Carry 策略最新结果

策略基本逻辑：本策略使用期货期限结构 Carry 信号。先根据主力与次主力合约收盘价计算近远月价差收益，并按月份差年化为 tscarry_standard；再对所有品种做横截面排名得到 cxcarry_standard。当横截面排名偏强且期限结构为正时做多，当横截面排名偏弱且期限结构为负时做空；仓位大小由风险资金、ATR 和合约乘数决定。报告生成时间：2026-10-24 16:02:25。

Carry 策略持仓

最新持仓日期	多头品种个数	空头品种个数	空仓个数	当日变化品种数	总手数绝对值	多头持仓市值（万元）	空头持仓市值（万元）	总持仓市值（万元）
2026-10-23	11	3	14	0	149	551.39	176.15	727.53

多头持仓

合约	手数	持仓市值（万元）	期限结构
M2701	29	95.00	2,891 - 3,276 26112701270327052709
SC2612	1	72.49	695.90 - 725.70 26112612270127022703
AL2612	6	70.05	22,680 - 23,660 26112612270127022703
L2701	10	44.20	8,264 - 9,598 26112612270127022705
EB2611	8	43.18	9,461 - 10,795 26112612270127022703
PF2612	10	41.47	7,998 - 8,568 2611261227012702
TA2701	12	39.25	6,354 - 6,854 26112612270127022703
PP2701	8	38.51	8,765 - 10,550 26112612270127022705
LU2612	6	37.62	5,603 - 7,466 26112612270127022703
MA2701	11	35.41	3,060 - 3,594 26112612270127022703
EG2701	7	34.20	4,737 - 5,159 26112612270127022705

空头持仓

合约	手数	持仓市值（万元）	期限结构
SP2701	14	65.07	4,532 - 4,724 26112612270127032705
P2701	6	57.37	9,341 - 10,151 26112701270327052709
V2701	21	53.71	5,032 - 5,291 26112612270127032705

2026-10-23 全部持仓 28 行；较前一交易日变化 0 行

seq	exchange	symbol	continuous_symbol	instrument	position	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	entry_direction
1	DCE	M2701	m889.DCE	m	29	3,276	10	95.00	7.00%	66,502.80	2026-10-23 15:00:00	long
2	DCE	Y2701	y889.DCE	y	0	9,125	10	0	7.00%	0	2026-10-23 15:00:00	flat
3	DCE	P2701	p889.DCE	p	-6	9,561	10	57.37	8.00%	45,892.80	2026-10-23 15:00:00	short
4	DCE	L2701	l889.DCE	l	10	8,841	5	44.20	7.00%	30,943.50	2026-10-23 15:00:00	long
5	DCE	V2701	v889.DCE	v	-21	5,115	5	53.71	7.00%	37,595.25	2026-10-23 15:00:00	short
6	DCE	I2701	i889.DCE	i	0	675	100	0	11.00%	0	2026-10-23 15:00:00	flat
7	DCE	PP2701	pp889.DCE	pp	8	9,628	5	38.51	7.00%	26,958.40	2026-10-23 15:00:00	long
8	DCE	EG2701	eg889.DCE	eg	7	4,885	10	34.20	7.00%	23,936.50	2026-10-23 15:00:00	long
9	DCE	EB2611	eb889.DCE	eb	8	10,795	5	43.18	7.00%	30,226	2026-10-23 15:00:00	long
10	SHFE	RU2701	ru889.SHFE	ru	0	19,705	5	0	9.00%	0	2026-10-23 15:00:00	flat
11	SHFE	AL2612	al889.SHFE	al	6	23,350	5	70.05	11.00%	77,055	2026-10-23 15:00:00	long
12	SHFE	ZN2612	zn889.SHFE	zn	0	25,420	5	0	11.00%	0	2026-10-23 15:00:00	flat
13	SHFE	CU2612	cu889.SHFE	cu	0	107,900	5	0	11.00%	0	2026-10-23 15:00:00	flat
14	SHFE	RB2701	rb889.SHFE	rb	0	3,047	10	0	7.00%	0	2026-10-23 15:00:00	flat
15	SHFE	PB2612	pb889.SHFE	pb	0	16,110	5	0	11.00%	0	2026-10-23 15:00:00	flat
16	SHFE	HC2701	hc889.SHFE	hc	0	3,209	10	0	7.00%	0	2026-10-23 15:00:00	flat
17	SHFE	NI2612	ni889.SHFE	ni	0	120,580	1	0	12.00%	0	2026-10-23 15:00:00	flat
18	SHFE	SN2612	sn889.SHFE	sn	0	382,660	1	0	14.00%	0	2026-10-23 15:00:00	flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	4,648	10	65.07	9.00%	58,564.80	2026-10-23 15:00:00	short
20	SHFE	SS2612	ss889.SHFE	ss	0	13,635	5	0	7.00%	0	2026-10-23 15:00:00	flat
21	CZCE	TA2701	TA889.CZCE	TA	12	6,542	5	39.25	7.00%	27,476.40	2026-10-23 15:00:00	long
22	CZCE	MA2701	MA889.CZCE	MA	11	3,219	10	35.41	7.00%	24,786.30	2026-10-23 15:00:00	long
23	CZCE	RM2701	RM889.CZCE	RM	0	2,246	10	0	7.00%	0	2026-10-23 15:00:00	flat
24	CZCE	SF2701	SF889.CZCE	SF	0	5,884	5	0	7.00%	0	2026-10-23 15:00:00	flat
25	CZCE	SM2701	SM889.CZCE	SM	0	5,940	5	0	9.00%	0	2026-10-23 15:00:00	flat
26	CZCE	PF2612	PF889.CZCE	PF	10	8,294	5	41.47	7.00%	29,029	2026-10-23 15:00:00	long
27	INE	SC2612	sc889.INE	sc	1	724.9000	1,000	72.49	18.00%	130,482	2026-10-23 15:00:00	long
28	INE	LU2612	lu889.INE	lu	6	6,270	10	37.62	18.00%	67,716	2026-10-23 15:00:00	long

2026-10-22 全部持仓 28 行；较前一交易日变化 2 行

seq	exchange	symbol	continuous_symbol	instrument	position	position_change	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	signal_bar_time	entry_bar_time	exit_bar_time	trade_time	trade_price	entry_direction
1	DCE	M2701	m889.DCE	m	29	0	3,249	10	94.22	7.00%	65,954.70	2026-10-22 15:00:00						long
2	DCE	Y2701	y889.DCE	y	0	0	8,970	10	0	7.00%	0	2026-10-22 15:00:00						flat
3	DCE	P2701	p889.DCE	p	-6	0	9,556	10	57.34	8.00%	45,868.80	2026-10-22 15:00:00						short
4	DCE	L2701	l889.DCE	l	10	0	8,725	5	43.62	7.00%	30,537.50	2026-10-22 15:00:00						long
5	DCE	V2701	v889.DCE	v	-21	0	5,016	5	52.67	7.00%	36,867.60	2026-10-22 15:00:00						short
6	DCE	I2701	i889.DCE	i	0	0	669	100	0	11.00%	0	2026-10-22 15:00:00						flat
7	DCE	PP2701	pp889.DCE	pp	8	0	9,376	5	37.50	7.00%	26,252.80	2026-10-22 15:00:00						long
8	DCE	EG2701	eg889.DCE	eg	7	0	4,769	10	33.38	7.00%	23,368.10	2026-10-22 15:00:00						long
9	DCE	EB2611	eb889.DCE	eb	8	0	10,672	5	42.69	7.00%	29,881.60	2026-10-22 15:00:00						long
10	SHFE	RU2701	ru889.SHFE	ru	0	0	19,530	5	0	9.00%	0	2026-10-22 15:00:00						flat
11	SHFE	AL2612	al889.SHFE	al	6	0	23,175	5	69.53	11.00%	76,477.50	2026-10-22 15:00:00						long
12	SHFE	ZN2612	zn889.SHFE	zn	0	0	25,425	5	0	11.00%	0	2026-10-22 15:00:00						flat
13	SHFE	CU2612	cu889.SHFE	cu	0	0	107,590	5	0	11.00%	0	2026-10-22 15:00:00						flat
14	SHFE	RB2701	rb889.SHFE	rb	0	0	3,059	10	0	7.00%	0	2026-10-22 15:00:00						flat
15	SHFE	PB2612	pb889.SHFE	pb	0	0	16,065	5	0	11.00%	0	2026-10-22 15:00:00						flat
16	SHFE	HC2701	hc889.SHFE	hc	0	0	3,218	10	0	7.00%	0	2026-10-22 15:00:00						flat
17	SHFE	NI2612	ni889.SHFE	ni	0	0	121,650	1	0	12.00%	0	2026-10-22 15:00:00						flat
18	SHFE	SN2611	sn889.SHFE	sn	0	0	379,590	1	0	14.00%	0	2026-10-22 15:00:00						flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	0	4,632	10	64.85	9.00%	58,363.20	2026-10-22 15:00:00						short
20	SHFE	SS2612	ss889.SHFE	ss	0	0	13,715	5	0	7.00%	0	2026-10-22 15:00:00						flat
21	CZCE	TA2701	TA889.CZCE	TA	12	0	6,458	5	38.75	7.00%	27,123.60	2026-10-22 15:00:00						long
22	CZCE	MA2701	MA889.CZCE	MA	11	0	3,191	10	35.10	7.00%	24,570.70	2026-10-22 15:00:00						long
23	CZCE	RM2701	RM889.CZCE	RM	0	-27	2,248	10	0	7.00%	0	2026-10-22 15:00:00	2026-10-22 15:00:00		2026-10-22 15:00:00	2026-10-22 15:00:00	2,248	exit_long
24	CZCE	SF2701	SF889.CZCE	SF	0	0	5,858	5	0	7.00%	0	2026-10-22 15:00:00						flat
25	CZCE	SM2701	SM889.CZCE	SM	0	0	5,788	5	0	9.00%	0	2026-10-22 15:00:00						flat
26	CZCE	PF2612	PF889.CZCE	PF	10	0	8,200	5	41	7.00%	28,700	2026-10-22 15:00:00						long
27	INE	SC2612	sc889.INE	sc	1	1	713.4000	1,000	71.34	18.00%	128,412	2026-10-22 15:00:00	2026-10-22 15:00:00	2026-10-22 15:00:00		2026-10-22 15:00:00	713.4000	long
28	INE	LU2612	lu889.INE	lu	6	0	6,068	10	36.41	18.00%	65,534.40	2026-10-22 15:00:00						long

