Archive · Max 版 · 最优组合
最优组合档案
最优组合档案
126 个月逐月可查
网格扫描 222 个组合选出的 Calmar 最优解：防守（基金壳）打底 + 进攻（V35）引擎。 以下为推荐组合 指数(择时) 10% + ETF 10% + 基金 50% + 股票(V35) 30% 的逐月表现。
Metrics
推荐组合核心指标（统一窗口）
年化收益
+15.40%
最大回测
-6.19%
夏普 / Calmar
1.56 / 2.49
累计收益
+4.5%
Monthly
月度明细（126 个月）
收益为百分数；净值从 1.0 起；回测为从历史高点回落幅度，最深月份高亮。
| 月份 | 月度收益 | 累计净值 | 回测 | 状态 |
|---|---|---|---|---|
| 202608 | +0.48% | 4.468 | -5.46% | |
| 202607 | +0.09% | 4.446 | -5.92% | |
| 202606 | -3.99% | 4.443 | -6.00% | |
| 202605 | -2.09% | 4.627 | -2.09% | |
| 202604 | +5.68% | 4.726 | 0.00% | |
| 202603 | -3.31% | 4.472 | -3.40% | |
| 202602 | -0.09% | 4.625 | -0.09% | |
| 202601 | +3.93% | 4.630 | 0.00% | |
| 202512 | +1.20% | 4.455 | 0.00% | |
| 202511 | +0.78% | 4.402 | 0.00% | |
| 202510 | +3.44% | 4.368 | 0.00% | |
| 202509 | +1.81% | 4.223 | 0.00% | |
| 202508 | +3.54% | 4.148 | 0.00% | |
| 202507 | +3.23% | 4.006 | 0.00% | |
| 202506 | +1.65% | 3.880 | 0.00% | |
| 202505 | +3.18% | 3.817 | 0.00% | |
| 202504 | -0.08% | 3.700 | -0.08% | |
| 202503 | +2.06% | 3.703 | 0.00% | |
| 202502 | +1.03% | 3.628 | -0.20% | |
| 202501 | -0.38% | 3.591 | -1.22% | |
| 202412 | -0.84% | 3.604 | -0.84% | |
| 202411 | +4.47% | 3.635 | 0.00% | |
| 202410 | +2.95% | 3.479 | 0.00% | |
| 202409 | +7.24% | 3.380 | 0.00% | |
| 202408 | -0.21% | 3.151 | -1.33% | |
| 202407 | -1.12% | 3.158 | -1.12% | |
| 202406 | +1.91% | 3.194 | 0.00% | |
| 202405 | +4.09% | 3.134 | 0.00% | |
| 202404 | +0.93% | 3.011 | 0.00% | |
| 202403 | +4.26% | 2.983 | 0.00% | |
| 202402 | +4.90% | 2.861 | 0.00% | |
| 202401 | +0.01% | 2.728 | 0.00% | |
| 202312 | +1.78% | 2.728 | 0.00% | |
| 202311 | +2.15% | 2.680 | 0.00% | |
| 202310 | -0.90% | 2.623 | -0.90% | |
| 202309 | +1.79% | 2.647 | 0.00% | |
| 202308 | -0.91% | 2.600 | -0.91% | |
| 202307 | +11.60% | 2.624 | 0.00% | |
| 202306 | +2.89% | 2.352 | 0.00% | |
| 202305 | -1.54% | 2.286 | -2.50% | |
| 202304 | +0.54% | 2.321 | -0.98% | |
| 202303 | -1.51% | 2.309 | -1.51% | |
| 202302 | +0.92% | 2.344 | 0.00% | |
| 202301 | +2.88% | 2.323 | 0.00% | |
| 202212 | -1.06% | 2.258 | -1.06% | |
| 202211 | +5.29% | 2.282 | 0.00% | |
| 202210 | +3.68% | 2.167 | 0.00% | |
| 202209 | -2.99% | 2.091 | -2.99% | |
| 202208 | +0.86% | 2.155 | 0.00% | |
| 202207 | +2.76% | 2.136 | 0.00% | |
| 202206 | -1.39% | 2.079 | -2.25% | |
| 202205 | +4.01% | 2.108 | -0.88% | |
| 202204 | -4.70% | 2.027 | -4.70% | |
| 202203 | +2.07% | 2.127 | 0.00% | |
| 202202 | +2.23% | 2.084 | -0.40% | |
| 202201 | -2.57% | 2.038 | -2.57% | |
| 202112 | +3.23% | 2.092 | 0.00% | |
| 202111 | +0.17% | 2.027 | -0.27% | |
| 202110 | +0.77% | 2.023 | -0.44% | |
| 202109 | -1.20% | 2.008 | -1.20% | |
| 202108 | +1.34% | 2.032 | 0.00% | |
| 202107 | +0.55% | 2.005 | 0.00% | |
| 202106 | +2.49% | 1.994 | 0.00% | |
| 202105 | +1.11% | 1.946 | 0.00% | |
| 202104 | +1.69% | 1.925 | 0.00% | |
