Volatility-Managed CSI 300波动率管理 沪深300
Moreira-Muir: scale exposure down when CSI 300's own realized volatility is elevated — a price-orthogonal signal that cuts China's deep bears without the mean-reversion whipsaw that sinks trend timers here.Moreira-Muir：当沪深300自身已实现波动率升高时降低敞口——一个与价格正交的信号，可削减中国的深度熊市，又避免趋势择时在此频繁打脸。
As of截至 Jul 17, 2026 · CSI 300沪深300 · current income当前票息 ~1.8%
⚗ Experimental — display-only (Phase-0)实验性 — 仅展示（Phase-0）
A drawdown / Sharpe engine — not a yield-maximizer回撤 / 夏普引擎 — 并非收益最大化工具
Recommended allocation right now当前建议仓位
CSI 300沪深300
Cash (MMF)现金（货基） (cash carry现金套息)
Last change上次调整: 2026-06-15 — 33% → 0%
Current income blends the risk-asset yield (when invested) with the cash-leg yield (when de-risked).当前票息为风险资产收益（在场时）与现金腿收益（降险时）的加权。
Vol spiking波动率飙升 score评分 (0–100)
94
Defensive — all cash防守 — 全现金
Higher = more risk-off. The score sets the risk-asset weight via graded bands (below), with a 5-day debounce to cut whipsaw.分数越高越偏避险。该分数通过分级区间（见下）设定风险资产权重，并有 5 日缓冲以抑制频繁换仓。
What is driving the score分数由什么驱动
Each leg adds points to the 0–100 score (renormalised weighted mean). The bar is the current score, split by contribution.各分项为 0–100 分数贡献分值（归一化加权平均）。下方进度条为当前分数，按贡献拆分。
Filled width = the score out of 100. Empty = headroom (calm).填充宽度 = 满分100中的得分。空白 = 余量（平静）。
| Signal leg信号分项 | Intensity强度 | Weight权重 | Pub lag发布滞后 | Points贡献分 |
|---|
| Realized volatility已实现波动率 |
94/100 |
1.0 |
1d |
94.2 |
| Composite score综合分数 | | | | 94 |
The strategy in action · benchmark with the model on top策略实战 · 基准叠加模型
Green = fully invested, amber = trimmed, clear = defensive. ▲/▼ mark every allocation change. The strategy equity (blue) is rescaled onto the benchmark axis so you can read protection vs participation directly.绿色 = 满仓，琥珀 = 减仓，空白 = 防守。▲/▼ 标注每次仓位变动。策略净值（蓝）已缩放至基准轴，可直接对比保护与参与度。
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
Honest framing: this does NOT reliably beat buy-and-hold on CAGR — sitting in the cash leg through stress gives up some carry. The edge is the higher Sharpe and the much shallower max drawdown: it times the LEFT TAIL that destroys the yield (the recession/credit/rate shock), not the yield itself.诚实说明：本策略在年化收益上并不稳定跑赢买入持有 —— 压力期退守现金腿会让出部分套息。优势在于更高的夏普与明显更浅的最大回撤：它择时的是吞噬收益的左尾（衰退/信用/利率冲击），而非收益本身。
Backtest scorecard · 14.2 years vs buy & hold回测记分卡 · 14.2 年对比买入持有
CAGR
7.08%
buy & hold买入持有 5.41%
Sharpe
0.59
buy & hold买入持有 0.36
Max drawdown最大回撤
-31.1%
buy & hold买入持有 -45.5%
Time invested在场时间
80.5%
3.05x turnover/yr换手/年
Sortino
0.75
buy & hold买入持有 0.46
Income yield now当前票息
1.8%
blended risk-asset + cash风险资产 + 现金加权
Deflated Sharpe贬值夏普
0.768
multiple-testing haircut多重检验折减 · n=8
The rule-book · risk band → weight规则手册 · 风险区间 → 权重
| Risk band风险区间 | Score分数 | CSI 300沪深300 weight权重 | Cash (MMF)现金（货基） |
|---|
| Calm — fully invested平静 — 满仓 |
< 25 |
100% |
0% |
| Watch — trim关注 — 减仓 |
25–50 |
66% |
34% |
| Stress — de-risk压力 — 降险 |
50–75 |
33% |
67% |
| Defensive — all cash防守 — 全现金 ◀ |
≥ 75 |
0% |
100% |
A new band must hold 5 trading days before it takes effect (hysteresis kills whipsaw). Bands and leg weights are pre-registered, not tuned per result.新区间须连续保持 5 个交易日才生效（滞后机制抑制频繁换仓）。区间与分项权重为预先登记，非按结果调参。
Independent bear episodes · the true sample size独立熊市事件 · 真实样本量
| Peak峰值 | Trough谷底 | Buy & hold drawdown买入持有回撤 |
|---|
| 2012-05-04 | 2012-12-03 | -21.0% |
| 2013-02-06 | 2014-03-20 | -23.3% |
| 2015-06-08 | 2016-01-28 | -45.5% |
| 2021-02-10 | 2024-02-02 | -42.2% (ongoing进行中) |
A handful of independent ≥20% bears govern a get-out / get-back-in switch — effective-N, not the day count, bounds confidence. Full leave-one-crisis-out validation is a fast-follow.少数几次独立的 ≥20% 熊市决定一次离场/再入场切换 — 决定置信度的是有效样本量，而非天数。完整的留一危机验证为后续跟进。
China-specific, display-only / experimental. Benchmark = CSI 300 (510300) total-return ETF close (2012→); cash sleeve a flat ~1.8%. Volatility management is a well-established, price-orthogonal signal (Moreira-Muir) that also beats buy-&-hold on the deeper Shanghai Composite — so the edge is not a CSI-300-window artifact. Turnover is higher (~3x/yr). Full Phase-0 is a fast-follow.中国特定，仅展示 / 实验性。基准 = 沪深300（510300）总回报 ETF 收盘价（2012 年起）；现金腿固定约 1.8%。波动率管理是成熟且与价格正交的信号（Moreira-Muir），在更长历史的上证综指上同样跑赢买入持有——因此优势并非沪深300 区间的偶然。换手率较高（约每年 3 次）。完整 Phase-0 为后续跟进。