基于外盘商品期货季节性的概率投资浅析.pdf

月份1月伦锌伦银美原油2月伦锌伦银美麦美棉美原油原糖日胶3月美原油4月伦银原糖日胶5月伦锌日胶6月伦锌美玉米美原油原糖7月伦锌伦金美玉米美豆8月美麦美棉9月伦金伦银美玉米美棉美原油10月伦金伦银美麦美棉美原油原糖美豆11月伦锌伦金美玉米原糖日胶12月伦银美棉日胶注注注注：1、本文所谓“特殊表现”是指在统计期内，上涨或者下跌概率超过60%。2、红色，代表本月上涨概率超过60%，棕色表示本月上涨概率超过70%，绿色表示本月下跌概率超过 60%，深绿色表示本月下跌概率超过70%。3、上述统计结果仅是月末收盘的比较，只说明隔月涨跌现象，跟当月收阳线或收阴线无关；若您有 兴趣，也可以按照当月收阳线和收阴线进行统计，以期指导当月操作。4、涨跌数，表示本月具有“特殊表现”商品的个数。投资建议投资建议投资建议投资建议：1、只有上涨商品或者只有下跌商品的月份，比如1、3、4、8、12这5个月份，进行套利交易便有些困难，建议用平均比例原则，进行单向投机。2、既有下跌商品，又有上涨商品的月份，则是更适合套利。按照多空资金量对等原则，做多当月上涨概率较大的商品，做空当月下跌概率较大的商品，也可视为双向投机交易。3、对于上涨或者下跌概率超过70%的商品，建议仓位分配上重点考虑。附附附附：各个月份季节性统计表，“1989年，伦锌”表示该商品数据起于1989年。涨跌数532442基于外盘商品期货季节性的概率投资浅析基于外盘商品期货季节性的概率投资浅析基于外盘商品期货季节性的概率投资浅析基于外盘商品期货季节性的概率投资浅析一德研究院 杨志昌573713 由于商品价格运行具有特定的季节性特点，本文通过对历史数据的分析，总结出具有大概率事件的投资方案。本文选自外盘商品上市时间早、交投活跃同时大部分在国内能找到对应上市品种的期货（包括伦锌、伦金、伦银、美麦、美玉米、美原油、原糖、日胶、美豆、美棉共十个品种）作为数据源，找出一年中每个月份具有“特殊表现”商品，或套利、或投机、或组合投资，以期对您的日常交易有所启发。上涨 下跌涨幅跌幅差值期初期末变动114863.64%0.45%85.89110.23-24.3439.09%54.98%15.89%214863.64%1.49%92.2088.074.1450.00%62.20%12.20%3111150.00%1.03%83.7786.81-3.0343.30%46.68%3.38%4101147.62%2.14%120.1748.5371.6442.70%49.92%7.23%561528.57%-1.63%93.0286.416.6157.72%33.62%-24.10%681338.10%-1.87%46.40116.01-69.6158.24%47.67%-10.57%714766.67%2.38%115.5747.8167.7635.85%54.66%18.80%8111150.00%-0.46%55.2677.88-22.6256.38%47.33%-9.05%9111150.00%-0.45%61.3383.08-21.7554.13%45.91%-8.22%1091340.91%-0.25%121.9198.5623.3553.89%51.78%-2.11%1114863.64%1.28%77.51102.26-24.7453.23%59.83%6.60%12101245.45%0.57%76.1167.049.0751.65%52.52%0.87%上涨 下跌涨幅跌幅差值期初期末变动191145.00%0.81%20.4220.010.4154.80%51.27%-3.53%212860.00%1.22%23.9214.429.5045.26%56.77%11.51%381240.00%-0.38%16.2320.27-4.0456.38%51.46%-4.92%410952.63%0.32%16.5814.562.0150.48%52.36%1.88%510952.63%1.15%25.8910.5415.3437.54%45.11%7.58%681142.11%-0.44%12.6019.01-6.4154.96%46.94%-8.01%771236.84%-0.11%17.3613.953.4048.58%40.81%-7.78%891047.37%-0.09%13.3318.20-4.8747.66%53.88%6.21%916480.00%3.50%28.3613.0715.2935.06%70.26%35.20%1071335.00%-0.98%20.3021.80-1.5053.51%43.85%-9.67%1113765.00%2.11%29.109.6819.4237.13%56.47%19.34%1291145.00%1.03%20.3917.303.0946.21%54.98%8.77%上涨 下跌涨幅跌幅差值期初期末变动111664.71%2.67%0.660.610.0543.18%63.96%20.78%211664.71%4.11%1.110.390.7239.02%57.63%18.61%38947.06%1.41%0.800.610.1851.85%54.12%2.26%461037.50%-0.23%0.640.450.1944.44%43.80%-0.64%59756.25%0.37%0.690.580.1145.59%49.64%4.05%67943.75%-2.34%0.320.71-0.3956.19%42.54%-13.64%79756.25%1.61%0.500.370.1346.95%60.08%13.12%87943.75%-1.15%0.430.71-0.2856.39%54.52%-1.87%913476.47%4.14%0.740.500.2437.52%67.13%29.61%1051229.41%-1.92%0.550.59-0.0460.61%45.88%-14.73%118947.06%3.37%0.890.320.5741.07%59.20%18.14%1211664.71%2.79%0.660.470.2040.22%62.58%22.36%上涨 