2026-10-21 全部持仓 28 行；较前一交易日变化 0 行

seq	exchange	symbol	continuous_symbol	instrument	position	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	entry_direction
1	DCE	M2701	m889.DCE	m	29	3,243	10	94.05	7.00%	65,832.90	2026-10-21 15:00:00	long
2	DCE	Y2701	y889.DCE	y	0	8,914	10	0	7.00%	0	2026-10-21 15:00:00	flat
3	DCE	P2701	p889.DCE	p	-6	9,648	10	57.89	8.00%	46,310.40	2026-10-21 15:00:00	short
4	DCE	L2701	l889.DCE	l	10	8,640	5	43.20	7.00%	30,240	2026-10-21 15:00:00	long
5	DCE	V2701	v889.DCE	v	-21	5,032	5	52.84	7.00%	36,985.20	2026-10-21 15:00:00	short
6	DCE	I2701	i889.DCE	i	0	681.5000	100	0	11.00%	0	2026-10-21 15:00:00	flat
7	DCE	PP2701	pp889.DCE	pp	8	9,299	5	37.20	7.00%	26,037.20	2026-10-21 15:00:00	long
8	DCE	EG2611	eg889.DCE	eg	7	5,088	10	35.62	7.00%	24,931.20	2026-10-21 15:00:00	long
9	DCE	EB2611	eb889.DCE	eb	8	10,455	5	41.82	7.00%	29,274	2026-10-21 15:00:00	long
10	SHFE	RU2701	ru889.SHFE	ru	0	19,685	5	0	9.00%	0	2026-10-21 15:00:00	flat
11	SHFE	AL2612	al889.SHFE	al	6	23,050	5	69.15	11.00%	76,065	2026-10-21 15:00:00	long
12	SHFE	ZN2612	zn889.SHFE	zn	0	25,550	5	0	11.00%	0	2026-10-21 15:00:00	flat
13	SHFE	CU2611	cu889.SHFE	cu	0	109,390	5	0	11.00%	0	2026-10-21 15:00:00	flat
14	SHFE	RB2701	rb889.SHFE	rb	0	3,081	10	0	7.00%	0	2026-10-21 15:00:00	flat
15	SHFE	PB2612	pb889.SHFE	pb	0	16,095	5	0	11.00%	0	2026-10-21 15:00:00	flat
16	SHFE	HC2701	hc889.SHFE	hc	0	3,242	10	0	7.00%	0	2026-10-21 15:00:00	flat
17	SHFE	NI2612	ni889.SHFE	ni	0	121,300	1	0	12.00%	0	2026-10-21 15:00:00	flat
18	SHFE	SN2611	sn889.SHFE	sn	0	387,230	1	0	14.00%	0	2026-10-21 15:00:00	flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	4,668	10	65.35	9.00%	58,816.80	2026-10-21 15:00:00	short
20	SHFE	SS2612	ss889.SHFE	ss	0	13,635	5	0	7.00%	0	2026-10-21 15:00:00	flat
21	CZCE	TA2701	TA889.CZCE	TA	12	6,422	5	38.53	7.00%	26,972.40	2026-10-21 15:00:00	long
22	CZCE	MA2701	MA889.CZCE	MA	11	3,130	10	34.43	7.00%	24,101	2026-10-21 15:00:00	long
23	CZCE	RM2701	RM889.CZCE	RM	27	2,266	10	61.18	7.00%	42,827.40	2026-10-21 15:00:00	long
24	CZCE	SF2701	SF889.CZCE	SF	0	5,812	5	0	7.00%	0	2026-10-21 15:00:00	flat
25	CZCE	SM2701	SM889.CZCE	SM	0	5,822	5	0	9.00%	0	2026-10-21 15:00:00	flat
26	CZCE	PF2612	PF889.CZCE	PF	10	8,162	5	40.81	7.00%	28,567	2026-10-21 15:00:00	long
27	INE	SC2612	sc889.INE	sc	0	716.5000	1,000	0	18.00%	0	2026-10-21 15:00:00	flat
28	INE	LU2612	lu889.INE	lu	6	5,995	10	35.97	18.00%	64,746	2026-10-21 15:00:00	long

2026-10-20 全部持仓 28 行；较前一交易日变化 1 行

seq	exchange	symbol	continuous_symbol	instrument	position	position_change	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	signal_bar_time	exit_bar_time	trade_time	trade_price	entry_direction
1	DCE	M2701	m889.DCE	m	29	0	3,267	10	94.74	7.00%	66,320.10	2026-10-20 15:00:00					long
2	DCE	Y2701	y889.DCE	y	0	0	8,899	10	0	7.00%	0	2026-10-20 15:00:00					flat
3	DCE	P2701	p889.DCE	p	-6	0	9,592	10	57.55	8.00%	46,041.60	2026-10-20 15:00:00					short
4	DCE	L2701	l889.DCE	l	10	0	8,726	5	43.63	7.00%	30,541	2026-10-20 15:00:00					long
5	DCE	V2701	v889.DCE	v	-21	0	4,994	5	52.44	7.00%	36,705.90	2026-10-20 15:00:00					short
6	DCE	I2701	i889.DCE	i	0	0	681.5000	100	0	11.00%	0	2026-10-20 15:00:00					flat
7	DCE	PP2701	pp889.DCE	pp	8	0	9,376	5	37.50	7.00%	26,252.80	2026-10-20 15:00:00					long
8	DCE	EG2611	eg889.DCE	eg	7	0	5,084	10	35.59	7.00%	24,911.60	2026-10-20 15:00:00					long
9	DCE	EB2611	eb889.DCE	eb	8	0	10,436	5	41.74	7.00%	29,220.80	2026-10-20 15:00:00					long
10	SHFE	RU2701	ru889.SHFE	ru	0	0	19,865	5	0	9.00%	0	2026-10-20 15:00:00					flat
11	SHFE	AL2612	al889.SHFE	al	6	0	23,045	5	69.14	11.00%	76,048.50	2026-10-20 15:00:00					long
12	SHFE	ZN2612	zn889.SHFE	zn	0	0	25,600	5	0	11.00%	0	2026-10-20 15:00:00					flat
13	SHFE	CU2611	cu889.SHFE	cu	0	0	109,550	5	0	11.00%	0	2026-10-20 15:00:00					flat
14	SHFE	RB2701	rb889.SHFE	rb	0	0	3,070	10	0	7.00%	0	2026-10-20 15:00:00					flat
15	SHFE	PB2612	pb889.SHFE	pb	0	0	16,160	5	0	11.00%	0	2026-10-20 15:00:00					flat
16	SHFE	HC2701	hc889.SHFE	hc	0	0	3,240	10	0	7.00%	0	2026-10-20 15:00:00					flat
17	SHFE	NI2612	ni889.SHFE	ni	0	0	117,930	1	0	12.00%	0	2026-10-20 15:00:00					flat
18	SHFE	SN2611	sn889.SHFE	sn	0	0	382,580	1	0	14.00%	0	2026-10-20 15:00:00					flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	0	4,692	10	65.69	9.00%	59,119.20	2026-10-20 15:00:00					short
20	SHFE	SS2612	ss889.SHFE	ss	0	0	13,345	5	0	7.00%	0	2026-10-20 15:00:00					flat
21	CZCE	TA2701	TA889.CZCE	TA	12	0	6,488	5	38.93	7.00%	27,249.60	2026-10-20 15:00:00					long
22	CZCE	MA2701	MA889.CZCE	MA	11	0	3,157	10	34.73	7.00%	24,308.90	2026-10-20 15:00:00					long
23	CZCE	RM2701	RM889.CZCE	RM	27	0	2,274	10	61.40	7.00%	42,978.60	2026-10-20 15:00:00					long
24	CZCE	SF2701	SF889.CZCE	SF	0	27	5,812	5	0	7.00%	0	2026-10-20 15:00:00	2026-10-20 15:00:00	2026-10-20 15:00:00	2026-10-20 15:00:00	5,812	exit_short
25	CZCE	SM2701	SM889.CZCE	SM	0	0	5,818	5	0	9.00%	0	2026-10-20 15:00:00					flat
26	CZCE	PF2612	PF889.CZCE	PF	10	0	8,262	5	41.31	7.00%	28,917	2026-10-20 15:00:00					long
27	INE	SC2612	sc889.INE	sc	0	0	727.2000	1,000	0	18.00%	0	2026-10-20 15:00:00					flat
28	INE	LU2612	lu889.INE	lu	6	0	6,052	10	36.31	18.00%	65,361.60	2026-10-20 15:00:00					long

