{
  "version": "cn-etf-daily-rotation-v1",
  "generatedAt": "2026-08-05T14:53:42.120908+00:00",
  "mode": "DAILY_RESEARCH_ONLY_INTRADAY_NOT_VALIDATED_REAL_ORDERS_LOCKED",
  "dataset": {
    "archive": "/Users/zhuboyu/Desktop/龙门计划/投资/Quant/tushare_15000_history_by_api_packages_20260627/fund_daily/fund_daily.tar.gz",
    "symbols": [
      "510900.SH",
      "511010.SH",
      "518880.SH"
    ],
    "symbolNames": {
      "510900.SH": "H股ETF",
      "511010.SH": "国债ETF",
      "518880.SH": "黄金ETF"
    },
    "sessions": 3335,
    "start": "2012-10-22",
    "end": "2026-07-15",
    "rows": 9718
  },
  "method": {
    "signalTiming": "T日收盘后形成信号；最早T+1开盘执行",
    "returnPath": "持仓先计隔夜收益，开盘换仓并扣费，再计开盘至收盘收益",
    "selection": "仅校准期选前30；只用验证期选冠军；2022年后最终留出不参与选参",
    "costBpsPerOneWayTurnover": 10.0,
    "doubleCostStressBps": 20.0,
    "intradayClaim": false
  },
  "ranges": {
    "calibration": {
      "start": "2013-07-29",
      "end": "2017-12-31"
    },
    "validation": {
      "start": "2018-01-01",
      "end": "2021-12-31"
    },
    "finalHoldout": {
      "start": "2022-01-01",
      "end": "2026-07-15"
    },
    "fullResearch": {
      "start": "2012-10-22",
      "end": "2026-07-15"
    }
  },
  "configsEvaluated": 486,
  "winner": {
    "id": "ETF-D-40-120-R20-K2-E0.25-VP1",
    "config": {
      "fast": 40,
      "slow": 120,
      "rebalance": 20,
      "max_assets": 2,
      "exposure": 0.25,
      "vol_penalty": 1.0
    },
    "turnover": 16.75718,
    "calibration": {
      "observations": 1082,
      "totalReturn": 0.079697,
      "annualizedReturn": 0.018019,
      "annualizedVolatility": 0.018881,
      "sharpe": 0.955341,
      "maxDrawdown": -0.020964,
      "dailyWinRate": 0.439926,
      "positiveYearRate": 0.8,
      "yearly": {
        "2013": 0.0,
        "2014": 0.014294,
        "2015": 0.014322,
        "2016": 0.009648,
        "2017": 0.039424
      }
    },
    "validation": {
      "observations": 973,
      "totalReturn": 0.0294,
      "annualizedReturn": 0.007533,
      "annualizedVolatility": 0.019179,
      "sharpe": 0.400904,
      "maxDrawdown": -0.032641,
      "dailyWinRate": 0.510791,
      "positiveYearRate": 0.5,
      "yearly": {
        "2018": 0.035814,
        "2019": -0.008411,
        "2020": -0.000199,
        "2021": 0.002437
      }
    },
    "finalHoldout": {
      "observations": 1096,
      "totalReturn": 0.131254,
      "annualizedReturn": 0.028762,
      "annualizedVolatility": 0.035627,
      "sharpe": 0.81383,
      "maxDrawdown": -0.067518,
      "dailyWinRate": 0.531022,
      "positiveYearRate": 0.8,
      "yearly": {
        "2022": -0.002176,
        "2023": 0.016132,
        "2024": 0.029729,
        "2025": 0.079806,
        "2026": 0.003429
      }
    },
    "fullResearch": {
      "observations": 3335,
      "totalReturn": 0.257321,
      "annualizedReturn": 0.017453,
      "annualizedVolatility": 0.025299,
      "sharpe": 0.69662,
      "maxDrawdown": -0.067518,
      "dailyWinRate": 0.466267,
      "positiveYearRate": 0.666667,
      "yearly": {
        "2012": 0.0,
        "2013": 0.0,
        "2014": 0.014294,
        "2015": 0.014322,
        "2016": 0.009648,
        "2017": 0.039424,
        "2018": 0.035814,
        "2019": -0.008411,
        "2020": -0.000199,
        "2021": 0.002437,
        "2022": -0.002176,
        "2023": 0.016132,
        "2024": 0.029729,
        "2025": 0.079806,
        "2026": 0.003429
      }
    }
  },
  "winnerDoubleCostStress": {
    "calibration": {
      "observations": 1082,
      "totalReturn": 0.075561,
      "annualizedReturn": 0.01711,
      "annualizedVolatility": 0.018911,
      "sharpe": 0.906598,
      "maxDrawdown": -0.022571,
      "dailyWinRate": 0.439926,
      "positiveYearRate": 0.8,
      "yearly": {
        "2013": 0.0,
        "2014": 0.014022,
        "2015": 0.013677,
        "2016": 0.007362,
        "2017": 0.03873
      }
    },
    "validation": {
      "observations": 973,
      "totalReturn": 0.023052,
      "annualizedReturn": 0.00592,
      "annualizedVolatility": 0.019213,
      "sharpe": 0.316824,
      "maxDrawdown": -0.033822,
      "dailyWinRate": 0.507708,
      "positiveYearRate": 0.5,
      "yearly": {
        "2018": 0.034714,
        "2019": -0.01049,
        "2020": -0.002362,
        "2021": 0.001577
      }
    },
    "finalHoldout": {
      "observations": 1096,
      "totalReturn": 0.123656,
      "annualizedReturn": 0.027169,
      "annualizedVolatility": 0.035647,
      "sharpe": 0.769929,
      "maxDrawdown": -0.067529,
      "dailyWinRate": 0.529197,
      "positiveYearRate": 0.8,
