波动率目标多资产趋势
多资产趋势 + 60日逆波动权重
- 1沿用多资产趋势池：QQQ、TLT、DBMF、BTC-USD、GLD、DBC；每月末按 1/3/6/12 月综合动量选出前三名
- 2只有动量超过 BIL 的资产才持有，避免把弱趋势强行纳入组合
- 3按过去 60 个交易日波动率的倒数分配权重，波动越低的资产权重越高；信号在下一交易日执行
- 4目标是保留趋势收益来源，同时降低 BTC 或单一高波动资产对组合的支配；适合作为稳健版多资产趋势
—
当前信号（2026-08-26）
DBC 37% | QQQ 32% | GLD 31% · 逆波动权重
年化收益
+20.0%
年化波动
+15.3%
Sharpe
1.18
最大回撤
-22.2%
Calmar
0.90
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 37%QQQ 32%GLD 31% |
| 2026-07-31 | DBC 23%QQQ 20%DBMF 57% |
| 2026-06-30 | QQQ 23%DBMF 52%DBC 25% |
| 2026-05-29 | QQQ 40%DBC 31%GLD 29% |
| 2026-04-30 | DBC 34%QQQ 41%GLD 25% |
| 2026-03-31 | DBC 34%GLD 20%DBMF 47% |
| 2026-02-27 | GLD 20%DBMF 43%DBC 37% |
| 2026-01-30 | GLD 20%DBC 39%DBMF 41% |
| 2025-12-31 | GLD 25%QQQ 35%DBMF 40% |
| 2025-11-28 | GLD 24%QQQ 33%DBMF 42% |
| 2025-10-31 | GLD 31%QQQ 50%BTC-USD 19% |
| 2025-09-30 | BTC-USD 16%GLD 37%QQQ 47% |
| 2025-08-29 | BTC-USD 16%GLD 40%QQQ 44% |
| 2025-07-31 | BTC-USD 21%GLD 33%QQQ 46% |
| 2025-06-30 | BTC-USD 27%GLD 43%QQQ 30% |
| 2025-05-30 | BTC-USD 24%GLD 47%QQQ 29% |
| 2025-04-30 | BTC-USD 21%GLD 52%QQQ 27% |
| 2025-03-31 | GLD 42%BTC-USD 12%DBC 46% |
| 2025-02-28 | GLD 49%BTC-USD 16%QQQ 34% |
| 2025-01-31 | BTC-USD 14%GLD 46%QQQ 41% |
| 2024-12-31 | BTC-USD 13%QQQ 42%GLD 45% |
| 2024-11-29 | BTC-USD 13%QQQ 43%GLD 44% |
| 2024-10-31 | BTC-USD 14%GLD 51%QQQ 35% |
| 2024-09-30 | BTC-USD 13%GLD 53%QQQ 33% |
| 2024-08-30 | BTC-USD 14%GLD 49%QQQ 37% |
| 2024-07-31 | BTC-USD 15%GLD 42%QQQ 43% |
| 2024-06-28 | BTC-USD 15%QQQ 46%GLD 39% |
| 2024-05-31 | BTC-USD 12%QQQ 45%GLD 44% |
| 2024-04-30 | BTC-USD 11%QQQ 41%GLD 48% |
| 2024-03-28 | BTC-USD 9%QQQ 37%GLD 54% |
| 2024-02-29 | BTC-USD 11%QQQ 39%GLD 51% |
| 2024-01-31 | BTC-USD 11%QQQ 42%GLD 46% |
| 2023-12-29 | BTC-USD 13%QQQ 42%GLD 44% |
| 2023-11-30 | BTC-USD 15%QQQ 36%GLD 49% |
| 2023-10-31 | BTC-USD 15%GLD 51%QQQ 35% |
| 2023-09-29 | QQQ 32%DBC 51%BTC-USD 17% |
| 2023-08-31 | QQQ 31%BTC-USD 14%GLD 55% |
| 2023-07-31 | QQQ 35%BTC-USD 15%GLD 50% |
