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"n": 242 }, "2024": { "cagr": 21.9, "sharpe": 2.58, "mdd": -3.0, "vol": 7.8, "n": 242 }, "2025": { "cagr": 19.2, "sharpe": 1.98, "mdd": -5.5, "vol": 9.1, "n": 243 }, "2026": { "cagr": -0.4, "sharpe": 0.02, "mdd": -9.8, "vol": 11.3, "n": 195 } }, "oos_excess": { "ann_bp": 735.1, "ir": 0.527, "t": 1.15, "n": 1164 }, "is_excess": { "ann_bp": -335.1, "ir": -0.402, "t": -1.202, "n": 2187 }, "delta_sharpe": { "IS": 0.11, "OOS": 0.95, "full": 0.43 } }, "DV": { "full": { "cagr": 14.4, "sharpe": 1.18, "mdd": -22.4, "vol": 12.0, "n": 3351 }, "IS": { "cagr": 16.5, "sharpe": 1.34, "mdd": -14.8, "vol": 12.0, "n": 2187 }, "OOS": { "cagr": 10.4, "sharpe": 0.89, "mdd": -17.6, "vol": 12.0, "n": 1164 }, "turn_mo": 0.2248, "meta": { "n_mo": 166, "n_skip": 0, "skip_rate": 0.0, "n_first": 1, "n_insufficient": 0, "n_block_events": 20, "n_mo_with_block": 15, "n_fallback_dh": 0, "n_scaled": 62, "n_geared": 0, "n_sleeved_s": 0, "n_new_months": 84, "n_fallback_v": 0, "mean_w_final": 0.9103, "mean_vol_ann": 0.112, "turn_mo": 0.2248, "mean_sleeve_turn": 0.0664, "n_name_diff": 25, "mo_diff_rate": 0.1506, "use_c": false, "use_d": true, "sleeve": "vol_target" }, "yearly": { "2013": { "cagr": 8.4, "sharpe": 0.71, "mdd": -8.3, "vol": 12.4, "n": 237 }, "2014": { "cagr": 26.4, "sharpe": 2.32, "mdd": -5.3, "vol": 10.3, "n": 245 }, "2015": { "cagr": 29.1, "sharpe": 1.68, "mdd": -9.2, "vol": 16.0, "n": 244 }, "2016": { "cagr": 20.7, "sharpe": 1.89, "mdd": -7.1, "vol": 10.2, "n": 244 }, "2017": { "cagr": 13.7, "sharpe": 1.63, "mdd": -5.2, "vol": 8.0, "n": 244 }, "2018": { "cagr": 0.1, "sharpe": 0.07, "mdd": -11.1, "vol": 12.4, "n": 243 }, "2019": { "cagr": 11.8, "sharpe": 1.56, "mdd": -7.6, "vol": 7.3, "n": 244 }, "2020": { "cagr": 39.2, "sharpe": 2.28, "mdd": -8.9, "vol": 15.1, "n": 243 }, "2021": { "cagr": 4.6, "sharpe": 0.41, "mdd": -14.8, "vol": 13.2, "n": 243 }, "2022": { "cagr": -1.9, "sharpe": -0.09, "mdd": -9.4, "vol": 12.6, "n": 242 }, "2023": { "cagr": 13.3, "sharpe": 1.24, "mdd": -5.7, "vol": 10.5, "n": 242 }, "2024": { "cagr": 14.6, "sharpe": 1.54, "mdd": -4.8, "vol": 9.1, "n": 242 }, "2025": { "cagr": 37.7, "sharpe": 2.75, "mdd": -7.0, "vol": 11.9, "n": 243 }, "2026": { "cagr": -10.0, "sharpe": -0.59, "mdd": -17.6, "vol": 15.7, "n": 195 } }, "oos_excess": { "ann_bp": 709.5, "ir": 0.98, "t": 2.14, "n": 1164 }, "is_excess": { "ann_bp": -183.0, "ir": -0.349, "t": -1.046, "n": 2187 }, "delta_sharpe": { "IS": 0.1, "OOS": 0.66, "full": 0.31 } }, "DU": { "full": { "cagr": 16.8, "sharpe": 1.04, "mdd": -30.8, "vol": 16.3, "n": 3351 }, "IS": { "cagr": 20.7, "sharpe": 1.25, "mdd": -18.0, "vol": 16.1, "n": 2187 }, "OOS": { "cagr": 9.8, "sharpe": 0.64, "mdd": -30.8, "vol": 16.8, "n": 1164 }, "turn_mo": 0.2248, "meta": { "n_mo": 166, "n_skip": 0, "skip_rate": 0.0, "n_first": 1, "n_insufficient": 0, "n_block_events": 20, "n_mo_with_block": 15, "n_fallback_dh": 0, "n_scaled": 0, "n_geared": 104, "n_sleeved_s": 0, "n_new_months": 84, "n_fallback_v": 0, "mean_w_final": 1.2342, "mean_vol_ann": 0.112, "turn_mo": 0.2248, "mean_sleeve_turn": 0.0827, "n_name_diff": 25, "mo_diff_rate": 0.1506, "use_c": false, "use_d": true, "sleeve": "vol_up" }, "yearly": { "2013": { "cagr": 15.9, "sharpe": 0.83, "mdd": -13.7, "vol": 20.3, "n": 237 }, "2014": { "cagr": 36.3, "sharpe": 2.38, "mdd": -6.5, "vol": 13.4, "n": 245 }, "2015": { "cagr": 33.4, "sharpe": 1.55, "mdd": -11.2, "vol": 20.0, "n": 244 }, "2016": { "cagr": 26.1, "sharpe": 1.74, "mdd": -10.6, "vol": 13.8, "n": 244 }, "2017": { "cagr": 18.5, "sharpe": 1.5, "mdd": -7.9, "vol": 11.8, "n": 244 }, "2018": { "cagr": -1.6, "sharpe": -0.03, "mdd": -14.4, "vol": 15.3, "n": 243 }, "2019": { "cagr": 19.4, "sharpe": 1.84, "mdd": -8.5, "vol": 9.9, "n": 244 }, "2020": { "cagr": 44.3, "sharpe": 1.88, "mdd": -12.8, "vol": 20.7, "n": 243 }, "2021": { "cagr": 1.6, "sharpe": 0.18, "mdd": -18.0, "vol": 15.8, "n": 243 }, "2022": { "cagr": -3.5, "sharpe": -0.12, "mdd": -13.8, "vol": 17.3, "n": 242 }, "2023": { "cagr": 15.6, "sharpe": 1.19, "mdd": -8.2, "vol": 12.9, "n": 242 }, "2024": { "cagr": 21.1, "sharpe": 1.51, "mdd": -6.2, "vol": 13.2, "n": 242 }, "2025": { "cagr": 48.7, "sharpe": 2.75, "mdd": -8.7, "vol": 14.8, "n": 243 }, "2026": { "cagr": -26.4, "sharpe": -1.13, "mdd": -30.8, "vol": 24.5, "n": 195 } }, "oos_excess": { "ann_bp": 724.4, "ir": 1.119, "t": 2.443, "n": 1164 }, "is_excess": { "ann_bp": 225.5, "ir": 0.442, "t": 1.322, "n": 2187 }, "delta_sharpe": { "IS": 0.01, "OOS": 0.41, "full": 0.17 } }, "DC": { "full": { "cagr": 13.8, "sharpe": 1.16, "mdd": -15.9, "vol": 11.8, "n": 3351 }, "IS": { "cagr": 14.8, "sharpe": 1.2, "mdd": -15.9, "vol": 12.2, "n": 2187 }, "OOS": { "cagr": 12.0, "sharpe": 1.08, "mdd": -13.8, "vol": 11.1, "n": 1164 }, "turn_mo": 0.0863, "meta": { "n_mo": 