{
  "rules": {
    "primary": "skip-1m formation: px=df.shift(21); sig=px/px.rolling(250,min_periods=200).max(); rank on signal day dates[i-1]; then theme CAP=1 + QDII prem + 2pp dampen + month rebalance",
    "baseline": "站点 ETF 52w nearness top3 + 主题 cap1 + 2pp 钝化 + QDII 溢价8% + 月初换仓 + 换手×0.1%",
    "cost_site": 0.001,
    "IS": "<=20211231",
    "OOS": ">=20220101",
    "note": "主候选事先冻结 SKIP=21；邻域/成本只报告不回挑"
  },
  "primary": {
    "baseline": {
      "full": {
        "cagr": 12.5,
        "sharpe": 0.87,
        "mdd": -31.6,
        "vol": 14.8,
        "n": 3349
      },
      "IS": {
        "cagr": 18.3,
        "sharpe": 1.24,
        "mdd": -18.1,
        "vol": 14.4,
        "n": 2187
      },
      "OOS": {
        "cagr": 2.4,
        "sharpe": 0.23,
        "mdd": -29.9,
        "vol": 15.5,
        "n": 1162
      },
      "turn_mo": 0.255,
      "yearly": {
        "2013": {
          "cagr": 18.4,
          "sharpe": 0.94,
          "mdd": -13.7,
          "vol": 20.0,
          "n": 237
        },
        "2014": {
          "cagr": 26.5,
          "sharpe": 2.28,
          "mdd": -5.4,
          "vol": 10.6,
          "n": 245
        },
        "2015": {
          "cagr": 31.0,
          "sharpe": 1.6,
          "mdd": -9.2,
          "vol": 17.9,
          "n": 244
        },
        "2016": {
          "cagr": 20.7,
          "sharpe": 1.89,
          "mdd": -7.1,
          "vol": 10.2,
          "n": 244
        },
        "2017": {
          "cagr": 13.7,
          "sharpe": 1.63,
          "mdd": -5.2,
          "vol": 8.0,
          "n": 244
        },
        "2018": {
          "cagr": 0.1,
          "sharpe": 0.07,
          "mdd": -11.1,
          "vol": 12.4,
          "n": 243
        },
        "2019": {
          "cagr": 10.2,
          "sharpe": 1.3,
          "mdd": -8.3,
          "vol": 7.7,
          "n": 244
        },
        "2020": {
          "cagr": 44.7,
          "sharpe": 2.11,
          "mdd": -11.0,
          "vol": 18.3,
          "n": 243
        },
        "2021": {
          "cagr": 5.6,
          "sharpe": 0.39,
          "mdd": -18.1,
          "vol": 18.3,
          "n": 243
        },
        "2022": {
          "cagr": -11.0,
          "sharpe": -0.67,
          "mdd": -16.0,
          "vol": 15.7,
          "n": 242
        },
        "2023": {
          "cagr": -0.3,
          "sharpe": 0.04,
          "mdd": -9.7,
          "vol": 12.7,
          "n": 242
        },
        "2024": {
          "cagr": 8.3,
          "sharpe": 0.86,
          "mdd": -6.2,
          "vol": 9.9,
          "n": 242
        },
        "2025": {
          "cagr": 47.2,
          "sharpe": 2.89,
          "mdd": -8.7,
          "vol": 13.7,
          "n": 243
        },
        "2026": {
          "cagr": -25.2,
          "sharpe": -1.1,
          "mdd": -29.9,
          "vol": 23.8,
          "n": 193
        }
      }
    },
    "skip1m": {
      "full": {
        "cagr": 11.2,
        "sharpe": 0.81,
        "mdd": -24.5,
        "vol": 14.3,
        "n": 3349
      },
      "IS": {
        "cagr": 12.9,
        "sharpe": 0.9,
        "mdd": -24.5,
        "vol": 14.8,
        "n": 2187
      },
      "OOS": {
        "cagr": 8.0,
        "sharpe": 0.64,
        "mdd": -13.4,
        "vol": 13.3,
        "n": 1162
      },
      "turn_mo": 0.2871,
      "gate": {
        "n_mo": 166,
        "n_mo_diff": 122,
        "mo_diff_rate": 0.7349,
        "skip": 21
      },
      "yearly": {
        "2013": {
          "cagr": 5.0,
          "sharpe": 0.33,
          "mdd": -13.8,
          "vol": 21.3,
          "n": 237
        },
        "2014": {
          "cagr": 25.5,
          "sharpe": 2.24,
          "mdd": -6.9,
          "vol": 10.4,
          "n": 245
        },
        "2015": {
          "cagr": 22.8,
          "sharpe": 1.09,
          "mdd": -24.5,
          "vol": 20.8,
          "n": 244
        },
        "2016": {
          "cagr": 13.6,
          "sharpe": 1.67,
          "mdd": -6.5,
          "vol": 7.8,
          "n": 244
        },
        "2017": {
          "cagr": 10.5,
