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期货 Blend 风险优化器实验报告

先固定三条主线 winner，再只在 blend 层叠加风险优化器。preset 的官方 winner 只按验证期挑选，样本外仅用于检验，不参与选参。

官方优化器3-Way Blend + Risk Optimizer (Agile)
Raw 验证超额6.40%
Best 验证超额5.02%
Best 样本外超额1.50%

实验合同

样本区间：2020-01-02 到 2026-04-08

训练 / 验证 / 样本外：2020-01-02 到 2023-12-29 / 2024-01-02 到 2024-12-31 / 2025-01-02 到 2026-04-08

benchmark：EWCI-30

初始资金：1,000,000

成本：单边 5 bps

Blend 来源

family family_label winner validation_annualized_return validation_excess_annualized_return validation_sharpe test_annualized_return test_excess_annualized_return test_sharpe test_trade_count validation_strict_positive_count
trend 趋势 Trend DMom 60D Weekly Top6 0.0215 0.0479 0.2168 0.1526 0.0415 0.7881 303 3
higher_order_short_trend 高阶短趋势 Short Trend Persist 5/10/20 Weekly Top4 0.0068 0.0332 0.1354 0.1899 0.0788 0.8847 287 1
reversal 反转 Reversal 5D Bottom4 Trend-Up Weekly 0.1197 0.1461 0.8476 0.1785 0.0674 1.1726 275 3

优化器 Presets

preset max_single_weight max_symbol_vol_budget max_portfolio_var_95 max_gross_exposure max_daily_turnover rebalance_buffer min_weight
3-Way Blend + Risk Optimizer (Balanced) 0.1800 0.0035 0.0160 1.0000 0.3500 0.0025 0.0100
3-Way Blend + Risk Optimizer (Conservative) 0.1500 0.0030 0.0130 1.0000 0.2500 0.0040 0.0125
3-Way Blend + Risk Optimizer (Agile) 0.2000 0.0040 0.0180 1.0000 0.4500 0.0020 0.0080

收益对比

candidate title signal_count full_total_return full_annualized_return full_sharpe train_annualized_return train_sharpe validation_total_return validation_annualized_return validation_sharpe validation_max_drawdown validation_annual_turnover_ratio validation_benchmark_annualized_return validation_excess_annualized_return test_total_return test_annualized_return test_sharpe test_max_drawdown test_annual_turnover_ratio test_benchmark_annualized_return test_excess_annualized_return test_trade_count avg_gross_exposure avg_cash_buffer avg_turnover avg_portfolio_var_95 max_portfolio_var_95 binding_var_ratio binding_turnover_ratio
blend_ex_carry_raw 3-Way Blend ex Carry | Raw 2710 -0.0353 -0.0060 0.0481 -0.0562 -0.2349 0.0361 0.0376 0.3306 -0.1443 54.7686 -0.0264 0.0640 0.1635 0.1342 0.9221 -0.0913 54.7347 0.1111 0.0231 303
blend_opt_balanced 3-Way Blend + Risk Optimizer (Balanced) 2710 0.1874 0.0290 0.2688 0.0045 0.1060 0.0132 0.0138 0.1702 -0.1330 44.6263 -0.0264 0.0402 0.1518 0.1247 0.9505 -0.0943 44.7563 0.1111 0.0136 298 0.8846 0.1154 0.1706 0.0115 0.0160 0.1723 0.3564
blend_opt_conservative 3-Way Blend + Risk Optimizer (Conservative) 2710 0.2395 0.0364 0.3381 0.0176 0.1966 0.0028 0.0029 0.0845 -0.1312 39.2048 -0.0264 0.0293 0.1557 0.1279 1.0278 -0.0919 39.0176 0.1111 0.0168 281 0.8138 0.1862 0.1480 0.0104 0.0130 0.3188 0.4719
blend_opt_agile 3-Way Blend + Risk Optimizer (Agile) 2710 0.1592 0.0249 0.2374 -0.0046 0.0519 0.0229 0.0239 0.2421 -0.1320 47.4683 -0.0264 0.0502 0.1535 0.1261 0.9321 -0.0938 47.4310 0.1111 0.0150 300 0.9114 0.0886 0.1813 0.0120 0.0180 0.0878 0.2673