下跌涨幅跌幅差值期初期末变动1252748.08%-0.60%15.2917.35-2.0654.59%42.88%-11.70%1989198919891989年年年年，伦锌伦锌伦锌伦锌月份年数上涨年数 月度收益率平均最大平均百分率1991199119911991年年年年，伦金伦金伦金伦金月份年数上涨年数 月度收益率平均最大平均百分率1994199419941994年年年年，伦银伦银伦银伦银月份年数上涨年数 月度收益率平均最大平均百分率1959195919591959年年年年，美麦美麦美麦美麦月份年数上涨年数 月度收益率平均最大平均百分率2173532.69%-0.21%20.6815.205.4854.44%40.85%-13.59%3213140.38%-0.78%17.8124.07-6.2655.17%41.91%-13.26%4252649.02%0.01%18.9415.753.1947.66%43.11%-4.55%5242747.06%0.00%19.5915.554.0448.29%39.08%-9.20%6213041.18%0.35%25.0514.4110.6446.36%38.79%-7.57%7272551.92%0.95%23.3215.787.5448.12%46.11%-2.01%8322061.54%1.60%26.2613.3412.9243.39%53.25%9.85%9292355.77%0.37%18.6516.192.4742.61%52.44%9.82%10322061.54%0.19%18.1220.50-2.3843.84%53.97%10.12%11262650.00%0.49%17.0115.091.9246.78%52.17%5.39%12262650.00%-0.05%14.7517.93-3.1755.09%54.49%-0.60%上涨 下跌涨幅跌幅差值期初期末变动1191555.88%0.55%2.902.420.4950.71%55.38%4.67%2221264.71%1.98%3.772.361.4048.29%60.87%12.58%3191555.88%-0.58%2.843.08-0.2445.76%46.13%0.37%4191457.58%0.71%2.652.250.3948.29%54.65%6.35%5151845.45%-0.03%2.822.680.1453.16%45.04%-8.11%6161748.48%0.32%3.563.060.5048.16%45.71%-2.45%7141942.42%-0.88%2.603.19-0.5956.03%46.48%-9.55%8132039.39%0.06%2.903.35-0.4557.28%49.65%-7.63%9112233.33%0.09%3.443.000.4451.65%41.38%-10.27%10221264.71%0.62%3.882.631.2539.46%52.50%13.05%11171750.00%1.69%3.632.740.8847.12%54.08%6.95%12221264.71%1.77%3.102.530.5650.08%61.69%11.61%上涨 下跌涨幅跌幅差值期初期末变动1302257.69%0.74%11.198.782.4142.02%48.31%6.30%2302257.69%0.88%10.496.503.9944.82%51.36%6.53%3302257.69%1.50%12.1011.230.8642.96%53.44%10.48%4222943.14%-0.05%8.688.500.1850.22%49.15%-1.07%5242747.06%0.81%10.719.760.9551.99%48.10%-3.90%6183335.29%-0.52%17.2413.483.7752.11%36.57%-15.53%7173532.69%-1.44%16.2319.39-3.1659.05%34.28%-24.77%8262650.00%0.37%12.5012.89-0.3852.19%49.02%-3.17%9193336.54%-0.41%11.4111.44-0.0352.20%38.07%-14.13%10242846.15%0.84%12.5011.421.0947.62%46.91%-0.71%11322061.54%1.12%10.998.792.2040.43%55.68%15.25%12252748.08%0.82%9.399.44-0.0551.74%52.63%0.89%上涨 下跌涨幅跌幅差值期初期末变动1171160.71%0.60%2.341.930.4245.74%55.58%9.84%219967.86%3.35%2.961.471.4934.18%62.83%28.64%318966.67%2.88%2.391.331.0645.76%60.40%14.64%4141351.85%1.84%2.821.781.0539.29%52.10%12.81%5141351.85%0.45%2.421.560.8653.21%50.79%-2.41%1977197719771977年年年年，美棉美棉美棉美棉月份年数上涨年数 