Source: task4-all-weather/output/simplified_baseline/task4_simplified_baseline_summary.md
Last modified: 2026-05-18 23:52:26 · 4,990 bytes
Task #4 Simplified Top-Size ETF + Single-Stage ERC Baseline
Friend-style baseline: choose broad representative/liquid ETFs by category, run one-layer covariance ERC monthly, target 7% vol with max scale 1.0. This is a benchmark, not production replacement.
Universe
| entity_id |
name |
primary_premium |
symbol |
| broad_equity |
宽基权益-沪深300 |
equity |
510300.XSHG |
| mid_equity |
宽基权益-中证500 |
equity |
510500.XSHG |
| growth_equity |
成长权益-创业板 |
equity |
159915.XSHE |
| dividend_equity |
防御权益-红利 |
equity |
510880.XSHG |
| credit_bond |
信用/城投债 |
credit |
511220.XSHG |
| gov_bond_10y |
利率债-10Y |
rate |
511260.XSHG |
| gold |
黄金 |
inflation |
518880.XSHG |
| energy |
能源油气 |
inflation |
162411.XSHE |
| industrial_metal |
有色金属 |
inflation |
159980.XSHE |
| agriculture |
农产品/豆粕 |
inflation |
159985.XSHE |
Metrics
| segment |
days |
ann_return |
ann_vol |
sharpe |
sortino |
max_drawdown |
calmar |
| IS_2015_2023 |
2188.0000 |
0.0387 |
0.0568 |
0.6816 |
0.8601 |
-0.1025 |
0.3776 |
| OOS_A_2024_pre_924 |
176.0000 |
0.0408 |
0.0824 |
0.4952 |
0.7225 |
-0.0954 |
0.4277 |
| OOS_B_924_to_2025H1 |
183.0000 |
0.2122 |
0.0879 |
2.4154 |
3.6246 |
-0.0288 |
7.3687 |
| OOS_C_2025H2_now |
211.0000 |
0.2553 |
0.0903 |
2.8279 |
3.4064 |
-0.0544 |
4.6890 |
| FULL |
2758.0000 |
0.0648 |
0.0643 |
1.0087 |
1.2995 |
-0.1025 |
0.6329 |
Compare vs Task #4 v0.1a
| segment |
simplified_ann |
simplified_vol |
simplified_sharpe |
simplified_mdd |
v01a_ann |
v01a_vol |
v01a_sharpe |
v01a_mdd |
delta_sharpe |
delta_ann |
| IS_2015_2023 |
0.0387 |
0.0568 |
0.6816 |
-0.1025 |
0.0429 |
0.0603 |
0.7112 |
-0.1052 |
-0.0296 |
-0.0042 |
| OOS_A_2024_pre_924 |
0.0408 |
0.0824 |
0.4952 |
-0.0954 |
-0.0656 |
0.0812 |
-0.8070 |
-0.0922 |
1.3023 |
0.1064 |
| OOS_B_924_to_2025H1 |
0.2122 |
0.0879 |
2.4154 |
-0.0288 |
0.2120 |
0.0941 |
2.2530 |
-0.0330 |
0.1624 |
0.0002 |
| OOS_C_2025H2_now |
0.2553 |
0.0903 |
2.8279 |
-0.0544 |
0.1705 |
0.0757 |
2.2512 |
-0.0350 |
0.5767 |
0.0848 |
| FULL |
0.0648 |
0.0643 |
1.0087 |
-0.1025 |
0.0552 |
0.0658 |
0.8391 |
-0.1365 |
0.1696 |
0.0096 |
Latest Weights
| entity_id |
weight |
name |
symbol |
primary_premium |
| credit_bond |
62.51% |
信用/城投债 |
511220.XSHG |
credit |
| gov_bond_10y |
26.30% |
利率债-10Y |
511260.XSHG |
rate |
| agriculture |
2.62% |
农产品/豆粕 |
159985.XSHE |
inflation |
| dividend_equity |
1.97% |
防御权益-红利 |
510880.XSHG |
equity |
| broad_equity |
1.73% |
宽基权益-沪深300 |
510300.XSHG |
equity |
| growth_equity |
1.37% |
成长权益-创业板 |
159915.XSHE |
equity |
| mid_equity |
1.08% |
宽基权益-中证500 |
510500.XSHG |
equity |
| industrial_metal |
0.97% |
有色金属 |
159980.XSHE |
inflation |
| energy |
0.73% |
能源油气 |
162411.XSHE |
inflation |
| gold |
0.72% |
黄金 |
518880.XSHG |
inflation |
Average Primary Premium RC
| primary_premium |
avg_rc |
| equity |
53.73% |
| inflation |
37.52% |
| credit |
6.34% |
| rate |
2.41% |
Initial Read
- FULL simplified Sharpe 1.01 vs v0.1a 0.84.
- FULL simplified MDD -10.25% vs v0.1a -13.65%.
- This baseline is intentionally simpler: no 4-regime sleeve structure, no HK Connect/productivity-chain expansion, no overlap audits, no 30Y treasury ETF, no grouped AI/growth entities.