      "yearly": {
        "2022": -0.003439,
        "2023": 0.014836,
        "2024": 0.027767,
        "2025": 0.077894,
        "2026": 0.002912
      }
    },
    "fullResearch": {
      "observations": 3335,
      "totalReturn": 0.236419,
      "annualizedReturn": 0.016165,
      "annualizedVolatility": 0.025323,
      "sharpe": 0.645966,
      "maxDrawdown": -0.067529,
      "dailyWinRate": 0.464768,
      "positiveYearRate": 0.666667,
      "yearly": {
        "2012": 0.0,
        "2013": 0.0,
        "2014": 0.014022,
        "2015": 0.013677,
        "2016": 0.007362,
        "2017": 0.03873,
        "2018": 0.034714,
        "2019": -0.01049,
        "2020": -0.002362,
        "2021": 0.001577,
        "2022": -0.003439,
        "2023": 0.014836,
        "2024": 0.027767,
        "2025": 0.077894,
        "2026": 0.002912
      }
    }
  },
  "equalWeightBenchmark": {
    "calibration": {
      "observations": 1082,
      "totalReturn": 0.206739,
      "annualizedReturn": 0.044739,
      "annualizedVolatility": 0.094272,
      "sharpe": 0.511325,
      "maxDrawdown": -0.167069,
      "dailyWinRate": 0.502773,
      "positiveYearRate": 0.6,
      "yearly": {
        "2013": -0.011918,
        "2014": 0.098182,
        "2015": -0.039175,
        "2016": 0.089086,
        "2017": 0.062771
      }
    },
    "validation": {
      "observations": 973,
      "totalReturn": 0.085637,
      "annualizedReturn": 0.021509,
      "annualizedVolatility": 0.07756,
      "sharpe": 0.313126,
      "maxDrawdown": -0.130835,
      "dailyWinRate": 0.530319,
      "positiveYearRate": 0.75,
      "yearly": {
        "2018": 0.014528,
        "2019": 0.133599,
        "2020": 0.026356,
        "2021": -0.080264
      }
    },
    "finalHoldout": {
      "observations": 1096,
      "totalReturn": 0.506225,
      "annualizedReturn": 0.098757,
      "annualizedVolatility": 0.108529,
      "sharpe": 0.922313,
      "maxDrawdown": -0.177057,
      "dailyWinRate": 0.530109,
      "positiveYearRate": 0.8,
      "yearly": {
        "2022": 0.017202,
        "2023": 0.02716,
        "2024": 0.225868,
        "2025": 0.247995,
        "2026": -0.057703
      }
    },
    "fullResearch": {
      "observations": 3335,
      "totalReturn": 0.834823,
      "annualizedReturn": 0.04693,
      "annualizedVolatility": 0.10044,
      "sharpe": 0.506885,
      "maxDrawdown": -0.192965,
      "dailyWinRate": 0.517241,
      "positiveYearRate": 0.733333,
      "yearly": {
        "2012": 0.042323,
        "2013": -0.118552,
        "2014": 0.098182,
        "2015": -0.039175,
        "2016": 0.089086,
        "2017": 0.062771,
        "2018": 0.014528,
        "2019": 0.133599,
        "2020": 0.026356,
        "2021": -0.080264,
        "2022": 0.017202,
        "2023": 0.02716,
        "2024": 0.225868,
        "2025": 0.247995,
        "2026": -0.057703
      }
    }
  },
  "topValidationCandidates": [
    {
      "id": "ETF-D-40-120-R20-K2-E0.25-VP1",
      "config": {
        "fast": 40,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.25,
        "vol_penalty": 1.0
      },
      "turnover": 16.75718,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.079697,
        "annualizedReturn": 0.018019,
        "annualizedVolatility": 0.018881,
        "sharpe": 0.955341,
        "maxDrawdown": -0.020964,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.009648,
          "2017": 0.039424
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.0294,
        "annualizedReturn": 0.007533,
        "annualizedVolatility": 0.019179,
        "sharpe": 0.400904,
        "maxDrawdown": -0.032641,
        "dailyWinRate": 0.510791,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.035814,
          "2019": -0.008411,
          "2020": -0.000199,
          "2021": 0.002437
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.131254,
        "annualizedReturn": 0.028762,
        "annualizedVolatility": 0.035627,
        "sharpe": 0.81383,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.531022,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.002176,
          "2023": 0.016132,
          "2024": 0.029729,
          "2025": 0.079806,
          "2026": 0.003429
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.257321,
        "annualizedReturn": 0.017453,
        "annualizedVolatility": 0.025299,
        "sharpe": 0.69662,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.466267,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.009648,
          "2017": 0.039424,
          "2018": 0.035814,
          "2019": -0.008411,
          "2020": -0.000199,