月度收益率平均最大平均百分率1959195919591959年年年年，美玉米美玉米美玉米美玉米月份年数上涨年数 月度收益率平均最大平均百分率1983198319831983年年年年，美原油美原油美原油美原油月份年数上涨年数 月度收益率平均最大平均百分率619967.86%1.17%1.942.01-0.0744.61%59.54%14.93%7161257.14%2.89%2.351.970.3843.21%56.06%12.86%8161257.14%2.11%2.122.57-0.4446.67%64.27%17.60%9111739.29%-2.41%2.143.27-1.1354.79%39.10%-15.69%10101835.71%-2.61%1.582.42-0.8458.86%37.32%-21.54%11141450.00%-1.01%1.712.49-0.7854.67%54.87%0.20%12151353.57%-0.24%2.032.44-0.4150.55%47.35%-3.20%上涨 下跌涨幅跌幅差值期初期末变动1181652.94%1.43%0.930.840.0955.79%52.04%-3.75%2112332.35%-2.01%0.890.97-0.0954.49%43.68%-10.81%3171750.00%1.23%0.671.13-0.4652.05%44.03%-8.02%4132039.39%-1.95%0.610.86-0.2459.23%47.08%-12.15%5161748.48%1.80%0.990.690.3051.15%52.38%1.23%6211263.64%2.87%0.900.710.1944.35%58.46%14.10%7191457.58%1.57%0.811.06-0.2549.49%57.27%7.77%8151845.45%-1.56%0.760.81-0.0554.10%44.65%-9.45%9171651.52%2.97%0.980.650.3343.30%60.14%16.84%10211361.76%2.34%0.820.680.1443.88%57.88%14.00%11211361.76%1.14%0.780.80-0.0243.99%58.34%14.36%12181652.94%-0.16%0.750.77-0.0250.99%54.28%3.29%上涨 下跌涨幅跌幅差值期初期末变动113959.09%4.97%13.607.625.9847.07%66.32%19.26%214863.64%1.68%13.186.676.5138.37%50.06%11.69%391340.91%0.02%7.8115.03-7.2250.12%50.77%0.65%471433.33%-2.20%7.818.83-1.0256.04%39.68%-16.37%516576.19%3.93%12.866.496.3636.88%58.97%22.09%691242.86%-1.15%8.189.52-1.3450.60%38.23%-12.37%791242.86%0.02%8.9310.32-1.3957.05%45.21%-11.83%891242.86%-0.21%7.8610.89-3.0354.90%50.26%-4.64%9111052.38%-1.13%6.0711.47-5.4057.05%49.72%-7.33%10111052.38%1.44%12.4710.182.2940.97%52.64%11.67%1171433.33%-2.67%9.8912.33-2.4457.18%40.41%-16.77%1215671.43%5.20%15.427.737.6937.91%73.48%35.57%上涨 下跌涨幅跌幅差值期初期末变动1262650.00%-0.32%24.9625.37-0.4245.77%48.33%2.56%2252748.08%1.08%31.2219.6911.5346.71%51.13%4.42%3292355.77%0.62%28.9925.153.8345.01%50.00%4.99%4272452.94%1.03%31.4118.6612.7544.62%48.48%3.86%5222943.14%0.74%34.9025.029.8948.45%45.60%-2.85%6232845.10%-0.44%39.2935.144.1447.37%42.55%-4.82%7203238.46%-1.22%44.0243.300.7248.79%37.19%-11.60%8262650.00%0.19%29.1936.56-7.3753.54%49.89%-3.65%9232944.23%-0.67%29.0628.021.0345.59%35.71%-9.87%10351767.31%0.77%29.4832.31-2.8344.53%57.93%13.40%11282453.85%0.77%27.8924.383.5145.31%54.22%8.91%12252748.08%0.32%23.2825.50-2.2251.50%50.18%-1.32%1977197719771977年年年年，原糖原糖原糖原糖月份年数上涨年数 月度收益率平均最大平均百分率1990199019901990年年年年，日胶日胶日胶日胶月份年数上涨年数 月度收益率平均最大平均百分率1959195919591959年年年年，美豆美豆美豆美豆月份年数上涨年数 月度收益率平均最大平均百分率