{
  "design": {
    "created_before_first_returns": true,
    "rules": [
      {
        "name": "baseline40_cash",
        "family": "baseline40",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "baseline40_gold10",
        "family": "baseline40",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "ensemble20_40_80_cash",
        "family": "ensemble20_40_80",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "ensemble20_40_80_gold10",
        "family": "ensemble20_40_80",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "weekly_buffer40_cash",
        "family": "weekly_buffer40",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "weekly_buffer40_gold10",
        "family": "weekly_buffer40",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "daily_exit40_cash",
        "family": "daily_exit40",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "daily_exit40_gold10",
        "family": "daily_exit40",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "own_trend40_cash",
        "family": "own_trend40",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "own_trend40_gold10",
        "family": "own_trend40",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "momentum120_skip20_cash",
        "family": "momentum120_skip20",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "momentum120_skip20_gold10",
        "family": "momentum120_skip20",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "qdii_fallback_cash",
        "family": "qdii_fallback",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "qdii_fallback_gold10",
        "family": "qdii_fallback",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "qdii30_sleeve_cash",
        "family": "qdii30_sleeve",
        "defense": "cash",
        "vol": 0.25
      },
      {
        "name": "qdii30_sleeve_gold10",
        "family": "qdii30_sleeve",
        "defense": "gold10",
        "vol": 0.25
      },
      {
        "name": "vol30_cash",
        "family": "vol30",
        "defense": "cash",
        "vol": 0.3
      },
      {
        "name": "vol30_gold10",
        "family": "vol30",
        "defense": "gold10",
        "vol": 0.3
      },
      {
        "name": "baseline40_gold",
        "family": "baseline40",
        "defense": "gold",
        "vol": 0.25
      }
    ],
    "families": [
      "baseline40",
      "ensemble20_40_80",
      "weekly_buffer40",
      "daily_exit40",
      "own_trend40",
      "momentum120_skip20",
      "qdii_fallback",
      "qdii30_sleeve",
      "vol30"
    ],
    "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
      ]
    ],
    "target_cagr": 20,
    "mdd_budget": [
      25,
      30
    ],
    "leverage": false,
    "gold_target_cap": 0.1,
    "all_history_already_seen": true,
    "no_primary_selected_by_new_results": true,
    "period": [
      "20190102",
      "20260811"
    ],
    "cost_each_side": 0.002,
    "cash_interest": 0,
    "selection_rule": "Full CAGR>=20 and MDD>=-30, then same requirements in EVERY fixed stress; this is historical screening, never certification of future returns.",
    "note": "Initial rule list is not edited after initial returns. Risk budget30 is a control, not a MDD permission change."
  },
  "period": [
    "20190102",
    "20260811"
  ],
  "pool_loaded": 410,
  "all_history_is_exploratory": true,
  "prefix_checks": [
    {
      "cut": "20201231",
      "all19_targets_match": true,
      "price_features_recomputed": true,
      "eligibility_and_current_metadata_inherited": true
    },
    {
      "cut": "20221230",
      "all19_targets_match": true,
      "price_features_recomputed": true,
      "eligibility_and_current_metadata_inherited": true
    },
    {
      "cut": "20241231",
      "all19_targets_match": true,
      "price_features_recomputed": true,
      "eligibility_and_current_metadata_inherited": true
    }
  ],
  "results": {
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        "cagr": 20.43,
        "sharpe": 0.927,
        "mdd": -22.84,
        "vol": 22.86,
        "days": 1845,
        "end": 4.0791
      },
      "train": {
        "cagr": 24.94,
        "sharpe": 1.071,
        "mdd": -20.45,
        "vol": 23.33,
        "days": 730,
        "end": 1.9466
      },
      "validation": {
        "cagr": 10.08,
        "sharpe": 0.592,
        "mdd": -20.93,
        "vol": 19.33,
        "days": 484,
        "end": 1.2098
      },
      "recent": {
        "cagr": 23.67,
        "sharpe": 0.981,
        "mdd": -19.08,
        "vol": 24.76,
        "days": 631,
        "end": 1.7321
      },
      "pre2024": {
        "cagr": 18.79,
        "sharpe": 0.898,
        "mdd": -22.84,
        "vol": 21.82,
        "days": 1214,
        "end": 2.355
      },
      "annual_turnover": 9.58,
      "mean_exposure": 0.434,
      "max_frozen": 0.0,
      "mean_gold_pct": 0.0,
      "max_drifted_gold_pct": 0.0,
      "mean_cash_pct": 56.62,
      "blocked_sessions": 0,
      "yearly_returns_pct": {
        "2019": 7.18,
        "2020": 55.98,
        "2021": 16.44,
        "2022": -19.28,
        "2023": 49.89,
        "2024": -9.57,
        "2025": 70.57,
        "2026": 12.3
      },
      "log_pnl_contributions": {
        "full": {
          "A股行业": 1.550753,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.144869
        },
        "pre2024": {
          "A股行业": 0.944366,
          "美国": 0.0,
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          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.087821
        },
        "recent": {
          "A股行业": 0.606387,
          "美国": 0.0,
