{
  "variant": "monthly",
  "title": "月度单选ETF轮动：候选池、每期持仓与盈亏明细",
  "parent_report": "etf-return20-20261003",
  "rules": {
    "signal": "regression40",
    "top": 1,
    "freq": "monthly",
    "vol": 0.25,
    "equity": 1.0,
    "regime": "ma120",
    "defense": 1,
    "abs": false,
    "goldshare": 1.0
  },
  "capital_example": 100000.0,
  "cost_each_side": 0.002,
  "period_definition": "实际执行日收盘前NAV至下一执行日收盘前NAV；本次双边转仓成本计入本期，换仓日旧持仓收益计入上期；最终一期计至数据末日收盘。",
  "asset_definition": "标的累计贡献＝实际持仓逐日价格损益−该标的全部买卖成本，包含最终未平仓浮盈；贡献百分比的分母为10万元初始本金，不是标的年化收益。",
  "full": {
    "cagr": 25.62,
    "sharpe": 1.062,
    "mdd": -22.24,
    "vol": 24.23,
    "days": 1845,
    "end": 5.6115
  },
  "period_count": 92,
  "held_asset_count": 37,
  "gold_only_period_count": 41,
  "cash_only_period_count": 0,
  "pool_loaded_count": 456,
  "industry_loaded_count": 454,
  "final_capital": 561151.611345483,
  "total_profit": 461151.611345483,
  "total_gross_profit": 509729.4508814856,
  "total_fees": 48577.8395360038,
  "blocked_sessions": 0,
  "reconciled_daily_return_max_difference": 4.66423774603264e-16,
  "recent_is_exploratory": true,
  "yearly_returns": {
    "2019": 6.302372647150367,
    "2020": 71.70987388677572,
    "2021": 23.831627927822407,
    "2022": -11.428956625156106,
    "2023": 60.33345097579079,
    "2024": -2.674505953320605,
    "2025": 51.98037065710983,
    "2026": 18.189906037977565
  }
}