五日换手波动率良性期货策略:年化收益率（10.43%）
五日换手波动率期货策略是一种基于换手率进行波动率分析的策略，该策略的核心在于利用换手率的波动来捕捉市场的短期动向，三日卖出换手波动率稳定的期货，且在价格低位买入。
概要
核心指标
- 累计收益率: 36.17%
- 年化收益率: 10.43%
- 基准收益率: 15.05%
- 阿尔法: 0.33
- 夏普比率: 0.43
- 最大回撤: 68.62%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-04-02 | 玉米2605(c2605.DCE) | 2346 | 1 | 6 | 2356 | 0 | 100/0% |
| 2026-04-02 | 玉米2605(c2605.DCE) | 2359.6363636364 | -11 | 6 | 2356 | 0 | 400/0% |
| 2026-04-02 | 玻璃605(FG605.CZC) | 1039 | 14 | 9 | 1002 | 0 | -10360/0% |
| 2026-04-02 | 玻璃605(FG605.CZC) | 1055 | 0 | 9 | 1002 | 0 | 0/0% |
| 2026-04-01 | 玉米2605(c2605.DCE) | 2346 | 1 | 5 | 2350 | 0 | 40/0% |
| 2026-04-01 | 玉米2605(c2605.DCE) | 2359.6363636364 | -11 | 5 | 2350 | 0 | 1060/0% |
| 2026-04-01 | 玻璃605(FG605.CZC) | 1039 | 14 | 8 | 999 | 0 | -11200/0% |
| 2026-04-01 | 玻璃605(FG605.CZC) | 1055 | 0 | 8 | 999 | 0 | 0/0% |
| 2026-03-31 | 玉米2605(c2605.DCE) | 2346 | 1 | 4 | 2351 | 0 | 50/0% |
| 2026-03-31 | 玉米2605(c2605.DCE) | 2359.6363636364 | -11 | 4 | 2351 | 0 | 950/0% |
交易详情
| 2026-03-31 | 玉米2605(c2605.DCE) | 卖 | -5 | 2346 | -11730 | ¥10 | -1500 |
| 2026-03-31 | 玉米2605(c2605.DCE) | 卖 | -6 | 2346 | -14076 | ¥12 | 0 |
| 2026-03-31 | 玻璃605(FG605.CZC) | 买 | 26 | 1039 | 27014 | ¥52 | 8320 |
| 2026-03-31 | 玻璃605(FG605.CZC) | 买 | 14 | 1039 | 14546 | ¥28 | 0 |
| 2026-03-31 | 玉米2605(c2605.DCE) | 买 | 1 | 2346 | 2346 | ¥2 | 0 |
| 2026-03-31 | 热轧卷板2605(hc2605.SHF) | 买 | 8 | 3306 | 26448 | ¥16 | -280 |
| 2026-03-31 | 螺纹钢2605(rb2605.SHF) | 买 | 8 | 3145 | 25160 | ¥16 | -1560 |
| 2026-03-31 | PTA605(TA605.CZC) | 买 | 3 | 6720 | 20160 | ¥6 | 860 |
| 2026-03-31 | 豆粕2605(m2605.DCE) | 买 | 4 | 2934 | 11736 | ¥8 | 320 |
| 2026-03-26 | 热轧卷板2605(hc2605.SHF) | 卖 | -4 | 3310 | -13240 | ¥8 | 600 |