166, "n_skip": 88, "skip_rate": 0.5301, "n_first": 1, "n_insufficient": 0, "n_block_events": 12, "n_mo_with_block": 9, "n_fallback_dh": 0, "n_scaled": 0, "n_geared": 0, "n_sleeved_s": 0, "n_new_months": 32, "n_fallback_v": 0, "mean_w_final": 1.0, "mean_vol_ann": null, "turn_mo": 0.0863, "mean_sleeve_turn": 0.0, "n_name_diff": 102, "mo_diff_rate": 0.6145, "use_c": true, "use_d": true, "sleeve": "none" }, "yearly": { "2013": { "cagr": 15.9, "sharpe": 0.83, "mdd": -13.7, "vol": 20.3, "n": 237 }, "2014": { "cagr": 15.4, "sharpe": 1.57, "mdd": -5.4, "vol": 9.4, "n": 245 }, "2015": { "cagr": 27.0, "sharpe": 1.57, "mdd": -14.0, "vol": 16.0, "n": 244 }, "2016": { "cagr": 14.8, "sharpe": 1.81, "mdd": -6.5, "vol": 7.8, "n": 244 }, "2017": { "cagr": 7.9, "sharpe": 1.26, "mdd": -2.2, "vol": 6.2, "n": 244 }, "2018": { "cagr": -1.8, "sharpe": -0.09, "mdd": -10.9, "vol": 12.1, "n": 243 }, "2019": { "cagr": 18.6, "sharpe": 3.31, "mdd": -2.0, "vol": 5.2, "n": 244 }, "2020": { "cagr": 20.6, "sharpe": 1.7, "mdd": -9.1, "vol": 11.4, "n": 243 }, "2021": { "cagr": 17.2, "sharpe": 1.25, "mdd": -15.9, "vol": 13.4, "n": 243 }, "2022": { "cagr": 10.8, "sharpe": 0.75, "mdd": -13.8, "vol": 15.3, "n": 242 }, "2023": { "cagr": 6.8, "sharpe": 0.74, "mdd": -4.7, "vol": 9.5, "n": 242 }, "2024": { "cagr": 21.9, "sharpe": 2.58, "mdd": -3.0, "vol": 7.8, "n": 242 }, "2025": { "cagr": 21.7, "sharpe": 2.13, "mdd": -4.5, "vol": 9.4, "n": 243 }, "2026": { "cagr": -2.1, "sharpe": -0.12, "mdd": -10.5, "vol": 12.1, "n": 195 } }, "oos_excess": { "ann_bp": 842.1, "ir": 0.571, "t": 1.247, "n": 1164 }, "is_excess": { "ann_bp": -331.1, "ir": -0.39, "t": -1.168, "n": 2187 }, "delta_sharpe": { "IS": -0.04, "OOS": 0.85, "full": 0.29 } }, "CVD": { "full": { "cagr": 13.3, "sharpe": 1.28, "mdd": -13.6, "vol": 10.1, "n": 3351 }, "IS": { "cagr": 14.2, "sharpe": 1.33, "mdd": -13.6, "vol": 10.4, "n": 2187 }, "OOS": { "cagr": 11.4, "sharpe": 1.18, "mdd": -8.8, "vol": 9.5, "n": 1164 }, "turn_mo": 0.0863, "meta": { "n_mo": 166, "n_skip": 88, "skip_rate": 0.5301, "n_first": 1, "n_insufficient": 0, "n_block_events": 12, "n_mo_with_block": 9, "n_fallback_dh": 0, "n_scaled": 44, "n_geared": 0, "n_sleeved_s": 0, "n_new_months": 32, "n_fallback_v": 0, "mean_w_final": 0.9304, "mean_vol_ann": 0.1025, "turn_mo": 0.0863, "mean_sleeve_turn": 0.0381, "n_name_diff": 102, "mo_diff_rate": 0.6145, "use_c": true, "use_d": true, "sleeve": "vol_target" }, "yearly": { "2013": { "cagr": 