{"meta":{"generated":"2026-11-06","data_through":"2026-11-06","source":"东方财富公开行情接口（指数收盘价由深交所 / 上交所 / 中证指数公司发布）","source_url":"https://quote.eastmoney.com/","risk_free":"上交所 1 天期国债逆回购 GC001 收盘年化利率，按 252 日折算","universe":"中国创业板（ChiNext）","split":{"is":["2010-06-01","2021-12-31"],"oos":["2022-01-01","2026-11-06"]},"notes":["全部结果由公开行情数据本地计算，不含任何模拟或合成收益。","基准为创业板指全收益（399606），已含股息再投资；策略曲线同口径。","信号按当日收盘计算、次日生效，符合 A 股 T+1 约束；未使用未来数据。","交易成本按 ETF 执行假设：择时单边 5bp、轮动单边 10bp、再平衡单边 5bp。","波动率类策略上限 100% 仓位，不假设廉价融资——A 股两融成本约 5–8%/年。","历史表现不代表未来收益；样本外区间未参与参数选择。"]},"strategies":[{"id":"market","name":"创业板指买入持有","en":"ChiNext Buy & Hold","category":"基准","description":"创业板指全收益（399606），买入持有，作为所有策略的比较基准。","color":"#1a1a1a","cost_bps":0.0,"cost_note":"买入持有，无换手成本","turnover":null,"metrics":{"full":{"cagr":0.068,"vol":0.3112,"sharpe":0.284,"sortino":0.406,"max_dd":-0.6923,"calmar":0.098,"hit_rate":0.515,"days":3989,"total_return":1.8311},"is":{"cagr":0.1224,"vol":0.3105,"sharpe":0.435,"sortino":0.596,"max_dd":-0.6923,"calmar":0.177,"hit_rate":0.547,"days":2817,"total_return":2.6368},"oos":{"cagr":-0.0524,"vol":0.3127,"sharpe":-0.076,"sortino":-0.121,"max_dd":-0.5278,"calmar":-0.099,"hit_rate":0.441,"days":1172,"total_return":-0.2215}},"yearly":[{"year":"2010","return":0.1702},{"year":"2011","return":-0.3545},{"year":"2012","return":-0.012},{"year":"2013","return":0.8387},{"year":"2014","return":0.1338},{"year":"2015","return":0.8479},{"year":"2016","return":-0.2744},{"year":"2017","return":-0.1007},{"year":"2018","return":-0.2824},{"year":"2019","return":0.4481},{"year":"2020","return":0.6599},{"year":"2021","return":0.1241},{"year":"2022","return":-0.2903},{"year":"2023","return":-0.1877},{"year":"2024","return":0.1483},{"year":"2025","return":0.5156},{"year":"2026","return":-0.2241}],"curve":[["2010-06-02",102.472],["2010-06-07",109.916],["2010-06-17",109.464],["2010-06-21",107.014],["2010-06-28",101.57],["2010-07-05",88.659],["2010-07-12",95.654],["2010-07-19",93.384],["2010-07-26",99.359],["2010-08-02",102.246],["2010-08-09",106.165],["2010-08-16",105.947],["2010-08-23",102.389],["2010-08-30",105.404],["2010-09-06",103.955],["2010-09-13",107.221],["2010-09-20",97.627],["2010-09-27",97.781],["2010-10-08",98.729],["2010-10-11",97.418],["2010-10-18",95.9],["2010-10-25",106.875],["2010-11-01",113.918],["2010-11-08",113.869],["2010-11-15",118.137],["2010-11-22",120.851],["2010-11-29",125.498],["2010-12-06",116.681],["2010-12-13",124.383],["2010-12-20",124.698],["2010-12-27",113.688],["2011-01-04",118.812],["2011-01-10",112.503],["2011-01-17",105.754],["2011-01-24",102.341],["2011-01-31",105.853],["2011-02-09",105.445],["2011-02-14",111.761],["2011-02-21",114.962],["2011-02-28",113.12],["2011-03-07",110.909],["2011-03-14",113.936],["2011-03-21",110.136],["2011-03-28",108.259],["2011-04-06",102.318],["2011-04-11",103.216],["2011-04-18",103.319],["2011-04-25",100.496],["2011-05-03",95.13],["2011-05-09",96.194],["2011-05-16",93.601],["2011-05-23",86.9],["2011-05-30",86.257],["2011-06-07",87.671],["2011-06-13",85.794],["2011-06-20",81.924],["2011-06-27",87.315],["2011-07-04",90.668],["2011-07-11",93.479],["2011-07-18",97.926],["2011-07-25",91.814],["2011-08-01",95.987],["2011-08-08",90.818],["2011-08-15",97.55],["2011-08-22",94.25],["2011-08-29",98.75],["2011-09-05",91.503],["2011-09-13",89.23],["2011-09-19",88.49],["2011-09-26",85.865],["2011-10-10",81.795],["2011-10-17",86.169],["2011-10-24",79.969],["2011-10-31",88.297],["2011-11-07",90.985],["2011-11-14",94.839],["2011-11-21",89.367],["2011-11-28",89.751],["2011-12-05",82.054],["2011-12-12",81.877],["2011-12-19",82.151],["2011-12-26",77.969],["2012-01-04",73.213],["2012-01-09",71.692],["2012-01-16",65.634],["2012-01-30",67.429],["2012-02-06",71.08],["2012-02-13",74.026],["2012-02-20",74.662],["2012-02-27",78.728],["2012-03-05",78.644],["2012-03-12",81.407],["2012-03-19",80.734],["2012-03-26",76.349],["2012-04-05",72.269],["2012-04-09",71.48],["2012-04-16",74.261],["2012-04-23",71.631],["2012-05-02",72.057],["2012-05-07",76.214],["2012-05-14",74.92],["2012-05-21",73.418],["2012-05-28",73.661],["2012-06-04",74.875],["2012-06-11",76.716],["2012-06-18",78.658],["2012-06-25",75.317],["2012-07-02",77.469],["2012-07-09",75.497],["2012-07-16",72.273],["2012-07-23",73.653],["2012-07-30",71.97],["2012-08-06",76.355],["2012-08-13",76.064],["2012-08-20",76.401],["2012-08-27",75.535],["2012-09-03",75.67],["2012-09-10",79.691],["2012-09-17",75.702],["2012-09-24",72.167],["2012-10-08",72.212],["2012-10-15",73.382],["2012-10-22",75.715],["2012-10-29",71.936],["2012-11-05",72.432],["2012-11-12",70.73],["2012-11-19",68.675],["2012-11-26",66.788],["2012-12-03",62.06],["2012-12-10",67.566],["2012-12-17",67.91],["2012-12-24",71.061],["2012-12-31",74.627],["2013-01-07",75.071],["2013-01-14",79.507],["2013-01-21",82.858],["2013-01-28",82.038],["2013-02-04",80.694],["2013-02-18",87.32],["2013-02-25",89.454],["2013-03-04",90.27],["2013-03-11",90.86],["2013-03-18",89.088],["2013-03-25",92.186],["2013-04-01",91.69],["2013-04-08",89.286],["2013-04-15",87.522],["2013-04-22",95.884],["2013-05-02",95.667],["2013-05-06",100.32],["2013-05-13",104.287],["2013-05-20",110.273],["2013-05-27",114.325],["2013-06-03",110.491],["2013-06-13",108.176],["2013-06-17",112.861],["2013-06-24",102.124],["2013-07-01",111.012],["2013-07-08",108.378],["2013-07-15",119.863],["2013-07-22",121.357],["2013-07-29",119.591],["2013-08-05",126.518],["2013-08-12",122.21],["2013-08-19",123.223],["2013-08-26",130.247],["2013-09-02",127.302],["2013-09-09",134.216],["2013-09-16",134.52],["2013-09-23",139.494],["2013-09-30",143.894],["2013-10-08",145.972],["2013-10-14",146.596],["2013-10-21",147.371],["2013-10-28",134.547],["2013-11-04",128.593],["2013-11-11",127.566],["2013-11-18",135.819],["2013-11-25",136.097],["2013-12-02",131.904],["2013-12-09",130.619],["2013-12-16",134.641],["2013-12-23",130.734],["2013-12-30",137.59],["2014-01-06",139.205],["2014-01-13",143.355],["2014-01-20",144.402],["2014-01-27",155.439],["2014-02-07",161.227],["2014-02-10",163.407],["2014-02-17",163.954],["2014-02-24",161.999],["2014-03-03",154.122],["2014-03-10",148.013],["2014-03-17",155.412],["2014-03-24",146.992],["2014-03-31",139.681],["2014-04-08",142.219],["2014-04-14",144.495],["2014-04-21",143.584],["2014-04-28",132.413],["2014-05-05",137.145],["2014-05-12",134.657],["2014-05-19",129.506],["2014-05-26",139.349],["2014-06-03",139.284],["2014-06-09",140.053],["2014-06-16",147.366],["2014-06-23",143.782],["2014-06-30",148.377],["2014-07-07",147.245],["2014-07-14",144.449],["2014-07-21",138.115],["2014-07-28",138.918],["2014-08-04",140.534],["2014-08-11",147.716],["2014-08-18",150.99],["2014-08-25",152.585],["2014-09-01",153.54],["2014-09-09",157.892],["2014-09-15",161.286],["2014-09-22",156.765],["2014-09-29",161.29],["2014-10-08",164.608],["2014-10-13",163.63],["2014-10-20",161.953],["2014-10-27",157.687],["2014-11-03",161.69],["2014-11-10",160.098],["2014-11-17",155.563],["2014-11-24",159.383],["2014-12-01",164.086],["2014-12-08",165.657],["2014-12-15",175.205],["2014-12-22",160.452],["2014-12-29",158.494],["2015-01-05",154.834],["2015-01-12",167.66],["2015-01-19",172.306],["2015-01-26",183.904],["2015-02-02",179.363],["2015-02-09",180.633],["2015-02-16",200.483],["2015-02-25",198.381],["2015-03-02",210.034],["2015-03-09",210.817],["2015-03-16",226.49],["2015-03-23",242.464],["2015-03-30",242.13],["2015-04-07",270.274],["2015-04-13",272.565],["2015-04-20",256.413],["2015-04-27",290.604],["2015-05-04",301.025],["2015-05-11",332.944],["2015-05-18",346.895],["2015-05-25",366.996],["2015-06-01",393.587],["2015-06-08",392.156],["2015-06-15",391.325],["2015-06-23",359.393],["2015-06-29",284.842],["2015-07-06",264.121],["2015-07-13",284.194],["2015-07-20",301.701],["2015-07-27",284.239],["2015-08-03",254.138],["2015-08-10",286.704],["2015-08-17",282.421],["2015-08-24",228.012],["2015-08-31",211.514],["2015-09-07",200.567],["2015-09-14",201.912],["2015-09-21",220.22],["2015-09-28",224.796],["2015-10-08",232.005],["2015-10-12",245.4],["2015-10-19",257.775],["2015-10-26",267.718],["2015-11-02",257.609],["2015-11-09",288.6],["2015-11-16",296.284],["2015-11-23",293.468],["2015-11-30",283.088],["2015-12-07",290.033],["2015-12-14",286.973],["2015-12-21",299.753],["2015-12-28",289.751],["2016-01-04",263.88],["2016-01-11",223.112],["2016-01-18",230.376],["2016-01-25",228.669],["2016-02-01",211.072],["2016-02-15",224.222],["2016-02-22",237.857],["2016-02-29",199.151],["2016-03-07",206.903],["2016-03-14",214.338],["2016-03-21",235.94],["2016-03-28",233.048],["2016-04-05",241.557],["2016-04-11",241.95],["2016-04-18",240.172],["2016-04-25",225.479],["2016-05-03",235.12],["2016-05-09",217.783],["2016-05-16",218.274],["2016-05-23",222.696],["2016-05-30",218.528],["2016-06-06",233.539],["2016-06-13",218.188],["2016-06-20",225.115],["2016-06-27",232.823],["2016-07-04",238.894],["2016-07-11",235.767],["2016-07-18",239.121],["2016-07-25",238.697],["2016-08-01",223.106],["2016-08-08",226.444],["2016-08-15",233.099],["2016-08-22",230.356],["2016-08-29",233.098],["2016-09-05",231.981],["2016-09-12",228.043],["2016-09-19",230.132],["2016-09-26",225.634],["2016-10-10",234.73],["2016-10-17",230.413],["2016-10-24",233.915],["2016-10-31",229.552],["2016-11-07",226.421],["2016-11-14",229.794],["2016-11-21",228.829],["2016-11-28",230.271],["2016-12-05",227.914],["2016-12-12",210.959],["2016-12-19",210.536],["2016-12-26",209.856],["2017-01-03",208.712],["2017-01-09",208.539],["2017-01-16",194.636],["2017-01-23",200.64],["2017-02-03",199.517],["2017-02-06",202.035],["2017-02-13",203.442],["2017-02-20",201.452],["2017-02-27",204.833],["2017-03-06",208.661],["2017-03-13",209.523],["2017-03-20",207.742],["2017-03-27",207.073],["2017-04-05",206.609],["2017-04-10",203.393],["2017-04-17",198.695],["2017-04-24",192.531],["2017-05-02",196.925],["2017-05-08",190.313],["2017-05-15",189.287],["2017-05-22",190.329],["2017-05-31",188.468],["2017-06-05",188.232],["2017-06-12",189.784],["2017-06-19",194.216],["2017-06-26",194.778],["2017-07-03",196.373],["2017-07-10",192.902],["2017-07-17",177.239],["2017-07-24",180.48],["2017-07-31",185.818],["2017-08-07",185.405],["2017-08-14",191.939],["2017-08-21",195.764],["2017-08-28",197.226],["2017-09-04",201.592],["2017-09-11",202.956],["2017-09-18",202.789],["2017-09-25",197.316],["2017-10-09",202.263],["2017-10-16",201.497],["2017-10-23",203.217],["2017-10-30",198.64],["2017-11-06",198.031],["2017-11-13",204.039],["2017-11-20",199.042],["2017-11-27",188.462],["2017-12-04",192.408],["2017-12-11",194.465],["2017-12-18",190.576],["2017-12-25",187.918],["2018-01-02",189.401],["2018-01-08",193.306],["2018-01-15",185.436],["2018-01-22",189.245],["2018-01-29",192.623],["2018-02-05",180.689],["2018-02-12",176.387],["2018-02-22",179.565],["2018-02-26",185.065],["2018-03-05",192.186],["2018-03-12",201.467],["2018-03-19",197.241],["2018-03-26",190.572],["2018-04-02",203.408],["2018-04-09",197.176],["2018-04-16",196.867],["2018-04-23",187.72],["2018-05-02",192.94],["2018-05-07",198.388],["2018-05-14",196.115],["2018-05-21",199.545],["2018-05-28",192.646],["2018-06-04",182.89],["2018-06-11",181.406],["2018-06-19",166.316],["2018-06-25",165.431],["2018-07-02",170.821],["2018-07-09",170.159],["2018-07-16",173.998],["2018-07-23",174.454],["2018-07-30",167.862],["2018-08-06",155.081],["2018-08-13",164.826],["2018-08-20",154.531],["2018-08-27",160.746],["2018-09-03",155.392],["2018-09-10",149.702],["2018-09-17",145.283],["2018-09-25",151.314],["2018-10-08",145.703],["2018-10-15",134.568],["2018-10-22",141.536],["2018-10-29",134.597],["2018-11-05",145.188],["2018-11-12",147.331],["2018-11-19",150.088],["2018-11-26",140.417],["2018-12-03",147.763],["2018-12-10",142.816],["2018-12-17",139.838],["2018-12-24",138.241],["2019-01-02",132.26],["2019-01-07",136.489],["2019-01-14",134.114],["2019-01-21",137.213],["2019-01-28",135.594],["2019-02-11",141.659],["2019-02-18",152.154],["2019-02-25",165.369],["2019-03-04",174.339],["2019-03-11",185.974],["2019-03-18",183.741],["2019-03-25",179.628],["2019-04-01",189.55],["2019-04-08",187.326],["2019-04-15",179.491],["2019-04-22",182.828],["2019-04-29",174.033],["2019-05-06",161.028],["2019-05-13",161.937],["2019-05-20",158.339],["2019-05-27",160.839],["2019-06-03",158.691],["2019-06-10",154.704],["2019-06-17",155.919],["2019-06-24",163.786],["2019-07-01",169.694],["2019-07-08",163.095],["2019-07-15",167.559],["2019-07-22",164.178],["2019-07-29",169.663],["2019-08-05",165.856],["2019-08-12",166.781],["2019-08-19",175.765],["2019-08-26",173.376],["2019-09-02",178.954],["2019-09-09",187.72],["2019-09-16",185.678],["2019-09-23",182.425],["2019-09-30",176.276],["2019-10-08",175.088],["2019-10-14",182.046],["2019-10-21",178.266],["2019-10-28",184.761],["2019-11-04",184.273],["2019-11-11",181.369],["2019-11-18",182.384],["2019-11-25",180.138],["2019-12-02",180.98],["2019-12-09",186.566],["2019-12-16",192.99],["2019-12-23",188.253],["2019-12-30",194.064],["2020-01-06",201.617],["2020-01-13",209.764],["2020-01-20",214.87],["2020-02-03",194.664],["2020-02-10",221.374],["2020-02-17",232.648],["2020-02-24",245.417],["2020-03-02",231.482],["2020-03-09",226.891],["2020-03-16",207.13],["2020-03-23",198.055],["2020-03-30",201.679],["2020-04-07",213.55],["2020-04-13",208.49],["2020-04-20",221.575],["2020-04-27",218.894],["2020-05-06",228.859],["2020-05-11",228.053],["2020-05-18",229.469],["2020-05-25",222.789],["2020-06-01",234.452],["2020-06-08",233.987],["2020-06-15",241.719],["2020-06-22",255.223],["2020-06-29",258.462],["2020-07-06",275.608],["2020-07-13",314.873],["2020-07-20",293.966],["2020-07-27",286.83],["2020-08-03",312.673],["2020-08-10",298.109],["2020-08-17",293.924],["2020-08-24",292.642],["2020-08-31",297.411],["2020-09-07",287.915],["2020-09-14",280.437],["2020-09-21",280.068],["2020-09-28",274.838],["2020-10-09",291.378],["2020-10-12",302.764],["2020-10-19",293.202],["2020-10-26",285.361],["2020-11-02",295.243],["2020-11-09",306.928],["2020-11-16",295.848],["2020-11-23",293.007],["2020-11-30",287.066],["2020-12-07",297.383],["2020-12-14",297.396],["2020-12-21",314.393],["2020-12-28",310.071],["2021-01-04",335.736],["2021-01-11",337.345],["2021-01-18",343.489],["2021-01-25",365.963],["2021-02-01",344.667],["2021-02-08",357.544],["2021-02-18",362.134],["2021-02-22",342.341],["2021-03-01",326.643],["2021-03-08",297.641],["2021-03-15",288.388],["2021-03-22",294.305],["2021-03-29",298.199],["2021-04-06",308.875],["2021-04-12",296.75],["2021-04-19",316.263],["2021-04-26",324.079],["2021-05-06",329.054],["2021-05-10",318.893],["2021-05-17",339.85],["2021-05-24",342.827],["2021-05-31",361.544],["2021-06-07",352.883],["2021-06-15",356.654],["2021-06-21",357.651],["2021-06-28",373.277],["2021-07-05",366.671],["2021-07-12",386.788],["2021-07-19",377.509],["2021-07-26",368.94],["2021-08-02",382.305],["2021-08-09",378.333],["2021-08-16",361.331],["2021-08-23",360.498],["2021-08-30",358.093],["2021-09-06",353.308],["2021-09-13",349.608],["2021-09-22",346.334],["2021-09-27",353.695],["2021-10-08",354.977],["2021-10-11",349.831],["2021-10-18",358.619],["2021-10-25",365.42],["2021-11-01",364.687],["2021-11-08",369.981],["2021-11-15",372.344],["2021-11-22",383.71],["2021-11-29",383.457],["2021-12-06",372.788],["2021-12-13",382.751],["2021-12-20",364.762],["2021-12-27",360.516],["2022-01-04",355.74],["2022-01-10",338.834],["2022-01-17",347.011],["2022-01-24",334.537],["2022-02-07",319.37],["2022-02-14",299.027],["2022-02-21",306.973],["2022-02-28",315.368],["2022-03-07",287.902],["2022-03-14",281.344],["2022-03-21",298.408],["2022-03-28",283.954],["2022-04-06",288.343],["2022-04-11",269.528],["2022-04-18",272.433],["2022-04-25",237.584],["2022-05-05",250.691],["2022-05-09",244.091],["2022-05-16",255.433],["2022-05-23",264.271],["2022-05-30",257.821],["2022-06-06",280.388],["2022-06-13",279.621],["2022-06-20",297.63],["2022-06-27",310.935],["2022-07-04",311.49],["2022-07-11",304.178],["2022-07-18",307.854],["2022-07-25",297.369],["2022-08-01",300.533],["2022-08-08",294.156],["2022-08-15",298.873],["2022-08-22",305.516],["2022-08-29",289.192],["2022-09-05",279.044],["2022-09-13",280.41],["2022-09-19",258.395],["2022-09-26",255.391],["2022-10-10",245.914],["2022-10-17",267.773],["2022-10-24",256.976],["2022-10-31",249.085],["2022-11-07",269.936],["2022-11-14",261.195],["2022-11-21",262.525],["2022-11-28",252.834],["2022-12-05",261.447],["2022-12-12",264.133],["2022-12-19",258.102],["2022-12-26",256.421],["2023-01-03",259.172],["2023-01-09",268.405],["2023-01-16",279.31],["2023-01-30",287.489],["2023-02-06",279.814],["2023-02-13",283.012],["2023-02-20",272.851],["2023-02-27",265.042],["2023-03-06",267.436],["2023-03-13",259.243],["2023-03-20",252.078],["2023-03-27",263.746],["2023-04-03",268.44],["2023-04-10",268.805],["2023-04-17",267.806],["2023-04-24",253.225],["2023-05-04",253.123],["2023-05-08",250.514],["2023-05-15",253.536],["2023-05-22",251.458],["2023-05-29",243.277],["2023-06-05",243.272],["2023-06-12",238.048],["2023-06-19",250.603],["2023-06-26",241.885],["2023-07-03",246.636],["2023-07-10",243.437],["2023-07-17",244.438],["2023-07-24",237.739],["2023-07-31",247.691],["2023-08-07",248.145],["2023-08-14",239.719],["2023-08-21",230.891],["2023-08-28",228.131],["2023-09-04",234.553],["2023-09-11",228.479],["2023-09-18",223.75],["2023-09-25",222.066],["2023-10-09",221.351],["2023-10-16",216.721],["2023-10-23",206.565],["2023-10-30",219.056],["2023-11-06",225.109],["2023-11-13",222.549],["2023-11-20",220.749],["2023-11-27",213.518],["2023-12-04",211.602],["2023-12-11",212.358],["2023-12-18",201.745],["2023-12-25",203.028],["2024-01-02",205.727],["2024-01-08",193.366],["2024-01-15",193.499],["2024-01-22",184.772],["2024-01-29",179.998],["2024-02-05",173.214],["2024-02-19",193.589],["2024-02-26",194.175],["2024-03-04",203.39],["2024-03-11",209.55],["2024-03-18",213.539],["2024-03-25",203.236],["2024-04-01",207.557],["2024-04-08",200.343],["2024-04-15",199.065],["2024-04-22",194.143],["2024-04-29",209.417],["2024-05-06",211.238],["2024-05-13",207.391],["2024-05-20",209.167],["2024-05-27",204.367],["2024-06-03",203.409],["2024-06-11",199.971],["2024-06-17",202.217],["2024-06-24",193.92],["2024-07-01",188.576],["2024-07-08",182.569],["2024-07-15",187.6],["2024-07-22",193.312],["2024-07-29",183.427],["2024-08-05",180.244],["2024-08-12",178.641],["2024-08-19",178.292],["2024-08-26",173.359],["2024-09-02",172.421],["2024-09-09",172.815],["2024-09-18",172.201],["2024-09-23",171.88],["2024-09-30",244.325],["2024-10-08",286.47],["2024-10-14",242.126],["2024-10-21",248.325],["2024-10-28",250.44],["2024-11-04",245.595],["2024-11-11",268.858],["2024-11-18",246.274],["2024-11-25",244.502],["2024-12-02",253.53],["2024-12-09",252.757],["2024-12-16",247.464],["2024-12-23",245.937],["2024-12-30",248.016],["2025-01-06",226.422],["2025-01-13",222.856],["2025-01-20",236.609],["2025-01-27",232.235],["2025-02-05",232.134],["2025-02-10",245.745],["2025-02-17",250.554],["2025-02-24",255.014],["2025-03-03",247.169],["2025-03-10",247.546],["2025-03-17",249.262],["2025-03-24",242.22],["2025-03-31",236.765],["2025-04-07",203.396],["2025-04-14",217.544],["2025-04-21",218.882],["2025-04-28",218.644],["2025-05-06",224.584],["2025-05-12",233.44],["2025-05-19",229.881],["2025-05-26",227.018],["2025-06-03",227.03],["2025-06-09",233.799],["2025-06-16",233.555],["2025-06-23",229.188],["2025-06-30",244.641],["2025-07-07",242.071],["2025-07-14",249.702],["2025-07-21",261.069],["2025-07-28",268.538],["2025-08-04",265.324],["2025-08-11",270.495],["2025-08-18",296.226],["2025-08-25",314.242],["2025-09-01",336.243],["2025-09-08",333.672],["2025-09-15",348.818],["2025-09-22",353.626],["2025-09-29",368.49],["2025-10-09",371.202],["2025-10-13",350.406],["2025-10-20",340.797],["2025-10-27",368.244],["2025-11-03",364.093],["2025-11-10",362.048],["2025-11-17",353.715],["2025-11-24",333.648],["2025-12-01",352.267],["2025-12-08",363.404],["2025-12-15",357.428],["2025-12-22",363.6],["2025-12-29",367.089],["2026-01-05",375.287],["2026-01-12",385.975],["2026-01-19",380.219],["2026-01-26",378.116],["2026-02-02",371.846],["2026-02-09",379.668],["2026-02-24",376.876],["2026-03-02",375.27],["2026-03-09",365.522],["2026-03-16",382.437],["2026-03-23",368.561],["2026-03-30",372.906],["2026-04-07",360.084],["2026-04-13",396.117],["2026-04-20",419.122],["2026-04-27",417.188],["2026-05-06",432.103],["2026-05-11",449.408],["2026-05-18",447.911],["2026-05-25",460.136],["2026-06-01",452.364],["2026-06-08",436.53],["2026-06-15",462.123],["2026-06-22",499.499],["2026-06-29",483.236],["2026-07-06",452.622],["2026-07-13",426.836],["2026-07-20",394.725],["2026-07-27",411.655],["2026-08-03",378.611],["2026-08-10",405.753],["2026-08-17",429.032],["2026-08-24",393.673],["2026-08-31",394.469],["2026-09-07",389.898],["2026-09-14",376.978],["2026-09-21",390.219],["2026-09-28",360.415],["2026-10-08",348.59],["2026-10-12",340.305],["2026-10-19",315.339],["2026-10-26",302.965],["2026-11-02",282.359],["2026-11-06",283.109]]},{"id":"trend","name":"200 日趋势跟踪","en":"200-day Trend","category":"择时","description":"收盘价站上 200 日均线持有创业板，跌破则持现金；信号次日生效。","color":"#1f6feb","cost_bps":5.0,"cost_note":"单边 5bp（ETF 佣金与价差）","turnover":null,"metrics":{"full":{"cagr":0.0893,"vol":0.2309,"sharpe":0.374,"sortino":0.507,"max_dd":-0.6889,"calmar":0.13,"hit_rate":0.283,"days":3989,"total_return":2.8752},"is":{"cagr":0.0938,"vol":0.2286,"sharpe":0.38,"sortino":0.5,"max_dd":-0.6889,"calmar":0.136,"hit_rate":0.309,"days":2817,"total_return":1.7232},"oos":{"cagr":0.0788,"vol":0.2363,"sharpe":0.36,"sortino":0.528,"max_dd":-0.2955,"calmar":0.267,"hit_rate":0.22,"days":1172,"total_return":0.423}},"yearly":[{"year":"2010","return":0.0},{"year":"2011","return":0.0},{"year":"2012","return":-0.1135},{"year":"2013","return":0.8387},{"year":"2014","return":-0.0056},{"year":"2015","return":0.4537},{"year":"2016","return":-0.164},{"year":"2017","return":-0.0786},{"year":"2018","return":-0.16},{"year":"2019","return":0.1205},{"year":"2020","return":0.6599},{"year":"2021","return":-0.0396},{"year":"2022","return":-0.049},{"year":"2023","return":-0.0185},{"year":"2024","return":0.1362},{"year":"2025","return":0.3061},{"year":"2026","return":0.0273}],"curve":[["2010-06-02",100.0],["2010-06-07",100.0],["2010-06-17",100.0],["2010-06-21",100.0],["2010-06-28",100.0],["2010-07-05",100.0],["2010-07-12",100.0],["2010-07-19",100.0],["2010-07-26",100.0],["2010-08-02",100.0],["2010-08-09",100.0],["2010-08-16",100.0],["2010-08-23",100.0],["2010-08-30",100.0],["2010-09-06",100.0],["2010-09-13",100.0],["2010-09-20",100.0],["2010-09-27",100.0],["2010-10-08",100.0],["2010-10-11",100.0],["2010-10-18",100.0],["2010-10-25",100.0],["2010-11-01",100.0],["2010-11-08",100.0],["2010-11-15",100.0],["2010-11-22",100.0],["2010-11-29",100.0],["2010-12-06",100.0],["2010-12-13",100.0],["2010-12-20",100.0],["2010-12-27",100.0],["2011-01-04",100.0],["2011-01-10",100.0],["2011-01-17",100.0],["2011-01-24",100.0],["2011-01-31",100.0],["2011-02-09",100.0],["2011-02-14",100.0],["2011-02-21",100.0],["2011-02-28",100.0],["2011-03-07",100.0],["2011-03-14",100.0],["2011-03-21",100.0],["2011-03-28",100.0],["2011-04-06",100.0],["2011-04-11",100.0],["2011-04-18",100.0],["2011-04-25",100.0],["2011-05-03",100.0],["2011-05-09",100.0],["2011-05-16",100.0],["2011-05-23",100.0],["2011-05-30",100.0],["2011-06-07",100.0],["2011-06-13",100.0],["2011-06-20",100.0],["2011-06-27",100.0],["2011-07-04",100.0],["2011-07-11",100.0],["2011-07-18",100.0],["2011-07-25",100.0],["2011-08-01",100.0],["2011-08-08",100.0],["2011-08-15",100.0],["2011-08-22",100.0],["2011-08-29",100.0],["2011-09-05",100.0],["2011-09-13",100.0],["2011-09-19",100.0],["2011-09-26",100.0],["2011-10-10",100.0],["2011-10-17",100.0],["2011-10-24",100.0],["2011-10-31",100.0],["2011-11-07",100.0],["2011-11-14",100.0],["2011-11-21",100.0],["2011-11-28",100.0],["2011-12-05",100.0],["2011-12-12",100.0],["2011-12-19",100.0],["2011-12-26",100.0],["2012-01-04",100.0],["2012-01-09",100.0],["2012-01-16",100.0],["2012-01-30",100.0],["2012-02-06",100.0],["2012-02-13",100.0],["2012-02-20",100.0],["2012-02-27",100.0],["2012-03-05",100.0],["2012-03-12",100.0],["2012-03-19",100.0],["2012-03-26",100.0],["2012-04-05",100.0],["2012-04-09",100.0],["2012-04-16",100.0],["2012-04-23",100.0],["2012-05-02",100.0],["2012-05-07",100.0],["2012-05-14",100.0],["2012-05-21",100.0],["2012-05-28",100.0],["2012-06-04",100.0],["2012-06-11",100.0],["2012-06-18",100.0],["2012-06-25",100.0],["2012-07-02",100.0],["2012-07-09",100.0],["2012-07-16",100.0],["2012-07-23",100.0],["2012-07-30",100.0],["2012-08-06",100.0],["2012-08-13",97.857],["2012-08-20",97.808],["2012-08-27",95.673],["2012-09-03",95.673],["2012-09-10",99.774],["2012-09-17",94.779],["2012-09-24",91.833],["2012-10-08",91.833],["2012-10-15",90.464],["2012-10-22",90.889],["2012-10-29",89.211],["2012-11-05",89.211],["2012-11-12",89.211],["2012-11-19",89.211],["2012-11-26",89.211],["2012-12-03",89.211],["2012-12-10",89.211],["2012-12-17",89.211],["2012-12-24",89.211],["2012-12-31",88.652],["2013-01-07",89.179],["2013-01-14",94.45],["2013-01-21",98.43],["2013-01-28",97.456],["2013-02-04",95.86],["2013-02-18",103.73],["2013-02-25",106.266],["2013-03-04",107.235],["2013-03-11",107.937],["2013-03-18",105.831],["2013-03-25",109.511],["2013-04-01",108.922],["2013-04-08",106.067],["2013-04-15",103.971],["2013-04-22",113.904],["2013-05-02",113.647],["2013-05-06",119.174],["2013-05-13",123.886],["2013-05-20",130.998],["2013-05-27",135.812],["2013-06-03",131.257],["2013-06-13",128.506],["2013-06-17",134.072],["2013-06-24",121.317],["2013-07-01",131.875],["2013-07-08",128.747],["2013-07-15",142.39],["2013-07-22",144.165],["2013-07-29",142.068],["2013-08-05",150.296],["2013-08-12",145.178],["2013-08-19",146.381],["2013-08-26",154.725],["2013-09-02",151.227],["2013-09-09",159.441],["2013-09-16",159.802],["2013-09-23",165.711],["2013-09-30",170.938],["2013-10-08",173.406],["2013-10-14",174.148],["2013-10-21",175.068],["2013-10-28",159.834],["2013-11-04",152.761],["2013-11-11",151.541],["2013-11-18",161.345],["2013-11-25",161.676],["2013-12-02",156.694],["2013-12-09",155.167],["2013-12-16",159.946],["2013-12-23",155.304],["2013-12-30",163.449],["2014-01-06",165.367],["2014-01-13",170.297],["2014-01-20",171.541],["2014-01-27",184.652],["2014-02-07",191.528],["2014-02-10",194.118],["2014-02-17",194.768],["2014-02-24",192.445],["2014-03-03",183.088],["2014-03-10",175.831],["2014-03-17",184.621],["2014-03-24",174.618],["2014-03-31",165.933],["2014-04-08",168.948],["2014-04-14",171.652],["2014-04-21",170.569],["2014-04-28",161.517],["2014-05-05",161.517],["2014-05-12",158.072],["2014-05-19",158.072],["2014-05-26",158.072],["2014-06-03",153.153],["2014-06-09",149.837],["2014-06-16",157.661],["2014-06-23",152.135],["2014-06-30",156.997],["2014-07-07",155.798],["2014-07-14",152.84],["2014-07-21",149.899],["2014-07-28",149.899],["2014-08-04",149.899],["2014-08-11",153.909],["2014-08-18",157.32],["2014-08-25",158.981],["2014-09-01",159.977],["2014-09-09",164.511],["2014-09-15",168.047],["2014-09-22",163.336],["2014-09-29",168.051],["2014-10-08",171.508],["2014-10-13",170.49],["2014-10-20",168.743],["2014-10-27",164.298],["2014-11-03",168.469],["2014-11-10",166.809],["2014-11-17",162.085],["2014-11-24",166.064],["2014-12-01",170.964],["2014-12-08",172.601],["2014-12-15",182.55],["2014-12-22",167.179],["2014-12-29",165.138],["2015-01-05",161.325],["2015-01-12",174.689],["2015-01-19",179.529],["2015-01-26",191.614],["2015-02-02",186.882],["2015-02-09",188.205],["2015-02-16",208.888],["2015-02-25",206.697],["2015-03-02",218.839],["2015-03-09",219.654],["2015-03-16",235.985],["2015-03-23",252.628],["2015-03-30",252.28],["2015-04-07",281.605],["2015-04-13",283.991],["2015-04-20",267.163],["2015-04-27",302.787],["2015-05-04",313.645],["2015-05-11",346.902],["2015-05-18",361.438],["2015-05-25",382.382],["2015-06-01",410.087],["2015-06-08",408.596],["2015-06-15",407.73],["2015-06-23",374.459],["2015-06-29",296.783],["2015-07-06",275.193],["2015-07-13",296.108],["2015-07-20",314.348],["2015-07-27",296.155],["2015-08-03",264.792],["2015-08-10",298.723],["2015-08-17",294.261],["2015-08-24",237.571],["2015-08-31",237.452],["2015-09-07",237.452],["2015-09-14",237.452],["2015-09-21",237.452],["2015-09-28",237.452],["2015-10-08",237.452],["2015-10-12",237.452],["2015-10-19",235.838],["2015-10-26",233.405],["2015-11-02",224.592],["2015-11-09",236.548],["2015-11-16",242.845],["2015-11-23",240.538],["2015-11-30",232.03],["2015-12-07",237.722],["2015-12-14",235.214],["2015-12-21",245.689],["2015-12-28",237.491],["2016-01-04",216.286],["2016-01-11",216.178],["2016-01-18",216.178],["2016-01-25",216.178],["2016-02-01",216.178],["2016-02-15",216.178],["2016-02-22",216.178],["2016-02-29",216.178],["2016-03-07",216.178],["2016-03-14",216.178],["2016-03-21",216.178],["2016-03-28",216.178],["2016-04-05",216.178],["2016-04-11",216.178],["2016-04-18",216.178],["2016-04-25",216.178],["2016-05-03",216.178],["2016-05-09",216.178],["2016-05-16",216.178],["2016-05-23",216.178],["2016-05-30",216.178],["2016-06-06",216.178],["2016-06-13",216.178],["2016-06-20",216.178],["2016-06-27",216.178],["2016-07-04",216.178],["2016-07-11",216.178],["2016-07-18",213.936],["2016-07-25",213.936],["2016-08-01",213.936],["2016-08-08",213.936],["2016-08-15",213.936],["2016-08-22",213.936],["2016-08-29",213.936],["2016-09-05",213.936],["2016-09-12",213.936],["2016-09-19",213.936],["2016-09-26",213.936],["2016-10-10",213.936],["2016-10-17",209.897],["2016-10-24",209.941],["2016-10-31",206.025],["2016-11-07",203.688],["2016-11-14",200.979],["2016-11-21",200.036],["2016-11-28",199.156],["2016-12-05",196.98],["2016-12-12",196.98],["2016-12-19",196.98],["2016-12-26",196.98],["2017-01-03",196.98],["2017-01-09",196.98],["2017-01-16",196.98],["2017-01-23",196.98],["2017-02-03",196.98],["2017-02-06",196.98],["2017-02-13",196.98],["2017-02-20",196.98],["2017-02-27",196.98],["2017-03-06",196.98],["2017-03-13",196.98],["2017-03-20",196.98],["2017-03-27",196.98],["2017-04-05",196.98],["2017-04-10",196.98],["2017-04-17",196.98],["2017-04-24",196.98],["2017-05-02",196.98],["2017-05-08",196.98],["2017-05-15",196.98],["2017-05-22",196.98],["2017-05-31",196.98],["2017-06-05",196.98],["2017-06-12",196.98],["2017-06-19",196.98],["2017-06-26",196.98],["2017-07-03",196.98],["2017-07-10",196.98],["2017-07-17",196.98],["2017-07-24",196.98],["2017-07-31",196.98],["2017-08-07",196.98],["2017-08-14",196.98],["2017-08-21",196.98],["2017-08-28",196.98],["2017-09-04",196.98],["2017-09-11",198.214],["2017-09-18",198.051],["2017-09-25",192.706],["2017-10-09",196.135],["2017-10-16",195.393],["2017-10-23",197.061],["2017-10-30",192.622],["2017-11-06",190.137],["2017-11-13",195.808],["2017-11-20",188.263],["2017-11-27",181.504],["2017-12-04",181.504],["2017-12-11",181.504],["2017-12-18",181.504],["2017-12-25",181.504],["2018-01-02",181.504],["2018-01-08",181.504],["2018-01-15",181.504],["2018-01-22",181.504],["2018-01-29",179.291],["2018-02-05",179.201],["2018-02-12",179.201],["2018-02-22",179.201],["2018-02-26",179.201],["2018-03-05",179.201],["2018-03-12",181.616],["2018-03-19",177.807],["2018-03-26",166.444],["2018-04-02",171.398],["2018-04-09",166.147],["2018-04-16",165.886],["2018-04-23",157.219],["2018-05-02",154.414],["2018-05-07",156.425],["2018-05-14",154.633],["2018-05-21",157.337],["2018-05-28",152.456],["2018-06-04",152.456],["2018-06-11",152.456],["2018-06-19",152.456],["2018-06-25",152.456],["2018-07-02",152.456],["2018-07-09",152.456],["2018-07-16",152.456],["2018-07-23",152.456],["2018-07-30",152.456],["2018-08-06",152.456],["2018-08-13",152.456],["2018-08-20",152.456],["2018-08-27",152.456],["2018-09-03",152.456],["2018-09-10",152.456],["2018-09-17",152.456],["2018-09-25",152.456],["2018-10-08",152.456],["2018-10-15",152.456],["2018-10-22",152.456],["2018-10-29",152.456],["2018-11-05",152.456],["2018-11-12",152.456],["2018-11-19",152.456],["2018-11-26",152.456],["2018-12-03",152.456],["2018-12-10",152.456],["2018-12-17",152.456],["2018-12-24",152.456],["2019-01-02",152.456],["2019-01-07",152.456],["2019-01-14",152.456],["2019-01-21",152.456],["2019-01-28",152.456],["2019-02-11",152.456],["2019-02-18",152.456],["2019-02-25",152.456],["2019-03-04",160.646],["2019-03-11",171.367],["2019-03-18",169.309],["2019-03-25",165.519],["2019-04-01",174.662],["2019-04-08",172.613],["2019-04-15",165.393],["2019-04-22",168.468],["2019-04-29",160.364],["2019-05-06",148.38],["2019-05-13",149.218],["2019-05-20",145.902],["2019-05-27",148.206],["2019-06-03",146.227],["2019-06-10",140.961],["2019-06-17",136.649],["2019-06-24",143.543],["2019-07-01",148.721],["2019-07-08",142.938],["2019-07-15",146.85],["2019-07-22",143.887],["2019-07-29",148.694],["2019-08-05",145.358],["2019-08-12",146.168],["2019-08-19",154.042],["2019-08-26",151.949],["2019-09-02",156.837],["2019-09-09",164.52],["2019-09-16",162.73],["2019-09-23",159.879],["2019-09-30",154.49],["2019-10-08",153.449],["2019-10-14",159.547],["2019-10-21",156.234],["2019-10-28",161.926],["2019-11-04",161.499],["2019-11-11",158.954],["2019-11-18",159.843],["2019-11-25",157.875],["2019-12-02",158.612],["2019-12-09",163.509],["2019-12-16",169.139],["2019-12-23",164.986],["2019-12-30",170.08],["2020-01-06",176.699],["2020-01-13",183.84],["2020-01-20",188.314],["2020-02-03",170.606],["2020-02-10",194.014],["2020-02-17",203.895],["2020-02-24",215.086],["2020-03-02",202.873],["2020-03-09",198.849],["2020-03-16",181.531],["2020-03-23",173.577],["2020-03-30",176.753],["2020-04-07",187.157],["2020-04-13",182.723],["2020-04-20",194.19],["2020-04-27",191.841],["2020-05-06",200.574],["2020-05-11",199.868],["2020-05-18",201.109],["2020-05-25",195.254],["2020-06-01",205.476],["2020-06-08",205.068],["2020-06-15",211.845],["2020-06-22",223.68],["2020-06-29",226.519],["2020-07-06",241.546],["2020-07-13",275.958],["2020-07-20",257.635],["2020-07-27",251.381],["2020-08-03",274.03],["2