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NFCI 金融条件 + QQQ/OPPJ 双重动量
Chicago Fed NFCI 替代 OECD CLI 做 risk-on/off · 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
NFCI 金融条件 + QQQ/OPPJ 双重动量
Chicago Fed NFCI 替代 OECD CLI 做 risk-on/off
- 1每月末查 Chicago Fed NFCI（National Financial Conditions Index, 周更）
- 2NFCI < 0（金融条件宽松）→ Risk-On：比较 QQQ vs OPPJ 12 月动量
- 3NFCI ≥ 0（金融条件紧）→ Risk-Off：AGG vs BIL
- 4NFCI 是同步指标（金融条件实时），CLI 是领先指标（经济动能），二者互补但不易简单合成。NFCI 更能抓住牛市，但风险时机识别没那么早
—
当前信号（2026-08-26）
NFCI=-0.57 Risk-On → OPPJ 100% (QQQ 24.2% vs OPPJ 44.0%)
年化收益
+16.8%
年化波动
+20.1%
Sharpe
0.74
最大回撤
-28.6%
Calmar
0.59
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 | 信号 |
|---|---|---|
| 2026-08-26 | OPPJ 100% | Risk-On (NFCI=-0.57) |
| 2026-07-31 | OPPJ 100% | Risk-On (NFCI=-0.55) |
| 2026-06-30 | OPPJ 100% | Risk-On (NFCI=-0.51) |
| 2026-05-29 | OPPJ 100% | Risk-On (NFCI=-0.51) |
| 2026-04-30 | OPPJ 100% | Risk-On (NFCI=-0.49) |
| 2026-03-31 | OPPJ 100% | Risk-On (NFCI=-0.46) |
| 2026-02-27 | OPPJ 100% | Risk-On (NFCI=-0.51) |
| 2026-01-30 | OPPJ 100% | Risk-On (NFCI=-0.56) |
| 2025-12-31 | OPPJ 100% | Risk-On (NFCI=-0.54) |
| 2025-11-28 | OPPJ 100% | Risk-On (NFCI=-0.51) |
| 2025-10-31 | QQQ 100% | Risk-On (NFCI=-0.51) |
| 2025-09-30 | QQQ 100% | Risk-On (NFCI=-0.52) |
| 2025-08-29 | QQQ 100% | Risk-On (NFCI=-0.53) |
| 2025-07-31 | QQQ 100% | Risk-On (NFCI=-0.52) |
| 2025-06-30 | QQQ 100% | Risk-On (NFCI=-0.49) |
| 2025-05-30 | QQQ 100% | Risk-On (NFCI=-0.47) |
| 2025-04-30 | QQQ 100% | Risk-On (NFCI=-0.39) |
| 2025-03-31 | QQQ 100% | Risk-On (NFCI=-0.41) |
| 2025-02-28 | QQQ 100% | Risk-On (NFCI=-0.48) |
| 2025-01-31 | QQQ 100% | Risk-On (NFCI=-0.51) |
| 2024-12-31 | QQQ 100% | Risk-On (NFCI=-0.48) |
| 2024-11-29 | QQQ 100% | Risk-On (NFCI=-0.47) |
| 2024-10-31 | QQQ 100% | Risk-On (NFCI=-0.44) |
| 2024-09-30 | QQQ 100% | Risk-On (NFCI=-0.43) |
| 2024-08-30 | QQQ 100% | Risk-On (NFCI=-0.39) |
| 2024-07-31 | OPPJ 100% | Risk-On (NFCI=-0.36) |
| 2024-06-28 | OPPJ 100% | Risk-On (NFCI=-0.38) |
| 2024-05-31 | OPPJ 100% | Risk-On (NFCI=-0.41) |
| 2024-04-30 | OPPJ 100% | Risk-On (NFCI=-0.41) |