8.4, "sharpe": 0.71, "mdd": -8.3, "vol": 12.4, "n": 237 }, "2014": { "cagr": 15.3, "sharpe": 1.61, "mdd": -5.3, "vol": 9.1, "n": 245 }, "2015": { "cagr": 29.7, "sharpe": 1.98, "mdd": -9.1, "vol": 13.6, "n": 244 }, "2016": { "cagr": 14.8, "sharpe": 1.81, "mdd": -6.5, "vol": 7.8, "n": 244 }, "2017": { "cagr": 7.9, "sharpe": 1.27, "mdd": -2.2, "vol": 6.1, "n": 244 }, "2018": { "cagr": -1.8, "sharpe": -0.09, "mdd": -10.9, "vol": 12.1, "n": 243 }, "2019": { "cagr": 18.6, "sharpe": 3.31, "mdd": -2.0, "vol": 5.2, "n": 244 }, "2020": { "cagr": 19.9, "sharpe": 1.69, "mdd": -8.9, "vol": 11.1, "n": 243 }, "2021": { "cagr": 17.9, "sharpe": 1.36, "mdd": -13.6, "vol": 12.7, "n": 243 }, "2022": { "cagr": 9.2, "sharpe": 0.88, "mdd": -8.2, "vol": 10.6, "n": 242 }, "2023": { "cagr": 7.1, "sharpe": 0.78, "mdd": -4.5, "vol": 9.3, "n": 242 }, "2024": { "cagr": 21.9, "sharpe": 2.58, "mdd": -3.0, "vol": 7.8, "n": 242 }, "2025": { "cagr": 18.6, "sharpe": 1.97, "mdd": -4.5, "vol": 8.9, "n": 243 }, "2026": { "cagr": -0.6, "sharpe": 0.0, "mdd": -8.8, "vol": 11.1, "n": 195 } }, "oos_excess": { "ann_bp": 771.7, "ir": 0.534, "t": 1.167, "n": 1164 }, "is_excess": { "ann_bp": -400.6, "ir": -0.458, "t": -1.372, "n": 2187 }, "delta_sharpe": { "IS": 0.09, "OOS": 0.95, "full": 0.41 } }, "CVDS": { "full": { "cagr": 12.4, "sharpe": 1.26, "mdd": -13.6, "vol": 9.6, "n": 3351 }, "IS": { "cagr": 13.2, "sharpe": 1.3, "mdd": -13.6, "vol": 9.9, "n": 2187 }, "OOS": { "cagr": 10.8, "sharpe": 1.2, "mdd": -10.9, "vol": 8.9, "n": 1164 }, "turn_mo": 0.0863, "meta": { "n_mo": 166, "n_skip": 88, "skip_rate": 0.5301, "n_first": 1, "n_insufficient": 0, "n_block_events": 12, "n_mo_with_block": 9, "n_fallback_dh": 0, "n_scaled": 44, "n_geared": 0, "n_sleeved_s": 32, "n_new_months": 32, "n_fallback_v": 0, "mean_w_final": 0.8928, "mean_vol_ann": 0.1025, "turn_mo": 0.0863, "mean_sleeve_turn": 0.0833, "n_name_diff": 102, "mo_diff_rate": 0.6145, "use_c": true, "use_d": true, "sleeve": "scale_vt" }, "yearly": { "2013": { "cagr": 5.2, "sharpe": 0.51, "mdd": -6.9, "vol": 11.1, "n": 237 }, "2014": { "cagr": 14.7, "sharpe": 1.62, "mdd": -4.8, "vol": 8.7, "n": 245 }, "2015": { "cagr": 29.9, "sharpe": 2.03, "mdd": -7.7, "vol": 13.3, "n": 244 }, "2016": { "cagr": 14.5, "sharpe": 1.78, "mdd": -6.5, "vol": 7.8, "n": 244 }, "2017": { "cagr": 7.6, "sharpe": 1.26, "mdd": -2.2, "vol": 5.9, "n": 