强麦期货跨期套利数据回测

本页面展示强麦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

关于强麦期货跨期套利的详细数据分析,请查看文章:。

强麦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
2022 110.65 -378.00 530.00 125.96 -339.00 488.00 162.96 -339.00 575.00 92.69 -322.00 530.00
2021 -9.49 -154.00 190.00 -16.98 -142.00 203.00 -8.76 -141.00 155.00 -17.18 -157.00 192.00
2020 -30.49 -220.00 254.00 -29.18 -178.00 245.00 -24.62 -179.00 276.00 -33.97 -238.00 239.00
2019 -36.35 -415.00 305.00 -34.06 -412.00 317.00 -29.13 -398.00 317.00 -36.82 -415.00 305.00
2018 21.51 -78.00 134.00 21.11 -83.00 126.00 25.04 -75.00 126.00 14.76 -74.00 130.00

强麦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
2022-10 -14.00 -14.00 -14.00 -14.00 -14.00 -14.00 -14.00 -14.00 -14.00 -14.00 -14.00 -14.00
2022-07 520.50 511.00 530.00 483.50 479.00 488.00 541.50 508.00 575.00 510.50 491.00 530.00
2022-06 308.00 308.00 308.00 385.00 385.00 385.00 385.00 385.00 385.00 308.00 308.00 308.00
2022-05 85.33 -341.00 399.00 65.67 -339.00 322.00 154.00 -339.00 402.00 41.00 -303.00 304.00
2022-04 -229.67 -378.00 -111.00 -135.67 -243.00 -74.00 -147.33 -222.00 -90.00 -187.00 -322.00 -56.00
2022-03 144.42 -19.00 397.00 165.83 -32.00 336.00 207.75 68.00 397.00 120.50 -59.00 311.00
2022-02 60.50 -63.00 280.00 39.25 -66.00 132.00 67.50 -54.00 244.00 21.75 -66.00 177.00
2021-12 -88.00 -112.00 -64.00 -75.00 -95.00 -55.00 -64.50 -90.00 -39.00 -84.50 -112.00 -57.00
2021-11 -53.67 -91.00 -20.00 -87.00 -114.00 -47.00 -48.67 -85.00 -20.00 -94.67 -114.00 -63.00
2021-08 -6.50 -59.00 35.00 -27.50 -62.00 0.00 -7.83 -52.00 28.00 -22.17 -59.00 35.00
2021-07 -51.00 -51.00 -51.00 -59.00 -59.00 -59.00 -51.00 -51.00 -51.00 -59.00 -59.00 -59.00
2021-06 -64.25 -154.00 -18.00 -57.25 -142.00 -15.00 -53.75 -141.00 -4.00 -66.50 -157.00 -20.00
2021-05 -78.50 -93.00 -64.00 -57.50 -80.00 -35.00 -56.50 -80.00 -33.00 -92.00 -101.00 -83.00
2021-04 126.57 63.00 190.00 118.14 9.00 203.00 94.71 10.00 155.00 147.29 72.00 192.00
2021-03 30.50 -90.00 125.00 36.83 -70.00 92.00 35.50 -66.00 101.00 22.33 -96.00 83.00
2021-02 19.80 -15.00 61.00 13.80 -20.00 40.00 29.40 -15.00 61.00 -2.80 -38.00 36.00
2021-01 -60.92 -132.00 54.00 -74.62 -138.00 59.00 -57.77 -119.00 66.00 -69.08 -138.00 41.00
2020-12 -63.89 -98.00 -30.00 -55.44 -95.00 -32.00 -43.33 -75.00 31.00 -68.17 -115.00 -41.00
2020-11 -31.12 -87.00 1.00 -25.12 -89.00 -6.00 -24.62 -73.00 1.00 -36.25 -95.00 -8.00
2020-10 114.62 -15.00 254.00 100.12 -32.00 245.00 118.00 -15.00 276.00 96.50 -32.00 239.00
