← 返回策略总览
滚动最小方差多资产趋势
多资产趋势 + 滚动协方差 + long-only GMV · 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
滚动最小方差多资产趋势
多资产趋势 + 滚动协方差 + long-only GMV
- 1沿用多资产趋势池和 BIL 绝对动量过滤，每月末选出综合动量最强的前三个资产
- 2对入选资产使用近期 21/63/126/252 日收益的加权协方差矩阵，估计资产之间的联动风险
- 3在不做空、不加杠杆的约束下求最小方差权重，信号在下一交易日执行
- 4它不是追求最高收益的版本，而是检验‘趋势选资产 + 相关性控风险’能否改善资金曲线；设置单资产 60% 上限，标记为实验策略
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当前信号（2026-08-26）
DBC 51% | QQQ 3% | GLD 46% · 滚动最小方差
年化收益
+24.6%
年化波动
+17.7%
Sharpe
1.28
最大回撤
-20.6%
Calmar
1.20
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 51%QQQ 3%GLD 46% |
| 2026-07-31 | DBC 21%QQQ 23%DBMF 56% |
| 2026-06-30 | QQQ 19%DBMF 48%DBC 33% |
| 2026-05-29 | QQQ 55%DBC 2%GLD 43% |
| 2026-04-30 | DBC 60%QQQ 24%GLD 16% |
| 2026-03-31 | DBC 32%GLD 22%DBMF 46% |
| 2026-02-27 | GLD 18%DBMF 46%DBC 37% |
| 2026-01-30 | GLD 16%DBC 38%DBMF 46% |
| 2025-12-31 | GLD 27%QQQ 41%DBMF 32% |
| 2025-11-28 | GLD 28%QQQ 24%DBMF 48% |
| 2025-10-31 | GLD 30%QQQ 48%BTC-USD 22% |
| 2025-09-30 | BTC-USD 16%GLD 41%QQQ 44% |
| 2025-08-29 | BTC-USD 14%GLD 44%QQQ 42% |
| 2025-07-31 | BTC-USD 31%GLD 9%QQQ 60% |
| 2025-06-30 | BTC-USD 32%GLD 8%QQQ 60% |
| 2025-05-30 | BTC-USD 36%GLD 4%QQQ 60% |
| 2025-04-30 | BTC-USD 26%GLD 50%QQQ 24% |
| 2025-03-31 | GLD 39%BTC-USD 9%DBC 53% |
| 2025-02-28 | GLD 45%BTC-USD 21%QQQ 34% |
| 2025-01-31 | BTC-USD 15%GLD 55%QQQ 30% |
| 2024-12-31 | BTC-USD 15%QQQ 33%GLD 52% |
| 2024-11-29 | BTC-USD 11%QQQ 60%GLD 29% |
| 2024-10-31 | BTC-USD 15%GLD 49%QQQ 36% |
| 2024-09-30 | BTC-USD 16%GLD 52%QQQ 32% |
| 2024-08-30 | BTC-USD 10%GLD 57%QQQ 33% |
| 2024-07-31 | BTC-USD 20%GLD 56%QQQ 24% |
| 2024-06-28 | BTC-USD 18%QQQ 47%GLD 35% |
| 2024-05-31 | BTC-USD 12%QQQ 50%GLD 38% |
| 2024-04-30 | BTC-USD 27%QQQ 43%GLD 30% |
| 2024-03-28 | BTC-USD 8%QQQ 42%GLD 50% |
| 2024-02-29 | BTC-USD 18%QQQ 22%GLD 60% |
| 2024-01-31 | BTC-USD 18%QQQ 28%GLD 54% |
| 2023-12-29 | BTC-USD 1%QQQ 58%GLD 41% |
| 2023-11-30 | BTC-USD 25%QQQ 15%GLD 60% |
| 2023-10-31 | BTC-USD 32%GLD 8%QQQ 60% |
| 2023-09-29 | QQQ 31%DBC 52%BTC-USD 17% |
| 2023-08-31 | QQQ 27%BTC-USD 13%GLD 60% |
