{
  "version": "etf-full-universe-intraday-challenger-v1",
  "generatedAt": "2026-08-06T15:57:25.898840+00:00",
  "dataRoot": "/Users/zhuboyu/Desktop/龙门计划/投资/Quant/指数与ETF数据",
  "featureCache": "research/cache/etf-intraday-features-v1.parquet",
  "featureRows": 225096,
  "dateRange": {
    "start": "20121022",
    "end": "20260806",
    "tradingDays": 3350
  },
  "universe": {
    "currentOfficialVerifiedT0": 227,
    "pointInTimeListingDateApplied": true,
    "historicalMembershipComplete": false
  },
  "selection": {
    "parameterConfigurations": 64,
    "calibrationTopKept": 12,
    "finalHoldoutUsedForSelection": false
  },
  "winner": {
    "id": "ETF-I-TREND-T0.003-M20-K3-E0.25-D1",
    "config": {
      "mode": "TREND",
      "threshold": 0.003,
      "momentumDays": 20,
      "maxAssets": 3,
      "exposure": 0.25,
      "delayMinutes": 1,
      "costBps": 5.0,
      "maxParticipation": 0.01
    },
    "calibration": {
      "observations": 971,
      "totalReturn": -0.008605,
      "annualizedReturn": -0.00224,
      "annualizedVolatility": 0.005462,
      "sharpe": -0.407893,
      "sortino": -0.527792,
      "maxDrawdown": -0.015869,
      "tradeDays": 91,
      "trades": 96,
      "tradeWinRate": 0.385417,
      "positiveYearRate": 0.0,
      "yearly": {
        "2013": -0.000152,
        "2014": -0.000779,
        "2015": -0.003218,
        "2016": -0.004477
      },
      "regimes": {
        "BEAR": {
          "observations": 3,
          "meanDailyReturn": 0.0,
          "positiveDayRate": 0.0
        },
        "BULL": {
          "observations": 43,
          "meanDailyReturn": 0.0,
          "positiveDayRate": 0.0
        },
        "SIDEWAYS": {
          "observations": 925,
          "meanDailyReturn": -9.28e-06,
          "positiveDayRate": 0.037838
        }
      }
    },
    "validation": {
      "observations": 730,
      "totalReturn": -0.051517,
      "annualizedReturn": -0.018093,
      "annualizedVolatility": 0.010822,
      "sharpe": -1.681623,
      "sortino": -2.026934,
      "maxDrawdown": -0.058244,
      "tradeDays": 227,
      "trades": 324,
      "tradeWinRate": 0.416667,
      "positiveYearRate": 0.0,
      "yearly": {
        "2018": -0.011685,
        "2019": -0.023314,
        "2020": -0.017394
      },
      "regimes": {
        "BEAR": {
          "observations": 13,
          "meanDailyReturn": -1.954e-05,
          "positiveDayRate": 0.0
        },
        "BULL": {
          "observations": 19,
          "meanDailyReturn": -0.00015327,
          "positiveDayRate": 0.315789
        },
        "SIDEWAYS": {
          "observations": 698,
          "meanDailyReturn": -7.099e-05,
          "positiveDayRate": 0.127507
        }
      }
    },
    "finalHoldout": {
      "observations": 1112,
      "totalReturn": -0.347987,
      "annualizedReturn": -0.092374,
      "annualizedVolatility": 0.033939,
      "sharpe": -2.838214,
      "sortino": -3.619567,
      "maxDrawdown": -0.350348,
      "tradeDays": 841,
      "trades": 2121,
      "tradeWinRate": 0.380952,
      "positiveYearRate": 0.0,
      "yearly": {
        "2022": -0.040255,
        "2023": -0.059265,
        "2024": -0.103203,
        "2025": -0.070665,
        "2026": -0.133504
      },
      "regimes": {
        "BEAR": {
          "observations": 97,
          "meanDailyReturn": -0.00013065,
          "positiveDayRate": 0.154639
        },
        "BULL": {
          "observations": 267,
          "meanDailyReturn": -0.00047245,
          "positiveDayRate": 0.329588
        },
        "SIDEWAYS": {
          "observations": 748,
          "meanDailyReturn": -0.00038268,
          "positiveDayRate": 0.276738
        }
      }
    },
    "fullResearch": {
      "observations": 3350,
      "totalReturn": -0.415973,
      "annualizedReturn": -0.039649,
      "annualizedVolatility": 0.021043,
      "sharpe": -1.911849,
      "sortino": -2.330357,
      "maxDrawdown": -0.421153,
      "tradeDays": 1321,
      "trades": 2788,
      "tradeWinRate": 0.383788,
      "positiveYearRate": 0.0,
      "yearly": {
        "2012": 0.0,
        "2013": -0.000152,
        "2014": -0.000779,
        "2015": -0.003218,
        "2016": -0.004477,
