Gold Active (levered)黄金主动（杠杆）
Trend-first, vol-targeted, lightly levered — beats gold buy-&-hold on CAGR, Sharpe and drawdown by levering pristine uptrends and stepping aside in chop.趋势优先、波动率目标、轻杠杆——通过在干净上行趋势中加杠杆、震荡中退避，在年化、夏普与回撤上跑赢黄金买入持有。
As of截至 Jul 16, 2026 · Gold黄金
⚗ 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
0.19x
Defensive (mostly cash)防守（多为现金）
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 0.3352-week breakout52-week breakout 0.0Real-yield / dollar tiltReal-yield / dollar tilt -0.09
Backtest scorecard回测记分卡 · 25.9y vs对比 Gold buy-&-hold黄金买入持有
Max DD最大回撤
-33.4%
B&H买持 -44.4%
Avg leverage平均杠杆
0.92x
18.98x 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 | 12.18% | 10.91% | 0.76 | 0.67 | CAGR年化 |
| First half前半段 | 15.12% | 13.19% | 0.88 | 0.75 | ✓ |
| Second half后半段 | 9.3% | 8.67% | 0.62 | 0.59 | ✓ |
Genuine full-sample win on all three (CAGR + Sharpe + drawdown) at <1x average leverage. The risk-adjusted edge is robust; the CAGR beat is concentrated in trending eras — it wins the first half big and is a near-tie in the second.全样本在三项上均真实跑赢（年化 + 夏普 + 回撤），平均杠杆 <1x。风险调整后的优势稳健；年化的跑赢集中在趋势性时代——前半段大幅领先，后半段接近持平。
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。