2020-09 51.50 -40.00 145.00 56.50 -41.00 160.00 61.75 -33.00 164.00 51.00 -42.00 153.00
2020-08 -106.50 -220.00 -73.00 -107.05 -176.00 -66.00 -99.10 -175.00 -73.00 -113.45 -238.00 -49.00
2020-07 -84.07 -125.00 -36.00 -85.80 -109.00 -61.00 -82.20 -112.00 -38.00 -88.07 -126.00 -48.00
2020-06 -86.20 -144.00 0.00 -93.27 -176.00 19.00 -90.13 -173.00 19.00 -96.80 -159.00 0.00
2020-05 -56.64 -107.00 134.00 -49.73 -116.00 141.00 -50.00 -116.00 158.00 -54.73 -100.00 134.00
2020-04 -20.00 -94.00 153.00 -16.67 -97.00 145.00 -28.52 -179.00 137.00 -18.10 -97.00 130.00
2020-03 59.84 -38.00 154.00 63.26 -16.00 119.00 73.68 -20.00 151.00 64.89 -16.00 106.00
2020-02 30.25 -93.00 85.00 36.33 -33.00 76.00 44.75 -34.00 85.00 25.00 -42.00 70.00
2020-01 -132.00 -132.00 -132.00 -178.00 -178.00 -178.00 -178.00 -178.00 -178.00 -132.00 -132.00 -132.00
2019-12 -167.80 -192.00 -144.00 -161.40 -185.00 -134.00 -163.90 -190.00 -134.00 -173.30 -230.00 -152.00
2019-11 -93.67 -224.00 75.00 -93.33 -217.00 85.00 -100.22 -208.00 78.00 -95.00 -214.00 78.00
2019-10 -60.50 -62.00 -59.00 -65.00 -70.00 -60.00 -60.00 -61.00 -59.00 -65.00 -70.00 -60.00
2019-09 -27.00 -306.00 305.00 -42.14 -332.00 317.00 -33.86 -340.00 317.00 -39.43 -304.00 305.00
2019-07 -111.00 -154.00 -68.00 -118.20 -143.00 -108.00 -135.40 -159.00 -108.00 -108.80 -136.00 -74.00
2019-06 -125.75 -146.00 -111.00 -127.00 -150.00 -112.00 -120.88 -149.00 -108.00 -143.62 -200.00 -121.00
2019-05 -126.23 -415.00 -18.00 -132.23 -412.00 -52.00 -124.92 -398.00 5.00 -121.31 -415.00 -18.00
2019-04 60.71 -251.00 249.00 73.81 -290.00 263.00 81.14 -293.00 284.00 73.90 -226.00 260.00
2019-03 7.28 -12.00 33.00 14.44 -9.00 72.00 23.61 -4.00 76.00 6.78 -15.00 30.00
2019-02 -4.40 -63.00 18.00 2.93 -2.00 15.00 6.47 -15.00 44.00 -2.93 -16.00 15.00
2019-01 11.62 -10.00 50.00 8.00 -10.00 51.00 20.50 -10.00 77.00 4.25 -15.00 37.00
2018-12 67.58 -8.00 134.00 63.63 -41.00 126.00 67.11 -27.00 126.00 57.84 -44.00 130.00
2018-11 12.22 -43.00 60.00 13.11 -30.00 54.00 18.39 -23.00 57.00 4.11 -40.00 50.00
2018-10 -67.00 -78.00 -56.00 -61.88 -83.00 -44.00 -59.88 -75.00 -30.00 -63.62 -74.00 -51.00

强麦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
2020-03-24 2622.00 2643.00 2708.00 2618.00 2579.00 2580.00 2580.00 2523.00 43.00 63.00 128.00 95.00
2020-03-23 2561.00 2625.00 2654.00 2561.00 2512.00 2562.00 2567.00 2512.00 49.00 63.00 87.00 49.00
2020-03-20 2578.00 2573.00 2584.00 2559.00 2503.00 2504.00 2515.00 2503.00 75.00 69.00 69.00 56.00
2020-03-19 2529.00 2559.00 2579.00 2526.00 2472.00 2499.00 2508.00 2460.00 57.00 60.00 71.00 66.00
