平移的高低点均值通道与K线中值突破期货策略:年化收益率（11.6%）
本策略基于均线中值和长期高低点构架通道突破，旨在捕捉特定期货品种的盈利机会
概要
核心指标
- 累计收益率: 38.74%
- 年化收益率: 11.6%
- 基准收益率: -23.38%
- 阿尔法: 0.11
- 夏普比率: 0.48
- 最大回撤: 35.17%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2023-11-10 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 59 | 1999 | 0 | 177000/0% |
| 2023-11-09 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 58 | 1964 | 0 | 166500/0% |
| 2023-11-08 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 57 | 1957 | 0 | 164400/0% |
| 2023-11-07 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 56 | 1911.5 | 0 | 150750/0% |
| 2023-11-06 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 55 | 1894.5 | 0 | 145650/0% |
| 2023-11-03 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 54 | 1874 | 0 | 139500/0% |
| 2023-11-02 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 53 | 1805.5 | 0 | 118950/0% |
| 2023-11-01 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 52 | 1814.5 | 0 | 121650/0% |
| 2023-10-31 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 51 | 1815 | 0 | 121800/0% |
| 2023-10-30 | 焦煤2401(jm2401.DCE) | 1409 | 5 | 50 | 1839 | 0 | 129000/0% |
交易详情
| 2023-08-14 | 焦煤2309(jm2309.DCE) | 卖 | -5 | 1466.5 | -7332.5 | ¥10 | 37950 |
| 2023-08-14 | 焦煤2401(jm2401.DCE) | 买 | 5 | 1409 | 7045 | ¥10 | 0 |
| 2023-06-15 | 焦煤2309(jm2309.DCE) | 买 | 5 | 1340 | 6700 | ¥10 | 60150 |
| 2023-06-15 | 焦煤2309(jm2309.DCE) | 买 | 5 | 1340 | 6700 | ¥10 | 0 |
| 2023-04-17 | 焦煤2305(jm2305.DCE) | 买 | 5 | 1717 | 8585 | ¥10 | 22200 |
| 2023-04-17 | 焦煤2309(jm2309.DCE) | 卖 | -5 | 1540.5 | -7702.5 | ¥10 | 0 |
| 2023-04-04 | 焦煤2305(jm2305.DCE) | 卖 | -5 | 1791 | -8955 | ¥10 | -53700 |
| 2023-04-04 | 焦煤2305(jm2305.DCE) | 卖 | -5 | 1791 | -8955 | ¥10 | 0 |
| 2023-02-22 | 焦煤2305(jm2305.DCE) | 买 | 5 | 1970 | 9850 | ¥10 | -43650 |
| 2023-02-22 | 焦煤2305(jm2305.DCE) | 买 | 5 | 1970 | 9850 | ¥10 | 0 |
