{
  "design": {
    "rules": [
      "monthly_buffer_cash",
      "rate_guard",
      "rate_select",
      "iv_guard",
      "skew_guard",
      "panic_entry",
      "rate_iv_guard",
      "rate_select_iv"
    ],
    "primary": "iv_guard",
    "declared_before_returns": true,
    "all_history_previously_explored": true,
    "sample": [
      "20230403",
      "20260811"
    ],
    "split": "20240812",
    "execution": "Chinese next-session close; all external inputs additionally lagged one China session. Cash zero interest. Costs .002 each side.",
    "baseline": "Frozen 40-session regression rank, retain incumbent top3, 510300 MA120 gate, 25% risk budget, pure A industry universe.",
    "rate_guard": "At monthly signal, half risk-sized target if lagged Shibor3m MA20 > MA60.",
    "rate_select": "Keep eligible incumbent in original momentum top3. Only when replacing it, choose among original top3 the largest past252-session beta of ETF minus510300 daily return to Shibor3m daily change, times latest20-session change. At least200 paired observations; if any top3 missing use original rank1.",
    "iv_guard": "At monthly signal, half risk-sized target if lagged CYB option IV30 > IV90 (inverted term structure).",
    "skew_guard": "At monthly signal, half target when CYB put25IV minus call25IV exceeds previous252-session 90th percentile, min126 observations, excluding the current observation.",
    "panic_entry": "Weekly last trading close, empty signal slot, lagged CYB basis60 below previous252-session 10th percentile(min126) and higher than5 sessions ago. Choose highest momentum rank with ownMA120 and positive40 score; allow entry despite 510300 gate. Half risk-sized target, max1 extra issued signal per natural month, monthly priority.",
    "rate_iv_guard": "Half target if either rate_guard or iv_guard is true; never compound to quarter.",
    "rate_select_iv": "rate_select with iv_guard.",
    "source_choice": "CYB has no adjusted-name contracts in inspected cache. SSE500/300 excluded due static adjusted-strike backfill. Not a complete point-in-time options audit.",
    "missing": "No backfill/forwardfill of external values. Missing signal neutral; no panic entry. Each monthly signal re-evaluates conditions.",
    "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
      ]
    ],
    "monthly_offsets": [
      0,
      1,
      2,
      3,
      4,
      5,
      6,
      7,
      8,
      9,
      10
    ],
    "improvement_gate": "Full CAGR>=20,MDD>=-30; higher CAGR than same-sample baseline in full/early/late; full MDD no worse; cost50 CAGR>=20; all6 stress MDD>=-30. Diagnostic, not untouched OOS.",
    "robust_gate": "Full,all6 stresses,all11 offsets: CAGR>=20,MDD>=-30. No parameter search or post-result additions."
  },
  "results": {
    "monthly_buffer_cash": {
      "full": {
        "cagr": 20.15,
        "sharpe": 0.887,
        "mdd": -22.66,
        "vol": 23.88,
        "days": 814,
        "end": 1.8451
      },
      "train": null,
      "validation": {
        "cagr": 7.36,
        "sharpe": 0.447,
        "mdd": -13.48,
        "vol": 20.51,
        "days": 183,
        "end": 1.0547
      },
      "recent": {
        "cagr": 24.14,
        "sharpe": 0.996,
        "mdd": -19.08,
        "vol": 24.78,
        "days": 631,
        "end": 1.7494
      },
      "pre2024": {
        "cagr": 7.36,
        "sharpe": 0.447,
        "mdd": -13.48,
        "vol": 20.51,
        "days": 183,
        "end": 1.0547
      },
      "annual_turnover": 8.47,
      "mean_exposure": 0.441,
      "max_frozen": 0.0,
      "mean_gold_pct": 0.0,
      "max_drifted_gold_pct": 0.0,
      "mean_cash_pct": 55.89,
      "blocked_sessions": 0,
      "yearly_returns_pct": {
        "2023": 5.47,
        "2024": -9.45,
        "2025": 71.51,
        "2026": 12.65
      },
      "log_pnl_contributions": {
        "full": {
          "A股行业": 0.669159,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.056631
        },
        "pre2024": {
