 40 32.5% 0.71 -1.16% -4.58% -0.56
菜油(oi2701) 48 29.17% 0.64 -2.92% -11.95% -0.76
沪铜(cu2612) 48 45.83% 1.43 1.9% -3.56% 0.57
沪铝(al2612) 45 40.0% 1.13 0.55% -3.32% 0.16
沪锌(zn2612) 42 33.33% 0.85 -0.78% -7.31% -0.22
沪镍(ni2612) 45 28.89% 0.81 -1.36% -11.3% -0.34
沪锡(sn2611) 42 45.24% 1.21 1.34% -10.97% 0.28
沪金(au2612) 63 57.14% 1.67 3.94% -4.44% 1.04
沪银(ag2612) 52 48.08% 1.44 3.29% -7.85% 0.64
螺纹钢(rb2701) 38 39.47% 0.97 -0.13% -5.5% -0.05
热卷(hc2701) 42 35.71% 0.84 -0.74% -5.07% -0.27
铁矿石(i2701) 40 30.0% 0.75 -2.18% -12.85% -0.46
焦炭(j2701) 39 38.46% 0.78 -2.21% -12.58% -0.35
焦煤(jm2701) 43 44.19% 1.12 1.33% -15.53% 0.23
原油(sc2612) 44 54.55% 1.83 5.62% -8.14% 0.94
燃油(fu2701) 47 44.68% 1.41 3.27% -8.24% 0.55
甲醇(ma2701) 44 36.36% 0.97 -0.24% -10.2% -0.05
PTA(ta2701) 43 37.21% 0.92 -0.57% -7.18% -0.12
聚丙烯(pp2701) 45 37.78% 1.12 0.61% -9.11% 0.17
碳酸锂(lc2701) 46 56.52% 2.21 9.73% -6.79% 1.39
多晶硅(ps2611) 19 36.84% 0.73 -3.35% -10.44% -0.47
生猪(lh2701) 44 50.0% 1.39 2.22% -4.92% 0.49
玻璃(fg2701) 39 38.46% 0.85 -1.38% -9.54% -0.21
纯碱(sa2701) 38 44.74% 1.07 0.53% -6.19% 0.11
集运欧线(ec2611) 38 52.63% 1.87 9.65% -8.95% 1.33

三均线趋势

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 60 36.67% 0.99 -0.03% -5.51% -0.04
豆粕(m2701) 52 42.31% 1.21 1.25% -5.44% 0.33
豆油(y2701) 51 25.49% 0.74 -1.49% -9.85% -0.47
棕榈油(p2701) 61 31.15% 1.06 0.39% -9.44% 0.08
玉米(c2701) 51 49.02% 1.27 1.14% -3.0% 0.4
棉花(cf2701) 60 43.33% 1.51 2.39% -4.46% 0.68
白糖(sr2701) 47 29.79% 0.74 -0.94% -3.9% -0.43
菜油(oi2701) 56 28.57% 0.66 -2.75% -11.5% -0.71
沪铜(cu2612) 65 35.38% 1.23 1.29% -4.25% 0.36
沪铝(al2612) 63 30.16% 1.06 0.29% -3.98% 0.06
沪锌(zn2612) 54 33.33% 0.89 -0.7% -8.93% -0.2
沪镍(ni2612) 69 21.74% 0.84 -1.47% -12.1% -0.33
沪锡(sn2611) 62 35.48% 1.14 1.22% -10.95% 0.23
沪金(au2612) 82 47.56% 1.42 3.03% -7.05% 0.73
沪银(ag2612) 69 39.13% 1.32 2.79% -8.04% 0.5
螺纹钢(rb2701) 57 29.82% 0.87 -0.77% -6.76% -0.25
热卷(hc2701) 59 30.51% 0.85 -0.82% -5.68% -0.28
铁矿石(i2701) 49 26.53% 0.74 -2.24% -11.53% -0.45
焦炭(j2701) 53 32.08% 0.82 -2.27% -14.25% -0.35
焦煤(jm2701) 54 38.89% 1.18 2.04% -12.34% 0.33
原油(sc2612) 60 43.33% 1.58 5.09% -9.93% 0.8
燃油(fu2701) 55 41.82% 1.5 4.31% -7.33% 0.66
甲醇(ma2701) 53 33.96% 1.14 1.0% -7.88% 0.21
PTA(ta2701) 61 32.79% 1.07 0.49% -6.37% 0.1
聚丙烯(pp2701) 55 34.55% 1.22 1.15% -7.87% 0.31
碳酸锂(lc2701) 60 45.0% 1.73 8.11% -9.4% 1.09
多晶硅(ps2611) 21 33.33% 0.86 -1.48% -10.37% -0.17
生猪(lh2701) 58 39.66% 1.38 2.38% -6.0% 0.51
玻璃(fg2701) 50 36.0% 1.05 0.5% -9.04% 0.09
纯碱(sa2701) 58 32.76% 0.87 -1.41% -11.43% -0.25
集运欧线(ec2611) 43 46.51% 1.7 9.34% -9.64% 1.13

