基于平移布林通道的期货策略:年化收益率（96.68%）
基于布林带指标的期货交易策略，通过计算上轨和下轨生成买卖信号，当收盘价突破上轨时触发买入信号，跌破下轨时触发卖出信号。
概要
核心指标
- 累计收益率: 31.14%
- 年化收益率: 96.68%
- 基准收益率: 1.4%
- 阿尔法: 1.16
- 夏普比率: 1.64
- 最大回撤: 17.91%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-06-06 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 40 | 2975 | 0 | 18300/0% |
| 2025-06-05 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 39 | 2959 | 0 | 19900/0% |
| 2025-06-04 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 38 | 2974 | 0 | 18400/0% |
| 2025-06-03 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 37 | 2928 | 0 | 23000/0% |
| 2025-05-30 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 36 | 2961 | 0 | 19700/0% |
| 2025-05-29 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 35 | 2978 | 0 | 18000/0% |
| 2025-05-28 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 34 | 2964 | 0 | 19400/0% |
| 2025-05-27 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 33 | 2980 | 0 | 17800/0% |
| 2025-05-26 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 32 | 3004 | 0 | 15400/0% |
| 2025-05-23 | 螺纹钢2510(rb2510.SHF) | 3158 | -10 | 31 | 3046 | 0 | 11200/0% |
交易详情
| 2025-04-08 | 螺纹钢2505(rb2505.SHF) | 买 | 10 | 3078 | 30780 | ¥20 | 12900 |
| 2025-04-08 | 螺纹钢2510(rb2510.SHF) | 卖 | -10 | 3158 | -31580 | ¥20 | 0 |
| 2025-01-09 | 螺纹钢2505(rb2505.SHF) | 卖 | -10 | 3207 | -32070 | ¥20 | 0 |