          "sharpe": 1.09,
          "mdd": -5.5,
          "vol": 9.6,
          "n": 244
        },
        "2018": {
          "cagr": -4.3,
          "sharpe": -0.27,
          "mdd": -12.4,
          "vol": 13.1,
          "n": 243
        },
        "2019": {
          "cagr": 16.7,
          "sharpe": 2.17,
          "mdd": -3.6,
          "vol": 7.2,
          "n": 244
        },
        "2020": {
          "cagr": 22.1,
          "sharpe": 1.38,
          "mdd": -17.2,
          "vol": 15.4,
          "n": 243
        },
        "2021": {
          "cagr": 7.2,
          "sharpe": 0.46,
          "mdd": -18.4,
          "vol": 19.2,
          "n": 243
        },
        "2022": {
          "cagr": -4.4,
          "sharpe": -0.24,
          "mdd": -13.1,
          "vol": 14.5,
          "n": 242
        },
        "2023": {
          "cagr": 12.6,
          "sharpe": 1.03,
          "mdd": -6.0,
          "vol": 12.2,
          "n": 242
        },
        "2024": {
          "cagr": 11.8,
          "sharpe": 1.15,
          "mdd": -7.8,
          "vol": 10.2,
          "n": 242
        },
        "2025": {
          "cagr": 8.0,
          "sharpe": 0.64,
          "mdd": -11.5,
          "vol": 13.4,
          "n": 243
        },
        "2026": {
          "cagr": 14.3,
          "sharpe": 0.89,
          "mdd": -13.4,
          "vol": 16.4,
          "n": 193
        }
      }
    },
    "oos_excess": {
      "ann_bp": 496.0,
      "ir": 0.336,
      "t": 0.734,
      "n": 1162
    },
    "delta_sharpe": {
      "IS": -0.34,
      "OOS": 0.41,
      "full": -0.06
    }
  },
  "cost_stress": {
    "5bp": {
      "baseline_OOS": {
        "cagr": 2.6,
        "sharpe": 0.25,
        "mdd": -29.8,
        "vol": 15.5,
        "n": 1162
      },
      "skip_OOS": {
        "cagr": 8.2,
        "sharpe": 0.66,
        "mdd": -13.3,
        "vol": 13.3,
        "n": 1162
      },
      "delta_sharpe_OOS": 0.41
    },
    "10bp": {
      "baseline_OOS": {
        "cagr": 2.4,
        "sharpe": 0.23,
        "mdd": -29.9,
        "vol": 15.5,
        "n": 1162
      },
      "skip_OOS": {
        "cagr": 8.0,
        "sharpe": 0.64,
        "mdd": -13.4,
        "vol": 13.3,
        "n": 1162
      },
      "delta_sharpe_OOS": 0.41
    },
    "20bp": {
      "baseline_OOS": {
        "cagr": 2.1,
        "sharpe": 0.21,
        "mdd": -30.1,
        "vol": 15.5,
        "n": 1162
      },
      "skip_OOS": {
        "cagr": 7.5,
        "sharpe": 0.61,
        "mdd": -13.5,
        "vol": 13.3,
        "n": 1162
      },
      "delta_sharpe_OOS": 0.4
    },
    "30bp": {
      "baseline_OOS": {
        "cagr": 1.7,
        "sharpe": 0.19,
        "mdd": -30.3,
        "vol": 15.5,
        "n": 1162
      },
      "skip_OOS": {
        "cagr": 7.0,
        "sharpe": 0.57,
        "mdd": -13.6,
        "vol": 13.4,
        "n": 1162
      },
      "delta_sharpe_OOS": 0.38
    }
  },
  "neighborhood": {
    "SKIP10": {
      "full": {
        "cagr": 13.4,
        "sharpe": 0.94,
        "mdd": -29.8,
        "vol": 14.4,
        "n": 3349
      },
      "IS": {
        "cagr": 13.6,
        "sharpe": 0.9,
        "mdd": -29.8,
        "vol": 15.5,
        "n": 2187
      },
      "OOS": {
        "cagr": 12.9,
        "sharpe": 1.06,
        "mdd": -14.6,
        "vol": 12.2,
        "n": 1162
      },
      "turn_mo": 0.2409,
      "gate": {
        "n_mo": 166,
        "n_mo_diff": 125,
        "mo_diff_rate": 0.753,
        "skip": 10
      },
      "yearly": {
        "2013": {
          "cagr": 7.1,
          "sharpe": 0.43,
          "mdd": -13.3,
          "vol": 20.8,
          "n": 237
        },
        "2014": {
          "cagr": 23.5,
          "sharpe": 2.09,
          "mdd": -9.2,
          "vol": 10.3,
          "n": 245
        },
        "2015": {
          "cagr": 10.9,
          "sharpe": 0.52,
          "mdd": -29.8,
          "vol": 27.0,
          "n": 244
        },
        "2016": {
          "cagr": 23.0,
          "sharpe": 2.22,
          "mdd": -7.0,
          "vol": 9.5,
          "n": 244