| 202103 | +1.99% | 1.893 | 0.00% | |
| 202102 | +3.23% | 1.856 | 0.00% | |
| 202101 | +3.20% | 1.798 | -0.40% | |
| 202012 | -1.00% | 1.742 | -3.49% | |
| 202011 | -0.28% | 1.760 | -2.51% | |
| 202010 | -0.20% | 1.764 | -2.24% | |
| 202009 | -2.04% | 1.768 | -2.04% | |
| 202008 | +6.88% | 1.805 | 0.00% | |
| 202007 | +9.40% | 1.689 | 0.00% | |
| 202006 | +1.76% | 1.543 | 0.00% | |
| 202005 | +3.53% | 1.517 | 0.00% | |
| 202004 | +3.49% | 1.465 | -2.92% | |
| 202003 | -5.31% | 1.416 | -6.19% | 最深回测 |
| 202002 | -0.92% | 1.495 | -0.92% | |
| 202001 | +1.73% | 1.509 | 0.00% | |
| 201912 | +3.43% | 1.483 | 0.00% | |
| 201911 | +0.37% | 1.434 | 0.00% | |
| 201910 | +1.04% | 1.429 | 0.00% | |
| 201909 | +1.90% | 1.414 | 0.00% | |
| 201908 | +0.89% | 1.388 | 0.00% | |
| 201907 | +1.89% | 1.376 | 0.00% | |
| 201906 | +2.38% | 1.350 | -1.15% | |
| 201905 | -3.45% | 1.319 | -3.45% | |
| 201904 | +3.66% | 1.366 | 0.00% | |
| 201903 | +5.15% | 1.318 | 0.00% | |
| 201902 | +6.02% | 1.253 | 0.00% | |
| 201901 | +3.08% | 1.182 | -3.11% | |
| 201812 | -2.16% | 1.147 | -6.01% | |
| 201811 | +1.13% | 1.172 | -3.94% | |
| 201810 | -5.01% | 1.159 | -5.01% | |
| 201809 | +1.69% | 1.220 | 0.00% | |
| 201808 | -1.14% | 1.200 | -1.14% | |
| 201807 | +6.64% | 1.213 | 0.00% | |
| 201806 | -3.90% | 1.138 | -3.89% | |
| 201805 | +1.91% | 1.184 | 0.00% | |
| 201804 | -0.93% | 1.162 | -0.93% | |
| 201803 | +3.22% | 1.173 | 0.00% | |
| 201802 | -2.09% | 1.136 | -2.09% | |
| 201801 | +0.32% | 1.160 | 0.00% | |
| 201712 | +1.95% | 1.157 | 0.00% | |
| 201711 | -0.89% | 1.134 | -1.06% | |
| 201710 | -0.17% | 1.145 | -0.18% | |
| 201709 | +2.77% | 1.147 | 0.00% | |
| 201708 | -0.21% | 1.116 | -1.09% | |
| 201707 | +1.98% | 1.118 | -0.88% | |
| 201706 | -0.14% | 1.096 | -2.80% | |
| 201705 | -2.67% | 1.098 | -2.67% | |
| 201704 | +0.03% | 1.128 | 0.00% | |
| 201703 | +0.39% | 1.128 | 0.00% | |
| 201702 | +1.90% | 1.123 | 0.00% | |
| 201701 | +2.89% | 1.102 | 0.00% | |
| 201612 | -0.03% | 1.071 | -2.34% | |
| 201611 | -0.20% | 1.072 | -2.31% | |
| 201610 | -2.02% | 1.074 | -2.11% | |
| 201609 | -0.10% | 1.096 | -0.10% | |
| 201608 | +0.04% | 1.097 | 0.00% | |
| 201607 | +4.25% | 1.097 | 0.00% | |
| 201606 | +1.69% | 1.052 | 0.00% | |
| 201605 | -0.77% | 1.034 | -0.77% | |
| 201604 | +0.44% | 1.042 | 0.00% | |
| 201603 | +3.78% | 1.038 | 0.00% |
Yearly
年度分解（2016-2026）
| 年份 | Max 推荐组合 | Calmar 最优组合 |
|---|---|---|
| 2026 | -10.9% | -1.5% |
| 2025 | +20.9% | +17.8% |
| 2024 | +22.8% | +20.5% |
| 2023 | +21.6% | +13.9% |
| 2022 | +8.8% | -0.3% |
| 2021 | +23.0% | +11.6% |
| 2020 | +12.4% | +13.4% |
| 2019 | +32.5% | +24.6% |
| 2018 | -1.0% | -0.1% |
| 2017 | +8.2% | +6.7% |
| 2016 | +15.3% | +10.0% |
读法：看哪年组合扛住了（如 2018 组合小亏 vs 单策略大亏）、哪年进攻腿发力（如 2020）。
组合的意义不在每年都赢，而在把单策略的深坑填平。
口径说明：统一窗口 201603–202608（126 个月），几何年化、月度再平衡、含成本。
推荐组合为历史最优解（含数据窥探风险），实盘预期应打折。数据来自真实回测，不构成投资建议。