验证期净值

样本外净值

最佳优化器风险轨迹

约束触发率

candidate title avg_gross_exposure avg_cash_buffer avg_turnover avg_portfolio_var_95 max_portfolio_var_95 avg_effective_positions binding_single_weight_ratio binding_symbol_vol_ratio binding_gross_ratio binding_var_ratio binding_turnover_ratio warmup_blocked_ratio
blend_opt_balanced 3-Way Blend + Risk Optimizer (Balanced) 0.8846 0.1154 0.1706 0.0115 0.0160 8.5613 0.5729 0.1630 0.1155 0.1723 0.3564 0.0132
blend_opt_conservative 3-Way Blend + Risk Optimizer (Conservative) 0.8138 0.1862 0.1480 0.0104 0.0130 8.8882 0.8066 0.2508 0.0383 0.3188 0.4719 0.0132
blend_opt_agile 3-Way Blend + Risk Optimizer (Agile) 0.9114 0.0886 0.1813 0.0120 0.0180 8.3544 0.4191 0.1069 0.2059 0.0878 0.2673 0.0132

Raw vs Best 风险摘要

strategy avg_gross_exposure avg_cash_buffer avg_turnover avg_portfolio_var_95 max_portfolio_var_95 avg_effective_positions binding_single_weight_ratio binding_symbol_vol_ratio binding_gross_ratio binding_var_ratio binding_turnover_ratio warmup_blocked_ratio
3-Way Blend ex Carry | Raw 0.9795 0.0205 0.2154 0.0131 0.0306 7.6889 0.4191 0.1426 0.0000 0.1201 0.1987 0.0132
3-Way Blend + Risk Optimizer (Agile) 0.9114 0.0886 0.1813 0.0120 0.0180 8.3544 0.4191 0.1069 0.2059 0.0878 0.2673 0.0132

最佳优化器最新持仓

symbol name weight side
PP0 聚丙烯连续 0.0901 long
BU0 沥青连续 0.0812 long
P0 棕榈油连续 0.0749 long
MA0 甲醇连续 0.0655 long
SM0 锰硅连续 0.0620 long
SF0 硅铁连续 0.0618 long
V0 PVC连续 0.0566 long
EB0 苯乙烯连续 0.0540 long
M0 豆粕连续 0.0456 long
FU0 燃料油连续 0.0361 long
AP0 苹果连续 0.0357 long
L0 塑料连续 0.0256 long
TA0 PTA连续 0.0211 long
EG0 乙二醇连续 0.0149 long

最近信号变化

signal_date symbol name from_position to_position action candidate
2026-04-08 BU0 沥青连续 0.6667 0.3333 减多 blend_opt_agile
2026-04-08 EB0 苯乙烯连续 0.3333 0.6667 加多 blend_opt_agile
2026-04-08 EG0 乙二醇连续 0.0000 0.3333 开多 blend_opt_agile
2026-04-08 FU0 燃料油连续 0.3333 0.6667 加多 blend_opt_agile
2026-04-08 MA0 甲醇连续 0.6667 0.3333 减多 blend_opt_agile
2026-04-08 P0 棕榈油连续 0.3333 0.0000 平多 blend_opt_agile
2026-04-08 PP0 聚丙烯连续 0.6667 0.3333 减多 blend_opt_agile
2026-04-08 RU0 天然橡胶连续 0.0000 0.3333 开多 blend_opt_agile
2026-04-08 SF0 硅铁连续 0.3333 0.0000 平多 blend_opt_agile
2026-04-08 SM0 锰硅连续 0.3333 0.0000 平多 blend_opt_agile
2026-04-08 V0 PVC连续 0.3333 0.0000 平多 blend_opt_agile
2026-04-03 AP0 苹果连续 0.3333 0.0000 平多 blend_opt_agile
2026-04-03 EB0 苯乙烯连续 0.6667 0.3333 减多 blend_opt_agile
2026-04-03 EG0 乙二醇连续 0.3333 0.0000 平多 blend_opt_agile
2026-04-03 FU0 燃料油连续 0.6667 0.3333 减多 blend_opt_agile
2026-04-03 L0 塑料连续 0.0000 0.3333 开多 blend_opt_agile
2026-04-03 M0 豆粕连续 0.3333 0.0000 平多 blend_opt_agile
2026-04-03 P0 棕榈油连续 0.0000 0.3333 开多 blend_opt_agile
2026-04-03 SF0 硅铁连续 0.0000 0.3333 开多 blend_opt_agile
2026-04-03 SM0 锰硅连续 0.0000 0.3333 开多 blend_opt_agile

