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商品期货期限结构 Carry Pilot 报告

这一轮不是直接把 carry 宣布为正式主策略，而是先用新建的 contract-level futures DB 验证 near/far 面板是否稳定，再把期限结构信号投到主连收益上做第一版可比较的 proxy backtest。

Pilot Roots6
Near/Far 配对日数788
统一 benchmarkPilot Roots EW6
最优候选样本外超额0.79%

核心判断

  • 六个 pilot root 的 near/far 面板已经稳定可用，coverage 基本打满，说明前一轮 `pilot-ready` 现在已经落成了可运行的数据底座。
  • benchmark 选用同一组 pilot roots 构造的本地等权 long-only 指数，避免把更宽口径指数和更窄策略篮子硬放在一起比较。
  • 本轮执行仍是主连收益代理，不是精确的真实合约换月成交回放，所以更适合作为 “signal viability” 而不是 “production-ready PnL”。

同步记录

source metadata_source_functions category exchange_count root_count contract_count synced_contract_count inserted_row_count failed_contract_count requested_start_date requested_end_date metadata_start_date metadata_end_date metadata_step_days completed_at db_path universe_output
akshare.futures_zh_daily_sina [futures_contract_info_shfe, futures_contract_info_czce, futures_contract_info_ine, futures_contract_info_gfex] commodity 4 6 306 306 56159 0 2023-01-01 2026-04-08 2023-01-01 2026-04-08 28 2026-04-08T18:43:27.125762+00:00 database\runtime\commodity_futures_contract_data.db database\commodity_futures_contract_pilot_universe.json

Panel Coverage

contract_root total_dates avg_active_contracts median_active_contracts eligible_dates median_gap_days mean_gap_days median_carry mean_carry coverage_ratio
SA 788 11.9872 12.0000 788 31.0000 30.5444 0.0717 -0.1747 1.0000
RB 786 11.9367 12.0000 786 31.0000 30.6412 0.0791 0.1084 1.0000
FG 788 11.9180 12.0000 788 31.0000 30.6168 0.0670 0.1908 1.0000
MA 788 11.7910 12.0000 788 31.0000 30.9289 0.0312 0.0219 1.0000
TA 788 11.7268 12.0000 788 31.0000 30.5888 0.0256 0.0044 1.0000
FU 788 11.9644 12.0000 787 31.0000 30.6722 -0.1244 -0.2161 0.9987

日度 Panel 轨迹

date root_count avg_active_contracts median_active_contracts eligible_root_count avg_gap_days median_gap_days
2026-03-11 6 11.8451 12.0000 6 32.1667 33.0000
2026-03-12 6 12.0000 12.0000 6 32.0000 33.0000
2026-03-13 6 11.6857 12.0000 6 32.3333 33.0000
2026-03-16 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-17 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-18 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-19 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-20 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-23 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-24 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-25 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-26 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-27 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-30 6 12.0000 12.0000 6 32.6667 34.0000
2026-03-31 6 11.8451 12.0000 6 32.5000 34.0000
2026-04-01 6 12.0000 12.0000 6 32.5000 34.0000
2026-04-02 6 12.0000 12.0000 6 32.5000 34.0000
2026-04-03 6 11.8451 12.0000 6 32.6667 34.0000
2026-04-07 6 11.8451 12.0000 6 30.8333 32.0000
2026-04-08 6 11.8451 12.0000 6 30.8333 32.0000

Carry 分布

date contract_root symbol_near symbol_far gap_days annualized_carry
2023-01-03 FG FG2301 FG2302 29 0.1190
2023-01-03 FU FU2302 FU2303 43 0.2000
2023-01-03 MA MA2301 MA2302 29 0.0954
2023-01-03 RB RB2301 RB2302 30 -0.2408
2023-01-03 SA SA2301 SA2302 29 -0.0130
2023-01-03 TA TA2301 TA2302 29 -0.0092
2023-01-04 FG FG2301 FG2302 29 0.1744
2023-01-04 FU FU2302 FU2303 43 0.2285
2023-01-04 MA MA2301 MA2302 29 0.0667
2023-01-04 RB RB2301 RB2302 30 -0.2533
2023-01-04 SA SA2301 SA2302 29 -0.0383
2023-01-04 TA TA2301 TA2302 29 0.0000
2023-01-05 FG FG2301 FG2302 29 0.5302
2023-01-05 FU FU2302 FU2303 43 0.1749
2023-01-05 MA MA2301 MA2302 29 -0.0671
2023-01-05 RB RB2301 RB2302 30 -0.3108
2023-01-05 SA SA2301 SA2302 29 -0.0756
2023-01-05 TA TA2301 TA2302 29 -0.0094
2023-01-06 FG FG2301 FG2302 29 0.2697
2023-01-06 FU FU2302 FU2303 43 0.2230
2023-01-06 MA MA2301 MA2302 29 -0.0193
2023-01-06 RB RB2301 RB2302 30 -0.3066
2023-01-06 SA SA2301 SA2302 29 0.0842
2023-01-06 TA TA2301 TA2302 29 -0.0285
2023-01-09 FG FG2301 FG2302 29 0.3403
2023-01-09 FU FU2302 FU2303 43 0.2055
2023-01-09 MA MA2302 MA2303 28 -0.0050
2023-01-09 RB RB2301 RB2302 30 -0.2475
2023-01-09 SA SA2301 SA2302 29 0.0672
2023-01-09 TA TA2301 TA2302 29 0.0334

