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期货多策略组合优化实验报告

本轮先把当前同口径、同 benchmark、同主连执行层的几个有效 sleeve 组合起来，再统一通过风险优化器收敛风险。carry pilot 由于口径不同，仍留在组合外单独观察。

袖珍策略数5
组合数4
最佳 RawCore 3 / Raw
最佳优化版Core 3 / 3-Way Blend + Risk Optimizer (Agile)

Sleeve 表现

candidate title family family_label validation_annualized_return validation_excess_annualized_return validation_sharpe test_annualized_return test_excess_annualized_return test_sharpe test_trade_count
trend_dmom_60_top6_weekly Trend DMom 60D Weekly Top6 trend 趋势 0.0215 0.0479 0.2168 0.1526 0.0415 0.7881 303
trend_dmom_40_top4_weekly Trend DMom 40D Weekly Top4 trend 趋势 0.0228 0.0492 0.2164 0.1866 0.0755 0.8035 303
trend_dmom_40_top4_monthly Trend DMom 40D Monthly Top4 trend 趋势 0.0104 0.0368 0.1489 0.1982 0.0871 0.9252 303
short_trend_persist_5_10_20_weekly_top4 Short Trend Persist 5/10/20 Weekly Top4 higher_order_short_trend 高阶短趋势 0.0068 0.0332 0.1354 0.1899 0.0788 0.8847 287
reversal_5d_bottom4_trendup_weekly Reversal 5D Bottom4 Trend-Up Weekly reversal 反转 0.1197 0.1461 0.8476 0.1785 0.0674 1.1726 275

Combo 定义

combo sleeve_count sleeves description
Core 3 3 Trend DMom 60D Weekly Top6 / Short Trend Persist 5/10/20 Weekly Top4 / Reversal 5D Bottom4 Trend-Up Weekly 当前四桶主线里最直接可比的三条同口径 winner：趋势主线 + 高阶短趋势 + 反转。
Core 3 + Monthly Trend 4 Trend DMom 60D Weekly Top6 / Trend DMom 40D Monthly Top4 / Short Trend Persist 5/10/20 Weekly Top4 / Reversal 5D Bottom4 Trend-Up Weekly 在 core 3 上加入成本韧性更强的月频 trend sleeve。
Trend Barbell 4 4 Trend DMom 60D Weekly Top6 / Trend DMom 40D Weekly Top4 / Trend DMom 40D Monthly Top4 / Reversal 5D Bottom4 Trend-Up Weekly 把快周频、慢月频和主线趋势一起放进组合，再配反转做 barbell。
All Weather 5 5 Trend DMom 60D Weekly Top6 / Trend DMom 40D Weekly Top4 / Trend DMom 40D Monthly Top4 / Short Trend Persist 5/10/20 Weekly Top4 / Reversal 5D Bottom4 Trend-Up Weekly 把当前同口径最值得保留的五条 futures-native sleeve 全部揉进一个组合里。

组合分布

各组合 Raw / 最佳优化版

验证期 sleeve 相关矩阵

验证期净值

样本外净值

最佳优化组合风险轨迹

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
Core 3 / 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
Core 3 / 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

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
core_3__blend_opt_balanced Core 3 / 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
core_3__blend_opt_conservative Core 3 / 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
core_3__blend_opt_agile Core 3 / 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
core_plus_monthly_4__blend_opt_balanced Core 3 + Monthly Trend / 3-Way Blend + Risk Optimizer (Balanced) 0.8862 0.1138 0.1471 0.0118 0.0160 8.5508 0.5888 0.2211 0.1307 0.1809 0.2733 0.0132
core_plus_monthly_4__blend_opt_conservative Core 3 + Monthly Trend / 3-Way Blend + Risk Optimizer (Conservative) 0.8124 0.1876 0.1270 0.0107 0.0130 8.8451 0.8330 0.3056 0.0350 0.3644 0.3756 0.0132
core_plus_monthly_4__blend_opt_agile Core 3 + Monthly Trend / 3-Way Blend + Risk Optimizer (Agile) 0.9144 0.0856 0.1569 0.0123 0.0180 8.3702 0.4515 0.1485 0.2106 0.0937 0.1927 0.0132
trend_barbell_4__blend_opt_balanced Trend Barbell 4 / 3-Way Blend + Risk Optimizer (Balanced) 0.8506 0.1494 0.1203 0.0119 0.0160 7.4641 0.7406 0.3036 0.0607 0.1921 0.1967 0.0132
trend_barbell_4__blend_opt_conservative Trend Barbell 4 / 3-Way Blend + Risk Optimizer (Conservative) 0.7703 0.2297 0.1027 0.0106 0.0130 7.7535 0.9234 0.3927 0.0099 0.3736 0.2766 0.0132
trend_barbell_4__blend_opt_agile Trend Barbell 4 / 3-Way Blend + Risk Optimizer (Agile) 0.8851 0.1149 0.1302 0.0125 0.0180 7.3009 0.5941 0.2106 0.1215 0.1254 0.1360 0.0132
all_weather_5__blend_opt_balanced All Weather 5 / 3-Way Blend + Risk Optimizer (Balanced) 0.8820 0.1180 0.1361 0.0119 0.0160 8.4224 0.6528 0.2442 0.1056 0.1789 0.2376 0.0132
all_weather_5__blend_opt_conservative All Weather 5 / 3-Way Blend + Risk Optimizer (Conservative) 0.8050 0.1950 0.1167 0.0107 0.0130 8.7367 0.8680 0.3518 0.0244 0.3657 0.3373 0.0132
all_weather_5__blend_opt_agile All Weather 5 / 3-Way Blend + Risk Optimizer (Agile) 0.9113 0.0887 0.1453 0.0124 0.0180 8.2459 0.4944 0.1611 0.1703 0.1056 0.1729 0.0132

