{ "primary": "riskmom60_top3_cash", "design": { "initial_16_rules_declared_before_first_results": true, "initial_design_preserved": "initial_declared_design.json", "supplements_after_initial_results": [ "gold cap10 already used in prior preference comparisons", "CSI300 no-timing buy-hold and vol25 controls to avoid a weak trend comparator", "faithful former40 frozen rule transplant to pure sector universe, top1 and top3, all ETF ranking, no positive-score requirement, risk after defense", "former40 cap10 and positive-score-only controls; preserve the original and primary independently" ], "all_history_previously_seen": true, "primary": "riskmom60_top3_cash", "rules": [ { "name": "price60_top1_cash", "signal": "price60", "top": 1, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "price60_top1_gold", "signal": "price60", "top": 1, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "price60_top3_cash", "signal": "price60", "top": 3, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "price60_top3_gold", "signal": "price60", "top": 3, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "riskmom60_top1_cash", "signal": "riskmom60", "top": 1, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "riskmom60_top1_gold", "signal": "riskmom60", "top": 1, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "riskmom60_top3_cash", "signal": "riskmom60", "top": 3, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "riskmom60_top3_gold", "signal": "riskmom60", "top": 3, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "regression40_top1_cash", "signal": "regression40", "top": 1, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "regression40_top1_gold", "signal": "regression40", "top": 1, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "regression40_top3_cash", "signal": "regression40", "top": 3, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "regression40_top3_gold", "signal": "regression40", "top": 3, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "broad_index_cash", "signal": "price60", "top": 1, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "index" }, { "name": "broad_index_gold", "signal": "price60", "top": 1, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "index" }, { "name": "primary_no_vol", "signal": "riskmom60", "top": 3, "defense": "cash", "vol": 0.0, "market_gate": true, "kind": "sector" }, { "name": "primary_no_market_gate", "signal": "riskmom60", "top": 3, "defense": "cash", "vol": 0.25, "market_gate": false, "kind": "sector" }, { "name": "riskmom60_top3_gold10", "signal": "riskmom60", "top": 3, "defense": "gold", "gold_cap": 0.1, "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "regression40_top1_gold10", "signal": "regression40", "top": 1, "defense": "gold", "gold_cap": 0.1, "vol": 0.25, "market_gate": true, "kind": "sector" }, { "name": "broad_hold_cash", "signal": "price60", "top": 1, "defense": "cash", "vol": 0.0, "market_gate": false, "require_positive": false, "kind": "index" }, { "name": "broad_hold_vol25", "signal": "price60", "top": 1, "defense": "cash", "vol": 0.25, "market_gate": false, "require_positive": false, "kind": "index" }, { "name": "legacy40_top1_cash", "signal": "regression40", "top": 1, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "legacy" }, { "name": "legacy40_top1_gold", "signal": "regression40", "top": 1, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "legacy" }, { "name": "legacy40_top3_cash", "signal": "regression40", "top": 3, "defense": "cash", "vol": 0.25, "market_gate": true, "kind": "legacy" }, { "name": "legacy40_top3_gold", "signal": "regression40", "top": 3, "defense": "gold", "vol": 0.25, "market_gate": true, "kind": "legacy" }, { "name": "legacy40_top1_gold10", "signal": "regression40", "top": 1, "defense": "gold", "gold_cap": 0.1, "vol": 0.25, "market_gate": true, "kind": "legacy" }, { "name": "legacy40_positive_top1_cash", "signal": "regression40", "top": 1, "defense": "cash", "vol": 0.25, "market_gate": true, "positive_only": true, "kind": "legacy" } ], "reason_primary": "User asks for A-only industry strategy using trend and standard deviation. Risk-adjusted60, three different groups, cash default fixed by interpretation and prior low-gold preference, not a return ranking.", "scope": "Domestic industry/theme ETF groups only, excluding red-dividend defensive style and AH/foreign funds. Current coarse classifications are not archived historical taxonomy.", "windows_not_searched": [ 40, 60, 120 ], "eligibility": "200 observed tradable quotes, prior20-session average turnover >=10m RMB, listed and not delisted at signal. Representative by past120 ADV before momentum.", "score": "price60, price60/max(annualized daily-return std60,5%), log-price regression40 slope*244*R2; positive own score required.", "gate": "CSI300 actual CNY ETF total-return level > MA120 at signal.", "risk": "Target equity basket std60*sqrt244, shrink to <=25%, no leverage; apply before gold/cash defense. Gold account risk is NOT capped at25%.", "gold": "All unused equity and sizing budget to gold when eligible; can be 100%. Cash otherwise. Actual equity weights drift differently between the two accounts.", "execution": "Month-end known close -> next Chinese close; quote absence waits, latest monthly target replaces unfilled target. Cash interest0, costs .002 each trade side.", "period": [ "20190102", "20260811" ], "not_oos": "No untouched recent holdout exists; no parameter promotion based on 2024+.", "stress": [ "cost .005", "month-end offset2", "offset5", "cost .005 AND offset5" ], "sensitivity": [ "vol20", "mom90 same primary family", "pre2019 listed sector pool", "primary all ETF ranking before group dedup" ] }, "pool_loaded": 410, "groups": [ "传媒游戏", "军工航天", "农业养殖", "医药", "半导体", "地产基建", "新能源", "材料", "汽车", "消费", "电子", "能源", "软件AI", "通信", "金融", "高端制造" ], "excluded_style_codes": [ "159209.SZ", "159228.SZ", "159296.SZ", "159307.SZ", "159332.SZ", "159336.SZ", "159355.SZ", "159515.SZ", "159525.SZ", "159547.SZ", "159549.SZ", "159581.SZ", "159589.SZ", "159708.SZ", "159758.SZ", "159905.SZ", "159966.SZ", "510720.SH", "510880.SH", "510890.SH", "512260.SH", "512270.SH", "512530.SH", "512890.SH", "515080.SH", "515100.SH", "515180.SH", "515300.SH", "515890.SH", "530880.SH", "560020.SH", "560150.SH", "560520.SH", "560570.SH", "560890.SH", "561060.SH", "561580.SH", "561680.SH", "563020.SH", "563690.SH", "563700.SH", "563890.SH" ], "all_history_is_exploratory": true, "results": { "price60_top1_cash": { "full": { "cagr": 5.89, "sharpe": 0.373, "mdd": -44.9, "vol": 21.59, "days": 1845, "end": 1.5413 }, "train": { "cagr": 3.84, "sharpe": 0.28, "mdd": -28.42, "vol": 22.56, "days": 730, "end": 1.1192 }, "validation": { "cagr": -8.49, "sharpe": -0.48, "mdd": -21.86, "vol": 15.88, "days": 484, "end": 0.8386 }, "recent": { "cagr": 21.14, "sharpe": 0.916, "mdd": -21.9, "vol": 24.09, "days": 631, "end": 1.6421 }, "pre2024": { "cagr": -1.27, "sharpe": 0.038, "mdd": -36.4, "vol": 20.16, "days": 1214, "end": 0.9386 }, "annual_turnover": 6.26, "mean_exposure": 0.403, "max_frozen": 0.0, "mean_gold_pct": 0.0, "max_drifted_gold_pct": 0.0, "mean_cash_pct": 59.7, "blocked_sessions": 0, "yearly_returns_pct": { "2019": 10.34, "2020": 6.8, "2021": -5.03, "2022": -17.79, "2023": 2.01, "2024": -13.29, "2025": 86.92, 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