020-08-10",261.266],["2020-08-17",257.598],["2020-08-24",256.474],["2020-08-31",260.654],["2020-09-07",252.332],["2020-09-14",245.778],["2020-09-21",245.455],["2020-09-28",240.871],["2020-10-09",255.367],["2020-10-12",265.345],["2020-10-19",256.965],["2020-10-26",250.093],["2020-11-02",258.753],["2020-11-09",268.995],["2020-11-16",259.284],["2020-11-23",256.794],["2020-11-30",251.587],["2020-12-07",260.629],["2020-12-14",260.641],["2020-12-21",275.537],["2020-12-28",271.749],["2021-01-04",294.242],["2021-01-11",295.652],["2021-01-18",301.037],["2021-01-25",320.733],["2021-02-01",302.069],["2021-02-08",313.355],["2021-02-18",317.378],["2021-02-22",300.031],["2021-03-01",286.273],["2021-03-08",260.855],["2021-03-15",242.094],["2021-03-22",234.937],["2021-03-29",233.841],["2021-04-06",238.708],["2021-04-12",229.338],["2021-04-19",236.82],["2021-04-26",242.672],["2021-05-06",246.397],["2021-05-10",238.789],["2021-05-17",254.481],["2021-05-24",256.711],["2021-05-31",270.726],["2021-06-07",264.241],["2021-06-15",267.064],["2021-06-21",267.811],["2021-06-28",279.512],["2021-07-05",274.565],["2021-07-12",289.629],["2021-07-19",282.681],["2021-07-26",276.264],["2021-08-02",286.272],["2021-08-09",283.298],["2021-08-16",270.567],["2021-08-23",269.943],["2021-08-30",268.142],["2021-09-06",264.559],["2021-09-13",261.788],["2021-09-22",259.337],["2021-09-27",264.849],["2021-10-08",265.809],["2021-10-11",261.955],["2021-10-18",268.536],["2021-10-25",273.629],["2021-11-01",273.079],["2021-11-08",277.044],["2021-11-15",278.813],["2021-11-22",287.324],["2021-11-29",287.135],["2021-12-06",279.145],["2021-12-13",286.606],["2021-12-20",273.136],["2021-12-27",269.956],["2022-01-04",266.38],["2022-01-10",258.985],["2022-01-17",258.985],["2022-01-24",258.985],["2022-02-07",258.985],["2022-02-14",258.985],["2022-02-21",258.985],["2022-02-28",258.985],["2022-03-07",258.985],["2022-03-14",258.985],["2022-03-21",258.985],["2022-03-28",258.985],["2022-04-06",258.985],["2022-04-11",258.985],["2022-04-18",258.985],["2022-04-25",258.985],["2022-05-05",258.985],["2022-05-09",258.985],["2022-05-16",258.985],["2022-05-23",258.985],["2022-05-30",258.985],["2022-06-06",258.985],["2022-06-13",258.985],["2022-06-20",258.985],["2022-06-27",258.985],["2022-07-04",258.985],["2022-07-11",258.985],["2022-07-18",258.985],["2022-07-25",258.985],["2022-08-01",258.985],["2022-08-08",258.985],["2022-08-15",258.985],["2022-08-22",258.985],["2022-08-29",258.985],["2022-09-05",258.985],["2022-09-13",258.985],["2022-09-19",258.985],["2022-09-26",258.985],["2022-10-10",258.985],["2022-10-17",258.985],["2022-10-24",258.985],["2022-10-31",258.985],["2022-11-07",258.985],["2022-11-14",258.985],["2022-11-21",258.985],["2022-11-28",258.985],["2022-12-05",258.985],["2022-12-12",258.985],["2022-12-19",258.985],["2022-12-26",258.985],["2023-01-03",258.985],["2023-01-09",258.985],["2023-01-16",263.675],["2023-01-30",271.396],["2023-02-06",264.15],["2023-02-13",267.17],["2023-02-20",254.186],["2023-02-27",254.186],["2023-03-06",254.186],["2023-03-13",254.186],["2023-03-20",254.186],["2023-03-27",254.186],["2023-04-03",254.186],["2023-04-10",254.186],["2023-04-17",254.186],["2023-04-24",254.186],["2023-05-04",254.186],["2023-05-08",254.186],["2023-05-15",254.186],["2023-05-22",254.186],["2023-05-29",254.186],["2023-06-05",254.186],["2023-06-12",254.186],["2023-06-19",254.186],["2023-06-26",254.186],["2023-07-03",254.186],["2023-07-10",254.186],["2023-07-17",254.186],["2023-07-24",254.186],["2023-07-31",254.186],["2023-08-07",254.186],["2023-08-14",254.186],["2023-08-21",254.186],["2023-08-28",254.186],["2023-09-04",254.186],["2023-09-11",254.186],["2023-09-18",254.186],["2023-09-25",254.186],["2023-10-09",254.186],["2023-10-16",254.186],["2023-10-23",254.186],["2023-10-30",254.186],["2023-11-06",254.186],["2023-11-13",254.186],["2023-11-20",254.186],["2023-11-27",254.186],["2023-12-04",254.186],["2023-12-11",254.186],["2023-12-18",254.186],["2023-12-25",254.186],["2024-01-02",254.186],["2024-01-08",254.186],["2024-01-15",254.186],["2024-01-22",254.186],["2024-01-29",254.186],["2024-02-05",254.186],["2024-02-19",254.186],["2024-02-26",254.186],["2024-03-04",254.186],["2024-03-11",254.186],["2024-03-18",254.186],["2024-03-25",254.186],["2024-04-01",254.186],["2024-04-08",254.186],["2024-04-15",254.186],["2024-04-22",254.186],["2024-04-29",254.186],["2024-05-06",254.186],["2024-05-13",254.186],["2024-05-20",254.186],["2024-05-27",254.186],["2024-06-03",254.186],["2024-06-11",254.186],["2024-06-17",254.186],["2024-06-24",254.186],["2024-07-01",254.186],["2024-07-08",254.186],["2024-07-15",254.186],["2024-07-22",254.186],["2024-07-29",254.186],["2024-08-05",254.186],["2024-08-12",254.186],["2024-08-19",254.186],["2024-08-26",254.186],["2024-09-02",254.186],["2024-09-09",254.186],["2024-09-18",254.186],["2024-09-23",254.186],["2024-09-30",293.112],["2024-10-08",343.673],["2024-10-14",290.474],["2024-10-21",297.911],["2024-10-28",300.449],["2024-11-04",294.636],["2024-11-11",322.545],["2024-11-18",295.45],["2024-11-25",293.325],["2024-12-02",304.156],["2024-12-09",303.229],["2024-12-16",296.878],["2024-12-23",295.046],["2024-12-30",297.541],["2025-01-06",271.635],["2025-01-13",267.356],["2025-01-20",283.856],["2025-01-27",278.608],["2025-02-05",278.487],["2025-02-10",294.816],["2025-02-17",300.586],["2025-02-24",305.936],["2025-03-03",296.524],["2025-03-10",296.976],["2025-03-17",299.035],["2025-03-24",290.587],["2025-03-31",284.043],["2025-04-07",244.011],["2025-04-14",243.889],["2025-04-21",243.889],["2025-04-28",243.889],["2025-05-06",243.889],["2025-05-12",253.38],["2025-05-19",249.516],["2025-05-26",246.409],["2025-06-03",242.132],["2025-06-09",246.449],["2025-06-16",246.192],["2025-06-23",242.537],["2025-06-30",252.919],["2025-07-07",250.262],["2025-07-14",258.15],["2025-07-21",269.902],["2025-07-28",277.624],["2025-08-04",274.301],["2025-08-11",279.648],["2025-08-18",306.249],["2025-08-25",324.875],["2025-09-01",347.62],["2025-09-08",344.963],["2025-09-15",360.621],["2025-09-22",365.591],["2025-09-29",380.959],["2025-10-09",383.762],["2025-10-13",362.263],["2025-10-20",352.328],["2025-10-27",380.704],["2025-11-03",376.412],["2025-11-10",374.298],["2025-11-17",365.683],["2025-11-24",344.937],["2025-12-01",364.187],["2025-12-08",375.701],["2025-12-15",369.522],["2025-12-22",375.902],["2025-12-29",379.51],["2026-01-05",387.986],["2026-01-12",399.034],["2026-01-19",393.085],["2026-01-26",390.91],["2026-02-02",384.428],["2026-02-09",392.514],["2026-02-24",389.628],["2026-03-02",387.968],["2026-03-09",377.89],["2026-03-16",395.377],["2026-03-23",381.032],["2026-03-30",385.523],["2026-04-07",372.268],["2026-04-13",409.52],["2026-04-20",433.303],["2026-04-27",431.304],["2026-05-06",446.724],["2026-05-11",464.614],["2026-05-18",463.066],["2026-05-25",475.705],["2026-06-01",467.67],["2026-06-08",451.3],["2026-06-15",477.76],["2026-06-22",516.4],["2026-06-29",499.587],["2026-07-06",467.937],["2026-07-13",441.279],["2026-07-20",408.081],["2026-07-27",425.584],["2026-08-03",394.126],["2026-08-10",399.615],["2026-08-17",422.542],["2026-08-24",387.717],["2026-08-31",387.523],["2026-09-07",387.523],["2026-09-14",387.523],["2026-09-21",387.523],["2026-09-28",387.523],["2026-10-08",387.523],["2026-10-12",387.523],["2026-10-19",387.523],["2026-10-26",387.523],["2026-11-02",387.523],["2026-11-06",387.523]]},{"id":"ma60","name":"60 日均线择时","en":"60-day Trend","category":"择时","description":"更快的趋势版本：60 日均线上下切换，换手更高，对震荡更敏感。","color":"#4f8ff7","cost_bps":5.0,"cost_note":"单边 5bp（ETF 佣金与价差）","turnover":null,"metrics":{"full":{"cagr":0.0854,"vol":0.2231,"sharpe":0.363,"sortino":0.508,"max_dd":-0.5338,"calmar":0.16,"hit_rate":0.328,"days":3989,"total_return":2.6604},"is":{"cagr":0.0677,"vol":0.223,"sharpe":0.276,"sortino":0.365,"max_dd":-0.5338,"calmar":0.127,"hit_rate":0.36,"days":2817,"total_return":1.0791},"oos":{"cagr":0.1293,"vol":0.2233,"sharpe":0.571,"sortino":0.944,"max_dd":-0.2072,"calmar":0.624,"hit_rate":0.254,"days":1172,"total_return":0.7606}},"yearly":[{"year":"2010","return":0.0873},{"year":"2011","return":-0.1619},{"year":"2012","return":-0.2999},{"year":"2013","return":0.6747},{"year":"2014","return":-0.0163},{"year":"2015","return":1.1138},{"year":"2016","return":-0.3006},{"year":"2017","return":-0.0645},{"year":"2018","return":-0.1389},{"year":"2019","return":0.2025},{"year":"2020","return":0.2887},{"year":"2021","return":0.0718},{"year":"2022","return":0.0279},{"year":"2023","return":-0.0239},{"year":"2024","return":0.1905},{"year":"2025","return":0.3845},{"year":"2026","return":0.0645}],"curve":[["2010-06-02",100.0],["2010-06-07",100.0],["2010-06-17",100.0],["2010-06-21",100.0],["2010-06-28",100.0],["2010-07-05",100.0],["2010-07-12",100.0],["2010-07-19",100.0],["2010-07-26",100.0],["2010-08-02",100.0],["2010-08-09",100.0],["2010-08-16",100.0],["2010-08-23",100.0],["2010-08-30",102.499],["2010-09-06",101.09],["2010-09-13",104.267],["2010-09-20",97.229],["2010-09-27",97.229],["2010-10-08",97.229],["2010-10-11",97.229],["2010-10-18",97.229],["2010-10-25",101.39],["2010-11-01",108.071],["2010-11-08",108.025],["2010-11-15",112.073],["2010-11-22",114.648],["2010-11-29",119.056],["2010-12-06",110.692],["2010-12-13",117.999],["2010-12-20",118.298],["2010-12-27",107.853],["2011-01-04",110.393],["2011-01-10",104.532],["2011-01-17",104.479],["2011-01-24",104.479],["2011-01-31",104.479],["2011-02-09",104.479],["2011-02-14",104.479],["2011-02-21",104.479],["2011-02-28",104.479],["2011-03-07",104.479],["2011-03-14",104.974],["2011-03-21",101.383],["2011-03-28",101.383],["2011-04-06",101.383],["2011-04-11",101.383],["2011-04-18",101.383],["2011-04-25",101.383],["2011-05-03",101.383],["2011-05-09",101.383],["2011-05-16",101.383],["2011-05-23",101.383],["2011-05-30",101.383],["2011-06-07",101.383],["2011-06-13",101.383],["2011-06-20",101.383],["2011-06-27",101.383],["2011-07-04",101.383],["2011-07-11",102.359],["2011-07-18",107.229],["2011-07-25",100.535],["2011-08-01",105.104],["2011-08-08",99.445],["2011-08-15",106.817],["2011-08-22",103.203],["2011-08-29",108.13],["2011-09-05",100.194],["2011-09-13",99.189],["2011-09-19",99.189],["2011-09-26",99.189],["2011-10-10",99.189],["2011-10-17",99.189],["2011-10-24",99.189],["2011-10-31",99.189],["2011-11-07",98.882],["2011-11-14",99.645],["2011-11-21",93.896],["2011-11-28",94.298],["2011-12-05",91.128],["2011-12-12",91.128],["2011-12-19",91.128],["2011-12-26",91.128],["2012-01-04",91.128],["2012-01-09",91.128],["2012-01-16",91.128],["2012-01-30",91.128],["2012-02-06",91.128],["2012-02-13",91.128],["2012-02-20",91.128],["2012-02-27",91.179],["2012-03-05",91.083],["2012-03-12",94.283],["2012-03-19",93.503],["2012-03-26",88.424],["2012-04-05",83.738],["2012-04-09",83.738],["2012-04-16",83.378],["2012-04-23",78.746],["2012-05-02",78.707],["2012-05-07",78.707],["2012-05-14",76.484],["2012-05-21",76.484],["2012-05-28",76.484],["2012-06-04",76.169],["2012-06-11",76.131],["2012-06-18",78.019],["2012-06-25",74.706],["2012-07-02",75.122],["2012-07-09",73.21],["2012-07-16",69.449],["2012-07-23",69.414],["2012-07-30",69.414],["2012-08-06",69.414],["2012-08-13",69.115],["2012-08-20",68.454],["2012-08-27",67.645],["2012-09-03",65.355],["2012-09-10",67.98],["2012-09-17",64.577],["2012-09-24",62.57],["2012-10-08",62.57],["2012-10-15",61.637],["2012-10-22",61.926],["2012-10-29",60.783],["2012-11-05",60.783],["2012-11-12",60.783],["2012-11-19",60.783],["2012-11-26",60.783],["2012-12-03",60.783],["2012-12-10",60.783],["2012-12-17",60.783],["2012-12-24",60.783],["2012-12-31",63.802],["2013-01-07",64.181],["2013-01-14",67.974],["2013-01-21",70.839],["2013-01-28",70.138],["2013-02-04",68.989],["2013-02-18",74.653],["2013-02-25",76.478],["2013-03-04",77.175],["2013-03-11",77.68],["2013-03-18",76.165],["2013-03-25",78.814],["2013-04-01",78.389],["2013-04-08",76.335],["2013-04-15",74.826],["2013-04-22",81.975],["2013-05-02",81.79],["2013-05-06",85.768],["2013-05-13",89.159],["2013-05-20",94.277],["2013-05-27",97.742],["2013-06-03",94.463],["2013-06-13",92.484],["2013-06-17",96.49],["2013-06-24",87.31],["2013-07-01",94.909],["2013-07-08",92.657],["2013-07-15",102.476],["2013-07-22",103.753],["2013-07-29",102.244],["2013-08-05",108.166],["2013-08-12",104.482],["2013-08-19",105.348],["2013-08-26",111.354],["2013-09-02",108.836],["2013-09-09",114.747],["2013-09-16",115.007],["2013-09-23",119.26],["2013-09-30",123.021],["2013-10-08",124.798],["2013-10-14",125.332],["2013-10-21",125.994],["2013-10-28",115.03],["2013-11-04",111.063],["2013-11-11",111.063],["2013-11-18",111.063],["2013-11-25",111.235],["2013-12-02",107.808],["2013-12-09",107.754],["2013-12-16",107.754],["2013-12-23",107.754],["2013-12-30",107.142],["2014-01-06",108.399],["2014-01-13",111.631],["2014-01-20",112.446],["2014-01-27",121.041],["2014-02-07",125.548],["2014-02-10",127.246],["2014-02-17",127.671],["2014-02-24",126.149],["2014-03-03",120.015],["2014-03-10",115.258],["2014-03-17",117.445],["2014-03-24",112.641],["2014-03-31",112.641],["2014-04-08",112.641],["2014-04-14",112.641],["2014-04-21",112.641],["2014-04-28",112.641],["2014-05-05",112.641],["2014-05-12",112.641],["2014-05-19",112.641],["2014-05-26",112.641],["2014-06-03",112.641],["2014-06-09",110.202],["2014-06-16",113.514],["2014-06-23",109.535],["2014-06-30",113.036],["2014-07-07",112.173],["2014-07-14",110.043],["2014-07-21",106.103],["2014-07-28",103.105],["2014-08-04",102.551],["2014-08-11",105.294],["2014-08-18",107.627],["2014-08-25",108.764],["2014-09-01",109.445],["2014-09-09",112.547],["2014-09-15",114.966],["2014-09-22",111.743],["2014-09-29",114.969],["2014-10-08",117.334],["2014-10-13",116.637],["2014-10-20",115.442],["2014-10-27",112.401],["2014-11-03",115.255],["2014-11-10",114.119],["2014-11-17",110.048],["2014-11-24",109.299],["2014-12-01",112.524],["2014-12-08",113.601],["2014-12-15",114.835],["2014-12-22",105.165],["2014-12-29",105.113],["2015-01-05",105.113],["2015-01-12",106.812],["2015-01-19",109.772],["2015-01-26",117.161],["2015-02-02",114.268],["2015-02-09",115.077],["2015-02-16",127.723],["2015-02-25",126.384],["2015-03-02",133.807],["2015-03-09",134.306],["2015-03-16",144.291],["2015-03-23",154.468],["2015-03-30",154.255],["2015-04-07",172.185],["2015-04-13",173.644],["2015-04-20",163.355],["2015-04-27",185.137],["2015-05-04",191.776],["2015-05-11",212.111],["2015-05-18",220.999],["2015-05-25",233.805],["2015-06-01",250.745],["2015-06-08",249.833],["2015-06-15",249.304],["2015-06-23",228.961],["2015-06-29",196.948],["2015-07-06",196.948],["2015-07-13",196.948],["2015-07-20",196.948],["2015-07-27",196.948],["2015-08-03",196.948],["2015-08-10",196.948],["2015-08-17",196.948],["2015-08-24",196.948],["2015-08-31",196.948],["2015-09-07",196.948],["2015-09-14",196.948],["2015-09-21",196.948],["2015-09-28",196.948],["2015-10-08",196.948],["2015-10-12",196.948],["2015-10-19",199.232],["2015-10-26",206.917],["2015-11-02",199.104],["2015-11-09",223.056],["2015-11-16",228.995],["2015-11-23",226.819],["2015-11-30",218.797],["2015-12-07",224.164],["2015-12-14",221.799],["2015-12-21",231.677],["2015-12-28",223.946],["2016-01-04",203.951],["2016-01-11",203.849],["2016-01-18",203.849],["2016-01-25",203.849],["2016-02-01",203.849],["2016-02-15",203.849],["2016-02-22",203.849],["2016-02-29",203.849],["2016-03-07",203.849],["2016-03-14",203.849],["2016-03-21",203.849],["2016-03-28",201.249],["2016-04-05",208.597],["2016-04-11",208.936],["2016-04-18",207.401],["2016-04-25",192.082],["2016-05-03",200.295],["2016-05-09",192.255],["2016-05-16",192.255],["2016-05-23",192.255],["2016-05-30",192.255],["2016-06-06",195.729],["2016-06-13",182.864],["2016-06-20",182.772],["2016-06-27",182.772],["2016-07-04",187.446],["2016-07-11",184.992],["2016-07-18",187.624],["2016-07-25",187.291],["2016-08-01",179.655],["2016-08-08",179.655],["2016-08-15",179.655],["2016-08-22",177.452],["2016-08-29",176.445],["2016-09-05",175.402],["2016-09-12",169.226],["2016-09-19",169.141],["2016-09-26",169.141],["2016-10-10",169.141],["2016-10-17",165.948],["2016-10-24",165.983],["2016-10-31",163.233],["2016-11-07",160.818],["2016-11-14",160.818],["2016-11-21",159.458],["2016-11-28",158.425],["2016-12-05",155.395],["2016-12-12",155.395],["2016-12-19",155.395],["2016-12-26",155.395],["2017-01-03",155.395],["2017-01-09",155.395],["2017-01-16",155.395],["2017-01-23",155.395],["2017-02-03",155.395],["2017-02-06",155.395],["2017-02-13",155.395],["2017-02-20",155.395],["2017-02-27",155.395],["2017-03-06",155.395],["2017-03-13",155.96],["2017-03-20",154.635],["2017-03-27",154.137],["2017-04-05",149.802],["2017-04-10",147.396],["2017-04-17",147.322],["2017-04-24",147.322],["2017-05-02",147.322],["2017-05-08",147.322],["2017-05-15",147.322],["2017-05-22",147.322],["2017-05-31",147.322],["2017-06-05",147.322],["2017-06-12",147.322],["2017-06-19",147.322],["2017-06-26",147.322],["2017-07-03",147.495],["2017-07-10",144.888],["2017-07-17",144.815],["2017-07-24",144.815],["2017-07-31",144.815],["2017-08-07",144.815],["2017-08-14",144.815],["2017-08-21",147.627],["2017-08-28",148.73],["2017-09-04",152.022],["2017-09-11",153.051],["2017-09-18",152.925],["2017-09-25",148.798],["2017-10-09",152.528],["2017-10-16",151.951],["2017-10-23",153.248],["2017-10-30",149.796],["2017-11-06",149.041],["2017-11-13",152.184],["2017-11-20",145.379],["2017-11-27",145.379],["2017-12-04",145.379],["2017-12-11",145.379],["2017-12-18",145.379],["2017-12-25",145.379],["2018-01-02",145.379],["2018-01-08",145.379],["2018-01-15",145.379],["2018-01-22",145.379],["2018-01-29",144.224],["2018-02-05",144.152],["2018-02-12",144.152],["2018-02-22",144.152],["2018-02-26",144.152],["2018-03-05",147.537],["2018-03-12",154.662],["2018-03-19",151.418],["2018-03-26",141.741],["2018-04-02",151.216],["2018-04-09",146.583],["2018-04-16",146.353],["2018-04-23",139.553],["2018-05-02",136.996],["2018-05-07",140.864],["2018-05-14",139.25],["2018-05-21",141.686],["2018-05-28",137.29],["2018-06-04",137.29],["2018-06-11",137.29],["2018-06-19",137.29],["2018-06-25",137.29],["2018-07-02",137.29],["2018-07-09",137.29],["2018-07-16",137.29],["2018-07-23",137.29],["2018-07-30",137.29],["2018-08-06",137.29],["2018-08-13",137.29],["2018-08-20",137.29],["2018-08-27",137.29],["2018-09-03",137.29],["2018-09-10",137.29],["2018-09-17",137.29],["2018-09-25",137.29],["2018-10-08",137.29],["2018-10-15",137.29],["2018-10-22",137.29],["2018-10-29",137.29],["2018-11-05",137.29],["2018-11-12",137.29],["2018-11-19",137.452],["2018-11-26",132.51],["2018-12-03",132.51],["2018-12-10",128.01],["2018-12-17",125.18],["2018-12-24",125.18],["2019-01-02",125.18],["2019-01-07",125.18],["2019-01-14",125.18],["2019-01-21",125.18],["2019-01-28",125.18],["2019-02-11",125.18],["2019-02-18",134.388],["2019-02-25",146.059],["2019-03-04",153.982],["2019-03-11",164.258],["2019-03-18",162.286],["2019-03-25",158.653],["2019-04-01",167.417],["2019-04-08",165.452],["2019-04-15",158.533],["2019-04-22",161.48],["2019-04-29",153.712],["2019-05-06",142.225],["2019-05-13",142.154],["2019-05-20",142.154],["2019-05-27",142.154],["2019-06-03",142.154],["2019-06-10",142.154],["2019-06-17",142.154],["2019-06-24",142.154],["2019-07-01",142.154],["2019-07-08",136.082],["2019-07-15",136.014],["2019-07-22",133.203],["2019-07-29",137.653],["2019-08-05",134.564],["2019-08-12",133.162],["2019-08-19",140.335],["2019-08-26",138.428],["2019-09-02",142.881],["2019-09-09",149.88],["2019-09-16",148.249],["2019-09-23",145.652],["2019-09-30",140.743],["2019-10-08",139.795],["2019-10-14",145.35],["2019-10-21",142.332],["2019-10-28",147.518],["2019-11-04",147.128],["2019-11-11",144.81],["2019-11-18",145.62],["2019-11-25",143.827],["2019-12-02",143.21],["2019-12-09",144.081],["2019-12-16",149.042],["2019-12-23",145.383],["2019-12-30",149.871],["2020-01-06",155.704],["2020-01-13",161.996],["2020-01-20",165.939],["2020-02-03",150.334],["2020-02-10",170.962],["2020-02-17",179.668],["2020-02-24",189.529],["2020-03-02",178.768],["2020-03-09",175.222],["2020-03-16",159.961],["2020-03-23",159.881],["2020-03-30",159.881],["2020-04-07",159.881],["2020-04-13",159.881],["2020-04-20",161.595],["2020-04-27",158.381],["2020-05-06",164.525],["2020-05-11",163.946],["2020-05-18",164.964],["2020-05-25",160.162],["2020-06-01",168.546],["2020-06-08",168.212],["2020-06-15",173.77],["2020-06-22",183.479],["2020-06-29",185.807],["2020-07-06",198.133],["2020-07-13",226.36],["2020-07-20",211.331],["2020-07-27",206.201],["2020-08-03",224.779],["2020-08-10",214.309],["2020-08-17",211.3],["2020-08-24",210.379],["2020-08-31",213.807],["2020-09-07",206.981],["2020-09-14",197.649],["2020-09-21",197.649],["2020-09-28",197.649],["2020-10-09",197.649],["2020-10-12",197.649],["2020-10-19",191.312],["2020-10-26",184.901],["2020-11-02",183.706],["2020-11-09",190.883],["2020-11-16",183.992],["2020-11-23",181.429],["2020-11-30",176.557],["2020-12-07",178.302],["2020-12-14",178.31],["2020-12-21",188.5],["2020-12-28",185.909],["2021-01-04",201.297],["2021-01-11",202.261],["2021-01-18",205.945],["2021-01-25",219.42],["2021-02-01",206.651],["2021-02-08",214.373],["2021-02-18",217.124],["2021-02-22",205.257],["2021-03-01",194.599],["2021-03-08",194.599],["2021-03-15",194.599],["2021-03-22",194.599],["2021-03-29",194.599],["2021-04-06",194.599],["2021-04-12",194.599],["2021-04-19",194.599],["2021-04-26",196.506],["2021-05-06",199.523],["2021-05-10",193.362],["2021-05-17",206.069],["2021-05-24",207.875],["2021-05-31",219.223],["2021-06-07",213.972],["2021-06-15",216.258],["2021-06-21",216.863],["2021-06-28",226.338],["2021-07-05",222.332],["2021-07-12",234.531],["2021-07-19",228.904],["2021-07-26",223.708],["2021-08-02",227.915],["2021-08-09",225.547],["2021-08-16",218.155],["2021-08-23",218.155],["2021-08-30",218.155],["2021-09-06",218.155],["2021-09-13",218.155],["2021-09-22",218.155],["2021-09-27",218.155],["2021-10-08",218.155],["2021-10-11",218.155],["2021-10-18",218.155],["2021-10-25",218.155],["2021-11-01",212.699],["2021-11-08",215.787],["2021-11-15",217.165],["2021-11-22",223.794],["2021-11-29",223.647],["2021-12-06",217.424],["2021-12-13",223.235],["2021-12-20",212.743],["2021-12-27",207.91],["2022-01-04",207.91],["2022-01-10",207.91],["2022-01-17",207.91],["2022-01-24",207.91],["2022-02-07",207.91],["2022-02-14",207.91],["2022-02-21",207.91],["2022-02-28",207.91],["2022-03-07",207.91],["2022-03-14",207.91],["2022-03-21",207.91],["2022-03-28",207.91],["2022-04-06",207.91],["2022-04-11",207.91],["2022-04-18",207.91],["2022-04-25",207.91],["2022-05-05",207.91],["2022-05-09",207.91],["2022-05-16",207.91],["2022-05-23",207.91],["2022-05-30",207.91],["2022-06-06",207.91],["2022-06-13",207.238],["2022-06-20",220.584],["2022-06-27",230.445],["2022-07-04",230.856],["2022-07-11",225.437],["2022-07-18",228.162],["2022-07-25",220.391],["2022-08-01",222.736],["2022-08-08",218.009],["2022-08-15",221.505],["2022-08-22",226.429],["2022-08-29",218.174],["2022-09-05",218.174],["2022-09-13",218.174],["2022-09-19",218.174],["2022-09-26",218.174],["2022-10-10",218.174],["2022-10-17",218.174],["2022-10-24",218.174],["2022-10-31",218.174],["2022-11-07",218.174],["2022-11-14",218.174],["2022-11-21",218.174],["2022-11-28",218.174],["2022-12-05",218.174],["2022-12-12",218.817],["2022-12-19",213.821],["2022-12-26",213.714],["2023-01-03",213.714],["2023-01-09",217.25],["2023-01-16",226.077],["2023-01-30",232.697],["2023-02-06",226.484],["2023-02-13",229.073],["2023-02-20",220.849],["2023-02-27",216.124],["2023-03-06",216.124],["2023-03-13",216.124],["2023-03-20",216.124],["2023-03-27",216.124],["2023-04-03",216.124],["2023-04-10",216.124],["2023-04-17",216.124],["2023-04-24",216.124],["2023-05-04",216.124],["2023-05-08",216.124],["2023-05-15",216.124],["2023-05-22",216.124],["2023-05-29",216.124],["2023-06-05",216.124],["2023-06-12",216.124],["2023-06-19",216.124],["2023-06-26",216.124],["2023-07-03",216.124],["2023-07-10",216.124],["2023-07-17",216.124],["2023-07-24",216.124],["2023-07-31",217.685],["2023-08-07",218.084],["2023-08-14",212.747],["2023-08-21",212.747],["2023-08-28",212.747],["2023-09-04",212.747],["2023-09-11",212.747],["2023-09-18",212.747],["2023-09-25",212.747],["2023-10-09",212.747],["2023-10-16",212.747],["2023-10-23",212.747],["2023-10-30",212.747],["2023-11-06",212.747],["2023-11-13",212.747],["2023-11-20",208.605],["2023-11-27",208.605],["2023-12-04",208.605],["2023-12-11",208.605],["2023-12-18",208.605],["2023-12-25",208.605],["2024-01-02",208.605],["2024-01-08",208.605],["2024-01-15",208.605],["2024-01-22",208.605],["2024-01-29",208.605],["2024-02-05",208.605],["2024-02-19",208.605],["2024-02-26",208.605],["2024-03-04",206.189],["2024-03-11",212.434],["2024-03-18",216.478],["2024-03-25",206.033],["2024-04-01",210.414],["2024-04-08",203.101],["2024-04-15",198.037],["2024-04-22",189.304],["2024-04-29",195.852],["2024-05-06",197.555],["2024-05-13",193.957],["2024-05-20",195.618],["2024-05-27",189.695],["2024-06-03",187.029],["2024-06-11",184.565],["2024-06-17",184.565],["2024-06-24",184.565],["2024-07-01",184.565],["2024-07-08",184.565],["2024-07-15",184.565],["2024-07-22",184.565],["2024-07-29",184.565],["2024-08-05",184.565],["2024-08-12",184.565],["2024-08-19",184.565],["2024-08-26",184.565],["2024-09-02",184.565],["2024-09-09",184.565],["2024-09-18",184.565],["2024-09-23",184.565],["2024-09-30",248.454],["2024-10-08",291.312],["2024-10-14",246.218],["2024-10-21",252.522],["2024-10-28",254.674],["2024-11-04",249.746],["2024-11-11",273.403],["2024-11-18",250.437],["2024-11-25",248.635],["2024-12-02",257.815],["2024-12-09",257.03],["2024-12-16",251.647],["2024-12-23",250.094],["2024-12-30",248.352],["2025-01-06",248.352],["2025-01-13",248.352],["2025-01-20",248.352],["2025-01-27",248.352],["2025-02-05",248.352],["2025-02-10",248.352],["2025-02-17",248.328],["2025-02-24",252.748],["2025-03-03",244.973],["2025-03-10",245.347],["2025-03-17",247.047],["2025-03-24",239.918],["2025-03-31",239.918],["2025-04-07",239.918],["2025-04-14",239.918],["2025-04-21",239.918],["2025-04-28",239.918],["2025-05-06",239.918],["2025-05-12",239.918],["2025-05-19",235.094],["2025-05-26",235.094],["2025-06-03",235.094],["2025-06-09",236.516],["2025-06-16",236.27],["2025-06-23",231.852],["2025-06-30",247.484],["2025-07-07",244.885],["2025-07-14",252.604],["2025-07-21",264.103],["2025-07-28",271.659],["2025-08-04",268.407],["2025-08-11",273.639],["2025-08-18",299.669],["2025-08-25",317.894],["2025-09-01",340.151],["2025-09-08",337.55],["2025-09-15",352.872],["2025-09-22",357.735],["2025-09-29",372.773],["2025-10-09",375.516],["2025-10-13",354.479],["2025-10-20",344.758],["2025-10-27",372.524],["2025-11-03",368.324],["2025-11-10",366.256],["2025-11-17",357.826],["2025-11-24",350.407],["2025-12-01",350.407],["2025-12-08",356.517],["2025-12-15",350.654],["2025-12-22",342.648],["2025-12-29",345.936],["2026-01-05",353.662],["2026-01-12",363.734],["2026-01-19",358.31],["2026-01-26",356.328],["2026-02-02",350.42],["2026-02-09",357.79],["2026-02-24",355.159],["2026-03-02",353.646],["2026-03-09",344.382],["2026-03-16",349.51],["2026-03-23",336.829],["2026-03-30",331.811],["2026-04-07",331.811],["2026-04-13",344.473],["2026-04-20",364.478],["2026-04-27",362.796],["2026-05-06",375.767],["2026-05-11",390.815],["2026-05-18",389.513],["2026-05-25",400.145],["2026-06-01",393.386],["2026-06-08",379.617],["2026-06-15",401.873],["2026-06-22",434.376],["2026-06-29",420.233],["2026-07-06",393.61],["2026-07-13",366.036],["2026-07-20",366.036],["2026-07-27",366.036],["2026-08-03",366.036],["2026-08-10",366.036],["2026-08-17",366.036],["2026-08-24",366.036],["2026-08-31",366.036],["2026-09-07",366.036],["2026-09-14",366.036],["2026-09-21",366.036],["2026-09-28",366.036],["2026-10-08",366.036],["2026-10-12",366.036],["2026-10-19",366.036],["2026-10-26",366.036],["2026-11-02",366.036],["2026-11-06",366.036]]},{"id":"dual","name":"12 个月双动量","en":"Dual Momentum","category":"择时","description":"每月末看过往 12 个月创业板总收益，为正则下月持有，否则持现金。","color":"#7c3aed","cost_bps":5.0,"cost_note":"单边 5bp（ETF 佣金与价差）","turnover":null,"metrics":{"full":{"cagr":0.1116,"vol":0.2552,"sharpe":0.441,"sortino":0.583,"max_dd":-0.5483,"calmar":0.204,"hit_rate":0.318,"days":3989,"total_return":4.3412},"is":{"cagr":0.1626,"vol":0.2612,"sharpe":0.597,"sortino":0.777,"max_dd":-0.5483,"calmar":0.296,"hit_rate":0.36,"days":2817,"total_return":4.3855},"oos":{"cagr":-0.0018,"vol":0.2401,"sharpe":0.036,"sortino":0.049,"max_dd":-0.4471,"calmar":-0.004,"hit_rate":0.22,"days":1172,"total_return":-0.0082}},"yearly":[{"year":"2010","return":0.1702},{"year":"2011","return":-0.2463},{"year":"2012","return":0.0},{"year":"2013","return":0.6906},{"year":"2014","return":0.1338},{"year":"2015","return":0.8479},{"year":"2016","return":-0.1726},{"year":"2017","return":0.0},{"year":"2018","return":0.0},{"year":"2019","return":0.1167},{"year":"2020","return":0.6599},{"year":"2021","return":0.1241},{"year":"2022","return":-0.125},{"year":"2023","return":0.0},{"year":"2024","return":-0.0151},{"year":"2025","return":0.5156},{"year":"2026","return":-0.2407}],"curve":[["2010-06-02",102.472],["2010-06-07",109.916],["2010-06-17",109.464],["2010-06-21",107.014],["2010-06-28",101.57],["2010-07-05",88.659],["2010-07-12",95.654],["2010-07-19",93.384],["2010-07-26",99.359],["2010-08-02",102.246],["2010-08-09",106.165],["2010-08-16",105.947],["2010-08-23",102.389],["2010-08-30",105.404],["2010-09-06",103.955],["2010-09-13",107.221],["2010-09-20",97.627],["2010-09-27",97.781],["2010-10-08",98.729],["2010-10-11",97.418],["2010-10-18",95.9],["2010-10-25",106.875],["2010-11-01",113.918],["2010-11-08",113.869],["2010-11-15",118.137],["2010-11-22",120.851],["2010-11-29",125.498],["2010-12-06",116.681],["2010-12-13",124.383],["2010-12-20",124.698],["2010-12-27",113.688],["2011-01-04",118.812],["2011-01-10",112.503],["2011-01-17",105.754],["2011-01-24",102.341],["2011-01-31",105.853],["2011-02-09",105.445],["2011-02-14",111.761],["2011-02-21",114.962],["2011-02-28",113.12],["2011-03-07",110.909],["2011-03-14",113.936],["2011-03-21",110.136],["2011-03-28",108.259],["2011-04-06",102.318],["2011-04-11",103.216],["2011-04-18",103.319],["2011-04-25",100.496],["2011-05-03",95.13],["2011-05-09",96.194],["2011-05-16",93.601],["2011-05-23",86.9],["2011-05-30",86.257],["2011-06-07",87.671],["2011-06-13",85.794],["2011-06-20",81.924],["2011-06-27",87.315],["2011-07-04",87.495],["2011-07-11",87.495],["2011-07-18",87.495],["2011-07-25",87.495],["2011-08-01",88.801],["2011-08-08",84.02],["2011-08-15",90.248],["2011-08-22",87.195],["2011-08-29",91.358],["2011-09-05",88.198],["2011-09-13",88.198],["2011-09-19",88.198],["2011-09-26",88.198],["2011-10-10",88.198],["2011-10-17",88.198],["2011-10-24",88.198],["2011-10-31",88.198],["2011-11-07",88.198],["2011-11-14",88.198],["2011-11-21",88.198],["2011-11-28",88.198],["2011-12-05",88.198],["2011-12-12",88.198],["2011-12-19",88.198],["2011-12-26",88.198],["2012-01-04",88.198],["2012-01-09",88.198],["2012-01-16",88.198],["2012-01-30",88.198],["2012-02-06",88.198],["2012-02-13",88.198],["2012-02-20",88.198],["2012-02-27",88.198],["2012-03-05",88.198],["2012-03-12",88.198],["2012-03-19",88.198],["2012-03-26",88.198],["2012-04-05",88.198],["2012-04-09",88.198],["2012-04-16",88.198],["2012-04-23",88.198],["2012-05-02",88.198],["2012-05-07",88.198],["2012-05-14",88.198],["2012-05-21",88.198],["2012-05-28",88.198],["2012-06-04",88.198],["2012-06-11",88.198],["2012-06-18",88.198],["2012-06-25",88.198],["2012-07-02",88.198],["2012-07-09",88.198],["2012-07-16",88.198],["2012-07-23",88.198],["2012-07-30",88.198],["2012-08-06",88.198],["2012-08-13",88.198],["2012-08-20",88.198],["2012-08-27",88.198],["2012-09-03",88.198],["2012-09-10",88.198],["2012-09-17",88.198],["2012-09-24",88.198],["2012-10-08",88.198],["2012-10-15",88.198],["2012-10-22",88.198],["2012-10-29",88.198],["2012-11-05",88.198],["2012-11-12",88.198],["2012-11-19",88.198],["2012-11-26",88.198],["2012-12-03",88.198],["2012-12-10",88.198],["2012-12-17",88.198],["2012-12-24",88.198],["2012-12-31",88.198],["2013-01-07",88.198],["2013-01-14",88.198],["2013-01-21",88.198],["2013-01-28",88.198],["2013-02-04",87.689],["2013-02-18",94.889],["2013-02-25",97.208],["2013-03-04",98.094],["2013-03-11",98.736],["2013-03-18",96.81],["2013-03-25",100.177],["2013-04-01",99.637],["2013-04-08",97.026],["2013-04-15",95.109],["2013-04-22",104.195],["2013-05-02",103.96],["2013-05-06",109.016],["2013-05-13",113.327],["2013-05-20",119.832],["2013-05-27",124.236],["2013-06-03",120.068],["2013-06-13",117.553],["2013-06-17",122.644],["2013-06-24",110.976],["2013-07-01",120.635],["2013-07-08",117.773],["2013-07-15",130.253],["2013-07-22",131.876],["2013-07-29",129.958],["2013-08-05",137.485],["2013-08-12",132.803],["2013-08-19",133.904],["2013-08-26",141.537],["2013-09-02",138.337],["2013-09-09",145.85],["2013-09-16",146.181],["2013-09-23",151.586],["2013-09-30",156.367],["2013-10-08",158.625],["2013-10-14",159.304],["2013-10-21",160.146],["2013-10-28",146.21],["2013-11-04",139.74],["2013-11-11",138.624],["2013-11-18",147.592],["2013-11-25",147.895],["2013-12-02",143.338],["2013-12-09",141.941],["2013-12-16",146.312],["2013-12-23",142.066],["2013-12-30",149.517],["2014-01-06",151.271],["2014-01-13",155.781],["2014-01-20",156.919],["2014-01-27",168.913],["2014-02-07",175.203],["2014-02-10",177.572],["2014-02-17",178.166],["2014-02-24",176.041],["2014-03-03",167.482],["2014-03-10",160.844],["2014-03-17",168.884],["2014-03-24",159.734],["2014-03-31",151.789],["2014-04-08",154.547],["2014-04-14",157.02],["2014-04-21",156.03],["2014-04-28",143.891],["2014-05-05",149.034],["2014-05-12",146.329],["2014-05-19",140.732],["2014-05-26",151.429],["2014-06-03",151.357],["2014-06-09",152.193],["2014-06-16",160.14],["2014-06-23",156.245],["2014-06-30",161.239],["2014-07-07",160.008],["2014-07-14",156.97],["2014-07-21",150.088],["2014-07-28",150.96],["2014-08-04",152.716],["2014-08-11",160.521],["2014-08-18",164.078],["2014-08-25",165.811],["2014-09-01",166.85],["2014-09-09",171