          "日本": 0.0,
          "黄金": 0.0,
          "国债": 0.0,
          "费用": -0.057048
        }
      },
      "rule": {
        "name": "baseline40_cash",
        "family": "baseline40",
        "defense": "cash",
        "vol": 0.25
      },
      "rolling3": {
        "min_cagr": 1.14,
        "median_cagr": 13.89,
        "max_cagr": 34.84,
        "pct_windows_at_least20": 27.38,
        "overlapping_windows": 1114
      },
      "stress": {
        "cost50": {
          "full": {
            "cagr": 17.03,
            "sharpe": 0.801,
            "mdd": -26.26,
            "vol": 22.89,
            "days": 1845,
            "end": 3.2832
          },
          "train": {
            "cagr": 20.58,
            "sharpe": 0.919,
            "mdd": -22.33,
            "vol": 23.32,
            "days": 730,
            "end": 1.7506
          },
          "validation": {
            "cagr": 8.68,
            "sharpe": 0.526,
            "mdd": -21.79,
            "vol": 19.3,
            "days": 484,
            "end": 1.1796
          },
          "recent": {
            "cagr": 19.64,
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            "mdd": -21.37,
            "vol": 24.87,
            "days": 631,
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          },
          "pre2024": {
            "cagr": 15.69,
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            "mdd": -23.85,
            "vol": 21.8,
            "days": 1214,
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          },
          "annual_turnover": 9.56,
          "mean_exposure": 0.434,
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          "mean_gold_pct": 0.0,
          "max_drifted_gold_pct": 0.0,
          "mean_cash_pct": 56.62,
          "blocked_sessions": 0,
          "yearly_returns_pct": {
            "2019": 2.63,
            "2020": 50.27,
            "2021": 13.51,
            "2022": -19.98,
            "2023": 47.42,
            "2024": -12.1,
            "2025": 65.08,
            "2026": 9.57
          },
          "log_pnl_contributions": {
            "full": {
              "A股行业": 1.550982,
              "美国": 0.0,
              "日本": 0.0,
              "黄金": 0.0,
              "国债": 0.0,
              "费用": -0.362178
            },
            "pre2024": {
              "A股行业": 0.944718,
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              "黄金": 0.0,
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              "费用": -0.219555
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            "recent": {
              "A股行业": 0.606264,
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              "黄金": 0.0,
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          }
        },
        "offset2": {
          "full": {
            "cagr": 19.7,
            "sharpe": 0.882,
            "mdd": -25.75,
            "vol": 23.51,
            "days": 1845,
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          "train": {
            "cagr": 21.04,
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            "mdd": -25.02,
            "vol": 23.28,
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          "validation": {
            "cagr": 9.28,
            "sharpe": 0.658,
            "mdd": -12.11,
            "vol": 15.24,
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          },
          "recent": {
            "cagr": 26.72,
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            "vol": 28.48,
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          "pre2024": {
            "cagr": 16.21,
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            "days": 1214,
            "end": 2.1112
          },
          "annual_turnover": 9.95,
          "mean_exposure": 0.455,
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          "max_drifted_gold_pct": 0.0,
          "mean_cash_pct": 54.47,
          "blocked_sessions": 0,
          "yearly_returns_pct": {
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            "2021": 2.81,
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            "2025": 55.04,
            "2026": 10.29
          },
          "log_pnl_contributions": {
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              "A股行业": 1.510274,
              "美国": 0.0,
              "日本": 0.0,
              "黄金": 0.0,
              "国债": 0.0,
              "费用": -0.150571
            },
            "pre2024": {
              "A股行业": 0.838642,
              "美国": 0.0,
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              "费用": -0.091401
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            "recent": {
              "A股行业": 0.671632,
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              "黄金": 0.0,
              "国债": 0.0,
              "费用": -0.059169
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          }
        },
        "offset5": {
          "full": {
            "cagr": 15.34,
            "sharpe": 0.769,
            "mdd": -29.12,
            "vol": 21.6,
            "days": 1845,
            "end": 2.9416
          },
          "train": {
            "cagr": 11.7,
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          },
          "validation": {
            "cagr": 12.24,
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            "mdd": -10.63,
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          },
          "recent": {
            "cagr": 22.22,
