生成时间：2026-03-31 10:18:50 UTC ｜ 目标：验证“低趋势 + 高噪音”与“低趋势 + 低波动”两类坏环境 gate，比较 5 年整体表现与最近 120/60 天的修复效果。
重点对比表：5 年 + 最近 120 天 + 最近 60 天
下面这张表专门给你看 baseline 与几种最 relevant 的 gate 版本。读法重点：如果一个 gate 的 5 年降幅可接受，同时 120d / 60d 改善明显，它才值得推进到下一轮 paper A/B。
6bps / side
| variant | 5y mean asset total | 5y mean month | 120d mean asset total | 120d mean month | 120d worst month | 60d mean asset total | 60d mean month | 60d worst month | mean exposure |
|---|
| baseline | 670921.61% | 12.18% | 41.39% | 7.38% | 1.39% | 17.17% | 5.69% | 1.39% | 100.00% |
| low_trend_high_noise_w25 | 198446.91% | 10.68% | 28.12% | 5.16% | 0.35% | 16.24% | 5.34% | 0.35% | 82.99% |
| low_trend_high_noise_w00 | 131222.89% | 10.21% | 23.93% | 4.46% | 0.00% | 15.93% | 5.22% | 0.00% | 77.32% |
| low_trend_low_vol_w25 | 285987.75% | 11.30% | 24.90% | 4.73% | 1.00% | 15.99% | 5.32% | 0.36% | 84.41% |
10bps / side
| variant | 5y mean asset total | 5y mean month | 120d mean asset total | 120d mean month | 120d worst month | 60d mean asset total | 60d mean month | 60d worst month | mean exposure |
|---|
| baseline | 109454.66% | 8.93% | 26.81% | 5.04% | -1.29% | 10.84% | 3.72% | -1.29% | 100.00% |
| low_trend_high_noise_w25 | 43970.29% | 7.97% | 19.59% | 3.70% | -0.32% | 12.18% | 4.04% | -0.32% | 82.99% |
| low_trend_high_noise_w00 | 32202.03% | 7.67% | 17.23% | 3.27% | 0.00% | 12.63% | 4.15% | 0.00% | 77.32% |
| low_trend_low_vol_w25 | 61622.20% | 8.52% | 16.66% | 3.28% | -1.29% | 9.89% | 3.41% | -1.29% | 84.41% |
15bps / side（最该盯的一档）
| variant | 5y mean asset total | 5y mean month | 120d mean asset total | 120d mean month | 120d worst month | 60d mean asset total | 60d mean month | 60d worst month | mean exposure |
|---|
| baseline | 11258.72% | 4.99% | 10.68% | 2.21% | -4.54% | 3.40% | 1.33% | -4.54% | 100.00% |
| low_trend_high_noise_w25 | 6609.62% | 4.69% | 9.72% | 1.91% | -2.01% | 7.31% | 2.46% | -1.15% | 82.99% |
| low_trend_high_noise_w00 | 5491.51% | 4.61% | 9.36% | 1.82% | -2.01% | 8.63% | 2.84% | 0.00% | 77.32% |
| low_trend_low_vol_w25 | 8969.31% | 5.16% | 7.11% | 1.52% | -4.54% | 2.72% | 1.09% | -4.54% | 84.41% |