          "A股行业": 0.060042,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.006802
        },
        "recent": {
          "A股行业": 0.609117,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.049829
        }
      },
      "early": {
        "cagr": -0.62,
        "sharpe": 0.057,
        "mdd": -16.97,
        "vol": 18.29,
        "days": 330,
        "end": 0.9916
      },
      "late": {
        "cagr": 36.76,
        "sharpe": 1.293,
        "mdd": -18.27,
        "vol": 27.01,
        "days": 484,
        "end": 1.8606
      },
      "stress": {
        "cost50": {
          "cagr": 17.13,
          "sharpe": 0.779,
          "mdd": -25.15,
          "vol": 23.94,
          "days": 814,
          "end": 1.6948
        },
        "offset2": {
          "cagr": 17.76,
          "sharpe": 0.758,
          "mdd": -25.75,
          "vol": 26.02,
          "days": 814,
          "end": 1.7254
        },
        "offset5": {
          "cagr": 17.62,
          "sharpe": 0.814,
          "mdd": -29.12,
          "vol": 23.27,
          "days": 814,
          "end": 1.7185
        },
        "delay2": {
          "cagr": 19.84,
          "sharpe": 0.883,
          "mdd": -21.4,
          "vol": 23.64,
          "days": 814,
          "end": 1.8292
        },
        "joint_cost50_offset5": {
          "cagr": 14.3,
          "sharpe": 0.689,
          "mdd": -31.89,
          "vol": 23.34,
          "days": 814,
          "end": 1.5619
        },
        "joint_cost50_delay2": {
          "cagr": 16.77,
          "sharpe": 0.772,
          "mdd": -25.0,
          "vol": 23.67,
          "days": 814,
          "end": 1.6771
        }
      },
      "worst_stress_cagr": 14.3,
      "worst_stress_mdd": -31.89,
      "robust_gate": false,
      "improvement_gate": false,
      "extra_signals": 0,
      "reduced_monthly_signals": 0,
      "executed_extras": 0
    },
    "rate_guard": {
      "full": {
        "cagr": 17.01,
        "sharpe": 0.851,
        "mdd": -22.66,
        "vol": 21.02,
        "days": 814,
        "end": 1.6888
      },
      "train": null,
      "validation": {
        "cagr": -2.68,
        "sharpe": -0.129,
        "mdd": -13.48,
        "vol": 13.78,
        "days": 183,
        "end": 0.9798
      },
      "recent": {
        "cagr": 23.43,
        "sharpe": 1.04,
        "mdd": -19.08,
        "vol": 22.69,
        "days": 631,
        "end": 1.7237
      },
      "pre2024": {
        "cagr": -2.68,
        "sharpe": -0.129,
        "mdd": -13.48,
        "vol": 13.78,
        "days": 183,
        "end": 0.9798
      },
      "annual_turnover": 6.99,
      "mean_exposure": 0.374,
      "max_frozen": 0.0,
      "mean_gold_pct": 0.0,
      "max_drifted_gold_pct": 0.0,
      "mean_cash_pct": 62.56,
      "blocked_sessions": 0,
      "yearly_returns_pct": {
        "2023": -2.02,
        "2024": -11.05,
        "2025": 72.44,
        "2026": 12.38
      },
      "log_pnl_contributions": {
        "full": {
          "A股行业": 0.570753,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.046711
        },
        "pre2024": {
          "A股行业": -0.014746,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.005661
        },
        "recent": {
          "A股行业": 0.585499,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.04105
        }
      },
      "early": {
        "cagr": -5.89,
        "sharpe": -0.35,
        "mdd": -16.97,
        "vol": 14.38,
        "days": 330,
        "end": 0.9212
      },
      "late": {
        "cagr": 35.74,
        "sharpe": 1.368,
        "mdd": -18.27,
        "vol": 24.51,
        "days": 484,
        "end": 1.8332
      },
      "stress": {
        "cost50": {
          "cagr": 14.58,
          "sharpe": 0.75,
          "mdd": -24.92,
          "vol": 21.07,
          "days": 814,
          "end": 1.5745
        },
        "offset2": {
          "cagr": 20.86,
          "sharpe": 0.924,
          "mdd": -18.65,
          "vol": 23.43,
          "days": 814,
          "end": 1.8814
