期货量化策略跟踪
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目录
一、上周市场行情回顾 ....................................................................................................................................................... 3
（一）螺纹钢交易情况 ............................................................................................................................................................ 3
（二）橡胶交易情况 ................................................................................................................................................................ 3
（三）铁矿石交易情况 ............................................................................................................................................................ 4
（四）沪铜交易情况 ................................................................................................................................................................ 5
（五）棕榈油交易情况 ............................................................................................................................................................ 5
（六）白糖交易情况 ................................................................................................................................................................ 6
（七）豆粕交易情况 ................................................................................................................................................................ 7
二、供需基本面跟踪 ........................................................................................................................................................... 8
（一）螺纹钢基本面数据跟踪 .............................................................................................................................................. 11
（二）橡胶基本面数据跟踪 .................................................................................................................................................. 12
（三）铁矿石基本面数据跟踪 .............................................................................................................................................. 15
（四）沪铜基本面数据跟踪 .................................................................................................................................................. 16
（五）棕榈油基本面数据跟踪 .............................................................................................................................................. 18
（六）白糖基本面数据跟踪 .................................................................................................................................................. 20
（七）豆粕基本面数据跟踪 .................................................................................................................................................. 21
三、日内策略上周表现 ..................................................................................................................................................... 23
（一）DUAL THRUST 策略 ...................................................................................................................................................... 23
（二）R-BREAKER 策略 ......................................................................................................................................................... 24
四、日间策略上周表现 ..................................................................................................................................................... 25
（一）双均线交叉策略 .......................................................................................................................................................... 25
（二）布林带通道策略 .......................................................................................................................................................... 27
（三）MACD 策略 ................................................................................................................................................................. 28
五、策略基本设置方法及历史表现 ................................................................................................................................. 29
（一）DUAL THRUST 策略 ...................................................................................................................................................... 29
（二）R-BREAKER 策略 ......................................................................................................................................................... 30
（三）双均线交叉策略 .......................................................................................................................................................... 32
（四）布林带通道策略 .......................................................................................................................................................... 32
（五）MACD 策略 ................................................................................................................................................................. 33
六、风险提示..................................................................................................................................................................... 34
插图目录 ............................................................................................................................................................................ 35
表格目录 ............................................................................................................................................................................ 36
