PTA期货跨期套利数据回测

本页面展示PTA期货主连与次主连合约跨期套利历史数据回测分析情况,以下是简要说明:

数据来源

  1. 数据来源于期货交易所官方公布的期货交易数据;
  2. 主连合约指当前主力合约,次主连合约指下一个主力合约,并不是简单的本月合约和次月合约,操作前请严格核对操作标的是否正确;
  3. 为节约服务器资源,数据更新频率为每周六更新;

数据说明

  1. 该页面主要统计了主连与次主连合约历史数据的价格差异;
  2. 所有的差价都是用主连合约数据减去次主连合约所得;
  3. 本页面包含逐日数据对比,汇总的月份数据和年度数据情况;
  4. 通过查看年度、月度以及逐日数据,了解期货跨期价差的历史表现,为投资决策提供参考依据;

学习交流

如果您对期货套利以及其它低风险投资感兴趣,可以关注我们的公众号:财有你我 ,加群交流。

风险提示

注意:历史数据仅供参考,并不能确保100%盈利,投资有风险,决策需谨慎。

数据分析

关于PTA期货跨期套利的详细数据分析,请查看文章:。

PTA期货跨期套利年度差价数据

年份 开盘价差均值 开盘价差最小值 开盘价差最大值 收盘价差均值 收盘价差最小值 收盘价差最大值 最高价差均值 最高价差最小值 最高价差最大值 最低价差均值 最低价差最小值 最低价差最大值
2025 24.60 -102.00 212.00 23.09 -96.00 206.00 24.92 -118.00 208.00 21.26 -84.00 188.00
2024 -6.21 -102.00 146.00 -7.42 -102.00 138.00 -5.44 -98.00 112.00 -9.09 -102.00 112.00
2023 -1.65 -418.00 586.00 -1.07 -480.00 600.00 -0.46 -460.00 594.00 -2.71 -432.00 562.00
2022 -1.28 -526.00 382.00 -3.02 -528.00 446.00 1.89 -520.00 446.00 -6.76 -522.00 374.00
2021 -16.94 -128.00 190.00 -15.53 -128.00 182.00 -13.62 -120.00 192.00 -18.38 -118.00 172.00
2020 -67.11 -198.00 176.00 -66.58 -188.00 178.00 -64.91 -180.00 180.00 -67.74 -192.00 176.00
2019 126.48 -456.00 968.00 124.04 -494.00 856.00 137.89 -448.00 944.00 112.08 -494.00 908.00
2018 25.60 -392.00 292.00 20.93 -424.00 276.00 29.50 -386.00 300.00 15.63 -372.00 286.00