| 2023-07-31 | QQQ 33%BTC-USD 20%GLD 47% |
| 2023-06-30 | BTC-USD 6%QQQ 34%GLD 60% |
| 2023-05-31 | BTC-USD 20%QQQ 20%GLD 60% |
| 2023-04-28 | BTC-USD 15%GLD 48%QQQ 38% |
| 2023-03-31 | BTC-USD 10%QQQ 45%GLD 45% |
| 2023-02-28 | BTC-USD 60%BIL 40% |
| 2023-01-31 | GLD 51%BTC-USD 15%DBC 34% |
| 2022-12-30 | GLD 54%DBC 46% |
| 2022-11-30 | DBC 44%GLD 56% |
| 2022-10-31 | DBMF 40%DBC 60% |
| 2022-09-30 | DBMF 60%BIL 40% |
| 2022-08-31 | DBMF 60%DBC 40% |
| 2022-07-29 | DBC 40%DBMF 60% |
| 2022-06-30 | DBC 40%DBMF 60% |
| 2022-05-31 | DBC 40%DBMF 60% |
| 2022-04-29 | DBC 21%DBMF 36%GLD 44% |
| 2022-03-31 | DBC 18%GLD 41%DBMF 41% |
| 2022-02-28 | DBC 44%GLD 56% |
| 2022-01-31 | DBC 60%BIL 40% |
| 2021-12-31 | BTC-USD 17%DBC 50%QQQ 33% |
| 2021-11-30 | BTC-USD 14%QQQ 54%DBC 32% |
| 2021-10-29 | BTC-USD 10%DBC 43%QQQ 48% |
| 2021-09-30 | BTC-USD 10%DBC 45%QQQ 44% |
| 2021-08-31 | BTC-USD 23%QQQ 59%DBC 17% |
| 2021-07-30 | BTC-USD 11%DBC 29%QQQ 60% |
| 2021-06-30 | BTC-USD 27%DBC 13%QQQ 60% |
| 2021-05-28 | BTC-USD 10%DBC 40%QQQ 50% |
| 2021-04-30 | BTC-USD 10%DBC 48%QQQ 42% |
| 2021-03-31 | BTC-USD 21%DBC 39%QQQ 40% |
| 2021-02-26 | BTC-USD 8%DBC 53%QQQ 38% |
| 2021-01-29 | BTC-USD 8%QQQ 39%DBC 54% |
| 2020-12-31 | BTC-USD 8%QQQ 47%GLD 45% |
| 2020-11-30 | BTC-USD 11%QQQ 29%DBC 60% |
| 2020-10-30 | BTC-USD 18%QQQ 26%GLD 56% |
| 2020-09-30 | BTC-USD 16%QQQ 24%GLD 60% |
| 2020-08-31 | QQQ 50%BTC-USD 22%GLD 28% |
| 2020-07-31 | QQQ 30%GLD 59%BTC-USD 11% |
| 2020-06-30 | QQQ 28%GLD 53%BTC-USD 19% |
| 2020-05-29 | QQQ 39%GLD 50%BTC-USD 10% |
| 2020-04-30 | BTC-USD 9%TLT 57%GLD 34% |
| 2020-03-31 | TLT 40%GLD 60% |
| 2020-02-28 | BTC-USD 28%TLT 48%GLD 24% |
| 2020-01-31 | BTC-USD 28%QQQ 12%GLD 60% |
| 2019-12-31 | QQQ 60%BTC-USD 29%GLD 11% |
| 2019-11-29 | QQQ 60%BTC-USD 29%TLT 11% |
| 2019-10-31 | BTC-USD 5%GLD 35%TLT 60% |
| 2019-09-30 | BTC-USD 16%TLT 41%GLD 43% |
| 2019-08-30 | BTC-USD 11%TLT 41%GLD 48% |
| 2019-07-31 | BTC-USD 6%GLD 37%TLT 57% |
| 2019-06-28 | BTC-USD 27%GLD 60%QQQ 13% |
| 2019-05-31 | BTC-USD 4%TLT 50%GLD 46% |
