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 Sep 14, 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
1.13x
Fully invested满仓
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 0.8Global-growth tiltGlobal-growth tilt 0.52
Backtest scorecard回测记分卡 · 26.0y 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
13.05x 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 | 9.36% | 7.89% | 0.53 | 0.42 | CAGR年化 |
| First half前半段 | 10.45% | 10.68% | 0.56 | 0.49 | ✗ |
| Second half后半段 | 8.27% | 5.17% | 0.49 | 0.33 | ✓ |
MIXED — does not clear the robustness bar: beats copper buy-&-hold on CAGR, but its multiple-testing-adjusted Sharpe fails the gate (DSR 0.75; gold & silver clear 0.90+) and it is weak leave-one-crisis-out. The global-growth tilt (China credit + industrial production) is suggestive context, not a proven timing edge — shown experimental, not gauntlet-cleared.混合——未跨过稳健门槛：在年化上跑赢铜买入持有，但多重检验调整后的夏普未通过门槛（DSR 0.75；金、银在 0.90+ 通过），且逐危机剔除偏弱。全球增长倾斜（中国信用 + 工业生产）具提示性，而非经证实的择时优势——属实验性展示，未经考验。
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. Phase-0 is complete — see each model's verdict for its multiple-testing (DSR) result; these stay display-tier, not promoted to a live allocation.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。Phase-0 已完成——各模型的多重检验（DSR）结果见其判语；均为展示层，未提升为实盘配置。