2026-10-19 全部持仓 28 行；较前一交易日变化 1 行

seq	exchange	symbol	continuous_symbol	instrument	position	position_change	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	signal_bar_time	entry_bar_time	trade_time	trade_price	entry_direction
1	DCE	M2701	m889.DCE	m	29	0	3,287	10	95.32	7.00%	66,726.10	2026-10-19 15:00:00					long
2	DCE	Y2701	y889.DCE	y	0	0	8,869	10	0	7.00%	0	2026-10-19 15:00:00					flat
3	DCE	P2701	p889.DCE	p	-6	0	9,473	10	56.84	8.00%	45,470.40	2026-10-19 15:00:00					short
4	DCE	L2701	l889.DCE	l	10	0	8,612	5	43.06	7.00%	30,142	2026-10-19 15:00:00					long
5	DCE	V2701	v889.DCE	v	-21	0	4,904	5	51.49	7.00%	36,044.40	2026-10-19 15:00:00					short
6	DCE	I2701	i889.DCE	i	0	0	682.5000	100	0	11.00%	0	2026-10-19 15:00:00					flat
7	DCE	PP2701	pp889.DCE	pp	8	0	9,320	5	37.28	7.00%	26,096	2026-10-19 15:00:00					long
8	DCE	EG2611	eg889.DCE	eg	7	0	4,976	10	34.83	7.00%	24,382.40	2026-10-19 15:00:00					long
9	DCE	EB2611	eb889.DCE	eb	8	0	10,235	5	40.94	7.00%	28,658	2026-10-19 15:00:00					long
10	SHFE	RU2701	ru889.SHFE	ru	0	0	19,705	5	0	9.00%	0	2026-10-19 15:00:00					flat
11	SHFE	AL2611	al889.SHFE	al	6	0	23,340	5	70.02	11.00%	77,022	2026-10-19 15:00:00					long
12	SHFE	ZN2612	zn889.SHFE	zn	0	0	25,495	5	0	11.00%	0	2026-10-19 15:00:00					flat
13	SHFE	CU2611	cu889.SHFE	cu	0	0	109,770	5	0	11.00%	0	2026-10-19 15:00:00					flat
14	SHFE	RB2701	rb889.SHFE	rb	0	0	3,068	10	0	7.00%	0	2026-10-19 15:00:00					flat
15	SHFE	PB2612	pb889.SHFE	pb	0	0	16,055	5	0	11.00%	0	2026-10-19 15:00:00					flat
16	SHFE	HC2701	hc889.SHFE	hc	0	0	3,236	10	0	7.00%	0	2026-10-19 15:00:00					flat
17	SHFE	NI2612	ni889.SHFE	ni	0	0	117,330	1	0	12.00%	0	2026-10-19 15:00:00					flat
18	SHFE	SN2611	sn889.SHFE	sn	0	0	379,980	1	0	14.00%	0	2026-10-19 15:00:00					flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	0	4,728	10	66.19	9.00%	59,572.80	2026-10-19 15:00:00					short
20	SHFE	SS2612	ss889.SHFE	ss	0	0	13,295	5	0	7.00%	0	2026-10-19 15:00:00					flat
21	CZCE	TA2701	TA889.CZCE	TA	12	0	6,384	5	38.30	7.00%	26,812.80	2026-10-19 15:00:00					long
22	CZCE	MA2701	MA889.CZCE	MA	11	0	3,143	10	34.57	7.00%	24,201.10	2026-10-19 15:00:00					long
23	CZCE	RM2701	RM889.CZCE	RM	27	0	2,345	10	63.31	7.00%	44,320.50	2026-10-19 15:00:00					long
24	CZCE	SF2701	SF889.CZCE	SF	-27	-27	5,848	5	78.95	7.00%	55,263.60	2026-10-19 15:00:00	2026-10-19 15:00:00	2026-10-19 15:00:00	2026-10-19 15:00:00	5,848	short
25	CZCE	SM2701	SM889.CZCE	SM	0	0	5,892	5	0	9.00%	0	2026-10-19 15:00:00					flat
26	CZCE	PF2612	PF889.CZCE	PF	10	0	8,120	5	40.60	7.00%	28,420	2026-10-19 15:00:00					long
27	INE	SC2612	sc889.INE	sc	0	0	713.6000	1,000	0	18.00%	0	2026-10-19 15:00:00					flat
28	INE	LU2612	lu889.INE	lu	6	0	5,924	10	35.54	18.00%	63,979.20	2026-10-19 15:00:00					long

2026-10-16 全部持仓 28 行；较前一交易日变化 2 行

seq	exchange	symbol	continuous_symbol	instrument	position	position_change	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	signal_bar_time	entry_bar_time	exit_bar_time	trade_time	trade_price	entry_direction
1	DCE	M2701	m889.DCE	m	29	0	3,281	10	95.15	7.00%	66,604.30	2026-10-16 15:00:00						long
2	DCE	Y2701	y889.DCE	y	0	0	8,844	10	0	7.00%	0	2026-10-16 15:00:00						flat
3	DCE	P2701	p889.DCE	p	-6	0	9,474	10	56.84	8.00%	45,475.20	2026-10-16 15:00:00						short
4	DCE	L2701	l889.DCE	l	10	0	8,663	5	43.31	7.00%	30,320.50	2026-10-16 15:00:00						long
5	DCE	V2701	v889.DCE	v	-21	0	4,858	5	51.01	7.00%	35,706.30	2026-10-16 15:00:00						short
6	DCE	I2701	i889.DCE	i	0	0	672.5000	100	0	11.00%	0	2026-10-16 15:00:00						flat
7	DCE	PP2701	pp889.DCE	pp	8	0	9,343	5	37.37	7.00%	26,160.40	2026-10-16 15:00:00						long
8	DCE	EG2611	eg889.DCE	eg	7	0	5,196	10	36.37	7.00%	25,460.40	2026-10-16 15:00:00						long
9	DCE	EB2611	eb889.DCE	eb	8	0	10,323	5	41.29	7.00%	28,904.40	2026-10-16 15:00:00						long
10	SHFE	RU2701	ru889.SHFE	ru	0	0	19,850	5	0	9.00%	0	2026-10-16 15:00:00						flat
11	SHFE	AL2611	al889.SHFE	al	6	0	23,270	5	69.81	11.00%	76,791	2026-10-16 15:00:00						long
12	SHFE	ZN2612	zn889.SHFE	zn	0	0	25,440	5	0	11.00%	0	2026-10-16 15:00:00						flat
13	SHFE	CU2611	cu889.SHFE	cu	0	0	109,860	5	0	11.00%	0	2026-10-16 15:00:00						flat
14	SHFE	RB2701	rb889.SHFE	rb	0	0	3,074	10	0	7.00%	0	2026-10-16 15:00:00						flat
15	SHFE	PB2612	pb889.SHFE	pb	0	0	16,075	5	0	11.00%	0	2026-10-16 15:00:00						flat
16	SHFE	HC2701	hc889.SHFE	hc	0	0	3,242	10	0	7.00%	0	2026-10-16 15:00:00						flat
17	SHFE	NI2612	ni889.SHFE	ni	0	0	115,240	1	0	12.00%	0	2026-10-16 15:00:00						flat
18	SHFE	SN2611	sn889.SHFE	sn	0	0	376,860	1	0	14.00%	0	2026-10-16 15:00:00						flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	0	4,756	10	66.58	9.00%	59,925.60	2026-10-16 15:00:00						short
20	SHFE	SS2612	ss889.SHFE	ss	0	0	13,215	5	0	7.00%	0	2026-10-16 15:00:00						flat
21	CZCE	TA2701	TA889.CZCE	TA	12	0	6,470	5	38.82	7.00%	27,174	2026-10-16 15:00:00						long
22	CZCE	MA2701	MA889.CZCE	MA	11	0	3,192	10	35.11	7.00%	24,578.40	2026-10-16 15:00:00						long
23	CZCE	RM2701	RM889.CZCE	RM	27	27	2,349	10	63.42	7.00%	44,396.10	2026-10-16 15:00:00	2026-10-16 15:00:00	2026-10-16 15:00:00		2026-10-16 15:00:00	2,349	long
24	CZCE	SF2701	SF889.CZCE	SF	0	0	5,848	5	0	7.00%	0	2026-10-16 15:00:00						flat
25	CZCE	SM2701	SM889.CZCE	SM	0	0	5,816	5	0	9.00%	0	2026-10-16 15:00:00						flat
26	CZCE	PF2612	PF889.CZCE	PF	10	0	8,204	5	41.02	7.00%	28,714	2026-10-16 15:00:00						long
27	INE	SC2612	sc889.INE	sc	0	-1	711.8000	1,000	0	18.00%	0	2026-10-16 15:00:00	2026-10-16 15:00:00		2026-10-16 15:00:00	2026-10-16 15:00:00	711.8000	exit_long
28	INE	LU2612	lu889.INE	lu	6	0	5,889	10	35.33	18.00%	63,601.20	2026-10-16 15:00:00						long

