回撤状态机多资产趋势
多资产趋势 + 峰值回撤风险缩放
- 1使用与多资产趋势相同的前三名动量选仓和 BIL 绝对动量过滤
- 2组合从历史峰值回撤超过 8% 时，风险仓位缩放到 60%；超过 15% 时缩放到 30%
- 3缩放出的资金留在 BIL，直到下次月末信号；信号在下一交易日执行
- 4它牺牲一部分上行收益换取更浅的历史回撤，适合更关注资金曲线稳定性的跟踪账户
—
当前信号（2026-08-26）
DBC 33% | QQQ 33% | GLD 33% · 回撤状态 100%
年化收益
+24.8%
年化波动
+18.1%
Sharpe
1.26
最大回撤
-22.4%
Calmar
1.11
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 | DBC 33%QQQ 33%GLD 33% |
| 2026-07-31 | DBC 20%QQQ 20%DBMF 20%BIL 40% |
| 2026-06-30 | QQQ 20%DBMF 20%DBC 20%BIL 40% |
| 2026-05-29 | QQQ 33%DBC 33%GLD 33% |
| 2026-04-30 | DBC 33%QQQ 33%GLD 33% |
| 2026-03-31 | DBC 33%GLD 33%DBMF 33% |
| 2026-02-27 | GLD 33%DBMF 33%DBC 33% |
| 2026-01-30 | GLD 33%DBC 33%DBMF 33% |
| 2025-12-31 | GLD 20%QQQ 20%DBMF 20%BIL 40% |
| 2025-11-28 | GLD 33%QQQ 33%DBMF 33% |
| 2025-10-31 | GLD 33%QQQ 33%BTC-USD 33% |
| 2025-09-30 | BTC-USD 33%GLD 33%QQQ 33% |
| 2025-08-29 | BTC-USD 33%GLD 33%QQQ 33% |
| 2025-07-31 | BTC-USD 33%GLD 33%QQQ 33% |
| 2025-06-30 | BTC-USD 33%GLD 33%QQQ 33% |
| 2025-05-30 | BTC-USD 33%GLD 33%QQQ 33% |
| 2025-04-30 | BTC-USD 33%GLD 33%QQQ 33% |
| 2025-03-31 | GLD 33%BTC-USD 33%DBC 33% |
| 2025-02-28 | GLD 33%BTC-USD 33%QQQ 33% |
| 2025-01-31 | BTC-USD 33%GLD 33%QQQ 33% |
| 2024-12-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2024-11-29 | BTC-USD 33%QQQ 33%GLD 33% |
| 2024-10-31 | BTC-USD 33%GLD 33%QQQ 33% |
| 2024-09-30 | BTC-USD 33%GLD 33%QQQ 33% |
| 2024-08-30 | BTC-USD 33%GLD 33%QQQ 33% |
| 2024-07-31 | BTC-USD 33%GLD 33%QQQ 33% |
| 2024-06-28 | BTC-USD 33%QQQ 33%GLD 33% |
| 2024-05-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2024-04-30 | BTC-USD 33%QQQ 33%GLD 33% |
| 2024-03-28 | BTC-USD 33%QQQ 33%GLD 33% |
| 2024-02-29 | BTC-USD 33%QQQ 33%GLD 33% |
| 2024-01-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2023-12-29 | BTC-USD 33%QQQ 33%GLD 33% |
| 2023-11-30 | BTC-USD 33%QQQ 33%GLD 33% |
| 2023-10-31 | BTC-USD 33%GLD 33%QQQ 33% |
| 2023-09-29 | QQQ 20%DBC 20%BTC-USD 20%BIL 40% |
| 2023-08-31 | QQQ 33%BTC-USD 33%GLD 33% |
| 2023-07-31 | QQQ 33%BTC-USD 33%GLD 33% |
| 2023-06-30 | BTC-USD 33%QQQ 33%GLD 33% |
