橡胶期货均线突破策略:年化收益率（11.5%）
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: 73.12%
- 年化收益率: 11.5%
- 基准收益率: -14.97%
- 阿尔法: 0.11
- 夏普比率: 0.48
- 最大回撤: 26.87%
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 | 橡胶2609(ru2609.SHF) | 16410 | 1 | 2 | 16765 | 0 | 3550/0% |
| 2026-04-01 | 橡胶2609(ru2609.SHF) | 16410 | 1 | 1 | 16505 | 0 | 950/0% |
| 2026-04-01 | 橡胶2605(ru2605.SHF) | 16050 | 0 | 78 | 16415 | 0 | 0/0% |
| 2026-04-01 | 橡胶2605(ru2605.SHF) | 15155 | 0 | 78 | 16415 | 0 | 0/0% |
| 2026-03-31 | 橡胶2605(ru2605.SHF) | 16050 | 1 | 77 | 16345 | 0 | 2950/0% |
| 2026-03-31 | 橡胶2605(ru2605.SHF) | 15155 | 0 | 77 | 16345 | 0 | 0/0% |
| 2026-03-30 | 橡胶2605(ru2605.SHF) | 16050 | 1 | 76 | 16540 | 0 | 4900/0% |
| 2026-03-30 | 橡胶2605(ru2605.SHF) | 15155 | 0 | 76 | 16540 | 0 | 0/0% |
| 2026-03-27 | 橡胶2605(ru2605.SHF) | 16050 | 1 | 75 | 16510 | 0 | 4600/0% |
| 2026-03-27 | 橡胶2605(ru2605.SHF) | 15155 | 0 | 75 | 16510 | 0 | 0/0% |
交易详情
| 2026-04-01 | 橡胶2605(ru2605.SHF) | 卖 | -1 | 16400 | -16400 | ¥2 | 3500 |
| 2026-04-01 | 橡胶2609(ru2609.SHF) | 买 | 1 | 16410 | 16410 | ¥2 | 0 |
| 2026-03-23 | 橡胶2605(ru2605.SHF) | 买 | 1 | 16050 | 16050 | ¥2 | -8950 |
| 2026-03-23 | 橡胶2605(ru2605.SHF) | 买 | 1 | 16050 | 16050 | ¥2 | 0 |
| 2025-12-17 | 橡胶2605(ru2605.SHF) | 卖 | -1 | 15155 | -15155 | ¥2 | 1150 |
| 2025-12-17 | 橡胶2605(ru2605.SHF) | 卖 | -1 | 15155 | -15155 | ¥2 | 0 |
| 2025-12-09 | 橡胶2605(ru2605.SHF) | 买 | 1 | 15040 | 15040 | ¥2 | 3100 |
| 2025-12-09 | 橡胶2605(ru2605.SHF) | 买 | 1 | 15040 | 15040 | ¥2 | 0 |
| 2025-12-03 | 橡胶2601(ru2601.SHF) | 买 | 1 | 15340 | 15340 | ¥2 | 700 |
| 2025-12-03 | 橡胶2605(ru2605.SHF) | 卖 | -1 | 15350 | -15350 | ¥2 | 0 |