| 2023-06-30 | BTC-USD 14%QQQ 36%GLD 50% |
| 2023-05-31 | BTC-USD 13%QQQ 42%GLD 46% |
| 2023-04-28 | BTC-USD 13%GLD 48%QQQ 39% |
| 2023-03-31 | BTC-USD 13%QQQ 37%GLD 50% |
| 2023-02-28 | BTC-USD 100% |
| 2023-01-31 | GLD 49%BTC-USD 13%DBC 38% |
| 2022-12-30 | GLD 55%DBC 45% |
| 2022-11-30 | DBC 42%GLD 58% |
| 2022-10-31 | DBMF 63%DBC 37% |
| 2022-09-30 | DBMF 100% |
| 2022-08-31 | DBMF 68%DBC 32% |
| 2022-07-29 | DBC 32%DBMF 68% |
| 2022-06-30 | DBC 39%DBMF 61% |
| 2022-05-31 | DBC 36%DBMF 64% |
| 2022-04-29 | DBC 20%DBMF 38%GLD 41% |
| 2022-03-31 | DBC 21%GLD 41%DBMF 38% |
| 2022-02-28 | DBC 45%GLD 55% |
| 2022-01-31 | DBC 100% |
| 2021-12-31 | BTC-USD 14%DBC 40%QQQ 46% |
| 2021-11-30 | BTC-USD 12%QQQ 50%DBC 38% |
| 2021-10-29 | BTC-USD 11%DBC 39%QQQ 50% |
| 2021-09-30 | BTC-USD 10%DBC 34%QQQ 55% |
| 2021-08-31 | BTC-USD 8%QQQ 61%DBC 30% |
| 2021-07-30 | BTC-USD 8%DBC 40%QQQ 52% |
| 2021-06-30 | BTC-USD 8%DBC 47%QQQ 46% |
| 2021-05-28 | BTC-USD 12%DBC 44%QQQ 44% |
| 2021-04-30 | BTC-USD 12%DBC 46%QQQ 42% |
| 2021-03-31 | BTC-USD 11%DBC 47%QQQ 41% |
| 2021-02-26 | BTC-USD 8%DBC 52%QQQ 40% |
| 2021-01-29 | BTC-USD 8%QQQ 37%DBC 55% |
| 2020-12-31 | BTC-USD 13%QQQ 38%GLD 49% |
| 2020-11-30 | BTC-USD 17%QQQ 32%DBC 52% |
| 2020-10-30 | BTC-USD 21%QQQ 32%GLD 47% |
| 2020-09-30 | BTC-USD 19%QQQ 35%GLD 46% |
| 2020-08-31 | QQQ 38%BTC-USD 19%GLD 43% |
| 2020-07-31 | QQQ 33%GLD 55%BTC-USD 12% |
| 2020-06-30 | QQQ 31%GLD 55%BTC-USD 14% |
| 2020-05-29 | QQQ 27%GLD 60%BTC-USD 14% |
| 2020-04-30 | BTC-USD 13%TLT 36%GLD 51% |
| 2020-03-31 | TLT 40%GLD 60% |
| 2020-02-28 | BTC-USD 12%TLT 42%GLD 46% |
| 2020-01-31 | BTC-USD 9%QQQ 42%GLD 49% |
| 2019-12-31 | QQQ 44%BTC-USD 8%GLD 48% |
| 2019-11-29 | QQQ 49%BTC-USD 10%TLT 41% |
| 2019-10-31 | BTC-USD 10%GLD 49%TLT 40% |
| 2019-09-30 | BTC-USD 9%TLT 45%GLD 45% |
| 2019-08-30 | BTC-USD 7%TLT 51%GLD 43% |
| 2019-07-31 | BTC-USD 5%GLD 39%TLT 56% |
| 2019-06-28 | BTC-USD 7%GLD 58%QQQ 35% |