PTA期货跨期套利月度差价数据

月份 开盘价差均值 开盘价差最小值 开盘价差最大值 收盘价差均值 收盘价差最小值 收盘价差最大值 最高价差均值 最高价差最小值 最高价差最大值 最低价差均值 最低价差最小值 最低价差最大值
2025-12 -64.00 -64.00 -64.00 -54.00 -54.00 -54.00 -54.00 -54.00 -54.00 -54.00 -54.00 -54.00
2025-11 -26.30 -56.00 32.00 -26.70 -62.00 26.00 -26.40 -64.00 26.00 -28.30 -66.00 26.00
2025-10 -2.71 -20.00 32.00 -2.59 -20.00 30.00 -2.24 -20.00 28.00 -2.59 -20.00 30.00
2025-09 22.00 14.00 34.00 19.91 12.00 26.00 18.18 10.00 26.00 21.45 16.00 28.00
2025-08 -5.14 -38.00 50.00 -3.81 -40.00 56.00 -6.19 -36.00 56.00 -4.76 -48.00 60.00
2025-07 46.09 2.00 150.00 38.70 -32.00 126.00 46.26 0.00 148.00 37.13 -26.00 124.00
2025-06 151.50 90.00 212.00 147.00 88.00 206.00 160.10 102.00 208.00 139.20 88.00 188.00
2025-05 90.21 -102.00 190.00 99.47 -86.00 198.00 95.37 -118.00 192.00 90.00 -78.00 188.00
2025-04 -11.05 -80.00 40.00 -17.81 -96.00 42.00 -17.81 -114.00 38.00 -14.76 -84.00 38.00
2025-03 -18.38 -38.00 -4.00 -22.10 -38.00 -8.00 -19.33 -36.00 -10.00 -24.10 -38.00 -12.00
2025-02 -12.00 -42.00 36.00 -12.00 -26.00 34.00 -9.44 -32.00 40.00 -13.56 -32.00 38.00
2025-01 40.33 -28.00 70.00 39.44 -34.00 68.00 40.56 -28.00 68.00 39.00 -36.00 66.00
2024-12 4.64 -98.00 146.00 0.64 -100.00 102.00 1.91 -98.00 100.00 0.55 -98.00 112.00
2024-11 -93.05 -102.00 -82.00 -95.90 -102.00 -92.00 -94.29 -98.00 -92.00 -97.14 -102.00 -92.00
2024-10 -64.67 -100.00 24.00 -67.56 -92.00 26.00 -64.89 -92.00 28.00 -67.56 -96.00 28.00
2024-09 0.74 -64.00 58.00 0.53 -56.00 54.00 3.37 -52.00 58.00 -0.32 -60.00 52.00
2024-08 33.00 -28.00 108.00 38.64 -32.00 138.00 36.64 -26.00 112.00 32.18 -40.00 110.00
2024-07 -1.74 -24.00 18.00 -2.17 -20.00 24.00 1.39 -20.00 24.00 -3.48 -20.00 10.00
2024-06 1.47 -26.00 48.00 1.68 -26.00 32.00 4.53 -28.00 34.00 -1.89 -28.00 24.00
2024-05 -29.00 -60.00 16.00 -28.80 -50.00 12.00 -29.00 -44.00 4.00 -31.50 -52.00 6.00
2024-04 16.10 -58.00 62.00 16.10 -64.00 72.00 17.90 -62.00 68.00 14.80 -56.00 66.00
2024-03 -18.86 -66.00 62.00 -24.38 -64.00 52.00 -20.29 -60.00 60.00 -25.52 -66.00 58.00
2024-02 57.47 -20.00 104.00 53.07 -26.00 104.00 58.13 -26.00 100.00 54.00 -28.00 104.00
2024-01 26.18 -14.00 62.00 24.91 -12.00 82.00 26.27 -26.00 82.00 23.55 -10.00 62.00
2023-12 17.71 -50.00 56.00 19.43 -42.00 52.00 21.05 -40.00 50.00 18.38 -38.00 64.00
2023-11 -8.27 -48.00 18.00 -11.18 -58.00 18.00 -6.73 -46.00 18.00 -9.00 -56.00 34.00
2023-10 -24.82 -42.00 0.00 -24.94 -52.00 -8.00 -26.82 -72.00 -8.00 -27.29 -54.00 -12.00
2023-09 -25.90 -40.00 -6.00 -29.20 -34.00 -22.00 -29.00 -40.00 -22.00 -30.50 -44.00 -18.00
2023-08 -7.13 -98.00 90.00 -8.70 -108.00 82.00 -6.09 -114.00 88.00 -9.04 -124.00 78.00