          "2021": 0.002437,
          "2022": -0.002176,
          "2023": 0.016132,
          "2024": 0.029729,
          "2025": 0.079806,
          "2026": 0.003429
        }
      }
    },
    {
      "id": "ETF-D-20-120-R20-K2-E0.25-VP0.5",
      "config": {
        "fast": 20,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.25,
        "vol_penalty": 0.5
      },
      "turnover": 15.67781,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.080951,
        "annualizedReturn": 0.018295,
        "annualizedVolatility": 0.019359,
        "sharpe": 0.946208,
        "maxDrawdown": -0.025844,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.01082,
          "2017": 0.039424
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.028335,
        "annualizedReturn": 0.007263,
        "annualizedVolatility": 0.019663,
        "sharpe": 0.377871,
        "maxDrawdown": -0.032641,
        "dailyWinRate": 0.514902,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.035814,
          "2019": -0.009437,
          "2020": -0.000199,
          "2021": 0.002437
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.156353,
        "annualizedReturn": 0.033966,
        "annualizedVolatility": 0.037029,
        "sharpe": 0.920672,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.536496,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.002176,
          "2023": 0.018174,
          "2024": 0.041222,
          "2025": 0.089393,
          "2026": 0.003429
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.28538,
        "annualizedReturn": 0.019151,
        "annualizedVolatility": 0.026174,
        "sharpe": 0.737911,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.469265,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.01082,
          "2017": 0.039424,
          "2018": 0.035814,
          "2019": -0.009437,
          "2020": -0.000199,
          "2021": 0.002437,
          "2022": -0.002176,
          "2023": 0.018174,
          "2024": 0.041222,
          "2025": 0.089393,
          "2026": 0.003429
        }
      }
    },
    {
      "id": "ETF-D-20-120-R10-K1-E0.25-VP1",
      "config": {
        "fast": 20,
        "slow": 120,
        "rebalance": 10,
        "max_assets": 1,
        "exposure": 0.25,
        "vol_penalty": 1.0
      },
      "turnover": 37.54475,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.139395,
        "annualizedReturn": 0.03086,
        "annualizedVolatility": 0.033497,
        "sharpe": 0.924074,
        "maxDrawdown": -0.034721,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.009601,
          "2015": 0.038361,
          "2016": 0.075555,
          "2017": 0.010516
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.045085,
        "annualizedReturn": 0.011487,
        "annualizedVolatility": 0.028817,
        "sharpe": 0.410755,
        "maxDrawdown": -0.047017,
        "dailyWinRate": 0.520041,
        "positiveYearRate": 0.75,
        "yearly": {
          "2018": 0.026591,
          "2019": 0.00554,
          "2020": 0.01898,
          "2021": -0.006451
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.12689,
        "annualizedReturn": 0.027848,
        "annualizedVolatility": 0.043357,
        "sharpe": 0.655267,
        "maxDrawdown": -0.06788,
        "dailyWinRate": 0.528285,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.006337,
          "2023": 0.025811,
          "2024": 0.009107,
          "2025": 0.093666,
          "2026": 0.001736
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.341861,
        "annualizedReturn": 0.022468,
        "annualizedVolatility": 0.034981,
        "sharpe": 0.652711,
        "maxDrawdown": -0.06788,
        "dailyWinRate": 0.468066,
        "positiveYearRate": 0.733333,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.009601,
          "2015": 0.038361,
          "2016": 0.075555,
          "2017": 0.010516,
          "2018": 0.026591,
          "2019": 0.00554,
          "2020": 0.01898,
          "2021": -0.006451,
          "2022": -0.006337,
          "2023": 0.025811,
          "2024": 0.009107,
          "2025": 0.093666,
          "2026": 0.001736
        }
      }
    },
    {
      "id": "ETF-D-20-120-R20-K2-E0.25-VP1",
      "config": {
        "fast": 20,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.25,
        "vol_penalty": 1.0
      },
      "turnover": 16.74502,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.079697,
        "annualizedReturn": 0.018019,
        "annualizedVolatility": 0.018881,
        "sharpe": 0.955341,
        "maxDrawdown": -0.020964,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.009648,
