Futures Intraday Strategy Analysis

What problem it addresses

Futures intraday rules are hard to validate when data is scattered and the same backtest must be rerun for different month trading days, weekdays, directions, and lot multipliers.

This workflow turns that process into a repeatable pipeline: fetch front-month daily data, apply month-N signal rules, calculate open-in and close-out PnL, apply weekday filters, and export an auditable Excel report.

Workflow and key steps

• Data input: use front-month continuous contracts such as SC0, RB0, M0, I0, and IF0, with crude oil front month SC0 as the default example.
• Signal rules: set --long-days and --short-days to trade on the Nth trading day of the month, for example 6,16,18 for long and 4,13,21 for short.
• Filtering and backtesting: use --no-short-weekdays and --no-long-weekdays to exclude specific weekdays, then calculate PnL, win rate, profit factor, and maximum drawdown from --start-date.
• Output: the Excel workbook includes strategy overview, backtest summary, daily statistics, trade details, skipped trades, monthly and yearly summaries, and weekday statistics, making it easier to inspect skipped trades and weak months.

Boundaries

• Data comes from public finance sources such as AKShare/Sina and is intended for research, not live execution prices.
• Front-month continuous contracts can have roll gaps, so backtest results may deviate from real fills.
• The workflow is best used for parameter exploration and historical review, not as a guarantee of stable returns.