{
  "version": "cn-large-sample-challenger-v3",
  "generatedAt": "2026-08-05T02:06:16.302Z",
  "status": "PRELIMINARY_CHALLENGER__NOT_PROMOTABLE",
  "dataset": {
    "cachedAStocks": 255,
    "totalRows": 610246,
    "venues": [
      "SSE"
    ],
    "firstDate": "2016-08-03",
    "lastDate": "2026-08-03",
    "pointInTime": false,
    "delistedIncluded": false,
    "selectionBias": "首批沪市代码顺序样本；不是全量分层样本"
  },
  "methodology": {
    "candidates": 32,
    "calibration": {
      "start": "2017-01-01",
      "end": "2019-12-31"
    },
    "validation": {
      "start": "2020-01-01",
      "end": "2024-12-31"
    },
    "finalHoldout": {
      "start": "2025-01-01",
      "end": "2026-08-03"
    },
    "eligibleValidationCandidates": 0,
    "finalHoldoutUsedForSelection": false
  },
  "challenger": {
    "config": {
      "id": "L200-R20-K20-E0.35-B0.4",
      "lookback": 200,
      "rebalanceDays": 20,
      "topK": 20,
      "exposure": 0.35,
      "minimumBreadth": 0.4,
      "maxWeight": 0.04
    },
    "calibration": {
      "totalReturn": 0.009651,
      "annualizedReturn": 0.003843,
      "annualizedVolatility": 0.049145,
      "sharpe": 0.102609,
      "sortino": 0.075742,
      "maxDrawdown": -0.097604,
      "positiveYearRate": 0.333333,
      "annualTurnover": 1.416815,
      "observations": 631
    },
    "validation": {
      "totalReturn": 0.092871,
      "annualizedReturn": 0.018637,
      "annualizedVolatility": 0.066745,
      "sharpe": 0.310039,
      "sortino": 0.219843,
      "maxDrawdown": -0.099151,
      "positiveYearRate": 0.2,
      "annualTurnover": 1.306462,
      "observations": 1212
    },
    "finalHoldout": {
      "totalReturn": 0.054936,
      "annualizedReturn": 0.03591,
      "annualizedVolatility": 0.071433,
      "sharpe": 0.529597,
      "sortino": 0.694596,
      "maxDrawdown": -0.058082,
      "positiveYearRate": 0.5,
      "annualTurnover": 3.754636,
      "observations": 382
    },
    "fullResearch": {
      "totalReturn": 0.092871,
      "annualizedReturn": 0.014139,
      "annualizedVolatility": 0.058197,
      "sharpe": 0.270362,
      "sortino": 0.167158,
      "maxDrawdown": -0.099151,
      "positiveYearRate": 0.142857,
      "annualTurnover": 0.99337,
      "observations": 1594
    },
    "cost2x": {
      "totalReturn": 0.083649,
      "annualizedReturn": 0.012781,
      "annualizedVolatility": 0.058175,
      "sharpe": 0.247415,
      "sortino": 0.153697,
      "maxDrawdown": -0.09934,
      "positiveYearRate": 0.142857,
      "annualTurnover": 0.99337,
      "observations": 1594
    }
  },
  "promotion": {
    "allowed": false,
    "blockers": [
      "未完成全量沪深北与ETF回填",
      "未包含退市/历史ST/停复牌点时样本",
      "首批样本按代码排序，行业与交易所覆盖不均",
      "日内ETF仍缺券商级分钟/逐笔和IOPV"
    ]
  }
}