海龟突破

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 52 42.31% 0.81 -1.17% -7.07% -0.39
豆粕(m2701) 53 47.17% 1.27 2.11% -10.24% 0.47
豆油(y2701) 48 39.58% 0.95 -0.32% -9.3% -0.1
棕榈油(p2701) 48 47.92% 0.94 -0.49% -7.89% -0.1
玉米(c2701) 53 43.4% 0.98 -0.1% -4.73% -0.09
棉花(cf2701) 50 56.0% 1.61 2.55% -3.83% 0.76
白糖(sr2701) 53 35.85% 0.5 -3.18% -11.17% -1.31
菜油(oi2701) 43 41.86% 0.94 -0.38% -9.1% -0.09
沪铜(cu2612) 55 45.45% 1.0 0.01% -4.74% -0.02
沪铝(al2612) 53 50.94% 1.18 0.98% -6.05% 0.28
沪锌(zn2612) 51 37.25% 0.73 -2.19% -11.32% -0.57
沪镍(ni2612) 46 39.13% 0.73 -2.56% -14.89% -0.53
沪锡(sn2611) 45 42.22% 0.75 -2.44% -11.63% -0.47
沪金(au2612) 59 59.32% 1.65 4.06% -4.91% 1.06
沪银(ag2612) 54 46.3% 1.24 2.54% -9.99% 0.41
螺纹钢(rb2701) 50 48.0% 1.03 0.18% -5.93% 0.03
热卷(hc2701) 47 48.94% 1.01 0.08% -5.07% 0.01
铁矿石(i2701) 49 32.65% 0.62 -4.68% -20.75% -0.81
焦炭(j2701) 47 44.68% 0.97 -0.4% -14.51% -0.04
焦煤(jm2701) 54 44.44% 1.08 1.3% -21.14% 0.18
原油(sc2612) 52 50.0% 1.3 3.45% -9.49% 0.5
燃油(fu2701) 52 42.31% 0.99 -0.17% -11.26% -0.0
甲醇(ma2701) 54 35.19% 0.78 -2.75% -19.05% -0.49
PTA(ta2701) 47 42.55% 0.83 -1.6% -8.16% -0.31
聚丙烯(pp2701) 54 35.19% 0.7 -2.5% -12.43% -0.6
碳酸锂(lc2701) 47 51.06% 1.4 5.77% -11.03% 0.73
多晶硅(ps2611) 21 47.62% 0.92 -1.18% -12.99% -0.15
生猪(lh2701) 57 43.86% 0.92 -0.71% -9.85% -0.15
玻璃(fg2701) 44 50.0% 1.31 3.38% -10.19% 0.49
纯碱(sa2701) 50 50.0% 1.27 3.47% -11.28% 0.49
集运欧线(ec2611) 47 51.06% 1.59 9.18% -8.87% 0.97

