{
  "version": "cn-index-regime-challenger-v1",
  "generatedAt": "2026-08-05T06:05:47.740Z",
  "status": "RESEARCH_ONLY__ETF_MAPPING_AND_FORWARD_TEST_REQUIRED",
  "dataset": {
    "source": "TuShare兼容接口指数日线",
    "symbols": [
      "000001.SH",
      "000300.SH",
      "399006.SZ"
    ],
    "dates": 8696,
    "firstDate": "1990-12-19",
    "lastDate": "2026-08-04"
  },
  "methodology": {
    "candidates": 648,
    "calibration": {
      "start": "2017-01-01",
      "end": "2019-12-31"
    },
    "validation": {
      "start": "2020-01-01",
      "end": "2024-12-31"
    },
    "finalHoldout": {
      "start": "2025-01-01",
      "end": "2026-08-05"
    },
    "signal": "指数绝对动量+相对动量+波动率目标；T日收盘信号，T+1开盘执行；单边15bp及成本翻倍",
    "finalHoldoutUsedForSelection": false
  },
  "challenger": {
    "config": {
      "id": "IDX-L120-R5-K1-E0.5-TV0.08-M0.05",
      "lookback": 120,
      "rebalanceDays": 5,
      "topK": 1,
      "maxExposure": 0.5,
      "targetVolatility": 0.08,
      "minimumMomentum": 0.05
    },
    "calibration": {
      "totalReturn": 0.036341,
      "annualizedReturn": 0.012382,
      "annualizedVolatility": 0.032262,
      "sharpe": 0.397553,
      "sortino": 0.414401,
      "maxDrawdown": -0.056909,
      "activeDayWinRate": 0.52518,
      "activeObservations": 417,
      "positiveYearRate": 0.333333,
      "observations": 731,
      "yearly": [
        {
          "year": "2017",
          "return": 0.05038
        },
        {
          "year": "2018",
          "return": -0.005569
        },
        {
          "year": "2019",
          "return": -0.007841
        }
      ]
    },
    "validation": {
      "totalReturn": 0.071232,
      "annualizedReturn": 0.01441,
      "annualizedVolatility": 0.031692,
      "sharpe": 0.467297,
      "sortino": 0.428126,
      "maxDrawdown": -0.062183,
      "activeDayWinRate": 0.526667,
      "activeObservations": 600,
      "positiveYearRate": 0.6,
      "observations": 1212,
      "yearly": [
        {
          "year": "2020",
          "return": 0.097462
        },
        {
          "year": "2021",
          "return": 0.022369
        },
        {
          "year": "2022",
          "return": 0.00136
        },
        {
          "year": "2023",
          "return": -0.008934
        },
        {
          "year": "2024",
          "return": -0.037959
        }
      ]
    },
    "validationCost2x": {
      "totalReturn": 0.061661,
      "annualizedReturn": 0.012519,
      "annualizedVolatility": 0.031738,
      "sharpe": 0.407871,
      "sortino": 0.374691,
      "maxDrawdown": -0.068434,
      "activeDayWinRate": 0.523333,
      "activeObservations": 600,
      "positiveYearRate": 0.6,
      "observations": 1212,
      "yearly": [
        {
          "year": "2020",
          "return": 0.09537
        },
        {
          "year": "2021",
          "return": 0.019678
        },
        {
          "year": "2022",
          "return": 0.000889
        },
        {
          "year": "2023",
          "return": -0.010022
        },
        {
          "year": "2024",
          "return": -0.040709
        }
      ]
    },
    "finalHoldout": {
      "totalReturn": 0.03326,
      "annualizedReturn": 0.021704,
      "annualizedVolatility": 0.040811,
      "sharpe": 0.546498,
      "sortino": 0.707149,
      "maxDrawdown": -0.027641,
      "activeDayWinRate": 0.493377,
      "activeObservations": 302,
      "positiveYearRate": 0.5,
      "observations": 384,
      "yearly": [
        {
          "year": "2025",
          "return": 0.050709
        },
        {
          "year": "2026",
          "return": -0.016607
        }
      ]
    },
    "fullResearch": {
      "totalReturn": 0.147085,
      "annualizedReturn": 0.014971,
      "annualizedVolatility": 0.033524,
      "sharpe": 0.460057,
      "sortino": 0.471422,
      "maxDrawdown": -0.065584,
      "activeDayWinRate": 0.518575,
      "activeObservations": 1319,
      "positiveYearRate": 0.5,
      "observations": 2327,
      "yearly": [
        {
          "year": "2017",
          "return": 0.05038
        },
        {
          "year": "2018",
          "return": -0.005569
        },
        {
          "year": "2019",
          "return": -0.007841
        },
        {
          "year": "2020",
          "return": 0.097462
        },
        {
          "year": "2021",
          "return": 0.022369
        },
        {
          "year": "2022",
          "return": 0.00136
        },
        {
          "year": "2023",
          "return": -0.008934
        },
        {
          "year": "2024",
          "return": -0.037959
        },
        {
          "year": "2025",
          "return": 0.050709
        },
        {
          "year": "2026",
          "return": -0.016607
        }
      ]
    }
  },
  "gates": {
    "eligibleCandidates": 0,
    "allowedForLiveCapital": false,
    "blockers": [
      "没有候选通过验证期收益、Sharpe、回撤、正收益年份和成本翻倍门槛",
      "指数收益必须映射到点时可交易ETF并重新计入跟踪误差、折溢价、申赎与真实成交摩擦",
      "至少60个新交易日前向影子样本和人工批准"
    ]
  }
}