| 2024-03-28 | QQQ 100% | Risk-On (NFCI=-0.44) |
| 2024-02-29 | QQQ 100% | Risk-On (NFCI=-0.43) |
| 2024-01-31 | QQQ 100% | Risk-On (NFCI=-0.40) |
| 2023-12-29 | QQQ 100% | Risk-On (NFCI=-0.37) |
| 2023-11-30 | QQQ 100% | Risk-On (NFCI=-0.32) |
| 2023-10-31 | OPPJ 100% | Risk-On (NFCI=-0.29) |
| 2023-09-29 | QQQ 100% | Risk-On (NFCI=-0.31) |
| 2023-08-31 | OPPJ 100% | Risk-On (NFCI=-0.33) |
| 2023-07-31 | OPPJ 100% | Risk-On (NFCI=-0.28) |
| 2023-06-30 | QQQ 100% | Risk-On (NFCI=-0.23) |
| 2023-05-31 | OPPJ 100% | Risk-On (NFCI=-0.21) |
| 2023-04-28 | OPPJ 100% | Risk-On (NFCI=-0.19) |
| 2023-03-31 | OPPJ 100% | Risk-On (NFCI=-0.15) |
| 2023-02-28 | OPPJ 100% | Risk-On (NFCI=-0.27) |
| 2023-01-31 | OPPJ 100% | Risk-On (NFCI=-0.31) |
| 2022-12-30 | OPPJ 100% | Risk-On (NFCI=-0.22) |
| 2022-11-30 | OPPJ 100% | Risk-On (NFCI=-0.18) |
| 2022-10-31 | OPPJ 100% | Risk-On (NFCI=-0.13) |
| 2022-09-30 | OPPJ 100% | Risk-On (NFCI=-0.11) |
| 2022-08-31 | OPPJ 100% | Risk-On (NFCI=-0.23) |
| 2022-07-29 | OPPJ 100% | Risk-On (NFCI=-0.22) |
| 2022-06-30 | OPPJ 100% | Risk-On (NFCI=-0.17) |
| 2022-05-31 | OPPJ 100% | Risk-On (NFCI=-0.26) |
| 2022-04-29 | OPPJ 100% | Risk-On (NFCI=-0.34) |
| 2022-03-31 | QQQ 100% | Risk-On (NFCI=-0.37) |
| 2022-02-28 | QQQ 100% | Risk-On (NFCI=-0.44) |
| 2022-01-31 | QQQ 100% | Risk-On (NFCI=-0.54) |
| 2021-12-31 | QQQ 100% | Risk-On (NFCI=-0.56) |
| 2021-11-30 | QQQ 100% | Risk-On (NFCI=-0.55) |
| 2021-10-29 | QQQ 100% | Risk-On (NFCI=-0.62) |
| 2021-09-30 | QQQ 100% | Risk-On (NFCI=-0.65) |
| 2021-08-31 | QQQ 100% | Risk-On (NFCI=-0.65) |
| 2021-07-30 | QQQ 100% | Risk-On (NFCI=-0.66) |
| 2021-06-30 | QQQ 100% | Risk-On (NFCI=-0.69) |
| 2021-05-28 | QQQ 100% | Risk-On (NFCI=-0.69) |
| 2021-04-30 | QQQ 100% | Risk-On (NFCI=-0.68) |
| 2021-03-31 | QQQ 100% | Risk-On (NFCI=-0.65) |
| 2021-02-26 | QQQ 100% | Risk-On (NFCI=-0.63) |
| 2021-01-29 | QQQ 100% | Risk-On (NFCI=-0.62) |
| 2020-12-31 | QQQ 100% | Risk-On (NFCI=-0.60) |
| 2020-11-30 | QQQ 100% | Risk-On (NFCI=-0.57) |
| 2020-10-30 | QQQ 100% | Risk-On (NFCI=-0.51) |
| 2020-09-30 | QQQ 100% | Risk-On (NFCI=-0.49) |