| 2023-05-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2023-04-28 | BTC-USD 33%GLD 33%QQQ 33% |
| 2023-03-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2023-02-28 | BTC-USD 60%BIL 40% |
| 2023-01-31 | GLD 20%BTC-USD 20%DBC 20%BIL 40% |
| 2022-12-30 | GLD 30%DBC 30%BIL 40% |
| 2022-11-30 | DBC 30%GLD 30%BIL 40% |
| 2022-10-31 | DBMF 30%DBC 30%BIL 40% |
| 2022-09-30 | DBMF 60%BIL 40% |
| 2022-08-31 | DBMF 30%DBC 30%BIL 40% |
| 2022-07-29 | DBC 30%DBMF 30%BIL 40% |
| 2022-06-30 | DBC 50%DBMF 50% |
| 2022-05-31 | DBC 50%DBMF 50% |
| 2022-04-29 | DBC 33%DBMF 33%GLD 33% |
| 2022-03-31 | DBC 33%GLD 33%DBMF 33% |
| 2022-02-28 | DBC 30%GLD 30%BIL 40% |
| 2022-01-31 | DBC 60%BIL 40% |
| 2021-12-31 | BTC-USD 20%DBC 20%QQQ 20%BIL 40% |
| 2021-11-30 | BTC-USD 20%QQQ 20%DBC 20%BIL 40% |
| 2021-10-29 | BTC-USD 33%DBC 33%QQQ 33% |
| 2021-09-30 | BTC-USD 20%DBC 20%QQQ 20%BIL 40% |
| 2021-08-31 | BTC-USD 33%QQQ 33%DBC 33% |
| 2021-07-30 | BTC-USD 20%DBC 20%QQQ 20%BIL 40% |
| 2021-06-30 | BTC-USD 20%DBC 20%QQQ 20%BIL 40% |
| 2021-05-28 | BTC-USD 10%DBC 10%QQQ 10%BIL 70% |
| 2021-04-30 | BTC-USD 33%DBC 33%QQQ 33% |
| 2021-03-31 | BTC-USD 33%DBC 33%QQQ 33% |
| 2021-02-26 | BTC-USD 33%DBC 33%QQQ 33% |
| 2021-01-29 | BTC-USD 33%QQQ 33%DBC 33% |
| 2020-12-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2020-11-30 | BTC-USD 33%QQQ 33%DBC 33% |
| 2020-10-30 | BTC-USD 33%QQQ 33%GLD 33% |
| 2020-09-30 | BTC-USD 33%QQQ 33%GLD 33% |
| 2020-08-31 | QQQ 33%BTC-USD 33%GLD 33% |
| 2020-07-31 | QQQ 33%GLD 33%BTC-USD 33% |
| 2020-06-30 | QQQ 20%GLD 20%BTC-USD 20%BIL 40% |
| 2020-05-29 | QQQ 20%GLD 20%BTC-USD 20%BIL 40% |
| 2020-04-30 | BTC-USD 10%TLT 10%GLD 10%BIL 70% |
| 2020-03-31 | TLT 15%GLD 15%BIL 70% |
| 2020-02-28 | BTC-USD 10%TLT 10%GLD 10%BIL 70% |
| 2020-01-31 | BTC-USD 20%QQQ 20%GLD 20%BIL 40% |
| 2019-12-31 | QQQ 10%BTC-USD 10%GLD 10%BIL 70% |
| 2019-11-29 | QQQ 10%BTC-USD 10%TLT 10%BIL 70% |
| 2019-10-31 | BTC-USD 20%GLD 20%TLT 20%BIL 40% |
| 2019-09-30 | BTC-USD 20%TLT 20%GLD 20%BIL 40% |
| 2019-08-30 | BTC-USD 20%TLT 20%GLD 20%BIL 40% |
| 2019-07-31 | BTC-USD 20%GLD 20%TLT 20%BIL 40% |
