← 返回策略总览
CLI扩散 + QQQ/OPPJ 双重动量
Antonacci (2014) + OECD CLI，进攻资产替换为 QQQ 与 OPPJ · 独立策略页 · 逐日净值随行情更新
行情最新日期：2026-08-26 · 回测计算包含每日净值序列，月底信号、下月执行
CLI扩散 + QQQ/OPPJ 双重动量
Antonacci (2014) + OECD CLI，进攻资产替换为 QQQ 与 OPPJ
- 1与 CLI 原版策略逻辑相同：每月末以 OECD CLI 扩散指数判断 Risk-On / Risk-Off
- 2Risk-On 时比较 QQQ（纳斯达克100）与 OPPJ（WisdomTree 日本机会，对冲汇率）的过去12个月收益率，100% 配赢家
- 3Risk-Off 时比较 AGG 与 BIL，100% 配赢家（与原版相同）
- 4OPPJ 偏五大商社+股东改革（巴菲特持仓主线），风格与 QQQ 真正不相关——CLI 决定权益/现金切换，动量决定选哪个权益
—
当前信号（2026-08-26）
DI=35% Risk-Off → BIL 100%
年化收益
+12.9%
年化波动
+12.1%
Sharpe
0.90
最大回撤
-16.5%
Calmar
0.78
SPY 年化
+12.3%
60/40 年化
+7.5%
净值与回撤
调仓日志
共 201 次调仓，月度再平衡
| 日期 | 持仓 |
|---|---|
| 2026-08-26 | BIL 100% |
| 2026-07-31 | BIL 100% |
| 2026-06-30 | BIL 100% |
| 2026-05-29 | AGG 100% |
| 2026-04-30 | AGG 100% |
| 2026-03-31 | AGG 100% |
| 2026-02-27 | OPPJ 100% |
| 2026-01-30 | OPPJ 100% |
| 2025-12-31 | OPPJ 100% |
| 2025-11-28 | OPPJ 100% |
| 2025-10-31 | QQQ 100% |
| 2025-09-30 | QQQ 100% |
| 2025-08-29 | QQQ 100% |
| 2025-07-31 | QQQ 100% |
| 2025-06-30 | QQQ 100% |
| 2025-05-30 | QQQ 100% |
| 2025-04-30 | AGG 100% |
| 2025-03-31 | AGG 100% |
| 2025-02-28 | QQQ 100% |
| 2025-01-31 | QQQ 100% |
| 2024-12-31 | QQQ 100% |
| 2024-11-29 | QQQ 100% |
| 2024-10-31 | QQQ 100% |
| 2024-09-30 | QQQ 100% |
| 2024-08-30 | QQQ 100% |
| 2024-07-31 | OPPJ 100% |
| 2024-06-28 | OPPJ 100% |
| 2024-05-31 | OPPJ 100% |
| 2024-04-30 | OPPJ 100% |
| 2024-03-28 | QQQ 100% |
| 2024-02-29 | QQQ 100% |
| 2024-01-31 | QQQ 100% |
| 2023-12-29 | QQQ 100% |
| 2023-11-30 | BIL 100% |
| 2023-10-31 | BIL 100% |
| 2023-09-29 | BIL 100% |
| 2023-08-31 | BIL 100% |
| 2023-07-31 | BIL 100% |
| 2023-06-30 | BIL 100% |
| 2023-05-31 | BIL 100% |
| 2023-04-28 | BIL 100% |
| 2023-03-31 | BIL 100% |
| 2023-02-28 | BIL 100% |
| 2023-01-31 | BIL 100% |
| 2022-12-30 | BIL 100% |
| 2022-11-30 | BIL 100% |
| 2022-10-31 | BIL 100% |
| 2022-09-30 | BIL 100% |
| 2022-08-31 | BIL 100% |
| 2022-07-29 | BIL 100% |
| 2022-06-30 | BIL 100% |
| 2022-05-31 | BIL 100% |
| 2022-04-29 | BIL 100% |
| 2022-03-31 | BIL 100% |
| 2022-02-28 | BIL 100% |
| 2022-01-31 | BIL 100% |
| 2021-12-31 | BIL 100% |
| 2021-11-30 | BIL 100% |
| 2021-10-29 | BIL 100% |
| 2021-09-30 | QQQ 100% |
| 2021-08-31 | QQQ 100% |
| 2021-07-30 | QQQ 100% |
| 2021-06-30 | QQQ 100% |
| 2021-05-28 | QQQ 100% |
| 2021-04-30 | QQQ 100% |
| 2021-03-31 | QQQ 100% |
| 2021-02-26 | QQQ 100% |
| 2021-01-29 | QQQ 100% |
| 2020-12-31 | QQQ 100% |
| 2020-11-30 | QQQ 100% |
| 2020-10-30 | QQQ 100% |
| 2020-09-30 | QQQ 100% |
| 2020-08-31 | QQQ 100% |
| 2020-07-31 | QQQ 100% |
| 2020-06-30 | QQQ 100% |
| 2020-05-29 | AGG 100% |
| 2020-04-30 | AGG 100% |
| 2020-03-31 | AGG 100% |
| 2020-02-28 | AGG 100% |
| 2020-01-31 | AGG 100% |
| 2019-12-31 | AGG 100% |
| 2019-11-29 | AGG 100% |
| 2019-10-31 | AGG 100% |
| 2019-09-30 | AGG 100% |
| 2019-08-30 | AGG 100% |
| 2019-07-31 | AGG 100% |
| 2019-06-28 | AGG 100% |
| 2019-05-31 | AGG 100% |