244 }, "2018": { "cagr": -3.9, "sharpe": -0.28, "mdd": -12.5, "vol": 11.7, "n": 243 }, "2019": { "cagr": 18.6, "sharpe": 3.31, "mdd": -2.0, "vol": 5.2, "n": 244 }, "2020": { "cagr": 19.0, "sharpe": 1.73, "mdd": -8.8, "vol": 10.4, "n": 243 }, "2021": { "cagr": 16.5, "sharpe": 1.32, "mdd": -13.6, "vol": 12.2, "n": 243 }, "2022": { "cagr": 9.4, "sharpe": 1.0, "mdd": -7.4, "vol": 9.4, "n": 242 }, "2023": { "cagr": 6.3, "sharpe": 0.72, "mdd": -5.0, "vol": 9.0, "n": 242 }, "2024": { "cagr": 21.9, "sharpe": 2.58, "mdd": -3.0, "vol": 7.8, "n": 242 }, "2025": { "cagr": 17.7, "sharpe": 1.97, "mdd": -4.4, "vol": 8.5, "n": 243 }, "2026": { "cagr": -2.3, "sharpe": -0.19, "mdd": -9.8, "vol": 9.9, "n": 195 } }, "oos_excess": { "ann_bp": 709.6, "ir": 0.484, "t": 1.058, "n": 1164 }, "is_excess": { "ann_bp": -494.1, "ir": -0.547, "t": -1.639, "n": 2187 }, "delta_sharpe": { "IS": 0.06, "OOS": 0.97, "full": 0.39 } } }, "cost_grid": { "5bp": { "baseline": 0.24, "C": 1.06, "V": 0.65, "D": 0.48, "CV": 1.19, "DV": 0.9, "DU": 0.66, "CVD": 1.19, "CVDS": 1.21 }, "10bp": { "baseline": 0.23, "C": 1.05, "V": 0.63, "D": 0.47, "CV": 1.18, "DV": 0.89, "DU": 0.64, "CVD": 1.18, "CVDS": 1.2 }, "20bp": { "baseline": 0.21, "C": 1.04, "V": 0.6, "D": 0.45, "CV": 1.16, "DV": 0.86, "DU": 0.62, "CVD": 1.17, "CVDS": 1.17 }, "30bp": { "baseline": 0.18, "C": 1.02, "V": 0.56, "D": 0.43, "CV": 1.14, "DV": 0.82, "DU": 0.59, "CVD": 1.15, "CVDS": 1.15 } }, "verdict": "主推荐 CVD（可挂影子记账）", "one_liner": "**CVD**（C→D→V）：OOS Sharpe 0.23→1.18（Δ+0.95），超额约 771.7bp；MDD -29.9%→-8.8%。", "shadow_advice": "建议挂 CVD 影子账本只记账不下单；等用户确认后再谈实盘。", "design_rationale_md": "- **Codex 档位**：上影子优先 V，其次 C，D 单兵，S 保留（t 弱）；禁堆现金门控/风险分母。\n- **主方案选 CVD**：事前可解释的三层——C 管「何时换」、D 管「新买是否短窗确认」、V 管「组合波动预算」。顺序与既有 DC/DV/CV 诊断一致（C-skip → DH → V 袖套）。\n- **变体 CV**：去掉 D，检验 D 在 C 之后是否还有增量（既往 DC 交互缺口约 −0.21）。\n- **变体 DV / DU**：不经 C；DV 既往近可加；DU 已上叠影先例。\n- **变体 CVDS**：CVD 上再叠 scale-in（S×V 既往交互偏负，本轮只作 ± 对照，不进主推荐）。\n- **不叠**：C+S、S+V、C+U 既往观察维持分列；V 与 U 互斥；不堆更多现金门控。\n- **不回挑** SPREAD/BAND/W_S/TARGET/VOL_W/SCALE/LMAX/BORROW。\n\n实证摘要（本轮）：C OOS=1.05, V=0.63, D=0.47, CV=1.18, DV=0.89, DU=0.64, DC=1.08, CVD=1.18, CVDS=1.2。", "limitations_md": "① OOS ≈4.7 年，多门控堆叠自由度上升，样本外过拟合风险高于单兵；② 既往两两消融里 C×V、D×C 交互缺口为负，三叠可能部分冗余——以本表实证为准，不声称超可加；③ 回测按信号日收盘、月初换仓，实盘有滑点与冲击；④ 现金用 511990 近似货币，非无风险；⑤ vol-up 含融资假设（BORROW=3%），实盘两融成本因券商而异；⑥ 不改站点主策略；影子只记账。", "main": "CVD", "leaner_suggestion": null }