2020-03-17 2517.00 2534.00 2535.00 2507.00 2517.00 2538.00 2540.00 2460.00 0.00 -4.00 -5.00 47.00
2020-03-16 2530.00 2526.00 2548.00 2526.00 2568.00 2542.00 2568.00 2542.00 -38.00 -16.00 -20.00 -16.00
2020-03-13 2512.00 2536.00 2543.00 2512.00 2412.00 2468.00 2468.00 2412.00 100.00 68.00 75.00 100.00
2020-03-12 2531.00 2525.00 2531.00 2519.00 2442.00 2460.00 2460.00 2442.00 89.00 65.00 71.00 77.00
2020-03-09 2524.00 2521.00 2525.00 2503.00 2462.00 2461.00 2472.00 2461.00 62.00 60.00 53.00 42.00
2020-03-06 2535.00 2537.00 2559.00 2535.00 2479.00 2483.00 2483.00 2479.00 56.00 54.00 76.00 56.00
2020-03-05 2538.00 2538.00 2540.00 2525.00 2482.00 2480.00 2489.00 2480.00 56.00 58.00 51.00 45.00
2020-03-04 2544.00 2538.00 2568.00 2534.00 2506.00 2479.00 2526.00 2447.00 38.00 59.00 42.00 87.00
2020-03-03 2523.00 2543.00 2575.00 2522.00 2506.00 2502.00 2511.00 2502.00 17.00 41.00 64.00 20.00
2020-03-02 2527.00 2547.00 2562.00 2527.00 2519.00 2501.00 2519.00 2488.00 8.00 46.00 43.00 39.00
2020-02-28 2508.00 2527.00 2544.00 2508.00 2484.00 2495.00 2495.00 2478.00 24.00 32.00 49.00 30.00
2020-02-27 2544.00 2547.00 2558.00 2543.00 2519.00 2506.00 2519.00 2506.00 25.00 41.00 39.00 37.00
2020-02-26 2542.00 2550.00 2594.00 2526.00 2501.00 2509.00 2509.00 2501.00 41.00 41.00 85.00 25.00
2020-02-25 2532.00 2543.00 2545.00 2502.00 2487.00 2506.00 2511.00 2487.00 45.00 37.00 34.00 15.00
2020-02-24 2557.00 2581.00 2595.00 2557.00 2487.00 2505.00 2525.00 2487.00 70.00 76.00 70.00 70.00
2020-02-21 2620.00 2581.00 2625.00 2565.00 2535.00 2513.00 2540.00 2513.00 85.00 68.00 85.00 52.00
2020-02-20 2642.00 2620.00 2642.00 2615.00 2589.00 2552.00 2589.00 2550.00 53.00 68.00 53.00 65.00
2020-02-19 2660.00 2634.00 2666.00 2630.00 2590.00 2595.00 2600.00 2590.00 70.00 39.00 66.00 40.00
2020-02-18 2650.00 2650.00 2659.00 2580.00 2604.00 2595.00 2606.00 2595.00 46.00 55.00 53.00 -15.00
2020-02-17 2665.00 2655.00 2750.00 2640.00 2758.00 2688.00 2784.00 2682.00 -93.00 -33.00 -34.00 -42.00
2020-02-13 2667.00 2650.00 2707.00 2650.00 2665.00 2665.00 2665.00 2665.00 2.00 -15.00 42.00 -15.00
2020-02-04 2694.00 2650.00 2694.00 2650.00 2699.00 2623.00 2699.00 2612.00 -5.00 27.00 -5.00 38.00
2020-01-02 2398.00 2398.00 2398.00 2398.00 2530.00 2576.00 2576.00 2530.00 -132.00 -178.00 -178.00 -132.00
2019-12-30 2391.00 2375.00 2391.00 2321.00 2572.00 2551.00 2572.00 2551.00 -181.00 -176.00 -181.00 -230.00
2019-12-26 2400.00 2399.00 2400.00 2396.00 2567.00 2567.00 2567.00 2567.00 -167.00 -168.00 -167.00 -171.00