| 2020-08-31 | QQQ 100% | Risk-On (NFCI=-0.51) |
| 2020-07-31 | QQQ 100% | Risk-On (NFCI=-0.47) |
| 2020-06-30 | QQQ 100% | Risk-On (NFCI=-0.39) |
| 2020-05-29 | QQQ 100% | Risk-On (NFCI=-0.27) |
| 2020-04-30 | AGG 100% | Risk-Off (NFCI=0.16) |
| 2020-03-31 | AGG 100% | Risk-Off (NFCI=0.27) |
| 2020-02-28 | QQQ 100% | Risk-On (NFCI=-0.29) |
| 2020-01-31 | QQQ 100% | Risk-On (NFCI=-0.62) |
| 2019-12-31 | QQQ 100% | Risk-On (NFCI=-0.55) |
| 2019-11-29 | QQQ 100% | Risk-On (NFCI=-0.57) |
| 2019-10-31 | QQQ 100% | Risk-On (NFCI=-0.55) |
| 2019-09-30 | QQQ 100% | Risk-On (NFCI=-0.51) |
| 2019-08-30 | QQQ 100% | Risk-On (NFCI=-0.53) |
| 2019-07-31 | QQQ 100% | Risk-On (NFCI=-0.58) |
| 2019-06-28 | QQQ 100% | Risk-On (NFCI=-0.57) |
| 2019-05-31 | QQQ 100% | Risk-On (NFCI=-0.58) |
| 2019-04-30 | QQQ 100% | Risk-On (NFCI=-0.61) |
| 2019-03-29 | QQQ 100% | Risk-On (NFCI=-0.60) |
| 2019-02-28 | QQQ 100% | Risk-On (NFCI=-0.58) |
| 2019-01-31 | QQQ 100% | Risk-On (NFCI=-0.51) |
| 2018-12-31 | QQQ 100% | Risk-On (NFCI=-0.43) |
| 2018-11-30 | QQQ 100% | Risk-On (NFCI=-0.46) |
| 2018-10-31 | QQQ 100% | Risk-On (NFCI=-0.55) |
| 2018-09-28 | QQQ 100% | Risk-On (NFCI=-0.59) |
| 2018-08-31 | QQQ 100% | Risk-On (NFCI=-0.60) |
| 2018-07-31 | QQQ 100% | Risk-On (NFCI=-0.56) |
| 2018-06-29 | QQQ 100% | Risk-On (NFCI=-0.54) |
| 2018-05-31 | QQQ 100% | Risk-On (NFCI=-0.56) |
| 2018-04-30 | OPPJ 100% | Risk-On (NFCI=-0.54) |
| 2018-03-29 | QQQ 100% | Risk-On (NFCI=-0.50) |
| 2018-02-28 | QQQ 100% | Risk-On (NFCI=-0.54) |
| 2018-01-31 | QQQ 100% | Risk-On (NFCI=-0.60) |
| 2017-12-29 | QQQ 100% | Risk-On (NFCI=-0.61) |
| 2017-11-30 | QQQ 100% | Risk-On (NFCI=-0.60) |
| 2017-10-31 | OPPJ 100% | Risk-On (NFCI=-0.59) |
| 2017-09-29 | OPPJ 100% | Risk-On (NFCI=-0.57) |
| 2017-08-31 | OPPJ 100% | Risk-On (NFCI=-0.56) |
| 2017-07-31 | OPPJ 100% | Risk-On (NFCI=-0.58) |
| 2017-06-30 | OPPJ 100% | Risk-On (NFCI=-0.57) |
| 2017-05-31 | QQQ 100% | Risk-On (NFCI=-0.54) |
| 2017-04-28 | QQQ 100% | Risk-On (NFCI=-0.51) |
| 2017-03-31 | QQQ 100% | Risk-On (NFCI=-0.48) |
| 2017-02-28 | OPPJ 100% | Risk-On (NFCI=-0.48) |