        },
        "2017": {
          "cagr": 16.4,
          "sharpe": 1.4,
          "mdd": -6.4,
          "vol": 11.3,
          "n": 244
        },
        "2018": {
          "cagr": 2.6,
          "sharpe": 0.27,
          "mdd": -10.8,
          "vol": 12.9,
          "n": 243
        },
        "2019": {
          "cagr": 16.2,
          "sharpe": 2.5,
          "mdd": -3.2,
          "vol": 6.1,
          "n": 244
        },
        "2020": {
          "cagr": 25.8,
          "sharpe": 1.43,
          "mdd": -14.0,
          "vol": 17.1,
          "n": 243
        },
        "2021": {
          "cagr": -0.1,
          "sharpe": 0.06,
          "mdd": -9.9,
          "vol": 13.7,
          "n": 243
        },
        "2022": {
          "cagr": -0.2,
          "sharpe": 0.06,
          "mdd": -13.9,
          "vol": 14.9,
          "n": 242
        },
        "2023": {
          "cagr": 12.2,
          "sharpe": 1.86,
          "mdd": -2.9,
          "vol": 6.3,
          "n": 242
        },
        "2024": {
          "cagr": 11.9,
          "sharpe": 1.33,
          "mdd": -5.2,
          "vol": 8.8,
          "n": 242
        },
        "2025": {
          "cagr": 22.2,
          "sharpe": 2.17,
          "mdd": -3.5,
          "vol": 9.4,
          "n": 243
        },
        "2026": {
          "cagr": 21.5,
          "sharpe": 1.11,
          "mdd": -14.6,
          "vol": 19.1,
          "n": 193
        }
      },
      "oos_excess": {
        "ann_bp": 928.9,
        "ir": 0.78,
        "t": 1.702,
        "n": 1162
      },
      "delta_sharpe_OOS": 0.83,
      "params": {
        "skip": 10
      },
      "is_primary": false
    },
    "SKIP21": {
      "full": {
        "cagr": 11.2,
        "sharpe": 0.81,
        "mdd": -24.5,
        "vol": 14.3,
        "n": 3349
      },
      "IS": {
        "cagr": 12.9,
        "sharpe": 0.9,
        "mdd": -24.5,
        "vol": 14.8,
        "n": 2187
      },
      "OOS": {
        "cagr": 8.0,
        "sharpe": 0.64,
        "mdd": -13.4,
        "vol": 13.3,
        "n": 1162
      },
      "turn_mo": 0.2871,
      "gate": {
        "n_mo": 166,
        "n_mo_diff": 122,
        "mo_diff_rate": 0.7349,
        "skip": 21
      },
      "yearly": {
        "2013": {
          "cagr": 5.0,
          "sharpe": 0.33,
          "mdd": -13.8,
          "vol": 21.3,
          "n": 237
        },
        "2014": {
          "cagr": 25.5,
          "sharpe": 2.24,
          "mdd": -6.9,
          "vol": 10.4,
          "n": 245
        },
        "2015": {
          "cagr": 22.8,
          "sharpe": 1.09,
          "mdd": -24.5,
          "vol": 20.8,
          "n": 244
        },
        "2016": {
          "cagr": 13.6,
          "sharpe": 1.67,
          "mdd": -6.5,
          "vol": 7.8,
          "n": 244
        },
        "2017": {
          "cagr": 10.5,
          "sharpe": 1.09,
          "mdd": -5.5,
          "vol": 9.6,
          "n": 244
        },
        "2018": {
          "cagr": -4.3,
          "sharpe": -0.27,
          "mdd": -12.4,
          "vol": 13.1,
          "n": 243
        },
        "2019": {
          "cagr": 16.7,
          "sharpe": 2.17,
          "mdd": -3.6,
          "vol": 7.2,
          "n": 244
        },
        "2020": {
          "cagr": 22.1,
          "sharpe": 1.38,
          "mdd": -17.2,
          "vol": 15.4,
          "n": 243
        },
        "2021": {
          "cagr": 7.2,
          "sharpe": 0.46,
          "mdd": -18.4,
          "vol": 19.2,
          "n": 243
        },
        "2022": {
          "cagr": -4.4,
          "sharpe": -0.24,
          "mdd": -13.1,
          "vol": 14.5,
          "n": 242
        },
        "2023": {
          "cagr": 12.6,
          "sharpe": 1.03,
          "mdd": -6.0,
          "vol": 12.2,
          "n": 242
        },
        "2024": {
          "cagr": 11.8,
          "sharpe": 1.15,
          "mdd": -7.8,
          "vol": 10.2,
          "n": 242
        },
        "2025": {
          "cagr": 8.0,
          "sharpe": 0.64,
          "mdd": -11.5,
          "vol": 13.4,