2026-10-15 全部持仓 28 行；较前一交易日变化 2 行

seq	exchange	symbol	continuous_symbol	instrument	position	position_change	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	signal_bar_time	entry_bar_time	exit_bar_time	trade_time	trade_price	entry_direction
1	DCE	M2701	m889.DCE	m	29	0	3,316	10	96.16	7.00%	67,314.80	2026-10-15 15:00:00						long
2	DCE	Y2701	y889.DCE	y	0	0	8,854	10	0	7.00%	0	2026-10-15 15:00:00						flat
3	DCE	P2701	p889.DCE	p	-6	0	9,446	10	56.68	8.00%	45,340.80	2026-10-15 15:00:00						short
4	DCE	L2701	l889.DCE	l	10	0	8,789	5	43.95	7.00%	30,761.50	2026-10-15 15:00:00						long
5	DCE	V2701	v889.DCE	v	-21	0	4,808	5	50.48	7.00%	35,338.80	2026-10-15 15:00:00						short
6	DCE	I2701	i889.DCE	i	0	0	671.5000	100	0	11.00%	0	2026-10-15 15:00:00						flat
7	DCE	PP2701	pp889.DCE	pp	8	0	9,387	5	37.55	7.00%	26,283.60	2026-10-15 15:00:00						long
8	DCE	EG2611	eg889.DCE	eg	7	0	5,177	10	36.24	7.00%	25,367.30	2026-10-15 15:00:00						long
9	DCE	EB2611	eb889.DCE	eb	8	0	10,276	5	41.10	7.00%	28,772.80	2026-10-15 15:00:00						long
10	SHFE	RU2701	ru889.SHFE	ru	0	0	19,735	5	0	9.00%	0	2026-10-15 15:00:00						flat
11	SHFE	AL2611	al889.SHFE	al	6	0	23,040	5	69.12	11.00%	76,032	2026-10-15 15:00:00						long
12	SHFE	ZN2611	zn889.SHFE	zn	0	0	25,475	5	0	11.00%	0	2026-10-15 15:00:00						flat
13	SHFE	CU2611	cu889.SHFE	cu	0	0	108,940	5	0	11.00%	0	2026-10-15 15:00:00						flat
14	SHFE	RB2701	rb889.SHFE	rb	0	0	3,071	10	0	7.00%	0	2026-10-15 15:00:00						flat
15	SHFE	PB2612	pb889.SHFE	pb	0	0	16,180	5	0	11.00%	0	2026-10-15 15:00:00						flat
16	SHFE	HC2701	hc889.SHFE	hc	0	0	3,242	10	0	7.00%	0	2026-10-15 15:00:00						flat
17	SHFE	NI2611	ni889.SHFE	ni	0	0	115,910	1	0	12.00%	0	2026-10-15 15:00:00						flat
18	SHFE	SN2611	sn889.SHFE	sn	0	0	373,260	1	0	14.00%	0	2026-10-15 15:00:00						flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	0	4,742	10	66.39	9.00%	59,749.20	2026-10-15 15:00:00						short
20	SHFE	SS2612	ss889.SHFE	ss	0	0	13,175	5	0	7.00%	0	2026-10-15 15:00:00						flat
21	CZCE	TA2701	TA889.CZCE	TA	12	0	6,488	5	38.93	7.00%	27,249.60	2026-10-15 15:00:00						long
22	CZCE	MA2701	MA889.CZCE	MA	11	0	3,170	10	34.87	7.00%	24,409	2026-10-15 15:00:00						long
23	CZCE	RM2701	RM889.CZCE	RM	0	-27	2,340	10	0	7.00%	0	2026-10-15 15:00:00	2026-10-15 15:00:00		2026-10-15 15:00:00	2026-10-15 15:00:00	2,340	exit_long
24	CZCE	SF2701	SF889.CZCE	SF	0	0	5,966	5	0	7.00%	0	2026-10-15 15:00:00						flat
25	CZCE	SM2701	SM889.CZCE	SM	0	0	5,890	5	0	9.00%	0	2026-10-15 15:00:00						flat
26	CZCE	PF2612	PF889.CZCE	PF	10	0	8,230	5	41.15	7.00%	28,805	2026-10-15 15:00:00						long
27	INE	SC2612	sc889.INE	sc	1	1	712.8000	1,000	71.28	18.00%	128,304	2026-10-15 15:00:00	2026-10-15 15:00:00	2026-10-15 15:00:00		2026-10-15 15:00:00	712.8000	long
28	INE	LU2612	lu889.INE	lu	6	0	5,834	10	35.00	18.00%	63,007.20	2026-10-15 15:00:00						long

2026-10-14 全部持仓 28 行；较前一交易日变化 2 行

seq	exchange	symbol	continuous_symbol	instrument	position	position_change	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	signal_bar_time	entry_bar_time	exit_bar_time	trade_time	trade_price	entry_direction
1	DCE	M2701	m889.DCE	m	29	0	3,373	10	97.82	7.00%	68,471.90	2026-10-14 15:00:00						long
2	DCE	Y2701	y889.DCE	y	0	0	9,026	10	0	7.00%	0	2026-10-14 15:00:00						flat
3	DCE	P2701	p889.DCE	p	-6	0	9,733	10	58.40	8.00%	46,718.40	2026-10-14 15:00:00						short
4	DCE	L2701	l889.DCE	l	10	0	8,949	5	44.74	7.00%	31,321.50	2026-10-14 15:00:00						long
5	DCE	V2701	v889.DCE	v	-21	0	4,912	5	51.58	7.00%	36,103.20	2026-10-14 15:00:00						short
6	DCE	I2701	i889.DCE	i	0	0	674	100	0	11.00%	0	2026-10-14 15:00:00						flat
7	DCE	PP2701	pp889.DCE	pp	8	0	9,498	5	37.99	7.00%	26,594.40	2026-10-14 15:00:00						long
8	DCE	EG2611	eg889.DCE	eg	7	0	5,295	10	37.06	7.00%	25,945.50	2026-10-14 15:00:00						long
9	DCE	EB2611	eb889.DCE	eb	8	0	10,574	5	42.30	7.00%	29,607.20	2026-10-14 15:00:00						long
10	SHFE	RU2701	ru889.SHFE	ru	0	0	20,065	5	0	9.00%	0	2026-10-14 15:00:00						flat
11	SHFE	AL2611	al889.SHFE	al	6	6	23,285	5	69.86	11.00%	76,840.50	2026-10-14 15:00:00	2026-10-14 15:00:00	2026-10-14 15:00:00		2026-10-14 15:00:00	23,285	long
12	SHFE	ZN2611	zn889.SHFE	zn	0	0	25,665	5	0	11.00%	0	2026-10-14 15:00:00						flat
13	SHFE	CU2611	cu889.SHFE	cu	0	0	111,080	5	0	11.00%	0	2026-10-14 15:00:00						flat
14	SHFE	RB2701	rb889.SHFE	rb	0	0	3,073	10	0	7.00%	0	2026-10-14 15:00:00						flat
15	SHFE	PB2611	pb889.SHFE	pb	0	0	16,230	5	0	11.00%	0	2026-10-14 15:00:00						flat
16	SHFE	HC2701	hc889.SHFE	hc	0	0	3,237	10	0	7.00%	0	2026-10-14 15:00:00						flat
17	SHFE	NI2611	ni889.SHFE	ni	0	0	118,320	1	0	12.00%	0	2026-10-14 15:00:00						flat
18	SHFE	SN2611	sn889.SHFE	sn	0	0	377,490	1	0	14.00%	0	2026-10-14 15:00:00						flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	0	4,730	10	66.22	9.00%	59,598	2026-10-14 15:00:00						short
20	SHFE	SS2611	ss889.SHFE	ss	0	0	13,470	5	0	7.00%	0	2026-10-14 15:00:00						flat
21	CZCE	TA2701	TA889.CZCE	TA	12	0	6,584	5	39.50	7.00%	27,652.80	2026-10-14 15:00:00						long
22	CZCE	MA2701	MA889.CZCE	MA	11	0	3,262	10	35.88	7.00%	25,117.40	2026-10-14 15:00:00						long
23	CZCE	RM2701	RM889.CZCE	RM	27	0	2,407	10	64.99	7.00%	45,492.30	2026-10-14 15:00:00						long
24	CZCE	SF2611	SF889.CZCE	SF	0	0	5,990	5	0	7.00%	0	2026-10-14 15:00:00						flat
25	CZCE	SM2701	SM889.CZCE	SM	0	0	5,854	5	0	9.00%	0	2026-10-14 15:00:00						flat
26	CZCE	PF2612	PF889.CZCE	PF	10	0	8,336	5	41.68	7.00%	29,176	2026-10-14 15:00:00						long
27	INE	SC2612	sc889.INE	sc	0	-1	742.4000	1,000	0	18.00%	0	2026-10-14 15:00:00	2026-10-14 15:00:00		2026-10-14 15:00:00	2026-10-14 15:00:00	742.4000	exit_long
28	INE	LU2612	lu889.INE	lu	6	0	5,940	10	35.64	18.00%	64,152	2026-10-14 15:00:00						long

