橡胶期货均线突破策略:年化收益率（12.93%）
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: 67.6%
- 年化收益率: 12.93%
- 基准收益率: -26.46%
- 阿尔法: 0.12
- 夏普比率: 0.53
- 最大回撤: 21.64%
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 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 41 | 13650 | 0 | -19300/0% |
| 2025-06-05 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 40 | 13545 | 0 | -20350/0% |
| 2025-06-04 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 39 | 13655 | 0 | -19250/0% |
| 2025-06-03 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 38 | 13450 | 0 | -21300/0% |
| 2025-05-30 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 37 | 13405 | 0 | -21750/0% |
| 2025-05-29 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 36 | 13880 | 0 | -17000/0% |
| 2025-05-28 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 35 | 13805 | 0 | -17750/0% |
| 2025-05-27 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 34 | 14495 | 0 | -10850/0% |
| 2025-05-26 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 33 | 14400 | 0 | -11800/0% |
| 2025-05-23 | 橡胶2509(ru2509.SHF) | 15580 | 1 | 32 | 14535 | 0 | -10450/0% |
交易详情
| 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 |
| 2024-12-04 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 18700 | -18700 | ¥2 | 6400 |
| 2024-12-04 | 橡胶2505(ru2505.SHF) | 卖 | -1 | 18700 | -18700 | ¥2 | 0 |