        },
        "offset5": {
          "cagr": 20.42,
          "sharpe": 1.0,
          "mdd": -19.24,
          "vol": 20.73,
          "days": 814,
          "end": 1.8588
        },
        "delay2": {
          "cagr": 19.07,
          "sharpe": 0.944,
          "mdd": -21.19,
          "vol": 20.76,
          "days": 814,
          "end": 1.79
        },
        "joint_cost50_offset5": {
          "cagr": 17.62,
          "sharpe": 0.885,
          "mdd": -22.22,
          "vol": 20.77,
          "days": 814,
          "end": 1.7185
        },
        "joint_cost50_delay2": {
          "cagr": 16.55,
          "sharpe": 0.84,
          "mdd": -21.23,
          "vol": 20.79,
          "days": 814,
          "end": 1.667
        }
      },
      "worst_stress_cagr": 14.58,
      "worst_stress_mdd": -24.92,
      "robust_gate": false,
      "improvement_gate": false,
      "extra_signals": 0,
      "reduced_monthly_signals": 9,
      "executed_extras": 0
    },
    "rate_select": {
      "full": {
        "cagr": 28.74,
        "sharpe": 1.158,
        "mdd": -18.02,
        "vol": 24.37,
        "days": 814,
        "end": 2.3227
      },
      "train": null,
      "validation": {
        "cagr": 6.76,
        "sharpe": 0.422,
        "mdd": -13.48,
        "vol": 20.36,
        "days": 183,
        "end": 1.0503
      },
      "recent": {
        "cagr": 35.92,
        "sharpe": 1.334,
        "mdd": -18.02,
        "vol": 25.42,
        "days": 631,
        "end": 2.2115
      },
      "pre2024": {
        "cagr": 6.76,
        "sharpe": 0.422,
        "mdd": -13.48,
        "vol": 20.36,
        "days": 183,
        "end": 1.0503
      },
      "annual_turnover": 8.18,
      "mean_exposure": 0.439,
      "max_frozen": 0.0,
      "mean_gold_pct": 0.0,
      "max_drifted_gold_pct": 0.0,
      "mean_cash_pct": 56.11,
      "blocked_sessions": 0,
      "yearly_returns_pct": {
        "2023": 5.03,
        "2024": 4.02,
        "2025": 71.55,
        "2026": 23.93
      },
      "log_pnl_contributions": {
        "full": {
          "A股行业": 0.897385,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.054642
        },
        "pre2024": {
          "A股行业": 0.055887,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.006797
        },
        "recent": {
          "A股行业": 0.841498,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.047846
        }
      },
      "early": {
        "cagr": -1.12,
        "sharpe": 0.028,
        "mdd": -17.18,
        "vol": 18.19,
        "days": 330,
        "end": 0.9849
      },
      "late": {
        "cagr": 54.11,
        "sharpe": 1.697,
        "mdd": -18.02,
        "vol": 27.76,
        "days": 484,
        "end": 2.3583
      },
      "stress": {
        "cost50": {
          "cagr": 25.61,
          "sharpe": 1.055,
          "mdd": -19.19,
          "vol": 24.43,
          "days": 814,
          "end": 2.1399
        },
        "offset2": {
          "cagr": 21.34,
          "sharpe": 0.883,
          "mdd": -22.0,
          "vol": 25.62,
          "days": 814,
          "end": 1.9064
        },
        "offset5": {
          "cagr": 22.28,
          "sharpe": 0.996,
          "mdd": -20.61,
          "vol": 22.81,
          "days": 814,
          "end": 1.9562
        },
        "delay2": {
          "cagr": 25.13,
          "sharpe": 1.049,
          "mdd": -21.48,
          "vol": 24.12,
          "days": 814,
          "end": 2.1126
        },
        "joint_cost50_offset5": {
          "cagr": 18.6,
          "sharpe": 0.861,
          "mdd": -23.7,
          "vol": 22.86,
          "days": 814,
          "end": 1.7666
        },
        "joint_cost50_delay2": {
          "cagr": 22.02,
          "sharpe": 0.944,
          "mdd": -21.52,
          "vol": 24.17,
          "days": 814,
          "end": 1.9426
        }
      },
      "worst_stress_cagr": 18.6,
      "worst_stress_mdd": -23.7,
      "robust_gate": false,
      "improvement_gate": false,
      "extra_signals": 0,