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          "pre2024": {
            "cagr": 11.92,
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          "annual_turnover": 8.77,
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          "max_drifted_gold_pct": 0.0,
          "mean_cash_pct": 56.61,
          "blocked_sessions": 0,
          "yearly_returns_pct": {
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            "2023": 32.01,
            "2024": -2.28,
            "2025": 69.71,
            "2026": 1.31
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          "log_pnl_contributions": {
            "full": {
              "A股行业": 1.2117,
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            "pre2024": {
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            "recent": {
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          }
        },
        "delay2": {
          "full": {
            "cagr": 17.45,
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          "train": {
            "cagr": 17.39,
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          },
          "validation": {
            "cagr": 10.17,
            "sharpe": 0.591,
            "mdd": -20.28,
            "vol": 19.6,
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          },
          "recent": {
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          "pre2024": {
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          "annual_turnover": 9.58,
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          "max_drifted_gold_pct": 0.0,
          "mean_cash_pct": 56.58,
          "blocked_sessions": 0,
          "yearly_returns_pct": {
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          "log_pnl_contributions": {
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            "pre2024": {
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            "recent": {
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          }
        },
        "joint_cost50_offset5": {
          "full": {
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          "train": {
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          "validation": {
            "cagr": 10.75,
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          "recent": {
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          "pre2024": {
            "cagr": 9.41,
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          "annual_turnover": 8.75,
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          "max_frozen": 0.8564311771910245,
          "mean_gold_pct": 0.0,
          "max_drifted_gold_pct": 0.0,
          "mean_cash_pct": 56.61,
          "blocked_sessions": 0,
          "yearly_returns_pct": {
            "2019": 1.57,
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            "2021": -12.52,
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            "2023": 29.46,
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            "2025": 62.3,
            "2026": -0.47
          },
          "log_pnl_contributions": {
            "full": {
              "A股行业": 1.211755,
              "美国": 0.0,
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            "pre2024": {
              "A股行业": 0.635095,
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            "recent": {
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          }
        }
      },
      "normal_target_pass": true,
      "every_stress_target_pass": false,
      "worst_stress_cagr": 12.34,
      "worst_stress_mdd": -31.89,
      "mean_foreign_pct": {
        "513100.SH": 0.0,
        "513520.SH": 0.0
      },
      "integer_lots": [
        {
          "initial_capital": 300000,
          "full": {
            "cagr": 22.95,
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          "recent": {
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          "orders": 110,
          "blocked_buy_orders": 0,
          "max_adv_participation_pct": 1.0,
          "max_gross_exposure": 0.9999265667167996,
          "daily_order_adv_cap": 0.01,
          "unfilled_policy": "留现金或原持仓，到下一次计划换仓再评估",
          "final_capital": 1430482.09
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      ]
    },
    "baseline40_gold10": {
      "full": {
        "cagr": 21.25,
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        "vol": 22.88,
        "days": 1845,
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      "train": {
        "cagr": 25.72,
        "sharpe": 1.098,
        "mdd": -20.23,
        "vol": 23.34,
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      "validation": {
        "cagr": 10.99,
        "sharpe": 0.634,
        "mdd": -20.67,
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      },
      "recent": {
        "cagr": 24.44,
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        "mdd": -18.49,
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        "days": 631,
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      "pre2024": {
        "cagr": 19.63,
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        "mdd": -22.67,
        "vol": 21.83,
        "days": 1214,
        "end": 2.439
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      "annual_turnover": 9.92,
      "mean_exposure": 0.478,
      "max_frozen": 0.0,
      "mean_gold_pct": 4.42,
      "max_drifted_gold_pct": 11.17,
      "mean_cash_pct": 52.2,
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