2026-10-13 全部持仓 28 行；较前一交易日变化 0 行

seq	exchange	symbol	continuous_symbol	instrument	position	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	entry_direction
1	DCE	M2701	m889.DCE	m	29	3,361	10	97.47	7.00%	68,228.30	2026-10-13 15:00:00	long
2	DCE	Y2701	y889.DCE	y	0	8,949	10	0	7.00%	0	2026-10-13 15:00:00	flat
3	DCE	P2701	p889.DCE	p	-6	9,625	10	57.75	8.00%	46,200	2026-10-13 15:00:00	short
4	DCE	L2701	l889.DCE	l	10	8,865	5	44.33	7.00%	31,027.50	2026-10-13 15:00:00	long
5	DCE	V2701	v889.DCE	v	-21	4,888	5	51.32	7.00%	35,926.80	2026-10-13 15:00:00	short
6	DCE	I2701	i889.DCE	i	0	677	100	0	11.00%	0	2026-10-13 15:00:00	flat
7	DCE	PP2701	pp889.DCE	pp	8	9,351	5	37.40	7.00%	26,182.80	2026-10-13 15:00:00	long
8	DCE	EG2611	eg889.DCE	eg	7	5,123	10	35.86	7.00%	25,102.70	2026-10-13 15:00:00	long
9	DCE	EB2611	eb889.DCE	eb	8	10,548	5	42.19	7.00%	29,534.40	2026-10-13 15:00:00	long
10	SHFE	RU2701	ru889.SHFE	ru	0	20,305	5	0	9.00%	0	2026-10-13 15:00:00	flat
11	SHFE	AL2611	al889.SHFE	al	0	23,320	5	0	11.00%	0	2026-10-13 15:00:00	flat
12	SHFE	ZN2611	zn889.SHFE	zn	0	25,730	5	0	11.00%	0	2026-10-13 15:00:00	flat
13	SHFE	CU2611	cu889.SHFE	cu	0	110,990	5	0	11.00%	0	2026-10-13 15:00:00	flat
14	SHFE	RB2701	rb889.SHFE	rb	0	3,089	10	0	7.00%	0	2026-10-13 15:00:00	flat
15	SHFE	PB2611	pb889.SHFE	pb	0	16,280	5	0	11.00%	0	2026-10-13 15:00:00	flat
16	SHFE	HC2701	hc889.SHFE	hc	0	3,254	10	0	7.00%	0	2026-10-13 15:00:00	flat
17	SHFE	NI2611	ni889.SHFE	ni	0	118,490	1	0	12.00%	0	2026-10-13 15:00:00	flat
18	SHFE	SN2611	sn889.SHFE	sn	0	396,500	1	0	14.00%	0	2026-10-13 15:00:00	flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	4,808	10	67.31	9.00%	60,580.80	2026-10-13 15:00:00	short
20	SHFE	SS2611	ss889.SHFE	ss	0	13,445	5	0	7.00%	0	2026-10-13 15:00:00	flat
21	CZCE	TA2701	TA889.CZCE	TA	12	6,576	5	39.46	7.00%	27,619.20	2026-10-13 15:00:00	long
22	CZCE	MA2701	MA889.CZCE	MA	11	3,235	10	35.59	7.00%	24,909.50	2026-10-13 15:00:00	long
23	CZCE	RM2701	RM889.CZCE	RM	27	2,374	10	64.10	7.00%	44,868.60	2026-10-13 15:00:00	long
24	CZCE	SF2611	SF889.CZCE	SF	0	6,048	5	0	7.00%	0	2026-10-13 15:00:00	flat
25	CZCE	SM2701	SM889.CZCE	SM	0	5,858	5	0	9.00%	0	2026-10-13 15:00:00	flat
26	CZCE	PF2612	PF889.CZCE	PF	10	8,356	5	41.78	7.00%	29,246	2026-10-13 15:00:00	long
27	INE	SC2612	sc889.INE	sc	1	727.9000	1,000	72.79	18.00%	131,022	2026-10-13 15:00:00	long
28	INE	LU2612	lu889.INE	lu	6	5,940	10	35.64	18.00%	64,152	2026-10-13 15:00:00	long

2026-10-12 全部持仓 28 行；较前一交易日变化 2 行

seq	exchange	symbol	continuous_symbol	instrument	position	position_change	latest_price	contract_size	market_value_wan	margin_ratio	margin_required	latest_holdings_update_time	signal_bar_time	entry_bar_time	exit_bar_time	trade_time	trade_price	entry_direction
1	DCE	M2701	m889.DCE	m	29	0	3,383	10	98.11	7.00%	68,674.90	2026-10-12 15:00:00						long
2	DCE	Y2701	y889.DCE	y	0	0	8,968	10	0	7.00%	0	2026-10-12 15:00:00						flat
3	DCE	P2701	p889.DCE	p	-6	0	9,684	10	58.10	8.00%	46,483.20	2026-10-12 15:00:00						short
4	DCE	L2701	l889.DCE	l	10	0	8,874	5	44.37	7.00%	31,059	2026-10-12 15:00:00						long
5	DCE	V2701	v889.DCE	v	-21	0	4,904	5	51.49	7.00%	36,044.40	2026-10-12 15:00:00						short
6	DCE	I2701	i889.DCE	i	0	0	683	100	0	11.00%	0	2026-10-12 15:00:00						flat
7	DCE	PP2701	pp889.DCE	pp	8	0	9,382	5	37.53	7.00%	26,269.60	2026-10-12 15:00:00						long
8	DCE	EG2611	eg889.DCE	eg	7	0	5,214	10	36.50	7.00%	25,548.60	2026-10-12 15:00:00						long
9	DCE	EB2611	eb889.DCE	eb	8	0	10,314	5	41.26	7.00%	28,879.20	2026-10-12 15:00:00						long
10	SHFE	RU2701	ru889.SHFE	ru	0	0	20,640	5	0	9.00%	0	2026-10-12 15:00:00						flat
11	SHFE	AL2611	al889.SHFE	al	0	0	23,465	5	0	11.00%	0	2026-10-12 15:00:00						flat
12	SHFE	ZN2611	zn889.SHFE	zn	0	0	26,115	5	0	11.00%	0	2026-10-12 15:00:00						flat
13	SHFE	CU2611	cu889.SHFE	cu	0	0	110,630	5	0	11.00%	0	2026-10-12 15:00:00						flat
14	SHFE	RB2701	rb889.SHFE	rb	0	0	3,090	10	0	7.00%	0	2026-10-12 15:00:00						flat
15	SHFE	PB2611	pb889.SHFE	pb	0	0	16,105	5	0	11.00%	0	2026-10-12 15:00:00						flat
16	SHFE	HC2701	hc889.SHFE	hc	0	0	3,255	10	0	7.00%	0	2026-10-12 15:00:00						flat
17	SHFE	NI2611	ni889.SHFE	ni	0	0	117,810	1	0	12.00%	0	2026-10-12 15:00:00						flat
18	SHFE	SN2611	sn889.SHFE	sn	0	0	396,810	1	0	14.00%	0	2026-10-12 15:00:00						flat
19	SHFE	SP2701	sp889.SHFE	sp	-14	0	4,810	10	67.34	9.00%	60,606	2026-10-12 15:00:00						short
20	SHFE	SS2611	ss889.SHFE	ss	0	0	13,430	5	0	7.00%	0	2026-10-12 15:00:00						flat
21	CZCE	TA2701	TA889.CZCE	TA	12	0	6,588	5	39.53	7.00%	27,669.60	2026-10-12 15:00:00						long
22	CZCE	MA2701	MA889.CZCE	MA	11	0	3,229	10	35.52	7.00%	24,863.30	2026-10-12 15:00:00						long
23	CZCE	RM2701	RM889.CZCE	RM	27	27	2,362	10	63.77	7.00%	44,641.80	2026-10-12 15:00:00	2026-10-12 15:00:00	2026-10-12 15:00:00		2026-10-12 15:00:00	2,362	long
24	CZCE	SF2611	SF889.CZCE	SF	0	-27	6,016	5	0	7.00%	0	2026-10-12 15:00:00	2026-10-12 15:00:00		2026-10-12 15:00:00	2026-10-12 15:00:00	6,016	exit_long
25	CZCE	SM2701	SM889.CZCE	SM	0	0	5,862	5	0	9.00%	0	2026-10-12 15:00:00						flat
26	CZCE	PF2611	PF889.CZCE	PF	10	0	8,600	5	43	7.00%	30,100	2026-10-12 15:00:00						long
27	INE	SC2611	sc889.INE	sc	1	0	741.6000	1,000	74.16	18.00%	133,488	2026-10-12 15:00:00						long
28	INE	LU2612	lu889.INE	lu	6	0	5,693	10	34.16	18.00%	61,484.40	2026-10-12 15:00:00						long

carry_signal

carry_signal 最近 10 日，点击日期查看当日信号；共 280 行、10 列。

2026-10-23 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3276	M2705	2891	11.75%	4	35.26%	0.2931	23
y	Y2701	9125	Y2705	8902	2.44%	4	7.33%	-0.01724	14
p	P2701	9561	P2705	10151	-6.17%	4	-18.51%	-0.46552	1
l	L2701	8841	L2612	9209	-4.16%	-1	49.94%	0.36207	25
v	V2701	5115	V2705	5291	-3.44%	4	-10.32%	-0.43103	2
i	I2701	675	I2705	664.5	1.56%	4	4.67%	-0.05172	13
pp	PP2701	9628	PP2612	10078	-4.67%	-1	56.09%	0.39655	26
eg	EG2701	4885	EG2612	4995	-2.25%	-1	27.02%	0.25862	22
eb	EB2611	10795	EB2612	10258	4.98%	1	59.70%	0.46552	28
ru	RU2701	19705	RU2705	19715	-0.05%	4	-0.15%	-0.15517	10
al	AL2612	23350	AL2701	23030	1.37%	1	16.44%	0.15517	19
zn	ZN2612	25420	ZN2701	25425	-0.02%	1	-0.24%	-0.18966	9
cu	CU2612	107900	CU2611	108740	-0.78%	-1	9.34%	0.08621	17
rb	RB2701	3047	RB2703	3044	0.10%	2	0.59%	-0.12069	11
pb	PB2612	16110	PB2701	16055	0.34%	1	4.09%	-0.08621	12
hc	HC2701	3209	HC2703	3212	-0.09%	2	-0.56%	-0.22414	8
ni	NI2612	120580	NI2701	120840	-0.22%	1	-2.59%	-0.36207	4
sn	SN2612	382660	SN2611	385000	-0.61%	-1	7.34%	0.01724	15
sp	SP2701	4648	SP2703	4686	-0.82%	2	-4.91%	-0.39655	3
ss	SS2612	13635	SS2701	13645	-0.07%	1	-0.88%	-0.2931	6
TA	TA2701	6542	TA2703	6354	2.87%	2	17.24%	0.18966	20
MA	MA2701	3219	MA2612	3375	-4.85%	-1	58.15%	0.43103	27
RM	RM2701	2246	RM2703	2212	1.51%	2	9.08%	0.05172	16
SF	SF2701	5884	SF2703	5908	-0.41%	2	-2.45%	-0.32759	5
SM	SM2701	5940	SM2703	5946	-0.10%	2	-0.61%	-0.25862	7
PF	PF2612	8294	PF2701	8132	1.95%	1	23.44%	0.22414	21
sc	SC2612	724.9	SC2701	716.8	1.12%	1	13.40%	0.12069	18
lu	LU2612	6270	LU2701	6053	3.46%	1	41.53%	0.32759	24

