螺纹钢期货海龟交易策略:年化收益率（6.01%）
以螺纹钢期货的主力合约进行因子计算，产生交易信号。然后具体交易在当期主力合约品种上。价格上穿近期上轨做多，价格下穿近期下轨做空。无止盈止损。
概要
核心指标
- 累计收益率: 29.3%
- 年化收益率: 6.01%
- 基准收益率: -23.02%
- 阿尔法: 0.04
- 夏普比率: 0.34
- 最大回撤: 17.6%
源码
查看AI策略代码
绩效
持仓详情
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-01 | 螺纹钢2510(rb2510.SHF) | 3158 | 0 | 80 | 3203 | 0 | 0/0% |
| 2025-08-01 | 螺纹钢2510(rb2510.SHF) | 2998 | -1 | 80 | 3203 | 0 | -2050/0% |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 3158 | 0 | 79 | 3205 | 0 | 0/0% |
| 2025-07-31 | 螺纹钢2510(rb2510.SHF) | 2998 | -1 | 79 | 3205 | 0 | -2070/0% |
| 2025-07-30 | 螺纹钢2510(rb2510.SHF) | 3158 | 0 | 78 | 3315 | 0 | 0/0% |
| 2025-07-30 | 螺纹钢2510(rb2510.SHF) | 2998 | -1 | 78 | 3315 | 0 | -3170/0% |
| 2025-07-29 | 螺纹钢2510(rb2510.SHF) | 3158 | 0 | 77 | 3347 | 0 | 0/0% |
| 2025-07-29 | 螺纹钢2510(rb2510.SHF) | 2998 | -1 | 77 | 3347 | 0 | -3490/0% |
| 2025-07-28 | 螺纹钢2510(rb2510.SHF) | 3158 | 0 | 76 | 3248 | 0 | 0/0% |
| 2025-07-28 | 螺纹钢2510(rb2510.SHF) | 2998 | -1 | 76 | 3248 | 0 | -2500/0% |
交易详情
| 2025-06-30 | 螺纹钢2510(rb2510.SHF) | 卖 | -1 | 2998 | -2998 | ¥2 | -1600 |
| 2025-06-30 | 螺纹钢2510(rb2510.SHF) | 卖 | -1 | 2998 | -2998 | ¥2 | 0 |
| 2025-04-08 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3078 | -3078 | ¥2 | -1820 |
| 2025-04-08 | 螺纹钢2510(rb2510.SHF) | 买 | 1 | 3158 | 3158 | ¥2 | 0 |
| 2025-03-06 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3260 | 3260 | ¥2 | 1110 |
| 2025-03-06 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3260 | 3260 | ¥2 | 0 |
| 2025-01-20 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3371 | -3371 | ¥2 | 1060 |
| 2025-01-20 | 螺纹钢2505(rb2505.SHF) | 卖 | -1 | 3371 | -3371 | ¥2 | 0 |
| 2024-12-30 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3265 | 3265 | ¥2 | 1370 |
| 2024-12-30 | 螺纹钢2505(rb2505.SHF) | 买 | 1 | 3265 | 3265 | ¥2 | 0 |