      "reduced_monthly_signals": 0,
      "executed_extras": 0
    },
    "iv_guard": {
      "full": {
        "cagr": 25.52,
        "sharpe": 1.19,
        "mdd": -18.25,
        "vol": 20.93,
        "days": 814,
        "end": 2.1345
      },
      "train": null,
      "validation": {
        "cagr": 7.36,
        "sharpe": 0.447,
        "mdd": -13.48,
        "vol": 20.51,
        "days": 183,
        "end": 1.0547
      },
      "recent": {
        "cagr": 31.34,
        "sharpe": 1.399,
        "mdd": -17.89,
        "vol": 21.06,
        "days": 631,
        "end": 2.0238
      },
      "pre2024": {
        "cagr": 7.36,
        "sharpe": 0.447,
        "mdd": -13.48,
        "vol": 20.51,
        "days": 183,
        "end": 1.0547
      },
      "annual_turnover": 7.43,
      "mean_exposure": 0.377,
      "max_frozen": 0.0,
      "mean_gold_pct": 0.0,
      "max_drifted_gold_pct": 0.0,
      "mean_cash_pct": 62.26,
      "blocked_sessions": 0,
      "yearly_returns_pct": {
        "2023": 5.47,
        "2024": -6.41,
        "2025": 73.31,
        "2026": 24.77
      },
      "log_pnl_contributions": {
        "full": {
          "A股行业": 0.807885,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.049646
        },
        "pre2024": {
          "A股行业": 0.060042,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.006802
        },
        "recent": {
          "A股行业": 0.747843,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.042844
        }
      },
      "early": {
        "cagr": 0.31,
        "sharpe": 0.103,
        "mdd": -15.92,
        "vol": 17.2,
        "days": 330,
        "end": 1.0042
      },
      "late": {
        "cagr": 46.25,
        "sharpe": 1.761,
        "mdd": -17.89,
        "vol": 23.09,
        "days": 484,
        "end": 2.1257
      },
      "stress": {
        "cost50": {
          "cagr": 22.75,
          "sharpe": 1.081,
          "mdd": -21.23,
          "vol": 20.97,
          "days": 814,
          "end": 1.9814
        },
        "offset2": {
          "cagr": 12.3,
          "sharpe": 0.633,
          "mdd": -25.24,
          "vol": 22.18,
          "days": 814,
          "end": 1.4723
        },
        "offset5": {
          "cagr": 14.61,
          "sharpe": 0.796,
          "mdd": -32.07,
          "vol": 19.55,
          "days": 814,
          "end": 1.5761
        },
        "delay2": {
          "cagr": 23.14,
          "sharpe": 1.104,
          "mdd": -19.83,
          "vol": 20.82,
          "days": 814,
          "end": 2.0028
        },
        "joint_cost50_offset5": {
          "cagr": 11.64,
          "sharpe": 0.66,
          "mdd": -34.29,
          "vol": 19.6,
          "days": 814,
          "end": 1.444
        },
        "joint_cost50_delay2": {
          "cagr": 20.43,
          "sharpe": 0.995,
          "mdd": -22.17,
          "vol": 20.84,
          "days": 814,
          "end": 1.8591
        }
      },
      "worst_stress_cagr": 11.64,
      "worst_stress_mdd": -34.29,
      "robust_gate": false,
      "improvement_gate": false,
      "extra_signals": 0,
      "reduced_monthly_signals": 8,
      "executed_extras": 0
    },
    "skew_guard": {
      "full": {
        "cagr": 19.75,
        "sharpe": 0.882,
        "mdd": -22.66,
        "vol": 23.54,
        "days": 814,
        "end": 1.8243
      },
      "train": null,
      "validation": {
        "cagr": 7.36,
        "sharpe": 0.447,
        "mdd": -13.48,
        "vol": 20.51,
        "days": 183,
        "end": 1.0547
      },
      "recent": {
        "cagr": 23.6,
        "sharpe": 0.991,
        "mdd": -19.08,
        "vol": 24.36,
        "days": 631,
        "end": 1.7298
      },
      "pre2024": {
        "cagr": 7.36,
        "sharpe": 0.447,
        "mdd": -13.48,
        "vol": 20.51,
        "days": 183,
        "end": 1.0547
      },
      "annual_turnover": 8.01,
      "mean_exposure": 0.42,
      "max_frozen": 0.0,
      "mean_gold_pct": 0.0,
      "max_drifted_gold_pct": 0.0,