2026-10-22 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3249	M2705	2878	11.42%	4	34.26%	0.25862	22
y	Y2701	8970	Y2705	8785	2.06%	4	6.19%	-0.01724	14
p	P2701	9556	P2705	10104	-5.73%	4	-17.21%	-0.46552	1
l	L2701	8725	L2612	9056	-3.79%	-1	45.53%	0.36207	25
v	V2701	5016	V2705	5216	-3.99%	4	-11.96%	-0.43103	2
i	I2701	669	I2705	659.5	1.42%	4	4.26%	-0.05172	13
pp	PP2701	9376	PP2612	9772	-4.22%	-1	50.69%	0.39655	26
eg	EG2701	4769	EG2611	5084	-6.60%	-2	39.63%	0.2931	23
eb	EB2611	10672	EB2612	9980	6.48%	1	77.81%	0.46552	28
ru	RU2701	19530	RU2705	19550	-0.10%	4	-0.31%	-0.25862	7
al	AL2612	23175	AL2611	23475	-1.29%	-1	15.53%	0.12069	18
zn	ZN2612	25425	ZN2611	25435	-0.04%	-1	0.47%	-0.22414	8
cu	CU2612	107590	CU2611	108350	-0.71%	-1	8.47%	0.01724	15
rb	RB2701	3059	RB2703	3062	-0.10%	2	-0.59%	-0.2931	6
pb	PB2612	16065	PB2701	16020	0.28%	1	3.36%	-0.08621	12
hc	HC2701	3218	HC2703	3223	-0.15%	2	-0.93%	-0.32759	5
ni	NI2612	121650	NI2701	121820	-0.14%	1	-1.68%	-0.36207	4
sn	SN2611	379590	SN2612	376380	0.85%	1	10.15%	0.08621	17
sp	SP2701	4632	SP2703	4674	-0.91%	2	-5.44%	-0.39655	3
ss	SS2612	13715	SS2701	13695	0.15%	1	1.75%	-0.12069	11
TA	TA2701	6458	TA2703	6272	2.88%	2	17.28%	0.15517	19
MA	MA2701	3191	MA2612	3342	-4.73%	-1	56.78%	0.43103	27
RM	RM2701	2248	RM2703	2213	1.56%	2	9.34%	0.05172	16
SF	SF2701	5858	SF2703	5852	0.10%	2	0.61%	-0.18966	9
SM	SM2701	5788	SM2703	5780	0.14%	2	0.83%	-0.15517	10
PF	PF2612	8200	PF2701	8026	2.12%	1	25.46%	0.22414	21
sc	SC2612	713.4	SC2701	702.7	1.50%	1	18.00%	0.18966	20
lu	LU2612	6068	LU2701	5851	3.58%	1	42.91%	0.32759	24

2026-10-21 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3243	M2705	2889	10.92%	4	32.75%	0.25862	22
y	Y2701	8914	Y2705	8748	1.86%	4	5.59%	-0.01724	14
p	P2701	9648	P2705	10146	-5.16%	4	-15.49%	-0.46552	1
l	L2701	8640	L2612	8917	-3.21%	-1	38.47%	0.2931	23
v	V2701	5032	V2705	5229	-3.91%	4	-11.74%	-0.43103	2
i	I2701	681.5	I2705	673.5	1.17%	4	3.52%	-0.05172	13
pp	PP2701	9299	PP2612	9658	-3.86%	-1	46.33%	0.43103	27
eg	EG2611	5088	EG2701	4758	6.49%	2	38.92%	0.32759	24
eb	EB2611	10455	EB2612	9829	5.99%	1	71.86%	0.46552	28
ru	RU2701	19685	RU2705	19685	0.00%	4	0.00%	-0.2069	8.5
al	AL2612	23050	AL2611	23385	-1.45%	-1	17.44%	0.18966	20
zn	ZN2612	25550	ZN2611	25540	0.04%	-1	-0.47%	-0.25862	7
cu	CU2611	109390	CU2612	108780	0.56%	1	6.70%	0.05172	16
rb	RB2701	3081	RB2703	3086	-0.16%	2	-0.97%	-0.2931	6
pb	PB2612	16095	PB2701	16065	0.19%	1	2.23%	-0.08621	12
hc	HC2701	3242	HC2703	3249	-0.22%	2	-1.30%	-0.32759	5
ni	NI2612	121300	NI2611	121090	0.17%	-1	-2.08%	-0.36207	4
sn	SN2611	387230	SN2612	385330	0.49%	1	5.89%	0.01724	15
sp	SP2701	4668	SP2703	4700	-0.69%	2	-4.12%	-0.39655	3
ss	SS2612	13635	SS2701	13620	0.11%	1	1.32%	-0.12069	11
TA	TA2701	6422	TA2703	6236	2.90%	2	17.38%	0.15517	19
MA	MA2701	3130	MA2612	3243	-3.61%	-1	43.32%	0.36207	25
RM	RM2701	2266	RM2703	2216	2.21%	2	13.24%	0.12069	18
SF	SF2701	5812	SF2703	5808	0.07%	2	0.41%	-0.15517	10
SM	SM2701	5822	SM2703	5822	0.00%	2	0.00%	-0.2069	8.5
PF	PF2612	8162	PF2701	7990	2.11%	1	25.28%	0.22414	21
sc	SC2612	716.5	SC2701	710.2	0.88%	1	10.55%	0.08621	17
lu	LU2612	5995	LU2701	5776	3.65%	1	43.84%	0.39655	26

2026-10-20 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3267	M2705	2912	10.87%	4	32.60%	0.2931	23
y	Y2701	8899	Y2705	8752	1.65%	4	4.96%	-0.01724	14
p	P2701	9592	P2705	10131	-5.62%	4	-16.86%	-0.46552	1
l	L2701	8726	L2612	8984	-2.96%	-1	35.48%	0.36207	25
v	V2701	4994	V2705	5207	-4.26%	4	-12.80%	-0.43103	2
i	I2701	681.5	I2705	673.5	1.17%	4	3.52%	-0.05172	13
pp	PP2701	9376	PP2612	9734	-3.82%	-1	45.82%	0.43103	27
eg	EG2611	5084	EG2701	4797	5.64%	2	33.87%	0.32759	24
eb	EB2611	10436	EB2612	9906	5.08%	1	60.95%	0.46552	28
ru	RU2701	19865	RU2705	19885	-0.10%	4	-0.30%	-0.22414	8
al	AL2612	23045	AL2611	23310	-1.15%	-1	13.80%	0.12069	18
zn	ZN2612	25600	ZN2611	25590	0.04%	-1	-0.47%	-0.25862	7
cu	CU2611	109550	CU2612	108830	0.66%	1	7.88%	0.05172	16
rb	RB2701	3070	RB2703	3074	-0.13%	2	-0.78%	-0.2931	6
pb	PB2612	16160	PB2701	16130	0.19%	1	2.23%	-0.08621	12
hc	HC2701	3240	HC2703	3247	-0.22%	2	-1.30%	-0.32759	5
ni	NI2612	117930	NI2611	117720	0.18%	-1	-2.14%	-0.36207	4
sn	SN2611	382580	SN2612	380480	0.55%	1	6.59%	0.01724	15
sp	SP2701	4692	SP2703	4728	-0.77%	2	-4.60%	-0.39655	3
ss	SS2612	13345	SS2611	13350	-0.04%	-1	0.44%	-0.12069	11
TA	TA2701	6488	TA2703	6290	3.05%	2	18.31%	0.18966	20
MA	MA2701	3157	MA2612	3231	-2.34%	-1	28.13%	0.25862	22
RM	RM2701	2274	RM2703	2221	2.33%	2	13.99%	0.15517	19
SF	SF2701	5812	SF2703	5814	-0.03%	2	-0.20%	-0.18966	9
SM	SM2701	5818	SM2703	5818	0.00%	2	0.00%	-0.15517	10
PF	PF2612	8262	PF2701	8078	2.23%	1	26.72%	0.22414	21
sc	SC2612	727.2	SC2701	721.7	0.76%	1	9.07%	0.08621	17
lu	LU2612	6052	LU2701	5833	3.62%	1	43.43%	0.39655	26