2019-12-25 2410.00 2410.00 2410.00 2410.00 2570.00 2570.00 2570.00 2570.00 -160.00 -160.00 -160.00 -160.00
2019-12-24 2386.00 2400.00 2400.00 2386.00 2546.00 2546.00 2546.00 2546.00 -160.00 -146.00 -146.00 -160.00
2019-12-19 2396.00 2395.00 2396.00 2395.00 2586.00 2580.00 2586.00 2580.00 -190.00 -185.00 -190.00 -185.00
2019-12-11 2398.00 2396.00 2398.00 2396.00 2579.00 2575.00 2579.00 2575.00 -181.00 -179.00 -181.00 -179.00
2019-12-05 2398.00 2398.00 2398.00 2387.00 2542.00 2542.00 2542.00 2542.00 -144.00 -144.00 -144.00 -155.00
2019-12-04 2387.00 2392.00 2405.00 2387.00 2539.00 2539.00 2539.00 2539.00 -152.00 -147.00 -134.00 -152.00
2019-12-03 2388.00 2402.00 2402.00 2372.00 2539.00 2536.00 2560.00 2536.00 -151.00 -134.00 -158.00 -164.00
2019-12-02 2375.00 2389.00 2389.00 2375.00 2567.00 2564.00 2567.00 2552.00 -192.00 -175.00 -178.00 -177.00
2019-11-29 2384.00 2376.00 2390.00 2376.00 2522.00 2521.00 2522.00 2521.00 -138.00 -145.00 -132.00 -145.00
2019-11-28 2399.00 2376.00 2399.00 2362.00 2607.00 2576.00 2607.00 2576.00 -208.00 -200.00 -208.00 -214.00
2019-11-27 2389.00 2369.00 2389.00 2363.00 2572.00 2586.00 2590.00 2569.00 -183.00 -217.00 -201.00 -206.00
2019-11-26 2323.00 2366.00 2388.00 2323.00 2547.00 2554.00 2596.00 2512.00 -224.00 -188.00 -208.00 -189.00
2019-11-22 2350.00 2354.00 2364.00 2350.00 2471.00 2471.00 2471.00 2471.00 -121.00 -117.00 -107.00 -121.00
2019-11-21 2374.00 2360.00 2374.00 2360.00 2367.00 2373.00 2376.00 2364.00 7.00 -13.00 -2.00 -4.00
2019-11-20 2350.00 2364.00 2370.00 2350.00 2335.00 2345.00 2428.00 2335.00 15.00 19.00 -58.00 15.00
2019-11-19 2363.00 2365.00 2365.00 2360.00 2429.00 2429.00 2429.00 2429.00 -66.00 -64.00 -64.00 -69.00
2019-11-01 2363.00 2366.00 2366.00 2359.00 2288.00 2281.00 2288.00 2281.00 75.00 85.00 78.00 78.00
2019-10-22 2341.00 2340.00 2341.00 2340.00 2400.00 2400.00 2400.00 2400.00 -59.00 -60.00 -59.00 -60.00
2019-10-18 2337.00 2329.00 2338.00 2329.00 2399.00 2399.00 2399.00 2399.00 -62.00 -70.00 -61.00 -70.00
2019-09-24 2391.00 2313.00 2398.00 2313.00 2402.00 2402.00 2402.00 2402.00 -11.00 -89.00 -4.00 -89.00
2019-09-23 2400.00 2395.00 2400.00 2392.00 2437.00 2435.00 2437.00 2435.00 -37.00 -40.00 -37.00 -43.00
2019-09-20 2397.00 2400.00 2403.00 2397.00 2437.00 2437.00 2437.00 2437.00 -40.00 -37.00 -34.00 -40.00
2019-09-16 2405.00 2400.00 2405.00 2400.00 2210.00 2210.00 2210.00 2210.00 195.00 190.00 195.00 190.00
2019-09-10 2393.00 2405.00 2405.00 2393.00 2088.00 2088.00 2088.00 2088.00 305.00 317.00 317.00 305.00