          "2017": 0.039424
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.027053,
        "annualizedReturn": 0.006937,
        "annualizedVolatility": 0.019586,
        "sharpe": 0.362777,
        "maxDrawdown": -0.032641,
        "dailyWinRate": 0.512847,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.035814,
          "2019": -0.010673,
          "2020": -0.000199,
          "2021": 0.002437
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.136183,
        "annualizedReturn": 0.029791,
        "annualizedVolatility": 0.034948,
        "sharpe": 0.857568,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.537409,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.002176,
          "2023": 0.016132,
          "2024": 0.031262,
          "2025": 0.082899,
          "2026": 0.003429
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.25992,
        "annualizedReturn": 0.017612,
        "annualizedVolatility": 0.025079,
        "sharpe": 0.708737,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.468966,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.009648,
          "2017": 0.039424,
          "2018": 0.035814,
          "2019": -0.010673,
          "2020": -0.000199,
          "2021": 0.002437,
          "2022": -0.002176,
          "2023": 0.016132,
          "2024": 0.031262,
          "2025": 0.082899,
          "2026": 0.003429
        }
      }
    },
    {
      "id": "ETF-D-40-120-R20-K2-E0.25-VP0.5",
      "config": {
        "fast": 40,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.25,
        "vol_penalty": 0.5
      },
      "turnover": 17.26638,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.079697,
        "annualizedReturn": 0.018019,
        "annualizedVolatility": 0.018881,
        "sharpe": 0.955341,
        "maxDrawdown": -0.020964,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.009648,
          "2017": 0.039424
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.025392,
        "annualizedReturn": 0.006515,
        "annualizedVolatility": 0.019404,
        "sharpe": 0.344391,
        "maxDrawdown": -0.032641,
        "dailyWinRate": 0.512847,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.035814,
          "2019": -0.012273,
          "2020": -0.000199,
          "2021": 0.002437
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.135399,
        "annualizedReturn": 0.029627,
        "annualizedVolatility": 0.03677,
        "sharpe": 0.812529,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.533759,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.002176,
          "2023": 0.013908,
          "2024": 0.03498,
          "2025": 0.08063,
          "2026": 0.003429
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.257014,
        "annualizedReturn": 0.017434,
        "annualizedVolatility": 0.025881,
        "sharpe": 0.680827,
        "maxDrawdown": -0.067518,
        "dailyWinRate": 0.467766,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.014294,
          "2015": 0.014322,
          "2016": 0.009648,
          "2017": 0.039424,
          "2018": 0.035814,
          "2019": -0.012273,
          "2020": -0.000199,
          "2021": 0.002437,
          "2022": -0.002176,
          "2023": 0.013908,
          "2024": 0.03498,
          "2025": 0.08063,
          "2026": 0.003429
        }
      }
    },
    {
      "id": "ETF-D-40-120-R20-K2-E0.75-VP1",
      "config": {
        "fast": 40,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.75,
        "vol_penalty": 1.0
      },
      "turnover": 35.59634,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.162964,
        "annualizedReturn": 0.035787,
        "annualizedVolatility": 0.037933,
        "sharpe": 0.945942,
        "maxDrawdown": -0.04058,
        "dailyWinRate": 0.44085,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027886,
          "2016": 0.039313,
          "2017": 0.061213
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.061337,
        "annualizedReturn": 0.015537,
        "annualizedVolatility": 0.040181,
        "sharpe": 0.403845,
        "maxDrawdown": -0.05857,
        "dailyWinRate": 0.511819,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.062425,
          "2019": -0.001122,
          "2020": 0.000127,
          "2021": -2.8e-05
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.419205,
        "annualizedReturn": 0.083825,
        "annualizedVolatility": 0.080402,
        "sharpe": 1.041722,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.512774,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.003272,