2026-10-19 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3287	M2705	2925	11.01%	4	33.04%	0.36207	25
y	Y2701	8869	Y2705	8724	1.64%	4	4.91%	-0.05172	13
p	P2701	9473	P2705	10038	-5.96%	4	-17.89%	-0.46552	1
l	L2701	8612	L2612	8845	-2.71%	-1	32.47%	0.32759	24
v	V2701	4904	V2705	5133	-4.67%	4	-14.01%	-0.43103	2
i	I2701	682.5	I2705	675	1.10%	4	3.30%	-0.08621	12
pp	PP2701	9320	PP2612	9689	-3.96%	-1	47.51%	0.43103	27
eg	EG2611	4976	EG2701	4715	5.24%	2	31.47%	0.2931	23
eb	EB2611	10235	EB2612	9775	4.49%	1	53.93%	0.46552	28
ru	RU2701	19705	RU2705	19710	-0.03%	4	-0.07%	-0.18966	9
al	AL2611	23340	AL2612	22970	1.58%	1	19.02%	0.18966	20
zn	ZN2612	25495	ZN2611	25500	-0.02%	-1	0.24%	-0.15517	10
cu	CU2611	109770	CU2612	109110	0.60%	1	7.21%	0.01724	15
rb	RB2701	3068	RB2703	3072	-0.13%	2	-0.78%	-0.22414	8
pb	PB2612	16055	PB2611	16165	-0.69%	-1	8.22%	0.05172	16
hc	HC2701	3236	HC2703	3244	-0.25%	2	-1.48%	-0.2931	6
ni	NI2612	117330	NI2611	117150	0.15%	-1	-1.84%	-0.32759	5
sn	SN2611	379980	SN2612	377980	0.53%	1	6.31%	-0.01724	14
sp	SP2701	4728	SP2703	4766	-0.80%	2	-4.82%	-0.39655	3
ss	SS2612	13295	SS2611	13325	-0.23%	-1	2.71%	-0.12069	11
TA	TA2701	6384	TA2703	6212	2.69%	2	16.16%	0.15517	19
MA	MA2701	3143	MA2612	3216	-2.32%	-1	27.88%	0.25862	22
RM	RM2701	2345	RM2703	2293	2.22%	2	13.30%	0.12069	18
SF	SF2701	5848	SF2703	5880	-0.55%	2	-3.28%	-0.36207	4
SM	SM2701	5892	SM2703	5906	-0.24%	2	-1.43%	-0.25862	7
PF	PF2612	8120	PF2701	7972	1.82%	1	21.88%	0.22414	21
sc	SC2612	713.6	SC2701	708.6	0.70%	1	8.41%	0.08621	17
lu	LU2612	5924	LU2701	5708	3.65%	1	43.75%	0.39655	26

2026-10-16 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3281	M2705	2939	10.42%	4	31.27%	0.32759	24
y	Y2701	8844	Y2705	8712	1.49%	4	4.48%	-0.05172	13
p	P2701	9474	P2705	10058	-6.16%	4	-18.49%	-0.46552	1
l	L2701	8663	L2612	8882	-2.53%	-1	30.34%	0.2931	23
v	V2701	4858	V2705	5101	-5.00%	4	-15.01%	-0.43103	2
i	I2701	672.5	I2705	666	0.97%	4	2.90%	-0.15517	10
pp	PP2701	9343	PP2612	9681	-3.62%	-1	43.42%	0.39655	26
eg	EG2611	5196	EG2701	4877	6.14%	2	36.83%	0.36207	25
eb	EB2611	10323	EB2612	9899	4.11%	1	49.28%	0.46552	28
ru	RU2701	19850	RU2705	19855	-0.03%	4	-0.07%	-0.22414	8
al	AL2611	23270	AL2612	22920	1.50%	1	18.05%	0.18966	20
zn	ZN2612	25440	ZN2611	25470	-0.12%	-1	1.42%	-0.18966	9
cu	CU2611	109860	CU2612	109190	0.61%	1	7.32%	0.05172	16
rb	RB2701	3074	RB2703	3077	-0.10%	2	-0.59%	-0.25862	7
pb	PB2612	16075	PB2611	16140	-0.40%	-1	4.85%	-0.01724	14
hc	HC2701	3242	HC2703	3251	-0.28%	2	-1.67%	-0.32759	5
ni	NI2612	115240	NI2611	115040	0.17%	-1	-2.09%	-0.36207	4
sn	SN2611	376860	SN2612	374910	0.52%	1	6.20%	0.01724	15
sp	SP2701	4756	SP2703	4796	-0.84%	2	-5.05%	-0.39655	3
ss	SS2612	13215	SS2611	13260	-0.34%	-1	4.09%	-0.12069	11
TA	TA2701	6470	TA2703	6300	2.63%	2	15.77%	0.15517	19
MA	MA2701	3192	MA2612	3266	-2.32%	-1	27.82%	0.25862	22
RM	RM2701	2349	RM2703	2301	2.04%	2	12.26%	0.12069	18
SF	SF2701	5848	SF2611	5888	-0.68%	-2	4.10%	-0.08621	12
SM	SM2701	5816	SM2703	5826	-0.17%	2	-1.03%	-0.2931	6
PF	PF2612	8204	PF2701	8080	1.51%	1	18.13%	0.22414	21
sc	SC2612	711.8	SC2701	704.6	1.01%	1	12.14%	0.08621	17
lu	LU2612	5889	LU2701	5674	3.65%	1	43.81%	0.43103	27

2026-10-15 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3316	M2705	2943	11.25%	4	33.74%	0.32759	24
y	Y2701	8854	Y2705	8710	1.63%	4	4.88%	-0.05172	13
p	P2701	9446	P2705	10065	-6.55%	4	-19.66%	-0.46552	1
l	L2701	8789	L2612	9028	-2.72%	-1	32.63%	0.2931	23
v	V2701	4808	V2705	5068	-5.41%	4	-16.22%	-0.43103	2
i	I2701	671.5	I2705	662.5	1.34%	4	4.02%	-0.08621	12
pp	PP2701	9387	PP2612	9727	-3.62%	-1	43.46%	0.43103	27
eg	EG2611	5177	EG2701	4875	5.83%	2	35.00%	0.36207	25
eb	EB2611	10276	EB2612	9846	4.18%	1	50.22%	0.46552	28
ru	RU2701	19735	RU2705	19745	-0.05%	4	-0.15%	-0.25862	7
al	AL2611	23040	AL2612	22710	1.43%	1	17.18%	0.12069	18
zn	ZN2611	25475	ZN2612	25425	0.20%	1	2.35%	-0.18966	9
cu	CU2611	108940	CU2612	108290	0.60%	1	7.16%	0.05172	16
rb	RB2701	3071	RB2703	3074	-0.10%	2	-0.59%	-0.2931	6
pb	PB2612	16180	PB2611	16215	-0.22%	-1	2.59%	-0.15517	10
hc	HC2701	3242	HC2703	3253	-0.34%	2	-2.03%	-0.36207	4
ni	NI2611	115910	NI2612	116060	-0.13%	1	-1.55%	-0.32759	5
sn	SN2611	373260	SN2612	371260	0.54%	1	6.43%	0.01724	15
sp	SP2701	4742	SP2703	4774	-0.68%	2	-4.05%	-0.39655	3
ss	SS2612	13175	SS2611	13210	-0.27%	-1	3.19%	-0.12069	11
TA	TA2701	6488	TA2703	6298	2.93%	2	17.57%	0.15517	19
MA	MA2701	3170	MA2612	3247	-2.43%	-1	29.15%	0.25862	22
RM	RM2701	2340	RM2703	2293	2.01%	2	12.05%	0.08621	17
SF	SF2701	5966	SF2611	6026	-1.01%	-2	6.04%	-0.01724	14
SM	SM2701	5890	SM2611	5896	-0.10%	-2	0.61%	-0.22414	8
PF	PF2612	8230	PF2701	8096	1.63%	1	19.54%	0.18966	20
sc	SC2612	712.8	SC2701	700.2	1.77%	1	21.22%	0.22414	21
lu	LU2612	5834	LU2701	5627	3.55%	1	42.58%	0.39655	26

2026-10-14 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3373	M2705	2985	11.50%	4	34.51%	0.2931	23
y	Y2701	9026	Y2705	8891	1.50%	4	4.49%	-0.01724	14
p	P2701	9733	P2705	10316	-5.99%	4	-17.97%	-0.46552	1
l	L2701	8949	L2612	9243	-3.28%	-1	39.42%	0.36207	25
v	V2701	4912	V2705	5155	-4.95%	4	-14.84%	-0.39655	3
i	I2701	674	I2705	667.5	0.96%	4	2.89%	-0.12069	11
pp	PP2701	9498	PP2611	10316	-8.61%	-2	51.67%	0.43103	27
eg	EG2611	5295	EG2701	5010	5.38%	2	32.29%	0.25862	22
eb	EB2611	10574	EB2612	10048	4.97%	1	59.69%	0.46552	28
ru	RU2701	20065	RU2705	20095	-0.15%	4	-0.45%	-0.25862	7
al	AL2611	23285	AL2612	23010	1.18%	1	14.17%	0.12069	18
zn	ZN2611	25665	ZN2612	25625	0.16%	1	1.87%	-0.18966	9
cu	CU2611	111080	CU2612	110570	0.46%	1	5.51%	0.01724	15
rb	RB2701	3073	RB2703	3079	-0.19%	2	-1.17%	-0.32759	5
pb	PB2611	16230	PB2612	16115	0.71%	1	8.51%	0.08621	17
hc	HC2701	3237	HC2703	3243	-0.18%	2	-1.11%	-0.2931	6
ni	NI2611	118320	NI2612	118530	-0.18%	1	-2.12%	-0.36207	4
sn	SN2611	377490	SN2612	376670	0.22%	1	2.60%	-0.15517	10
sp	SP2701	4730	SP2611	4596	2.83%	-2	-17.00%	-0.43103	2
ss	SS2611	13470	SS2612	13420	0.37%	1	4.45%	-0.05172	13
TA	TA2701	6584	TA2703	6392	2.92%	2	17.50%	0.18966	20
MA	MA2701	3262	MA2611	3473	-6.47%	-2	38.81%	0.32759	24
RM	RM2701	2407	RM2703	2345	2.58%	2	15.46%	0.15517	19
SF	SF2611	5990	SF2701	5924	1.10%	2	6.61%	0.05172	16
SM	SM2701	5854	SM2611	5862	-0.14%	-2	0.82%	-0.22414	8
PF	PF2612	8336	PF2611	8516	-2.16%	-1	25.91%	0.22414	21
sc	SC2612	742.4	SC2611	744.6	-0.30%	-1	3.55%	-0.08621	12
lu	LU2612	5940	LU2701	5708	3.91%	1	46.87%	0.39655	26