      "mean_cash_pct": 57.98,
      "blocked_sessions": 0,
      "yearly_returns_pct": {
        "2023": 5.47,
        "2024": -9.45,
        "2025": 68.28,
        "2026": 13.51
      },
      "log_pnl_contributions": {
        "full": {
          "A股行业": 0.654773,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.053552
        },
        "pre2024": {
          "A股行业": 0.060042,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.006802
        },
        "recent": {
          "A股行业": 0.594731,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.04675
        }
      },
      "early": {
        "cagr": -0.62,
        "sharpe": 0.057,
        "mdd": -16.97,
        "vol": 18.29,
        "days": 330,
        "end": 0.9916
      },
      "late": {
        "cagr": 35.98,
        "sharpe": 1.291,
        "mdd": -18.27,
        "vol": 26.52,
        "days": 484,
        "end": 1.8397
      },
      "stress": {
        "cost50": {
          "cagr": 16.9,
          "sharpe": 0.779,
          "mdd": -25.15,
          "vol": 23.6,
          "days": 814,
          "end": 1.6835
        },
        "offset2": {
          "cagr": 14.05,
          "sharpe": 0.644,
          "mdd": -25.75,
          "vol": 25.36,
          "days": 814,
          "end": 1.5506
        },
        "offset5": {
          "cagr": 15.63,
          "sharpe": 0.751,
          "mdd": -29.91,
          "vol": 22.82,
          "days": 814,
          "end": 1.6234
        },
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  "prefix_checks": [
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      "all_targets_and_external_features_match": true
    },
    {
      "end": "20241231",
      "all_targets_and_external_features_match": true
    }
  ],
  "data_audit": {
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      "first": "20220919",
      "last": "20260930",
      "adjusted_name_rows": 45762,
      "contracts_with_multiple_strikes": 0
    },
    "example": {
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      "first": {
        "trade_date": "20231026",
        "exercise_price": 4.724,
        "name": "500ETF购6月4724A"
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      "rows_before_adjustment": 134,
      "official_old_strike": 4.8,
      "official_new_strike": 4.724,
      "effective_date": "20240517",
      "source": "https://www.sse.com.cn/assortment/options/disclo/update/c/c_20240516_10756086.shtml"
    },
    "OP510300_SH": {
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      "first": "20220919",
      "last": "20260930",
      "adjusted_name_rows": 43072,
      "contracts_with_multiple_strikes": 0
    },
    "OP159915_SZ": {
      "rows": 127332,
      "first": "20220919",
      "last": "20260930",
      "adjusted_name_rows": 0,
      "contracts_with_multiple_strikes": 0
    },
    "pmi_structure_nonnull": {
      "manufacturing": 0,
      "production": 0,
      "new_orders": 0,
      "employment": 0,
      "services": 0
    },
    "cross_asset_history": {
      "ES": {
        "rows": 20,
        "first": "2026-09-04",
        "last": "2026-10-02"
      },
      "ZN": {
        "rows": 20,
        "first": "2026-09-04",
        "last": "2026-10-02"
      },
      "EUR": {
        "rows": 20,
        "first": "2026-09-04",
        "last": "2026-10-02"
      },
      "GC": {
        "rows": 20,
        "first": "2026-09-04",
        "last": "2026-10-02"
      },
      "CL": {
        "rows": 20,
        "first": "2026-09-04",
        "last": "2026-10-02"
      },
      "JPY": {
        "rows": 20,
        "first": "2026-09-04",
        "last": "2026-10-02"
      }
    },
    "limitations": [
      "Daily rate/options data do not have complete ingestion vintages.",
      "CYB static metadata check is narrower than complete PIT reconstruction.",
      "SSE affected row counts are adjusted-contract observations, NOT the number of contaminated preadjustment rows."
    ]
  },
  "improvement_pass": [
    "rate_select_iv"
  ],
  "robust_pass": []
}