Momentum w/ Crash Guard动量因子崩溃护盾
Barroso-Santa-Clara: own the momentum factor but scale by its own volatility — momentum crashes are a vol event.Barroso-Santa-Clara：持有动量因子，但按其自身波动缩放 —— 动量崩溃本质是波动事件。
As of截至 Jul 16, 2026 · Momentum factor动量因子 · current income当前票息 ~2.82%
⚗ 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
Momentum factor动量因子33%
T-bills短期国债67%
Momentum factor动量因子
T-bills短期国债 (cash carry现金套息)
Last change上次调整: 2026-05-28 — 66% → 33%
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。
Crash risk崩溃风险 score评分 (0–100)
57
Stress — de-risk压力 — 降险
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 |
|---|
| Trend (time-series momentum)趋势（时间序列动量） |
0/100 |
0.7 |
0d |
0.0 |
| Momentum-crash guard (own volatility)动量崩溃护盾（自身波动） |
98/100 |
1.0 |
1d |
57.3 |
| Composite score综合分数 | | | | 57 |
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 · 13.2 years vs buy & hold回测记分卡 · 13.2 年对比买入持有
CAGR
9.51%
buy & hold买入持有 15.77%
Sharpe
0.83
buy & hold买入持有 0.83
Max drawdown最大回撤
-14.6%
buy & hold买入持有 -34.1%
Time invested在场时间
91.4%
2.9x turnover/yr换手/年
Sortino
1.0
buy & hold买入持有 1.04
Income yield now当前票息
2.82%
blended risk-asset + cash风险资产 + 现金加权
Deflated Sharpe贬值夏普
0.9359
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 | Momentum factor动量因子 weight权重 | T-bills短期国债 |
|---|
| 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 |
|---|
| 2018-10-01 | 2018-12-24 | -22.1% |
| 2020-02-19 | 2020-03-23 | -34.1% |
| 2021-11-03 | 2022-06-17 | -32.3% |
| 2025-02-18 | 2025-04-08 | -21.0% |
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。
Momentum factor (MTUM) total return = dividend/coupon-adjusted close (2013→). Short history (no 2008); MTUM is the iShares USA momentum ETF, not the academic long-short factor. Experimental — full Phase-0 (leave-one-crisis-out, deflated-Sharpe) is a fast-follow.动量因子 (MTUM)总回报 = 经分红/票息调整收盘价（2013→）。历史较短（无 2008）；MTUM 为 iShares 美国动量 ETF，非学术多空因子。 实验性 —— 完整 Phase-0（留一危机、贬值夏普）为后续跟进。