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多资产趋势 (Multi-Asset Trend)
Dual Momentum + 跨资产 universe + BTC 风险控制 · 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
多资产趋势 (Multi-Asset Trend)
Dual Momentum + 跨资产 universe + BTC 风险控制
- 16 资产 universe: QQQ (股) / TLT (债) / GLD (黄金) / DBC (商品) / DBMF (CTA 趋势) / BTC-USD (Crypto) — 覆盖股债商品/Crypto 主要资产类
- 2动量信号: 1/3/6/12 月收益均值 (multiPeriod) — 比单 12mo 更早识别趋势变化
- 3月末按动量排序取 Top-3 等权 (33/33/33)；BTC-USD 权重上限 25%，超出部分切 BIL
- 4策略不读宏观数据, 只跟价格动量。regime 通常持续 6-12mo 以上, 所以会被动跟到对应资产 (回测里 2022 通胀期落在 DBC, 2020 COVID 落在 TLT+GLD)。但 regime 切换初期会有 1-3 个月滞后, 突发崩盘必然吃回撤
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当前信号（2026-08-26）
DBC 17.1% | QQQ 10.7% | GLD 9.4%
年化收益
+30.9%
年化波动
+17.8%
Sharpe
1.62
最大回撤
-16.5%
Calmar
1.88
SPY 年化
+16.6%
60/40 年化
+8.8%
净值与回撤
调仓日志
共 76 次调仓，月度再平衡
| 日期 | 持仓 |
|---|---|
| 2026-07-31 | DBC 33%QQQ 33%DBMF 33% |
| 2026-06-30 | QQQ 33%DBMF 33%DBC 33% |
| 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 33%QQQ 33%DBMF 33% |
| 2025-11-28 | GLD 33%QQQ 33%DBMF 33% |
| 2025-10-31 | GLD 33%QQQ 33%BTC-USD 25%BIL 8% |
| 2025-09-30 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2025-08-29 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2025-07-31 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2025-06-30 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2025-05-30 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2025-04-30 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2025-03-31 | GLD 33%BTC-USD 25%DBC 33%BIL 8% |
| 2025-02-28 | GLD 33%BTC-USD 25%QQQ 33%BIL 8% |
| 2025-01-31 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2024-12-31 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2024-11-29 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2024-10-31 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2024-09-30 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2024-08-30 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2024-07-31 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2024-06-28 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2024-05-31 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2024-04-30 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2024-03-28 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2024-02-29 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2024-01-31 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2023-12-29 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2023-11-30 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2023-10-31 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2023-09-29 | QQQ 33%DBC 33%BTC-USD 25%BIL 8% |
| 2023-08-31 | QQQ 33%BTC-USD 25%GLD 33%BIL 8% |
| 2023-07-31 | QQQ 33%BTC-USD 25%GLD 33%BIL 8% |
| 2023-06-30 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2023-05-31 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2023-04-28 | BTC-USD 25%GLD 33%QQQ 33%BIL 8% |
| 2023-03-31 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2023-02-28 | BTC-USD 25%BIL 75% |
| 2023-01-31 | GLD 33%BTC-USD 25%DBC 33%BIL 8% |
| 2022-12-30 | GLD 33%DBC 33%BIL 33% |
| 2022-11-30 | DBC 33%GLD 33%BIL 33% |
| 2022-10-31 | DBMF 33%DBC 33%BIL 33% |
| 2022-09-30 | DBMF 33%BIL 67% |
| 2022-08-31 | DBMF 33%DBC 33%BIL 33% |
| 2022-07-29 | DBC 33%DBMF 33%BIL 33% |
| 2022-06-30 | DBC 33%DBMF 33%BIL 33% |
| 2022-05-31 | DBC 33%DBMF 33%BIL 33% |
| 2022-04-29 | DBC 33%DBMF 33%GLD 33% |
| 2022-03-31 | DBC 33%GLD 33%DBMF 33% |
| 2022-02-28 | DBC 33%GLD 33%BIL 33% |
| 2022-01-31 | DBC 33%BIL 67% |
| 2021-12-31 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-11-30 | BTC-USD 25%QQQ 33%DBC 33%BIL 8% |
| 2021-10-29 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-09-30 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-08-31 | BTC-USD 25%QQQ 33%DBC 33%BIL 8% |
| 2021-07-30 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-06-30 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-05-28 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-04-30 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-03-31 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-02-26 | BTC-USD 25%DBC 33%QQQ 33%BIL 8% |
| 2021-01-29 | BTC-USD 25%QQQ 33%DBC 33%BIL 8% |
| 2020-12-31 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2020-11-30 | BTC-USD 25%QQQ 33%DBC 33%BIL 8% |
| 2020-10-30 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2020-09-30 | BTC-USD 25%QQQ 33%GLD 33%BIL 8% |
| 2020-08-31 | QQQ 33%BTC-USD 25%GLD 33%BIL 8% |
| 2020-07-31 | QQQ 33%GLD 33%BTC-USD 25%BIL 8% |
| 2020-06-30 | QQQ 33%GLD 33%BTC-USD 25%BIL 8% |
| 2020-05-29 | QQQ 33%GLD 33%BTC-USD 25%BIL 8% |
| 2020-05-08 | BTC-USD 25%TLT 33%GLD 33%BIL 8% |