| 2019-04-30 | AGG 100% |
| 2019-03-29 | AGG 100% |
| 2019-02-28 | AGG 100% |
| 2019-01-31 | BIL 100% |
| 2018-12-31 | BIL 100% |
| 2018-11-30 | BIL 100% |
| 2018-10-31 | BIL 100% |
| 2018-09-28 | BIL 100% |
| 2018-08-31 | BIL 100% |
| 2018-07-31 | BIL 100% |
| 2018-06-29 | BIL 100% |
| 2018-05-31 | BIL 100% |
| 2018-04-30 | BIL 100% |
| 2018-03-29 | BIL 100% |
| 2018-02-28 | BIL 100% |
| 2018-01-31 | QQQ 100% |
| 2017-12-29 | QQQ 100% |
| 2017-11-30 | QQQ 100% |
| 2017-10-31 | OPPJ 100% |
| 2017-09-29 | OPPJ 100% |
| 2017-08-31 | OPPJ 100% |
| 2017-07-31 | OPPJ 100% |
| 2017-06-30 | OPPJ 100% |
| 2017-05-31 | QQQ 100% |
| 2017-04-28 | QQQ 100% |
| 2017-03-31 | QQQ 100% |
| 2017-02-28 | OPPJ 100% |
| 2017-01-31 | QQQ 100% |
| 2016-12-30 | QQQ 100% |
| 2016-11-30 | QQQ 100% |
| 2016-10-31 | QQQ 100% |
| 2016-09-30 | QQQ 100% |
| 2016-08-31 | QQQ 100% |
| 2016-07-29 | QQQ 100% |
| 2016-06-30 | QQQ 100% |
| 2016-05-31 | QQQ 100% |
| 2016-04-29 | AGG 100% |
| 2016-03-31 | BIL 100% |
| 2016-02-29 | BIL 100% |
| 2016-01-29 | BIL 100% |
| 2015-12-31 | BIL 100% |
| 2015-11-30 | BIL 100% |
| 2015-10-30 | BIL 100% |
| 2015-09-30 | AGG 100% |
| 2015-08-31 | BIL 100% |
| 2015-07-31 | AGG 100% |
| 2015-06-30 | BIL 100% |
| 2015-05-29 | AGG 100% |
| 2015-04-30 | QQQ 100% |
| 2015-03-31 | QQQ 100% |
| 2015-02-27 | AGG 100% |
| 2015-01-30 | QQQ 100% |
| 2014-12-31 | QQQ 100% |
| 2014-11-28 | AGG 100% |
| 2014-10-31 | AGG 100% |
| 2014-09-30 | AGG 100% |
| 2014-08-29 | AGG 100% |
| 2014-07-31 | AGG 100% |
| 2014-06-30 | AGG 100% |
| 2014-05-30 | AGG 100% |
| 2014-04-30 | BIL 100% |
| 2014-03-31 | BIL 100% |
| 2014-02-28 | QQQ 100% |
| 2014-01-31 | QQQ 100% |
| 2013-12-31 | QQQ 100% |
| 2013-11-29 | QQQ 100% |
| 2013-10-31 | QQQ 100% |
| 2013-09-30 | QQQ 100% |
| 2013-08-30 | QQQ 100% |
| 2013-07-31 | QQQ 100% |
| 2013-06-28 | QQQ 100% |
| 2013-05-31 | QQQ 100% |
| 2013-04-30 | QQQ 100% |
| 2013-03-28 | QQQ 100% |
| 2013-02-28 | QQQ 100% |
| 2013-01-31 | QQQ 100% |
| 2012-12-31 | QQQ 100% |
| 2012-11-30 | AGG 100% |
| 2012-10-31 | AGG 100% |
| 2012-09-28 | AGG 100% |
| 2012-08-31 | AGG 100% |
| 2012-07-31 | AGG 100% |
| 2012-06-29 | AGG 100% |
| 2012-05-31 | AGG 100% |
| 2012-04-30 | AGG 100% |
| 2012-03-30 | AGG 100% |
| 2012-02-29 | AGG 100% |
| 2012-01-31 | AGG 100% |
| 2011-12-30 | AGG 100% |
| 2011-11-30 | AGG 100% |
| 2011-10-31 | AGG 100% |
| 2011-09-30 | AGG 100% |
| 2011-08-31 | AGG 100% |
| 2011-07-29 | AGG 100% |
| 2011-06-30 | BIL 100% |
| 2011-05-31 | AGG 100% |
| 2011-04-29 | AGG 100% |
| 2011-03-31 | AGG 100% |
| 2011-02-28 | QQQ 100% |
| 2011-01-31 | QQQ 100% |
| 2010-12-31 | QQQ 100% |
| 2010-11-30 | QQQ 100% |
| 2010-10-29 | QQQ 100% |
| 2010-09-30 | QQQ 100% |
| 2010-08-31 | QQQ 100% |
| 2010-07-30 | QQQ 100% |
| 2010-06-30 | QQQ 100% |
| 2010-05-28 | QQQ 100% |
| 2010-04-30 | QQQ 100% |
| 2010-03-31 | QQQ 100% |
| 2010-02-26 | QQQ 100% |
| 2010-01-29 | QQQ 100% |
| 2010-01-04 | QQQ 100% |