        "2017": -0.006677,
        "2018": -0.011685,
        "2019": -0.023314,
        "2020": -0.017394,
        "2021": -0.041019,
        "2022": -0.040255,
        "2023": -0.059265,
        "2024": -0.103203,
        "2025": -0.070665,
        "2026": -0.133504
      },
      "regimes": {
        "BEAR": {
          "observations": 114,
          "meanDailyReturn": -0.00011277,
          "positiveDayRate": 0.140351
        },
        "BULL": {
          "observations": 330,
          "meanDailyReturn": -0.00039108,
          "positiveDayRate": 0.284848
        },
        "SIDEWAYS": {
          "observations": 2906,
          "meanDailyReturn": -0.0001352,
          "positiveDayRate": 0.133517
        }
      }
    }
  },
  "costStressFinalHoldout": {
    "1x": {
      "observations": 1112,
      "totalReturn": -0.347987,
      "annualizedReturn": -0.092374,
      "annualizedVolatility": 0.033939,
      "sharpe": -2.838214,
      "sortino": -3.619567,
      "maxDrawdown": -0.350348,
      "tradeDays": 841,
      "trades": 2121,
      "tradeWinRate": 0.380952,
      "positiveYearRate": 0.0,
      "yearly": {
        "2022": -0.040255,
        "2023": -0.059265,
        "2024": -0.103203,
        "2025": -0.070665,
        "2026": -0.133504
      },
      "regimes": {
        "BEAR": {
          "observations": 97,
          "meanDailyReturn": -0.00013065,
          "positiveDayRate": 0.154639
        },
        "BULL": {
          "observations": 267,
          "meanDailyReturn": -0.00047245,
          "positiveDayRate": 0.329588
        },
        "SIDEWAYS": {
          "observations": 748,
          "meanDailyReturn": -0.00038268,
          "positiveDayRate": 0.276738
        }
      }
    },
    "2x": {
      "observations": 1112,
      "totalReturn": -0.457508,
      "annualizedReturn": -0.12942,
      "annualizedVolatility": 0.035062,
      "sharpe": -3.93418,
      "sortino": -4.874853,
      "maxDrawdown": -0.45878,
      "tradeDays": 844,
      "trades": 2139,
      "tradeWinRate": 0.329593,
      "positiveYearRate": 0.0,
      "yearly": {
        "2022": -0.058897,
        "2023": -0.08328,
        "2024": -0.142825,
        "2025": -0.118992,
        "2026": -0.167334
      },
      "regimes": {
        "BEAR": {
          "observations": 97,
          "meanDailyReturn": -0.00020435,
          "positiveDayRate": 0.113402
        },
        "BULL": {
          "observations": 267,
          "meanDailyReturn": -0.00069068,
          "positiveDayRate": 0.29588
        },
        "SIDEWAYS": {
          "observations": 748,
          "meanDailyReturn": -0.00054072,
          "positiveDayRate": 0.233957
        }
      }
    },
    "3x": {
      "observations": 1112,
      "totalReturn": -0.55375,
      "annualizedReturn": -0.16711,
      "annualizedVolatility": 0.03621,
      "sharpe": -5.029806,
      "sortino": -6.079729,
      "maxDrawdown": -0.554409,
      "tradeDays": 850,
      "trades": 2157,
      "tradeWinRate": 0.288827,
      "positiveYearRate": 0.0,
      "yearly": {
        "2022": -0.078466,
        "2023": -0.108664,
        "2024": -0.183261,
        "2025": -0.167848,
        "2026": -0.200645
      },
      "regimes": {
        "BEAR": {
          "observations": 97,
          "meanDailyReturn": -0.00028242,
          "positiveDayRate": 0.103093
        },
        "BULL": {
          "observations": 267,
          "meanDailyReturn": -0.00091933,
          "positiveDayRate": 0.280899
        },
        "SIDEWAYS": {
          "observations": 748,
          "meanDailyReturn": -0.00070966,
          "positiveDayRate": 0.201872
        }
      }
    }
  },
  "gates": {
    "holdoutAnnualizedPositive": false,
    "holdoutMaxDrawdownWithin15Pct": false,
    "holdoutTradeSampleAtLeast200": true,
    "holdoutPositiveYearRateAtLeast60Pct": false,
    "doubleCostAnnualizedPositive": false,
    "completeHistoricalOfficialT0Membership": false,
    "brokerLevel2AndIopv": false
  },
  "passedNumericalGates": false,
  "promotion": "BLOCKED",
  "promotionReasons": [
    "缺少完整历史逐日官方T+0成员快照，仍存在当前成分幸存者偏差。",
    "缺少券商Level-2真实队列、历史IOPV与真实委托回报。",
    "挑战者必须经过至少60个新交易日前向影子测试和人工批准。"
  ],
  "realOrders": 0
}