| 2019-04-30 | QQQ 60%BTC-USD 27%TLT 13% |
| 2019-03-29 | QQQ 1%TLT 54%GLD 45% |
| 2019-02-28 | GLD 34%QQQ 28%TLT 38% |
| 2019-01-31 | GLD 50%TLT 49%QQQ 0% |
| 2018-12-31 | GLD 51%TLT 49% |
| 2018-11-30 | QQQ 60%BIL 40% |
| 2018-10-31 | QQQ 60%BIL 40% |
| 2018-09-28 | QQQ 41%BTC-USD 11%DBC 48% |
| 2018-08-31 | QQQ 59%DBC 41% |
| 2018-07-31 | BTC-USD 53%QQQ 23%DBC 24% |
| 2018-06-29 | BTC-USD 3%QQQ 60%DBC 37% |
| 2018-05-31 | BTC-USD 12%DBC 44%QQQ 44% |
| 2018-04-30 | BTC-USD 10%DBC 59%QQQ 31% |
| 2018-03-29 | BTC-USD 36%QQQ 19%DBC 46% |
| 2018-02-28 | BTC-USD 11%QQQ 29%DBC 60% |
| 2018-01-31 | BTC-USD 4%QQQ 39%DBC 56% |
| 2017-12-29 | BTC-USD 26%QQQ 60%DBC 14% |
| 2017-11-30 | BTC-USD 19%QQQ 60%DBC 21% |
| 2017-10-31 | BTC-USD 60%QQQ 21%DBC 19% |
| 2017-09-29 | BTC-USD 4%QQQ 55%DBC 41% |
| 2017-08-31 | BTC-USD 27%QQQ 60%GLD 13% |
| 2017-07-31 | BTC-USD 25%QQQ 15%DBC 60% |
| 2017-06-30 | BTC-USD 40%QQQ 60% |
| 2017-05-31 | BTC-USD 20%QQQ 60%GLD 20% |
| 2017-04-28 | BTC-USD 29%QQQ 60%GLD 11% |
| 2017-03-31 | BTC-USD 12%QQQ 60%DBC 28% |
| 2017-02-28 | BTC-USD 6%QQQ 60%DBC 34% |
| 2017-01-31 | BTC-USD 46%DBC 1%QQQ 54% |
| 2016-12-30 | BTC-USD 60%DBC 28%QQQ 12% |
| 2016-11-30 | BTC-USD 20%DBC 34%QQQ 46% |
| 2016-10-31 | BTC-USD 1%QQQ 53%DBC 46% |
| 2016-09-30 | BTC-USD 21%QQQ 32%GLD 47% |
| 2016-08-31 | BTC-USD 34%TLT 60%QQQ 6% |
| 2016-07-29 | BTC-USD 19%GLD 37%TLT 44% |
| 2016-06-30 | BTC-USD 9%GLD 37%TLT 54% |
| 2016-05-31 | BTC-USD 11%TLT 48%GLD 40% |
| 2016-04-29 | BTC-USD 48%GLD 23%TLT 29% |
| 2016-03-31 | BTC-USD 5%GLD 35%TLT 60% |
| 2016-02-29 | BTC-USD 2%GLD 38%TLT 60% |
| 2016-01-29 | BTC-USD 52%TLT 48% |
| 2015-12-31 | BTC-USD 60%QQQ 40% |
| 2015-11-30 | BTC-USD 40%QQQ 60% |
| 2015-10-30 | BTC-USD 31%QQQ 9%TLT 60% |
| 2015-09-30 | TLT 60%BIL 40% |
| 2015-08-31 | BIL 100% |
| 2015-07-31 | BTC-USD 25%QQQ 60%TLT 15% |
| 2015-06-30 | QQQ 40%BTC-USD 60% |
| 2015-05-29 | QQQ 60%TLT 40% |
| 2015-04-30 | QQQ 60%TLT 40% |
| 2015-03-31 | TLT 48%QQQ 52% |
| 2015-02-27 | QQQ 40%TLT 60% |
| 2015-01-30 | TLT 53%QQQ 2%GLD 45% |
| 2014-12-31 | TLT 60%QQQ 40% |
