橡胶期货均线突破策略:年化收益率（13.52%）
以橡胶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。均线金叉做多，均线死叉做空。无止盈止损。
概要
核心指标
- 累计收益率: 74.8%
- 年化收益率: 13.52%
- 基准收益率: -23.02%
- 阿尔法: 0.13
- 夏普比率: 0.56
- 最大回撤: 23.11%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-01 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 81 | 14310 | 0 | 0/0% |
| 2025-08-01 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 81 | 14310 | 0 | 300/0% |
| 2025-07-31 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 80 | 14560 | 0 | 0/0% |
| 2025-07-31 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 80 | 14560 | 0 | -2200/0% |
| 2025-07-30 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 79 | 14945 | 0 | 0/0% |
| 2025-07-30 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 79 | 14945 | 0 | -6050/0% |
| 2025-07-29 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 78 | 15010 | 0 | 0/0% |
| 2025-07-29 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 78 | 15010 | 0 | -6700/0% |
| 2025-07-28 | 橡胶2509(ru2509.SHF) | 15580 | 0 | 77 | 15065 | 0 | 0/0% |
| 2025-07-28 | 橡胶2509(ru2509.SHF) | 14340 | -1 | 77 | 15065 | 0 | -7250/0% |
交易详情
| 2025-07-14 | 橡胶2509(ru2509.SHF) | 卖 | -1 | 14340 | -14340 | ¥2 | -12400 |
| 2025-07-14 | 橡胶2509(ru2509.SHF) | 卖 | -1 | 14340 | -14340 | ¥2 | 0 |
| 2025-05-15 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 14860 | -14860 | ¥0 | -22200 |
| 2025-04-07 | 橡胶2509(ru2509.SHF) | 买 | 1 | 15580 | 15580 | ¥2 | 0 |
| 2025-03-11 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17080 | 17080 | ¥2 | 8750 |
| 2025-03-11 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17080 | 17080 | ¥2 | 0 |
| 2025-02-17 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 17955 | -17955 | ¥2 | 3550 |
| 2025-02-17 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 17955 | -17955 | ¥2 | 0 |
| 2024-12-23 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17600 | 17600 | ¥2 | 11000 |
| 2024-12-23 | 橡胶2505(ru2505.SHF) | 买 | 1 | 17600 | 17600 | ¥2 | 0 |