2023-07 80.19 -44.00 140.00 80.29 -46.00 148.00 88.76 -42.00 162.00 80.19 -38.00 138.00
2023-06 -64.70 -102.00 -40.00 -64.90 -116.00 -40.00 -68.50 -126.00 -48.00 -63.50 -118.00 -40.00
2023-05 -166.60 -344.00 -98.00 -162.50 -334.00 -92.00 -176.40 -354.00 -100.00 -157.80 -320.00 -96.00
2023-04 -104.00 -418.00 532.00 -115.05 -480.00 466.00 -107.47 -460.00 594.00 -112.95 -432.00 540.00
2023-03 224.17 -10.00 586.00 242.43 -28.00 600.00 244.96 -26.00 578.00 221.04 -20.00 562.00
2023-02 1.60 -24.00 30.00 -0.30 -16.00 18.00 -0.40 -16.00 20.00 0.10 -16.00 18.00
2023-01 15.25 -18.00 32.00 16.50 -8.00 26.00 13.75 -8.00 24.00 15.00 -6.00 24.00
2022-12 -8.18 -48.00 44.00 -6.18 -54.00 40.00 -6.55 -42.00 48.00 -13.45 -52.00 46.00
2022-11 49.64 10.00 100.00 47.64 16.00 92.00 51.82 16.00 88.00 40.55 8.00 76.00
2022-10 -41.00 -300.00 144.00 -43.62 -292.00 150.00 -44.00 -312.00 144.00 -46.25 -314.00 142.00
2022-09 -281.81 -516.00 -172.00 -278.38 -520.00 -166.00 -283.14 -506.00 -162.00 -270.76 -522.00 -162.00
2022-08 -196.70 -526.00 304.00 -208.52 -528.00 322.00 -196.87 -520.00 330.00 -210.87 -518.00 320.00
2022-07 229.05 14.00 382.00 227.14 18.00 394.00 246.67 58.00 408.00 216.10 20.00 374.00
2022-06 156.76 -162.00 380.00 161.24 -134.00 446.00 168.76 -146.00 446.00 144.95 -158.00 368.00
2022-05 -70.42 -110.00 12.00 -75.68 -118.00 -36.00 -75.37 -118.00 -6.00 -67.16 -92.00 -40.00
2022-04 12.74 -36.00 84.00 7.37 -60.00 84.00 7.47 -200.00 86.00 4.74 -50.00 86.00
2022-03 90.70 -2.00 218.00 92.61 -18.00 198.00 107.74 -20.00 238.00 84.26 -10.00 172.00
2022-02 7.62 -16.00 38.00 3.88 -18.00 30.00 4.25 -14.00 32.00 4.00 -10.00 28.00
2022-01 34.84 10.00 68.00 34.11 20.00 44.00 34.74 20.00 42.00 34.00 20.00 40.00
2021-12 3.57 -118.00 68.00 4.09 -108.00 74.00 6.43 -108.00 76.00 -0.35 -110.00 64.00
2021-11 -77.45 -110.00 40.00 -78.91 -108.00 28.00 -76.27 -110.00 30.00 -80.27 -114.00 28.00
2021-10 30.88 12.00 80.00 28.00 14.00 50.00 25.88 14.00 44.00 29.00 20.00 64.00
2021-09 19.30 -8.00 46.00 22.40 6.00 50.00 18.70 -8.00 42.00 19.70 2.00 44.00
2021-08 19.45 -30.00 190.00 15.00 -26.00 120.00 23.00 -34.00 192.00 17.09 -26.00 158.00
2021-07 49.64 -74.00 188.00 57.82 -68.00 182.00 65.82 -68.00 190.00 44.91 -54.00 172.00
2021-06 -81.24 -128.00 34.00 -76.38 -128.00 36.00 -76.57 -120.00 28.00 -80.76 -118.00 22.00
2021-05 28.11 -110.00 52.00 29.22 -108.00 50.00 25.00 -100.00 50.00 28.67 -110.00 48.00
2021-04 67.14 -88.00 134.00 72.00 -88.00 116.00 73.52 -84.00 116.00 68.67 -86.00 116.00
2021-03 -84.17 -102.00 -64.00 -85.48 -100.00 -74.00 -83.22 -94.00 -72.00 -86.78 -100.00 -70.00
2021-02 -83.07 -114.00 -62.00 -80.80 -90.00 -66.00 -76.93 -90.00 -58.00 -81.87 -92.00 -66.00