动量突破

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 31 41.94% 1.01 0.04% -5.02% 0.0
豆粕(m2701) 27 51.85% 1.71 2.51% -5.59% 0.71
豆油(y2701) 23 34.78% 0.65 -1.45% -9.16% -0.52
棕榈油(p2701) 25 40.0% 1.07 0.31% -6.41% 0.08
玉米(c2701) 31 45.16% 0.98 -0.04% -3.79% -0.04
棉花(cf2701) 28 46.43% 1.27 0.74% -2.47% 0.28
白糖(sr2701) 25 36.0% 0.5 -1.51% -5.75% -0.79
菜油(oi2701) 26 26.92% 0.65 -1.78% -9.19% -0.53
沪铜(cu2612) 31 38.71% 0.87 -0.63% -6.63% -0.2
沪铝(al2612) 28 42.86% 0.99 -0.03% -3.84% -0.02
沪锌(zn2612) 28 42.86% 1.16 0.58% -4.09% 0.17
沪镍(ni2612) 24 37.5% 1.26 1.17% -5.95% 0.26
沪锡(sn2611) 27 37.04% 0.83 -1.11% -7.76% -0.24
沪金(au2612) 35 54.29% 1.69 2.74% -5.55% 0.76
沪银(ag2612) 30 46.67% 1.77 4.15% -10.27% 0.79
螺纹钢(rb2701) 30 36.67% 0.69 -1.45% -6.7% -0.49
热卷(hc2701) 27 33.33% 0.76 -0.97% -5.7% -0.34
铁矿石(i2701) 25 28.0% 0.58 -2.97% -10.22% -0.72
焦炭(j2701) 25 44.0% 0.95 -0.32% -9.43% -0.04
焦煤(jm2701) 32 43.75% 1.28 2.76% -11.36% 0.41
原油(sc2612) 31 45.16% 1.42 3.16% -11.89% 0.53
燃油(fu2701) 30 50.0% 1.75 5.14% -5.08% 0.74
甲醇(ma2701) 28 50.0% 1.34 1.93% -7.25% 0.4
PTA(ta2701) 28 39.29% 0.95 -0.27% -9.3% -0.05
聚丙烯(pp2701) 29 37.93% 1.34 1.14% -5.96% 0.29
碳酸锂(lc2701) 30 46.67% 1.57 5.74% -9.19% 0.8
多晶硅(ps2611) 11 54.55% 1.25 1.6% -7.52% 0.24
生猪(lh2701) 27 44.44% 1.19 0.86% -4.99% 0.2
玻璃(fg2701) 23 39.13% 0.95 -0.35% -8.56% -0.04
纯碱(sa2701) 29 41.38% 1.05 0.44% -10.5% 0.09
集运欧线(ec2611) 30 43.33% 1.39 4.82% -14.33% 0.58