.578],["2014-09-15",175.266],["2014-09-22",170.353],["2014-09-29",175.271],["2014-10-08",178.876],["2014-10-13",177.814],["2014-10-20",175.992],["2014-10-27",171.356],["2014-11-03",175.706],["2014-11-10",173.976],["2014-11-17",169.048],["2014-11-24",173.198],["2014-12-01",178.309],["2014-12-08",180.016],["2014-12-15",190.393],["2014-12-22",174.361],["2014-12-29",172.233],["2015-01-05",168.255],["2015-01-12",182.194],["2015-01-19",187.242],["2015-01-26",199.845],["2015-02-02",194.91],["2015-02-09",196.29],["2015-02-16",217.861],["2015-02-25",215.577],["2015-03-02",228.24],["2015-03-09",229.091],["2015-03-16",246.123],["2015-03-23",263.481],["2015-03-30",263.118],["2015-04-07",293.702],["2015-04-13",296.191],["2015-04-20",278.64],["2015-04-27",315.795],["2015-05-04",327.119],["2015-05-11",361.804],["2015-05-18",376.965],["2015-05-25",398.809],["2015-06-01",427.705],["2015-06-08",426.149],["2015-06-15",425.246],["2015-06-23",390.546],["2015-06-29",309.533],["2015-07-06",287.015],["2015-07-13",308.829],["2015-07-20",327.853],["2015-07-27",308.878],["2015-08-03",276.168],["2015-08-10",311.556],["2015-08-17",306.902],["2015-08-24",247.777],["2015-08-31",229.849],["2015-09-07",217.953],["2015-09-14",219.414],["2015-09-21",239.31],["2015-09-28",244.282],["2015-10-08",252.116],["2015-10-12",266.672],["2015-10-19",280.119],["2015-10-26",290.924],["2015-11-02",279.939],["2015-11-09",313.616],["2015-11-16",321.966],["2015-11-23",318.907],["2015-11-30",307.627],["2015-12-07",315.174],["2015-12-14",311.849],["2015-12-21",325.737],["2015-12-28",314.867],["2016-01-04",286.754],["2016-01-11",242.452],["2016-01-18",250.346],["2016-01-25",248.491],["2016-02-01",229.369],["2016-02-15",243.659],["2016-02-22",258.476],["2016-02-29",216.414],["2016-03-07",224.838],["2016-03-14",232.917],["2016-03-21",256.392],["2016-03-28",253.249],["2016-04-05",257.564],["2016-04-11",257.564],["2016-04-18",257.564],["2016-04-25",257.564],["2016-05-03",257.564],["2016-05-09",257.564],["2016-05-16",257.564],["2016-05-23",257.564],["2016-05-30",257.564],["2016-06-06",257.564],["2016-06-13",257.564],["2016-06-20",257.564],["2016-06-27",257.564],["2016-07-04",257.564],["2016-07-11",257.564],["2016-07-18",257.564],["2016-07-25",257.564],["2016-08-01",257.564],["2016-08-08",257.564],["2016-08-15",257.564],["2016-08-22",257.564],["2016-08-29",257.564],["2016-09-05",257.564],["2016-09-12",257.564],["2016-09-19",257.564],["2016-09-26",257.564],["2016-10-10",264.453],["2016-10-17",259.589],["2016-10-24",263.535],["2016-10-31",258.619],["2016-11-07",258.49],["2016-11-14",258.49],["2016-11-21",258.49],["2016-11-28",258.49],["2016-12-05",258.49],["2016-12-12",258.49],["2016-12-19",258.49],["2016-12-26",258.49],["2017-01-03",258.49],["2017-01-09",258.49],["2017-01-16",258.49],["2017-01-23",258.49],["2017-02-03",258.49],["2017-02-06",258.49],["2017-02-13",258.49],["2017-02-20",258.49],["2017-02-27",258.49],["2017-03-06",258.49],["2017-03-13",258.49],["2017-03-20",258.49],["2017-03-27",258.49],["2017-04-05",258.49],["2017-04-10",258.49],["2017-04-17",258.49],["2017-04-24",258.49],["2017-05-02",258.49],["2017-05-08",258.49],["2017-05-15",258.49],["2017-05-22",258.49],["2017-05-31",258.49],["2017-06-05",258.49],["2017-06-12",258.49],["2017-06-19",258.49],["2017-06-26",258.49],["2017-07-03",258.49],["2017-07-10",258.49],["2017-07-17",258.49],["2017-07-24",258.49],["2017-07-31",258.49],["2017-08-07",258.49],["2017-08-14",258.49],["2017-08-21",258.49],["2017-08-28",258.49],["2017-09-04",258.49],["2017-09-11",258.49],["2017-09-18",258.49],["2017-09-25",258.49],["2017-10-09",258.49],["2017-10-16",258.49],["2017-10-23",258.49],["2017-10-30",258.49],["2017-11-06",258.49],["2017-11-13",258.49],["2017-11-20",258.49],["2017-11-27",258.49],["2017-12-04",258.49],["2017-12-11",258.49],["2017-12-18",258.49],["2017-12-25",258.49],["2018-01-02",258.49],["2018-01-08",258.49],["2018-01-15",258.49],["2018-01-22",258.49],["2018-01-29",258.49],["2018-02-05",258.49],["2018-02-12",258.49],["2018-02-22",258.49],["2018-02-26",258.49],["2018-03-05",258.49],["2018-03-12",258.49],["2018-03-19",258.49],["2018-03-26",258.49],["2018-04-02",258.49],["2018-04-09",258.49],["2018-04-16",258.49],["2018-04-23",258.49],["2018-05-02",258.49],["2018-05-07",258.49],["2018-05-14",258.49],["2018-05-21",258.49],["2018-05-28",258.49],["2018-06-04",258.49],["2018-06-11",258.49],["2018-06-19",258.49],["2018-06-25",258.49],["2018-07-02",258.49],["2018-07-09",258.49],["2018-07-16",258.49],["2018-07-23",258.49],["2018-07-30",258.49],["2018-08-06",258.49],["2018-08-13",258.49],["2018-08-20",258.49],["2018-08-27",258.49],["2018-09-03",258.49],["2018-09-10",258.49],["2018-09-17",258.49],["2018-09-25",258.49],["2018-10-08",258.49],["2018-10-15",258.49],["2018-10-22",258.49],["2018-10-29",258.49],["2018-11-05",258.49],["2018-11-12",258.49],["2018-11-19",258.49],["2018-11-26",258.49],["2018-12-03",258.49],["2018-12-10",258.49],["2018-12-17",258.49],["2018-12-24",258.49],["2019-01-02",258.49],["2019-01-07",258.49],["2019-01-14",258.49],["2019-01-21",258.49],["2019-01-28",258.49],["2019-02-11",258.49],["2019-02-18",258.49],["2019-02-25",258.49],["2019-03-04",258.49],["2019-03-11",258.49],["2019-03-18",258.49],["2019-03-25",258.49],["2019-04-01",258.49],["2019-04-08",258.49],["2019-04-15",258.49],["2019-04-22",258.49],["2019-04-29",258.49],["2019-05-06",258.49],["2019-05-13",258.49],["2019-05-20",258.49],["2019-05-27",258.49],["2019-06-03",258.49],["2019-06-10",258.49],["2019-06-17",258.49],["2019-06-24",258.49],["2019-07-01",258.49],["2019-07-08",258.49],["2019-07-15",258.49],["2019-07-22",258.49],["2019-07-29",258.49],["2019-08-05",258.49],["2019-08-12",258.49],["2019-08-19",258.49],["2019-08-26",258.49],["2019-09-02",265.003],["2019-09-09",277.985],["2019-09-16",274.96],["2019-09-23",270.143],["2019-09-30",261.037],["2019-10-08",259.279],["2019-10-14",269.583],["2019-10-21",263.985],["2019-10-28",273.603],["2019-11-04",272.88],["2019-11-11",268.58],["2019-11-18",270.083],["2019-11-25",266.757],["2019-12-02",268.003],["2019-12-09",276.276],["2019-12-16",285.789],["2019-12-23",278.773],["2019-12-30",287.379],["2020-01-06",298.564],["2020-01-13",310.629],["2020-01-20",318.19],["2020-02-03",288.268],["2020-02-10",327.821],["2020-02-17",344.516],["2020-02-24",363.425],["2020-03-02",342.789],["2020-03-09",335.99],["2020-03-16",306.727],["2020-03-23",293.289],["2020-03-30",298.655],["2020-04-07",316.234],["2020-04-13",308.742],["2020-04-20",328.118],["2020-04-27",324.148],["2020-05-06",338.904],["2020-05-11",337.711],["2020-05-18",339.808],["2020-05-25",329.916],["2020-06-01",347.188],["2020-06-08",346.498],["2020-06-15",357.948],["2020-06-22",377.946],["2020-06-29",382.742],["2020-07-06",408.133],["2020-07-13",466.279],["2020-07-20",435.319],["2020-07-27",424.752],["2020-08-03",463.021],["2020-08-10",441.454],["2020-08-17",435.257],["2020-08-24",433.358],["2020-08-31",440.419],["2020-09-07",426.359],["2020-09-14",415.285],["2020-09-21",414.738],["2020-09-28",406.993],["2020-10-09",431.486],["2020-10-12",448.347],["2020-10-19",434.187],["2020-10-26",422.576],["2020-11-02",437.209],["2020-11-09",454.514],["2020-11-16",438.105],["2020-11-23",433.898],["2020-11-30",425.1],["2020-12-07",440.378],["2020-12-14",440.398],["2020-12-21",465.568],["2020-12-28",459.167],["2021-01-04",497.173],["2021-01-11",499.556],["2021-01-18",508.655],["2021-01-25",541.935],["2021-02-01",510.398],["2021-02-08",529.468],["2021-02-18",536.265],["2021-02-22",506.955],["2021-03-01",483.708],["2021-03-08",440.76],["2021-03-15",427.058],["2021-03-22",435.82],["2021-03-29",441.587],["2021-04-06",457.396],["2021-04-12",439.441],["2021-04-19",468.337],["2021-04-26",479.911],["2021-05-06",487.278],["2021-05-10",472.231],["2021-05-17",503.265],["2021-05-24",507.675],["2021-05-31",535.39],["2021-06-07",522.565],["2021-06-15",528.149],["2021-06-21",529.627],["2021-06-28",552.765],["2021-07-05",542.983],["2021-07-12",572.774],["2021-07-19",559.033],["2021-07-26",546.343],["2021-08-02",566.135],["2021-08-09",560.253],["2021-08-16",535.075],["2021-08-23",533.841],["2021-08-30",530.281],["2021-09-06",523.195],["2021-09-13",517.716],["2021-09-22",512.868],["2021-09-27",523.769],["2021-10-08",525.666],["2021-10-11",518.046],["2021-10-18",531.06],["2021-10-25",541.131],["2021-11-01",540.045],["2021-11-08",547.886],["2021-11-15",551.384],["2021-11-22",568.215],["2021-11-29",567.841],["2021-12-06",552.041],["2021-12-13",566.796],["2021-12-20",540.156],["2021-12-27",533.869],["2022-01-04",526.796],["2022-01-10",501.76],["2022-01-17",513.871],["2022-01-24",495.397],["2022-02-07",471.256],["2022-02-14",471.256],["2022-02-21",471.256],["2022-02-28",471.256],["2022-03-07",471.256],["2022-03-14",471.256],["2022-03-21",471.256],["2022-03-28",471.256],["2022-04-06",471.256],["2022-04-11",471.256],["2022-04-18",471.256],["2022-04-25",471.256],["2022-05-05",471.256],["2022-05-09",471.256],["2022-05-16",471.256],["2022-05-23",471.256],["2022-05-30",471.256],["2022-06-06",471.256],["2022-06-13",471.256],["2022-06-20",471.256],["2022-06-27",471.256],["2022-07-04",471.256],["2022-07-11",471.256],["2022-07-18",471.256],["2022-07-25",471.256],["2022-08-01",471.256],["2022-08-08",471.256],["2022-08-15",471.256],["2022-08-22",471.256],["2022-08-29",471.256],["2022-09-05",471.256],["2022-09-13",471.256],["2022-09-19",471.256],["2022-09-26",471.256],["2022-10-10",471.256],["2022-10-17",471.256],["2022-10-24",471.256],["2022-10-31",471.256],["2022-11-07",471.256],["2022-11-14",471.256],["2022-11-21",471.256],["2022-11-28",471.256],["2022-12-05",471.256],["2022-12-12",471.256],["2022-12-19",471.256],["2022-12-26",471.256],["2023-01-03",471.256],["2023-01-09",471.256],["2023-01-16",471.256],["2023-01-30",471.256],["2023-02-06",471.256],["2023-02-13",471.256],["2023-02-20",471.256],["2023-02-27",471.256],["2023-03-06",471.256],["2023-03-13",471.256],["2023-03-20",471.256],["2023-03-27",471.256],["2023-04-03",471.256],["2023-04-10",471.256],["2023-04-17",471.256],["2023-04-24",471.256],["2023-05-04",471.256],["2023-05-08",471.256],["2023-05-15",471.256],["2023-05-22",471.256],["2023-05-29",471.256],["2023-06-05",471.256],["2023-06-12",471.256],["2023-06-19",471.256],["2023-06-26",471.256],["2023-07-03",471.256],["2023-07-10",471.256],["2023-07-17",471.256],["2023-07-24",471.256],["2023-07-31",471.256],["2023-08-07",471.256],["2023-08-14",471.256],["2023-08-21",471.256],["2023-08-28",471.256],["2023-09-04",471.256],["2023-09-11",471.256],["2023-09-18",471.256],["2023-09-25",471.256],["2023-10-09",471.256],["2023-10-16",471.256],["2023-10-23",471.256],["2023-10-30",471.256],["2023-11-06",471.256],["2023-11-13",471.256],["2023-11-20",471.256],["2023-11-27",471.256],["2023-12-04",471.256],["2023-12-11",471.256],["2023-12-18",471.256],["2023-12-25",471.256],["2024-01-02",471.256],["2024-01-08",471.256],["2024-01-15",471.256],["2024-01-22",471.256],["2024-01-29",471.256],["2024-02-05",471.256],["2024-02-19",471.256],["2024-02-26",471.256],["2024-03-04",471.256],["2024-03-11",471.256],["2024-03-18",471.256],["2024-03-25",471.256],["2024-04-01",471.256],["2024-04-08",471.256],["2024-04-15",471.256],["2024-04-22",471.256],["2024-04-29",471.256],["2024-05-06",471.256],["2024-05-13",471.256],["2024-05-20",471.256],["2024-05-27",471.256],["2024-06-03",471.256],["2024-06-11",471.256],["2024-06-17",471.256],["2024-06-24",471.256],["2024-07-01",471.256],["2024-07-08",471.256],["2024-07-15",471.256],["2024-07-22",471.256],["2024-07-29",471.256],["2024-08-05",471.256],["2024-08-12",471.256],["2024-08-19",471.256],["2024-08-26",471.256],["2024-09-02",471.256],["2024-09-09",471.256],["2024-09-18",471.256],["2024-09-23",471.256],["2024-09-30",471.256],["2024-10-08",552.31],["2024-10-14",466.816],["2024-10-21",478.767],["2024-10-28",482.846],["2024-11-04",473.503],["2024-11-11",518.356],["2024-11-18",474.813],["2024-11-25",471.398],["2024-12-02",488.803],["2024-12-09",487.313],["2024-12-16",477.107],["2024-12-23",474.163],["2024-12-30",478.173],["2025-01-06",436.54],["2025-01-13",429.663],["2025-01-20",456.179],["2025-01-27",447.746],["2025-02-05",447.552],["2025-02-10",473.793],["2025-02-17",483.066],["2025-02-24",491.663],["2025-03-03",476.538],["2025-03-10",477.265],["2025-03-17",480.574],["2025-03-24",466.998],["2025-03-31",456.481],["2025-04-07",392.145],["2025-04-14",419.422],["2025-04-21",422.003],["2025-04-28",421.543],["2025-05-06",432.996],["2025-05-12",450.07],["2025-05-19",443.208],["2025-05-26",437.689],["2025-06-03",437.71],["2025-06-09",450.761],["2025-06-16",450.292],["2025-06-23",441.873],["2025-06-30",471.665],["2025-07-07",466.711],["2025-07-14",481.422],["2025-07-21",503.338],["2025-07-28",517.738],["2025-08-04",511.541],["2025-08-11",521.512],["2025-08-18",571.12],["2025-08-25",605.855],["2025-09-01",648.273],["2025-09-08",643.317],["2025-09-15",672.517],["2025-09-22",681.786],["2025-09-29",710.445],["2025-10-09",715.673],["2025-10-13",675.579],["2025-10-20",657.053],["2025-10-27",709.97],["2025-11-03",701.967],["2025-11-10",698.024],["2025-11-17",681.958],["2025-11-24",643.269],["2025-12-01",679.167],["2025-12-08",700.639],["2025-12-15",689.118],["2025-12-22",701.016],["2025-12-29",707.743],["2026-01-05",723.55],["2026-01-12",744.154],["2026-01-19",733.059],["2026-01-26",729.004],["2026-02-02",716.915],["2026-02-09",731.995],["2026-02-24",726.612],["2026-03-02",723.516],["2026-03-09",704.722],["2026-03-16",737.334],["2026-03-23",710.582],["2026-03-30",718.958],["2026-04-07",694.239],["2026-04-13",763.709],["2026-04-20",808.062],["2026-04-27",804.334],["2026-05-06",833.09],["2026-05-11",866.453],["2026-05-18",863.566],["2026-05-25",887.137],["2026-06-01",872.152],["2026-06-08",841.625],["2026-06-15",890.968],["2026-06-22",963.027],["2026-06-29",931.674],["2026-07-06",872.649],["2026-07-13",822.936],["2026-07-20",761.025],["2026-07-27",793.666],["2026-08-03",729.958],["2026-08-10",782.287],["2026-08-17",827.169],["2026-08-24",758.996],["2026-08-31",760.532],["2026-09-07",751.718],["2026-09-14",726.809],["2026-09-21",752.338],["2026-09-28",694.877],["2026-10-08",672.077],["2026-10-12",656.104],["2026-10-19",607.969],["2026-10-26",584.114],["2026-11-02",534.125],["2026-11-06",534.125]]},{"id":"voltarget","name":"波动率目标 25%","en":"Vol Targeting","category":"择时","description":"按 20 日已实现波动把仓位压到目标年化波动 25%，不加杠杆，上限满仓。","color":"#0e7490","cost_bps":5.0,"cost_note":"单边 5bp；上限 100% 仓位，不含融资","turnover":null,"metrics":{"full":{"cagr":0.0507,"vol":0.2365,"sharpe":0.218,"sortino":0.334,"max_dd":-0.6003,"calmar":0.084,"hit_rate":0.505,"days":3989,"total_return":1.1865},"is":{"cagr":0.1133,"vol":0.2379,"sharpe":0.449,"sortino":0.663,"max_dd":-0.6003,"calmar":0.189,"hit_rate":0.532,"days":2817,"total_return":2.3177},"oos":{"cagr":-0.0858,"vol":0.2327,"sharpe":-0.348,"sortino":-0.585,"max_dd":-0.5542,"calmar":-0.155,"hit_rate":0.441,"days":1172,"total_return":-0.341}},"yearly":[{"year":"2010","return":0.0529},{"year":"2011","return":-0.3359},{"year":"2012","return":-0.0216},{"year":"2013","return":0.7521},{"year":"2014","return":0.1693},{"year":"2015","return":0.7548},{"year":"2016","return":-0.2181},{"year":"2017","return":-0.1008},{"year":"2018","return":-0.3219},{"year":"2019","return":0.4526},{"year":"2020","return":0.6764},{"year":"2021","return":0.1619},{"year":"2022","return":-0.2918},{"year":"2023","return":-0.1877},{"year":"2024","return":-0.0668},{"year":"2025","return":0.4731},{"year":"2026","return":-0.1667}],"curve":[["2010-06-02",102.472],["2010-06-07",109.916],["2010-06-17",109.464],["2010-06-21",107.014],["2010-06-28",101.57],["2010-07-05",89.206],["2010-07-12",92.518],["2010-07-19",91.496],["2010-07-26",94.963],["2010-08-02",97.528],["2010-08-09",101.265],["2010-08-16",101.284],["2010-08-23",98.1],["2010-08-30",100.62],["2010-09-06",99.488],["2010-09-13",102.332],["2010-09-20",94.544],["2010-09-27",94.697],["2010-10-08",95.555],["2010-10-11",94.401],["2010-10-18",92.877],["2010-10-25",100.45],["2010-11-01",105.541],["2010-11-08",105.435],["2010-11-15",107.754],["2010-11-22",109.024],["2010-11-29",111.429],["2010-12-06",106.789],["2010-12-13",111.514],["2010-12-20",111.56],["2010-12-27",102.754],["2011-01-04",106.685],["2011-01-10",101.685],["2011-01-17",95.881],["2011-01-24",93.294],["2011-01-31",96.034],["2011-02-09",95.693],["2011-02-14",100.363],["2011-02-21",102.948],["2011-02-28",101.398],["2011-03-07",99.416],["2011-03-14",102.129],["2011-03-21",98.723],["2011-03-28",97.04],["2011-04-06",91.715],["2011-04-11",92.52],["2011-04-18",92.612],["2011-04-25",90.082],["2011-05-03",85.271],["2011-05-09",86.226],["2011-05-16",83.901],["2011-05-23",77.895],["2011-05-30",77.528],["2011-06-07",78.665],["2011-06-13",77.118],["2011-06-20",74.014],["2011-06-27",78.875],["2011-07-04",81.904],["2011-07-11",84.443],["2011-07-18",88.46],["2011-07-25",83.013],["2011-08-01",86.642],["2011-08-08",82.847],["2011-08-15",87.857],["2011-08-22",85.385],["2011-08-29",89.045],["2011-09-05",82.856],["2011-09-13",80.761],["2011-09-19",80.092],["2011-09-26",77.917],["2011-10-10",74.423],["2011-10-17",77.731],["2011-10-24",73.048],["2011-10-31",78.848],["2011-11-07",80.635],["2011-11-14",83.353],["2011-11-21",79.493],["2011-11-28",79.788],["2011-12-05",74.586],["2011-12-12",74.394],["2011-12-19",74.228],["2011-12-26",71.483],["2012-01-04",68.102],["2012-01-09",66.962],["2012-01-16",63.875],["2012-01-30",64.852],["2012-02-06",66.589],["2012-02-13",68.074],["2012-02-20",68.425],["2012-02-27",71.899],["2012-03-05",71.823],["2012-03-12",74.346],["2012-03-19",73.639],["2012-03-26",70.23],["2012-04-05",67.291],["2012-04-09",66.757],["2012-04-16",68.663],["2012-04-23",66.886],["2012-05-02",67.299],["2012-05-07",70.893],["2012-05-14",69.781],["2012-05-21",68.451],["2012-05-28",68.616],["2012-06-04",69.747],["2012-06-11",71.461],["2012-06-18",73.27],["2012-06-25",70.159],["2012-07-02",72.163],["2012-07-09",70.326],["2012-07-16",67.649],["2012-07-23",68.81],["2012-07-30",67.224],["2012-08-06",70.969],["2012-08-13",70.609],["2012-08-20",70.922],["2012-08-27",70.144],["2012-09-03",70.355],["2012-09-10",74.094],["2012-09-17",70.414],["2012-09-24",67.21],["2012-10-08",67.187],["2012-10-15",68.08],["2012-10-22",70.098],["2012-10-29",66.677],["2012-11-05",67.137],["2012-11-12",65.559],["2012-11-19",63.655],["2012-11-26",61.905],["2012-12-03",57.523],["2012-12-10",62.61],["2012-12-17",62.723],["2012-12-24",65.209],["2012-12-31",68.412],["2013-01-07",68.819],["2013-01-14",72.886],["2013-01-21",75.958],["2013-01-28",75.16],["2013-02-04",74.052],["2013-02-18",79.741],["2013-02-25",81.392],["2013-03-04",82.247],["2013-03-11",82.956],["2013-03-18",81.731],["2013-03-25",84.185],["2013-04-01",83.88],["2013-04-08",81.873],["2013-04-15",80.275],["2013-04-22",87.945],["2013-05-02",87.588],["2013-05-06",90.903],["2013-05-13",94.076],["2013-05-20",98.481],["2013-05-27",101.624],["2013-06-03",98.836],["2013-06-13",97.201],["2013-06-17",100.506],["2013-06-24",92.994],["2013-07-01",98.27],["2013-07-08",96.905],["2013-07-15",102.863],["2013-07-22",103.94],["2013-07-29",103.035],["2013-08-05",107.146],["2013-08-12",104.538],["2013-08-19",105.199],["2013-08-26",110.142],["2013-09-02",107.916],["2013-09-09",113.077],["2013-09-16",113.554],["2013-09-23",117.177],["2013-09-30",120.291],["2013-10-08",121.931],["2013-10-14",122.598],["2013-10-21",123.311],["2013-10-28",115.448],["2013-11-04",111.807],["2013-11-11",111.018],["2013-11-18",116.547],["2013-11-25",116.716],["2013-12-02",116.553],["2013-12-09",115.727],["2013-12-16",118.055],["2013-12-23",115.772],["2013-12-30",120.191],["2014-01-06",121.601],["2014-01-13",125.38],["2014-01-20",126.293],["2014-01-27",134.714],["2014-02-07",139.166],["2014-02-10",140.951],["2014-02-17",141.516],["2014-02-24",140.009],["2014-03-03",134.366],["2014-03-10",130.211],["2014-03-17",135.49],["2014-03-24",129.706],["2014-03-31",124.216],["2014-04-08",126.087],["2014-04-14",127.776],["2014-04-21",126.967],["2014-04-28",117.089],["2014-05-05",121.273],["2014-05-12",119.073],["2014-05-19",114.518],["2014-05-26",123.222],["2014-06-03",123.164],["2014-06-09",123.845],["2014-06-16",130.311],["2014-06-23",127.142],["2014-06-30",131.205],["2014-07-07",130.204],["2014-07-14",127.732],["2014-07-21",122.131],["2014-07-28",122.841],["2014-08-04",124.27],["2014-08-11",130.621],["2014-08-18",133.516],["2014-08-25",134.926],["2014-09-01",135.771],["2014-09-09",139.619],["2014-09-15",142.62],["2014-09-22",138.622],["2014-09-29",142.624],["2014-10-08",145.557],["2014-10-13",144.693],["2014-10-20",143.211],["2014-10-27",139.438],["2014-11-03",142.978],["2014-11-10",141.57],["2014-11-17",137.56],["2014-11-24",140.937],["2014-12-01",145.096],["2014-12-08",146.485],["2014-12-15",152.977],["2014-12-22",143.104],["2014-12-29",141.909],["2015-01-05",139.682],["2015-01-12",147.475],["2015-01-19",150.4],["2015-01-26",157.688],["2015-02-02",154.524],["2015-02-09",155.78],["2015-02-16",169.816],["2015-02-25",168.241],["2015-03-02",177.303],["2015-03-09",177.905],["2015-03-16",189.339],["2015-03-23",200.789],["2015-03-30",201.493],["2015-04-07",219.718],["2015-04-13",221.366],["2015-04-20",211.958],["2015-04-27",229.737],["2015-05-04",235.001],["2015-05-11",248.88],["2015-05-18",254.801],["2015-05-25",264.01],["2015-06-01",274.742],["2015-06-08",274.273],["2015-06-15",274.541],["2015-06-23",264.75],["2015-06-29",242.222],["2015-07-06",235.17],["2015-07-13",241.456],["2015-07-20",246.675],["2015-07-27",240.733],["2015-08-03",230.444],["2015-08-10",241.99],["2015-08-17",240.472],["2015-08-24",221.063],["2015-08-31",215.104],["2015-09-07",210.965],["2015-09-14",211.831],["2015-09-21",217.664],["2015-09-28",219.412],["2015-10-08",222.461],["2015-10-12",227.778],["2015-10-19",232.565],["2015-10-26",237.467],["2015-11-02",232.864],["2015-11-09",246.999],["2015-11-16",250.48],["2015-11-23",249.834],["2015-11-30",245.929],["2015-12-07",249.523],["2015-12-14",248.043],["2015-12-21",255.705],["2015-12-28",247.886],["2016-01-04",231.693],["2016-01-11",212.096],["2016-01-18",215.04],["2016-01-25",214.426],["2016-02-01",207.792],["2016-02-15",212.981],["2016-02-22",219.131],["2016-02-29",201.454],["2016-03-07",205.243],["2016-03-14",208.778],["2016-03-21",217.963],["2016-03-28",216.274],["2016-04-05",221.117],["2016-04-11",221.392],["2016-04-18",219.497],["2016-04-25",209.872],["2016-05-03",216.614],["2016-05-09",204.647],["2016-05-16",204.993],["2016-05-23",209.146],["2016-05-30",205.758],["2016-06-06",217.121],["2016-06-13",205.779],["2016-06-20",210.68],["2016-06-27",215.896],["2016-07-04",220.331],["2016-07-11",217.589],["2016-07-18",220.684],["2016-07-25",220.293],["2016-08-01",205.903],["2016-08-08",208.984],["2016-08-15",214.765],["2016-08-22",212.416],["2016-08-29",214.911],["2016-09-05",213.882],["2016-09-12",210.251],["2016-09-19",212.176],["2016-09-26",208.03],["2016-10-10",216.416],["2016-10-17",212.436],["2016-10-24",215.665],["2016-10-31",211.642],["2016-11-07",208.756],["2016-11-14",211.865],["2016-11-21",210.975],["2016-11-28",212.305],["2016-12-05",210.132],["2016-12-12",194.5],["2016-12-19",194.11],["2016-12-26",193.483],["2017-01-03",192.428],["2017-01-09",192.268],["2017-01-16",179.451],["2017-01-23",184.986],["2017-02-03",183.95],["2017-02-06",186.272],["2017-02-13",187.569],["2017-02-20",185.734],["2017-02-27",188.852],["2017-03-06",192.381],["2017-03-13",193.176],["2017-03-20",191.534],["2017-03-27",190.917],["2017-04-05",190.489],["2017-04-10",187.524],["2017-04-17",183.193],["2017-04-24",177.51],["2017-05-02",181.56],["2017-05-08",175.464],["2017-05-15",174.519],["2017-05-22",175.479],["2017-05-31",173.764],["2017-06-05",173.546],["2017-06-12",174.976],["2017-06-19",179.063],["2017-06-26",179.581],["2017-07-03",181.052],["2017-07-10",177.852],["2017-07-17",163.41],["2017-07-24",166.399],["2017-07-31",171.321],["2017-08-07",170.94],["2017-08-14",176.95],["2017-08-21",180.476],["2017-08-28",181.824],["2017-09-04",185.849],["2017-09-11",187.107],["2017-09-18",186.952],["2017-09-25",181.907],["2017-10-09",186.467],["2017-10-16",185.761],["2017-10-23",187.347],["2017-10-30",183.127],["2017-11-06",182.566],["2017-11-13",188.105],["2017-11-20",183.498],["2017-11-27",173.744],["2017-12-04",177.382],["2017-12-11",179.278],["2017-12-18",175.693],["2017-12-25",173.242],["2018-01-02",174.61],["2018-01-08",178.21],["2018-01-15",170.955],["2018-01-22",174.466],["2018-01-29",177.58],["2018-02-05",166.578],["2018-02-12",162.561],["2018-02-22",164.818],["2018-02-26",168.516],["2018-03-05",173.313],["2018-03-12",179.6],["2018-03-19",175.994],["2018-03-26",170.767],["2018-04-02",179.641],["2018-04-09",175.52],["2018-04-16",175.311],["2018-04-23",168.973],["2018-05-02",172.749],["2018-05-07",177.623],["2018-05-14",175.588],["2018-05-21",178.659],["2018-05-28",172.482],["2018-06-04",163.747],["2018-06-11",162.419],["2018-06-19",149.456],["2018-06-25",148.678],["2018-07-02",152.377],["2018-07-09",151.716],["2018-07-16",153.99],["2018-07-23",154.418],["2018-07-30",148.7],["2018-08-06",137.377],["2018-08-13",145.872],["2018-08-20",137.433],["2018-08-27",142.183],["2018-09-03",138.129],["2018-09-10",133.062],["2018-09-17",129.135],["2018-09-25",134.495],["2018-10-08",129.508],["2018-10-15",121.228],["2018-10-22",124.763],["2018-10-29",120.845],["2018-11-05",126.577],["2018-11-12",127.897],["2018-11-19",129.546],["2018-11-26",121.944],["2018-12-03",127.925],["2018-12-10",124.114],["2018-12-17",121.792],["2018-12-24",120.433],["2019-01-02",115.222],["2019-01-07",118.907],["2019-01-14",116.838],["2019-01-21",119.538],["2019-01-28",118.127],["2019-02-11",123.411],["2019-02-18",132.404],["2019-02-25",142.244],["2019-03-04",148.492],["2019-03-11",156.429],["2019-03-18",155.792],["2019-03-25",153.424],["2019-04-01",158.81],["2019-04-08",157.554],["2019-04-15",151.959],["2019-04-22",154.508],["2019-04-29",147.897],["2019-05-06",139.947],["2019-05-13",140.307],["2019-05-20",138.346],["2019-05-27",139.648],["2019-06-03",138.154],["2019-06-10",135.432],["2019-06-17",136.211],["2019-06-24",142.93],["2019-07-01",147.855],["2019-07-08",142.528],["2019-07-15",146.423],["2019-07-22",143.469],["2019-07-29",148.262],["2019-08-05",144.936],["2019-08-12",145.744],["2019-08-19",153.595],["2019-08-26",151.507],["2019-09-02",156.381],["2019-09-09",164.042],["2019-09-16",162.257],["2019-09-23",159.414],["2019-09-30",154.041],["2019-10-08",153.003],["2019-10-14",159.084],["2019-10-21",155.78],["2019-10-28",161.456],["2019-11-04",161.03],["2019-11-11",158.492],["2019-11-18",159.379],["2019-11-25",157.416],["2019-12-02",158.152],["2019-12-09",163.034],["2019-12-16",168.647],["2019-12-23",164.507],["2019-12-30",169.586],["2020-01-06",176.186],["2020-01-13",183.306],["2020-01-20",187.767],["2020-02-03",173.447],["2020-02-10",188.525],["2020-02-17",194.364],["2020-02-24",200.722],["2020-03-02",195.31],["2020-03-09",193.183],["2020-03-16",183.464],["2020-03-23",178.919],["2020-03-30",180.318],["2020-04-07",187.016],["2020-04-13",184.079],["2020-04-20",192.659],["2020-04-27",190.481],["2020-05-06",199.149],["2020-05-11",198.448],["2020-05-18",199.68],["2020-05-25",193.868],["2020-06-01",204.017],["2020-06-08",203.612],["2020-06-15",210.34],["2020-06-22",222.092],["2020-06-29",224.91],["2020-07-06",239.83],["2020-07-13",273.998],["2020-07-20",258.97],["2020-07-27",256.566],["2020-08-03",270.024],["2020-08-10",262.33],["2020-08-17",260.559],["2020-08-24",261.247],["2020-08-31",264.684],["2020-09-07",256.775],["2020-09-14",251.316],["2020-09-21",250.906],["2020-09-28",246.852],["2020-10-09",259.191],["2020-10-12",266.595],["2020-10-19",258.719],["2020-10-26",252.605],["2020-11-02",260.395],["2020-11-09",270.128],["2020-11-16",260.743],["2020-11-23",258.535],["2020-11-30",253.362],["2020-12-07",262.468],["2020-12-14",262.48],["2020-12-21",277.481],["2020-12-28",273.666],["2021-01-04",295.842],["2021-01-11",297.27],["2021-01-18",302.374],["2021-01-25",319.208],["2021-02-01",305.315],["2021-02-08",314.224],["2021-02-18",317.806],["2021-02-22",305.555],["2021-03-01",295.093],["2021-03-08",277.132],["2021-03-15",271.582],["2021-03-22",275.246],["2021-03-29",277.435],["2021-04-06",284.029],["2021-04-12",273.982],["2021-04-19",291.577],["2021-04-26",298.762],["2021-05-06",303.349],["2021-05-10",294.951],["2021-05-17",312.513],["2021-05-24",315.227],["2021-05-31",331.729],["2021-06-07",324.295],["2021-06-15",327.76],["2021-06-21",328.128],["2021-06-28",342.006],["2021-07-05",336.788],["2021-07-12",350.859],["2021-07-19",344.028],["2021-07-26",338.036],["2021-08-02",345.284],["2021-08-09",342.74],["2021-08-16",331.144],["2021-08-23",330.642],["2021-08-30",327.445],["2021-09-06",321.92],["2021-09-13",318.819],["2021-09-22",315.953],["2021-09-27",322.668],["2021-10-08",323.837],["2021-10-11",319.142],["2021-10-18",327.16],["2021-10-25",333.364],["2021-11-01",332.695],["2021-11-08",337.525],["2021-11-15",339.68],["2021-11-22",350.049],["2021-11-29",349.819],["2021-12-06",340.085],["2021-12-13",349.175],["2021-12-20",332.763],["2021-12-27",328.89],["2022-01-04",324.533],["2022-01-10",309.11],["2022-01-17",316.57],["2022-01-24",305.19],["2022-02-07",291.402],["2022-02-14",273.234],["2022-02-21",279.241],["2022-02-28",285.359],["2022-03-07",263.787],["2022-03-14",259.154],["2022-03-21",268.725],["2022-03-28",259.663],["2022-04-06",262.105],["2022-04-11",250.298],["2022-04-18",252.474],["2022-04-25",226.581],["2022-05-05",234.118],["2022-05-09",230.312],["2022-05-16",236.483],["2022-05-23",241.538],["2022-05-30",238.52],["2022-06-06",258.433],["2022-06-13",257.708],["2022-06-20",272.942],["2022-06-27",285.307],["2022-07-04",286.184],["2022-07-11",279.553],["2022-07-18",282.526],["2022-07-25",273.265],["2022-08-01",276.173],["2022-08-08",270.312],["2022-08-15",274.647],["2022-08-22",280.752],["2022-08-29",265.751],["2022-09-05",256.426],["2022-09-13",257.681],["2022-09-19",237.451],["2022-09-26",234.69],["2022-10-10",225.981],["2022-10-17",243.643],["2022-10-24",234.695],["2022-10-31",229.008],["2022-11-07",243.671],["2022-11-14",237.269],["2022-11-21",238.28],["2022-11-28",230.169],["2022-12-05",238.009],["2022-12-12",240.454],["2022-12-19",234.965],["2022-12-26",233.434],["2023-01-03",235.938],["2023-01-09",244.344],["2023-01-16",254.271],["2023-01-30",261.717],["2023-02-06",254.729],["2023-02-13",257.641],["2023-02-20",248.391],["2023-02-27",241.282],["2023-03-06",243.462],["2023-03-13",236.003],["2023-03-20",229.48],["2023-03-27",240.103],["2023-04-03",244.376],["2023-04-10",244.708],["2023-04-17",243.798],["2023-04-24",230.524],["2023-05-04",230.432],["2023-05-08",228.057],["2023-05-15",230.808],["2023-05-22",228.915],["2023-05-29",221.468],["2023-06-05",221.464],["2023-06-12",216.708],["2023-06-19",228.137],["2023-06-26",220.201],["2023-07-03",224.527],["2023-07-10",221.614],["2023-07-17",222.525],["2023-07-24",216.427],["2023-07-31",225.486],["2023-08-07",225.9],["2023-08-14",218.229],["2023-08-21",210.193],["2023-08-28",207.68],["2023-09-04",213.526],["2023-09-11",207.997],["2023-09-18",203.692],["2023-09-25",202.158],["2023-10-09",201.507],["2023-10-16",197.293],["2023-10-23",188.047],["2023-10-30",199.419],["2023-11-06",204.929],["2023-11-13",202.598],["2023-11-20",200.96],["2023-11-27",194.377],["2023-12-04",192.632],["2023-12-11",193.321],["2023-12-18",183.659],["2023-12-25",184.827],["2024-01-02",187.285],["2024-01-08",176.032],["2024-01-15",176.153],["2024-01-22",168.358],["2024-01-29",163.7],["2024-02-05",157.756],["2024-02-19",170.136],["2024-02-26",170.466],["2024-03-04",176.085],["2024-03-11",180.117],["2024-03-18",183.062],["2024-03-25",175.035],["2024-04-01",178.705],["2024-04-08",173.029],["2024-04-15",171.756],["2024-04-22",167.509],["2024-04-29",180.17],["2024-05-06",181.717],["2024-05-13",178.58],["2024-05-20",180.152],["2024-05-27",176.018],["2024-06-03",175.193],["2024-06-11",172.232],["2024-06-17",174.166],["2024-06-24",167.02],["2024-07-01",162.417],["2024-07-08",157.244],["2024-07-15",161.577],["2024-07-22",166.496],["2024-07-29",157.983],["2024-08-05",155.241],["2024-08-12",153.86],["2024-08-19",153.56],["2024-08-26",149.311],["2024-09-02",148.503],["2024-09-09",148.843],["2024-09-18",148.313],["2024-09-23",148.037],["2024-09-30",183.641],["2024-10-08",192.96],["2024-10-14",184.966],["2024-10-21",186.156],["2024-10-28",186.56],["2024-11-04",185.972],["2024-11-11",194.321],["2024-11-18",183.688],["2024-11-25",182.994],["2024-12-02",187.163],["2024-12-09",186.832],["2024-12-16",183.145],["2024-12-23",181.962],["2024-12-30",183.501],["2025-01-06",167.524],["2025-01-13",164.885],["2025-01-20",174.25],["2025-01-27",171.584],["2025-02-05",171.522],["2025-02-10",180.23],["2025-02-17",183.38],["2025-02-24",187.042],["2025-03-03",181.92],["2025-03-10",182.116],["2025-03-17",183.376],["2025-03-24",178.196],["2025-03-31",174.182],["2025-04-07",159.073],["2025-04-14",164.904],["2025-04-21",165.446],["2025-04-28",165.352],["2025-05-06",167.703],["2025-05-12",173.858],["2025-05-19",171.207],["2025-05-26",169.075],["2025-06-03",169.083],["2025-06-09",174.125],["2025-06-16",173.943],["2025-06-23",170.691],["2025-06-30",182.2],["2025-07-07",180.286],["2025-07-14",185.969],["2025-07-21",194.435],["2025-07-28",199.997],["2025-08-04",197.603],["2025-08-11",201.455],["2025-08-18",220.618],["2025-08-25",233.835],["2025-09-01",249.682],["2025-09-08",246.611],["2025-09-15",253.338],["2025-09-22",255.499],["2025-09-29",262.166],["2025-10-09",263.4],["2025-10-13",253.679],["2025-10-20",248.671],["2025-10-27",262.483],["2025-11-03",260.637],["2025-11-10",259.349],["2025-11-17",254.292],["2025-11-24",241.487],["2025-12-01",253.919],["2025-12-08",261.527],["2025-12-15",257.182],["2025-12-22",261.477],["2025-12-29",263.986],["2026-01-05",269.882],["2026-01-12",277.567],["2026-01-19",273.428],["2026-01-26",271.916],["2026-02-02",267.407],["2026-02-09",273.032],["2026-02-24",271.024],["2026-03-02",269.869],["2026-03-09",262.859],["2026-03-16",275.023],["2026-03-23",265.484],["2026-03-30",268.505],["2026-04-07",260.147],["2026-04-13",278.976],["2026-04-20",290.136],["2026-04-27",289.173],["2026-05-06",297.55],["2026-05-11",308.35],["2026-05-18",307.924],["2026-05-25",315.116],["2026-06-01",310.612],["2026-06-08",302.451],["2026-06-15",314.089],["2026-06-22",330.44],["2026-06-29",324.316],["2026-07-06",313.645],["2026-07-13",304.417],["2026-07-20",292.962],["2026-07-27",298.744],["2026-08-03",288.295],["2026-08-10",296.484],["2026-08-17",304.561],["2026-08-24",291.493],["2026-08-31",291.913],["2026-09-07",288.748],["2026-09-14",281.382],["2026-09-21",291.853],["2026-09-28",270.571],["2026-10-08",262.54],["2026-10-12",257.13],["2026-10-19",239.508],["2026-10-26",230.023],["2026-11-02",218.822],["2026-11-06",218.653]]},{"id":"voltrend","name":"趋势 × 波动率","en":"Trend × Vol","category":"组合","description":"200 日均线决定在不在场，波动率决定拿多少仓位，两者相乘。","color":"#0f766e","cost_bps":5.0,"cost_note":"单边 5bp；上限 100% 仓位，不含融资","turnover":null,"metrics":{"full":{"cagr":0.103,"vol":0.1668,"sharpe":0.516,"sortino":0.726,"max_dd":-0.5205,"calmar":0.198,"hit_rate":0.288,"days":3989,"total_return":3.7213},"is":{"cagr":0.1157,"vol":0.172,"sharpe":0.555,"sortino":0.772,"max_dd":-0.5205,"calmar":0.222,"hit_rate":0.309,"days":2817,"total_return":2.4017},"oos":{"cagr":0.073,"vol":0.1534,"sharpe":0.416,"sortino":0.604,"max_dd":-0.1946,"calmar":0.375,"hit_rate":0.237,"days":1172,"total_return":0.3879}},"yearly":[{"year":"2010","return":0.0},{"year":"2011","return":0.0},{"year":"2012","return":-0.1091},{"year":"2013","return":0.7521},{"year":"2014","return":0.0256},{"year":"2015","return":0.5711},{"year":"2016","return":-0.1419},{"year":"2017","return":-0.0786},{"year":"2018","return":-0.1428},{"year":"2019","return":0.1447},{"year":"2020","return":0.6764},{"year":"2021","return":0.0399},{"year":"2022","return":-0.049},{"year":"2023","return":-0.0185},{"year":"2024","return":0.0262},{"year":"2025","return":0.3302},{"year":"2026","return":0.0893}],"curve":[["2010-06-02",100.0],["2010-06-07",100.0],["2010-06-17",100.0],["2010-06-21",100.0],["2010-06-28",100.0],["2010-07-05",100.0],["2010-07-12",100.0],["2010-07-19",100.0],["2010-07-26",100.0],["2010-08-02",100.0],["2010-08-09",100.0],["2010-08-16",100.0],["2010-08-23",100.0],["2010-08-30",100.0],["2010-09-06",100.0],["2010-09-13",100.0],["2010-09-20",100.0],["2010-09-27",100.0],["2010-10-08",100.0],["2010-10-11",100.0],["2010-10-18",100.0],["2010-10-25",100.0],["2010-11-01",100.0],["2010-11-08",100.0],["2010-11-15",100.0],["2010-11-22",100.0],["2010-11-29",100.0],["2010-12-06",100.0],["2010-12-13",100.0],["2010-12-20",100.0],["2010-12-27",100.0],["2011-01-04",100.0],["2011-01-10",100.0],["2011-01-17",100.0],["2011-01-24",100.0],["2011-01-31",100.0],["2011-02-09",100.0],["2011-02-14",100.0],["2011-02-21",100.0],["2011-02-28",100.0],["2011-03-07",100.0],["2011-03-14",100.0],["2011-03-21",100.0],["2011-03-28",100.0],["2011-04-06",100.0],["2011-04-11",100.0],["2011-04-18",100.0],["2011-04-25",100.0],["2011-05-03",100.0],["2011-05-09",100.0],["2011-05-16",100.0],["2011-05-23",100.0],["2011-05-30",100.0],["2011-06-07",100.0],["2011-06-13",100.0],["2011-06-20",100.0],["2011-06-27",100.0],["2011-07-04",100.0],["2011-07-11",100.0],["2011-07-18",100.0],["2011-07-25",100.0],["2011-08-01",100.0],["2011-08-08",100.0],["2011-08-15",100.0],["2011-08-22",100.0],["2011-08-29",100.0],["2011-09-05",100.0],["2011-09-13",100.0],["2011-09-19",100.0],["2011-09-26",100.0],["2011-10-10",100.0],["2011-10-17",100.0],["2011-10-24",100.0],["2011-10-31",100.0],["2011-11-07",100.0],["2011-11-14",100.0],["2011-11-21",100.0],["2011-11-28",100.0],["2011-12-05",100.0],["2011-12-12",100.0],["2011-12-19",100.0],["2011-12-26",100.0],["2012-01-04",100.0],["2012-01-09",100.0],["2012-01-16",100.0],["2012-01-30",100.0],["2012-02-06",100.0],["2012-02-13",100.0],["2012-02-20",100.0],["2012-02-27",100.0],["2012-03-05",100.0],["2012-03-12",100.0],["2012-03-19",100.0],["2012-03-26",100.0],["2012-04-05",100.0],["2012-04-09",100.0],["2012-04-16",100.0],["2012-04-23",100.0],["2012-05-02",100.0],["2012-05-07",100.0],["2012-05-14",100.0],["2012-05-21",100.0],["2012-05-28",100.0],["2012-06-04",100.0],["2012-06-11",100.0],["2012-06-18",100.0],["2012-06-25",100.0],["2012-07-02",100.0],["2012-07-09",100.0],["2012-07-16",100.0],["2012-07-23",100.0],["2012-07-30",100.0],["2012-08-06",100.0],["2012-08-13",97.858],["2012-08-20",97.809],["2012-08-27",95.711],["2012-09-03",95.711],["2012-09-10",99.814],["2012-09-17",94.856],["2012-09-24",91.982],["2012-10-08",91.982],["2012-10-15",90.782],["2012-10-22",91.205],["2012-10-29",89.608],["2012-11-05",89.608],["2012-11-12",89.608],["2012-11-19",89.608],["2012-11-26",89.608],["2012-12-03",89.608],["2012-12-10",89.608],["2012-12-17",89.608],["2012-12-24",89.608],["2012-12-31",89.09],["2013-01-07",89.62],["2013-01-14",94.917],["2013-01-21",98.917],["2013-01-28",97.878],["2013-02-04",96.435],["2013-02-18",103.844],["2013-02-25",105.994],["2013-03-04",107.108],["2013-03-11",108.031],["2013-03-18",106.436],["2013-03-25",109.632],["2013-04-01",109.234],["2013-04-08",106.621],["2013-04-15",104.54],["2013-04-22",114.528],["2013-05-02",114.063],["2013-05-06",118.381],["2013-05-13",122.513],["2013-05-20",128.249],["2013-05-27",132.342],["2013-06-03",128.711],["2013-06-13",126.583],["2013-06-17",130.887],["2013-06-24",121.103],["2013-07-01",127.973],["2013-07-08",126.197],["2013-07-15",133.955],["2013-07-22",135.358],["2013-07-29",134.179],["2013-08-05",139.533],["2013-08-12",136.137],["2013-08-19",136.998],["2013-08-26",143.435],["2013-09-02",140.536],["2013-09-09",147.256],["2013-09-16",147.878],["2013-09-23",152.596],["2013-09-30",156.652],["2013-10-08",158.787],["2013-10-14",159.655],["2013-10-21",160.585],["2013-10-28",150.344],["2013-11-04",145.603],["2013-11-11",144.575],["2013-11-18",151.776],["2013-11-25",151.996],["2013-12-02",151.783],["2013-12-09",150.708],["2013-12-16",153.74],["2013-12-23",150.767],["2013-12-30",156.521],["2014-01-06",158.357],["2014-01-13",163.279],["2014-01-20",164.467],["2014-01-27",175.434],["2014-02-07",181.232],["2014-02-10",183.556],["2014-02-17",184.291],["2014-02-24",182.33],["2014-03-03",174.981],["2014-03-10",169.57],["2014-03-17",176.444],["2014-03-24",168.912],["2014-03-31",161.762],["2014-04-08",164.2],["2014-04-14",166.399],["2014-04-21",165.345],["2014-04-28",156.57],["2014-05-05",156.57],["2014-05-12",153.231],["2014-05-19",153.231],["2014-05-26",153.231],["2014-06-03",148.462],["2014-06-09",145.248],["2014-06-16",152.832],["2014-06-23",147.475],["2014-06-30",152.188],["2014-07-07",151.027],["2014-07-14",148.159],["2014-07-21",145.308],["2014-07-28",145.308],["2014-08-04",145.308],["2014-08-11",149.195],["2014-08-18",152.502],["2014-08-25",154.112],["2014-09-01",155.077],["2014-09-09",159.473],["2014-09-15",162.9],["2014-09-22",158.334],["2014-09-29",162.904],["2014-10-08",166.256],["2014-10-13",165.269],["2014-10-20",163.575],["2014-10-27",159.266],["2014-11-03",163.309],["2014-11-10",161.701],["2014-11-17",157.121],["2014-11-24",160.978],["2014-12-01",165.728],["2014-12-08",167.315],["2014-12-15",174.73],["2014-12-22",163.453],["2014-12-29",162.088],["2015-01-05",159.545],["2015-01-12",168.446],["2015-01-19",171.786],["2015-01-26",180.111],["2015-02-02",176.497],["2015-02-09",177.932],["2015-02-16",193.964],["2015-02-25",192.165],["2015-03-02",202.515],["2015-03-09",203.203],["2015-03-16",216.263],["2015-03-23",229.341],["2015-03-30",230.145],["2015-04-07",250.961],["2015-04-13",252.844],["2015-04-20",242.098],["2015-04-27",262.405],["2015-05-04",268.418],["2015-05-11",284.27],["2015-05-18",291.034],["2015-05-25",301.552],["2015-06-01",313.809],["2015-06-08",313.275],["2015-06-15",313.58],["2015-06-23",302.397],["2015-06-29",276.666],["2015-07-06",268.611],["2015-07-13",275.79],["2015-07-20",281.752],["2015-07-27",274.965],["2015-08-03",263.212],["2015-08-10",276.4],["2015-08-17",274.667],["2015-08-24",252.498],["2015-08-31",252.448],["2015-09-07",252.448],["2015-09-14",252.448],["2015-09-21",252.448],["2015-09-28",252.448],["2015-10-08",252.448],["2015-10-12",252.448],["2015-10-19",251.596],["2015-10-26",250.671],["2015-11-02",245.813],["2015-11-09",252.594],["2015-11-16",256.154],["2015-11-23",255.494],["2015-11-30",251.5],["2015-12-07",255.177],["2015-12-14",253.662],["2015-12-21",261.498],["2015-12-28",253.502],["2016-01-04",236.942],["2016-01-11",236.858],["2016-01-18",236.858],["2016-01-25",236.858],["2016-02-01",236.858],["2016-02-15",236.858],["2016-02-22",236.858],["2016-02-29",236.858],["2016-03-07",236.858],["2016-03-14",236.858],["2016-03-21",236.858],["2016-03-28",236.858],["2016-04-05",236.858],["2016-04-11",236.858],["2016-04-18",236.858],["2016-04-25",236.858],["2016-05-03",236.858],["2016-05-09",236.858],["2016-05-16",236.858],["2016-05-23",236.858],["2016-05-30",236.858],["2016-06-06",236.858],["2016-06-13",236.858],["2016-06-20",236.858],["2016-06-27",236.858],["2016-07-04",236.858],["2016-07-11",236.858],["2016-07-18",234.401],["2016-07-25",234.401],["2016-08-01",234.401],["2016-08-08",234.401],["2016-08-15",234.401],["2016-08-22",234.401],["2016-08-29",234.401],["2016-09-05",234.401],["2016-09-12",234.401],["2016-09-19",234.401],["2016-09-26",234.401],["2016-10-10",234.401],["2016-10-17",229.976],["2016-10-24",230.024],["2016-10-31",225.734],["2016-11-07",223.173],["2016-11-14",220.205],["2016-11-21",219.172],["2016-11-28",218.208],["2016-12-05",215.823],["2016-12-12",215.823],["2016-12-19",215.823],["2016-12-26",215.823],["2017-01-03",215.823],["2017-01-09",215.823],["2017-01-16",215.823],["2017-01-23",215.823],["2017-02-03",215.823],["2017-02-06",215.823],["2017-02-13",215.823],["2017-02-20",215.823],["2017-02-27",215.823],["2017-03-06",215.823],["2017-03-13",215.823],["2017-03-20",215.823],["2017-03-27",215.823],["2017-04-05",215.823],["2017-04-10",215.823],["2017-04-17",215.823],["2017-04-24",215.823],["2017-05-02",215.823],["2017-05-08",215.823],["2017-05-15",215.823],["2017-05-22",215.823],["2017-05-31",215.823],["2017-06-05",215.823],["2017-06-12",215.823],["2017-06-19",215.823],["2017-06-26",215.823],["2017-07-03",215.823],["2017-07-10",215.823],["2017-07-17",215.823],["2017-07-24",215.823],["2017-07-31",215.823],["2017-08-07",215.823],["2017-08-14",215.823],["2017-08-21",215.823],["2017-08-28",215.823],["2017-09-04",215.823],["2017-09-11",217.176],["2017-09-18",216.997],["2017-09-25",211.141],["2017-10-09",214.898],["2017-10-16",214.085],["2017-10-23",215.912],["2017-10-30",211.049],["2017-11-06",208.326],["2017-11-13",214.54],["2017-11-20",206.273],["2017-11-27",198.867],["2017-12-04",198.867],["2017-12-11",198.867],["2017-12-18",198.867],["2017-12-25",198.867],["2018-01-02",198.867],["2018-01-08",198.867],["2018-01-15",198.867],["2018-01-22",198.867],["2018-01-29",196.442],["2018-02-05",196.344],["2018-02-12",196.344],["2018-02-22",196.344],["2018-02-26",196.344],["2018-03-05",196.344],["2018-03-12",198.344],["2018-03-19",194.361],["2018-03-26",183.622],["2018-04-02",187.803],["2018-04-09",183.495],["2018-04-16",183.277],["2018-04-23",175.799],["2018-05-02",172.647],["2018-05-07",174.898],["2018-05-14",172.894],["2018-05-21",175.918],["2018-05-28",170.46],["2018-06-04",170.46],["2018-06-11",170.46],["2018-06-19",170.46],["2018-06-25",170.46],["2018-07-02",170.46],["2018-07-09",170.46],["2018-07-16",170.46],["2018-07-23",170.46],["2018-07-30",170.46],["2018-08-06",170.46],["2018-08-13",170.46],["2018-08-20",170.46],["2018-08-27",170.46],["2018-09-03",170.46],["2018-09-10",170.46],["2018-09-17",170.46],["2018-09-25",170.46],["2018-10-08",170.46],["2018-10-15",170.46],["2018-10-22",170.46],["2018-10-29",170.46],["2018-11-05",170.46],["2018-11-12",170.46],["2018-11-19",170.46],["2018-11-26",170.46],["2018-12-03",170.46],["2018-12-10",170.46],["2018-12-17",170.46],["2018-12-24",170.46],["2019-01-02",170.46],["2019-01-07",170.46],["2019-01-14",170.46],["2019-01-21",170.46],["2019-01-28",170.46],["2019-02-11",170.46],["2019-02-18",170.46],["2019-02-25",170.46],["2019-03-04",177.876],["2019-03-11",187.384],["2019-03-18",186.621],["2019-03-25",183.785],["2019-04-01",190.236],["2019-04-08",188.732],["2019-04-15",182.029],["2019-04-22",185.083],["2019-04-29",177.164],["2019-05-06",167.641],["2019-05-13",168.071],["2019-05-20",165.722],["2019-05-27",167.282],["2019-06-03",165.492],["2019-06-10",160.488],["2019-06-17",156.033],["2019-06-24",163.73],["2019-07-01",169.372],["2019-07-08",163.269],["2019-07-15",167.732],["2019-07-22",164.348],["2019-07-29",169.838],["2019-08-05",166.027],["2019-08-12",166.953],["2019-08-19",175.947],["2019-08-26",173.555],["2019-09-02",179.138],["2019-09-09",187.914],["2019-09-16",185.869],["2019-09-23",182.613],["2019-09-30",176.458],["2019-10-08",175.269],["2019-10-14",182.234],["2019-10-21",178.45],["2019-10-28",184.952],["2019-11-04",184.463],["2019-11-11",181.557],["2019-11-18",182.573],["2019-11-25",180.324],["2019-12-02",181.167],["2019-12-09",186.759],["2019-12-16",193.19],["2019-12-23",188.447],["2019-12-30",194.264],["2020-01-06",201.825],["2020-01-13",209.981],["2020-01-20",215.092],["2020-02-03",198.688],["2020-02-10",215.96],["2020-02-17",222.648],["2020-02-24",229.932],["2020-03-02",223.732],["2020-03-09",221.296],["2020-03-16",210.162],["2020-03-23",204.957],["2020-03-30",206.558],["2020-04-07",214.231],["2020-04-13",210.867],["2020-04-20",220.695],["2020-04-27",218.2],["2020-05-06",228.13],["2020-05-11",227.327],["2020-05-18",228.739],["2020-05-25",222.08],["2020-06-01",233.706],["2020-06-08",233.242],["2020-06-15",240.95],["2020-06-22",254.411],["2020-06-29",257.64],["2020-07-06",274.731],["2020-07-13",313.871],["2020-07-20",296.656],["2020-07-27",293.902],["2020-08-03",309.319],["2020-08-10",300.506],["2020-08-17",298.477],["2020-08-24",299.265],["2020-08-31",303.201],["2020-09-07",294.142],["2020-09-14",287.889],["2020-09-21",287.419],["2020-09-28",282.775],["2020-10-09",296.909],["2020-10-12",305.391],["2020-10-19",296.369],["2020-10-26",289.365],["2020-11-02",298.289],["2020-11-09",309.438],["2020-11-16",298.688],["2020-11-23",296.158],["2020-11-30",290.232],["2020-12-07",300.663],["2020-12-14",300.677],["2020-12-21",317.861],["2020-12-28",313.491],["2021-01-04",338.895],["2021-01-11",340.529],["2021-01-18",346.377],["2021-01-25",365.661],["2021-02-01",349.746],["2021-02-08",359.951],["2021-02-18",364.054],["2021-02-22",350.02],["2021-03-01",338.036],["2021-03-08",317.462],["2021-03-15",302.808],["2021-03-22",297.237],["2021-03-29",296.326],["2021-04-06",300.508],["2021-04-12",289.877],["2021-04-19",298.955],["2021-04-26",306.322],["2021-05-06",311.025],["2021-05-10",302.415],["2021-05-17",320.421],["2021-05-24",323.204],["2021-05-31",340.123],["2021-06-07",332.501],["2021-06-15",336.054],["2021-06-21",336.431],["2021-06-28",350.66],["2021-07-05",345.31],["2021-07-12",359.737],["2021-07-19",352.733],["2021-07-26",346.59],["2021-08-02",354.021],["2021-08-09",351.413],["2021-08-16",339.523],["2021-08-23",339.009],["2021-08-30",335.731],["2021-09-06",330.066],["2021-09-13",326.886],["2021-09-22",323.948],["2021-09-27",330.833],["2021-10-08",332.031],["2021-10-11",327.218],["2021-10-18",335.438],["2021-10-25",341.8],["2021-11-01",341.114],["2021-11-08",346.066],["2021-11-15",348.276],["2021-11-22",358.907],["2021-11-29",358.671],["2021-12-06",348.691],["2021-12-13",358.01],["2021-12-20",341.184],["2021-12-27",337.212],["2022-01-04",332.745],["2022-01-10",323.508],["2022-01-17",323.508],["2022-01-24",323.508],["2022-02-07",323.508],["2022-02-14",323.508],["2022-02-21",323.508],["2022-02-28",323.508],["2022-03-07",323.508],["2022-03-14",323.508],["2022-03-21",323.508],["2022-03-28",323.508],["2022-04-06",323.508],["2022-04-11",323.508],["2022-04-18",323.508],["2022-04-25",323.508],["2022-05-05",323.508],["2022-05-09",323.508],["2022-05-16",323.508],["2022-05-23",323.508],["2022-05-30",323.508],["2022-06-06",323.508],["2022-06-13",323.508],["2022-06-20",323.508],["2022-06-27",323.508],["2022-07-04",323.508],["2022-07-11",323.508],["2022-07-18",323.508],["2022-07-25",323.508],["2022-08-01",323.508],["2022-08-08",323.508],["2022-08-15",323.508],["2022-08-22",323.508],["2022-08-29",323.508],["2022-09-05",323.508],["2022-09-13",323.508],["2022-09-19",323.508],["2022-09-26",323.508],["2022-10-10",323.508],["2022-10-17",323.508],["2022-10-24",323.508],["2022-10-31",323.508],["2022-11-07",323.508],["2022-11-14",323.508],["2022-11-21",323.508],["2022-11-28",323.508],["2022-12-05",323.508],["2022-12-12",323.508],["2022-12-19",323.508],["2022-12-26",323.508],["2023-01-03",323.508],["2023-01-09",323.508],["2023-01-16",329.366],["2023-01-30",339.011],["2023-02-06",329.96],["2023-02-13",333.732],["2023-02-20",317.513],["2023-02-27",317.513],["2023-03-06",317.513],["2023-03-13",317.513],["2023-03-20",317.513],["2023-03-27",317.513],["2023-04-03",317.513],["2023-04-10",317.513],["2023-04-17",317.513],["2023-04-24",317.513],["2023-05-04",317.513],["2023-05-08",317.513],["2023-05-15",317.513],["2023-05-22",317.513],["2023-05-29",317.513],["2023-06-05",317.513],["2023-06-12",317.513],["2023-06-19",317.513],["2023-06-26",317.513],["2023-07-03",317.513],["2023-07-10",317.513],["2023-07-17",317.513],["2023-07-24",317.513],["2023-07-31",317.513],["2023-08-07",317.513],["2023-08-14",317.513],["2023-08-21",317.513],["2023-08-28",317.513],["2023-09-04",317.513],["2023-09-11",317.513],["2023-09-18",317.513],["2023-09-25",317.513],["2023-10-09",317.513],["2023-10-16",317.513],["2023-10-23",317.513],["2023-10-30",317.513],["2023-11-06",317.513],["2023-11-13",317.513],["2023-11-20",317.513],["2023-11-27",317.513],["2023-12-04",317.513],["2023-12-11",317.513],["2023-12-18",317.513],["2023-12-25",317.513],["2024-01-02",317.513],["2024-01-08",317.513],["2024-01-15",317.513],["2024-01-22",317.513],["2024-01-29",317.513],["2024-02-05",317.513],["2024-02-19",317.513],["2024-02-26",317.513],["2024-03-04",317.513],["2024-03-11",317.513],["2024-03-18",317.513],["2024-03-25",317.513],["2024-04-01",317.513],["2024-04-08",317.513],["2024-04-15",317.513],["2024-04-22",317.513],["2024-04-29",317.513],["2024-05-06",317.513],["2024-05-13",317.513],["2024-05-20",317.513],["2024-05-27",317.513],["2024-06-03",317.513],["2024-06-11",317.513],["2024-06-17",317.513],["2024-06-24",317.513],["2024-07-01",317.513],["2024-07-08",317.513],["2024-07-15",317.513],["2024-07-22",317.513],["2024-07-29",317.513],["2024-08-05",317.513],["2024-08-12",317.513],["2024-08-19",317.513],["2024-08-26",317.513],["2024-09-02",317.513],["2024-09-09",317.513],["2024-09-18",317.513],["2024-09-23",317.513],["2024-09-30",335.935],["2024-10-08",352.983],["2024-10-14",338.359],["2024-10-21",340.535],["2024-10-28",341.275],["2024-11-04",340.199],["2024-11-11",355.473],["2024-11-18",336.021],["2024-11-25",334.752],["2024-12-02",342.377],["2024-12-09",341.772],["2024-12-16",335.027],["2024-12-23",332.864],["2024-12-30",335.679],["2025-01-06",306.452],["2025-01-13",301.625],["2025-01-20",318.755],["2025-01-27",313.88],["2025-02-05",313.766],["2025-02-10",329.695],["2025-02-17",335.458],["2025-02-24",342.157],["2025-03-03",332.787],["2025-03-10",333.145],["2025-03-17",335.45],["2025-03-24",325.974],["2025-03-31",318.633],["2025-04-07",290.993],["2025-04-14",290.912],["2025-04-21",290.912],["2025-04-28",290.912],["2025-05-06",290.912],["2025-05-12",301.51],["2025-05-19",296.913],["2025-05-26",293.215],["2025-06-03",288.126],["2025-06-09",293.262],["2025-06-16",292.957],["2025-06-23",288.607],["2025-06-30",300.961],["2025-07-07",297.8],["2025-07-14",307.187],["2025-07-21",321.171],["2025-07-28",330.359],["2025-08-04",326.405],["2025-08-11",332.767],["2025-08-18",364.422],["2025-08-25",386.253],["2025-09-01",412.43],["2025-09-08",407.357],["2025-09-15",418.469],["2025-09-22",422.039],["2025-09-29",433.051],["2025-10-09",435.089],["2025-10-13",419.032],["2025-10-20",410.76],["2025-10-27",433.575],["2025-11-03",430.526],["2025-11-10",428.398],["2025-11-17",420.045],["2025-11-24",398.892],["2025-12-01",419.429],["2025-12-08",431.996],["2025-12-15",424.818],["2025-12-22",431.913],["2025-12-29",436.057],["2026-01-05",445.796],["2026-01-12",458.491],["2026-01-19",451.655],["2026-01-26",449.156],["2026-02-02",441.708],["2026-02-09",450.999],["2026-02-24",447.683],["2026-03-02",445.775],["2026-03-09",434.196],["2026-03-16",454.289],["2026-03-23",438.532],["2026-03-30",443.521],["2026-04-07",429.717],["2026-04-13",460.819],["2026-04-20",479.253],["2026-04-27",477.661],["2026-05-06",491.5],["2026-05-11",509.339],["2026-05-18",508.635],["2026-05-25",520.515],["2026-06-01",513.075],["2026-06-08",499.595],["2026-06-15",518.819],["2026-06-22",545.827],["2026-06-29",535.711],["2026-07-06",518.086],["2026-07-13",502.842],["2026-07-20",483.921],["2026-07-27",493.472],["2026-08-03",477.671],["2026-08-10",480.341],["2026-08-17",493.426],["2026-08-24",472.255],["2026-08-31",472.133],["2026-09-07",472.133],["2026-09-14",472.133],["2026-09-21",472.133],["2026-09-28",472.133],["2026-10-08",472.133],["2026-10-12",472.133],["2026-10-19",472.133],["2026-10-26",472.133],["2026-11-02",472.133],["2026-11-06",472.133]]},{"id":"relmom","name":"创业板 / 沪深300 轮动","en":"Relative Momentum","category":"轮动","description":"每月末比较两个指数过去 126 日收益，满仓持有更强的一个。","color":"#c2410c","cost_bps":10.0,"cost_note":"单边 10bp（两只 ETF 切换）","turnover":2.12,"metrics":{"full":{"cagr":0.0357,"vol":0.2732,"sharpe":0.171,"sortino":0.225,"max_dd":-0.5483,"calmar":0.065,"hit_rate":0.525,"days":3989,"total_return":0.7435},"is":{"cagr":0.0785,"vol":0.2793,"sharpe":0.307,"sortino":0.397,"max_dd":-0.5483,"calmar":0.143,"hit_rate":0.568,"days":2817,"total_return":1.3271},"oos":{"cagr":-0.0602,"vol":0.2579,"sharpe":-0.183,"sortino":-0.25,"max_dd":-0.4853,"calmar":-0.124,"hit_rate":0.424,"days":1172,"total_return":-0.2508}},"yearly":[{"year":"2010","return":0.1616},{"year":"2011","return":-0.3201},{"year":"2012","return":-0.1049},{"year":"2013","return":0.5464},{"year":"2014","return":0.3532},{"year":"2015","return":0.0482},{"year":"2016","return":-0.1575},{"year":"2017","return":0.2178},{"year":"2018","return":-0.2839},{"year":"2019","return":0.2983},{"year":"2020","return":0.5514},{"year":"2021","return":0.014},{"year":"2022","return":-0.3393},{"year":"2023","return":-0.1147},{"year":"2024","return":0.0415},{"year":"2025","return":0.37},{"year":"2026","return":-0.1023}],"curve":[["2010-06-02",101.48],["2010-06-07",103.97],["2010-06-17",104.72],["2010-06-21",104.283],["2010-06-28",100.442],["2010-07-05",90.272],["2010-07-12",96.776],["2010-07-19",95.743],["2010-07-26",101.099],["2010-08-02",104.48],["2010-08-09",106.489],["2010-08-16",106.451],["2010-08-23",104.186],["2010-08-30",106.056],["2010-09-06",106.444],["2010-09-13",107.877],["2010-09-20",100.978],["2010-09-27",102.035],["2010-10-08",104.963],["2010-10-11",105.795],["2010-10-18",107.863],["2010-10-25",116.877],["2010-11-01",120.546],["2010-11-08",121.851],["2010-11-15",120.022],["2010-11-22",118.785],["2010-11-29",121.432],["2010-12-06",116.655],["2010-12-13",122.251],["2010-12-20",120.855],["2010-12-27",113.971],["2011-01-04",118.135],["2011-01-10",111.862],["2011-01-17",105.152],["2011-01-24",101.758],["2011-01-31",105.25],["2011-02-09",104.256],["2011-02-14",110.365],["2011-02-21",111.694],["2011-02-28",111.065],["2011-03-07",114.32],["2011-03-14",111.866],["2011-03-21",109.952],["2011-03-28",112.814],["2011-04-06",113.516],["2011-04-11",114.283],["2011-04-18",115.175],["2011-04-25",111.408],["2011-05-03",110.09],["2011-05-09",107.3],["2011-05-16",106.296],["2011-05-23",103.639],["2011-05-30",101.292],["2011-06-07",102.998],["2011-06-13",101.149],["2011-06-20",98.563],["2011-06-27",104.103],["2011-07-04",107.034],["2011-07-11",106.733],["2011-07-18",107.055],["2011-07-25",101.765],["2011-08-01",102.088],["2011-08-08",95.786],["2011-08-15",100.036],["2011-08-22",95.233],["2011-08-29",97.805],["2011-09-05",94.069],["2011-09-13",93.262],["2011-09-19",91.856],["2011-09-26",89.512],["2011-10-10",87.667],["2011-10-17",91.433],["2011-10-24",88.338],["2011-10-31",92.406],["2011-11-07",95.139],["2011-11-14",99.169],["2011-11-21",93.448],["2011-11-28",93.848],["2011-12-05",85.8],["2011-12-12",85.615],["2011-12-19",85.902],["2011-12-26",81.529],["2012-01-04",76.556],["2012-01-09",74.966],["2012-01-16",68.631],["2012-01-30",70.508],["2012-02-06",72.569],["2012-02-13",73.37],["2012-02-20",73.623],["2012-02-27",76.981],["2012-03-05",77.158],["2012-03-12",76.918],["2012-03-19",76.211],["2012-03-26",74.05],["2012-04-05",72.815],["2012-04-09",72.303],["2012-04-16",74.589],["2012-04-23",75.516],["2012-05-02",77.761],["2012-05-07",78.754],["2012-05-14",75.791],["2012-05-21",74.971],["2012-05-28",75.767],["2012-06-04",74.154],["2012-06-11",74.132],["2012-06-18",74.797],["2012-06-25",71.184],["2012-07-02",71.436],["2012-07-09",70.011],["2012-07-16",69.538],["2012-07-23",68.544],["2012-07-30",67.685],["2012-08-06",72.333],["2012-08-13",72.058],["2012-08-20",72.377],["2012-08-27",71.556],["2012-09-03",71.684],["2012-09-10",75.494],["2012-09-17",71.714],["2012-09-24",68.366],["2012-10-08",68.409],["2012-10-15",69.517],["2012-10-22",71.727],["2012-10-29",68.147],["2012-11-05",68.617],["2012-11-12",67.005],["2012-11-19",65.058],["2012-11-26",63.27],["2012-12-03",58.792],["2012-12-10",64.007],["2012-12-17",64.333],["2012-12-24",67.318],["2012-12-31",70.696],["2013-01-07",70.102],["2013-01-14",71.255],["2013-01-21",72.172],["2013-01-28",73.304],["2013-02-04",75.963],["2013-02-18",75.671],["2013-02-25",72.008],["2013-03-04",71.919],["2013-03-11",72.389],["2013-03-18",70.977],["2013-03-25",73.445],["2013-04-01",73.05],["2013-04-08",71.135],["2013-04-15",69.73],["2013-04-22",76.392],["2013-05-02",76.219],["2013-05-06",79.926],["2013-05-13",83.086],["2013-05-20",87.856],["2013-05-27",91.084],["2013-06-03",88.029],["2013-06-13",86.185],["2013-06-17",89.918],["2013-06-24",81.363],["2013-07-01",88.444],["2013-07-08",86.346],["2013-07-15",95.496],["2013-07-22",96.686],["2013-07-29",95.28],["2013-08-05",100.798],["2013-08-12",97.366],["2013-08-19",98.173],["2013-08-26",103.769],["2013-09-02",101.423],["2013-09-09",106.931],["2013-09-16",107.173],["2013-09-23",111.136],["2013-09-30",114.642],["2013-10-08",116.297],["2013-10-14",116.795],["2013-10-21",117.412],["2013-10-28",107.195],["2013-11-04",102.452],["2013-11-11",101.633],["2013-11-18",108.208],["2013-11-25",108.43],["2013-12-02",105.089],["2013-12-09",104.065],["2013-12-16",107.27],["2013-12-23",104.157],["2013-12-30",109.62],["2014-01-06",110.906],["2014-01-13",114.212],["2014-01-20",115.046],["2014-01-27",123.84],["2014-02-07",128.451],["2014-02-10",130.188],["2014-02-17",130.624],["2014-02-24",129.066],["2014-03-03",122.79],["2014-03-10",117.924],["2014-03-17",123.819],["2014-03-24",117.11],["2014-03-31",111.285],["2014-04-08",113.307],["2014-04-14",115.121],["2014-04-21",114.395],["2014-04-28",105.494],["2014-05-05",109.265],["2014-05-12",107.282],["2014-05-19",103.179],["2014-05-26",111.021],["2014-06-03",110.969],["2014-06-09",111.582],["2014-06-16",117.408],["2014-06-23",114.553],["2014-06-30",118.213],["2014-07-07",117.311],["2014-07-14",115.084],["2014-07-21",110.038],["2014-07-28",110.677],["2014-08-04",113.737],["2014-08-11",113.245],["2014-08-18",113.686],["2014-08-25",112.169],["2014-09-01",112.765],["2014-09-09",117.069],["2014-09-15",116.685],["2014-09-22",113.895],["2014-09-29",117.193],["2014-10-08",118.54],["2014-10-13",117.836],["2014-10-20",116.628],["2014-10-27",113.556],["2014-11-03",116.439],["2014-11-10",115.292],["2014-11-17",112.027],["2014-11-24",114.777],["2014-12-01",118.044],["2014-12-08",136.173],["2014-12-15",134.681],["2014-12-22",142.101],["2014-12-29",144.654],["2015-01-05",152.444],["2015-01-12",147.087],["2015-01-19",140.455],["2015-01-26",151.039],["2015-02-02",140.405],["2015-02-09",140.068],["2015-02-16",146.497],["2015-02-25",145.628],["2015-03-02",150.758],["2015-03-09",148.099],["2015-03-16",155.128],["2015-03-23",166.28],["2015-03-30",171.141],["2015-04-07",178.336],["2015-04-13",185.077],["2015-04-20",189.299],["2015-04-27",201.257],["2015-05-04",200.426],["2015-05-11",196.357],["2015-05-18",191.526],["2015-05-25",213.477],["2015-06-01",212.299],["2015-06-08",211.527],["2015-06-15",211.078],["2015-06-23",193.854],["2015-06-29",153.642],["2015-07-06",142.465],["2015-07-13",153.292],["2015-07-20",162.735],["2015-07-27",153.317],["2015-08-03",137.081],["2015-08-10",154.646],["2015-08-17",152.336],["2015-08-24",122.988],["2015-08-31",114.089],["2015-09-07",108.185],["2015-09-14",108.91],["2015-09-21",118.785],["2015-09-28",121.253],["2015-10-08",125.142],["2015-10-12",132.367],["2015-10-19",139.042],["2015-10-26",144.405],["2015-11-02",138.953],["2015-11-09",155.669],["2015-11-16",159.814],["2015-11-23",158.295],["2015-11-30",152.696],["2015-12-07",156.442],["2015-12-14",154.792],["2015-12-21",161.685],["2015-12-28",156.29],["2016-01-04",142.335],["2016-01-11",120.345],["2016-01-18",124.263],["2016-01-25",123.343],["2016-02-01",113.737],["2016-02-15",115.527],["2016-02-22",122.277],["2016-02-29",112.813],["2016-03-07",121.727],["2016-03-14",120.192],["2016-03-21",127.396],["2016-03-28",124.271],["2016-04-05",130.434],["2016-04-11",130.646],["2016-04-18",129.686],["2016-04-25",121.752],["2016-05-03",126.836],["2016-05-09",120.997],["2016-05-16",122.169],["2016-05-23",121.85],["2016-05-30",121.04],["2016-06-06",125.464],["2016-06-13",121.026],["2016-06-20",122.855],["2016-06-27",123.165],["2016-07-04",126.487],["2016-07-11",126.433],["2016-07-18",128.749],["2016-07-25",127.521],["2016-08-01",125.386],["2016-08-08",127.65],["2016-08-15",133.935],["2016-08-22",131.7],["2016-08-29",130.555],["2016-09-05",131.025],["2016-09-12",128.772],["2016-09-19",128.793],["2016-09-26",127.102],["2016-10-10",130.006],["2016-10-17",129.375],["2016-10-24",132.916],["2016-10-31",131.68],["2016-11-07",132.482],["2016-11-14",135.389],["2016-11-21",135.818],["2016-11-28",139.527],["2016-12-05",136.935],["2016-12-12",134.558],["2016-12-19",131.392],["2016-12-26",131.132],["2017-01-03",131.915],["2017-01-09",132.77],["2017-01-16",131.016],["2017-01-23",132.777],["2017-02-03",132.794],["2017-02-06",133.138],["2017-02-13",135.627],["2017-02-20",137.013],["2017-02-27",136.019],["2017-03-06",136.03],["2017-03-13",136.488],["2017-03-20",136.153],["2017-03-27",137.275],["2017-04-05",138.296],["2017-04-10",138.345],["2017-04-17",137.35],["2017-04-24",135.429],["2017-05-02",135.244],["2017-05-08",132.569],["2017-05-15",134.163],["2017-05-22",134.639],["2017-05-31",137.861],["2017-06-05",136.909],["2017-06-12",141.078],["2017-06-19",140.26],["2017-06-26",144.776],["2017-07-03",144.096],["2017-07-10",144.208],["2017-07-17",144.598],["2017-07-24",147.752],["2017-07-31",147.531],["2017-08-07",147.093],["2017-08-14",145.826],["2017-08-21",147.654],["2017-08-28",151.669],["2017-09-04",151.783],["2017-09-11",150.995],["2017-09-18",151.686],["2017-09-25",150.685],["2017-10-09",153.228],["2017-10-16",154.461],["2017-10-23",155.145],["2017-10-30",158.26],["2017-11-06",158.701],["2017-11-13",162.931],["2017-11-20",163.554],["2017-11-27",159.848],["2017-12-04",158.621],["2017-12-11",160.62],["2017-12-18",157.296],["2017-12-25",159.516],["2018-01-02",161.326],["2018-01-08",164.198],["2018-01-15",166.767],["2018-01-22",171.162],["2018-01-29",169.797],["2018-02-05",168.697],["2018-02-12",153.539],["2018-02-22",159.958],["2018-02-26",162.551],["2018-03-05",158.591],["2018-03-12",162.916],["2018-03-19",160.807],["2018-03-26",153.136],["2018-04-02",153.414],["2018-04-09",152.072],["2018-04-16",150.333],["2018-04-23",148.654],["2018-05-02",148.548],["2018-05-07",151.332],["2018-05-14",154.296],["2018-05-21",154.768],["2018-05-28",151.296],["2018-06-04",148.097],["2018-06-11",146.896],["2018-06-19",134.676],["2018-06-25",133.959],["2018-07-02",138.324],["2018-07-09",137.788],["2018-07-16",140.897],["2018-07-23",141.266],["2018-07-30",135.928],["2018-08-06",125.578],["2018-08-13",133.47],["2018-08-20",125.133],["2018-08-27",130.166],["2018-09-03",125.705],["2018-09-10",122.233],["2018-09-17",121.281],["2018-09-25",127.899],["2018-10-08",124.535],["2018-10-15",118.312],["2018-10-22",123.754],["2018-10-29",116.436],["2018-11-05",123.473],["2018-11-12",121.29],["2018-11-19",124.675],["2018-11-26",118.872],["2018-12-03",123.402],["2018-12-10",119.005],["2018-12-17",119.627],["2018-12-24",114.972],["2019-01-02",112.374],["2019-01-07",115.582],["2019-01-14",116.092],["2019-01-21",120.552],["2019-01-28",120.481],["2019-02-11",125.124],["2019-02-18",130.394],["2019-02-25",141.132],["2019-03-04",143.577],["2019-03-11",141.15],["2019-03-18",145.759],["2019-03-25",141.637],["2019-04-01",150.236],["2019-04-08",148.473],["2019-04-15",142.263],["2019-04-22",144.908],["2019-04-29",137.937],["2019-05-06",127.629],["2019-05-13",128.35],["2019-05-20",125.498],["2019-05-27",127.479],["2019-06-03",125.65],["2019-06-10",124.914],["2019-06-17",126.439],["2019-06-24",132.89],["2019-07-01",136.16],["2019-07-08",131.558],["2019-07-15",132.299],["2019-07-22",130.828],["2019-07-29",133.339],["2019-08-05",127.9],["2019-08-12",128.613],["2019-08-19",135.542],["2019-08-26",133.699],["2019-09-02",138.0],["2019-09-09",144.761],["2019-09-16",143.186],["2019-09-23",140.677],["2019-09-30",135.936],["2019-10-08",134.884],["2019-10-14",138.945],["2019-10-21",136.401],["2019-10-28",138.009],["2019-11-04",139.842],["2019-11-11",137.638],["2019-11-18",138.408],["2019-11-25",136.704],["2019-12-02",137.342],["2019-12-09",141.582],["2019-12-16",146.457],["2019-12-23",142.862],["2019-12-30",147.272],["2020-01-06",153.004],["2020-01-13",159.187],["2020-01-20",163.061],["2020-02-03",147.727],["2020-02-10",167.997],["2020-02-17",176.552],["2020-02-24",186.243],["2020-03-02",175.667],["2020-03-09",172.184],["2020-03-16",157.187],["2020-03-23",150.3],["2020-03-30",153.051],["2020-04-07",162.059],["2020-04-13",158.22],["2020-04-20",168.149],["2020-04-27",166.115],["2020-05-06",173.677],["2020-05-11",173.065],["2020-05-18",174.14],["2020-05-25",169.071],["2020-06-01",177.922],["2020-06-08",177.569],["2020-06-15",183.436],["2020-06-22",193.685