{ "design": { "declared_before_returns": true, "all_history_already_seen": true, "no_untouched_oos": true, "rules": [ { "name": "monthly_buffer_cash", "selector": "etf", "event": "none", "budget": "25", "reference": true }, { "name": "half_exit_preserve", "selector": "etf", "event": "none", "budget": "25", "reference": true }, { "name": "sector_first", "selector": "sector", "event": "none", "budget": "25" }, { "name": "sector_blend", "selector": "blend", "event": "none", "budget": "25" }, { "name": "weekly_entry", "selector": "etf", "event": "entry", "budget": "25" }, { "name": "weekly_switch", "selector": "etf", "event": "switch", "budget": "25" }, { "name": "vol30_control", "selector": "etf", "event": "none", "budget": "30" }, { "name": "strong_budget", "selector": "etf", "event": "none", "budget": "strong" }, { "name": "blend_entry", "selector": "blend", "event": "entry", "budget": "25" }, { "name": "strong_entry", "selector": "etf", "event": "entry", "budget": "strong" } ], "primary": "weekly_entry", "period": [ "20190102", "20260811" ], "stresses": [ [ "cost50", 0.005, 0, 0 ], [ "offset2", 0.002, 2, 0 ], [ "offset5", 0.002, 5, 0 ], [ "delay2", 0.002, 0, 2 ], [ "joint_cost50_offset5", 0.005, 5, 0 ], [ "joint_cost50_delay2", 0.005, 0, 2 ] ], "universe": "Existing 410 A-share sector/theme ETFs and cash only; no QDII, gold, bonds or leverage.", "selection": "40-day regression score. Sector score is eligible-member median; ETF and sector percentile blend 50/50. Average percentile ranks; deterministic code/group ties.", "sector_retention": "Keep eligible incumbent if its group remains in top3; otherwise top group. If a vehicle is needed, maximum current known ADV20, code tie-break. No forced replacement of retained incumbent.", "etf_retention": "Keep incumbent within eligible top3 of the selected ranking; else rank1. Monthly selections inherit original no-positive-score-filter behavior.", "weekly_entry": "Signal slot empty, market up; choose highest ranked candidate with own MA120 and raw score40>0. Target is half the fully risk-sized single-ETF target, not half raw then rescale.", "weekly_switch": "Existing signal outside eligible top3, market up, rank1 has positive raw40, own MA120, level strictly above prior20 closes excluding today. Switch to rank1 with normal sizing.", "calendar": "China last weekly session; monthly signal takes precedence. One additional issued signal per natural calendar month, reset on month transition. Monthly action does not reset used extra allowance. Waiting/retry does not create extra signals.", "budget": "25%; control30%; conditional30 only at a signal when market up, selected ownMA120 and raw40>0, equal-group breadth>=60%, >=8 groups. Otherwise25%. At most100% invested.", "breadth": "Average of per-group fractions of eligible ETFs above ownMA120. Every group equal weight; current taxonomy inherited. Only finite score/eligible assets enter groups.", "timing": "All monthly offsets0..10 for all10; weekly calendars fixed. Normal next-session-close execution. Delays shift already computed targets without recomputing them.", "high_return_gate": "Full CAGR>=25, MDD>=-30; cost50 CAGR>=20; worst6 MDD>=-30, worst6 CAGR>=baseline15.08; pre2024 and recent CAGR each >= corresponding frozen baseline.", "robust_gate": "Normal AND all6 stresses AND all11 monthly offsets: CAGR>=20, MDD>=-30.", "reporting": "All10, no post-result additions. Existing half-exit daily checks are a frozen historical comparator, not a new weekly-operation variant.", "cost_each_side": 0.002, "cash_interest": 0, "retain_rank": 3, "blend_weight": 0.5, "entry_fraction": 0.5, "breadth_min_groups": 8, "breadth_threshold": 0.6, "breakout_sessions": 20 }, "results": { "monthly_buffer_cash": { "full": { "cagr": 22.95, "sharpe": 1.028, "mdd": -22.84, "vol": 22.58, "days": 1845, "end": 4.7707 }, "train": { "cagr": 31.21, "sharpe": 1.315, "mdd": -20.13, "vol": 22.61, "days": 730, "end": 2.254 }, "validation": { "cagr": 10.08, "sharpe": 0.592, "mdd": -20.93, "vol": 19.33, "days": 484, "end": 1.2098 }, "recent": { "cagr": 24.14, "sharpe": 0.996, "mdd": -19.08, "vol": 24.78, "days": 631, "end": 1.7494 }, "pre2024": { "cagr": 22.34, "sharpe": 1.05, "mdd": -22.84, "vol": 21.36, "days": 1214, "end": 2.727 }, "annual_turnover": 7.65, "mean_exposure": 0.433, "max_frozen": 0.0, "mean_gold_pct": 0.0, "max_drifted_gold_pct": 0.0, "mean_cash_pct": 56.73, 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Outside-window differences include persistent selection/weight path changes; not standalone causal alpha." }, "weekly_switch": { "parent": "monthly_buffer_cash", "log_return_difference": { "gross_log": -0.5892282840618984, "cost_log": -0.02243988770906766, "net_log": -0.6116681717709661 }, "cagr_difference_pp": -9.55, "extra_signal_period_log_difference": -0.5601022604143188, "remaining_period_log_difference": -0.051565911356647294, "extra_signal_status": { "executed": 10, "superseded": 0, "pending": 0 }, "meaning": "Whole-account paired log-return attribution. Extra-signal periods include their execution close. Outside-window differences include persistent selection/weight path changes; not standalone causal alpha." }, "blend_entry": { "parent": "sector_blend", "log_return_difference": { "gross_log": -0.012986597640941878, "cost_log": -0.023866636998143155, "net_log": -0.03685323463908503 }, "cagr_difference_pp": -0.59, "extra_signal_period_log_difference": 0.11798510294845768, "remaining_period_log_difference": -0.15483833758754265, "extra_signal_status": { "executed": 17, "superseded": 0, "pending": 0 }, "meaning": "Whole-account paired log-return attribution. Extra-signal periods include their execution close. Outside-window differences include persistent selection/weight path changes; not standalone causal alpha." }, "strong_entry": { "parent": "strong_budget", "log_return_difference": { "gross_log": -0.17349163023397984, "cost_log": -0.019320429552632037, "net_log": -0.19281205978661187 }, "cagr_difference_pp": -3.12, "extra_signal_period_log_difference": 0.14583889548539608, "remaining_period_log_difference": -0.33865095527200795, "extra_signal_status": { "executed": 17, "superseded": 0, "pending": 0 }, "meaning": "Whole-account paired log-return attribution. Extra-signal periods include their execution close. Outside-window differences include persistent selection/weight path changes; not standalone causal alpha." } }, "high_return_pass": [], "robust_pass": [], "all_history_is_exploratory": true }