| 2019-05-31 | BTC-USD 6%TLT 46%GLD 48% |
| 2019-04-30 | QQQ 42%BTC-USD 9%TLT 49% |
| 2019-03-29 | QQQ 21%TLT 41%GLD 38% |
| 2019-02-28 | GLD 43%QQQ 15%TLT 43% |
| 2019-01-31 | GLD 44%TLT 44%QQQ 12% |
| 2018-12-31 | GLD 47%TLT 53% |
| 2018-11-30 | QQQ 100% |
| 2018-10-31 | QQQ 100% |
| 2018-09-28 | QQQ 48%BTC-USD 10%DBC 42% |
| 2018-08-31 | QQQ 55%DBC 45% |
| 2018-07-31 | BTC-USD 10%QQQ 48%DBC 42% |
| 2018-06-29 | BTC-USD 10%QQQ 41%DBC 50% |
| 2018-05-31 | BTC-USD 10%DBC 59%QQQ 31% |
| 2018-04-30 | BTC-USD 8%DBC 62%QQQ 29% |
| 2018-03-29 | BTC-USD 7%QQQ 30%DBC 63% |
| 2018-02-28 | BTC-USD 5%QQQ 36%DBC 59% |
| 2018-01-31 | BTC-USD 4%QQQ 48%DBC 47% |
| 2017-12-29 | BTC-USD 5%QQQ 50%DBC 46% |
| 2017-11-30 | BTC-USD 5%QQQ 48%DBC 46% |
| 2017-10-31 | BTC-USD 6%QQQ 47%DBC 47% |
| 2017-09-29 | BTC-USD 5%QQQ 50%DBC 44% |
| 2017-08-31 | BTC-USD 6%QQQ 38%GLD 56% |
| 2017-07-31 | BTC-USD 7%QQQ 48%DBC 45% |
| 2017-06-30 | BTC-USD 17%QQQ 83% |
| 2017-05-31 | BTC-USD 6%QQQ 50%GLD 44% |
| 2017-04-28 | BTC-USD 6%QQQ 54%GLD 39% |
| 2017-03-31 | BTC-USD 5%QQQ 59%DBC 36% |
| 2017-02-28 | BTC-USD 7%QQQ 53%DBC 40% |
| 2017-01-31 | BTC-USD 9%DBC 39%QQQ 52% |
| 2016-12-30 | BTC-USD 17%DBC 37%QQQ 46% |
| 2016-11-30 | BTC-USD 22%DBC 35%QQQ 43% |
| 2016-10-31 | BTC-USD 21%QQQ 45%DBC 34% |
| 2016-09-30 | BTC-USD 14%QQQ 45%GLD 41% |
| 2016-08-31 | BTC-USD 9%TLT 46%QQQ 45% |
| 2016-07-29 | BTC-USD 10%GLD 38%TLT 52% |
| 2016-06-30 | BTC-USD 10%GLD 37%TLT 53% |
| 2016-05-31 | BTC-USD 16%TLT 51%GLD 33% |
| 2016-04-29 | BTC-USD 21%GLD 30%TLT 50% |
| 2016-03-31 | BTC-USD 13%GLD 35%TLT 52% |
| 2016-02-29 | BTC-USD 12%GLD 38%TLT 50% |
| 2016-01-29 | BTC-USD 14%TLT 86% |
| 2015-12-31 | BTC-USD 20%QQQ 80% |
| 2015-11-30 | BTC-USD 23%QQQ 77% |
| 2015-10-30 | BTC-USD 14%QQQ 31%TLT 55% |
| 2015-09-30 | TLT 100% |
| 2015-08-31 | BIL 100% |
| 2015-07-31 | BTC-USD 18%QQQ 47%TLT 35% |
| 2015-06-30 | QQQ 73%BTC-USD 27% |
| 2015-05-29 | QQQ 54%TLT 46% |
| 2015-04-30 | QQQ 54%TLT 46% |