候选策略比较

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
carry_low2_weekly Carry Low2 Weekly 210 0.0389 0.0123 0.1787 -0.0858 -0.1917 -0.1267 -0.1316 -0.5245 -0.2032 39.8952 -0.2313 0.0997 0.3518 0.5044 1.5075 -0.1185 49.2801 0.3438 0.1606 186
carry_low2_weekly_neg Carry Low2 Weekly Negative Only 162 0.0172 0.0055 0.1609 -0.0958 -0.2151 -0.1941 -0.2013 -0.7467 -0.2446 36.8122 -0.2313 0.0300 0.4569 0.6650 1.7656 -0.1117 36.1902 0.3438 0.3212 72
carry_low3_monthly Carry Low3 Monthly 95 -0.0898 -0.0297 -0.0382 -0.0488 -0.1028 -0.1803 -0.1870 -0.8770 -0.2343 17.8792 -0.2313 0.0443 0.1924 0.2692 1.5268 -0.1573 22.3534 0.3438 -0.0746 186
carry_ls2_weekly Carry Long-Short 2x2 Weekly 380 0.0445 0.0140 0.1788 -0.1443 -1.2211 0.1133 0.1183 1.0484 -0.0458 44.3450 -0.2313 0.3496 0.1715 0.2391 2.1268 -0.0604 49.7067 0.3438 -0.1047 186
carry_ls1_monthly Carry Long-Short 1x1 Monthly 92 0.2154 0.0645 0.4476 -0.1281 -0.7186 0.1828 0.1911 1.1379 -0.0911 23.3727 -0.2313 0.4224 0.2491 0.3517 1.7299 -0.1490 29.3816 0.3438 0.0079 186
candidate title period total_return annualized_return annualized_volatility sharpe max_drawdown trade_count annual_turnover_ratio active_days_ratio avg_gross_exposure avg_net_exposure benchmark_annualized_return excess_annualized_return
carry_low2_weekly Carry Low2 Weekly train -0.1200 -0.0858 0.2726 -0.1917 -0.3654 349 44.1840 0.9721 0.9721 0.9721 0.0079 -0.0938
carry_low2_weekly Carry Low2 Weekly validation -0.1267 -0.1316 0.2223 -0.5245 -0.2032 242 39.8952 1.0000 1.0000 1.0000 -0.2313 0.0997
carry_low2_weekly Carry Low2 Weekly test 0.3518 0.5044 0.3008 1.5075 -0.1185 186 49.2801 1.0000 1.0000 1.0000 0.3438 0.1606
carry_low2_weekly_neg Carry Low2 Weekly Negative Only train -0.1336 -0.0958 0.2822 -0.2151 -0.3658 342 44.7166 0.9721 0.9721 0.9721 0.0079 -0.1037
carry_low2_weekly_neg Carry Low2 Weekly Negative Only validation -0.1941 -0.2013 0.2569 -0.7467 -0.2446 149 36.8122 1.0000 1.0000 1.0000 -0.2313 0.0300
carry_low2_weekly_neg Carry Low2 Weekly Negative Only test 0.4569 0.6650 0.3173 1.7656 -0.1117 72 36.1902 0.7473 0.7473 0.7473 0.3438 0.3212
carry_low3_monthly Carry Low3 Monthly train -0.0688 -0.0488 0.2296 -0.1028 -0.2134 343 19.2819 0.9554 0.9554 0.9554 0.0079 -0.0567
carry_low3_monthly Carry Low3 Monthly validation -0.1803 -0.1870 0.2108 -0.8770 -0.2343 242 17.8792 1.0000 1.0000 1.0000 -0.2313 0.0443
carry_low3_monthly Carry Low3 Monthly test 0.1924 0.2692 0.1651 1.5268 -0.1573 186 22.3534 1.0000 1.0000 1.0000 0.3438 -0.0746
carry_ls2_weekly Carry Long-Short 2x2 Weekly train -0.1991 -0.1443 0.1215 -1.2211 -0.2281 349 44.6027 0.9721 0.9721 -0.1217 0.0079 -0.1522
carry_ls2_weekly Carry Long-Short 2x2 Weekly validation 0.1133 0.1183 0.1127 1.0484 -0.0458 242 44.3450 1.0000 1.0000 0.0789 -0.2313 0.3496
carry_ls2_weekly Carry Long-Short 2x2 Weekly test 0.1715 0.2391 0.1033 2.1268 -0.0604 186 49.7067 1.0000 1.0000 0.1242 0.3438 -0.1047
carry_ls1_monthly Carry Long-Short 1x1 Monthly train -0.1774 -0.1281 0.1705 -0.7186 -0.2425 343 21.2181 0.9554 0.9554 -0.1163 0.0079 -0.1360
carry_ls1_monthly Carry Long-Short 1x1 Monthly validation 0.1828 0.1911 0.1658 1.1379 -0.0911 242 23.3727 1.0000 1.0000 -0.0066 -0.2313 0.4224
carry_ls1_monthly Carry Long-Short 1x1 Monthly test 0.2491 0.3517 0.1840 1.7299 -0.1490 186 29.3816 1.0000 1.0000 -0.0581 0.3438 0.0079