全部组合候选

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 combo_name combo_title optimizer_name optimizer_title is_optimized avg_gross_exposure avg_cash_buffer avg_turnover avg_portfolio_var_95 max_portfolio_var_95 binding_var_ratio binding_turnover_ratio
core_3__raw Core 3 / 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 core_3 Core 3 raw Raw False
core_3__blend_opt_balanced Core 3 / 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 core_3 Core 3 blend_opt_balanced 3-Way Blend + Risk Optimizer (Balanced) True 0.8846 0.1154 0.1706 0.0115 0.0160 0.1723 0.3564
core_3__blend_opt_conservative Core 3 / 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 core_3 Core 3 blend_opt_conservative 3-Way Blend + Risk Optimizer (Conservative) True 0.8138 0.1862 0.1480 0.0104 0.0130 0.3188 0.4719
core_3__blend_opt_agile Core 3 / 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 core_3 Core 3 blend_opt_agile 3-Way Blend + Risk Optimizer (Agile) True 0.9114 0.0886 0.1813 0.0120 0.0180 0.0878 0.2673
core_plus_monthly_4__raw Core 3 + Monthly Trend / Raw 2918 0.0077 0.0013 0.0945 -0.0453 -0.1560 0.0242 0.0252 0.2449 -0.1533 46.8117 -0.0264 0.0516 0.1759 0.1443 0.9412 -0.1026 48.0210 0.1111 0.0332 303 core_plus_monthly_4 Core 3 + Monthly Trend raw Raw False
core_plus_monthly_4__blend_opt_balanced Core 3 + Monthly Trend / 3-Way Blend + Risk Optimizer (Balanced) 2918 0.2012 0.0310 0.2770 0.0068 0.1221 0.0059 0.0062 0.1128 -0.1418 38.7975 -0.0264 0.0326 0.1635 0.1342 0.9830 -0.1051 38.6879 0.1111 0.0231 298 core_plus_monthly_4 Core 3 + Monthly Trend blend_opt_balanced 3-Way Blend + Risk Optimizer (Balanced) True 0.8862 0.1138 0.1471 0.0118 0.0160 0.1809 0.2733
core_plus_monthly_4__blend_opt_conservative Core 3 + Monthly Trend / 3-Way Blend + Risk Optimizer (Conservative) 2918 0.2527 0.0382 0.3443 0.0192 0.2055 0.0015 0.0016 0.0744 -0.1408 34.2951 -0.0264 0.0279 0.1627 0.1336 1.0346 -0.1012 33.7421 0.1111 0.0225 286 core_plus_monthly_4 Core 3 + Monthly Trend blend_opt_conservative 3-Way Blend + Risk Optimizer (Conservative) True 0.8124 0.1876 0.1270 0.0107 0.0130 0.3644 0.3756
core_plus_monthly_4__blend_opt_agile Core 3 + Monthly Trend / 3-Way Blend + Risk Optimizer (Agile) 2918 0.1422 0.0224 0.2189 -0.0064 0.0456 0.0079 0.0082 0.1285 -0.1452 41.0618 -0.0264 0.0346 0.1617 0.1328 0.9462 -0.1064 41.0972 0.1111 0.0217 301 core_plus_monthly_4 Core 3 + Monthly Trend blend_opt_agile 3-Way Blend + Risk Optimizer (Agile) True 0.9144 0.0856 0.1569 0.0123 0.0180 0.0937 0.1927
trend_barbell_4__raw Trend Barbell 4 / Raw 2473 0.1280 0.0202 0.2011 -0.0196 -0.0044 0.0321 0.0334 0.2990 -0.1528 40.5785 -0.0264 0.0598 0.1794 0.1471 0.9025 -0.1309 43.0509 0.1111 0.0360 303 trend_barbell_4 Trend Barbell 4 raw Raw False
