Copper Active (levered)铜主动（杠杆）
The graded-trend backbone amplified by a global-growth tilt (China credit impulse, copper/gold, US industrial production, dollar) — robustly beats copper buy-&-hold on CAGR, Sharpe and drawdown.以分级趋势为骨架，由全球增长倾斜放大（中国信用脉冲、铜金比、美国工业生产、美元）——在年化、夏普与回撤上稳健跑赢铜买入持有。
As of截至 Jul 16, 2026 · Copper铜
⚗ Experimental — under validation实验性 — 验证中
Active · vol-targeted · leverage-capable主动 · 波动率目标 · 可加杠杆
Recommended exposure right now当前建议敞口
0.76x
Trimmed减仓
Current vol-targeted position in the asset. >1x = levered (financed at the bill + 1%); 0x = fully in T-bills. Conviction sets the size; realized volatility scales it.当前在该资产上的波动率目标仓位。>1x = 加杠杆（按短债 + 1% 融资）；0x = 全部短债。信念决定大小，已实现波动率进行缩放。
Multi-horizon trendMulti-horizon trend 0.66Global-growth tiltGlobal-growth tilt 0.48
Backtest scorecard回测记分卡 · 25.9y vs对比 Copper buy-&-hold铜买入持有
Max DD最大回撤
-60.6%
B&H买持 -69.4%
Avg leverage平均杠杆
0.75x
13.0x turnover/yr换手/年
Net of 3 bps cost + a 1% financing spread on the levered part. The de-risked sleeve earns the T-bill yield.扣除 3 个基点成本 + 杠杆部分 1% 融资利差。降险部分赚取短债收益。
Growth of $1 (log) — vs buy & hold1美元增长（对数）— 对比买入持有
Underwater (drawdown) — vs buy & hold水下回撤 — 对比买入持有
Exposure / leverage over time敞口 / 杠杆走势
The vol-targeted position (gross exposure). It runs hot in strong, calm trends and light in turmoil — that is how an active book can out-CAGR buy-&-hold without simply taking more risk all the time.波动率目标仓位（总敞口）。在强劲而平静的趋势中加大、在动荡中减小——这正是主动组合能在不始终承担更高风险的情况下跑赢买入持有年化的方式。
Out-of-sample honesty · does the edge hold in both halves?样本外诚实检验 · 优势在两个半段是否成立？
| Window区间 | Strategy CAGR策略年化 | Buy & hold买入持有 | Strategy Sharpe策略夏普 | B&H Sharpe买持夏普 | Beats?跑赢？ |
|---|
| Full sample全样本 | 9.48% | 7.85% | 0.53 | 0.42 | CAGR年化 |
| First half前半段 | 10.56% | 10.79% | 0.56 | 0.49 | ✗ |
| Second half后半段 | 8.41% | 4.98% | 0.5 | 0.33 | ✓ |
ROBUST: beats copper buy-&-hold on CAGR with Sharpe ≥ B&H in BOTH halves. The global-growth tilt (China credit + industrial production) is genuine timing alpha, not just leverage.稳健：在两个半段均以 ≥ 买入持有的夏普跑赢铜买入持有的年化。全球增长倾斜（中国信用 + 工业生产）是真实的择时阿尔法，而非单纯杠杆。
Active, leverage-capable model — leverage amplifies losses as well as gains. Continuous front-month total-return close; net of 3 bps cost + a 1% financing spread on the levered part; the de-risked sleeve earns the T-bill yield. Experimental; full Phase-0 a fast-follow.主动、可加杠杆模型——杠杆会同时放大盈亏。连续近月总回报收盘价；扣除 3 个基点成本 + 杠杆部分 1% 融资利差；降险部分赚取短债收益。实验性；完整 Phase-0 为后续跟进。