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| 品种 | 类别 | 合约链条 | 主力-远月价差 | 年化贴水↓ | 1Y分位 | 信号 | 起始 | 年化收益 | 最大回撤 | 波动 | 夏普 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 燃油 | 能源 | FU 26-11→FU 26-12 5450.0 → 5050.0 | +400.0 | +88.1% | 97% | 强贴水 | 2018-06-26 | +168.8% 贴+22.2%|价+146.6% | -38.8% | +56.8% | +2.94 |
| 沥青 | 能源 | BU 26-11→BU 26-12 4910.0 → 4588.0 | +322.0 | +78.7% | 94% | 强贴水 | 2018-07-13 | +97.5% 贴+22.2%|价+75.3% | -18.1% | +37.5% | +2.54 |
| 鸡蛋 | 农业 | JD 26-12→JD 27-01 3351.0 → 3142.0 | +209.0 | +74.8% | 92% | 强贴水 | 2018-07-13 | +4.7% 贴-13.9%|价+18.6% | -21.3% | +22.6% | +0.12 |
| 苯乙烯 | 化工 | EB 26-11→EB 26-12 10264.0 → 9855.0 | +409.0 | +47.8% | 96% | 强贴水 | 2019-09-26 | +75.5% 贴+8.5%|价+67.1% | -32.6% | +36.3% | +2.03 |
| 低硫燃油 | 能源 | LU 26-12→LU 27-01 5894.0 → 5663.0 | +231.0 | +47.0% | 79% | 强贴水 | 2020-06-22 | +146.2% 贴+23.0%|价+123.2% | -34.3% | +53.4% | +2.70 |
| 乙二醇 | 化工 | EG 26-11→EG 26-12 5207.0 → 5032.0 | +175.0 | +40.3% | 80% | 强贴水 | 2018-12-10 | +49.1% 贴+13.9%|价+35.3% | -30.1% | +39.7% | +1.19 |
| 聚丙烯 | 化工 | PP 27-01→PP 27-02 9382.0 → 9079.0 | +303.0 | +38.8% | 81% | 强贴水 | 2018-07-13 | +68.7% 贴+15.9%|价+52.8% | -22.9% | +32.4% | +2.06 |
| 甲醇 | 化工 | MA 26-11→MA 26-12 3365.0 → 3261.0 | +104.0 | +37.1% | 87% | 强贴水 | 2018-07-13 | +80.0% 贴+20.2%|价+59.8% | -27.6% | +44.0% | +1.77 |
| LPG | 能源 | PG 26-11→PG 26-12 7386.0 → 7186.0 | +200.0 | +32.5% | 62% | 强贴水 | 2020-03-30 | +106.3% 贴+16.2%|价+90.1% | -33.2% | +44.4% | +2.35 |
| 塑料 | 化工 | L 27-01→L 27-02 8725.0 → 8537.0 | +188.0 | +25.9% | 88% | 强贴水 | 2018-07-13 | +37.2% 贴+7.6%|价+29.6% | -26.4% | +30.2% | +1.17 |
| 焦煤 | 黑色 | JM 27-01→JM 27-02 1485.5 → 1457.5 | +28.0 | +22.6% | 95% | 强贴水 | 2018-07-13 | -9.5% 贴-28.7%|价+19.3% | -28.0% | +37.7% | -0.30 |
| PTA | 化工 | TA 27-01→TA 27-02 6486.0 → 6370.0 | +116.0 | +21.5% | 89% | 强贴水 | 2018-07-13 | +58.8% 贴+6.1%|价+52.7% | -22.5% | +34.2% | +1.66 |
| 苹果 | 农业 | AP 27-01→AP 27-03 6096.0 → 5881.0 | +215.0 | +21.2% | 52% | 强贴水 | 2018-07-13 | -19.6% 贴+18.1%|价-37.7% | -33.1% | +22.6% | -0.96 |
| 原油 | 能源 | SC 26-12→SC 27-01 723.0 → 710.6 | +12.4 | +20.6% | 78% | 强贴水 | 2018-07-13 | +80.5% 贴+6.7%|价+73.8% | -48.6% | +59.5% | +1.32 |
| 短纤 | 化工 | PF 26-12→PF 27-01 8226.0 → 8096.0 | +130.0 | +19.0% | 92% | 强贴水 | 2020-10-12 | +42.5% 贴+3.3%|价+39.2% | -21.9% | +28.2% | +1.43 |