波动率突破

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 66 39.39% 1.06 0.37% -5.97% 0.08
豆粕(m2701) 63 44.44% 1.53 3.79% -5.19% 0.79
豆油(y2701) 62 35.48% 0.9 -0.76% -10.11% -0.22
棕榈油(p2701) 65 35.38% 0.88 -1.23% -8.82% -0.26
玉米(c2701) 73 36.99% 1.07 0.42% -4.08% 0.1
棉花(cf2701) 66 43.94% 1.2 1.21% -3.47% 0.33
白糖(sr2701) 65 35.38% 0.68 -1.97% -8.34% -0.76
菜油(oi2701) 60 28.33% 0.67 -3.32% -15.25% -0.76
沪铜(cu2612) 67 40.3% 1.03 0.24% -6.72% 0.04
沪铝(al2612) 67 38.81% 0.93 -0.48% -7.84% -0.18
沪锌(zn2612) 66 34.85% 0.79 -1.72% -9.62% -0.45
沪镍(ni2612) 65 35.38% 0.85 -1.7% -11.91% -0.33
沪锡(sn2611) 60 35.0% 0.84 -1.91% -12.99% -0.33
沪金(au2612) 79 48.1% 1.41 3.27% -4.45% 0.72
沪银(ag2612) 73 41.1% 1.31 3.8% -11.0% 0.52
螺纹钢(rb2701) 58 39.66% 0.84 -1.02% -6.62% -0.3
热卷(hc2701) 59 42.37% 1.01 0.04% -4.86% -0.01
铁矿石(i2701) 71 26.76% 0.62 -6.16% -22.99% -0.97
焦炭(j2701) 69 28.99% 0.68 -5.55% -23.22% -0.75
焦煤(jm2701) 65 38.46% 1.03 0.45% -18.93% 0.08
原油(sc2612) 74 33.78% 0.95 -0.86% -15.47% -0.09
燃油(fu2701) 72 30.56% 0.72 -4.84% -22.3% -0.6
甲醇(ma2701) 72 30.56% 0.75 -3.76% -17.18% -0.61
PTA(ta2701) 66 31.82% 0.66 -4.05% -14.65% -0.79
聚丙烯(pp2701) 72 30.56% 0.86 -1.14% -11.07% -0.26
碳酸锂(lc2701) 58 43.1% 1.2 3.97% -11.72% 0.46
多晶硅(ps2611) 27 44.44% 1.35 5.78% -13.03% 0.7
生猪(lh2701) 69 36.23% 0.92 -0.75% -9.82% -0.16
玻璃(fg2701) 57 43.86% 1.22 3.01% -11.88% 0.4
纯碱(sa2701) 69 43.48% 1.32 5.0% -10.9% 0.6
集运欧线(ec2611) 60 41.67% 1.41 10.01% -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(a2701) 31 29.03% 0.72 -1.02% -6.41% -0.46
豆粕(m2701) 35 34.29% 0.83 -0.88% -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 -1.46% -11.45% -0.43
玉米(c2701) 38 36.84% 1.05 0.17% -4.01% 0.05
棉花(cf2701) 36 27.78% 0.56 -1.78% -7.0% -0.75
白糖(sr2701) 22 36.36% 0.77 -0.42% -3.86% -0.33
菜油(oi2701) 21 52.38% 1.53 1.36% -3.04% 0.47
沪铜(cu2612) 34 26.47% 0.7 -1.41% -9.02% -0.47
沪铝(al2612) 27 29.63% 0.86 -0.41% -5.06% -0.19
沪锌(zn2612) 23 34.78% 0.88 -0.37% -6.55% -0.13
沪镍(ni2612) 24 41.67% 1.23 0.9% -5.38% 0.23
沪锡(sn2611) 26 34.62% 0.66 -1.78% -12.71% -0.39
沪金(au2612) 53 22.64% 1.01 0.04% -7.32% -0.0
沪银(ag2612) 46 21.74% 0.48 -6.23% -28.88% -1.05
螺纹钢(rb2701) 25 24.0% 0.58 -1.52% -8.57% -0.6
热卷(hc2701) 29 24.14% 0.58 -1.62% -8.73% -0.65
铁矿石(i2701) 17 70.59% 4.33 4.55% -3.61% 1.35
焦炭(j2701) 19 47.37% 1.76 2.82% -4.72% 0.66
焦煤(jm2701) 23 43.48% 1.73 4.0% -6.27% 0.63
原油(sc2612) 37 24.32% 0.69 -3.2% -16.81% -0.44
燃油(fu2701) 33 18.18% 0.33 -6.78% -22.74% -1.2
甲醇(ma2701) 27 18.52% 0.34 -4.92% -19.59% -1.03
PTA(ta2701) 27 33.33% 1.11 0.6% -8.68% 0.14
聚丙烯(pp2701) 33 36.36% 0.97 -0.16% -10.46% -0.04
碳酸锂(lc2701) 37 18.92% 0.39 -9.06% -25.0% -1.15
多晶硅(ps2611) 13 30.77% 0.52 -5.09% -10.37% -0.83
生猪(lh2701) 28 35.71% 0.84 -0.61% -7.94% -0.17
玻璃(fg2701) 25 40.0% 1.16 0.99% -10.7% 0.21
纯碱(sa2701) 28 32.14% 0.97 -0.22% -10.4% -0.02
集运欧线(ec2611) 39 30.77% 0.78 -3.84% -20.79% -0.32

