置换均线二次穿越突破系统螺纹钢期货策略:年化收益率（110.38%）
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: 86.4%
- 年化收益率: 110.38%
- 基准收益率: 10.22%
- 阿尔法: 1.16
- 夏普比率: 2.18
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-06-06 | 焦煤2509(jm2509.DCE) | 984 | -20 | 34 | 778.5 | 0 | 246600/0% |
| 2025-06-05 | 焦煤2509(jm2509.DCE) | 984 | -20 | 33 | 757 | 0 | 272400/0% |
| 2025-06-04 | 焦煤2509(jm2509.DCE) | 984 | -20 | 32 | 768 | 0 | 259200/0% |
| 2025-06-03 | 焦煤2509(jm2509.DCE) | 984 | -20 | 31 | 719 | 0 | 318000/0% |
| 2025-05-30 | 焦煤2509(jm2509.DCE) | 984 | -20 | 30 | 726 | 0 | 309600/0% |
| 2025-05-29 | 焦煤2509(jm2509.DCE) | 984 | -20 | 29 | 759 | 0 | 270000/0% |
| 2025-05-28 | 焦煤2509(jm2509.DCE) | 984 | -20 | 28 | 779 | 0 | 246000/0% |
| 2025-05-27 | 焦煤2509(jm2509.DCE) | 984 | -20 | 27 | 799.5 | 0 | 221400/0% |
| 2025-05-26 | 焦煤2509(jm2509.DCE) | 984 | -20 | 26 | 799.5 | 0 | 221400/0% |
| 2025-05-23 | 焦煤2509(jm2509.DCE) | 984 | -20 | 25 | 801.5 | 0 | 219000/0% |
交易详情
| 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 |
| 2024-12-19 | 焦煤2501(jm2501.DCE) | 买 | 20 | 1125.5 | 22510 | ¥40 | 240000 |
| 2024-12-19 | 焦煤2505(jm2505.DCE) | 卖 | -20 | 1166 | -23320 | ¥40 | 0 |
| 2024-10-24 | 焦煤2501(jm2501.DCE) | 卖 | -20 | 1325.5 | -26510 | ¥40 | 0 |
| 2024-10-23 | 焦煤2501(jm2501.DCE) | 卖 | -20 | 1342 | -26840 | ¥40 | 26400 |