| 铝 | 有色 | AL 26-11→AL 26-12 23185.0 → 22895.0 | +290.0 | +15.0% | 100% | 强贴水 | 2018-07-13 | +9.3% 贴-2.4%|价+11.7% | -14.1% | +18.5% | +0.39 |
| 焦炭 | 黑色 | J 27-01→J 27-02 1975.0 → 1953.0 | +22.0 | +13.4% | 95% | 强贴水 | 2018-07-13 | -1.3% 贴-16.1%|价+14.8% | -18.1% | +29.8% | -0.11 |
| 豆粕 | 农业 | M 27-01→M 27-03 3299.0 → 3231.0 | +68.0 | +12.4% | 89% | 强贴水 | 2018-07-13 | +16.2% 贴+1.0%|价+15.2% | -11.4% | +13.8% | +1.03 |
| 生猪 | 农业 | LH 27-01→LH 27-03 10475.0 → 10260.0 | +215.0 | +12.3% | 90% | 强贴水 | 2021-01-08 | -41.2% 贴-34.3%|价-6.9% | -43.2% | +20.0% | -2.16 |
| 菜粕 | 农业 | RM 27-01→RM 27-03 2345.0 → 2299.0 | +46.0 | +11.8% | 51% | 强贴水 | 2018-07-13 | +3.5% 贴+0.7%|价+2.8% | -16.7% | +19.9% | +0.07 |
| 中证1000 | 股指 | IM 26-12→IM 27-03 6565.0 → 6399.8 | +165.2 | +10.1% | 28% | 强贴水 | 2022-07-22 | +5.9% 贴+13.6%|价-7.7% | -21.6% | +26.6% | +0.15 |
| 菜油 | 农业 | OI 27-01→OI 27-03 10311.0 → 10139.0 | +172.0 | +10.0% | 85% | 强贴水 | 2018-07-13 | +10.9% 贴+5.9%|价+5.0% | -9.6% | +16.8% | +0.53 |
| 中证500 | 股指 | IC 26-12→IC 27-03 6644.6 → 6488.4 | +156.2 | +9.4% | 67% | 强贴水 | 2018-07-16 | +6.5% 贴+10.5%|价-4.0% | -22.4% | +27.8% | +0.16 |
| 沪深300 | 股指 | IF 26-12→IF 27-03 4076.4 → 3997.2 | +79.2 | +7.8% | 87% | 强贴水 | 2018-07-16 | -3.4% 贴+6.9%|价-10.3% | -16.1% | +18.0% | -0.30 |
| 铜 | 有色 | CU 26-11→CU 26-12 109450.0 → 108770.0 | +680.0 | +7.5% | 100% | 强贴水 | 2018-07-13 | +32.0% 贴-0.1%|价+32.1% | -16.0% | +20.7% | +1.45 |
| 上证50 | 股指 | IH 26-12→IH 27-03 2698.2 → 2660.0 | +38.2 | +5.7% | 71% | 强贴水 | 2018-07-16 | -5.5% 贴+4.3%|价-9.8% | -11.4% | +15.5% | -0.48 |
| 铁矿石 | 黑色 | I 27-01→I 27-02 674.0 → 671.0 | +3.0 | +5.3% | 37% | 强贴水 | 2018-07-13 | -8.5% 贴+8.2%|价-16.7% | -18.4% | +16.3% | -0.64 |
| 棉花 | 软商品 | CF 27-01→CF 27-03 15880.0 → 15750.0 | +130.0 | +4.9% | 100% | 贴水 | 2018-07-13 | +19.0% 贴-0.9%|价+19.9% | -9.1% | +12.9% | +1.32 |
| 豆油 | 农业 | Y 27-01→Y 27-03 8834.0 → 8777.0 | +57.0 | +3.9% | 76% | 贴水 | 2018-07-13 | +10.3% 贴+2.6%|价+7.7% | -5.4% | +11.8% | +0.70 |
| 螺纹钢 | 黑色 | RB 27-01→RB 27-02 3072.0 → 3065.0 | +7.0 | +2.7% | 94% | 贴水 | 2018-07-13 | -2.4% 贴-3.7%|价+1.3% | -9.4% | +10.0% | -0.44 |
| 锌 | 有色 | ZN 26-11→ZN 26-12 25425.0 → 25395.0 | +30.0 | +1.4% | 100% | 贴水 | 2018-07-13 | +15.6% 贴-1.7%|价+17.4% | -12.8% | +15.8% | +0.86 |