trend_barbell_4__blend_opt_balanced Trend Barbell 4 / 3-Way Blend + Risk Optimizer (Balanced) 2473 0.2968 0.0442 0.3593 0.0216 0.2140 0.0195 0.0203 0.2183 -0.1379 32.1076 -0.0264 0.0467 0.1715 0.1407 0.9667 -0.1313 33.5030 0.1111 0.0296 292 trend_barbell_4 Trend Barbell 4 blend_opt_balanced 3-Way Blend + Risk Optimizer (Balanced) True 0.8506 0.1494 0.1203 0.0119 0.0160 0.1921 0.1967
trend_barbell_4__blend_opt_conservative Trend Barbell 4 / 3-Way Blend + Risk Optimizer (Conservative) 2473 0.3108 0.0461 0.4014 0.0287 0.2730 0.0180 0.0187 0.2148 -0.1274 27.8482 -0.0264 0.0451 0.1549 0.1273 0.9674 -0.1134 28.5832 0.1111 0.0162 273 trend_barbell_4 Trend Barbell 4 blend_opt_conservative 3-Way Blend + Risk Optimizer (Conservative) True 0.7703 0.2297 0.1027 0.0106 0.0130 0.3736 0.2766
trend_barbell_4__blend_opt_agile Trend Barbell 4 / 3-Way Blend + Risk Optimizer (Agile) 2473 0.2646 0.0398 0.3220 0.0145 0.1695 0.0195 0.0203 0.2151 -0.1438 34.3459 -0.0264 0.0467 0.1737 0.1425 0.9420 -0.1359 36.2172 0.1111 0.0314 300 trend_barbell_4 Trend Barbell 4 blend_opt_agile 3-Way Blend + Risk Optimizer (Agile) True 0.8851 0.1149 0.1302 0.0125 0.0180 0.1254 0.1360
all_weather_5__raw All Weather 5 / Raw 3160 0.0032 0.0005 0.0930 -0.0465 -0.1531 0.0192 0.0200 0.2095 -0.1597 44.9071 -0.0264 0.0464 0.1823 0.1495 0.9171 -0.1161 44.9765 0.1111 0.0384 303 all_weather_5 All Weather 5 raw Raw False
all_weather_5__blend_opt_balanced All Weather 5 / 3-Way Blend + Risk Optimizer (Balanced) 3160 0.2679 0.0403 0.3329 0.0162 0.1800 0.0117 0.0122 0.1577 -0.1466 37.1169 -0.0264 0.0386 0.1782 0.1461 1.0140 -0.1153 35.9337 0.1111 0.0350 294 all_weather_5 All Weather 5 blend_opt_balanced 3-Way Blend + Risk Optimizer (Balanced) True 0.8820 0.1180 0.1361 0.0119 0.0160 0.1789 0.2376
all_weather_5__blend_opt_conservative All Weather 5 / 3-Way Blend + Risk Optimizer (Conservative) 3160 0.3222 0.0476 0.4072 0.0272 0.2599 0.0107 0.0111 0.1517 -0.1393 32.3682 -0.0264 0.0375 0.1801 0.1476 1.0993 -0.1047 31.4270 0.1111 0.0365 280 all_weather_5 All Weather 5 blend_opt_conservative 3-Way Blend + Risk Optimizer (Conservative) True 0.8050 0.1950 0.1167 0.0107 0.0130 0.3657 0.3373
all_weather_5__blend_opt_agile All Weather 5 / 3-Way Blend + Risk Optimizer (Agile) 3160 0.1967 0.0303 0.2651 0.0028 0.1022 0.0118 0.0123 0.1575 -0.1516 39.3609 -0.0264 0.0387 0.1700 0.1395 0.9431 -0.1185 38.2917 0.1111 0.0284 299 all_weather_5 All Weather 5 blend_opt_agile 3-Way Blend + Risk Optimizer (Agile) True 0.9113 0.0887 0.1453 0.0124 0.0180 0.1056 0.1729