],["2020-06-29",196.142],["2020-07-06",209.154],["2020-07-13",238.952],["2020-07-20",223.086],["2020-07-27",217.671],["2020-08-03",237.282],["2020-08-10",226.23],["2020-08-17",223.054],["2020-08-24",222.081],["2020-08-31",225.7],["2020-09-07",218.494],["2020-09-14",212.819],["2020-09-21",212.539],["2020-09-28",208.57],["2020-10-09",221.122],["2020-10-12",229.762],["2020-10-19",222.506],["2020-10-26",216.556],["2020-11-02",224.054],["2020-11-09",232.923],["2020-11-16",224.514],["2020-11-23",222.358],["2020-11-30",217.849],["2020-12-07",221.165],["2020-12-14",217.316],["2020-12-21",222.248],["2020-12-28",223.022],["2021-01-04",231.975],["2021-01-11",239.613],["2021-01-18",243.02],["2021-01-25",247.749],["2021-02-01",238.342],["2021-02-08",247.247],["2021-02-18",250.421],["2021-02-22",236.734],["2021-03-01",225.659],["2021-03-08",211.551],["2021-03-15",209.699],["2021-03-22",210.599],["2021-03-29",210.171],["2021-04-06",214.063],["2021-04-12",206.043],["2021-04-19",211.843],["2021-04-26",211.436],["2021-05-06",210.551],["2021-05-10",204.049],["2021-05-17",217.459],["2021-05-24",219.364],["2021-05-31",231.34],["2021-06-07",225.798],["2021-06-15",228.211],["2021-06-21",228.849],["2021-06-28",238.848],["2021-07-05",234.621],["2021-07-12",247.493],["2021-07-19",241.556],["2021-07-26",236.072],["2021-08-02",244.625],["2021-08-09",242.083],["2021-08-16",231.204],["2021-08-23",230.671],["2021-08-30",229.132],["2021-09-06",226.07],["2021-09-13",223.703],["2021-09-22",221.608],["2021-09-27",226.318],["2021-10-08",227.138],["2021-10-11",223.846],["2021-10-18",229.469],["2021-10-25",233.821],["2021-11-01",233.351],["2021-11-08",236.739],["2021-11-15",238.251],["2021-11-22",245.524],["2021-11-29",245.362],["2021-12-06",238.535],["2021-12-13",244.91],["2021-12-20",233.399],["2021-12-27",230.683],["2022-01-04",227.627],["2022-01-10",216.809],["2022-01-17",222.041],["2022-01-24",214.059],["2022-02-07",204.15],["2022-02-14",200.52],["2022-02-21",204.16],["2022-02-28",201.84],["2022-03-07",191.758],["2022-03-14",183.915],["2022-03-21",187.615],["2022-03-28",182.757],["2022-04-06",187.839],["2022-04-11",180.625],["2022-04-18",183.546],["2022-04-25",168.062],["2022-05-05",176.666],["2022-05-09",170.817],["2022-05-16",174.302],["2022-05-23",178.594],["2022-05-30",177.495],["2022-06-06",183.533],["2022-06-13",184.558],["2022-06-20",190.773],["2022-06-27",195.788],["2022-07-04",198.068],["2022-07-11",191.839],["2022-07-18",189.106],["2022-07-25",185.584],["2022-08-01",184.528],["2022-08-08",182.739],["2022-08-15",184.396],["2022-08-22",184.208],["2022-08-29",180.16],["2022-09-05",178.269],["2022-09-13",179.141],["2022-09-19",165.077],["2022-09-26",163.158],["2022-10-10",156.943],["2022-10-17",162.235],["2022-10-24",153.249],["2022-10-31",147.991],["2022-11-07",160.802],["2022-11-14",155.595],["2022-11-21",156.387],["2022-11-28",150.614],["2022-12-05",155.745],["2022-12-12",157.345],["2022-12-19",153.753],["2022-12-26",152.751],["2023-01-03",154.236],["2023-01-09",159.204],["2023-01-16",164.156],["2023-01-30",166.671],["2023-02-06",162.13],["2023-02-13",164.379],["2023-02-20",163.979],["2023-02-27",160.422],["2023-03-06",163.008],["2023-03-13",159.028],["2023-03-20",156.266],["2023-03-27",159.178],["2023-04-03",162.276],["2023-04-10",162.841],["2023-04-17",164.609],["2023-04-24",157.994],["2023-05-04",159.883],["2023-05-08",161.169],["2023-05-15",158.639],["2023-05-22",157.466],["2023-05-29",152.095],["2023-06-05",152.504],["2023-06-12",152.511],["2023-06-19",155.942],["2023-06-26",151.134],["2023-07-03",154.433],["2023-07-10",152.507],["2023-07-17",153.414],["2023-07-24",150.956],["2023-07-31",159.263],["2023-08-07",158.292],["2023-08-14",152.967],["2023-08-21",147.954],["2023-08-28",148.869],["2023-09-04",152.691],["2023-09-11",149.461],["2023-09-18",147.881],["2023-09-25",147.361],["2023-10-09",146.176],["2023-10-16",143.87],["2023-10-23",137.826],["2023-10-30",142.171],["2023-11-06",144.108],["2023-11-13",141.998],["2023-11-20",141.875],["2023-11-27",139.321],["2023-12-04",137.266],["2023-12-11",135.652],["2023-12-18",132.079],["2023-12-25",132.796],["2024-01-02",134.339],["2024-01-08",130.36],["2024-01-15",130.157],["2024-01-22",127.696],["2024-01-29",131.071],["2024-02-05",126.963],["2024-02-19",135.032],["2024-02-26",136.997],["2024-03-04",140.469],["2024-03-11",142.389],["2024-03-18",142.955],["2024-03-25",139.87],["2024-04-01",142.642],["2024-04-08",140.292],["2024-04-15",140.795],["2024-04-22",140.073],["2024-04-29",143.763],["2024-05-06",145.111],["2024-05-13",145.381],["2024-05-20",146.423],["2024-05-27",144.231],["2024-06-03",142.368],["2024-06-11",140.549],["2024-06-17",140.284],["2024-06-24",137.928],["2024-07-01",137.982],["2024-07-08",134.95],["2024-07-15",137.905],["2024-07-22",139.44],["2024-07-29",134.513],["2024-08-05",132.632],["2024-08-12",131.939],["2024-08-19",133.174],["2024-08-26",131.874],["2024-09-02",129.525],["2024-09-09",126.667],["2024-09-18",125.796],["2024-09-23",127.453],["2024-09-30",159.391],["2024-10-08",168.683],["2024-10-14",142.572],["2024-10-21",146.222],["2024-10-28",147.468],["2024-11-04",144.615],["2024-11-11",158.313],["2024-11-18",145.014],["2024-11-25",143.971],["2024-12-02",149.287],["2024-12-09",148.832],["2024-12-16",145.715],["2024-12-23",144.816],["2024-12-30",146.041],["2025-01-06",133.325],["2025-01-13",131.225],["2025-01-20",139.324],["2025-01-27",136.748],["2025-02-05",136.689],["2025-02-10",144.703],["2025-02-17",147.535],["2025-02-24",150.161],["2025-03-03",145.541],["2025-03-10",145.764],["2025-03-17",146.774],["2025-03-24",142.628],["2025-03-31",139.416],["2025-04-07",119.767],["2025-04-14",128.097],["2025-04-21",128.886],["2025-04-28",128.745],["2025-05-06",132.113],["2025-05-12",134.96],["2025-05-19",134.493],["2025-05-26",133.902],["2025-06-03",133.621],["2025-06-09",134.774],["2025-06-16",134.377],["2025-06-23",133.825],["2025-06-30",136.537],["2025-07-07",137.546],["2025-07-14",139.368],["2025-07-21",141.724],["2025-07-28",143.466],["2025-08-04",141.226],["2025-08-11",143.979],["2025-08-18",157.675],["2025-08-25",167.264],["2025-09-01",178.975],["2025-09-08",177.606],["2025-09-15",185.668],["2025-09-22",188.227],["2025-09-29",196.139],["2025-10-09",197.583],["2025-10-13",186.514],["2025-10-20",181.399],["2025-10-27",196.008],["2025-11-03",193.799],["2025-11-10",192.71],["2025-11-17",188.275],["2025-11-24",177.593],["2025-12-01",187.504],["2025-12-08",193.432],["2025-12-15",190.251],["2025-12-22",193.536],["2025-12-29",195.393],["2026-01-05",199.757],["2026-01-12",205.446],["2026-01-19",202.382],["2026-01-26",201.263],["2026-02-02",197.926],["2026-02-09",202.089],["2026-02-24",200.603],["2026-03-02",199.748],["2026-03-09",194.559],["2026-03-16",203.563],["2026-03-23",196.177],["2026-03-30",198.489],["2026-04-07",191.665],["2026-04-13",210.844],["2026-04-20",223.089],["2026-04-27",222.06],["2026-05-06",229.999],["2026-05-11",239.21],["2026-05-18",238.413],["2026-05-25",244.92],["2026-06-01",240.783],["2026-06-08",232.355],["2026-06-15",245.978],["2026-06-22",265.872],["2026-06-29",257.216],["2026-07-06",240.92],["2026-07-13",227.196],["2026-07-20",210.103],["2026-07-27",219.115],["2026-08-03",201.526],["2026-08-10",215.973],["2026-08-17",228.364],["2026-08-24",209.543],["2026-08-31",209.967],["2026-09-07",207.534],["2026-09-14",200.657],["2026-09-21",207.705],["2026-09-28",191.841],["2026-10-08",185.355],["2026-10-12",184.396],["2026-10-19",179.517],["2026-10-26",176.465],["2026-11-02",172.74],["2026-11-06",174.346]]},{"id":"indmom","name":"宽基动量轮动","en":"Index Momentum","category":"轮动","description":"创业板、沪深300、中证500、国债四类资产，每月末满仓持有 126 日动量最强者。","color":"#b45309","cost_bps":10.0,"cost_note":"单边 10bp（ETF 切换）","turnover":3.52,"metrics":{"full":{"cagr":0.0336,"vol":0.2294,"sharpe":0.147,"sortino":0.162,"max_dd":-0.5611,"calmar":0.06,"hit_rate":0.662,"days":3989,"total_return":0.6876},"is":{"cagr":0.0767,"vol":0.2347,"sharpe":0.31,"sortino":0.352,"max_dd":-0.5611,"calmar":0.137,"hit_rate":0.655,"days":2817,"total_return":1.2845},"oos":{"cagr":-0.063,"vol":0.2159,"sharpe":-0.278,"sortino":-0.289,"max_dd":-0.4148,"calmar":-0.152,"hit_rate":0.678,"days":1172,"total_return":-0.2613}},"yearly":[{"year":"2010","return":0.1415},{"year":"2011","return":-0.177},{"year":"2012","return":-0.1817},{"year":"2013","return":0.5657},{"year":"2014","return":0.2742},{"year":"2015","return":-0.244},{"year":"2016","return":0.0342},{"year":"2017","return":0.2178},{"year":"2018","return":-0.0337},{"year":"2019","return":0.0646},{"year":"2020","return":0.5514},{"year":"2021","return":-0.0197},{"year":"2022","return":-0.1375},{"year":"2023","return":-0.0428},{"year":"2024","return":-0.161},{"year":"2025","return":0.2918},{"year":"2026","return":-0.1745}],"curve":[["2010-06-02",101.089],["2010-06-07",102.288],["2010-06-17",103.101],["2010-06-21",102.571],["2010-06-28",99.916],["2010-07-05",92.309],["2010-07-12",97.535],["2010-07-19",97.001],["2010-07-26",101.138],["2010-08-02",104.028],["2010-08-09",106.003],["2010-08-16",106.072],["2010-08-23",104.858],["2010-08-30",106.679],["2010-09-06",107.488],["2010-09-13",109.038],["2010-09-20",104.189],["2010-09-27",105.338],["2010-10-08",107.428],["2010-10-11",107.965],["2010-10-18",108.155],["2010-10-25",114.709],["2010-11-01",117.634],["2010-11-08",119.521],["2010-11-15",117.655],["2010-11-22",116.528],["2010-11-29",118.399],["2010-12-06",114.756],["2010-12-13",118.464],["2010-12-20",117.728],["2010-12-27",112.553],["2011-01-04",115.502],["2011-01-10",111.332],["2011-01-17",104.172],["2011-01-24",101.374],["2011-01-31",106.268],["2011-02-09",106.242],["2011-02-14",112.298],["2011-02-21",116.227],["2011-02-28",117.431],["2011-03-07",118.423],["2011-03-14",119.617],["2011-03-21",117.221],["2011-03-28",119.836],["2011-04-06",117.988],["2011-04-11",118.784],["2011-04-18",119.711],["2011-04-25",115.796],["2011-05-03",114.313],["2011-05-09",114.429],["2011-05-16",114.518],["2011-05-23",114.581],["2011-05-30",114.67],["2011-06-07",114.733],["2011-06-13",114.777],["2011-06-20",114.822],["2011-06-27",114.858],["2011-07-04",114.947],["2011-07-11",115.019],["2011-07-18",115.054],["2011-07-25",115.126],["2011-08-01",115.064],["2011-08-08",107.293],["2011-08-15",113.262],["2011-08-22",108.115],["2011-08-29",111.242],["2011-09-05",108.759],["2011-09-13",108.86],["2011-09-19",108.936],["2011-09-26",109.053],["2011-10-10",109.238],["2011-10-17",109.406],["2011-10-24",109.507],["2011-10-31",109.491],["2011-11-07",109.633],["2011-11-14",109.726],["2011-11-21",109.894],["2011-11-28",109.978],["2011-12-05",102.059],["2011-12-12",101.839],["2011-12-19",102.18],["2011-12-26",96.979],["2012-01-04",90.969],["2012-01-09",91.052],["2012-01-16",91.128],["2012-01-30",91.218],["2012-02-06",91.225],["2012-02-13",91.287],["2012-02-20",91.343],["2012-02-27",91.391],["2012-03-05",91.426],["2012-03-12",91.488],["2012-03-19",91.557],["2012-03-26",91.62],["2012-04-05",91.703],["2012-04-09",91.737],["2012-04-16",91.793],["2012-04-23",91.869],["2012-05-02",91.86],["2012-05-07",93.034],["2012-05-14",89.533],["2012-05-21",88.565],["2012-05-28",89.505],["2012-06-04",90.095],["2012-06-11",90.143],["2012-06-18",90.19],["2012-06-25",90.271],["2012-07-02",90.221],["2012-07-09",88.421],["2012-07-16",87.824],["2012-07-23",86.568],["2012-07-30",85.484],["2012-08-06",91.354],["2012-08-13",91.006],["2012-08-20",91.409],["2012-08-27",90.373],["2012-09-03",90.446],["2012-09-10",90.493],["2012-09-17",90.473],["2012-09-24",90.526],["2012-10-08",90.688],["2012-10-15",90.748],["2012-10-22",90.815],["2012-10-29",90.869],["2012-11-05",89.626],["2012-11-12",87.521],["2012-11-19",84.978],["2012-11-26",82.642],["2012-12-03",76.714],["2012-12-10",76.754],["2012-12-17",76.793],["2012-12-24",76.827],["2012-12-31",76.873],["2013-01-07",77.176],["2013-01-14",78.447],["2013-01-21",79.456],["2013-01-28",80.703],["2013-02-04",83.629],["2013-02-18",83.308],["2013-02-25",79.275],["2013-03-04",79.177],["2013-03-11",79.695],["2013-03-18",78.141],["2013-03-25",80.858],["2013-04-01",80.422],["2013-04-08",78.314],["2013-04-15",76.767],["2013-04-22",84.101],["2013-05-02",83.911],["2013-05-06",87.992],["2013-05-13",91.472],["2013-05-20",96.722],["2013-05-27",100.277],["2013-06-03",96.913],["2013-06-13",94.883],["2013-06-17",98.993],["2013-06-24",89.575],["2013-07-01",97.37],["2013-07-08",95.06],["2013-07-15",105.134],["2013-07-22",106.444],["2013-07-29",104.896],["2013-08-05",110.971],["2013-08-12",107.192],["2013-08-19",108.081],["2013-08-26",114.242],["2013-09-02",111.659],["2013-09-09",117.723],["2013-09-16",117.99],["2013-09-23",122.353],["2013-09-30",126.212],["2013-10-08",128.034],["2013-10-14",128.582],["2013-10-21",129.262],["2013-10-28",118.013],["2013-11-04",112.792],["2013-11-11",111.89],["2013-11-18",119.129],["2013-11-25",119.373],["2013-12-02",115.695],["2013-12-09",114.568],["2013-12-16",118.096],["2013-12-23",114.669],["2013-12-30",120.683],["2014-01-06",122.099],["2014-01-13",125.739],["2014-01-20",126.657],["2014-01-27",136.338],["2014-02-07",141.415],["2014-02-10",143.327],["2014-02-17",143.807],["2014-02-24",142.092],["2014-03-03",135.183],["2014-03-10",129.825],["2014-03-17",136.315],["2014-03-24",128.929],["2014-03-31",122.517],["2014-04-08",124.743],["2014-04-14",126.739],["2014-04-21",125.94],["2014-04-28",116.141],["2014-05-05",120.174],["2014-05-12",120.37],["2014-05-19",120.387],["2014-05-26",120.583],["2014-06-03",120.702],["2014-06-09",121.369],["2014-06-16",127.706],["2014-06-23",124.6],["2014-06-30",128.582],["2014-07-07",127.601],["2014-07-14",125.178],["2014-07-21",119.689],["2014-07-28",120.385],["2014-08-04",123.283],["2014-08-11",126.112],["2014-08-18",129.181],["2014-08-25",129.285],["2014-09-01",129.87],["2014-09-09",135.467],["2014-09-15",138.517],["2014-09-22",135.251],["2014-09-29",140.53],["2014-10-08",143.875],["2014-10-13",143.562],["2014-10-20",142.02],["2014-10-27",138.573],["2014-11-03",144.888],["2014-11-10",144.954],["2014-11-17",142.865],["2014-11-24",147.292],["2014-12-01",150.058],["2014-12-08",155.951],["2014-12-15",160.876],["2014-12-22",152.855],["2014-12-29",154.654],["2015-01-05",155.923],["2015-01-12",150.444],["2015-01-19",143.661],["2015-01-26",154.487],["2015-02-02",143.61],["2015-02-09",143.265],["2015-02-16",149.84],["2015-02-25",148.952],["2015-03-02",154.198],["2015-03-09",151.479],["2015-03-16",158.669],["2015-03-23",170.075],["2015-03-30",175.047],["2015-04-07",182.406],["2015-04-13",189.301],["2015-04-20",193.619],["2015-04-27",205.851],["2015-05-04",205.001],["2015-05-11",200.839],["2015-05-18",195.898],["2015-05-25",218.35],["2015-06-01",217.144],["2015-06-08",216.355],["2015-06-15",215.896],["2015-06-23",198.279],["2015-06-29",157.149],["2015-07-06",145.717],["2015-07-13",156.791],["2015-07-20",166.45],["2015-07-27",156.816],["2015-08-03",140.209],["2015-08-10",158.176],["2015-08-17",155.813],["2015-08-24",125.795],["2015-08-31",116.694],["2015-09-07",109.843],["2015-09-14",108.167],["2015-09-21",111.754],["2015-09-28",111.205],["2015-10-08",113.827],["2015-10-12",114.022],["2015-10-19",114.322],["2015-10-26",114.517],["2015-11-02",114.66],["2015-11-09",114.57],["2015-11-16",114.615],["2015-11-23",114.772],["2015-11-30",114.847],["2015-12-07",114.982],["2015-12-14",115.155],["2015-12-21",115.568],["2015-12-28",115.928],["2016-01-04",116.025],["2016-01-11",116.198],["2016-01-18",116.43],["2016-01-25",116.468],["2016-02-01",116.505],["2016-02-15",116.685],["2016-02-22",116.768],["2016-02-29",116.82],["2016-03-07",116.88],["2016-03-14",117.068],["2016-03-21",117.195],["2016-03-28",117.451],["2016-04-05",121.349],["2016-04-11",121.546],["2016-04-18",120.654],["2016-04-25",113.272],["2016-05-03",118.002],["2016-05-09",118.099],["2016-05-16",118.31],["2016-05-23",118.31],["2016-05-30",118.363],["2016-06-06",118.355],["2016-06-13",118.393],["2016-06-20",118.581],["2016-06-27",118.687],["2016-07-04",118.799],["2016-07-11",118.943],["2016-07-18",119.003],["2016-07-25",119.191],["2016-08-01",119.207],["2016-08-08",122.748],["2016-08-15",125.71],["2016-08-22",125.277],["2016-08-29",125.417],["2016-09-05",124.72],["2016-09-12",122.765],["2016-09-19",123.791],["2016-09-26",121.788],["2016-10-10",125.81],["2016-10-17",125.136],["2016-10-24",127.601],["2016-10-31",125.899],["2016-11-07",126.223],["2016-11-14",129.075],["2016-11-21",129.008],["2016-11-28",130.164],["2016-12-05",125.667],["2016-12-12",123.486],["2016-12-19",120.581],["2016-12-26",120.343],["2017-01-03",121.061],["2017-01-09",121.846],["2017-01-16",120.236],["2017-01-23",121.852],["2017-02-03",121.867],["2017-02-06",122.183],["2017-02-13",124.467],["2017-02-20",125.739],["2017-02-27",124.827],["2017-03-06",124.837],["2017-03-13",125.258],["2017-03-20",124.95],["2017-03-27",125.98],["2017-04-05",126.916],["2017-04-10",126.962],["2017-04-17",126.049],["2017-04-24",124.286],["2017-05-02",124.116],["2017-05-08",121.661],["2017-05-15",123.124],["2017-05-22",123.56],["2017-05-31",126.518],["2017-06-05",125.644],["2017-06-12",129.47],["2017-06-19",128.719],["2017-06-26",132.864],["2017-07-03",132.239],["2017-07-10",132.342],["2017-07-17",132.7],["2017-07-24",135.594],["2017-07-31",135.391],["2017-08-07",134.99],["2017-08-14",133.827],["2017-08-21",135.504],["2017-08-28",139.189],["2017-09-04",139.294],["2017-09-11",138.571],["2017-09-18",139.205],["2017-09-25",138.286],["2017-10-09",140.62],["2017-10-16",141.751],["2017-10-23",142.38],["2017-10-30",145.238],["2017-11-06",145.643],["2017-11-13",149.525],["2017-11-20",150.096],["2017-11-27",146.696],["2017-12-04",145.569],["2017-12-11",147.404],["2017-12-18",144.353],["2017-12-25",146.391],["2018-01-02",148.052],["2018-01-08",150.687],["2018-01-15",153.045],["2018-01-22",157.078],["2018-01-29",155.826],["2018-02-05",154.816],["2018-02-12",140.905],["2018-02-22",146.796],["2018-02-26",149.176],["2018-03-05",145.542],["2018-03-12",149.511],["2018-03-19",147.576],["2018-03-26",140.536],["2018-04-02",140.79],["2018-04-09",139.559],["2018-04-16",137.963],["2018-04-23",136.422],["2018-05-02",136.189],["2018-05-07",136.397],["2018-05-14",136.413],["2018-05-21",136.588],["2018-05-28",136.746],["2018-06-04",136.779],["2018-06-11",136.862],["2018-06-19",136.97],["2018-06-25",137.178],["2018-07-02",137.477],["2018-07-09",137.692],["2018-07-16",137.867],["2018-07-23",138.099],["2018-07-30",138.149],["2018-08-06",138.382],["2018-08-13",138.307],["2018-08-20",138.232],["2018-08-27",138.315],["2018-09-03",138.382],["2018-09-10",138.373],["2018-09-17",138.473],["2018-09-25",138.54],["2018-10-08",138.747],["2018-10-15",138.822],["2018-10-22",138.938],["2018-10-29",139.171],["2018-11-05",139.27],["2018-11-12",139.52],["2018-11-19",139.835],["2018-11-26",139.968],["2018-12-03",140.217],["2018-12-10",140.666],["2018-12-17",140.765],["2018-12-24",140.832],["2019-01-02",141.197],["2019-01-07",141.355],["2019-01-14",141.421],["2019-01-21",141.637],["2019-01-28",141.804],["2019-02-11",142.127],["2019-02-18",142.202],["2019-02-25",142.385],["2019-03-04",143.91],["2019-03-11",141.476],["2019-03-18",146.096],["2019-03-25",141.965],["2019-04-01",150.584],["2019-04-08",148.816],["2019-04-15",142.592],["2019-04-22",145.244],["2019-04-29",138.256],["2019-05-06",127.925],["2019-05-13",128.647],["2019-05-20",125.788],["2019-05-27",127.774],["2019-06-03",125.941],["2019-06-10",125.204],["2019-06-17",126.732],["2019-06-24",133.197],["2019-07-01",136.475],["2019-07-08",131.863],["2019-07-15",132.605],["2019-07-22",131.131],["2019-07-29",133.648],["2019-08-05",128.196],["2019-08-12",128.911],["2019-08-19",135.856],["2019-08-26",134.009],["2019-09-02",138.32],["2019-09-09",145.096],["2019-09-16",143.517],["2019-09-23",141.003],["2019-09-30",136.25],["2019-10-08",135.196],["2019-10-14",139.267],["2019-10-21",136.716],["2019-10-28",138.328],["2019-11-04",139.1],["2019-11-11",139.227],["2019-11-18",139.361],["2019-11-25",139.535],["2019-12-02",139.467],["2019-12-09",143.772],["2019-12-16",148.722],["2019-12-23",145.071],["2019-12-30",149.55],["2020-01-06",155.37],["2020-01-13",161.649],["2020-01-20",165.583],["2020-02-03",150.012],["2020-02-10",170.596],["2020-02-17",179.283],["2020-02-24",189.123],["2020-03-02",178.385],["2020-03-09",174.847],["2020-03-16",159.619],["2020-03-23",152.625],["2020-03-30",155.418],["2020-04-07",164.566],["2020-04-13",160.667],["2020-04-20",170.75],["2020-04-27",168.684],["2020-05-06",176.363],["2020-05-11",175.742],["2020-05-18",176.834],["2020-05-25",171.686],["2020-06-01",180.674],["2020-06-08",180.315],["2020-06-15",186.274],["2020-06-22",196.68],["2020-06-29",199.176],["2020-07-06",212.389],["2020-07-13",242.648],["2020-07-20",226.537],["2020-07-27",221.038],["2020-08-03",240.953],["2020-08-10",229.729],["2020-08-17",226.504],["2020-08-24",225.516],["2020-08-31",229.191],["2020-09-07",221.874],["2020-09-14",216.111],["2020-09-21",215.827],["2020-09-28",211.796],["2020-10-09",224.542],["2020-10-12",233.316],["2020-10-19",225.948],["2020-10-26",219.905],["2020-11-02",227.52],["2020-11-09",236.525],["2020-11-16",227.987],["2020-11-23",225.797],["2020-11-30",221.219],["2020-12-07",224.586],["2020-12-14",220.677],["2020-12-21",225.686],["2020-12-28",226.472],["2021-01-04",235.563],["2021-01-11",243.319],["2021-01-18",246.779],["2021-01-25",251.581],["2021-02-01",242.028],["2021-02-08",251.071],["2021-02-18",254.294],["2021-02-22",240.396],["2021-03-01",229.149],["2021-03-08",214.824],["2021-03-15",212.943],["2021-03-22",213.856],["2021-03-29",213.422],["2021-04-06",217.374],["2021-04-12",209.23],["2021-04-19",215.12],["2021-04-26",214.706],["2021-05-06",213.808],["2021-05-10",207.205],["2021-05-17",220.823],["2021-05-24",222.757],["2021-05-31",234.918],["2021-06-07",229.291],["2021-06-15",231.741],["2021-06-21",232.389],["2021-06-28",242.542],["2021-07-05",238.25],["2021-07-12",251.322],["2021-07-19",245.292],["2021-07-26",239.724],["2021-08-02",248.409],["2021-08-09",245.828],["2021-08-16",234.78],["2021-08-23",234.239],["2021-08-30",232.676],["2021-09-06",231.515],["2021-09-13",240.748],["2021-09-22",234.606],["2021-09-27",225.698],["2021-10-08",222.98],["2021-10-11",219.748],["2021-10-18",225.268],["2021-10-25",229.54],["2021-11-01",229.079],["2021-11-08",232.405],["2021-11-15",233.889],["2021-11-22",241.029],["2021-11-29",240.87],["2021-12-06",234.168],["2021-12-13",240.427],["2021-12-20",229.126],["2021-12-27",226.459],["2022-01-04",223.231],["2022-01-10",218.283],["2022-01-17",217.264],["2022-01-24",211.842],["2022-02-07",202.456],["2022-02-14",202.456],["2022-02-21",202.656],["2022-02-28",202.666],["2022-03-07",202.75],["2022-03-14",202.866],["2022-03-21",202.929],["2022-03-28",202.95],["2022-04-06",203.286],["2022-04-11",203.433],["2022-04-18",203.611],["2022-04-25",203.737],["2022-05-05",203.968],["2022-05-09",204.084],["2022-05-16",204.199],["2022-05-23",204.472],["2022-05-30",204.84],["2022-06-06",204.882],["2022-06-13",204.997],["2022-06-20",205.144],["2022-06-27",205.26],["2022-07-04",205.291],["2022-07-11",205.396],["2022-07-18",205.585],["2022-07-25",205.806],["2022-08-01",206.142],["2022-08-08",206.278],["2022-08-15",206.593],["2022-08-22",207.087],["2022-08-29",207.213],["2022-09-05",207.475],["2022-09-13",207.643],["2022-09-19",207.706],["2022-09-26",207.727],["2022-10-10",207.895],["2022-10-17",208.094],["2022-10-24",208.126],["2022-10-31",208.493],["2022-11-07",208.535],["2022-11-14",208.325],["2022-11-21",208.168],["2022-11-28",208.273],["2022-12-05",208.819],["2022-12-12",206.793],["2022-12-19",199.457],["2022-12-26",196.325],["2023-01-03",199.913],["2023-01-09",200.034],["2023-01-16",200.084],["2023-01-30",200.305],["2023-02-06",200.396],["2023-02-13",200.487],["2023-02-20",200.547],["2023-02-27",200.587],["2023-03-06",200.698],["2023-03-13",200.829],["2023-03-20",201.04],["2023-03-27",201.141],["2023-04-03",200.899],["2023-04-10",200.796],["2023-04-17",202.322],["2023-04-24",194.477],["2023-05-04",195.961],["2023-05-08",197.537],["2023-05-15",194.436],["2023-05-22",192.999],["2023-05-29",186.416],["2023-06-05",184.97],["2023-06-12",185.08],["2023-06-19",185.235],["2023-06-26",185.382],["2023-07-03",185.666],["2023-07-10",185.858],["2023-07-17",185.986],["2023-07-24",186.215],["2023-07-31",186.188],["2023-08-07",186.453],["2023-08-14",186.654],["2023-08-21",187.048],["2023-08-28",187.076],["2023-09-04",187.039],["2023-09-11",186.984],["2023-09-18",187.057],["2023-09-25",187.03],["2023-10-09",187.295],["2023-10-16",187.332],["2023-10-23",187.341],["2023-10-30",187.451],["2023-11-06",187.652],["2023-11-13",187.973],["2023-11-20",187.909],["2023-11-27",187.89],["2023-12-04",187.918],["2023-12-11",188.128],["2023-12-18",188.412],["2023-12-25",188.458],["2024-01-02",188.65],["2024-01-08",189.245],["2024-01-15",189.419],["2024-01-22",189.767],["2024-01-29",190.005],["2024-02-05",190.719],["2024-02-19",190.856],["2024-02-26",191.259],["2024-03-04",191.726],["2024-03-11",192.037],["2024-03-18",191.955],["2024-03-25",192.239],["2024-04-01",192.294],["2024-04-08",192.413],["2024-04-15",193.703],["2024-04-22",194.134],["2024-04-29",193.859],["2024-05-06",194.07],["2024-05-13",194.253],["2024-05-20",194.5],["2024-05-27",194.537],["2024-06-03",194.72],["2024-06-11",195.113],["2024-06-17",195.269],["2024-06-24",195.653],["2024-07-01",195.965],["2024-07-08",195.937],["2024-07-15",196.221],["2024-07-22",196.505],["2024-07-29",196.99],["2024-08-05",192.78],["2024-08-12",191.773],["2024-08-19",193.567],["2024-08-26",191.678],["2024-09-02",188.073],["2024-09-09",188.377],["2024-09-18",189.254],["2024-09-23",189.645],["2024-09-30",188.49],["2024-10-08",188.301],["2024-10-14",159.153],["2024-10-21",163.228],["2024-10-28",164.618],["2024-11-04",161.433],["2024-11-11",176.725],["2024-11-18",161.88],["2024-11-25",160.715],["2024-12-02",166.649],["2024-12-09",166.141],["2024-12-16",162.662],["2024-12-23",161.658],["2024-12-30",163.025],["2025-01-06",148.831],["2025-01-13",146.487],["2025-01-20",155.527],["2025-01-27",152.652],["2025-02-05",152.586],["2025-02-10",161.532],["2025-02-17",164.693],["2025-02-24",167.625],["2025-03-03",162.468],["2025-03-10",162.716],["2025-03-17",163.844],["2025-03-24",159.215],["2025-03-31",155.63],["2025-04-07",133.695],["2025-04-14",142.995],["2025-04-21",143.875],["2025-04-28",143.718],["2025-05-06",147.478],["2025-05-12",147.399],["2025-05-19",147.347],["2025-05-26",147.366],["2025-06-03",147.334],["2025-06-09",147.471],["2025-06-16",147.681],["2025-06-23",147.97],["2025-06-30",148.016],["2025-07-07",148.278],["2025-07-14",148.2],["2025-07-21",148.239],["2025-07-28",148.023],["2025-08-04",148.652],["2025-08-11",151.549],["2025-08-18",165.965],["2025-08-25",176.059],["2025-09-01",188.385],["2025-09-08",186.945],["2025-09-15",195.43],["2025-09-22",198.124],["2025-09-29",206.452],["2025-10-09",207.972],["2025-10-13",196.32],["2025-10-20",190.937],["2025-10-27",206.314],["2025-11-03",203.988],["2025-11-10",202.843],["2025-11-17",198.174],["2025-11-24",186.931],["2025-12-01",197.363],["2025-12-08",203.603],["2025-12-15",200.255],["2025-12-22",203.712],["2025-12-29",205.667],["2026-01-05",210.26],["2026-01-12",216.248],["2026-01-19",213.024],["2026-01-26",211.845],["2026-02-02",208.333],["2026-02-09",212.715],["2026-02-24",211.15],["2026-03-02",210.039],["2026-03-09",200.849],["2026-03-16",198.561],["2026-03-23",180.503],["2026-03-30",188.095],["2026-04-07",183.665],["2026-04-13",193.286],["2026-04-20",201.105],["2026-04-27",201.324],["2026-05-06",208.141],["2026-05-11",216.477],["2026-05-18",215.756],["2026-05-25",221.644],["2026-06-01",217.901],["2026-06-08",210.274],["2026-06-15",222.602],["2026-06-22",240.605],["2026-06-29",232.772],["2026-07-06",218.025],["2026-07-13",205.604],["2026-07-20",190.136],["2026-07-27",198.292],["2026-08-03",182.375],["2026-08-10",195.449],["2026-08-17",206.662],["2026-08-24",189.63],["2026-08-31",190.013],["2026-09-07",187.811],["2026-09-14",181.588],["2026-09-21",187.966],["2026-09-28",173.61],["2026-10-08",167.74],["2026-10-12",167.958],["2026-10-19",168.103],["2026-10-26",168.285],["2026-11-02",168.444],["2026-11-06",168.757]]},{"id":"riskparity","name":"四资产风险平价","en":"Risk Parity","category":"组合","description":"按 60 日波动倒数分配创业板、沪深300、中证500、国债的权重，月末再平衡。","color":"#5b3fa8","cost_bps":5.0,"cost_note":"单边 5bp（月末再平衡）","turnover":0.22,"metrics":{"full":{"cagr":0.0475,"vol":0.0327,"sharpe":0.644,"sortino":0.677,"max_dd":-0.1203,"calmar":0.395,"hit_rate":0.778,"days":3989,"total_return":1.0855},"is":{"cagr":0.0492,"vol":0.0364,"sharpe":0.542,"sortino":0.548,"max_dd":-0.1203,"calmar":0.409,"hit_rate":0.799,"days":2817,"total_return":0.7112},"oos":{"cagr":0.0435,"vol":0.0215,"sharpe":1.135,"sortino":1.682,"max_dd":-0.0191,"calmar":2.275,"hit_rate":0.729,"days":1172,"total_return":0.2187}},"yearly":[{"year":"2010","return":0.0717},{"year":"2011","return":0.0155},{"year":"2012","return":0.0367},{"year":"2013","return":0.0323},{"year":"2014","return":0.0695},{"year":"2015","return":0.0829},{"year":"2016","return":0.0189},{"year":"2017","return":0.0169},{"year":"2018","return":0.0346},{"year":"2019","return":0.0646},{"year":"2020","return":0.063},{"year":"2021","return":0.0457},{"year":"2022","return":0.0116},{"year":"2023","return":0.0207},{"year":"2024","return":0.0989},{"year":"2025","return":0.0428},{"year":"2026","return":0.03}],"curve":[["2010-06-02",101.089],["2010-06-07",102.288],["2010-06-17",103.101],["2010-06-21",102.571],["2010-06-28",99.916],["2010-07-05",92.309],["2010-07-12",97.535],["2010-07-19",97.001],["2010-07-26",101.138],["2010-08-02",104.028],["2010-08-09",106.003],["2010-08-16",106.072],["2010-08-23",104.858],["2010-08-30",106.679],["2010-09-06",105.868],["2010-09-13",106.183],["2010-09-20",105.504],["2010-09-27",105.414],["2010-10-08",105.922],["2010-10-11",106.031],["2010-10-18",106.128],["2010-10-25",107.259],["2010-11-01",107.682],["2010-11-08",107.768],["2010-11-15",107.327],["2010-11-22",107.231],["2010-11-29",107.505],["2010-12-06",107.097],["2010-12-13",107.568],["2010-12-20",107.563],["2010-12-27",107.005],["2011-01-04",107.358],["2011-01-10",107.187],["2011-01-17",106.849],["2011-01-24",106.799],["2011-01-31",107.123],["2011-02-09",107.195],["2011-02-14",107.572],["2011-02-21",107.695],["2011-02-28",107.809],["2011-03-07",107.878],["2011-03-14",107.983],["2011-03-21",108.191],["2011-03-28",108.324],["2011-04-06",108.252],["2011-04-11",108.357],["2011-04-18",108.443],["2011-04-25",108.289],["2011-05-03",108.157],["2011-05-09",108.194],["2011-05-16",108.188],["2011-05-23",107.878],["2011-05-30",107.678],["2011-06-07",107.942],["2011-06-13",107.841],["2011-06-20",107.602],["2011-06-27",108.096],["2011-07-04",108.328],["2011-07-11",108.441],["2011-07-18",108.553],["2011-07-25",108.404],["2011-08-01",108.513],["2011-08-08",108.344],["2011-08-15",108.702],["2011-08-22",108.503],["2011-08-29",108.828],["2011-09-05",108.534],["2011-09-13",108.534],["2011-09-19",108.542],["2011-09-26",108.509],["2011-10-10",108.443],["2011-10-17",108.917],["2011-10-24",108.622],["2011-10-31",109.087],["2011-11-07",109.377],["2011-11-14",109.583],["2011-11-21",109.405],["2011-11-28",109.431],["2011-12-05",109.013],["2011-12-12",109.103],["2011-12-19",108.964],["2011-12-26",108.814],["2012-01-04",108.692],["2012-01-09",108.85],["2012-01-16",108.699],["2012-01-30",109.107],["2012-02-06",109.318],["2012-02-13",109.55],["2012-02-20",109.668],["2012-02-27",110.034],["2012-03-05",110.064],["2012-03-12",110.2],["2012-03-19",110.243],["2012-03-26",110.136],["2012-04-05",110.089],["2012-04-09",110.104],["2012-04-16",110.299],["2012-04-23",110.377],["2012-05-02",110.528],["2012-05-07",110.654],["2012-05-14",110.633],["2012-05-21",110.688],["2012-05-28",110.834],["2012-06-04",110.899],["2012-06-11",110.979],["2012-06-18",111.083],["2012-06-25",111.03],["2012-07-02",111.112],["2012-07-09",111.146],["2012-07-16",111.171],["2012-07-23",111.23],["2012-07-30",111.213],["2012-08-06",111.414],["2012-08-13",111.474],["2012-08-20",111.504],["2012-08-27",111.455],["2012-09-03",111.546],["2012-09-10",111.802],["2012-09-17",111.622],["2012-09-24",111.573],["2012-10-08",111.818],["2012-10-15",111.949],["2012-10-22",112.138],["2012-10-29",111.995],["2012-11-05",112.13],["2012-11-12",112.102],["2012-11-19",112.037],["2012-11-26",112.058],["2012-12-03",111.827],["2012-12-10",112.234],["2012-12-17",112.404],["2012-12-24",112.535],["2012-12-31",112.824],["2013-01-07",112.936],["2013-01-14",113.188],["2013-01-21",113.425],["2013-01-28",113.492],["2013-02-04",113.627],["2013-02-18",114.065],["2013-02-25",114.044],["2013-03-04",113.998],["2013-03-11",114.164],["2013-03-18",113.98],["2013-03-25",114.367],["2013-04-01",114.229],["2013-04-08",114.174],["2013-04-15",114.169],["2013-04-22",114.621],["2013-05-02",114.574],["2013-05-06",114.908],["2013-05-13",115.666],["2013-05-20",115.412],["2013-05-27",115.439],["2013-06-03",115.469],["2013-06-13",114.441],["2013-06-17",114.858],["2013-06-24",112.941],["2013-07-01",113.715],["2013-07-08",113.413],["2013-07-15",114.755],["2013-07-22",114.449],["2013-07-29",114.316],["2013-08-05",115.164],["2013-08-12",115.377],["2013-08-19",115.31],["2013-08-26",115.702],["2013-09-02",115.55],["2013-09-09",115.806],["2013-09-16",115.804],["2013-09-23",115.889],["2013-09-30",115.957],["2013-10-08",116.103],["2013-10-14",116.238],["2013-10-21",116.354],["2013-10-28",115.986],["2013-11-04",115.877],["2013-11-11",115.793],["2013-11-18",115.975],["2013-11-25",116.069],["2013-12-02",116.131],["2013-12-09",116.426],["2013-12-16",116.358],["2013-12-23",116.203],["2013-12-30",116.441],["2014-01-06",116.314],["2014-01-13",116.166],["2014-01-20",116.353],["2014-01-27",116.956],["2014-02-07",116.865],["2014-02-10",117.251],["2014-02-17",117.644],["2014-02-24",117.255],["2014-03-03",116.976],["2014-03-10",116.566],["2014-03-17",116.859],["2014-03-24",117.018],["2014-03-31",116.883],["2014-04-08",117.317],["2014-04-14",117.591],["2014-04-21",117.375],["2014-04-28",116.628],["2014-05-05",117.044],["2014-05-12",117.23],["2014-05-19",116.904],["2014-05-26",117.488],["2014-06-03",117