          "2023": 0.032792,
          "2024": 0.088598,
          "2025": 0.259965,
          "2026": 0.005146
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.75172,
        "annualizedReturn": 0.04327,
        "annualizedVolatility": 0.055352,
        "sharpe": 0.793126,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.46087,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027886,
          "2016": 0.039313,
          "2017": 0.061213,
          "2018": 0.062425,
          "2019": -0.001122,
          "2020": 0.000127,
          "2021": -2.8e-05,
          "2022": -0.003272,
          "2023": 0.032792,
          "2024": 0.088598,
          "2025": 0.259965,
          "2026": 0.005146
        }
      }
    },
    {
      "id": "ETF-D-40-120-R20-K2-E0.5-VP1",
      "config": {
        "fast": 40,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.5,
        "vol_penalty": 1.0
      },
      "turnover": 29.1104,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.150681,
        "annualizedReturn": 0.033229,
        "annualizedVolatility": 0.034598,
        "sharpe": 0.962147,
        "maxDrawdown": -0.03853,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027205,
          "2016": 0.020913,
          "2017": 0.069637
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.051803,
        "annualizedReturn": 0.013167,
        "annualizedVolatility": 0.03499,
        "sharpe": 0.391383,
        "maxDrawdown": -0.055385,
        "dailyWinRate": 0.510791,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.064436,
          "2019": -0.01306,
          "2020": -0.001226,
          "2021": 0.002437
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.268433,
        "annualizedReturn": 0.056195,
        "annualizedVolatility": 0.065906,
        "sharpe": 0.862804,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.510036,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.002176,
          "2023": 0.023139,
          "2024": 0.059733,
          "2025": 0.166416,
          "2026": 0.005146
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.535172,
        "annualizedReturn": 0.032919,
        "annualizedVolatility": 0.046616,
        "sharpe": 0.718273,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.45937,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027205,
          "2016": 0.020913,
          "2017": 0.069637,
          "2018": 0.064436,
          "2019": -0.01306,
          "2020": -0.001226,
          "2021": 0.002437,
          "2022": -0.002176,
          "2023": 0.023139,
          "2024": 0.059733,
          "2025": 0.166416,
          "2026": 0.005146
        }
      }
    },
    {
      "id": "ETF-D-20-120-R20-K2-E0.5-VP0.5",
      "config": {
        "fast": 20,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.5,
        "vol_penalty": 0.5
      },
      "turnover": 26.95563,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.153344,
        "annualizedReturn": 0.033785,
        "annualizedVolatility": 0.035628,
        "sharpe": 0.950467,
        "maxDrawdown": -0.048052,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027205,
          "2016": 0.023276,
          "2017": 0.069637
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.049599,
        "annualizedReturn": 0.012616,
        "annualizedVolatility": 0.03605,
        "sharpe": 0.365846,
        "maxDrawdown": -0.055385,
        "dailyWinRate": 0.514902,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.064436,
          "2019": -0.015129,
          "2020": -0.001226,
          "2021": 0.002437
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.324854,
        "annualizedReturn": 0.066817,
        "annualizedVolatility": 0.068923,
        "sharpe": 0.973197,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.515511,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.002176,
          "2023": 0.027225,
          "2024": 0.083187,
          "2025": 0.187179,
          "2026": 0.005146
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.6038,
        "annualizedReturn": 0.036338,
        "annualizedVolatility": 0.048506,
        "sharpe": 0.76028,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.462369,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027205,
          "2016": 0.023276,
          "2017": 0.069637,
          "2018": 0.064436,
          "2019": -0.015129,
          "2020": -0.001226,
          "2021": 0.002437,
          "2022": -0.002176,
          "2023": 0.027225,
          "2024": 0.083187,
          "2025": 0.187179,
          "2026": 0.005146
        }
      }