最佳优化组合最新持仓

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 core_3__blend_opt_agile
2026-04-08 EB0 苯乙烯连续 0.3333 0.6667 加多 core_3__blend_opt_agile
2026-04-08 EG0 乙二醇连续 0.0000 0.3333 开多 core_3__blend_opt_agile
2026-04-08 FU0 燃料油连续 0.3333 0.6667 加多 core_3__blend_opt_agile
2026-04-08 MA0 甲醇连续 0.6667 0.3333 减多 core_3__blend_opt_agile
2026-04-08 P0 棕榈油连续 0.3333 0.0000 平多 core_3__blend_opt_agile
2026-04-08 PP0 聚丙烯连续 0.6667 0.3333 减多 core_3__blend_opt_agile
2026-04-08 RU0 天然橡胶连续 0.0000 0.3333 开多 core_3__blend_opt_agile
2026-04-08 SF0 硅铁连续 0.3333 0.0000 平多 core_3__blend_opt_agile
2026-04-08 SM0 锰硅连续 0.3333 0.0000 平多 core_3__blend_opt_agile
2026-04-08 V0 PVC连续 0.3333 0.0000 平多 core_3__blend_opt_agile
2026-04-03 AP0 苹果连续 0.3333 0.0000 平多 core_3__blend_opt_agile
2026-04-03 EB0 苯乙烯连续 0.6667 0.3333 减多 core_3__blend_opt_agile
2026-04-03 EG0 乙二醇连续 0.3333 0.0000 平多 core_3__blend_opt_agile
2026-04-03 FU0 燃料油连续 0.6667 0.3333 减多 core_3__blend_opt_agile
2026-04-03 L0 塑料连续 0.0000 0.3333 开多 core_3__blend_opt_agile
2026-04-03 M0 豆粕连续 0.3333 0.0000 平多 core_3__blend_opt_agile
2026-04-03 P0 棕榈油连续 0.0000 0.3333 开多 core_3__blend_opt_agile
2026-04-03 SF0 硅铁连续 0.0000 0.3333 开多 core_3__blend_opt_agile
2026-04-03 SM0 锰硅连续 0.0000 0.3333 开多 core_3__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 core_3__blend_opt_agile
2026-04-03 2026-04-07 BU0 沥青连续 0.0834 0.0812 -0.0022 减多 core_3__blend_opt_agile
2026-04-03 2026-04-07 EB0 苯乙烯连续 0.0753 0.0540 -0.0213 减多 core_3__blend_opt_agile
2026-04-03 2026-04-07 EG0 乙二醇连续 0.0402 0.0149 -0.0253 减多 core_3__blend_opt_agile
2026-04-03 2026-04-07 FU0 燃料油连续 0.0507 0.0361 -0.0147 减多 core_3__blend_opt_agile
2026-04-03 2026-04-07 L0 塑料连续 0.0000 0.0256 0.0256 开多 core_3__blend_opt_agile
2026-04-03 2026-04-07 M0 豆粕连续 0.1234 0.0456 -0.0778 减多 core_3__blend_opt_agile
2026-04-03 2026-04-07 P0 棕榈油连续 0.0000 0.0749 0.0749 开多 core_3__blend_opt_agile
2026-04-03 2026-04-07 SF0 硅铁连续 0.0000 0.0618 0.0618 开多 core_3__blend_opt_agile
2026-04-03 2026-04-07 SM0 锰硅连续 0.0000 0.0620 0.0620 开多 core_3__blend_opt_agile
2026-04-03 2026-04-07 TA0 PTA连续 0.0000 0.0211 0.0211 开多 core_3__blend_opt_agile
2026-04-03 2026-04-07 V0 PVC连续 0.0542 0.0566 0.0024 加多 core_3__blend_opt_agile
2026-04-02 2026-04-03 AP0 苹果连续 0.0925 0.0965 0.0040 加多 core_3__blend_opt_agile
2026-04-02 2026-04-03 BU0 沥青连续 0.0837 0.0834 -0.0003 减多 core_3__blend_opt_agile
2026-04-02 2026-04-03 EB0 苯乙烯连续 0.0756 0.0753 -0.0003 减多 core_3__blend_opt_agile
2026-04-02 2026-04-03 EG0 乙二醇连续 0.0404 0.0402 -0.0002 减多 core_3__blend_opt_agile
2026-04-02 2026-04-03 FU0 燃料油连续 0.0569 0.0507 -0.0061 减多 core_3__blend_opt_agile
2026-04-02 2026-04-03 M0 豆粕连续 0.1239 0.1234 -0.0005 减多 core_3__blend_opt_agile
2026-04-02 2026-04-03 MA0 甲醇连续 0.0706 0.0655 -0.0051 减多 core_3__blend_opt_agile
2026-04-02 2026-04-03 PP0 聚丙烯连续 0.0957 0.0901 -0.0056 减多 core_3__blend_opt_agile
2026-04-02 2026-04-03 V0 PVC连续 0.0592 0.0542 -0.0050 减多 core_3__blend_opt_agile
2026-04-01 2026-04-02 AP0 苹果连续 0.0927 0.0925 -0.0002 减多 core_3__blend_opt_agile
2026-04-01 2026-04-02 BU0 沥青连续 0.0867 0.0837 -0.0030 减多 core_3__blend_opt_agile
2026-04-01 2026-04-02 EB0 苯乙烯连续 0.0804 0.0756 -0.0048 减多 core_3__blend_opt_agile