.682],["2014-06-09",117.639],["2014-06-16",118.24],["2014-06-23",117.931],["2014-06-30",118.332],["2014-07-07",118.481],["2014-07-14",118.566],["2014-07-21",118.331],["2014-07-28",118.916],["2014-08-04",119.268],["2014-08-11",119.556],["2014-08-18",119.834],["2014-08-25",119.919],["2014-09-01",120.02],["2014-09-09",120.447],["2014-09-15",120.617],["2014-09-22",120.612],["2014-09-29",121.018],["2014-10-08",121.343],["2014-10-13",121.383],["2014-10-20",121.489],["2014-10-27",121.555],["2014-11-03",122.024],["2014-11-10",122.292],["2014-11-17",122.372],["2014-11-24",122.819],["2014-12-01",123.385],["2014-12-08",124.277],["2014-12-15",124.596],["2014-12-22",124.31],["2014-12-29",124.587],["2015-01-05",124.845],["2015-01-12",125.158],["2015-01-19",125.452],["2015-01-26",126.257],["2015-02-02",126.025],["2015-02-09",126.157],["2015-02-16",127.0],["2015-02-25",127.126],["2015-03-02",127.503],["2015-03-09",127.568],["2015-03-16",128.087],["2015-03-23",128.738],["2015-03-30",128.925],["2015-04-07",129.72],["2015-04-13",130.035],["2015-04-20",129.934],["2015-04-27",130.931],["2015-05-04",130.972],["2015-05-11",131.449],["2015-05-18",131.677],["2015-05-25",132.975],["2015-06-01",133.405],["2015-06-08",133.93],["2015-06-15",134.04],["2015-06-23",133.096],["2015-06-29",131.401],["2015-07-06",130.852],["2015-07-13",131.274],["2015-07-20",131.849],["2015-07-27",131.532],["2015-08-03",131.37],["2015-08-10",132.197],["2015-08-17",132.298],["2015-08-24",131.027],["2015-08-31",130.99],["2015-09-07",130.869],["2015-09-14",131.087],["2015-09-21",131.372],["2015-09-28",131.441],["2015-10-08",131.707],["2015-10-12",132.182],["2015-10-19",132.719],["2015-10-26",133.068],["2015-11-02",133.052],["2015-11-09",133.328],["2015-11-16",133.405],["2015-11-23",133.575],["2015-11-30",133.499],["2015-12-07",133.796],["2015-12-14",133.959],["2015-12-21",134.645],["2015-12-28",134.885],["2016-01-04",134.59],["2016-01-11",133.954],["2016-01-18",134.171],["2016-01-25",134.23],["2016-02-01",133.671],["2016-02-15",134.113],["2016-02-22",134.597],["2016-02-29",133.908],["2016-03-07",134.368],["2016-03-14",134.592],["2016-03-21",135.177],["2016-03-28",135.361],["2016-04-05",135.672],["2016-04-11",135.685],["2016-04-18",135.713],["2016-04-25",135.344],["2016-05-03",135.615],["2016-05-09",135.351],["2016-05-16",135.634],["2016-05-23",135.66],["2016-05-30",135.639],["2016-06-06",135.948],["2016-06-13",135.668],["2016-06-20",136.055],["2016-06-27",136.255],["2016-07-04",136.589],["2016-07-11",136.747],["2016-07-18",136.948],["2016-07-25",137.111],["2016-08-01",136.952],["2016-08-08",137.268],["2016-08-15",137.931],["2016-08-22",137.857],["2016-08-29",137.892],["2016-09-05",137.911],["2016-09-12",137.835],["2016-09-19",137.907],["2016-09-26",137.935],["2016-10-10",138.481],["2016-10-17",138.519],["2016-10-24",139.2],["2016-10-31",139.111],["2016-11-07",139.101],["2016-11-14",139.408],["2016-11-21",139.328],["2016-11-28",139.524],["2016-12-05",138.953],["2016-12-12",137.936],["2016-12-19",137.425],["2016-12-26",137.575],["2017-01-03",137.51],["2017-01-09",137.706],["2017-01-16",136.605],["2017-01-23",137.096],["2017-02-03",137.199],["2017-02-06",137.315],["2017-02-13",137.661],["2017-02-20",137.803],["2017-02-27",137.979],["2017-03-06",138.192],["2017-03-13",138.268],["2017-03-20",138.158],["2017-03-27",138.336],["2017-04-05",138.503],["2017-04-10",138.611],["2017-04-17",138.425],["2017-04-24",137.989],["2017-05-02",138.212],["2017-05-08",137.764],["2017-05-15",137.338],["2017-05-22",137.396],["2017-05-31",137.49],["2017-06-05",137.519],["2017-06-12",137.977],["2017-06-19",138.353],["2017-06-26",138.648],["2017-07-03",138.776],["2017-07-10",138.669],["2017-07-17",137.915],["2017-07-24",138.508],["2017-07-31",138.713],["2017-08-07",138.676],["2017-08-14",138.761],["2017-08-21",139.219],["2017-08-28",139.515],["2017-09-04",139.87],["2017-09-11",139.792],["2017-09-18",139.85],["2017-09-25",139.57],["2017-10-09",140.048],["2017-10-16",140.178],["2017-10-23",140.236],["2017-10-30",140.12],["2017-11-06",140.197],["2017-11-13",140.626],["2017-11-20",140.26],["2017-11-27",139.668],["2017-12-04",139.829],["2017-12-11",140.024],["2017-12-18",139.823],["2017-12-25",139.808],["2018-01-02",140.026],["2018-01-08",140.336],["2018-01-15",140.118],["2018-01-22",140.416],["2018-01-29",140.524],["2018-02-05",140.16],["2018-02-12",139.697],["2018-02-22",140.171],["2018-02-26",140.539],["2018-03-05",140.816],["2018-03-12",141.297],["2018-03-19",141.219],["2018-03-26",141.191],["2018-04-02",141.659],["2018-04-09",141.775],["2018-04-16",141.841],["2018-04-23",142.007],["2018-05-02",142.114],["2018-05-07",142.527],["2018-05-14",142.562],["2018-05-21",142.835],["2018-05-28",142.744],["2018-06-04",142.54],["2018-06-11",142.539],["2018-06-19",141.929],["2018-06-25",142.036],["2018-07-02",142.242],["2018-07-09",142.483],["2018-07-16",142.791],["2018-07-23",143.096],["2018-07-30",143.007],["2018-08-06",142.664],["2018-08-13",142.928],["2018-08-20",142.519],["2018-08-27",142.86],["2018-09-03",142.73],["2018-09-10",142.503],["2018-09-17",142.466],["2018-09-25",142.861],["2018-10-08",142.844],["2018-10-15",142.363],["2018-10-22",142.796],["2018-10-29",142.66],["2018-11-05",143.202],["2018-11-12",143.459],["2018-11-19",143.951],["2018-11-26",143.719],["2018-12-03",144.215],["2018-12-10",144.454],["2018-12-17",144.515],["2018-12-24",144.453],["2019-01-02",144.62],["2019-01-07",144.986],["2019-01-14",145.027],["2019-01-21",145.42],["2019-01-28",145.526],["2019-02-11",146.139],["2019-02-18",146.73],["2019-02-25",147.672],["2019-03-04",147.94],["2019-03-11",148.345],["2019-03-18",148.529],["2019-03-25",148.556],["2019-04-01",149.171],["2019-04-08",149.22],["2019-04-15",148.985],["2019-04-22",149.117],["2019-04-29",148.722],["2019-05-06",148.397],["2019-05-13",148.503],["2019-05-20",148.561],["2019-05-27",148.699],["2019-06-03",148.731],["2019-06-10",148.787],["2019-06-17",149.019],["2019-06-24",149.555],["2019-07-01",149.775],["2019-07-08",149.502],["2019-07-15",149.832],["2019-07-22",149.695],["2019-07-29",150.038],["2019-08-05",149.875],["2019-08-12",150.057],["2019-08-19",150.693],["2019-08-26",150.757],["2019-09-02",151.167],["2019-09-09",151.919],["2019-09-16",151.896],["2019-09-23",151.734],["2019-09-30",151.427],["2019-10-08",151.612],["2019-10-14",151.916],["2019-10-21",151.61],["2019-10-28",152.049],["2019-11-04",152.012],["2019-11-11",151.854],["2019-11-18",152.034],["2019-11-25",152.12],["2019-12-02",152.148],["2019-12-09",152.592],["2019-12-16",153.12],["2019-12-23",153.048],["2019-12-30",153.82],["2020-01-06",154.396],["2020-01-13",155.003],["2020-01-20",155.273],["2020-02-03",153.991],["2020-02-10",155.436],["2020-02-17",155.857],["2020-02-24",155.946],["2020-03-02",156.156],["2020-03-09",156.758],["2020-03-16",155.906],["2020-03-23",155.54],["2020-03-30",156.025],["2020-04-07",157.087],["2020-04-13",157.048],["2020-04-20",157.805],["2020-04-27",157.927],["2020-05-06",158.606],["2020-05-11",158.787],["2020-05-18",158.719],["2020-05-25",158.141],["2020-06-01",158.922],["2020-06-08",158.884],["2020-06-15",159.009],["2020-06-22",159.637],["2020-06-29",159.572],["2020-07-06",160.976],["2020-07-13",162.09],["2020-07-20",161.371],["2020-07-27",161.164],["2020-08-03",162.247],["2020-08-10",162.119],["2020-08-17",162.273],["2020-08-24",162.166],["2020-08-31",162.135],["2020-09-07",161.883],["2020-09-14",161.885],["2020-09-21",162.091],["2020-09-28",161.877],["2020-10-09",162.332],["2020-10-12",162.576],["2020-10-19",162.391],["2020-10-26",162.237],["2020-11-02",162.189],["2020-11-09",162.74],["2020-11-16",162.593],["2020-11-23",162.586],["2020-11-30",162.505],["2020-12-07",162.834],["2020-12-14",162.793],["2020-12-21",163.172],["2020-12-28",163.197],["2021-01-04",163.904],["2021-01-11",164.215],["2021-01-18",164.508],["2021-01-25",165.01],["2021-02-01",164.567],["2021-02-08",164.697],["2021-02-18",165.075],["2021-02-22",164.896],["2021-03-01",164.576],["2021-03-08",164.31],["2021-03-15",164.333],["2021-03-22",164.601],["2021-03-29",164.753],["2021-04-06",165.058],["2021-04-12",165.075],["2021-04-19",165.438],["2021-04-26",165.472],["2021-05-06",165.706],["2021-05-10",165.638],["2021-05-17",166.176],["2021-05-24",166.371],["2021-05-31",166.825],["2021-06-07",166.676],["2021-06-15",166.52],["2021-06-21",166.701],["2021-06-28",167.196],["2021-07-05",166.739],["2021-07-12",167.527],["2021-07-19",167.844],["2021-07-26",167.699],["2021-08-02",168.258],["2021-08-09",168.491],["2021-08-16",168.449],["2021-08-23",168.565],["2021-08-30",168.829],["2021-09-06",169.105],["2021-09-13",169.459],["2021-09-22",169.235],["2021-09-27",169.19],["2021-10-08",169.368],["2021-10-11",169.276],["2021-10-18",169.198],["2021-10-25",169.465],["2021-11-01",169.471],["2021-11-08",169.722],["2021-11-15",169.904],["2021-11-22",170.363],["2021-11-29",170.447],["2021-12-06",170.541],["2021-12-13",170.887],["2021-12-20",170.488],["2021-12-27",170.817],["2022-01-04",171.082],["2022-01-10",170.745],["2022-01-17",170.968],["2022-01-24",171.111],["2022-02-07",170.708],["2022-02-14",170.38],["2022-02-21",170.87],["2022-02-28",170.916],["2022-03-07",170.312],["2022-03-14",169.886],["2022-03-21",170.274],["2022-03-28",169.949],["2022-04-06",170.471],["2022-04-11",170.115],["2022-04-18",170.365],["2022-04-25",169.432],["2022-05-05",170.122],["2022-05-09",170.037],["2022-05-16",170.356],["2022-05-23",170.784],["2022-05-30",171.006],["2022-06-06",171.422],["2022-06-13",171.547],["2022-06-20",171.943],["2022-06-27",172.246],["2022-07-04",172.376],["2022-07-11",172.183],["2022-07-18",172.311],["2022-07-25",172.288],["2022-08-01",172.616],["2022-08-08",172.592],["2022-08-15",173.024],["2022-08-22",173.496],["2022-08-29",173.19],["2022-09-05",173.09],["2022-09-13",173.451],["2022-09-19",172.694],["2022-09-26",172.464],["2022-10-10",172.175],["2022-10-17",173.102],["2022-10-24",172.585],["2022-10-31",172.506],["2022-11-07",173.404],["2022-11-14",173.156],["2022-11-21",173.063],["2022-11-28",172.9],["2022-12-05",173.278],["2022-12-12",173.316],["2022-12-19",173.011],["2022-12-26",172.979],["2023-01-03",173.272],["2023-01-09",173.709],["2023-01-16",174.105],["2023-01-30",174.59],["2023-02-06",174.339],["2023-02-13",174.66],["2023-02-20",174.456],["2023-02-27",174.152],["2023-03-06",174.493],["2023-03-13",174.087],["2023-03-20",173.883],["2023-03-27",174.514],["2023-04-03",174.829],["2023-04-10",175.213],["2023-04-17",175.447],["2023-04-24",174.666],["2023-05-04",175.067],["2023-05-08",175.221],["2023-05-15",175.305],["2023-05-22",175.254],["2023-05-29",175.061],["2023-06-05",175.31],["2023-06-12",175.177],["2023-06-19",175.948],["2023-06-26",175.287],["2023-07-03",176.02],["2023-07-10",175.961],["2023-07-17",176.169],["2023-07-24",175.992],["2023-07-31",176.766],["2023-08-07",176.963],["2023-08-14",176.582],["2023-08-21",176.314],["2023-08-28",176.242],["2023-09-04",176.662],["2023-09-11",176.367],["2023-09-18",176.253],["2023-09-25",176.14],["2023-10-09",176.313],["2023-10-16",176.123],["2023-10-23",175.49],["2023-10-30",176.194],["2023-11-06",176.579],["2023-11-13",176.745],["2023-11-20",176.701],["2023-11-27",176.404],["2023-12-04",176.3],["2023-12-11",176.431],["2023-12-18",176.11],["2023-12-25",176.138],["2024-01-02",176.534],["2024-01-08",176.285],["2024-01-15",176.456],["2024-01-22",175.919],["2024-01-29",176.382],["2024-02-05",175.945],["2024-02-19",178.184],["2024-02-26",178.73],["2024-03-04",179.842],["2024-03-11",180.385],["2024-03-18",180.494],["2024-03-25",180.189],["2024-04-01",180.559],["2024-04-08",180.288],["2024-04-15",181.424],["2024-04-22",181.584],["2024-04-29",182.08],["2024-05-06",182.415],["2024-05-13",182.472],["2024-05-20",182.814],["2024-05-27",182.428],["2024-06-03",182.328],["2024-06-11",182.289],["2024-06-17",182.447],["2024-06-24",181.935],["2024-07-01",182.029],["2024-07-08",181.183],["2024-07-15",182.014],["2024-07-22",182.545],["2024-07-29",181.904],["2024-08-05",182.351],["2024-08-12",181.963],["2024-08-19",182.327],["2024-08-26",182.145],["2024-09-02",182.081],["2024-09-09",182.053],["2024-09-18",182.628],["2024-09-23",183.135],["2024-09-30",188.801],["2024-10-08",191.099],["2024-10-14",189.914],["2024-10-21",190.179],["2024-10-28",190.22],["2024-11-04",190.385],["2024-11-11",191.871],["2024-11-18",190.926],["2024-11-25",191.101],["2024-12-02",192.152],["2024-12-09",192.516],["2024-12-16",193.797],["2024-12-23",194.012],["2024-12-30",194.357],["2025-01-06",194.048],["2025-01-13",193.57],["2025-01-20",194.536],["2025-01-27",194.659],["2025-02-05",194.852],["2025-02-10",196.07],["2025-02-17",196.318],["2025-02-24",195.938],["2025-03-03",195.481],["2025-03-10",195.543],["2025-03-17",195.491],["2025-03-24",194.916],["2025-03-31",194.719],["2025-04-07",192.587],["2025-04-14",194.486],["2025-04-21",194.691],["2025-04-28",194.636],["2025-05-06",195.376],["2025-05-12",195.846],["2025-05-19",195.55],["2025-05-26",195.374],["2025-06-03",195.352],["2025-06-09",195.949],["2025-06-16",196.102],["2025-06-23",196.139],["2025-06-30",197.175],["2025-07-07",197.49],["2025-07-14",197.806],["2025-07-21",198.384],["2025-07-28",198.552],["2025-08-04",198.382],["2025-08-11",198.907],["2025-08-18",199.685],["2025-08-25",200.848],["2025-09-01",201.658],["2025-09-08",201.296],["2025-09-15",201.578],["2025-09-22",201.783],["2025-09-29",201.96],["2025-10-09",202.654],["2025-10-13",201.947],["2025-10-20",201.557],["2025-10-27",202.736],["2025-11-03",203.003],["2025-11-10",203.041],["2025-11-17",202.736],["2025-11-24",201.746],["2025-12-01",202.345],["2025-12-08",201.95],["2025-12-15",201.75],["2025-12-22",202.164],["2025-12-29",202.533],["2026-01-05",202.976],["2026-01-12",203.788],["2026-01-19",203.842],["2026-01-26",204.356],["2026-02-02",203.648],["2026-02-09",204.533],["2026-02-24",204.718],["2026-03-02",205.022],["2026-03-09",204.149],["2026-03-16",204.314],["2026-03-23",202.804],["2026-03-30",203.668],["2026-04-07",203.446],["2026-04-13",204.781],["2026-04-20",205.708],["2026-04-27",205.722],["2026-05-06",206.223],["2026-05-11",206.66],["2026-05-18",206.485],["2026-05-25",207.035],["2026-06-01",207.114],["2026-06-08",206.668],["2026-06-15",207.325],["2026-06-22",208.299],["2026-06-29",208.194],["2026-07-06",207.77],["2026-07-13",207.346],["2026-07-20",206.73],["2026-07-27",207.578],["2026-08-03",207.307],["2026-08-10",208.046],["2026-08-17",208.534],["2026-08-24",208.185],["2026-08-31",208.216],["2026-09-07",208.343],["2026-09-14",208.089],["2026-09-21",208.566],["2026-09-28",208.284],["2026-10-08",208.167],["2026-10-12",208.299],["2026-10-19",208.097],["2026-10-26",208.133],["2026-11-02",207.981],["2026-11-06",208.546]]},{"id":"eqw","name":"四资产等权","en":"Equal Weight","category":"基准","description":"同样四类资产等权持有、月末再平衡，作为风险平价的对照。","color":"#6b7280","cost_bps":5.0,"cost_note":"单边 5bp（月末再平衡）","turnover":0.0,"metrics":{"full":{"cagr":0.0505,"vol":0.1827,"sharpe":0.219,"sortino":0.293,"max_dd":-0.4662,"calmar":0.108,"hit_rate":0.54,"days":3989,"total_return":1.1796},"is":{"cagr":0.0774,"vol":0.1864,"sharpe":0.338,"sortino":0.435,"max_dd":-0.4662,"calmar":0.166,"hit_rate":0.576,"days":2817,"total_return":1.3012},"oos":{"cagr":-0.0116,"vol":0.1736,"sharpe":-0.087,"sortino":-0.13,"max_dd":-0.3213,"calmar":-0.036,"hit_rate":0.458,"days":1172,"total_return":-0.0528}},"yearly":[{"year":"2010","return":0.1415},{"year":"2011","return":-0.2348},{"year":"2012","return":0.0317},{"year":"2013","return":0.2071},{"year":"2014","return":0.2661},{"year":"2015","return":0.3468},{"year":"2016","return":-0.1313},{"year":"2017","return":0.0273},{"year":"2018","return":-0.2104},{"year":"2019","return":0.2775},{"year":"2020","return":0.2861},{"year":"2021","return":0.0716},{"year":"2022","return":-0.171},{"year":"2023","return":-0.0855},{"year":"2024","return":0.1194},{"year":"2025","return":0.2456},{"year":"2026","return":-0.104}],"curve":[["2010-06-02",101.089],["2010-06-07",102.288],["2010-06-17",103.101],["2010-06-21",102.571],["2010-06-28",99.916],["2010-07-05",92.309],["2010-07-12",97.535],["2010-07-19",97.001],["2010-07-26",101.138],["2010-08-02",104.028],["2010-08-09",106.003],["2010-08-16",106.072],["2010-08-23",104.858],["2010-08-30",106.679],["2010-09-06",107.488],["2010-09-13",109.038],["2010-09-20",104.189],["2010-09-27",105.338],["2010-10-08",107.428],["2010-10-11",107.965],["2010-10-18",108.155],["2010-10-25",114.709],["2010-11-01",117.634],["2010-11-08",119.521],["2010-11-15",117.655],["2010-11-22",116.528],["2010-11-29",118.399],["2010-12-06",114.756],["2010-12-13",118.464],["2010-12-20",117.728],["2010-12-27",112.553],["2011-01-04",115.587],["2011-01-10",112.281],["2011-01-17",107.578],["2011-01-24",105.842],["2011-01-31",109.13],["2011-02-09",108.729],["2011-02-14",113.508],["2011-02-21",115.653],["2011-02-28",115.376],["2011-03-07",115.904],["2011-03-14",116.38],["2011-03-21",114.416],["2011-03-28",115.325],["2011-04-06",113.134],["2011-04-11",113.866],["2011-04-18",114.528],["2011-04-25",112.138],["2011-05-03",109.584],["2011-05-09",109.052],["2011-05-16",108.142],["2011-05-23",104.305],["2011-05-30",101.67],["2011-06-07",103.709],["2011-06-13",102.253],["2011-06-20",99.362],["2011-06-27",104.059],["2011-07-04",106.671],["2011-07-11",107.886],["2011-07-18",109.793],["2011-07-25",105.146],["2011-08-01",106.604],["2011-08-08",101.735],["2011-08-15",106.17],["2011-08-22",102.775],["2011-08-29",105.489],["2011-09-05",101.038],["2011-09-13",99.785],["2011-09-19",99.03],["2011-09-26",97.223],["2011-10-10",94.287],["2011-10-17",97.605],["2011-10-24",93.438],["2011-10-31",98.54],["2011-11-07",100.409],["2011-11-14",101.903],["2011-11-21",97.978],["2011-11-28",97.442],["2011-12-05",93.45],["2011-12-12",92.557],["2011-12-19",90.625],["2011-12-26",88.189],["2012-01-04",85.746],["2012-01-09",86.129],["2012-01-16",83.567],["2012-01-30",86.295],["2012-02-06",88.626],["2012-02-13",90.505],["2012-02-20",91.143],["2012-02-27",94.635],["2012-03-05",94.896],["2012-03-12",96.123],["2012-03-19",95.491],["2012-03-26",92.503],["2012-04-05",90.063],["2012-04-09",89.549],["2012-04-16",92.233],["2012-04-23",91.771],["2012-05-02",92.779],["2012-05-07",94.825],["2012-05-14",93.073],["2012-05-21",92.024],["2012-05-28",92.589],["2012-06-04",92.089],["2012-06-11",92.715],["2012-06-18",93.871],["2012-06-25",90.528],["2012-07-02",91.373],["2012-07-09",89.646],["2012-07-16",87.987],["2012-07-23",88.278],["2012-07-30",86.712],["2012-08-06",89.307],["2012-08-13",88.805],["2012-08-20",88.253],["2012-08-27",86.609],["2012-09-03",86.786],["2012-09-10",90.011],["2012-09-17",87.375],["2012-09-24",85.473],["2012-10-08",86.172],["2012-10-15",87.049],["2012-10-22",88.705],["2012-10-29",85.66],["2012-11-05",86.964],["2012-11-12",85.329],["2012-11-19",83.173],["2012-11-26",82.304],["2012-12-03",78.661],["2012-12-10",83.703],["2012-12-17",85.333],["2012-12-24",86.634],["2012-12-31",90.111],["2013-01-07",90.465],["2013-01-14",92.846],["2013-01-21",94.864],["2013-01-28",94.747],["2013-02-04",95.46],["2013-02-18",98.32],["2013-02-25",97.461],["2013-03-04",96.705],["2013-03-11",97.693],["2013-03-18",95.401],["2013-03-25",98.284],["2013-04-01",96.364],["2013-04-08",95.139],["2013-04-15",93.904],["2013-04-22",98.189],["2013-05-02",96.488],["2013-05-06",99.356],["2013-05-13",101.064],["2013-05-20",104.209],["2013-05-27",105.63],["2013-06-03",104.768],["2013-06-13",100.146],["2013-06-17",101.836],["2013-06-24",94.345],["2013-07-01",97.395],["2013-07-08",95.836],["2013-07-15",101.824],["2013-07-22",100.737],["2013-07-29",99.861],["2013-08-05",103.699],["2013-08-12",104.265],["2013-08-19",103.793],["2013-08-26",105.986],["2013-09-02",105.129],["2013-09-09",108.941],["2013-09-16",109.602],["2013-09-23",110.875],["2013-09-30",110.862],["2013-10-08",112.126],["2013-10-14",113.538],["2013-10-21",113.732],["2013-10-28",108.189],["2013-11-04",106.581],["2013-11-11",105.075],["2013-11-18",109.325],["2013-11-25",109.042],["2013-12-02",108.144],["2013-12-09",109.541],["2013-12-16",108.838],["2013-12-23",106.314],["2013-12-30",108.381],["2014-01-06",107.272],["2014-01-13",106.807],["2014-01-20",106.96],["2014-01-27",111.37],["2014-02-07",112.841],["2014-02-10",114.775],["2014-02-17",116.448],["2014-02-24",114.144],["2014-03-03",112.13],["2014-03-10",108.487],["2014-03-17",111.16],["2014-03-24",110.258],["2014-03-31",107.554],["2014-04-08",110.174],["2014-04-14",111.503],["2014-04-21",109.758],["2014-04-28",104.975],["2014-05-05",107.009],["2014-05-12",106.969],["2014-05-19",104.399],["2014-05-26",107.761],["2014-06-03",107.7],["2014-06-09",107.482],["2014-06-16",110.474],["2014-06-23",108.386],["2014-06-30",110.444],["2014-07-07",111.017],["2014-07-14",110.979],["2014-07-21",109.266],["2014-07-28",112.348],["2014-08-04",114.076],["2014-08-11",116.07],["2014-08-18",117.561],["2014-08-25",117.535],["2014-09-01",118.03],["2014-09-09",121.288],["2014-09-15",122.538],["2014-09-22",120.287],["2014-09-29",123.23],["2014-10-08",125.028],["2014-10-13",124.503],["2014-10-20",123.894],["2014-10-27",121.32],["2014-11-03",125.327],["2014-11-10",125.759],["2014-11-17",124.517],["2014-11-24",127.276],["2014-12-01",130.872],["2014-12-08",137.36],["2014-12-15",140.065],["2014-12-22",137.168],["2014-12-29",137.872],["2015-01-05",139.245],["2015-01-12",140.352],["2015-01-19",139.568],["2015-01-26",147.707],["2015-02-02",143.249],["2015-02-09",142.822],["2015-02-16",150.769],["2015-02-25",150.433],["2015-03-02",155.46],["2015-03-09",155.42],["2015-03-16",162.076],["2015-03-23",170.947],["2015-03-30",173.582],["2015-04-07",184.084],["2015-04-13",187.769],["2015-04-20",184.429],["2015-04-27",197.401],["2015-05-04",198.957],["2015-05-11",203.512],["2015-05-18",206.455],["2015-05-25",221.859],["2015-06-01",228.183],["2015-06-08",234.159],["2015-06-15",234.277],["2015-06-23",218.008],["2015-06-29",191.096],["2015-07-06",178.404],["2015-07-13",187.204],["2015-07-20",192.25],["2015-07-27",183.71],["2015-08-03",177.472],["2015-08-10",191.115],["2015-08-17",192.735],["2015-08-24",163.594],["2015-08-31",159.437],["2015-09-07",153.459],["2015-09-14",153.68],["2015-09-21",158.834],["2015-09-28",158.745],["2015-10-08",161.723],["2015-10-12",168.163],["2015-10-19",173.505],["2015-10-26",176.896],["2015-11-02",172.345],["2015-11-09",185.687],["2015-11-16",187.099],["2015-11-23",186.778],["2015-11-30",180.859],["2015-12-07",184.791],["2015-12-14",183.705],["2015-12-21",189.97],["2015-12-28",185.704],["2016-01-04",174.594],["2016-01-11",158.974],["2016-01-18",158.652],["2016-01-25",158.807],["2016-02-01",148.66],["2016-02-15",153.451],["2016-02-22",160.971],["2016-02-29",146.179],["2016-03-07",153.275],["2016-03-14",153.83],["2016-03-21",162.793],["2016-03-28",160.976],["2016-04-05",165.374],["2016-04-11",165.142],["2016-04-18",164.69],["2016-04-25",159.279],["2016-05-03",162.935],["2016-05-09",155.26],["2016-05-16",156.263],["2016-05-23",156.948],["2016-05-30",155.307],["2016-06-06",161.683],["2016-06-13",155.562],["2016-06-20",159.065],["2016-06-27",160.96],["2016-07-04",164.38],["2016-07-11",164.403],["2016-07-18",166.417],["2016-07-25",165.993],["2016-08-01",160.685],["2016-08-08",163.251],["2016-08-15",167.563],["2016-08-22",166.233],["2016-08-29",166.425],["2016-09-05",166.153],["2016-09-12",164.121],["2016-09-19",164.855],["2016-09-26",162.899],["2016-10-10",166.891],["2016-10-17",165.738],["2016-10-24",168.465],["2016-10-31",166.74],["2016-11-07",166.546],["2016-11-14",169.023],["2016-11-21",168.934],["2016-11-28",170.719],["2016-12-05",168.254],["2016-12-12",162.753],["2016-12-19",162.042],["2016-12-26",161.738],["2017-01-03",161.892],["2017-01-09",162.733],["2017-01-16",157.002],["2017-01-23",159.647],["2017-02-03",159.69],["2017-02-06",160.621],["2017-02-13",162.36],["2017-02-20",162.505],["2017-02-27",163.179],["2017-03-06",164.537],["2017-03-13",164.799],["2017-03-20",164.279],["2017-03-27",164.632],["2017-04-05",165.035],["2017-04-10",164.623],["2017-04-17",162.701],["2017-04-24",158.859],["2017-05-02",160.236],["2017-05-08",156.532],["2017-05-15",156.123],["2017-05-22",156.461],["2017-05-31",156.594],["2017-06-05",156.252],["2017-06-12",158.36],["2017-06-19",160.138],["2017-06-26",161.872],["2017-07-03",162.472],["2017-07-10",161.965],["2017-07-17",156.576],["2017-07-24",160.075],["2017-07-31",162.029],["2017-08-07",161.856],["2017-08-14",162.862],["2017-08-21",164.96],["2017-08-28",166.526],["2017-09-04",168.434],["2017-09-11",169.001],["2017-09-18",169.294],["2017-09-25",166.727],["2017-10-09",169.726],["2017-10-16",169.584],["2017-10-23",170.097],["2017-10-30",169.295],["2017-11-06",169.313],["2017-11-13",172.737],["2017-11-20",170.273],["2017-11-27",165.471],["2017-12-04",166.611],["2017-12-11",167.671],["2017-12-18",165.408],["2017-12-25",165.305],["2018-01-02",167.088],["2018-01-08",169.473],["2018-01-15",167.109],["2018-01-22",169.719],["2018-01-29",169.925],["2018-02-05",164.91],["2018-02-12",158.192],["2018-02-22",161.829],["2018-02-26",164.834],["2018-03-05",165.702],["2018-03-12",170.469],["2018-03-19",168.089],["2018-03-26",163.08],["2018-04-02",167.451],["2018-04-09",165.214],["2018-04-16",164.631],["2018-04-23",161.077],["2018-05-02",162.407],["2018-05-07",165.511],["2018-05-14",165.493],["2018-05-21",167.124],["2018-05-28",163.54],["2018-06-04",159.748],["2018-06-11",158.813],["2018-06-19",150.369],["2018-06-25",149.487],["2018-07-02",149.267],["2018-07-09",149.538],["2018-07-16",151.222],["2018-07-23",152.111],["2018-07-30",150.358],["2018-08-06",142.308],["2018-08-13",147.486],["2018-08-20",142.178],["2018-08-27",146.078],["2018-09-03",143.074],["2018-09-10",139.783],["2018-09-17",137.742],["2018-09-25",142.478],["2018-10-08",139.2],["2018-10-15",131.435],["2018-10-22",135.758],["2018-10-29",130.788],["2018-11-05",137.515],["2018-11-12",137.798],["2018-11-19",140.932],["2018-11-26",134.742],["2018-12-03",138.987],["2018-12-10",135.49],["2018-12-17",134.767],["2018-12-24",132.647],["2019-01-02",129.428],["2019-01-07",132.647],["2019-01-14",132.217],["2019-01-21",134.97],["2019-01-28",134.082],["2019-02-11",137.707],["2019-02-18",143.722],["2019-02-25",152.767],["2019-03-04",156.36],["2019-03-11",160.57],["2019-03-18",161.786],["2019-03-25",160.129],["2019-04-01",166.374],["2019-04-08",167.397],["2019-04-15",163.417],["2019-04-22",165.2],["2019-04-29",158.588],["2019-05-06",150.791],["2019-05-13",151.63],["2019-05-20",149.7],["2019-05-27",150.833],["2019-06-03",149.474],["2019-06-10",147.372],["2019-06-17",148.776],["2019-06-24",154.308],["2019-07-01",157.256],["2019-07-08",152.661],["2019-07-15",154.397],["2019-07-22",152.045],["2019-07-29",155.018],["2019-08-05",151.252],["2019-08-12",151.231],["2019-08-19",155.787],["2019-08-26",154.887],["2019-09-02",158.227],["2019-09-09",163.501],["2019-09-16",162.814],["2019-09-23",160.821],["2019-09-30",156.912],["2019-10-08",156.944],["2019-10-14",161.163],["2019-10-21",158.153],["2019-10-28",161.175],["2019-11-04",160.816],["2019-11-11",158.563],["2019-11-18",159.009],["2019-11-25",158.354],["2019-12-02",158.162],["2019-12-09",160.976],["2019-12-16",164.468],["2019-12-23",162.644],["2019-12-30",166.419],["2020-01-06",170.085],["2020-01-13",173.611],["2020-01-20",174.748],["2020-02-03",160.231],["2020-02-10",172.108],["2020-02-17",177.713],["2020-02-24",182.799],["2020-03-02",178.102],["2020-03-09",175.705],["2020-03-16",166.342],["2020-03-23",160.789],["2020-03-30",163.453],["2020-04-07",169.276],["2020-04-13",167.065],["2020-04-20",172.529],["2020-04-27",170.837],["2020-05-06",175.582],["2020-05-11",176.091],["2020-05-18",175.809],["2020-05-25",172.151],["2020-06-01",178.046],["2020-06-08",178.535],["2020-06-15",179.391],["2020-06-22",185.074],["2020-06-29",185.539],["2020-07-06",199.089],["2020-07-13",212.63],["2020-07-20",204.358],["2020-07-27",199.803],["2020-08-03",210.443],["2020-08-10",207.359],["2020-08-17",207.822],["2020-08-24",206.539],["2020-08-31",207.858],["2020-09-07",203.141],["2020-09-14",200.702],["2020-09-21",201.874],["2020-09-28",197.667],["2020-10-09",203.175],["2020-10-12",208.159],["2020-10-19",204.323],["2020-10-26",201.124],["2020-11-02",202.559],["2020-11-09",209.648],["2020-11-16",206.683],["2020-11-23",207.9],["2020-11-30",205.2],["2020-12-07",208.562],["2020-12-14",206.357],["2020-12-21",211.629],["2020-12-28",209.864],["2021-01-04",218.339],["2021-01-11",220.227],["2021-01-18",222.596],["2021-01-25",228.496],["2021-02-01",220.877],["2021-02-08",223.817],["2021-02-18",229.205],["2021-02-22",224.718],["2021-03-01",218.921],["2021-03-08",208.688],["2021-03-15",206.013],["2021-03-22",208.46],["2021-03-29",208.692],["2021-04-06",212.313],["2021-04-12",207.324],["2021-04-19",213.864],["2021-04-26",215.222],["2021-05-06",216.356],["2021-05-10",213.866],["2021-05-17",220.311],["2021-05-24",220.279],["2021-05-31",226.737],["2021-06-07",224.728],["2021-06-15",223.641],["2021-06-21",223.44],["2021-06-28",228.713],["2021-07-05",224.893],["2021-07-12",230.239],["2021-07-19",228.702],["2021-07-26",225.202],["2021-08-02",227.588],["2021-08-09",228.539],["2021-08-16",226.05],["2021-08-23",224.615],["2021-08-30",225.636],["2021-09-06",227.365],["2021-09-13",229.718],["2021-09-22",225.824],["2021-09-27",225.53],["2021-10-08",225.801],["2021-10-11",225.026],["2021-10-18",225.538],["2021-10-25",228.146],["2021-11-01",226.715],["2021-11-08",226.871],["2021-11-15",228.245],["2021-11-22",231.685],["2021-11-29",230.725],["2021-12-06",229.797],["2021-12-13",234.451],["2021-12-20",228.115],["2021-12-27",228.618],["2022-01-04",228.591],["2022-01-10",223.761],["2022-01-17",224.055],["2022-01-24",221.006],["2022-02-07",214.425],["2022-02-14",210.172],["2022-02-21",213.928],["2022-02-28",214.689],["2022-03-07",205.763],["2022-03-14",199.934],["2022-03-21",204.313],["2022-03-28",199.9],["2022-04-06",202.751],["2022-04-11",194.896],["2022-04-18",196.629],["2022-04-25",180.358],["2022-05-05",187.899],["2022-05-09",184.486],["2022-05-16",189.092],["2022-05-23",193.378],["2022-05-30",191.823],["2022-06-06",199.577],["2022-06-13",200.141],["2022-06-20",205.83],["2022-06-27",210.14],["2022-07-04",211.818],["2022-07-11",207.278],["2022-07-18",207.184],["2022-07-25",203.843],["2022-08-01",205.133],["2022-08-08",203.403],["2022-08-15",205.732],["2022-08-22",207.189],["2022-08-29",202.001],["2022-09-05",198.353],["2022-09-13",200.769],["2022-09-19",191.464],["2022-09-26",188.942],["2022-10-10",184.426],["2022-10-17",193.169],["2022-10-24",187.576],["2022-10-31",183.911],["2022-11-07",193.854],["2022-11-14",192.384],["2022-11-21",192.758],["2022-11-28",189.49],["2022-12-05",195.028],["2022-12-12",195.151],["2022-12-19",191.556],["2022-12-26",189.92],["2023-01-03",191.935],["2023-01-09",195.891],["2023-01-16",200.106],["2023-01-30",203.668],["2023-02-06",201.088],["2023-02-13",203.039],["2023-02-20",200.807],["2023-02-27",197.977],["2023-03-06",199.942],["2023-03-13",196.049],["2023-03-20",193.227],["2023-03-27",197.558],["2023-04-03",200.191],["2023-04-10",200.526],["2023-04-17",201.306],["2023-04-24",194.613],["2023-05-04",195.687],["2023-05-08",195.522],["2023-05-15",194.714],["2023-05-22",193.635],["2023-05-29",189.776],["2023-06-05",190.516],["2023-06-12",188.987],["2023-06-19",193.381],["2023-06-26",188.309],["2023-07-03",191.575],["2023-07-10",189.949],["2023-07-17",190.693],["2023-07-24",187.915],["2023-07-31",193.803],["2023-08-07",193.69],["2023-08-14",189.079],["2023-08-21",184.229],["2023-08-28",183.442],["2023-09-04",187.41],["2023-09-11",184.749],["2023-09-18",182.882],["2023-09-25",181.956],["2023-10-09",181.441],["2023-10-16",179.169],["2023-10-23",172.837],["2023-10-30",178.907],["2023-11-06",181.282],["2023-11-13",180.183],["2023-11-20",180.202],["2023-11-27",177.164],["2023-12-04",176.061],["2023-12-11",175.802],["2023-12-18",171.075],["2023-12-25",171.037],["2024-01-02",172.923],["2024-01-08",167.217],["2024-01-15",167.432],["2024-01-22",161.471],["2024-01-29",162.78],["2024-02-05",156.193],["2024-02-19",169.143],["2024-02-26",170.421],["2024-03-04",175.221],["2024-03-11",177.669],["2024-03-18",179.39],["2024-03-25",174.405],["2024-04-01",177.104],["2024-04-08",174.014],["2024-04-15",174.535],["2024-04-22",172.756],["2024-04-29",178.922],["2024-05-06",180.193],["2024-05-13",179.314],["2024-05-20",180.23],["2024-05-27",177.29],["2024-06-03",175.75],["2024-06-11",174.072],["2024-06-17",174.428],["2024-06-24",170.182],["2024-07-01",169.185],["2024-07-08",165.035],["2024-07-15",168.004],["2024-07-22",169.65],["2024-07-29",164.705],["2024-08-05",163.46],["2024-08-12",162.983],["2024-08-19",163.1],["2024-08-26",160.42],["2024-09-02",159.558],["2024-09-09",158.486],["2024-09-18",157.87],["2024-09-23",158.68],["2024-09-30",194.974],["2024-10-08",209.772],["2024-10-14",193.378],["2024-10-21",195.232],["2024-10-28",197.482],["2024-11-04",196.757],["2024-11-11",207.166],["2024-11-18",196.44],["2024-11-25",194.153],["2024-12-02",199.12],["2024-12-09",199.341],["2024-12-16",197.737],["2024-12-23",197.002],["2024-12-30",198.961],["2025-01-06",187.954],["2025-01-13",186.186],["2025-01-20",192.422],["2025-01-27",191.249],["2025-02-05",191.227],["2025-02-10",197.718],["2025-02-17",199.759],["2025-02-24",201.549],["2025-03-03",197.706],["2025-03-10",199.271],["2025-03-17",201.108],["2025-03-24",197.799],["2025-03-31",195.27],["2025-04-07",180.129],["2025-04-14",188.279],["2025-04-21",189.037],["2025-04-28",188.591],["2025-05-06",191.452],["2025-05-12",194.783],["2025-05-19",193.247],["2025-05-26",192.011],["2025-06-03",192.122],["2025-06-09",194.942],["2025-06-16",194.505],["2025-06-23",192.701],["2025-06-30",198.954],["2025-07-07",198.767],["2025-07-14",201.977],["2025-07-21",206.306],["2025-07-28",209.69],["2025-08-04",207.76],["2025-08-11",210.542],["2025-08-18",219.109],["2025-08-25",227.666],["2025-09-01",233.632],["2025-09-08",231.579],["2025-09-15",236.186],["2025-09-22",237.612],["2025-09-29",242.287],["2025-10-09",245.611],["2025-10-13",239.255],["2025-10-20",234.504],["2025-10-27",244.049],["2025-11-03",242.371],["2025-11-10",242.66],["2025-11-17",239.168],["2025-11-24",230.769],["2025-12-01",237.524],["2025-12-08",240.353],["2025-12-15",238.0],["2025-12-22",241.049],["2025-12-29",243.474],["2026-01-05",247.668],["2026-01-12",255.121],["2026-01-19",253.812],["2026-01-26",254.913],["2026-02-02",248.977],["2026-02-09",254.051],["2026-02-24",254.128],["2026-03-02",256.165],["2026-03-09",250.136],["2026-03-16",252.982],["2026-03-23",241.439],["2026-03-30",245.8],["2026-04-07",241.584],["2026-04-13",253.634],["2026-04-20",261.485],["2026-04-27",261.457],["2026-05-06",267.541],["2026-05-11",273.22],["2026-05-18",269.206],["2026-05-25",273.561],["2026-06-01",268.107],["2026-06-08",261.481],["2026-06-15",271.424],["2026-06-22",282.971],["2026-06-29",278.563],["2026-07-06",271.599],["2026-07-13",261.738],["2026-07-20",249.614],["2026-07-27",256.54],["2026-08-03",246.821],["2026-08-10",258.555],["2026-08-17",264.101],["2026-08-24",252.425],["2026-08-31",255.295],["2026-09-07",252.427],["2026-09-14",247.478],["2026-09-21",252.826],["2026-09-28",241.632],["2026-10-08",237.98],["2026-10-12",235.061],["2026-10-19",226.773],["2026-10-26",222.955],["2026-11-02",215.643],["2026-11-06",217.965]]}],"monthly_heatmap":{"years":["2010","2011","2012","2013","2014","2015","2016","2017","2018","2019","2020","2021","2022","2023","2024","2025","2026"],"values":[[null,null,null,null,null,-9.29,12.72,0.14,-3.57,15.38,6.29,-1.87],[-10.61,6.34,-7.51,-8.93,-7.49,0.57,8.45,-1.03,-13.9,8.02,-0.06,-17.09],[-7.97,14.19,-6.08,-0.29,6.39,1.05,-6.96,4.99,-4.57,1.59,-15.41,18.81],[10.92,13.1,-0.88,4.34,15.5,0.47,12.76,1.69,14.67,-11.94,2.62,6.31],[14.98,-4.41,-7.51,-3.79,1.56,7.06,-6.03,9.58,7.21,-1.77,1.48,-5.64],[15.84,17.1,21.04,18.41,30.75,-25.76,-13.03,-21.25,15.92,11.04,9.18,-6.18],[-20.01,-2.9,14.02,0.61,-2.06,2.01,-5.02,3.91,1.25,-1.45,0.27,-10.02],[-4.41,2.94,0.6,-4.69,-6.2,6.32,-5.11,7.14,1.32,-0.9,-3.64,-1.94],[-4.08,5.45,6.18,-5.15,-4.84,-6.96,-2.85,-6.37,-6.23,-4.97,6.72,-10.49],[3.46,23.33,12.32,-15.05,-1.45,6.93,0.45,4.98,-2.16,4.45,-1.03,9.78],[-2.02,18.91,-12.67,13.21,2.44,12.45,18.6,-4.11,-2.82,1.33,-0.31,14.07],[2.66,-5.23,-5.98,7.15,9.6,4.8,1.16,-8.77,1.77,2.74,4.25,-6.43],[-10.22,-1.1,-7.57,-14.14,6.31,14.7,-1.69,-7.31,-11.72,4.53,1.88,-1.04],[10.92,-6.49,-0.13,-5.71,-3.73,1.21,-0.15,-5.56,-4.83,-1.97,-1.6,-3.65],[-14.38,14.79,2.65,1.77,-3.71,-7.29,-0.93,-7.71,66.15,-16.71,6.26,-8.64],[0.22,6.48,-4.29,-5.06,1.09,7.5,8.17,27.37,10.4,-1.92,-3.25,6.53],[-0.92,0.92,-1.41,16.8,4.69,7.94,-22.46,2.82,-10.45,-19.0,0.27,null]]},"validation":{"parameter_sweep":{"trend_ma":[{"ma":50,"full_sharpe":0.455,"full_cagr":0.1075,"oos_sharpe":0.471},{"ma":100,"full_sharpe":0.266,"full_cagr":0.0622,"oos_sharpe":0.254},{"ma":150,"full_sharpe":0.187,"full_cagr":0.0436,"oos_sharpe":0.094},{"ma":200,"full_sharpe":0.374,"full_cagr":0.0893,"oos_sharpe":0.36},{"ma":250,"full_sharpe":0.525,"full_cagr":0.1285,"oos_sharpe":0.374},{"ma":300,"full_sharpe":0.509,"full_cagr":0.1253,"oos_sharpe":0.35}],"cost_bps":[{"bps":0,"full_cagr":0.0928,"full_sharpe":0.388},{"bps":5,"full_cagr":0.0893,"full_sharpe":0.374},{"bps":10,"full_cagr":0.0859,"full_sharpe":0.36},{"bps":20,"full_cagr":0.0791,"full_sharpe":0.333},{"bps":40,"full_cagr":0.0655,"full_sharpe":0.278}]},"subperiods":[{"label":"2010-06 → 2015-12","days":1356,"strategies":{"market":{"cagr":0.2168,"sharpe":0.66,"max_dd":-0.5483},"trend":{"cagr":0.1727,"sharpe":0.642,"max_dd":-0.493},"ma60":{"cagr":0.1599,"sharpe":0.605,"max_dd":-0.4948},"dual":{"cagr":0.2358,"sharpe":0.748,"max_dd":-0.5483},"voltarget":{"cagr":0.182,"sharpe":0.674,"max_dd":-0.5014},"voltrend":{"cagr":0.187,"sharpe":0.899,"max_dd":-0.248},"relmom":{"cagr":0.0849,"sharpe":0.324,"max_dd":-0.5483},"indmom":{"cagr":0.0279,"sharpe":0.129,"max_dd":-0.5611},"riskparity":{"cagr":0.0572,"sharpe":0.554,"max_dd":-0.1203},"eqw":{"cagr":0.1217,"sharpe":0.52,"max_dd":-0.3835}}},{"label":"2016-01 → 2019-12","days":975,"strategies":{"market":{"cagr":-0.0956,"sharpe":-0.355,"max_dd":-0.5488},"trend":{"cagr":-0.0798,"sharpe":-0.746,"max_dd":-0.4201},"ma60":{"cagr":-0.0957,"sharpe":-0.736,"max_dd":-0.4366},"dual":{"cagr":-0.0202,"sharpe":-0.275,"max_dd":-0.3073},"voltarget":{"cagr":-0.0906,"sharpe":-0.479,"max_dd":-0.537},"voltrend":{"cagr":-0.0635,"sharpe":-0.753,"max_dd":-0.3796},"relmom":{"cagr":-0.0121,"sharpe":-0.089,"max_dd":-0.3525},"indmom":{"cagr":0.0692,"sharpe":0.324,"max_dd":-0.2226},"riskparity":{"cagr":0.0347,"sharpe":0.178,"max_dd":-0.0209},"eqw":{"cagr":-0.0268,"sharpe":-0.268,"max_dd":-0.31}}},{"label":"2020-01 → 2021-12","days":486,"strategies":{"market":{"cagr":0.3818,"sharpe":1.168,"max_dd":-0.2286},"trend":{"cagr":0.2735,"sharpe":0.897,"max_dd":-0.3032},"ma60":{"cagr":0.1823,"sharpe":0.7,"max_dd":-0.2249},"dual":{"cagr":0.3818,"sharpe":1.168,"max_dd":-0.2286},"voltarget":{"cagr":0.413,"sharpe":1.468,"max_dd":-0.1661},"voltrend":{"cagr":0.334,"sharpe":1.235,"max_dd":-0.2271},"relmom":{"cagr":0.2648,"sharpe":0.9,"max_dd":-0.2106},"indmom":{"cagr":0.2428,"sharpe":0.838,"max_dd":-0.2106},"riskparity":{"cagr":0.0564,"sharpe":1.837,"max_dd":-0.0097},"eqw":{"cagr":0.181,"sharpe":0.937,"max_dd":-0.1234}}},{"label":"2022-01 → 2026-11","days":1172,"strategies":{"market":{"cagr":-0.0524,"sharpe":-0.076,"max_dd":-0.5278},"trend":{"cagr":0.0788,"sharpe":0.36,"max_dd":-0.2955},"ma60":{"cagr":0.1293,"sharpe":0.571,"max_dd":-0.2072},"dual":{"cagr":-0.0018,"sharpe":0.036,"max_dd":-0.4471},"voltarget":{"cagr":-0.0858,"sharpe":-0.348,"max_dd":-0.5542},"voltrend":{"cagr":0.073,"sharpe":0.416,"max_dd":-0.1946},"relmom":{"cagr":-0.0602,"sharpe":-0.183,"max_dd":-0.4853},"indmom":{"cagr":-0.063,"sharpe":-0.278,"max_dd":-0.4148},"riskparity":{"cagr":0.0435,"sharpe":1.135,"max_dd":-0.0191},"eqw":{"cagr":-0.0116,"sharpe":-0.087,"max_dd":-0.3213}}}]},"cross_section":{"meta":{"generated":"2026-11-06","universe":"当前在创业板上市的股票（东方财富板块 t:80）","stocks":1438,"listed":1453,"start":"2010-06-01","end":"2026-11-06","rebalance":"每月最后一个交易日收盘形成信号","execution":"次一交易日收盘建仓，持有至下一个月末（T+1）","cost":"单边 10bp，按实际换手收取","price":"后复权收盘价（含股息再投资）","caveats":["股票池是当前上市公司，已退市个股不在样本内，存在幸存者偏差；结果应视为上限。","没有历史股本数据，市值因子本轮未做；成交额/Amihud 只是流动性与规模的代理。","多空组合仅作研究统计：A 股个股融券成本高、券源有限，普通投资者难以复制。","未考虑涨跌停无法成交、停牌、冲击成本与税费；单边 10bp 只是保守的佣金与价差假设。"]},"coverage":[{"month":"201006","stocks":90},{"month":"201007","stocks":97},{"month":"201008","stocks":113},{"month":"201009","stocks":123},{"month":"201010","stocks":132},{"month":"201011","stocks":141},{"month":"201012","stocks":153},{"month":"201101","stocks":168},{"month":"201102","stocks":183},{"month":"201103","stocks":196},{"month":"201104","stocks":209},{"month":"201105","stocks":224},{"month":"201106","stocks":234},{"month":"201107","stocks":247},{"month":"201108","stocks":257},{"month":"201109","stocks":266},{"month":"201110","stocks":270},{"month":"201111","stocks":275},{"month":"201112","stocks":279},{"month":"201201","stocks":284},{"month":"201202","stocks":290},{"month":"201203","stocks":306},{"month":"201204","stocks":310},{"month":"201205","stocks":319},{"month":"201206","stocks":331},{"month":"201207","stocks":339},{"month":"201208","stocks":347},{"month":"201209","stocks":352},{"month":"201210","stocks":354},{"month":"201211","stocks":354},{"month":"201212","stocks":352},{"month":"201301","stocks":352},{"month":"201302","stocks":354},{"month":"201303","stocks":352},{"month":"201304","stocks":349},{"month":"201305","stocks":349},{"month":"201306","stocks":347},{"month":"201307","stocks":348},{"month":"201308","stocks":345},{"month":"201309","stocks":342},{"month":"201310","stocks":345},{"month":"201311","stocks":339},{"month":"201312","stocks":339},{"month":"201401","stocks":362},{"month":"201402","stocks":354},{"month":"201403","stocks":357},{"month":"201404","stocks":352},{"month":"201405","stocks":351},{"month":"201406","stocks":362},{"month":"201407","stocks":360},{"month":"201408","stocks":356},{"month":"201409","stocks":364},{"month":"201410","stocks":363},{"month":"201411","stocks":367},{"month":"201412","stocks":380},{"month":"201501","stocks":386},{"month":"201502","stocks":393},{"month":"201503","stocks":401},{"month":"201504","stocks":415},{"month":"201505","stocks":422},{"month":"201506","stocks":445},{"month":"201507","stocks":428},{"month":"201508","stocks":411},{"month":"201509","stocks":421},{"month":"201510","stocks":435},{"month":"201511","stocks":453},{"month":"201512","stocks":463},{"month":"201601","stocks":459},{"month":"201602","stocks":456},{"month":"201603","stocks":467},{"month":"201604","stocks":457},{"month":"201605","stocks":462},{"month":"201606","stocks":469},{"month":"201607","stocks":475},{"month":"201608","stocks":489},{"month":"201609","stocks":506},{"month":"201610","stocks":510},{"month":"201611","stocks":526},{"month":"201612","stocks":545},{"month":"201701","stocks":562},{"month":"201702","stocks":574},{"month":"201703","stocks":588},{"month":"201704","stocks":594},{"month":"201705","stocks":592},{"month":"201706","stocks":606},{"month":"201707","stocks":621},{"month":"201708","stocks":636},{"month":"201709","stocks":656},{"month":"201710","stocks":664},{"month":"201711","stocks":681},{"month":"201712","stocks":680},{"month":"201801","stocks":688},{"month":"201802","stocks":689},{"month":"201803","stocks":687},{"month":"201804","stocks":688},{"month":"201805","stocks":708},{"month":"201806","stocks":709},{"month":"201807","stocks":714},{"month":"201808","stocks":719},{"month":"201809","stocks":723},{"month":"201810","stocks":728},{"month":"201811","stocks":732},{"month":"201812","stocks":737},{"month":"201901","stocks":741},{"month":"201902","stocks":743},{"month":"201903","stocks":748},{"month":"201904","stocks":754},{"month":"201905","stocks":758},{"month":"201906","stocks":761},{"month":"201907","stocks":765},{"month":"201908","stocks":767},{"month":"201909","stocks":770},{"month":"201910","stocks":773},{"month":"201911","stocks":784},{"month":"201912","stocks":788},{"month":"202001","stocks":791},{"month":"202002","stocks":795},{"month":"202003","stocks":800},{"month":"202004","stocks":804},{"month":"202005","stocks":809},{"month":"202006","stocks":816},{"month":"202007","stocks":831},{"month":"202008","stocks":849},{"month":"202009","stocks":865},{"month":"202010","stocks":870},{"month":"202011","stocks":878},{"month":"202012","stocks":891},{"month":"202101","stocks":904},{"month":"202102","stocks":914},{"month":"202103","stocks":924},{"month":"202104","stocks":946},{"month":"202105","stocks":957},{"month":"202106","stocks":976},{"month":"202107","stocks":997},{"month":"202108","stocks":1015},{"month":"202109","stocks":1036},{"month":"202110","stocks":1050},{"month":"202111","stocks":1066},{"month":"202112","stocks":1090},{"month":"202201","stocks":1104},{"month":"202202","stocks":1110},{"month":"202203","stocks":1126},{"month":"202204","stocks":1142},{"month":"202205","stocks":1139},{"month":"202206","stocks":1158},{"month":"202207","stocks":1161},{"month":"202208","stocks":1180},{"month":"202209","stocks":1199},{"month":"202210","stocks":1206},{"month":"202211","stocks":1223},{"month":"202212","stocks":1232},{"month":"202301","stocks":1232},{"month":"202302","stocks":1237},{"month":"202303","stocks":1246},{"month":"202304","stocks":1254},{"month":"202305","stocks":1259},{"month":"202306","stocks":1281},{"month":"202307","stocks":1303},{"month":"202308","stocks":1313},{"month":"202309","stocks":1321},{"month":"202310","stocks":1325},{"month":"202311","stocks":1326},{"month":"202312","stocks":1333},{"month":"202401","stocks":1335},{"month":"202402","stocks":1338},{"month":"202403","stocks":1341},{"month":"202404","stocks":1343},{"month":"202405","stocks":1340},{"month":"202406","stocks":1343},{"month":"202407","stocks":1348},{"month":"202408","stocks":1349},{"month":"202409","stocks":1353},{"month":"202410","stocks":1359},{"month":"202411","stocks":1361},{"month":"202412","stocks":1365},{"month":"202501","stocks":1369},{"month":"202502","stocks":1369},{"month":"202503","stocks":1377},{"month":"202504","stocks":1379},{"month":"202505","stocks":1378},{"month":"202506","stocks":1380},{"month":"202507","stocks":1384},{"month":"202508","stocks":1384},{"month":"202509","stocks":1390},{"month":"202510","stocks":1390},{"month":"202511","stocks":1390},{"month":"202512","stocks":1393},{"month":"202601","stocks":1393},{"month":"202602","stocks":1391},{"month":"202603","stocks":1394},{"month":"202604","stocks":1399},{"month":"202605","stocks":1397},{"month":"202606","stocks":1398},{"month":"202607","stocks":1398},{"month":"202608","stocks":1397},{"month":"202609","stocks":1397},{"month":"202610","stocks":1397},{"month":"202611","stocks":1396}],"factors":[{"id":"mom","name":"12-1 动量","en":"Momentum 12-1","desc":"过去 12 个月收益（跳过最近 1 个月），做多赢家。","start":"2011-07-01","end":"2026-11-06","months":185,"avg_stocks":706.8,"long_only":{"full":{"cagr":0.0974,"vol":0.3453,"sharpe":0.368,"sortino":0.476,"max_dd":-0.672,"calmar":0.145,"hit_rate":0.524,"days":3728,"total_return":2.9555},"is":{"cagr":0.167,"vol":0.3438,"sharpe":0.537,"sortino":0.689,"max_dd":-0.672,"calmar":0.248,"hit_rate":0.54,"days":2556,"total_return":3.7883},"oos":{"cagr":-0.0402,"vol":0.3483,"sharpe":0.005,"sortino":0.006,"max_dd":-0.52,"calmar":-0.077,"hit_rate":0.492,"days":1172,"total_return":-0.1739},"turnover":3.36,"curve":[["20110701",108.45],["20110801",107.46],["20110901",93.69],["20111001",100.1],["20111101",100.79],["20111201",86.97],["20120101",76.13],["20120201",87.85],["20120301",83.12],["20120401",81.98],["20120501",88.68],["20120601",88.85],["20120701",84.6],["20120801",89.84],["20120901",86.95],["20121001",88.04],["20121101",75.19],["20121201",89.23],["20130101",98.54],["20130201",107.18],["20130301",108.65],["20130401",108.54],["20130501",130.06],["20130601",120.47],["20130701",138.9],["20130801",144.41],["20130901",163.14],["20131001",144.91],["20131101",167.12],["20131201",156.38],["20140101",180.73],["20140201",173.4],["20140301",161.89],["20140401",154.94],["20140501",168.66],["20140601",184.79],["20140701",177.24],["20140801",190.81],["20140901",215.31],["20141001",214.67],["20141101",230.12],["20141201",194.82],["20150101",224.9],["20150201",258.64],["20150301",335.61],["20150401",395.96],["20150501",554.8],["20150601",422.36],["20150701",339.6],["20150801",256.18],["20150901",274.35],["20151001",349.09],["20151101",403.28],["20151201",422.98],["20160101",288.49],["20160201",265.63],["20160301",334.99],["20160401",324.48],["20160501",331.75],["20160601",366.95],["20160701",340.19],["20160801",359.75],["20160901",344.25],["20161001",357.77],["20161101",364.15],["20161201",335.46],["20170101",321.45],["20170201",334.21],["20170301",340.31],["20170401",317.19],["20170501",293.72],["20170601",305.53],["20170701",292.73],["20170801",308.1],["20170901",319.4],["20171001",317.36],["20171101",291.79],["20171201",292.94],["20180101",276.64],["20180201",274.49],["20180301",302.81],["20180401",293.37],["20180501",284.58],["20180601",269.17],["20180701",258.85],["20180801",244.03],["20180901",236.69],["20181001",214.64],["20181101",221.95],["20181201",213.9],["20190101",206.59],["20190201",253.6],["20190301",281.37],["20190401",263.82],["20190501",252.2],["20190601",258.03],["20190701",253.7],["20190801",264.33],["20190901",271.17],["20191001",271.43],["20191101",264.12],["20191201",287.68],["20200101",306.02],["20200201",318.19],["20200301",282.75],["20200401",309.43],["20200501",317.2],["20200601",372.42],["20200701",406.15],["20200801",407.43],["20200901",380.16],["20201001",380.85],["20201101",366.42],["20201201",366.21],["20210101",351.34],["20210201",347.7],["20210301",336.79],["20210401",351.04],["20210501",378.75],["20210601",408.37],["20210701",441.12],["20210801",460.99],["20210901",440.98],["20211001",456.33],["20211101",515.81],["20211201",478.83],["20220101",407.21],["20220201",431.45],["20220301",400.22],["20220401",315.37],["20220501",347.59],["20220601",391.04],["20220701",409.38],["20220801",382.74],["20220901",347.68],["20221001",361.77],["20221101",378.43],["20221201",361.26],["20230101",387.65],["20230201",397.49],["20230301",382.74],["20230401",378.71],["20230501",396.81],["20230601",406.43],["20230701",372.51],["20230801",371.45],["20230901",367.33],["20231001",352.58],["20231101",376.13],["20231201",364.52],["20240101",277.2],["20240201",309.91],["20240301",335.11],["20240401",322.17],["20240501",319.63],["20240601",300.52],["20240701",296.52],["20240801",283.05],["20240901",351.96],["20241001",395.6],["20241101",399.49],["20241201",381.73],["20250101",379.5],["20250201",417.39],["20250301",405.59],["20250401",391.17],["20250501",397.76],["20250601",437.73],["20250701",447.22],["20250801",503.54],["20250901",492.42],["20251001",485.63],["20251101",465.33],["20251201",494.09],["20260101",521.41],["20260201",549.25],["20260301",494.3],["20260401",564.03],["20260501",581.51],["20260601",624.64],["20260701",420.08],["20260801",516.92],["20260901",491.24],["20261001",383.23],["20261101",395.55]]},"long_short":{"full":{"cagr":-0.0056,"vol":0.1625,"sharpe":-0.113,"sortino":-0.155,"max_dd":-0.4951,"calmar":-0.011,"hit_rate":0.541,"days":3728,"total_return":-0.0791},"is":{"cagr":0.0232,"vol":0.1492,"sharpe":0.031,"sortino":0.043,"max_dd":-0.4143,"calmar":0.056,"hit_rate":0.563,"days":2556,"total_return":0.2619},"oos":{"cagr":-0.0655,"vol":0.1881,"sharpe":-0.364,"sortino":-0.495,"max_dd":-0.3952,"calmar":-0.166,"hit_rate":0.492,"days":1172,"total_return":-0.2703},"turnover":7.2,"curve":[["20110701",108.63],["20110801",109.4],["20110901",108.4],["20111001",107.39],["20111101",112.29],["20111201",111.76],["20120101",103.0],["20120201",105.81],["20120301",117.12],["20120401",115.09],["20120501",117.81],["20120601",119.6],["20120701",134.59],["20120801",136.61],["20120901",131.32],["20121001",133.65],["20121101",129.55],["20121201",130.57],["20130101",136.26],["20130201",137.12],["20130301",147.34],["20130401",149.62],["20130501",149.61],["20130601",161.59],["20130701",169.74],["20130801",166.07],["20130901",171.44],["20131001",153.2],["20131101",150.57],["20131201",142.16],["20140101",149.06],["20140201",138.4],["20140301",134.26],["20140401",130.42],["20140501",134.83],["20140601",136.36],["20140701",126.61],["20140801",126.97],["20140901",127.18],["20141001",127.34],["20141101",134.24],["20141201",127.45],["20150101",130.24],["20150201",135.41],["20150301",140.89],["20150401",144.67],["20150501",147.24],["20150601",129.66],["20150701",124.38],["20150801",110.49],["20150901",114.97],["20151001",114.54],["20151101",114.9],["20151201",111.18],["20160101",112.11],["20160201",108.99],["20160301",111.55],["20160401",109.58],["20160501",110.22],["20160601",108.96],["20160701",108.71],["20160801",110.42],["20160901",107.38],["20161001",108.71],["20161101",106.47],["20161201",110.76],["20170101",112.36],["20170201",113.1],["20170301",120.18],["20170401",120.45],["20170501",116.21],["20170601",117.7],["20170701",116.67],["20170801",115.33],["20170901",114.09],["20171001",119.87],["20171101",119.93],["20171201",124.25],["20180101",124.29],["20180201",128.8],["20180301",122.96],["20180401",124.08],["20180501",121.76],["20180601",131.66],["20180701",127.79],["20180801",131.58],["20180901",123.58],["20181001",124.37],["20181101",119.89],["20181201",121.77],["20190101",125.46],["20190201",119.03],["20190301",119.93],["20190401",115.91],["20190501",115.31],["20190601",115.88],["20190701",117.11],["20190801",122.83],["20190901",122.67],["20191001",124.45],["20191101",126.71],["20191201",126.27],["20200101",134.56],["20200201",137.37],["20200301",127.4],["20200401",141.45],["20200501",145.36],["20200601",163.49],["20200701",158.66],["20200801",138.28],["20200901",123.73],["20201001",116.33],["20201101",114.18],["20201201",126.7],["20210101",135.73],["20210201",129.28],["20210301",126.73],["20210401",135.72],["20210501",132.53],["20210601",129.25],["20210701",138.14],["20210801",141.62],["20210901",134.22],["20211001",142.6],["20211101",140.7],["20211201",126.19],["20220101",118.2],["20220201",121.75],["20220301",123.62],["20220401",118.97],["20220501",120.06],["20220601",123.75],["20220701",129.08],["20220801",122.18],["20220901",124.31],["20221001",122.12],["20221101",119.99],["20221201",118.58],["20230101",115.21],["20230201",111.7],["20230301",103.85],["20230401",108.96],["20230501",113.25],["20230601",113.54],["20230701",100.77],["20230801",107.04],["20230901",105.03],["20231001",99.81],["20231101",104.95],["20231201",104.55],["20240101",103.73],["20240201",107.61],["20240301",113.28],["20240401",113.59],["20240501",113.22],["20240601",118.48],["20240701",110.63],["20240801",107.11],["20240901",101.74],["20241001",108.28],["20241101",104.24],["20241201",107.28],["20250101",109.37],["20250201",110.71],["20250301",107.84],["20250401",109.74],["20250501",104.59],["20250601",106.8],["20250701",102.11],["20250801",106.74],["20250901",103.77],["20251001",99.7],["20251101",93.17],["20251201",101.05],["20260101",99.31],["20260201",102.41],["20260301",104.95],["20260401",114.67],["20260501",125.93],["20260601",147.55],["20260701",95.76],["20260801",112.71],["20260901",109.07],["20261001",94.82],["20261101",92.09]],"t_stat":0.31,"months":185},"short_leg":{"full":{"cagr":0.0961,"vol":0.3259,"sharpe":0.366,"sortino":0.456,"max_dd":-0.6434,"calmar":0.149,"hit_rate":0.53,"days":3728,"total_return":2.8883},"oos":{"cagr":0.0265,"vol":0.2953,"sharpe":0.175,"sortino":0.222,"max_dd":-0.4273,"calmar":0.062,"hit_rate":0.593,"days":1172,"total_return":0.1296}},"benchmark_same_period":{"cagr":0.0826,"vol":0.3107,"sharpe":0.327,"sortino":0.466,"max_dd":-0.6923,"calmar":0.119,"hit_rate":0.519,"days":3728,"total_return":2.2341,"curve":[["20110701",107.98],["20110801",108.96],["20110901",93.57],["20111001",100.87],["20111101",99.13],["20111201",86.28],["20120101",76.72],["20120201",86.97],["20120301",80.28],["20120401",81.31],["20120501",87.59],["20120601",86.77],["20120701",80.84],["20120801",84.38],["20120901",82.36],["20121001",82.6],["20121101",72.46],["20121201",85.25],["20130101",92.67],["20130201",102.83],["20130301",103.48],["20130401",106.38],["20130501",128.71],["20130601",121.51],["20130701",136.26],["20130801",142.42],["20130901",164.38],["20131001",148.47],["20131101",164.25],["20131201",156.75],["20140101",179.77],["20140201",172.43],["20140301",159.57],["20140401",154.39],["20140501",158.93],["20140601",169.5],["20140701",162.32],["20140801",171.97],["20140901",186.03],["20141001",182.7],["20141101",189.68],["20141201",177.72],["20150101",202.93],["20150201",232.82],["20150301",282.0],["20150401",345.4],["20150501",428.35],["20150601",345.82],["20150701",307.33],["20150801",241.62],["20150901",252.01],["20151001",299.88],["20151101",323.39],["20151201",328.4],["20160101",241.29],["20160201",227.5],["20160301",270.9],["20160401",259.05],["20160501",261.92],["20160601",270.36],["20160701",257.69],["20160801",266.11],["20160901",261.03],["20161001",262.23],["20161101",265.12],["20161201",238.28],["20170101",229.07],["20170201",234.04],["20170301",231.67],["20170401",224.94],["20170501",215.3],["20170601",222.14],["20170701",212.27],["20170801",226.1],["20170901",228.26],["20171001",228.6],["20171101",216.44],["20171201",214.28],["20180101",212.13],["20180201",214.4],["20180301",232.39],["20180401",220.9],["20180501",213.87],["20180601",197.37],["20180701",191.96],["20180801",176.47],["20180901",173.54],["20181001",156.84],["20181101",163.46],["20181201",153.76],["20190101",150.99],["20190201",188.83],["20190301",208.25],["20190401",199.81],["20190501",183.09],["20190601",186.78],["20190701",194.29],["20190801",199.31],["20190901",201.37],["20191001",206.96],["20191101",206.17],["20191201",222.67],["20200101",238.72],["20200201",256.53],["20200301",231.8],["20200401",256.38],["20200501",258.9],["20200601",303.43],["20200701",348.04],["20200801",339.75],["20200901",320.63],["20201001",330.73],["20201101",327.93],["20201201",369.59],["20210101",389.85],["20210201",363.1],["20210301",343.74],["20210401",385.45],["20210501",413.01],["20210601",434.46],["20210701",430.08],["20210801",401.86],["20210901",405.69],["20211001",418.95],["20211101",437.07],["20211201",415.45],["20220101",363.72],["20220201",360.26],["20220301",332.59],["20220401",290.22],["20220501",301.43],["20220601",352.8],["20220701",335.37],["20220801",322.81],["20220901",287.55],["20221001",284.54],["20221101",294.67],["20221201",294.85],["20230101",324.26],["20230201",305.19],["20230301",301.54],["20230401",292.56],["20230501",276.69],["20230601",280.08],["20230701",282.95],["20230801",265.99],["20230901",253.53],["20231001",249.04],["20231101",243.46],["20231201",239.5],["20240101",199.23],["20240201",228.82],["20240301",230.28],["20240401",236.62],["20240501",230.53],["20240601",215.49],["20240701",216.26],["20240801",202.54],["20240901",279.11],["20241001",277.79],["20241101",285.58],["20241201",275.02],["20250101",265.29],["20250201",279.0],["20250301",270.47],["20250401",251.59],["20250501",258.12],["20250601",279.47],["20250701",302.31],["20250801",375.5],["20250901",420.97],["20251001",414.58],["20251101",397.22],["20251201",416.82],["20260101",435.48],["20260201",430.79],["20260301",414.49],["20260401",480.41],["20260501",528.11],["20260601",568.55],["20260701",437.93],["20260801",450.62],["20260901",411.15],["20261001",316.63],["20261101",323.41]]},"universe_equal":{"full":{"cagr":0.1363,"vol":0.3219,"sharpe":0.479,"sortino":0.597,"max_dd":-0.642,"calmar":0.212,"hit_rate":0.535,"days":3728,"total_return":5.6195},"oos":{"cagr":0.0583,"vol":0.3021,"sharpe":0.279,"sortino":0.352,"max_dd":-0.3983,"calmar":0.146,"hit_rate":0.576,"days":1172,"total_return":0.3017},"turnover":0.3},"ic":{"mean":-0.0089,"std":0.1674,"ir":-0.053,"t":-0.72,"positive":0.481,"months":185},"quintiles":[{"q":1,"mean_month":0.006,"months":185},{"q":2,"mean_month":0.0103,"months":185},{"q":3,"mean_month":0.01,"months":185},{"q":4,"mean_month":0.0096,"months":185},{"q":5,"mean_month":0.009,"months":185}],"quintile_spread":0.003},{"id":"rev","name":"1 个月反转","en":"Short-term Reversal","desc":"过去 21 个交易日收益，做多输家（A 股短期反转假设）。","start":"2010-08-02","end":"2026-11-06","months":196,"avg_stocks":750.6,"long_only":{"full":{"cagr":0.1306,"vol":0.3411,"sharpe":0.456,"sortino":0.582,"max_dd":-0.5801,"calmar":0.225,"hit_rate":0.51,"days":3949,"total_return":5.8416},"is":{"cagr":0.161,"vol":0.349,"sharpe":0.521,"sortino":0.666,"max_dd":-0.5801,"calmar":0.278,"hit_rate":0.504,"days":2777,"total_return":4.1819},"oos":{"cagr":0.0616,"vol":0.3217,"sharpe":0.291,"sortino":0.37,"max_dd":-0.4572,"calmar":0.135,"hit_rate":0.525,"days":1172,"total_return":0.3203},"turnover":10.06,"curve":[["20100801",107.96],["20100901",95.78],["20101001",109.04],["20101101",120.08],["20101201",116.82],["20110101",105.93],["20110201",113.17],["20110301",104.31],["20110401",91.94],["20110501",85.59],["20110601",86.89],["20110701",93.53],["20110801",95.57],["20110901",82.66],["20111001",88.12],["20111101",86.66],["20111201",75.0],["20120101",71.28],["20120201",84.34],["20120301",77.48],["20120401",76.62],["20120501",81.13],["20120601",81.81],["20120701",72.07],["20120801",79.27],["20120901",77.93],["20121001",77.01],["20121101",67.54],["20121201",82.57],["20130101",89.84],["20130201",95.84],["20130301",90.69],["20130401",88.58],["20130501",106.81],["20130601",94.09],["20130701",104.09],["20130801",111.84],["20130901",126.7],["20131001",121.01],["20131101",145.45],["20131201",139.7],["20140101",158.51],["20140201",155.77],["20140301",142.41],["20140401",138.88],["20140501",150.76],["20140601",166.05],["20140701",170.62],["20140801",180.95],["20140901",203.06],["20141001",205.93],["20141101",221.74],["20141201",190.96],["20150101",219.86],["20150201",235.19],["20150301",289.8],["20150401",337.71],["20150501",480.29],["20150601",408.66],["20150701",356.25],["20150801",280.1],["20150901",302.47],["20151001",401.5],["20151101",478.53],["20151201",510.6],["20160101",364.76],["20160201",340.97],["20160301",440.02],["20160401",436.28],["20160501",440.94],["20160601",485.14],["20160701",470.46],["20160801",494.32],["20160901",477.35],["20161001",514.58],["20161101",521.04],["20161201",473.7],["20170101",427.18],["20170201",450.46],["20170301",436.66],["20170401",399.46],["20170501",354.69],["20170601",369.27],["20170701",340.45],["20170801",379.72],["20170901",390.5],["20171001",386.51],["20171101",352.13],["20171201",343.12],["20180101",323.89],["20180201",315.54],["20180301",369.76],["20180401",351.29],["20180501",342.76],["20180601",316.32],["20180701",309.61],["20180801",275.07],["20180901",273.45],["20181001",251.13],["20181101",271.32],["20181201",266.73],["20190101",250.83],["20190201",321.06],["20190301",348.01],["20190401",328.57],["20190501",326.31],["20190601",334.94],["20190701",330.3],["20190801",332.92],["20190901",344.99],["20191001",343.69],["20191101",337.86],["20191201",373.25],["20200101",382.6],["20200201",376.73],["20200301",359.92],["20200401",382.77],["20200501",384.87],["20200601",417.77],["20200701",464.08],["20200801",487.75],["20200901",464.54],["20201001",474.99],["20201101",470.28],["20201201",439.06],["20210101",392.99],["20210201",412.89],["20210301",407.64],["20210401",412.61],["20210501",440.93],["20210601",463.61],["20210701",440.56],["20210801",444.87],["20210901",444.84],["20211001",446.67],["20211101",528.69],["20211201",518.19],["20220101",458.68],["20220201",483.17],["20220301",455.4],["20220401",366.89],["20220501",405.94],["20220601",438.58],["20220701",449.38],["20220801",437.68],["20220901",390.54],["20221001",409.67],["20221101",442.81],["20221201",424.29],["20230101",469.59],["20230201",492.25],["20230301",475.68],["20230401",449.09],["20230501",470.84],["20230601",479.63],["20230701",471.77],["20230801",464.28],["20230901",465.51],["20231001",449.62],["20231101",472.89],["20231201",462.41],["20240101",351.47],["20240201",388.08],["20240301",426.77],["20240401",410.01],["20240501",401.87],["20240601",370.31],["20240701",383.95],["20240801",369.99],["20240901",471.98],["20241001",498.87],["20241101",530.06],["20241201",500.82],["20250101",489.2],["20250201",546.3],["20250301",551.91],["20250401",523.54],["20250501",546.2],["20250601",591.82],["20250701",620.6],["20250801",677.46],["20250901",669.94],["20251001",681.96],["20251101",662.71],["20251201",686.55],["20260101",753.05],["20260201",791.23],["20260301",704.61],["20260401",780.69],["20260501",727.66],["20260601",678.7],["20260701",660.72],["20260801",826.44],["20260901",791.81],["20261001",654.22],["20261101",684.16]]},"long_short":{"full":{"cagr":0.1795,"vol":0.1664,"sharpe":0.92,"sortino":1.349,"max_dd":-0.3012,"calmar":0.596,"hit_rate":0.633,"days":3949,"total_return":12.2937},"is":{"cagr":0.1818,"vol":0.153,"sharpe":0.978,"sortino":1.436,"max_dd":-0.2171,"calmar":0.838,"hit_rate":0.642,"days":2777,"total_return":5.3025},"oos":{"cagr":0.1741,"vol":0.1944,"sharpe":0.828,"sortino":1.228,"max_dd":-0.3012,"calmar":0.578,"hit_rate":0.61,"days":1172,"total_return":1.1093},"turnover":19.67,"curve":[["20100801",102.71],["20100901",100.53],["20101001",100.4],["20101101",100.93],["20101201",99.69],["20110101",104.04],["20110201",102.43],["20110301",102.57],["20110401",101.64],["20110501",102.19],["20110601",102.93],["20110701",103.8],["20110801",103.51],["20110901",107.47],["20111001",108.61],["20111101",111.82],["20111201",110.09],["20120101",122.03],["20120201",129.55],["20120301",133.62],["20120401",129.78],["20120501",130.43],["20120601",131.34],["20120701",129.56],["20120801",134.2],["20120901",137.05],["20121001",139.74],["20121101",138.18],["20121201",143.91],["20130101",155.1],["20130201",155.4],["20130301",148.11],["20130401",139.78],["20130501",141.11],["20130601",132.01],["20130701",133.41],["20130801",139.47],["20130901",141.57],["20131001",149.74],["20131101",153.46],["20131201",158.71],["20140101",160.74],["20140201",160.59],["20140301",159.78],["20140401",153.89],["20140501",156.52],["20140601",156.57],["20140701",165.96],["20140801",166.75],["20140901",164.71],["20141001",166.9],["20141101",170.44],["20141201",174.01],["20150101",183.69],["20150201",165.85],["20150301",154.16],["20150401",152.89],["20150501",159.76],["20150601",195.6],["20150701",204.43],["20150801",212.72],["20150901",230.44],["20151001",252.92],["20151101",253.34],["20151201",278.65],["20160101",302.31],["20160201",300.42],["20160301",319.94],["20160401",330.57],["20160501",319.12],["20160601",308.65],["20160701",340.16],["20160801",337.26],["20160901",341.74],["20161001",364.03],["20161101",354.42],["20161201",366.34],["20170101",353.96],["20170201",360.9],["20170301",354.99],["20170401",345.06],["20170501",324.93],["20170601",342.15],["20170701",330.24],["20170801",358.88],["20170901",347.82],["20171001",365.89],["20171101",363.02],["20171201",358.38],["20180101",366.61],["20180201",367.3],["20180301",388.61],["20180401",384.89],["20180501",390.94],["20180601",403.59],["20180701",423.31],["20180801",409.9],["20180901",420.41],["20181001",435.8],["20181101",470.14],["20181201",487.48],["20190101",489.63],["20190201",521.39],["20190301",516.41],["20190401",517.78],["20190501",548.01],["20190601",574.45],["20190701",587.65],["20190801",575.41],["20190901",590.39],["20191001",592.51],["20191101",596.95],["20191201",599.98],["20200101",589.53],["20200201",539.58],["20200301",587.36],["20200401",623.4],["20200501",616.96],["20200601",589.23],["20200701",584.26],["20200801",599.55],["20200901",570.63],["20201001",548.74],["20201101",576.7],["20201201",578.01],["20210101",538.75],["20210201",581.53],["20210301",580.95],["20210401",610.13],["20210501",594.3],["20210601",577.23],["20210701",503.88],["20210801",507.33],["20210901",554.83],["20211001",572.47],["20211101",614.69],["20211201",630.25],["20220101",634.49],["20220201",634.19],["20220301",648.45],["20220401",666.22],["20220501",692.4],["20220601",676.75],["20220701",664.1],["20220801",699.01],["20220901",693.47],["20221001",694.42],["20221101",756.14],["20221201",770.79],["20230101",813