2019-09-05 2094.00 2094.00 2094.00 2094.00 2389.00 2398.00 2428.00 2389.00 -295.00 -304.00 -334.00 -295.00
2019-09-04 2100.00 2088.00 2100.00 2088.00 2406.00 2420.00 2440.00 2392.00 -306.00 -332.00 -340.00 -304.00
2019-07-30 2321.00 2316.00 2327.00 2315.00 2389.00 2428.00 2486.00 2389.00 -68.00 -112.00 -159.00 -74.00
2019-07-23 2332.00 2335.00 2335.00 2332.00 2443.00 2443.00 2443.00 2443.00 -111.00 -108.00 -108.00 -111.00
2019-07-11 2350.00 2337.00 2350.00 2333.00 2504.00 2480.00 2504.00 2469.00 -154.00 -143.00 -154.00 -136.00
2019-07-03 2329.00 2340.00 2345.00 2329.00 2429.00 2449.00 2486.00 2429.00 -100.00 -109.00 -141.00 -100.00
2019-07-01 2340.00 2343.00 2347.00 2339.00 2462.00 2462.00 2462.00 2462.00 -122.00 -119.00 -115.00 -123.00
2019-06-24 2365.00 2353.00 2365.00 2342.00 2495.00 2495.00 2495.00 2495.00 -130.00 -142.00 -130.00 -153.00
2019-06-14 2375.00 2372.00 2375.00 2365.00 2486.00 2486.00 2486.00 2486.00 -111.00 -114.00 -111.00 -121.00
2019-06-13 2351.00 2370.00 2370.00 2340.00 2480.00 2519.00 2519.00 2480.00 -129.00 -149.00 -149.00 -140.00
2019-06-10 2325.00 2359.00 2367.00 2325.00 2471.00 2475.00 2475.00 2471.00 -146.00 -116.00 -108.00 -146.00
2019-06-06 2373.00 2350.00 2381.00 2300.00 2500.00 2500.00 2500.00 2500.00 -127.00 -150.00 -119.00 -200.00
2019-06-05 2384.00 2378.00 2390.00 2351.00 2501.00 2490.00 2501.00 2490.00 -117.00 -112.00 -111.00 -139.00
2019-06-04 2383.00 2386.00 2392.00 2381.00 2505.00 2504.00 2515.00 2504.00 -122.00 -118.00 -123.00 -123.00
2019-06-03 2377.00 2385.00 2387.00 2373.00 2501.00 2500.00 2503.00 2500.00 -124.00 -115.00 -116.00 -127.00
2019-05-30 2369.00 2380.00 2385.00 2369.00 2500.00 2481.00 2500.00 2481.00 -131.00 -101.00 -115.00 -112.00
2019-05-29 2389.00 2389.00 2532.00 2386.00 2506.00 2509.00 2527.00 2495.00 -117.00 -120.00 5.00 -109.00
2019-05-27 2402.00 2396.00 2408.00 2377.00 2481.00 2481.00 2481.00 2481.00 -79.00 -85.00 -73.00 -104.00
2019-05-23 2439.00 2415.00 2441.00 2410.00 2525.00 2520.00 2539.00 2520.00 -86.00 -105.00 -98.00 -110.00
2019-05-22 2438.00 2433.00 2442.00 2422.00 2520.00 2519.00 2520.00 2519.00 -82.00 -86.00 -78.00 -97.00
2019-05-21 2433.00 2441.00 2447.00 2433.00 2550.00 2550.00 2550.00 2550.00 -117.00 -109.00 -103.00 -117.00
2019-05-20 2441.00 2431.00 2445.00 2420.00 2550.00 2530.00 2550.00 2518.00 -109.00 -99.00 -105.00 -98.00
2019-05-17 2452.00 2448.00 2473.00 2444.00 2555.00 2521.00 2561.00 2521.00 -103.00 -73.00 -88.00 -77.00