| 2019-06-28 | BTC-USD 20%GLD 20%QQQ 20%BIL 40% |
| 2019-05-31 | BTC-USD 10%TLT 10%GLD 10%BIL 70% |
| 2019-04-30 | QQQ 10%BTC-USD 10%TLT 10%BIL 70% |
| 2019-03-29 | QQQ 10%TLT 10%GLD 10%BIL 70% |
| 2019-02-28 | GLD 10%QQQ 10%TLT 10%BIL 70% |
| 2019-01-31 | GLD 10%TLT 10%QQQ 10%BIL 70% |
| 2018-12-31 | GLD 15%TLT 15%BIL 70% |
| 2018-11-30 | QQQ 30%BIL 70% |
| 2018-10-31 | QQQ 30%BIL 70% |
| 2018-09-28 | QQQ 10%BTC-USD 10%DBC 10%BIL 70% |
| 2018-08-31 | QQQ 15%DBC 15%BIL 70% |
| 2018-07-31 | BTC-USD 10%QQQ 10%DBC 10%BIL 70% |
| 2018-06-29 | BTC-USD 10%QQQ 10%DBC 10%BIL 70% |
| 2018-05-31 | BTC-USD 10%DBC 10%QQQ 10%BIL 70% |
| 2018-04-30 | BTC-USD 10%DBC 10%QQQ 10%BIL 70% |
| 2018-03-29 | BTC-USD 10%QQQ 10%DBC 10%BIL 70% |
| 2018-02-28 | BTC-USD 20%QQQ 20%DBC 20%BIL 40% |
| 2018-01-31 | BTC-USD 20%QQQ 20%DBC 20%BIL 40% |
| 2017-12-29 | BTC-USD 33%QQQ 33%DBC 33% |
| 2017-11-30 | BTC-USD 33%QQQ 33%DBC 33% |
| 2017-10-31 | BTC-USD 33%QQQ 33%DBC 33% |
| 2017-09-29 | BTC-USD 33%QQQ 33%DBC 33% |
| 2017-08-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2017-07-31 | BTC-USD 33%QQQ 33%DBC 33% |
| 2017-06-30 | BTC-USD 50%QQQ 50% |
| 2017-05-31 | BTC-USD 33%QQQ 33%GLD 33% |
| 2017-04-28 | BTC-USD 33%QQQ 33%GLD 33% |
| 2017-03-31 | BTC-USD 33%QQQ 33%DBC 33% |
| 2017-02-28 | BTC-USD 33%QQQ 33%DBC 33% |
| 2017-01-31 | BTC-USD 33%DBC 33%QQQ 33% |
| 2016-12-30 | BTC-USD 33%DBC 33%QQQ 33% |
| 2016-11-30 | BTC-USD 33%DBC 33%QQQ 33% |
| 2016-10-31 | BTC-USD 33%QQQ 33%DBC 33% |
| 2016-09-30 | BTC-USD 33%QQQ 33%GLD 33% |
| 2016-08-31 | BTC-USD 33%TLT 33%QQQ 33% |
| 2016-07-29 | BTC-USD 33%GLD 33%TLT 33% |
| 2016-06-30 | BTC-USD 33%GLD 33%TLT 33% |
| 2016-05-31 | BTC-USD 33%TLT 33%GLD 33% |
| 2016-04-29 | BTC-USD 33%GLD 33%TLT 33% |
| 2016-03-31 | BTC-USD 20%GLD 20%TLT 20%BIL 40% |
| 2016-02-29 | BTC-USD 33%GLD 33%TLT 33% |
| 2016-01-29 | BTC-USD 30%TLT 30%BIL 40% |
| 2015-12-31 | BTC-USD 50%QQQ 50% |
| 2015-11-30 | BTC-USD 50%QQQ 50% |
| 2015-10-30 | BTC-USD 20%QQQ 20%TLT 20%BIL 40% |
| 2015-09-30 | TLT 60%BIL 40% |
| 2015-08-31 | BIL 100% |
