置换均线二次穿越突破系统螺纹钢期货策略:年化收益率（112.1%）
本策略是基于置换均线的二次穿越突破系统，寻求一定周期内的二次穿越蕴含的盈利机会
概要
核心指标
- 累计收益率: 111.46%
- 年化收益率: 112.1%
- 基准收益率: 15.36%
- 阿尔法: 1.17
- 夏普比率: 2.22
- 最大回撤: 23.08%
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 | 焦煤2601(jm2601.DCE) | 1120 | 20 | 1 | 1092.5 | 0 | -33000/0% |
| 2025-08-01 | 焦煤2509(jm2509.DCE) | 793.5 | 0 | 74 | 985 | 0 | 0/0% |
| 2025-08-01 | 焦煤2509(jm2509.DCE) | 984 | 0 | 74 | 985 | 0 | 0/0% |
| 2025-07-31 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 73 | 1045.5 | 0 | 302400/0% |
| 2025-07-31 | 焦煤2509(jm2509.DCE) | 984 | 0 | 73 | 1045.5 | 0 | 0/0% |
| 2025-07-30 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 72 | 1117 | 0 | 388200/0% |
| 2025-07-30 | 焦煤2509(jm2509.DCE) | 984 | 0 | 72 | 1117 | 0 | 0/0% |
| 2025-07-29 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 71 | 1120.5 | 0 | 392400/0% |
| 2025-07-29 | 焦煤2509(jm2509.DCE) | 984 | 0 | 71 | 1120.5 | 0 | 0/0% |
| 2025-07-28 | 焦煤2509(jm2509.DCE) | 793.5 | 20 | 70 | 1100.5 | 0 | 368400/0% |
交易详情
| 2025-08-01 | 焦煤2509(jm2509.DCE) | 卖 | -20 | 1045 | -20900 | ¥40 | 301800 |
| 2025-08-01 | 焦煤2601(jm2601.DCE) | 买 | 20 | 1120 | 22400 | ¥40 | 0 |
| 2025-06-17 | 焦煤2509(jm2509.DCE) | 买 | 20 | 793.5 | 15870 | ¥40 | 228600 |
| 2025-06-17 | 焦煤2509(jm2509.DCE) | 买 | 20 | 793.5 | 15870 | ¥40 | 0 |
| 2025-04-16 | 焦煤2505(jm2505.DCE) | 买 | 20 | 910 | 18200 | ¥40 | 220800 |
| 2025-04-16 | 焦煤2509(jm2509.DCE) | 卖 | -20 | 984 | -19680 | ¥40 | 0 |
| 2025-02-14 | 焦煤2505(jm2505.DCE) | 卖 | -20 | 1094 | -21880 | ¥40 | -91200 |
| 2025-02-14 | 焦煤2505(jm2505.DCE) | 卖 | -20 | 1094 | -21880 | ¥40 | 0 |
| 2025-01-20 | 焦煤2505(jm2505.DCE) | 买 | 20 | 1170 | 23400 | ¥40 | -4800 |
| 2025-01-20 | 焦煤2505(jm2505.DCE) | 买 | 20 | 1170 | 23400 | ¥40 | 0 |