最优候选：Carry Long-Short 1x1 Monthly

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
carry_ls1_monthly Carry Long-Short 1x1 Monthly 92 0.2154 0.0645 0.4476 -0.1281 -0.7186 0.1828 0.1911 1.1379 -0.0911 23.3727 -0.2313 0.4224 0.2491 0.3517 1.7299 -0.1490 29.3816 0.3438 0.0079 186
signal_date execution_date symbol name from_weight to_weight delta_weight action candidate
2023-01-31 2023-02-01 FG0 玻璃连续 0.0000 0.5557 0.5557 开多 carry_ls1_monthly
2023-01-31 2023-02-01 FU0 燃料油连续 0.0000 -0.4443 -0.4443 开空 carry_ls1_monthly
2023-02-01 2023-02-02 FG0 玻璃连续 0.5557 0.5574 0.0018 加多 carry_ls1_monthly
2023-02-01 2023-02-02 FU0 燃料油连续 -0.4443 -0.4426 0.0018 减空 carry_ls1_monthly
2023-02-02 2023-02-03 FG0 玻璃连续 0.5574 0.5803 0.0229 加多 carry_ls1_monthly
2023-02-02 2023-02-03 FU0 燃料油连续 -0.4426 -0.4197 0.0229 减空 carry_ls1_monthly
2023-02-03 2023-02-06 FG0 玻璃连续 0.5803 0.5772 -0.0031 减多 carry_ls1_monthly
2023-02-03 2023-02-06 FU0 燃料油连续 -0.4197 -0.4228 -0.0031 加空 carry_ls1_monthly
2023-02-06 2023-02-07 FG0 玻璃连续 0.5772 0.5781 0.0009 加多 carry_ls1_monthly
2023-02-06 2023-02-07 FU0 燃料油连续 -0.4228 -0.4219 0.0009 减空 carry_ls1_monthly
2023-02-07 2023-02-08 FG0 玻璃连续 0.5781 0.5814 0.0033 加多 carry_ls1_monthly
2023-02-07 2023-02-08 FU0 燃料油连续 -0.4219 -0.4186 0.0033 减空 carry_ls1_monthly
2023-02-08 2023-02-09 FG0 玻璃连续 0.5814 0.5396 -0.0418 减多 carry_ls1_monthly
2023-02-08 2023-02-09 FU0 燃料油连续 -0.4186 -0.4604 -0.0418 加空 carry_ls1_monthly
2023-02-09 2023-02-10 FG0 玻璃连续 0.5396 0.5459 0.0063 加多 carry_ls1_monthly
2023-02-09 2023-02-10 FU0 燃料油连续 -0.4604 -0.4541 0.0063 减空 carry_ls1_monthly
2023-02-10 2023-02-13 FG0 玻璃连续 0.5459 0.5480 0.0022 加多 carry_ls1_monthly
2023-02-10 2023-02-13 FU0 燃料油连续 -0.4541 -0.4520 0.0022 减空 carry_ls1_monthly
2023-02-13 2023-02-14 FG0 玻璃连续 0.5480 0.5463 -0.0018 减多 carry_ls1_monthly
2023-02-13 2023-02-14 FU0 燃料油连续 -0.4520 -0.4537 -0.0018 加空 carry_ls1_monthly

验证期净值对比

样本外净值对比