| 2015-07-31 | BTC-USD 33%QQQ 33%TLT 33% |
| 2015-06-30 | QQQ 50%BTC-USD 50% |
| 2015-05-29 | QQQ 50%TLT 50% |
| 2015-04-30 | QQQ 50%TLT 50% |
| 2015-03-31 | TLT 50%QQQ 50% |
| 2015-02-27 | QQQ 50%TLT 50% |
| 2015-01-30 | TLT 33%QQQ 33%GLD 33% |
| 2014-12-31 | TLT 50%QQQ 50% |
| 2014-11-28 | QQQ 50%TLT 50% |
| 2014-10-31 | QQQ 50%TLT 50% |
| 2014-09-30 | QQQ 50%TLT 50% |
| 2014-08-29 | QQQ 50%TLT 50% |
| 2014-07-31 | QQQ 50%TLT 50% |
| 2014-06-30 | QQQ 33%GLD 33%TLT 33% |
| 2014-05-30 | QQQ 50%TLT 50% |
| 2014-04-30 | QQQ 50%DBC 50% |
| 2014-03-31 | QQQ 50%TLT 50% |
| 2014-02-28 | QQQ 50%TLT 50% |
| 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 50%TLT 50% |
| 2013-03-28 | QQQ 100% |
| 2013-02-28 | QQQ 100% |
| 2013-01-31 | QQQ 50%DBC 50% |
| 2012-12-31 | QQQ 33%DBC 33%GLD 33% |
| 2012-11-30 | QQQ 33%DBC 33%GLD 33% |
| 2012-10-31 | TLT 33%GLD 33%QQQ 33% |
| 2012-09-28 | QQQ 33%GLD 33%DBC 33% |
| 2012-08-31 | QQQ 33%TLT 33%DBC 33% |
| 2012-07-31 | TLT 50%QQQ 50% |
| 2012-06-29 | TLT 33%QQQ 33%GLD 33% |
| 2012-05-31 | TLT 50%QQQ 50% |
| 2012-04-30 | QQQ 50%TLT 50% |
| 2012-03-30 | QQQ 33%GLD 33%DBC 33% |
| 2012-02-29 | QQQ 33%TLT 33%DBC 33% |
| 2012-01-31 | TLT 33%GLD 33%QQQ 33% |
| 2011-12-30 | TLT 20%QQQ 20%GLD 20%BIL 40% |
| 2011-11-30 | TLT 33%GLD 33%QQQ 33% |
| 2011-10-31 | TLT 33%GLD 33%QQQ 33% |
| 2011-09-30 | TLT 50%GLD 50% |
| 2011-08-31 | GLD 33%TLT 33%DBC 33% |
| 2011-07-29 | GLD 33%DBC 33%QQQ 33% |
| 2011-06-30 | QQQ 33%DBC 33%GLD 33% |
| 2011-05-31 | DBC 33%GLD 33%QQQ 33% |
| 2011-04-29 | DBC 33%GLD 33%QQQ 33% |
| 2011-03-31 | DBC 33%QQQ 33%GLD 33% |
| 2011-02-28 | DBC 33%QQQ 33%GLD 33% |
| 2011-01-31 | DBC 33%QQQ 33%GLD 33% |
| 2010-12-31 | DBC 33%QQQ 33%GLD 33% |
| 2010-11-30 | QQQ 33%DBC 33%GLD 33% |
| 2010-10-29 | GLD 33%QQQ 33%DBC 33% |
| 2010-09-30 | GLD 33%QQQ 33%DBC 33% |
| 2010-08-31 | TLT 50%GLD 50% |
| 2010-07-30 | TLT 33%QQQ 33%GLD 33% |
| 2010-06-30 | TLT 50%GLD 50% |
| 2010-05-28 | GLD 50%TLT 50% |
| 2010-04-30 | QQQ 33%GLD 33%DBC 33% |
| 2010-03-31 | QQQ 100% |
| 2010-02-26 | BIL 100% |
| 2010-01-29 | BIL 100% |
| 2010-01-04 | BIL 100% |