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CB套利/個股期套利

套利回測

CB snapshot期貨money P&L
CB snapshot 天數
25/2
CB snapshot 點數
8,788
群益套利 universe
250
期貨候選
60

資料可回測性

partial
CB 折溢價 snapshot
檔案 25，日期 2026-07-06 到 2026-09-28
可做訊號回放
個股期 money P&L
missing historical individual stock futures prices/bid-ask/volume
缺期貨歷史價

CB snapshot 訊號回放

快照間隔最長 51 天 — 下列數字是跨越長間隔的漂移,不是日對日訊號,不能當成日頻策略績效讀。
交易數
268
勝率
68.28%
平均折溢改善
3.148pt
總折溢改善
843.772pt
CB股票進場出場折溢進場折溢出場改善
1256112562026-07-062026-08-26-2.298%6.29%8.588pt
2351123512026-07-062026-08-28-1.26%1.01%2.27pt
2755127552026-07-062026-09-01-21.84%-1.89%19.95pt
3045530452026-07-062026-08-26-1.743%0.42%2.163pt
3284332842026-07-062026-08-26-1.952%15.39%17.342pt
4442144422026-07-062026-08-26-1.18%0.69%1.87pt
5464254642026-07-062026-08-28-10.825%7.063%17.888pt
6190761902026-07-062026-08-26-4.208%1.601%5.809pt
6672266722026-07-062026-08-26-5.77%0.37%6.14pt
7556275562026-07-062026-08-26-1.839%1.76%3.599pt
7610176102026-07-062026-08-26-27.557%1.196%28.753pt
8027380272026-07-062026-08-26-4.84%40.94%45.78pt
2351123512026-08-262026-08-28-4.36%1.01%5.37pt
2467224672026-08-262026-08-27-4.78%4.251%9.031pt
2755127552026-08-262026-09-02-1.41%-0.81%0.6pt
3135231352026-08-262026-09-01-2.048%6.435%8.483pt
3219132192026-08-262026-09-02-2.086%-0.069%2.017pt
3388133882026-08-262026-08-27-1.29%1.226%2.516pt
6126361262026-08-262026-09-02-1.81%1.884%3.694pt
6209362092026-08-262026-08-27-3.42%1.264%4.684pt
62901062902026-08-262026-09-02-3.81%-3.95%-0.14pt
6830168302026-08-262026-09-02-2.73%-0.79%1.94pt
6840168402026-08-262026-08-28-2.64%1.258%3.898pt
8155181552026-08-262026-08-27-1.11%4.835%5.945pt
8473284732026-08-262026-08-31-2.871%8.313%11.184pt
8996489962026-08-262026-09-01-6.55%-4.98%1.57pt
2337223372026-08-272026-09-02-2.14%2.33%4.47pt
2351123512026-08-272026-08-28-4.33%1.01%5.34pt
2755127552026-08-272026-09-03-1.89%-1.3%0.59pt
3219132192026-08-272026-09-03-2.43%-0.804%1.626pt
3689436892026-08-272026-09-03-1.05%-1.76%-0.71pt
3707537072026-08-272026-08-31-1.01%1.38%2.39pt
4542145422026-08-272026-09-03-3.79%-6.6%-2.81pt
4923149232026-08-272026-09-02-1.92%1.092%3.012pt
5464254642026-08-272026-08-28-2.06%7.063%9.123pt
6126361262026-08-272026-09-02-2.95%1.884%4.834pt
62901062902026-08-272026-09-03-4.61%-2.83%1.78pt
6672266722026-08-272026-09-02-1.81%-2.51%-0.7pt
6830168302026-08-272026-09-03-9.21%-3.38%5.83pt
6840168402026-08-272026-08-28-2.6%1.258%3.858pt

個股期回測缺口

狀態：opportunity_replay_available
原因：realized/settlement money backtest blocked by missing TAIFEX historical single-stock futures prices
已檢查候選：60
需要資料：TAIFEX historical individual stock futures daily OHLC/settlement/volume，欄位 date, futures_code, contract_month, open, high, low, close_or_settlement, volume
rank期貨現股現股API期貨API
1CAF1303YN
2CBF2002YN
3CCF2303YN
4CDF2330YN
5CEF2881YN
6CFF1301YN
7CGF2324YN
8CHF2409YN
9CJF2880YN
10CKF2882YN

下一步資料任務

  • schedule /api/cb/scan daily snapshot on canonical API port 8002 after close
  • collect TAIFEX historical single-stock futures OHLC/settlement/volume
  • store daily executable CB ask/ask-size, stock bid/bid-size, and SBL availability for money-PnL backtest
報價載入中…