    },
    {
      "id": "ETF-D-20-120-R20-K2-E0.5-VP1",
      "config": {
        "fast": 20,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.5,
        "vol_penalty": 1.0
      },
      "turnover": 29.08442,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.150681,
        "annualizedReturn": 0.033229,
        "annualizedVolatility": 0.034598,
        "sharpe": 0.962147,
        "maxDrawdown": -0.03853,
        "dailyWinRate": 0.439926,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027205,
          "2016": 0.020913,
          "2017": 0.069637
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.046979,
        "annualizedReturn": 0.011961,
        "annualizedVolatility": 0.035881,
        "sharpe": 0.349356,
        "maxDrawdown": -0.055385,
        "dailyWinRate": 0.512847,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.064436,
          "2019": -0.017587,
          "2020": -0.001226,
          "2021": 0.002437
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.279562,
        "annualizedReturn": 0.058318,
        "annualizedVolatility": 0.064453,
        "sharpe": 0.911955,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.516423,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.002176,
          "2023": 0.023139,
          "2024": 0.062938,
          "2025": 0.173102,
          "2026": 0.005146
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.541538,
        "annualizedReturn": 0.033242,
        "annualizedVolatility": 0.046146,
        "sharpe": 0.731896,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.462069,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027205,
          "2016": 0.020913,
          "2017": 0.069637,
          "2018": 0.064436,
          "2019": -0.017587,
          "2020": -0.001226,
          "2021": 0.002437,
          "2022": -0.002176,
          "2023": 0.023139,
          "2024": 0.062938,
          "2025": 0.173102,
          "2026": 0.005146
        }
      }
    },
    {
      "id": "ETF-D-20-120-R20-K2-E0.75-VP1",
      "config": {
        "fast": 20,
        "slow": 120,
        "rebalance": 20,
        "max_assets": 2,
        "exposure": 0.75,
        "vol_penalty": 1.0
      },
      "turnover": 35.63401,
      "calibration": {
        "observations": 1082,
        "totalReturn": 0.162964,
        "annualizedReturn": 0.035787,
        "annualizedVolatility": 0.037933,
        "sharpe": 0.945942,
        "maxDrawdown": -0.04058,
        "dailyWinRate": 0.44085,
        "positiveYearRate": 0.8,
        "yearly": {
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027886,
          "2016": 0.039313,
          "2017": 0.061213
        }
      },
      "validation": {
        "observations": 973,
        "totalReturn": 0.054709,
        "annualizedReturn": 0.013891,
        "annualizedVolatility": 0.041924,
        "sharpe": 0.350054,
        "maxDrawdown": -0.05857,
        "dailyWinRate": 0.513875,
        "positiveYearRate": 0.5,
        "yearly": {
          "2018": 0.062425,
          "2019": -0.00736,
          "2020": 0.000127,
          "2021": -2.8e-05
        }
      },
      "finalHoldout": {
        "observations": 1096,
        "totalReturn": 0.435965,
        "annualizedReturn": 0.086755,
        "annualizedVolatility": 0.077802,
        "sharpe": 1.108607,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.516423,
        "positiveYearRate": 0.8,
        "yearly": {
          "2022": -0.003272,
          "2023": 0.032792,
          "2024": 0.092184,
          "2025": 0.27066,
          "2026": 0.005146
        }
      },
      "fullResearch": {
        "observations": 3335,
        "totalReturn": 0.761337,
        "annualizedReturn": 0.043702,
        "annualizedVolatility": 0.054505,
        "sharpe": 0.812187,
        "maxDrawdown": -0.119225,
        "dailyWinRate": 0.462669,
        "positiveYearRate": 0.666667,
        "yearly": {
          "2012": 0.0,
          "2013": 0.0,
          "2014": 0.025823,
          "2015": 0.027886,
          "2016": 0.039313,
          "2017": 0.061213,
          "2018": 0.062425,
          "2019": -0.00736,
          "2020": 0.000127,
          "2021": -2.8e-05,
          "2022": -0.003272,
          "2023": 0.032792,
          "2024": 0.092184,
          "2025": 0.27066,
          "2026": 0.005146
        }
      }
    }
  ],
  "gates": {
    "allowedForDailyShadow": true,
    "allowedForIntradayParameterPromotion": false,
    "allowedForRealCapital": false,
    "blockers": [
      "没有ETF历史分钟正文，日线结果不能验证60分钟EMA/VWAP日内策略",
      "没有历史IOPV与券商Level-2队列",
      "必须先经历新的前向影子样本与人工复核"
    ]
  }
}