2021-01 -96.10 -112.00 -84.00 -94.30 -108.00 -86.00 -92.00 -104.00 -82.00 -97.60 -108.00 -90.00
2020-12 20.35 -124.00 146.00 19.13 -124.00 130.00 19.39 -124.00 132.00 19.30 -126.00 140.00
2020-11 -120.95 -132.00 -110.00 -121.33 -128.00 -114.00 -118.86 -128.00 -108.00 -121.52 -132.00 -114.00
2020-10 -103.75 -122.00 -84.00 -103.62 -120.00 -84.00 -100.25 -118.00 -80.00 -106.25 -116.00 -90.00
2020-09 -6.09 -110.00 58.00 -3.45 -112.00 60.00 -4.45 -112.00 58.00 -4.27 -116.00 58.00
2020-08 23.81 -166.00 176.00 25.33 -166.00 178.00 26.10 -166.00 180.00 23.33 -168.00 176.00
2020-07 -167.39 -186.00 -136.00 -168.78 -188.00 -152.00 -163.91 -180.00 -150.00 -172.61 -192.00 -156.00
2020-06 -141.90 -176.00 -110.00 -144.70 -160.00 -122.00 -141.60 -166.00 -122.00 -145.50 -160.00 -124.00
2020-05 -142.56 -160.00 -116.00 -141.44 -156.00 -120.00 -140.33 -164.00 -120.00 -143.78 -154.00 -128.00
2020-04 32.48 -198.00 130.00 36.38 -164.00 126.00 36.19 -164.00 120.00 36.29 -166.00 126.00
2020-03 -121.82 -148.00 -92.00 -120.09 -138.00 -98.00 -119.09 -140.00 -98.00 -120.09 -142.00 -100.00
2020-02 -103.90 -144.00 -12.00 -101.10 -118.00 -12.00 -99.50 -114.00 -42.00 -100.10 -116.00 -12.00
2020-01 24.25 -28.00 70.00 22.12 -28.00 44.00 25.50 -20.00 46.00 18.88 -28.00 46.00
2019-12 22.18 -84.00 98.00 19.73 -88.00 90.00 22.82 -90.00 98.00 16.45 -76.00 86.00
2019-11 -42.00 -82.00 -10.00 -44.38 -80.00 -4.00 -34.48 -78.00 2.00 -52.76 -84.00 -24.00
2019-10 -9.11 -38.00 38.00 -13.00 -32.00 24.00 -5.00 -38.00 36.00 -20.33 -42.00 26.00
2019-09 -18.50 -78.00 48.00 -18.30 -78.00 34.00 -14.70 -68.00 34.00 -22.50 -80.00 24.00
2019-08 0.45 -102.00 188.00 0.36 -84.00 142.00 6.82 -84.00 186.00 -16.00 -100.00 144.00
2019-07 539.91 134.00 968.00 519.13 134.00 856.00 579.39 192.00 944.00 491.48 130.00 908.00
2019-06 317.79 162.00 576.00 338.95 180.00 614.00 353.89 184.00 682.00 305.89 172.00 600.00
2019-05 122.80 -350.00 398.00 119.30 -322.00 404.00 137.80 -306.00 426.00 113.10 -330.00 398.00
2019-04 6.86 -456.00 570.00 -20.38 -494.00 512.00 0.86 -448.00 538.00 -19.14 -494.00 524.00
2019-03 353.62 92.00 486.00 370.10 112.00 562.00 373.71 116.00 574.00 345.62 84.00 518.00
2019-02 114.40 80.00 180.00 108.93 74.00 164.00 116.27 84.00 186.00 101.87 74.00 154.00
2019-01 71.91 -124.00 274.00 73.27 -124.00 266.00 76.64 -128.00 260.00 68.18 -122.00 238.00
2018-12 -258.70 -392.00 -6.00 -265.20 -424.00 -56.00 -257.20 -386.00 -60.00 -265.00 -372.00 -28.00
2018-11 177.00 -170.00 292.00 174.82 -184.00 276.00 182.91 -144.00 300.00 169.64 -210.00 286.00
2018-10 156.44 54.00 266.00 150.78 66.00 236.00 160.56 68.00 268.00 139.22 60.00 234.00