| 不锈钢 | 有色 | SS 26-12→SS 27-01 13210.0 → 13200.0 | +10.0 | +0.9% | 72% | 贴水 | 2019-09-25 | +2.1% 贴-2.7%|价+4.8% | -16.0% | +17.1% | +0.01 |
| 橡胶 | 化工 | RU 27-01→RU 27-03 19905.0 → 19895.0 | +10.0 | +0.3% | 61% | 贴水 | 2018-07-13 | +36.3% 贴-6.0%|价+42.3% | -11.1% | +20.1% | +1.71 |
| 十年国债 | 国债 | T 26-12→T 27-03 109.8 → 109.7 | +0.0 | +0.1% | 29% | 贴水 | 2018-07-16 | +1.7% 贴+0.2%|价+1.5% | -0.8% | +1.4% | -0.23 |
| 镍 | 有色 | NI 26-11→NI 26-12 115330.0 → 115430.0 | -100.0 | -1.0% | 91% | 平水 | 2018-07-13 | -8.6% 贴-3.1%|价-5.5% | -26.7% | +27.4% | -0.39 |
| 白银 | 贵金属 | AG 26-12→AG 27-01 13889.0 → 13907.0 | -18.0 | -1.6% | 23% | 平水 | 2018-07-13 | +15.7% 贴+0.6%|价+15.1% | -55.9% | +64.0% | +0.21 |
| 红枣 | 农业 | CJ 27-01→CJ 27-03 6435.0 → 6455.0 | -20.0 | -1.9% | 81% | 平水 | 2019-04-30 | -51.0% 贴-10.7%|价-40.3% | -49.4% | +20.8% | -2.54 |
| 尿素 | 化工 | UR 27-01→UR 27-02 1670.0 → 1673.0 | -3.0 | -2.2% | 26% | 平水 | 2019-08-09 | -1.4% 贴-6.2%|价+4.8% | -21.1% | +17.6% | -0.19 |
| 黄金 | 贵金属 | AU 26-12→AU 27-01 898.8 → 900.5 | -1.7 | -2.2% | 20% | 平水 | 2018-07-13 | -11.9% 贴-1.9%|价-10.0% | -30.7% | +32.0% | -0.43 |
| 白糖 | 软商品 | SR 27-01→SR 27-03 5405.0 → 5443.0 | -38.0 | -4.2% | 13% | 升水 | 2018-07-13 | +1.4% 贴+1.5%|价-0.1% | -8.2% | +9.9% | -0.06 |
| 热卷 | 黑色 | HC 27-01→HC 27-02 3239.0 → 3252.0 | -13.0 | -4.8% | 5% | 升水 | 2018-07-13 | +0.3% 贴-0.9%|价+1.2% | -8.6% | +9.0% | -0.19 |
| 纸浆 | 轻工 | SP 27-01→SP 27-02 4770.0 → 4792.0 | -22.0 | -5.5% | 32% | 升水 | 2018-11-27 | -13.1% 贴-5.9%|价-7.2% | -20.1% | +15.2% | -1.00 |
| 玉米 | 农业 | C 27-01→C 27-03 2207.0 → 2233.0 | -26.0 | -7.1% | 20% | 升水 | 2018-07-13 | +4.1% 贴-0.5%|价+4.6% | -10.3% | +9.3% | +0.22 |
| PVC | 化工 | V 27-01→V 27-02 4848.0 → 4886.0 | -38.0 | -9.4% | 55% | 升水 | 2018-07-13 | -7.9% 贴-11.3%|价+3.5% | -32.5% | +27.1% | -0.36 |
| 花生 | 农业 | PK 26-12→PK 27-01 7876.0 → 7976.0 | -100.0 | -15.2% | 2% | 升水 | 2021-02-01 | -3.6% 贴-2.6%|价-1.0% | -10.1% | +9.9% | -0.57 |
| 棕榈油 | 农业 | P 27-01→P 27-02 9418.0 → 9579.0 | -161.0 | -20.5% | 1% | 升水 | 2018-07-13 | -2.1% 贴-3.5%|价+1.5% | -10.9% | +18.5% | -0.22 |
| 玻璃 | 建材 | FG 27-01→FG 27-02 861.0 → 887.0 | -26.0 | -36.2% | 100% | 升水 | 2018-07-13 | -39.7% 贴-21.7%|价-18.0% | -40.3% | +23.7% | -1.76 |
| 纯碱 | 化工 | SA 27-01→SA 27-02 940.0 → 973.0 | -33.0 | -42.1% | 0% | 升水 | 2019-12-06 | -33.8% 贴-13.8%|价-20.0% | -35.6% | +23.5% | -1.52 |