| 2015-03-31 | TLT 47%QQQ 53% |
| 2015-02-27 | QQQ 52%TLT 48% |
| 2015-01-30 | TLT 38%QQQ 37%GLD 25% |
| 2014-12-31 | TLT 58%QQQ 42% |
| 2014-11-28 | QQQ 39%TLT 61% |
| 2014-10-31 | QQQ 42%TLT 58% |
| 2014-09-30 | QQQ 49%TLT 51% |
| 2014-08-29 | QQQ 52%TLT 48% |
| 2014-07-31 | QQQ 51%TLT 49% |
| 2014-06-30 | QQQ 28%GLD 31%TLT 41% |
| 2014-05-30 | QQQ 39%TLT 61% |
| 2014-04-30 | QQQ 37%DBC 63% |
| 2014-03-31 | QQQ 42%TLT 58% |
| 2014-02-28 | QQQ 42%TLT 58% |
| 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 46%TLT 54% |
| 2013-03-28 | QQQ 100% |
| 2013-02-28 | QQQ 100% |
| 2013-01-31 | QQQ 40%DBC 60% |
| 2012-12-31 | QQQ 27%DBC 34%GLD 39% |
| 2012-11-30 | QQQ 31%DBC 32%GLD 38% |
| 2012-10-31 | TLT 30%GLD 37%QQQ 34% |
| 2012-09-28 | QQQ 32%GLD 38%DBC 30% |
| 2012-08-31 | QQQ 32%TLT 40%DBC 29% |
| 2012-07-31 | TLT 57%QQQ 43% |
| 2012-06-29 | TLT 38%QQQ 28%GLD 34% |
| 2012-05-31 | TLT 52%QQQ 48% |
| 2012-04-30 | QQQ 53%TLT 47% |
| 2012-03-30 | QQQ 42%GLD 23%DBC 35% |
| 2012-02-29 | QQQ 37%TLT 30%DBC 33% |
| 2012-01-31 | TLT 38%GLD 31%QQQ 31% |
| 2011-12-30 | TLT 34%QQQ 30%GLD 35% |
| 2011-11-30 | TLT 35%GLD 34%QQQ 31% |
| 2011-10-31 | TLT 35%GLD 34%QQQ 30% |
| 2011-09-30 | TLT 51%GLD 49% |
| 2011-08-31 | GLD 33%TLT 30%DBC 37% |
| 2011-07-29 | GLD 44%DBC 24%QQQ 32% |
| 2011-06-30 | QQQ 36%DBC 23%GLD 41% |
| 2011-05-31 | DBC 22%GLD 40%QQQ 39% |
| 2011-04-29 | DBC 28%GLD 40%QQQ 32% |
| 2011-03-31 | DBC 29%QQQ 32%GLD 39% |
| 2011-02-28 | DBC 31%QQQ 37%GLD 32% |
| 2011-01-31 | DBC 28%QQQ 41%GLD 31% |
| 2010-12-31 | DBC 26%QQQ 44%GLD 30% |
| 2010-11-30 | QQQ 39%DBC 28%GLD 33% |
| 2010-10-29 | GLD 40%QQQ 31%DBC 30% |
| 2010-09-30 | GLD 45%QQQ 25%DBC 30% |
| 2010-08-31 | TLT 48%GLD 52% |
| 2010-07-30 | TLT 40%QQQ 24%GLD 36% |
| 2010-06-30 | TLT 50%GLD 50% |
| 2010-05-28 | GLD 49%TLT 51% |
| 2010-04-30 | QQQ 39%GLD 31%DBC 30% |
| 2010-03-31 | QQQ 100% |
| 2010-02-26 | BIL 100% |
| 2010-01-29 | BIL 100% |
| 2010-01-04 | BIL 100% |