          "n": 243
        },
        "2026": {
          "cagr": 14.3,
          "sharpe": 0.89,
          "mdd": -13.4,
          "vol": 16.4,
          "n": 193
        }
      },
      "oos_excess": {
        "ann_bp": 496.0,
        "ir": 0.336,
        "t": 0.734,
        "n": 1162
      },
      "delta_sharpe_OOS": 0.41,
      "params": {
        "skip": 21
      },
      "is_primary": true
    },
    "SKIP42": {
      "full": {
        "cagr": 4.8,
        "sharpe": 0.39,
        "mdd": -31.2,
        "vol": 14.9,
        "n": 3349
      },
      "IS": {
        "cagr": 8.3,
        "sharpe": 0.6,
        "mdd": -31.2,
        "vol": 15.2,
        "n": 2187
      },
      "OOS": {
        "cagr": -1.5,
        "sharpe": -0.03,
        "mdd": -31.0,
        "vol": 14.2,
        "n": 1162
      },
      "turn_mo": 0.2509,
      "gate": {
        "n_mo": 166,
        "n_mo_diff": 138,
        "mo_diff_rate": 0.8313,
        "skip": 42
      },
      "yearly": {
        "2013": {
          "cagr": 2.5,
          "sharpe": 0.22,
          "mdd": -14.8,
          "vol": 20.1,
          "n": 237
        },
        "2014": {
          "cagr": 13.2,
          "sharpe": 1.2,
          "mdd": -8.8,
          "vol": 10.8,
          "n": 245
        },
        "2015": {
          "cagr": -1.3,
          "sharpe": 0.08,
          "mdd": -31.2,
          "vol": 26.4,
          "n": 244
        },
        "2016": {
          "cagr": 15.7,
          "sharpe": 2.44,
          "mdd": -2.5,
          "vol": 6.0,
          "n": 244
        },
        "2017": {
          "cagr": 20.6,
          "sharpe": 2.07,
          "mdd": -5.5,
          "vol": 9.3,
          "n": 244
        },
        "2018": {
          "cagr": -15.4,
          "sharpe": -1.05,
          "mdd": -28.6,
          "vol": 14.8,
          "n": 243
        },
        "2019": {
          "cagr": 16.3,
          "sharpe": 2.89,
          "mdd": -2.0,
          "vol": 5.3,
          "n": 244
        },
        "2020": {
          "cagr": 16.0,
          "sharpe": 0.96,
          "mdd": -18.4,
          "vol": 16.9,
          "n": 243
        },
        "2021": {
          "cagr": 12.5,
          "sharpe": 0.89,
          "mdd": -10.8,
          "vol": 14.5,
          "n": 243
        },
        "2022": {
          "cagr": -14.7,
          "sharpe": -1.02,
          "mdd": -19.4,
          "vol": 14.6,
          "n": 242
        },
        "2023": {
          "cagr": -6.5,
          "sharpe": -0.7,
          "mdd": -10.5,
          "vol": 9.1,
          "n": 242
        },
        "2024": {
          "cagr": 24.3,
          "sharpe": 1.93,
          "mdd": -5.6,
          "vol": 11.7,
          "n": 242
        },
        "2025": {
          "cagr": 12.7,
          "sharpe": 0.98,
          "mdd": -13.3,
          "vol": 13.1,
          "n": 243
        },
        "2026": {
          "cagr": -20.4,
          "sharpe": -0.95,
          "mdd": -31.0,
          "vol": 21.6,
          "n": 193
        }
      },
      "oos_excess": {
        "ann_bp": -406.7,
        "ir": -0.27,
        "t": -0.589,
        "n": 1162
      },
      "delta_sharpe_OOS": -0.26,
      "params": {
        "skip": 42
      },
      "is_primary": false
    }
  },
  "gate_activity": {
    "n_mo": 166,
    "n_mo_diff": 122,
    "mo_diff_rate": 0.7349,
    "turn_mo": 0.2871,
    "skip": 21,
    "sample_diff_months": [
      {
        "month": "201301",
        "base_ref": [
          "上证50",
          "红利",
          "消费"
        ],
        "picks": [
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          "红利",
          "上证50"
        ]
      },
      {
        "month": "201302",
        "base_ref": [
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          "红利",
          "消费"
        ],
        "picks": [
          "黄金·外",
          "红利",
          "上证50"
        ]
      },
      {
        "month": "201303",
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          "红利",
          "消费"
        ],
        "picks": [
          "消费",
          "红利",
          "上证50"
        ]
      },
