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CTA Index Model

自研趋势跟踪仓位 · 非投资建议

⑦ 指数趋势仓位（自研 CTA）

SPX · S&P 500

7,661.12 · 2026-09-01

MAX LONG +147%

Net exposure+147%

Positioning87th pctile

Realized vol (EWMA)10.2%

Vol target15%

Implied lev.1.47x

Sub-strategy	Wt	Dir	Signal	Pivot	Cushion
1–2 mo 50D	0.20	LONG		7,571	+1.2%
3–6 mo 120D	0.35	LONG		7,307	+4.8%
6–12 mo 200D	0.45	LONG		7,127	+7.5%

1–2 MO · 50D

7,571

cushion +1.2%

3–6 MO · 120D

7,307

cushion +4.8%

6–12 MO · 200D

7,127

cushion +7.5%

Next week Δ exposure

Up +1σ

-10.7% trim

@7,772

Flat

+0.0% hold

@7,661

Down −1σ

-73.5% trim

@7,552

Next month Δ exposure

Up +1σ

-42.6% trim

@7,890

Flat

+0.0% hold

@7,661

Down −1σ

-91.7% trim

@7,439

NDX · Nasdaq 100

29,250.23 · 2026-09-01

LONG +80%

Net exposure+80%

Positioning61th pctile

Realized vol (EWMA)18.8%

Vol target15%

Implied lev.0.80x

Sub-strategy	Wt	Dir	Signal	Pivot	Cushion
1–2 mo 50D	0.20	LONG		29,248	+0.0%
3–6 mo 120D	0.35	LONG		28,081	+4.2%
6–12 mo 200D	0.45	LONG		26,944	+8.6%

1–2 MO · 50D

29,248

cushion +0.0%

3–6 MO · 120D

28,081

cushion +4.2%

6–12 MO · 200D

26,944

cushion +8.6%

Next week Δ exposure

Up +1σ

-5.1% trim

@30,037

Flat

+0.0% hold

@29,250

Down −1σ

-40.1% trim

@28,484

Next month Δ exposure

Up +1σ

-22.4% trim

@30,886

Flat

+0.0% hold

@29,250

Down −1σ

-84.5% trim

@27,701

RTY · Russell 2000

2,938.25 · 2026-09-01

LONG +65%

Net exposure+65%

Positioning21th pctile

Realized vol (EWMA)13.8%

Vol target15%

Implied lev.1.09x

Sub-strategy	Wt	Dir	Signal	Pivot	Cushion
1–2 mo 50D	0.20	SHORT		2,990	-1.7%
3–6 mo 120D	0.35	LONG		2,847	+3.2%
6–12 mo 200D	0.45	LONG		2,736	+7.4%

1–2 MO · 50D

2,990

cushion -1.7%

3–6 MO · 120D

2,847

cushion +3.2%

6–12 MO · 200D

2,736

cushion +7.4%

Next week Δ exposure

Up +1σ

+38.1% add

@2,996

Flat

+0.0% hold

@2,938

Down −1σ

-11.8% trim

@2,882

Next month Δ exposure

Up +1σ

+14.3% add

@3,057

Flat

+0.0% hold

@2,938

Down −1σ

-72.0% trim

@2,824