| 2017-01-31 | QQQ 100% | Risk-On (NFCI=-0.48) |
| 2016-12-30 | QQQ 100% | Risk-On (NFCI=-0.47) |
| 2016-11-30 | QQQ 100% | Risk-On (NFCI=-0.43) |
| 2016-10-31 | QQQ 100% | Risk-On (NFCI=-0.38) |
| 2016-09-30 | QQQ 100% | Risk-On (NFCI=-0.34) |
| 2016-08-31 | QQQ 100% | Risk-On (NFCI=-0.35) |
| 2016-07-29 | QQQ 100% | Risk-On (NFCI=-0.36) |
| 2016-06-30 | QQQ 100% | Risk-On (NFCI=-0.35) |
| 2016-05-31 | QQQ 100% | Risk-On (NFCI=-0.37) |
| 2016-04-29 | QQQ 100% | Risk-On (NFCI=-0.38) |
| 2016-03-31 | QQQ 100% | Risk-On (NFCI=-0.37) |
| 2016-02-29 | QQQ 100% | Risk-On (NFCI=-0.32) |
| 2016-01-29 | OPPJ 100% | Risk-On (NFCI=-0.30) |
| 2015-12-31 | OPPJ 100% | Risk-On (NFCI=-0.36) |
| 2015-11-30 | OPPJ 100% | Risk-On (NFCI=-0.44) |
| 2015-10-30 | OPPJ 100% | Risk-On (NFCI=-0.47) |
| 2015-09-30 | OPPJ 100% | Risk-On (NFCI=-0.40) |
| 2015-08-31 | OPPJ 100% | Risk-On (NFCI=-0.42) |
| 2015-07-31 | OPPJ 100% | Risk-On (NFCI=-0.50) |
| 2015-06-30 | OPPJ 100% | Risk-On (NFCI=-0.54) |
| 2015-05-29 | OPPJ 100% | Risk-On (NFCI=-0.55) |
| 2015-04-30 | QQQ 100% | Risk-On (NFCI=-0.54) |
| 2015-03-31 | QQQ 100% | Risk-On (NFCI=-0.54) |
| 2015-02-27 | QQQ 100% | Risk-On (NFCI=-0.52) |
| 2015-01-30 | QQQ 100% | Risk-On (NFCI=-0.50) |
| 2014-12-31 | QQQ 100% | Risk-On (NFCI=-0.57) |
| 2014-11-28 | QQQ 100% | Risk-On (NFCI=-0.65) |
| 2014-10-31 | QQQ 100% | Risk-On (NFCI=-0.64) |
| 2014-09-30 | QQQ 100% | Risk-On (NFCI=-0.67) |
| 2014-08-29 | QQQ 100% | Risk-On (NFCI=-0.72) |
| 2014-07-31 | QQQ 100% | Risk-On (NFCI=-0.74) |
| 2014-06-30 | QQQ 100% | Risk-On (NFCI=-0.78) |
| 2014-05-30 | QQQ 100% | Risk-On (NFCI=-0.79) |
| 2014-04-30 | QQQ 100% | Risk-On (NFCI=-0.77) |
| 2014-03-31 | QQQ 100% | Risk-On (NFCI=-0.77) |
| 2014-02-28 | QQQ 100% | Risk-On (NFCI=-0.78) |
| 2014-01-31 | QQQ 100% | Risk-On (NFCI=-0.76) |
| 2013-12-31 | QQQ 100% | Risk-On (NFCI=-0.78) |
| 2013-11-29 | QQQ 100% | Risk-On (NFCI=-0.77) |
| 2013-10-31 | QQQ 100% | Risk-On (NFCI=-0.72) |
| 2013-09-30 | QQQ 100% | Risk-On (NFCI=-0.68) |
| 2013-08-30 | QQQ 100% | Risk-On (NFCI=-0.66) |
| 2013-07-31 | QQQ 100% | Risk-On (NFCI=-0.66) |