2026-10-13 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3361	M2705	2987	11.13%	4	33.38%	0.22414	21
y	Y2701	8949	Y2705	8815	1.50%	4	4.49%	-0.05172	13
p	P2701	9625	P2705	10235	-6.34%	4	-19.01%	-0.46552	1
l	L2701	8865	L2612	9162	-3.35%	-1	40.20%	0.32759	24
v	V2701	4888	V2705	5148	-5.32%	4	-15.96%	-0.39655	3
i	I2701	677	I2705	672	0.74%	4	2.22%	-0.18966	9
pp	PP2701	9351	PP2611	10174	-8.80%	-2	52.81%	0.39655	26
eg	EG2611	5123	EG2701	4836	5.60%	2	33.61%	0.25862	22
eb	EB2611	10548	EB2612	10010	5.10%	1	61.20%	0.46552	28
ru	RU2701	20305	RU2705	20340	-0.17%	4	-0.52%	-0.2931	6
al	AL2611	23320	AL2612	23110	0.90%	1	10.81%	0.08621	17
zn	ZN2611	25730	ZN2612	25675	0.21%	1	2.57%	-0.15517	10
cu	CU2611	110990	CU2612	110460	0.48%	1	5.74%	-0.01724	14
rb	RB2701	3089	RB2703	3089	0.00%	2	0.00%	-0.25862	7
pb	PB2611	16280	PB2612	16165	0.71%	1	8.47%	0.05172	16
hc	HC2701	3254	HC2703	3264	-0.31%	2	-1.84%	-0.32759	5
ni	NI2611	118490	NI2612	118680	-0.16%	1	-1.92%	-0.36207	4
sn	SN2611	396500	SN2612	395200	0.33%	1	3.94%	-0.12069	11
sp	SP2701	4808	SP2611	4660	3.08%	-2	-18.47%	-0.43103	2
ss	SS2611	13445	SS2612	13400	0.34%	1	4.02%	-0.08621	12
TA	TA2701	6576	TA2611	6946	-5.63%	-2	33.76%	0.2931	23
MA	MA2701	3235	MA2611	3453	-6.74%	-2	40.43%	0.36207	25
RM	RM2701	2374	RM2703	2328	1.94%	2	11.63%	0.12069	18
SF	SF2611	6048	SF2701	5972	1.26%	2	7.54%	0.01724	15
SM	SM2701	5858	SM2611	5868	-0.17%	-2	1.03%	-0.22414	8
PF	PF2612	8356	PF2611	8540	-2.20%	-1	26.42%	0.15517	19
sc	SC2612	727.9	SC2611	744.3	-2.25%	-1	27.04%	0.18966	20
lu	LU2612	5940	LU2701	5675	4.46%	1	53.53%	0.43103	27

2026-10-12 carry_signal 28 行

symbol	main contract	main close	sub-main contract	sub-main close	tscarry	delta_month	tscarry_standard	cxcarry_standard	cxcarry_rank
m	M2701	3383	M2705	2999	11.35%	4	34.05%	0.18966	20
y	Y2701	8968	Y2705	8832	1.52%	4	4.55%	-0.01724	14
p	P2701	9684	P2705	10272	-6.07%	4	-18.22%	-0.43103	2
l	L2701	8874	L2612	9212	-3.81%	-1	45.71%	0.32759	24
v	V2701	4904	V2611	4826	1.59%	-2	-9.55%	-0.39655	3
i	I2701	683	I2705	676.5	0.95%	4	2.86%	-0.05172	13
pp	PP2701	9382	PP2611	10211	-8.84%	-2	53.02%	0.39655	26
eg	EG2611	5214	EG2701	4864	6.71%	2	40.28%	0.2931	23
eb	EB2611	10314	EB2612	9837	4.62%	1	55.50%	0.43103	27
ru	RU2701	20640	RU2705	20690	-0.24%	4	-0.73%	-0.2931	6
al	AL2611	23465	AL2612	23305	0.68%	1	8.18%	0.08621	17
zn	ZN2611	26115	ZN2612	26125	-0.04%	1	-0.46%	-0.25862	7
cu	CU2611	110630	CU2612	110100	0.48%	1	5.75%	0.05172	16
rb	RB2701	3090	RB2703	3086	0.13%	2	0.77%	-0.18966	9
pb	PB2611	16105	PB2612	16105	0.00%	1	0.00%	-0.22414	8
hc	HC2701	3255	HC2703	3261	-0.18%	2	-1.10%	-0.32759	5
ni	NI2611	117810	NI2612	118010	-0.17%	1	-2.04%	-0.36207	4
sn	SN2611	396810	SN2612	396050	0.19%	1	2.30%	-0.08621	12
sp	SP2701	4810	SP2611	4654	3.24%	-2	-19.46%	-0.46552	1
ss	SS2611	13430	SS2612	13410	0.15%	1	1.79%	-0.12069	11
TA	TA2701	6588	TA2611	6984	-6.01%	-2	36.07%	0.22414	21
MA	MA2701	3229	MA2611	3536	-9.51%	-2	57.05%	0.46552	28
RM	RM2701	2362	RM2703	2323	1.65%	2	9.91%	0.12069	18
SF	SF2611	6016	SF2701	5962	0.90%	2	5.39%	0.01724	15
SM	SM2701	5862	SM2611	5870	-0.14%	-2	0.82%	-0.15517	10
PF	PF2611	8600	PF2612	8394	2.40%	1	28.74%	0.15517	19
sc	SC2611	741.6	SC2612	719.3	3.01%	1	36.08%	0.25862	22
lu	LU2612	5693	LU2701	5457	4.15%	1	49.74%	0.36207	25

Carry 策略历史回测

开始日期	2010-02-01
结束日期	2026-07-16
回测天数	3,994
盈利天数	2,155
亏损天数	1,838
初始资金	10,000,000
期末权益	20,590,217.32
最大回撤	-931,642.74
最大回撤比例	-5.50%
最大回撤持续天数	226
总净盈亏	10,590,217.32
日均净盈亏	2,651.53
总手续费	732,493.78
总成交额	5,634,567,545.20
总成交笔数	24,967
总收益率	105.90%
年化收益率	6.36%
日均收益率	0.02%
收益波动率	0.18
夏普比率	1.54
收益回撤比	11.37

历年每月收益率

年份	1月	2月	3月	4月	5月	6月	7月	8月	9月	10月	11月	12月	当年收益率
2010		0.02%	0.12%	0.97%	1.90%	1.20%	-0.43%	0.01%	-0.75%	-1.14%	0.27%	-0.78%	1.36%
2011	0.77%	-0.50%	0.61%	-0.01%	0.45%	0.36%	-0.90%	2.92%	2.90%	-0.23%	0.43%	-0.66%	6.22%
2012	-0.04%	-0.06%	0.73%	-0.16%	0.96%	1.07%	0.70%	-0.05%	-0.05%	1.06%	0.01%	1.53%	5.83%
2013	0.37%	2.39%	1.07%	1.53%	0.89%	0.68%	1.15%	-1.09%	1.13%	-0.59%	0.85%	0.73%	9.45%
2014	0.57%	0.60%	1.04%	1.29%	1.38%	0.78%	-0.86%	0.11%	-0.66%	-0.15%	0.51%	0.54%	5.24%
2015	-1.77%	0.86%	0.12%	-0.45%	0.65%	2.51%	-0.59%	1.47%	0.04%	0.54%	-0.24%	0.57%	3.73%
2016	0.95%	0.75%	0.95%	0.25%	-0.55%	1.03%	0.01%	0.76%	0.49%	1.97%	0.17%	-1.25%	5.64%
2017	-0.24%	-0.07%	1.07%	0.03%	0.70%	-0.41%	1.87%	1.13%	-0.75%	0.09%	1.59%	1.06%	6.19%
2018	0.81%	0.45%	0.38%	0.10%	-0.02%	1.39%	0.61%	0.81%	0.15%	0.65%	-1.74%	0.91%	4.57%
2019	1.22%	0.17%	1.24%	1.58%	-0.45%	1.83%	-0.74%	-1.64%	0.05%	-1.52%	0.95%	0.04%	2.69%
2020	0.10%	-0.79%	3.68%	-0.16%	1.45%	0.48%	2.13%	0.09%	1.10%	0.25%	1.97%	0.13%	10.85%
2021	-1.57%	2.00%	0.45%	0.56%	0.15%	0.05%	0.45%	1.01%	1.02%	-1.62%	-0.16%	0.75%	3.08%
2022	1.94%	1.15%	1.04%	0.72%	-0.43%	-1.15%	-0.25%	0.30%	-0.06%	0.24%	0.94%	0.76%	5.30%
2023	0.06%	-0.52%	0.23%	-0.67%	-1.27%	0.90%	1.30%	1.07%	0.49%	-0.54%	-0.07%	0.32%	1.27%
2024	0.60%	-0.10%	-0.12%	-1.27%	-1.57%	1.26%	1.16%	0.25%	-0.73%	0.98%	0.55%	0.51%	1.47%
2025	-1.21%	0.19%	0.19%	1.36%	0.87%	-0.04%	-0.54%	0.59%	-0.05%	-0.21%	0.63%	-0.46%	1.30%
2026	-0.02%	-0.03%	0.41%	0.08%	-0.48%	-0.18%	0.49%						0.28%