最近交易记录

signal_date execution_date symbol name from_weight to_weight delta_weight action candidate
2026-04-03 2026-04-07 AP0 苹果连续 0.0965 0.0357 -0.0608 减多 blend_opt_agile
2026-04-03 2026-04-07 BU0 沥青连续 0.0834 0.0812 -0.0022 减多 blend_opt_agile
2026-04-03 2026-04-07 EB0 苯乙烯连续 0.0753 0.0540 -0.0213 减多 blend_opt_agile
2026-04-03 2026-04-07 EG0 乙二醇连续 0.0402 0.0149 -0.0253 减多 blend_opt_agile
2026-04-03 2026-04-07 FU0 燃料油连续 0.0507 0.0361 -0.0147 减多 blend_opt_agile
2026-04-03 2026-04-07 L0 塑料连续 0.0000 0.0256 0.0256 开多 blend_opt_agile
2026-04-03 2026-04-07 M0 豆粕连续 0.1234 0.0456 -0.0778 减多 blend_opt_agile
2026-04-03 2026-04-07 P0 棕榈油连续 0.0000 0.0749 0.0749 开多 blend_opt_agile
2026-04-03 2026-04-07 SF0 硅铁连续 0.0000 0.0618 0.0618 开多 blend_opt_agile
2026-04-03 2026-04-07 SM0 锰硅连续 0.0000 0.0620 0.0620 开多 blend_opt_agile
2026-04-03 2026-04-07 TA0 PTA连续 0.0000 0.0211 0.0211 开多 blend_opt_agile
2026-04-03 2026-04-07 V0 PVC连续 0.0542 0.0566 0.0024 加多 blend_opt_agile
2026-04-02 2026-04-03 AP0 苹果连续 0.0925 0.0965 0.0040 加多 blend_opt_agile
2026-04-02 2026-04-03 BU0 沥青连续 0.0837 0.0834 -0.0003 减多 blend_opt_agile
2026-04-02 2026-04-03 EB0 苯乙烯连续 0.0756 0.0753 -0.0003 减多 blend_opt_agile
2026-04-02 2026-04-03 EG0 乙二醇连续 0.0404 0.0402 -0.0002 减多 blend_opt_agile
2026-04-02 2026-04-03 FU0 燃料油连续 0.0569 0.0507 -0.0061 减多 blend_opt_agile
2026-04-02 2026-04-03 M0 豆粕连续 0.1239 0.1234 -0.0005 减多 blend_opt_agile
2026-04-02 2026-04-03 MA0 甲醇连续 0.0706 0.0655 -0.0051 减多 blend_opt_agile
2026-04-02 2026-04-03 PP0 聚丙烯连续 0.0957 0.0901 -0.0056 减多 blend_opt_agile
2026-04-02 2026-04-03 V0 PVC连续 0.0592 0.0542 -0.0050 减多 blend_opt_agile
2026-04-01 2026-04-02 AP0 苹果连续 0.0927 0.0925 -0.0002 减多 blend_opt_agile
2026-04-01 2026-04-02 BU0 沥青连续 0.0867 0.0837 -0.0030 减多 blend_opt_agile
2026-04-01 2026-04-02 EB0 苯乙烯连续 0.0804 0.0756 -0.0048 减多 blend_opt_agile