| 2013-06-28 | QQQ 100% | Risk-On (NFCI=-0.63) |
| 2013-05-31 | QQQ 100% | Risk-On (NFCI=-0.69) |
| 2013-04-30 | QQQ 100% | Risk-On (NFCI=-0.70) |
| 2013-03-28 | QQQ 100% | Risk-On (NFCI=-0.66) |
| 2013-02-28 | QQQ 100% | Risk-On (NFCI=-0.65) |
| 2013-01-31 | QQQ 100% | Risk-On (NFCI=-0.64) |
| 2012-12-31 | QQQ 100% | Risk-On (NFCI=-0.60) |
| 2012-11-30 | QQQ 100% | Risk-On (NFCI=-0.55) |
| 2012-10-31 | QQQ 100% | Risk-On (NFCI=-0.55) |
| 2012-09-28 | QQQ 100% | Risk-On (NFCI=-0.53) |
| 2012-08-31 | QQQ 100% | Risk-On (NFCI=-0.46) |
| 2012-07-31 | QQQ 100% | Risk-On (NFCI=-0.36) |
| 2012-06-29 | QQQ 100% | Risk-On (NFCI=-0.27) |
| 2012-05-31 | QQQ 100% | Risk-On (NFCI=-0.26) |
| 2012-04-30 | QQQ 100% | Risk-On (NFCI=-0.38) |
| 2012-03-30 | QQQ 100% | Risk-On (NFCI=-0.43) |
| 2012-02-29 | QQQ 100% | Risk-On (NFCI=-0.41) |
| 2012-01-31 | QQQ 100% | Risk-On (NFCI=-0.32) |
| 2011-12-30 | QQQ 100% | Risk-On (NFCI=-0.15) |
| 2011-11-30 | QQQ 100% | Risk-On (NFCI=-0.07) |
| 2011-10-31 | QQQ 100% | Risk-On (NFCI=-0.10) |
| 2011-09-30 | QQQ 100% | Risk-On (NFCI=-0.04) |
| 2011-08-31 | QQQ 100% | Risk-On (NFCI=-0.13) |
| 2011-07-29 | QQQ 100% | Risk-On (NFCI=-0.39) |
| 2011-06-30 | QQQ 100% | Risk-On (NFCI=-0.52) |
| 2011-05-31 | QQQ 100% | Risk-On (NFCI=-0.56) |
| 2011-04-29 | QQQ 100% | Risk-On (NFCI=-0.59) |
| 2011-03-31 | QQQ 100% | Risk-On (NFCI=-0.54) |
| 2011-02-28 | QQQ 100% | Risk-On (NFCI=-0.57) |
| 2011-01-31 | QQQ 100% | Risk-On (NFCI=-0.59) |
| 2010-12-31 | QQQ 100% | Risk-On (NFCI=-0.52) |
| 2010-11-30 | QQQ 100% | Risk-On (NFCI=-0.44) |
| 2010-10-29 | QQQ 100% | Risk-On (NFCI=-0.43) |
| 2010-09-30 | QQQ 100% | Risk-On (NFCI=-0.33) |
| 2010-08-31 | QQQ 100% | Risk-On (NFCI=-0.26) |
| 2010-07-30 | QQQ 100% | Risk-On (NFCI=-0.24) |
| 2010-06-30 | QQQ 100% | Risk-On (NFCI=-0.07) |
| 2010-05-28 | QQQ 100% | Risk-On (NFCI=-0.07) |
| 2010-04-30 | QQQ 100% | Risk-On (NFCI=-0.34) |
| 2010-03-31 | QQQ 100% | Risk-On (NFCI=-0.41) |
| 2010-02-26 | QQQ 100% | Risk-On (NFCI=-0.24) |
| 2010-01-29 | QQQ 100% | Risk-On (NFCI=-0.19) |
| 2010-01-04 | QQQ 100% | Risk-On (NFCI=-0.17) |