.17],["20230201",842.45],["20230301",790.61],["20230401",737.58],["20230501",757.35],["20230601",750.97],["20230701",788.62],["20230801",803.11],["20230901",828.12],["20231001",786.72],["20231101",808.44],["20231201",816.6],["20240101",818.79],["20240201",861.61],["20240301",937.22],["20240401",936.51],["20240501",906.24],["20240601",896.25],["20240701",945.82],["20240801",965.79],["20240901",1005.76],["20241001",922.53],["20241101",1017.48],["20241201",1041.96],["20250101",1030.73],["20250201",1063.32],["20250301",1106.03],["20250401",1074.79],["20250501",1042.63],["20250601",1042.31],["20250701",1054.88],["20250801",1045.71],["20250901",1011.41],["20251001",1030.11],["20251101",976.93],["20251201",1014.4],["20260101",1031.51],["20260201",1037.75],["20260301",1044.53],["20260401",1053.5],["20260501",908.1],["20260601",780.27],["20260701",1117.07],["20260801",1366.03],["20260901",1321.29],["20261001",1317.58],["20261101",1329.37]],"t_stat":3.65,"months":196},"short_leg":{"full":{"cagr":-0.055,"vol":0.3422,"sharpe":-0.069,"sortino":-0.091,"max_dd":-0.8955,"calmar":-0.061,"hit_rate":0.495,"days":3949,"total_return":-0.5877},"oos":{"cagr":-0.1163,"vol":0.3347,"sharpe":-0.257,"sortino":-0.347,"max_dd":-0.5885,"calmar":-0.198,"hit_rate":0.542,"days":1172,"total_return":-0.4374}},"benchmark_same_period":{"cagr":0.0689,"vol":0.3099,"sharpe":0.287,"sortino":0.412,"max_dd":-0.6923,"calmar":0.1,"hit_rate":0.515,"days":3949,"total_return":1.8427,"curve":[["20100801",105.9],["20100901",97.34],["20101001",109.94],["20101101",122.02],["20101201",117.5],["20110101",106.29],["20110201",113.58],["20110301",104.19],["20110401",94.52],["20110501",87.86],["20110601",87.9],["20110701",94.91],["20110801",95.77],["20110901",82.24],["20111001",88.66],["20111101",87.13],["20111201",75.84],["20120101",67.44],["20120201",76.45],["20120301",70.56],["20120401",71.47],["20120501",76.98],["20120601",76.26],["20120701",71.06],["20120801",74.17],["20120901",72.39],["20121001",72.6],["20121101",63.69],["20121201",74.93],["20130101",81.45],["20130201",90.39],["20130301",90.96],["20130401",93.5],["20130501",113.13],["20130601",106.8],["20130701",119.77],["20130801",125.18],["20130901",144.48],["20131001",130.5],["20131101",144.37],["20131201",137.78],["20140101",158.01],["20140201",151.56],["20140301",140.25],["20140401",135.7],["20140501",139.69],["20140601",148.98],["20140701",142.67],["20140801",151.16],["20140901",163.51],["20141001",160.59],["20141101",166.72],["20141201",156.21],["20150101",178.37],["20150201",204.64],["20150301",247.86],["20150401",303.59],["20150501",376.5],["20150601",303.96],["20150701",270.13],["20150801",212.38],["20150901",221.5],["20151001",263.58],["20151101",284.24],["20151201",288.65],["20160101",212.08],["20160201",199.96],["20160301",238.11],["20160401",227.7],["20160501",230.22],["20160601",237.63],["20160701",226.5],["20160801",233.9],["20160901",229.44],["20161001",230.49],["20161101",233.03],["20161201",209.44],["20170101",201.34],["20170201",205.71],["20170301",203.63],["20170401",197.72],["20170501",189.24],["20170601",195.25],["20170701",186.58],["20170801",198.74],["20170901",200.63],["20171001",200.93],["20171101",190.24],["20171201",188.35],["20180101",186.46],["20180201",188.45],["20180301",204.26],["20180401",194.16],["20180501",187.98],["20180601",173.48],["20180701",168.72],["20180801",155.11],["20180901",152.53],["20181001",137.86],["20181101",143.68],["20181201",135.15],["20190101",132.72],["20190201",165.97],["20190301",183.05],["20190401",175.63],["20190501",160.93],["20190601",164.17],["20190701",170.78],["20190801",175.18],["20190901",177.0],["20191001",181.91],["20191101",181.21],["20191201",195.71],["20200101",209.82],["20200201",225.48],["20200301",203.75],["20200401",225.35],["20200501",227.57],["20200601",266.7],["20200701",305.91],["20200801",298.63],["20200901",281.82],["20201001",290.7],["20201101",288.24],["20201201",324.86],["20210101",342.67],["20210201",319.15],["20210301",302.13],["20210401",338.79],["20210501",363.02],["20210601",381.88],["20210701",378.02],["20210801",353.22],["20210901",356.58],["20211001",368.24],["20211101",384.16],["20211201",365.16],["20220101",319.69],["20220201",316.66],["20220301",292.33],["20220401",255.1],["20220501",264.95],["20220601",310.1],["20220701",294.78],["20220801",283.74],["20220901",252.74],["20221001",250.1],["20221101",259.0],["20221201",259.17],["20230101",285.01],["20230201",268.25],["20230301",265.04],["20230401",257.15],["20230501",243.2],["20230601",246.18],["20230701",248.7],["20230801",233.79],["20230901",222.84],["20231001",218.9],["20231101",213.99],["20231201",210.51],["20240101",175.12],["20240201",201.13],["20240301",202.4],["20240401",207.98],["20240501",202.63],["20240601",189.4],["20240701",190.09],["20240801",178.03],["20240901",245.32],["20241001",244.17],["20241101",251.01],["20241201",241.73],["20250101",233.18],["20250201",245.23],["20250301",237.73],["20250401",221.14],["20250501",226.87],["20250601",245.64],["20250701",265.72],["20250801",330.05],["20250901",370.01],["20251001",364.4],["20251101",349.14],["20251201",366.37],["20260101",382.77],["20260201",378.65],["20260301",364.32],["20260401",422.26],["20260501",464.19],["20260601",499.73],["20260701",384.92],["20260801",396.08],["20260901",361.38],["20261001",278.31],["20261101",284.27]]},"universe_equal":{"full":{"cagr":0.1124,"vol":0.3228,"sharpe":0.413,"sortino":0.522,"max_dd":-0.6431,"calmar":0.175,"hit_rate":0.526,"days":3949,"total_return":4.3063},"oos":{"cagr":0.0495,"vol":0.3029,"sharpe":0.252,"sortino":0.317,"max_dd":-0.4126,"calmar":0.12,"hit_rate":0.542,"days":1172,"total_return":0.2521},"turnover":0.29},"ic":{"mean":0.0702,"std":0.1452,"ir":0.484,"t":6.77,"positive":0.684,"months":196},"quintiles":[{"q":1,"mean_month":-0.0037,"months":196},{"q":2,"mean_month":0.007,"months":196},{"q":3,"mean_month":0.0099,"months":196},{"q":4,"mean_month":0.0119,"months":196},{"q":5,"mean_month":0.0103,"months":196}],"quintile_spread":0.0141},{"id":"lowvol","name":"60 日低波动","en":"Low Volatility","desc":"过去 60 个交易日日收益标准差，做多低波动股票。","start":"2010-09-01","end":"2026-11-06","months":195,"avg_stocks":740.7,"long_only":{"full":{"cagr":0.1637,"vol":0.2756,"sharpe":0.595,"sortino":0.721,"max_dd":-0.5766,"calmar":0.284,"hit_rate":0.585,"days":3927,"total_return":9.6243},"is":{"cagr":0.1972,"vol":0.2865,"sharpe":0.671,"sortino":0.814,"max_dd":-0.5766,"calmar":0.342,"hit_rate":0.581,"days":2755,"total_return":6.1548},"oos":{"cagr":0.0887,"vol":0.2482,"sharpe":0.393,"sortino":0.479,"max_dd":-0.3224,"calmar":0.275,"hit_rate":0.593,"days":1172,"total_return":0.4849},"turnover":3.49,"curve":[["20100901",93.12],["20101001",101.08],["20101101",114.53],["20101201",110.85],["20110101",99.23],["20110201",104.69],["20110301",100.78],["20110401",92.06],["20110501",86.16],["20110601",86.47],["20110701",91.38],["20110801",93.69],["20110901",82.76],["20111001",87.63],["20111101",86.37],["20111201",76.32],["20120101",67.16],["20120201",75.65],["20120301",70.28],["20120401",71.92],["20120501",75.5],["20120601",75.94],["20120701",70.12],["20120801",72.87],["20120901",72.58],["20121001",71.47],["20121101",65.03],["20121201",75.46],["20130101",79.01],["20130201",85.62],["20130301",82.75],["20130401",80.84],["20130501",94.83],["20130601",79.93],["20130701",89.63],["20130801",96.19],["20130901",104.73],["20131001",104.24],["20131101",123.21],["20131201",126.63],["20140101",140.42],["20140201",143.68],["20140301",136.56],["20140401",135.68],["20140501",142.68],["20140601",154.24],["20140701",157.85],["20140801",170.2],["20140901",196.27],["20141001",198.31],["20141101",206.26],["20141201",188.54],["20150101",205.22],["20150201",220.86],["20150301",278.26],["20150401",327.88],["20150501",453.84],["20150601",394.1],["20150701",321.81],["20150801",255.92],["20150901",258.68],["20151001",320.84],["20151101",379.75],["20151201",406.9],["20160101",287.58],["20160201",277.74],["20160301",336.58],["20160401",341.89],["20160501",347.33],["20160601",379.65],["20160701",377.03],["20160801",400.07],["20160901",404.25],["20161001",414.29],["20161101",428.45],["20161201",392.61],["20170101",377.78],["20170201",390.78],["20170301",387.2],["20170401",375.63],["20170501",358.02],["20170601",365.89],["20170701",354.89],["20170801",368.16],["20170901",379.14],["20171001",375.68],["20171101",347.58],["20171201",341.38],["20180101",333.96],["20180201",320.06],["20180301",341.02],["20180401",333.7],["20180501",326.64],["20180601",288.76],["20180701",293.83],["20180801",271.51],["20180901",270.14],["20181001",244.98],["20181101",260.14],["20181201",251.86],["20190101",248.39],["20190201",297.31],["20190301",330.92],["20190401",326.63],["20190501",315.64],["20190601",322.65],["20190701",326.65],["20190801",323.1],["20190901",332.44],["20191001",336.83],["20191101",329.85],["20191201",358.52],["20200101",364.64],["20200201",370.98],["20200301",374.34],["20200401",385.42],["20200501",393.91],["20200601",415.98],["20200701",483.34],["20200801",538.59],["20200901",531.91],["20201001",556.34],["20201101",544.36],["20201201",519.27],["20210101",475.93],["20210201",490.54],["20210301",496.82],["20210401",499.07],["20210501",530.35],["20210601",569.64],["20210701",582.08],["20210801",625.87],["20210901",617.1],["20211001",602.0],["20211101",682.02],["20211201",715.48],["20220101",667.93],["20220201",696.22],["20220301",644.69],["20220401",544.4],["20220501",592.85],["20220601",643.35],["20220701",664.78],["20220801",650.48],["20220901",588.49],["20221001",629.81],["20221101",666.7],["20221201",631.9],["20230101",689.83],["20230201",726.82],["20230301",735.28],["20230401",703.74],["20230501",722.08],["20230601",733.5],["20230701",762.68],["20230801",749.28],["20230901",759.89],["20231001",762.22],["20231101",784.64],["20231201",773.2],["20240101",625.02],["20240201",655.33],["20240301",667.67],["20240401",680.55],["20240501",672.34],["20240601",622.77],["20240701",619.22],["20240801",608.77],["20240901",753.12],["20241001",785.54],["20241101",827.48],["20241201",794.96],["20250101",786.82],["20250201",828.51],["20250301",853.28],["20250401",833.01],["20250501",877.8],["20250601",934.61],["20250701",999.17],["20250801",1065.52],["20250901",1055.04],["20251001",1083.49],["20251101",1109.77],["20251201",1093.61],["20260101",1180.05],["20260201",1222.01],["20260301",1121.65],["20260401",1173.65],["20260501",1103.69],["20260601",1014.9],["20260701",1063.81],["20260801",1123.3],["20260901",1115.99],["20261001",1022.56],["20261101",1062.43]]},"long_short":{"full":{"cagr":0.1282,"vol":0.1889,"sharpe":0.596,"sortino":0.943,"max_dd":-0.3842,"calmar":0.334,"hit_rate":0.59,"days":3927,"total_return":5.5559},"is":{"cagr":0.1352,"vol":0.1713,"sharpe":0.656,"sortino":1.133,"max_dd":-0.3184,"calmar":0.425,"hit_rate":0.596,"days":2755,"total_return":3.002},"oos":{"cagr":0.112,"vol":0.2251,"sharpe":0.502,"sortino":0.728,"max_dd":-0.3842,"calmar":0.291,"hit_rate":0.576,"days":1172,"total_return":0.6382},"turnover":7.33,"curve":[["20100901",105.13],["20101001",99.37],["20101101",108.3],["20101201",112.0],["20110101",113.04],["20110201",110.88],["20110301",117.56],["20110401",122.22],["20110501",122.12],["20110601",124.11],["20110701",127.13],["20110801",131.09],["20110901",137.29],["20111001",129.16],["20111101",129.97],["20111201",130.84],["20120101",125.33],["20120201",118.12],["20120301",123.6],["20120401",125.81],["20120501",123.62],["20120601",123.5],["20120701",131.0],["20120801",124.75],["20120901",127.83],["20121001",127.2],["20121101",133.34],["20121201",127.04],["20130101",128.02],["20130201",131.4],["20130301",136.89],["20130401",132.36],["20130501",126.92],["20130601",110.88],["20130701",111.86],["20130801",111.75],["20130901",106.95],["20131001",120.41],["20131101",118.46],["20131201",133.82],["20140101",126.21],["20140201",133.34],["20140301",136.94],["20140401",139.33],["20140501",133.57],["20140601",130.0],["20140701",139.03],["20140801",139.18],["20140901",141.1],["20141001",144.17],["20141101",136.0],["20141201",146.93],["20150101",134.5],["20150201",123.11],["20150301",117.5],["20150401",117.18],["20150501",113.88],["20150601",131.27],["20150701",131.16],["20150801",134.21],["20150901",122.16],["20151001",114.89],["20151101",118.59],["20151201",124.2],["20160101",126.89],["20160201",130.31],["20160301",119.6],["20160401",127.76],["20160501",124.6],["20160601",122.94],["20160701",137.91],["20160801",136.23],["20160901",147.71],["20161001",140.83],["20161101",140.14],["20161201",145.29],["20170101",151.09],["20170201",149.43],["20170301",151.56],["20170401",165.71],["20170501",172.72],["20170601",176.84],["20170701",186.15],["20170801",175.46],["20170901",169.99],["20171001",179.8],["20171101",180.06],["20171201",176.99],["20180101",193.22],["20180201",187.5],["20180301",168.38],["20180401",173.6],["20180501",174.56],["20180601",161.73],["20180701",175.07],["20180801",182.76],["20180901",184.17],["20181001",186.0],["20181101",191.71],["20181201",194.47],["20190101",208.32],["20190201",195.26],["20190301",201.64],["20190401",215.1],["20190501",216.26],["20190601",220.29],["20190701",235.85],["20190801",228.65],["20190901",233.0],["20191001",236.89],["20191101",237.87],["20191201",234.05],["20200101",229.03],["20200201",225.89],["20200301",265.63],["20200401",259.32],["20200501",261.79],["20200601",245.1],["20200701",256.18],["20200801",282.79],["20200901",293.04],["20201001",284.22],["20201101",294.05],["20201201",316.25],["20210101",324.33],["20210201",330.98],["20210301",346.81],["20210401",359.26],["20210501",351.91],["20210601",350.82],["20210701",341.6],["20210801",359.18],["20210901",379.01],["20211001",361.1],["20211101",354.29],["20211201",400.2],["20220101",441.84],["20220201",433.04],["20220301",411.24],["20220401",453.48],["20220501",454.95],["20220601",457.97],["20220701",458.02],["20220801",484.72],["20220901",491.21],["20221001",506.09],["20221101",514.86],["20221201",517.57],["20230101",527.29],["20230201",539.77],["20230301",544.21],["20230401",532.98],["20230501",514.63],["20230601",511.36],["20230701",577.92],["20230801",561.2],["20230901",588.53],["20231001",599.09],["20231101",594.01],["20231201",600.59],["20240101",651.73],["20240201",597.0],["20240301",560.31],["20240401",616.12],["20240501",596.94],["20240601",595.58],["20240701",577.37],["20240801",592.03],["20240901",581.86],["20241001",518.34],["20241101",537.87],["20241201",567.07],["20250101",570.5],["20250201",533.05],["20250301",565.53],["20250401",581.31],["20250501",588.01],["20250601",570.04],["20250701",591.99],["20250801",564.58],["20250901",572.68],["20251001",586.96],["20251101",612.0],["20251201",575.73],["20260101",570.28],["20260201",560.95],["20260301",584.78],["20260401",554.76],["20260501",500.57],["20260601",430.32],["20260701",637.72],["20260801",541.64],["20260901",562.64],["20261001",660.86],["20261101",655.59]],"t_stat":2.52,"months":195},"short_leg":{"full":{"cagr":-0.0222,"vol":0.383,"sharpe":0.067,"sortino":0.089,"max_dd":-0.8764,"calmar":-0.025,"hit_rate":0.503,"days":3927,"total_return":-0.2949},"oos":{"cagr":-0.0829,"vol":0.3759,"sharpe":-0.09,"sortino":-0.12,"max_dd":-0.5851,"calmar":-0.142,"hit_rate":0.559,"days":1172,"total_return":-0.3313}},"benchmark_same_period":{"cagr":0.0654,"vol":0.31,"sharpe":0.276,"sortino":0.396,"max_dd":-0.6923,"calmar":0.094,"hit_rate":0.513,"days":3927,"total_return":1.6843,"curve":[["20100901",91.92],["20101001",103.82],["20101101",115.22],["20101201",110.95],["20110101",100.36],["20110201",107.25],["20110301",98.38],["20110401",89.25],["20110501",82.96],["20110601",83.0],["20110701",89.63],["20110801",90.44],["20110901",77.66],["20111001",83.72],["20111101",82.28],["20111201",71.61],["20120101",63.68],["20120201",72.19],["20120301",66.63],["20120401",67.49],["20120501",72.7],["20120601",72.01],["20120701",67.1],["20120801",70.04],["20120901",68.36],["20121001",68.56],["20121101",60.14],["20121201",70.76],["20130101",76.92],["20130201",85.35],["20130301",85.89],["20130401",88.29],["20130501",106.83],["20130601",100.85],["20130701",113.09],["20130801",118.2],["20130901",136.43],["20131001",123.23],["20131101",136.32],["20131201",130.1],["20140101",149.21],["20140201",143.11],["20140301",132.44],["20140401",128.14],["20140501",131.91],["20140601",140.68],["20140701",134.72],["20140801",142.73],["20140901",154.4],["20141001",151.64],["20141101",157.44],["20141201",147.51],["20150101",168.43],["20150201",193.23],["20150301",234.05],["20150401",286.68],["20150501",355.52],["20150601",287.02],["20150701",255.08],["20150801",200.55],["20150901",209.16],["20151001",248.89],["20151101",268.41],["20151201",272.57],["20160101",200.26],["20160201",188.82],["20160301",224.84],["20160401",215.01],["20160501",217.39],["20160601",224.39],["20160701",213.88],["20160801",220.86],["20160901",216.65],["20161001",217.65],["20161101",220.04],["20161201",197.77],["20170101",190.13],["20170201",194.25],["20170301",192.28],["20170401",186.7],["20170501",178.69],["20170601",184.37],["20170701",176.18],["20170801",187.66],["20170901",189.45],["20171001",189.74],["20171101",179.64],["20171201",177.85],["20180101",176.07],["20180201",177.95],["20180301",192.88],["20180401",183.34],["20180501",177.51],["20180601",163.82],["20180701",159.32],["20180801",146.47],["20180901",144.03],["20181001",130.18],["20181101",135.67],["20181201",127.62],["20190101",125.32],["20190201",156.72],["20190301",172.85],["20190401",165.84],["20190501",151.96],["20190601",155.03],["20190701",161.26],["20190801",165.42],["20190901",167.13],["20191001",171.78],["20191101",171.12],["20191201",184.81],["20200101",198.13],["20200201",212.92],["20200301",192.4],["20200401",212.79],["20200501",214.89],["20200601",251.84],["20200701",288.87],["20200801",281.99],["20200901",266.12],["20201001",274.5],["20201101",272.18],["20201201",306.76],["20210101",323.57],["20210201",301.36],["20210301",285.3],["20210401",319.92],["20210501",342.79],["20210601",360.6],["20210701",356.96],["20210801",333.54],["20210901",336.72],["20211001",347.72],["20211101",362.76],["20211201",344.82],["20220101",301.88],["20220201",299.01],["20220301",276.05],["20220401",240.88],["20220501",250.19],["20220601",292.82],["20220701",278.35],["20220801",267.93],["20220901",238.66],["20221001",236.17],["20221101",244.57],["20221201",244.73],["20230101",269.13],["20230201",253.3],["20230301",250.27],["20230401",242.82],["20230501",229.65],["20230601",232.46],["20230701",234.85],["20230801",220.77],["20230901",210.43],["20231001",206.7],["20231101",202.07],["20231201",198.78],["20240101",165.36],["20240201",189.92],["20240301",191.13],["20240401",196.39],["20240501",191.34],["20240601",178.85],["20240701",179.49],["20240801",168.11],["20240901",231.65],["20241001",230.57],["20241101",237.03],["20241201",228.26],["20250101",220.19],["20250201",231.56],["20250301",224.49],["20250401",208.82],["20250501",214.23],["20250601",231.95],["20250701",250.92],["20250801",311.66],["20250901",349.4],["20251001",344.1],["20251101",329.69],["20251201",345.96],["20260101",361.45],["20260201",357.55],["20260301",344.02],["20260401",398.74],["20260501",438.32],["20260601",471.89],["20260701",363.48],["20260801",374.01],["20260901",341.25],["20261001",262.8],["20261101",268.43]]},"universe_equal":{"full":{"cagr":0.1144,"vol":0.3227,"sharpe":0.418,"sortino":0.528,"max_dd":-0.6416,"calmar":0.178,"hit_rate":0.523,"days":3927,"total_return":4.4063},"oos":{"cagr":0.0501,"vol":0.3027,"sharpe":0.253,"sortino":0.319,"max_dd":-0.4117,"calmar":0.122,"hit_rate":0.542,"days":1172,"total_return":0.2554},"turnover":0.29},"ic":{"mean":0.0935,"std":0.1873,"ir":0.499,"t":6.97,"positive":0.682,"months":195},"quintiles":[{"q":1,"mean_month":-0.0008,"months":195},{"q":2,"mean_month":0.0063,"months":195},{"q":3,"mean_month":0.0092,"months":195},{"q":4,"mean_month":0.011,"months":195},{"q":5,"mean_month":0.0109,"months":195}],"quintile_spread":0.0117},{"id":"illiq","name":"60 日非流动性","en":"Amihud Illiquidity","desc":"过去 60 日平均 |日收益| / 成交额，做多流动性溢价（成交额是规模的代理变量，不是市值本身）。","start":"2010-09-01","end":"2026-11-06","months":195,"avg_stocks":740.7,"long_only":{"full":{"cagr":0.2142,"vol":0.3222,"sharpe":0.685,"sortino":0.829,"max_dd":-0.5972,"calmar":0.359,"hit_rate":0.61,"days":3927,"total_return":19.571},"is":{"cagr":0.2363,"vol":0.3301,"sharpe":0.721,"sortino":0.885,"max_dd":-0.5972,"calmar":0.396,"hit_rate":0.588,"days":2755,"total_return":9.1685},"oos":{"cagr":0.1636,"vol":0.3027,"sharpe":0.593,"sortino":0.697,"max_dd":-0.438,"calmar":0.373,"hit_rate":0.661,"days":1172,"total_return":1.023},"turnover":2.24,"curve":[["20100901",92.89],["20101001",100.61],["20101101",109.79],["20101201",106.69],["20110101",95.93],["20110201",102.8],["20110301",96.69],["20110401",85.85],["20110501",80.91],["20110601",82.62],["20110701",85.12],["20110801",89.44],["20110901",78.75],["20111001",84.94],["20111101",84.23],["20111201",73.39],["20120101",67.03],["20120201",76.95],["20120301",70.42],["20120401",70.05],["20120501",73.01],["20120601",73.77],["20120701",65.03],["20120801",70.05],["20120901",70.97],["20121001",70.03],["20121101",64.14],["20121201",74.56],["20130101",77.77],["20130201",83.28],["20130301",81.5],["20130401",80.75],["20130501",98.45],["20130601",87.15],["20130701",100.22],["20130801",106.62],["20130901",115.24],["20131001",114.93],["20131101",139.93],["20131201",139.43],["20140101",157.44],["20140201",162.25],["20140301",152.05],["20140401",154.67],["20140501",166.74],["20140601",185.54],["20140701",189.17],["20140801",202.95],["20140901",236.86],["20141001",238.5],["20141101",252.89],["20141201",209.38],["20150101",233.85],["20150201",259.14],["20150301",342.91],["20150401",411.48],["20150501",625.63],["20150601",489.25],["20150701",401.55],["20150801",324.78],["20150901",346.32],["20151001",439.23],["20151101",534.4],["20151201",576.14],["20160101",397.38],["20160201",379.12],["20160301",473.08],["20160401",471.86],["20160501",492.38],["20160601",564.68],["20160701",533.3],["20160801",576.72],["20160901",580.39],["20161001",606.15],["20161101",631.86],["20161201",578.53],["20170101",546.61],["20170201",570.09],["20170301",560.54],["20170401",519.67],["20170501",473.59],["20170601",479.86],["20170701",434.54],["20170801",474.59],["20170901",498.08],["20171001",480.7],["20171101",440.26],["20171201",427.76],["20180101",405.48],["20180201",377.02],["20180301",427.22],["20180401",416.85],["20180501",422.45],["20180601",379.86],["20180701",380.54],["20180801",345.38],["20180901",349.61],["20181001",325.62],["20181101",345.87],["20181201",336.98],["20190101",323.37],["20190201",395.79],["20190301",443.9],["20190401",442.77],["20190501",444.43],["20190601",454.75],["20190701",455.76],["20190801",449.24],["20190901",459.94],["20191001",464.17],["20191101",455.92],["20191201",499.5],["20200101",501.0],["20200201",504.74],["20200301",510.89],["20200401",505.26],["20200501",520.92],["20200601",557.69],["20200701",629.6],["20200801",707.72],["20200901",717.56],["20201001",812.25],["20201101",795.78],["20201201",704.28],["20210101",635.91],["20210201",665.6],["20210301",682.76],["20210401",681.2],["20210501",733.31],["20210601",796.07],["20210701",820.58],["20210801",889.2],["20210901",878.07],["20211001",860.94],["20211101",984.67],["20211201",1016.85],["20220101",953.9],["20220201",1007.04],["20220301",952.58],["20220401",791.09],["20220501",878.02],["20220601",941.1],["20220701",997.44],["20220801",971.43],["20220901",870.67],["20221001",929.98],["20221101",987.27],["20221201",936.47],["20230101",1026.09],["20230201",1083.55],["20230301",1083.73],["20230401",1034.29],["20230501",1095.72],["20230601",1139.74],["20230701",1179.5],["20230801",1194.37],["20230901",1196.87],["20231001",1192.18],["20231101",1241.69],["20231201",1222.87],["20240101",954.4],["20240201",946.66],["20240301",1028.81],["20240401",1004.93],["20240501",1038.4],["20240601",984.72],["20240701",1014.95],["20240801",1019.91],["20240901",1243.29],["20241001",1320.45],["20241101",1387.69],["20241201",1304.27],["20250101",1308.73],["20250201",1397.83],["20250301",1452.83],["20250401",1456.05],["20250501",1576.18],["20250601",1702.73],["20250701",1821.21],["20250801",1944.06],["20250901",1984.9],["20251001",2060.79],["20251101",2114.34],["20251201",2092.0],["20260101",2275.98],["20260201",2428.09],["20260301",2229.02],["20260401",2406.53],["20260501",2246.28],["20260601",2046.63],["20260701",2042.83],["20260801",2276.19],["20260901",2276.8],["20261001",1984.65],["20261101",2057.1]]},"long_short":{"full":{"cagr":0.1746,"vol":0.1542,"sharpe":0.953,"sortino":1.321,"max_dd":-0.2701,"calmar":0.647,"hit_rate":0.636,"days":3927,"total_return":11.2788},"is":{"cagr":0.1613,"vol":0.1289,"sharpe":0.999,"sortino":1.569,"max_dd":-0.2339,"calmar":0.69,"hit_rate":0.618,"days":2755,"total_return":4.1305},"oos":{"cagr":0.2064,"vol":0.2015,"sharpe":0.941,"sortino":1.222,"max_dd":-0.2701,"calmar":0.764,"hit_rate":0.678,"days":1172,"total_return":1.3933},"turnover":3.93,"curve":[["20100901",103.49],["20101001",97.95],["20101101",96.45],["20101201",97.4],["20110101",96.34],["20110201",94.12],["20110301",95.85],["20110401",95.99],["20110501",98.03],["20110601",100.39],["20110701",95.41],["20110801",99.27],["20110901",102.45],["20111001",101.37],["20111101",101.3],["20111201",102.25],["20120101",102.92],["20120201",102.24],["20120301",104.58],["20120401",103.66],["20120501",100.19],["20120601",102.72],["20120701",100.07],["20120801",102.51],["20120901",108.64],["20121001",108.31],["20121101",116.48],["20121201",111.58],["20130101",108.59],["20130201",107.74],["20130301",108.24],["20130401",106.11],["20130501",106.62],["20130601",103.83],["20130701",106.58],["20130801",109.15],["20130901",105.13],["20131001",113.97],["20131101",121.83],["20131201",129.49],["20140101",127.72],["20140201",139.18],["20140301",143.51],["20140401",152.15],["20140501",155.9],["20140601",160.57],["20140701",168.12],["20140801",168.13],["20140901",177.66],["20141001",181.89],["20141101",186.72],["20141201",170.64],["20150101",167.2],["20150201",161.93],["20150301",172.22],["20150401",182.55],["20150501",207.94],["20150601",198.07],["20150701",186.35],["20150801",195.65],["20150901",196.53],["20151001",195.74],["20151101",217.0],["20151201",231.15],["20160101",232.62],["20160201",238.73],["20160301",235.52],["20160401",245.95],["20160501",255.27],["20160601",276.6],["20160701",280.37],["20160801",293.58],["20160901",308.35],["20161001",312.6],["20161101",320.57],["20161201",334.93],["20170101",337.15],["20170201",339.24],["20170301",340.05],["20170401",333.33],["20170501",327.43],["20170601",321.93],["20170701",302.45],["20170801",307.77],["20170901",315.64],["20171001",317.32],["20171101",310.08],["20171201",306.08],["20180101",305.73],["20180201",280.59],["20180301",285.89],["20180401",293.74],["20180501",317.03],["20180601",306.07],["20180701",316.18],["20180801",308.46],["20180901",322.14],["20181001",338.05],["20181101",346.12],["20181201",352.31],["20190101",350.68],["20190201",342.32],["20190301",353.57],["20190401",373.5],["20190501",399.72],["20190601",404.91],["20190701",405.11],["20190801",385.33],["20190901",384.6],["20191001",388.42],["20191101",385.75],["20191201",384.25],["20200101",355.14],["20200201",336.37],["20200301",385.9],["20200401",351.38],["20200501",356.35],["20200601",330.05],["20200701",340.45],["20200801",378.33],["20200901",411.32],["20201001",465.6],["20201101",464.14],["20201201",416.52],["20210101",390.22],["20210201",417.48],["20210301",450.54],["20210401",431.7],["20210501",421.36],["20210601",423.72],["20210701",423.8],["20210801",465.22],["20210901",475.75],["20211001",466.46],["20211101",481.4],["20211201",513.05],["20220101",557.93],["20220201",561.3],["20220301",572.55],["20220401",589.52],["20220501",611.33],["20220601",582.78],["20220701",635.1],["20220801",653.52],["20220901",651.18],["20221001",668.44],["20221101",684.82],["20221201",676.28],["20230101",683.41],["20230201",714.01],["20230301",700.98],["20230401",692.69],["20230501",730.05],["20230601",757.2],["20230701",824.62],["20230801",871.76],["20230901",880.82],["20231001",890.77],["20231101",908.68],["20231201",913.2],["20240101",928.63],["20240201",791.61],["20240301",844.49],["20240401",850.51],["20240501",901.34],["20240601",916.47],["20240701",937.38],["20240801",1011.39],["20240901",939.98],["20241001",870.65],["20241101",906.4],["20241201",903.86],["20250101",918.86],["20250201",880.32],["20250301",947.93],["20250401",1016.18],["20250501",1090.05],["20250601",1086.43],["20250701",1116.63],["20250801",1045.32],["20250901",1055.88],["20251001",1114.15],["20251101",1188.5],["20251201",1117.19],["20260101",1105.33],["20260201",1124.1],["20260301",1171.02],["20260401",1128.31],["20260501",1035.41],["20260601",882.23],["20260701",1145.14],["20260801",1115.44],["20260901",1189.16],["20261001",1255.53],["20261101",1227.88]],"t_stat":3.82,"months":195},"short_leg":{"full":{"cagr":0.0174,"vol":0.3351,"sharpe":0.143,"sortino":0.193,"max_dd":-0.7512,"calmar":0.023,"hit_rate":0.497,"days":3927,"total_return":0.3089},"oos":{"cagr":-0.0607,"vol":0.3242,"sharpe":-0.088,"sortino":-0.126,"max_dd":-0.547,"calmar":-0.111,"hit_rate":0.525,"days":1172,"total_return":-0.2528}},"benchmark_same_period":{"cagr":0.0654,"vol":0.31,"sharpe":0.276,"sortino":0.396,"max_dd":-0.6923,"calmar":0.094,"hit_rate":0.513,"days":3927,"total_return":1.6843,"curve":[["20100901",91.92],["20101001",103.82],["20101101",115.22],["20101201",110.95],["20110101",100.36],["20110201",107.25],["20110301",98.38],["20110401",89.25],["20110501",82.96],["20110601",83.0],["20110701",89.63],["20110801",90.44],["20110901",77.66],["20111001",83.72],["20111101",82.28],["20111201",71.61],["20120101",63.68],["20120201",72.19],["20120301",66.63],["20120401",67.49],["20120501",72.7],["20120601",72.01],["20120701",67.1],["20120801",70.04],["20120901",68.36],["20121001",68.56],["20121101",60.14],["20121201",70.76],["20130101",76.92],["20130201",85.35],["20130301",85.89],["20130401",88.29],["20130501",106.83],["20130601",100.85],["20130701",113.09],["20130801",118.2],["20130901",136.43],["20131001",123.23],["20131101",136.32],["20131201",130.1],["20140101",149.21],["20140201",143.11],["20140301",132.44],["20140401",128.14],["20140501",131.91],["20140601",140.68],["20140701",134.72],["20140801",142.73],["20140901",154.4],["20141001",151.64],["20141101",157.44],["20141201",147.51],["20150101",168.43],["20150201",193.23],["20150301",234.05],["20150401",286.68],["20150501",355.52],["20150601",287.02],["20150701",255.08],["20150801",200.55],["20150901",209.16],["20151001",248.89],["20151101",268.41],["20151201",272.57],["20160101",200.26],["20160201",188.82],["20160301",224.84],["20160401",215.01],["20160501",217.39],["20160601",224.39],["20160701",213.88],["20160801",220.86],["20160901",216.65],["20161001",217.65],["20161101",220.04],["20161201",197.77],["20170101",190.13],["20170201",194.25],["20170301",192.28],["20170401",186.7],["20170501",178.69],["20170601",184.37],["20170701",176.18],["20170801",187.66],["20170901",189.45],["20171001",189.74],["20171101",179.64],["20171201",177.85],["20180101",176.07],["20180201",177.95],["20180301",192.88],["20180401",183.34],["20180501",177.51],["20180601",163.82],["20180701",159.32],["20180801",146.47],["20180901",144.03],["20181001",130.18],["20181101",135.67],["20181201",127.62],["20190101",125.32],["20190201",156.72],["20190301",172.85],["20190401",165.84],["20190501",151.96],["20190601",155.03],["20190701",161.26],["20190801",165.42],["20190901",167.13],["20191001",171.78],["20191101",171.12],["20191201",184.81],["20200101",198.13],["20200201",212.92],["20200301",192.4],["20200401",212.79],["20200501",214.89],["20200601",251.84],["20200701",288.87],["20200801",281.99],["20200901",266.12],["20201001",274.5],["20201101",272.18],["20201201",306.76],["20210101",323.57],["20210201",301.36],["20210301",285.3],["20210401",319.92],["20210501",342.79],["20210601",360.6],["20210701",356.96],["20210801",333.54],["20210901",336.72],["20211001",347.72],["20211101",362.76],["20211201",344.82],["20220101",301.88],["20220201",299.01],["20220301",276.05],["20220401",240.88],["20220501",250.19],["20220601",292.82],["20220701",278.35],["20220801",267.93],["20220901",238.66],["20221001",236.17],["20221101",244.57],["20221201",244.73],["20230101",269.13],["20230201",253.3],["20230301",250.27],["20230401",242.82],["20230501",229.65],["20230601",232.46],["20230701",234.85],["20230801",220.77],["20230901",210.43],["20231001",206.7],["20231101",202.07],["20231201",198.78],["20240101",165.36],["20240201",189.92],["20240301",191.13],["20240401",196.39],["20240501",191.34],["20240601",178.85],["20240701",179.49],["20240801",168.11],["20240901",231.65],["20241001",230.57],["20241101",237.03],["20241201",228.26],["20250101",220.19],["20250201",231.56],["20250301",224.49],["20250401",208.82],["20250501",214.23],["20250601",231.95],["20250701",250.92],["20250801",311.66],["20250901",349.4],["20251001",344.1],["20251101",329.69],["20251201",345.96],["20260101",361.45],["20260201",357.55],["20260301",344.02],["20260401",398.74],["20260501",438.32],["20260601",471.89],["20260701",363.48],["20260801",374.01],["20260901",341.25],["20261001",262.8],["20261101",268.43]]},"universe_equal":{"full":{"cagr":0.1144,"vol":0.3227,"sharpe":0.418,"sortino":0.528,"max_dd":-0.6416,"calmar":0.178,"hit_rate":0.523,"days":3927,"total_return":4.4063},"oos":{"cagr":0.0501,"vol":0.3027,"sharpe":0.253,"sortino":0.319,"max_dd":-0.4117,"calmar":0.122,"hit_rate":0.542,"days":1172,"total_return":0.2554},"turnover":0.29},"ic":{"mean":0.0595,"std":0.161,"ir":0.369,"t":5.16,"positive":0.682,"months":195},"quintiles":[{"q":1,"mean_month":0.0013,"months":195},{"q":2,"mean_month":0.0033,"months":195},{"q":3,"mean_month":0.0068,"months":195},{"q":4,"mean_month":0.0107,"months":195},{"q":5,"mean_month":0.0145,"months":195}],"quintile_spread":0.0133}]}}