RSI极值反转

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 14 57.14% 2.14 1.16% -2.08% 0.63
豆粕(m2701) 24 29.17% 0.48 -2.44% -10.09% -1.08
豆油(y2701) 12 58.33% 1.63 0.79% -2.26% 0.47
棕榈油(p2701) 13 15.38% 0.23 -2.45% -8.66% -1.26
玉米(c2701) 14 71.43% 3.38 1.61% -1.03% 1.09
棉花(cf2701) 16 50.0% 1.15 0.24% -3.29% 0.11
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(cu2612) 16 31.25% 0.6 -1.06% -4.41% -0.49
沪铝(al2612) 9 44.44% 0.71 -0.35% -2.58% -0.26
沪锌(zn2612) 8 37.5% 1.03 0.03% -3.85% 0.01
沪镍(ni2612) 13 53.85% 0.9 -0.24% -5.37% -0.09
沪锡(sn2611) 10 20.0% 0.36 -2.03% -6.93% -0.86
沪金(au2612) 23 34.78% 0.9 -0.32% -4.66% -0.12
沪银(ag2612) 20 20.0% 0.38 -3.7% -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 0.74% -3.87% 0.27
焦煤(jm2701) 9 22.22% 0.38 -2.3% -11.28% -0.79
原油(sc2612) 15 53.33% 1.58 1.41% -4.28% 0.39
燃油(fu2701) 10 30.0% 0.65 -1.06% -7.95% -0.34
甲醇(ma2701) 13 23.08% 0.23 -3.2% -10.76% -1.06
PTA(ta2701) 8 37.5% 1.11 0.19% -4.34% 0.07
聚丙烯(pp2701) 13 15.38% 0.27 -2.7% -11.54% -1.08
碳酸锂(lc2701) 25 28.0% 0.6 -3.78% -15.29% -0.68
多晶硅(ps2611) 9 33.33% 0.74 -1.79% -7.97% -0.34
生猪(lh2701) 14 42.86% 1.16 0.33% -3.25% 0.12
玻璃(fg2701) 8 25.0% 0.55 -1.26% -5.74% -0.45
纯碱(sa2701) 17 41.18% 0.67 -1.71% -16.12% -0.39
集运欧线(ec2611) 24 25.0% 0.38 -7.15% -23.32% -1.34

MACD+KDJ双确认

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 18 66.67% 2.94 1.88% -2.97% 0.89
豆粕(m2701) 25 40.0% 0.86 -0.59% -6.72% -0.2
豆油(y2701) 21 38.1% 0.58 -1.37% -7.28% -0.59
棕榈油(p2701) 24 50.0% 1.2 0.76% -6.01% 0.2
玉米(c2701) 23 47.83% 1.29 0.57% -2.9% 0.31
棉花(cf2701) 24 41.67% 0.94 -0.19% -3.73% -0.1
白糖(sr2701) 17 58.82% 1.55 0.72% -3.92% 0.4
菜油(oi2701) 22 45.45% 0.77 -0.83% -7.02% -0.27
沪铜(cu2612) 22 50.0% 1.75 1.4% -3.5% 0.62
沪铝(al2612) 20 50.0% 0.97 -0.07% -3.69% -0.05
沪锌(zn2612) 27 48.15% 0.86 -0.48% -5.5% -0.2
沪镍(ni2612) 25 36.0% 0.5 -2.65% -10.74% -0.8
沪锡(sn2611) 21 61.9% 2.08 3.06% -8.12% 0.8
沪金(au2612) 21 66.67% 2.46 2.16% -1.64% 0.94
沪银(ag2612) 20 35.0% 0.76 -1.17% -9.1% -0.37
螺纹钢(rb2701) 25 36.0% 0.53 -2.01% -9.87% -0.77
热卷(hc2701) 22 22.73% 0.4 -2.22% -7.74% -1.0
铁矿石(i2701) 19 52.63% 1.17 0.61% -5.61% 0.17
焦炭(j2701) 22 40.91% 0.76 -1.39% -8.76% -0.27
焦煤(jm2701) 20 45.0% 1.1 0.54% -8.65% 0.12
原油(sc2612) 27 37.04% 0.69 -2.17% -13.51% -0.45
燃油(fu2701) 22 36.36% 0.92 -0.43% -13.24% -0.07
甲醇(ma2701) 21 38.1% 0.6 -1.75% -11.6% -0.47
PTA(ta2701) 27 37.04% 0.89 -0.59% -5.61% -0.16
聚丙烯(pp2701) 23 56.52% 2.59 2.25% -2.91% 0.8
碳酸锂(lc2701) 16 56.25% 1.57 1.92% -3.64% 0.46
多晶硅(ps2611) 9 55.56% 1.82 3.89% -3.83% 0.8
生猪(lh2701) 22 54.55% 1.37 1.14% -4.65% 0.35
玻璃(fg2701) 15 20.0% 0.26 -3.48% -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 -1.6% -8.42% -0.38