      {
        "month": "201304",
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          "电子",
          "红利",
          "消费"
        ],
        "picks": [
          "消费",
          "电子",
          "上证50"
        ]
      },
      {
        "month": "201305",
        "base_ref": [
          "电子",
          "红利",
          "消费"
        ],
        "picks": [
          "消费",
          "电子",
          "沪深300"
        ]
      },
      {
        "month": "201306",
        "base_ref": [
          "电子",
          "深证100",
          "消费"
        ],
        "picks": [
          "消费",
          "电子",
          "沪深300"
        ]
      },
      {
        "month": "201307",
        "base_ref": [
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          "原油·外",
          "消费"
        ],
        "picks": [
          "消费",
          "电子",
          "沪深300"
        ]
      },
      {
        "month": "201308",
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          "电子",
          "深证100",
          "消费"
        ],
        "picks": [
          "消费",
          "电子",
          "原油·外"
        ]
      },
      {
        "month": "201309",
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          "电子",
          "恒生",
          "消费"
        ],
        "picks": [
          "消费",
          "电子",
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      {
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      },
      {
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        "picks": [
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      },
      {
        "month": "201804",
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        ],
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      },
      {
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      },
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    ],
    "n_sample_shown": 40,
    "oos_diff_months": [
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      "202305",
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      "202308",
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      "202310",
      "202311",
      "202312",
      "202402",
      "202405",
      "202406",
      "202407",
      "202408",
      "202409",
      "202410",
      "202411",
      "202412",
      "202501",
      "202502",
      "202503",
      "202504",
      "202505",
      "202506",
      "202507",
      "202508",
      "202509",
      "202510",
      "202511",
      "202512",
      "202601",
      "202602",
      "202603",
      "202604",
      "202605",
      "202606",
      "202607",
      "202608",
      "202609",
      "202610"
    ],
    "is_diff_months": [
      "201301",
      "201302",
      "201303",
      "201304",
      "201305",
      "201306",
      "201307",
      "201308",
      "201309",
      "201310",
      "201402",
      "201403",
      "201404",
      "201410",
      "201501",
      "201502",
      "201503",
      "201504",
      "201505",
      "201506",
      "201507",
      "201602",
      "201609",
      "201610",
      "201611",
      "201612",
      "201701",
      "201702",
      "201703",
      "201704",
      "201705",
      "201706",
      "201707",
      "201708",
      "201712",
      "201803",
      "201804",
      "201806",
      "201807",
      "201811",
      "201903",
      "201904",
      "201905",
      "201906",
      "201908",
      "201909",
      "201910",
      "201911",
      "201912",
      "202001",
      "202002",
      "202003",
      "202004",
      "202006",
      "202007",
      "202008",
      "202009",
      "202010",
      "202011",
      "202012",
      "202101",
      "202102",
      "202103",
      "202104",
      "202105",
      "202106",
      "202107",
      "202108",
      "202109",
      "202110",
      "202111",
      "202112"
    ]
  },
  "verdict": {
    "decision": "上影子",
    "reason": "OOS Sharpe 明显改善（Δ≳+0.05）、持仓实质不同、成本网格不抹平、邻域大体同向",
    "oos_delta_sharpe": 0.41,
    "oos_excess_ann_bp": 496.0,
    "mo_diff_rate": 0.7349,
    "cost_grid_flip": false,
    "neigh_same_dir": true
  }
}