PTA期货跨期套利价差逐日数据

日期 主连开盘价 主连收盘价 主连最高价 主连最低价 次主连开盘价 次主连收盘价 次主连最高价 次主连最低价 开盘价差值 收盘价差值 最高价差值 最低价差值
2018-11-27 5944.00 5862.00 6044.00 5842.00 5852.00 5732.00 5896.00 5714.00 92.00 130.00 148.00 128.00
2018-11-26 5950.00 5946.00 5950.00 5768.00 5800.00 5852.00 5858.00 5660.00 150.00 94.00 92.00 108.00
2018-11-23 6156.00 6014.00 6176.00 6006.00 5988.00 5878.00 6024.00 5878.00 168.00 136.00 152.00 128.00
2018-11-22 6296.00 6164.00 6308.00 6130.00 6080.00 5996.00 6106.00 5966.00 216.00 168.00 202.00 164.00
2018-11-21 6446.00 6252.00 6462.00 6150.00 6154.00 6066.00 6162.00 5954.00 292.00 186.00 300.00 196.00
2018-11-20 6552.00 6440.00 6584.00 6436.00 6300.00 6164.00 6334.00 6150.00 252.00 276.00 250.00 286.00
2018-11-19 6574.00 6574.00 6666.00 6560.00 6390.00 6322.00 6456.00 6316.00 184.00 252.00 210.00 244.00
2018-11-16 6450.00 6568.00 6642.00 6426.00 6278.00 6378.00 6432.00 6236.00 172.00 190.00 210.00 190.00
2018-11-15 6406.00 6442.00 6474.00 6396.00 6230.00 6262.00 6298.00 6220.00 176.00 180.00 176.00 176.00
2018-11-14 6536.00 6386.00 6566.00 6336.00 6338.00 6204.00 6372.00 6156.00 198.00 182.00 194.00 180.00
2018-11-13 6580.00 6546.00 6642.00 6522.00 6380.00 6336.00 6442.00 6320.00 200.00 210.00 200.00 202.00
2018-11-12 6446.00 6582.00 6618.00 6430.00 6224.00 6384.00 6422.00 6212.00 222.00 198.00 196.00 218.00
2018-11-09 6582.00 6490.00 6582.00 6416.00 6344.00 6260.00 6352.00 6216.00 238.00 230.00 230.00 200.00
2018-11-08 6604.00 6592.00 6670.00 6514.00 6370.00 6354.00 6412.00 6292.00 234.00 238.00 258.00 222.00
2018-11-07 6712.00 6570.00 6732.00 6458.00 6512.00 6344.00 6522.00 6286.00 200.00 226.00 210.00 172.00
2018-11-06 6800.00 6716.00 6832.00 6684.00 6554.00 6522.00 6606.00 6496.00 246.00 194.00 226.00 188.00
2018-11-05 6750.00 6780.00 6800.00 6696.00 6554.00 6546.00 6560.00 6466.00 196.00 234.00 240.00 230.00
2018-11-02 6850.00 6756.00 6888.00 6640.00 6678.00 6566.00 6694.00 6404.00 172.00 190.00 194.00 236.00
2018-11-01 6970.00 6872.00 6976.00 6852.00 6786.00 6690.00 6794.00 6686.00 184.00 182.00 182.00 166.00
2018-10-31 6938.00 6970.00 7038.00 6824.00 6802.00 6788.00 6874.00 6700.00 136.00 182.00 164.00 124.00
2018-10-30 6948.00 6958.00 6986.00 6906.00 6810.00 6836.00 6850.00 6768.00 138.00 122.00 136.00 138.00
2018-10-29 6788.00 6938.00 6994.00 6782.00 6662.00 6812.00 6870.00 6662.00 126.00 126.00 124.00 120.00
2018-10-26 6788.00 6772.00 6822.00 6746.00 6650.00 6658.00 6700.00 6644.00 138.00 114.00 122.00 102.00
2018-10-25 6950.00 6770.00 6956.00 6734.00 6798.00 6648.00 6812.00 6632.00 152.00 122.00 144.00 102.00
2018-10-24 6920.00 6928.00 6990.00 6852.00 6838.00 6780.00 6872.00 6748.00 82.00 148.00 118.00 104.00
2018-10-23 6946.00 6960.00 7006.00 6910.00 6870.00 6870.00 6922.00 6828.00 76.00 90.00 84.00 82.00
2018-10-22 6990.00 6944.00 7058.00 6902.00 6936.00 6866.00 6990.00 6842.00 54.00 78.00 68.00 60.00
2018-10-19 6994.00 6988.00 7064.00 6956.00 6900.00 6922.00 6970.00 6882.00 94.00 66.00 94.00 74.00
2018-10-18 7208.00 7024.00 7220.00 6950.00 7090.00 6928.00 7100.00 6872.00 118.00 96.00 120.00 78.00
2018-10-17 7280.00 7236.00 7288.00 7140.00 7136.00 7108.00 7138.00 7022.00 144.00 128.00 150.00 118.00
2018-10-16 7406.00 7288.00 7410.00 7238.00 7220.00 7138.00 7222.00 7066.00 186.00 150.00 188.00 172.00
2018-10-15 7410.00 7406.00 7452.00 7356.00 7212.00 7216.00 7252.00 7174.00 198.00 190.00 200.00 182.00
2018-10-12 7440.00 7420.00 7490.00 7330.00 7238.00 7214.00 7276.00 7142.00 202.00 206.00 214.00 188.00
2018-10-11 7560.00 7444.00 7566.00 7318.00 7318.00 7238.00 7338.00 7146.00 242.00 206.00 228.00 172.00
2018-10-10 7508.00 7560.00 7610.00 7500.00 7284.00 7324.00 7374.00 7272.00 224.00 236.00 236.00 228.00
2018-10-09 7314.00 7504.00 7524.00 7290.00 7074.00 7284.00 7292.00 7062.00 240.00 220.00 232.00 228.00
2018-10-08 7292.00 7304.00 7442.00 7260.00 7026.00 7070.00 7174.00 7026.00 266.00 234.00 268.00 234.00
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