价量背离

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 21 38.1% 1.27 0.43% -2.73% 0.23
豆粕(m2701) 11 36.36% 0.89 -0.14% -2.88% -0.09
豆油(y2701) 12 25.0% 0.5 -0.78% -5.33% -0.54
棕榈油(p2701) 10 10.0% 0.08 -1.58% -6.28% -0.91
玉米(c2701) 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 1.11% -1.28% 0.84
菜油(oi2701) 12 41.67% 1.4 0.5% -2.13% 0.25
沪铜(cu2612) 10 20.0% 0.15 -1.19% -4.14% -0.84
沪铝(al2612) 14 50.0% 1.74 0.81% -1.87% 0.54
沪锌(zn2612) 8 50.0% 1.64 0.48% -2.05% 0.33
沪镍(ni2612) 17 58.82% 2.06 2.01% -3.13% 0.68
沪锡(sn2611) 22 22.73% 0.26 -3.63% -12.51% -1.21
沪金(au2612) 21 14.29% 0.43 -1.44% -7.08% -0.91
沪银(ag2612) 25 36.0% 1.07 0.35% -9.91% 0.09
螺纹钢(rb2701) 14 50.0% 1.87 0.82% -1.58% 0.46
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 22.22% 0.66 -1.36% -5.3% -0.4
焦煤(jm2701) 18 38.89% 1.26 1.18% -6.86% 0.32
原油(sc2612) 29 24.14% 0.62 -2.41% -10.24% -0.49
燃油(fu2701) 24 41.67% 1.36 1.66% -6.14% 0.34
甲醇(ma2701) 17 41.18% 1.03 0.09% -3.73% 0.03
PTA(ta2701) 12 33.33% 1.07 0.11% -5.72% 0.05
聚丙烯(pp2701) 14 42.86% 3.16 2.09% -1.84% 0.99
碳酸锂(lc2701) 15 26.67% 0.64 -1.8% -7.21% -0.41
多晶硅(ps2611) 12 33.33% 0.94 -0.39% -5.87% -0.06
生猪(lh2701) 26 30.77% 0.84 -0.57% -6.02% -0.19
玻璃(fg2701) 22 45.45% 1.43 1.76% -6.39% 0.35
纯碱(sa2701) 20 5.0% 0.11 -5.03% -18.77% -1.24
集运欧线(ec2611) 30 40.0% 1.35 3.91% -8.98% 0.45

跳空缺口

品种交易胜率盈亏年化回撤夏普
豆一(a2701) 6 33.33% 0.55 -0.26% -2.85% -0.28
豆粕(m2701) 7 71.43% 2.32 0.62% -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 1.05% -2.02% 0.68
玉米(c2701) 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 0.73% -1.62% 0.63
菜油(oi2701) 2 50.0% 1.45 0.08% -0.87% 0.13
沪铜(cu2612) 16 37.5% 0.99 -0.02% -2.81% -0.04
沪铝(al2612) 4 75.0% 4.66 0.44% -0.54% 0.79
沪锌(zn2612) 8 37.5% 1.17 0.12% -1.58% 0.09
沪镍(ni2612) 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 66.67% 2.24 1.77% -1.93% 0.96
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 50.0% 0.69 -0.32% -2.11% -0.27
焦炭(j2701) 6 33.33% 0.5 -0.84% -4.83% -0.38
焦煤(jm2701) 7 42.86% 0.83 -0.27% -3.54% -0.14
原油(sc2612) 19 47.37% 1.13 0.53% -4.87% 0.13
燃油(fu2701) 26 53.85% 1.32 1.49% -7.62% 0.34
甲醇(ma2701) 5 20.0% 0.26 -1.05% -4.11% -0.59
PTA(ta2701) 6 50.0% 1.01 0.01% -2.1% 0.01
聚丙烯(pp2701) 7 57.14% 2.1 0.39% -1.63% 0.36
碳酸锂(lc2701) 5 40.0% 0.6 -0.84% -4.11% -0.31
多晶硅(ps2611) 4 75.0% 3.92 2.84% -1.43% 1.44
生猪(lh2701) 18 44.44% 0.74 -0.72% -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 -1.98% -6.92% -1.09
集运欧线(ec2611) 24 45.83% 0.81 -1.43% -11.94% -0.25