2019-05-16 2440.00 2448.00 2459.00 2440.00 2500.00 2500.00 2500.00 2500.00 -60.00 -52.00 -41.00 -60.00
2019-05-14 2430.00 2433.00 2435.00 2429.00 2500.00 2499.00 2500.00 2460.00 -70.00 -66.00 -65.00 -31.00
2019-05-10 2414.00 2427.00 2429.00 2414.00 2432.00 2589.00 2589.00 2432.00 -18.00 -162.00 -160.00 -18.00
2019-05-07 2435.00 2444.00 2458.00 2435.00 2850.00 2856.00 2856.00 2850.00 -415.00 -412.00 -398.00 -415.00
2019-05-06 2426.00 2431.00 2445.00 2426.00 2680.00 2680.00 2750.00 2655.00 -254.00 -249.00 -305.00 -229.00
2019-04-30 2451.00 2448.00 2460.00 2448.00 2675.00 2738.00 2753.00 2653.00 -224.00 -290.00 -293.00 -205.00
2019-04-29 2451.00 2450.00 2467.00 2450.00 2671.00 2700.00 2740.00 2602.00 -220.00 -250.00 -273.00 -152.00
2019-04-26 2437.00 2445.00 2455.00 2437.00 2663.00 2689.00 2705.00 2663.00 -226.00 -244.00 -250.00 -226.00
2019-04-25 2436.00 2433.00 2610.00 2420.00 2687.00 2649.00 2697.00 2515.00 -251.00 -216.00 -87.00 -95.00
2019-04-24 2700.00 2700.00 2720.00 2696.00 2451.00 2437.00 2451.00 2436.00 249.00 263.00 269.00 260.00
2019-04-23 2686.00 2710.00 2740.00 2686.00 2451.00 2448.00 2456.00 2440.00 235.00 262.00 284.00 246.00
2019-04-22 2707.00 2685.00 2708.00 2653.00 2530.00 2449.00 2530.00 2446.00 177.00 236.00 178.00 207.00
2019-04-19 2577.00 2696.00 2710.00 2565.00 2432.00 2470.00 2475.00 2431.00 145.00 226.00 235.00 134.00
2019-04-18 2582.00 2556.00 2582.00 2543.00 2428.00 2430.00 2430.00 2422.00 154.00 126.00 152.00 121.00
2019-04-17 2537.00 2560.00 2567.00 2533.00 2423.00 2433.00 2433.00 2423.00 114.00 127.00 134.00 110.00
2019-04-16 2551.00 2558.00 2566.00 2551.00 2430.00 2435.00 2435.00 2424.00 121.00 123.00 131.00 127.00
2019-04-15 2546.00 2562.00 2569.00 2545.00 2429.00 2423.00 2429.00 2420.00 117.00 139.00 140.00 125.00
2019-04-12 2575.00 2560.00 2575.00 2548.00 2431.00 2424.00 2432.00 2424.00 144.00 136.00 143.00 124.00
2019-04-11 2533.00 2567.00 2567.00 2533.00 2435.00 2424.00 2435.00 2424.00 98.00 143.00 132.00 109.00
2019-04-10 2524.00 2541.00 2552.00 2524.00 2421.00 2425.00 2430.00 2421.00 103.00 116.00 122.00 103.00
2019-04-09 2503.00 2533.00 2549.00 2503.00 2407.00 2430.00 2430.00 2407.00 96.00 103.00 119.00 96.00
2019-04-08 2555.00 2526.00 2579.00 2516.00 2423.00 2420.00 2428.00 2419.00 132.00 106.00 151.00 97.00
2019-04-04 2547.00 2554.00 2556.00 2539.00 2430.00 2429.00 2430.00 2422.00 117.00 125.00 126.00 117.00
2019-04-03 2518.00 2551.00 2555.00 2517.00 2468.00 2420.00 2468.00 2405.00 50.00 131.00 87.00 112.00
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