| 2014-11-28 | QQQ 60%TLT 40% |
| 2014-10-31 | QQQ 40%TLT 60% |
| 2014-09-30 | QQQ 60%TLT 40% |
| 2014-08-29 | QQQ 40%TLT 60% |
| 2014-07-31 | QQQ 40%TLT 60% |
| 2014-06-30 | QQQ 25%GLD 60%TLT 15% |
| 2014-05-30 | QQQ 60%TLT 40% |
| 2014-04-30 | QQQ 40%DBC 60% |
| 2014-03-31 | QQQ 40%TLT 60% |
| 2014-02-28 | QQQ 60%TLT 40% |
| 2014-01-31 | QQQ 60%BIL 40% |
| 2013-12-31 | QQQ 60%BIL 40% |
| 2013-11-29 | QQQ 60%BIL 40% |
| 2013-10-31 | QQQ 60%BIL 40% |
| 2013-09-30 | QQQ 60%BIL 40% |
| 2013-08-30 | QQQ 60%BIL 40% |
| 2013-07-31 | QQQ 60%BIL 40% |
| 2013-06-28 | QQQ 60%BIL 40% |
| 2013-05-31 | QQQ 60%BIL 40% |
| 2013-04-30 | QQQ 60%TLT 40% |
| 2013-03-28 | QQQ 60%BIL 40% |
| 2013-02-28 | QQQ 60%BIL 40% |
| 2013-01-31 | QQQ 40%DBC 60% |
| 2012-12-31 | QQQ 23%DBC 41%GLD 35% |
| 2012-11-30 | QQQ 30%DBC 33%GLD 37% |
| 2012-10-31 | TLT 1%GLD 59%QQQ 41% |
| 2012-09-28 | QQQ 35%GLD 33%DBC 32% |
| 2012-08-31 | QQQ 49%TLT 1%DBC 50% |
| 2012-07-31 | TLT 40%QQQ 60% |
| 2012-06-29 | TLT 2%QQQ 46%GLD 51% |
| 2012-05-31 | TLT 40%QQQ 60% |
| 2012-04-30 | QQQ 60%TLT 40% |
| 2012-03-30 | QQQ 39%GLD 29%DBC 32% |
| 2012-02-29 | QQQ 49%TLT 1%DBC 51% |
| 2012-01-31 | TLT 1%GLD 40%QQQ 59% |
| 2011-12-30 | TLT 2%QQQ 54%GLD 44% |
| 2011-11-30 | TLT 4%GLD 56%QQQ 40% |
| 2011-10-31 | TLT 3%GLD 58%QQQ 39% |
| 2011-09-30 | TLT 54%GLD 46% |
| 2011-08-31 | GLD 48%TLT 46%DBC 6% |
| 2011-07-29 | GLD 60%DBC 25%QQQ 15% |
| 2011-06-30 | QQQ 28%DBC 26%GLD 46% |
| 2011-05-31 | DBC 17%GLD 36%QQQ 47% |
| 2011-04-29 | DBC 23%GLD 36%QQQ 41% |
| 2011-03-31 | DBC 25%QQQ 31%GLD 44% |
| 2011-02-28 | DBC 36%QQQ 17%GLD 47% |
| 2011-01-31 | DBC 19%QQQ 55%GLD 26% |
| 2010-12-31 | DBC 25%QQQ 54%GLD 21% |
| 2010-11-30 | QQQ 41%DBC 25%GLD 33% |
| 2010-10-29 | GLD 31%QQQ 43%DBC 26% |
| 2010-09-30 | GLD 1%QQQ 43%DBC 56% |
| 2010-08-31 | TLT 40%GLD 60% |
| 2010-07-30 | TLT 2%QQQ 49%GLD 49% |
| 2010-06-30 | TLT 52%GLD 48% |
| 2010-05-28 | GLD 53%TLT 47% |
| 2010-04-30 | QQQ 33%GLD 37%DBC 30% |
| 2010-03-31 | QQQ 60%BIL 40% |
| 2010-02-26 | BIL 100% |
| 2010-01-29 | BIL 100% |
| 2010-01-04 | BIL 100% |