{ "version": "local-archive-streaming-optimizer-v1", "generatedAt": "2026-08-05T11:09:11.920891+00:00", "mode": "RESEARCH_ONLY_REAL_ORDERS_LOCKED", "dataset": { "primary": "/Users/zhuboyu/Desktop/龙门计划/投资/Quant/tushare_15000_history_by_api_packages_20260627/daily/daily.tar.gz", "pointInTimeDailyValuation": "/Users/zhuboyu/Desktop/龙门计划/投资/Quant/tushare_15000_history_by_api_packages_20260627/daily_basic/daily_basic.tar.gz", "sessions": 6428, "start": "2000-01-04", "end": "2026-07-15", "rows": 17167127, "dailyValuationRows": 17078327, "securitiesObserved": 5865, "fullArchiveExtracted": false, "streamingRead": true, "temporaryDailySubarchiveStaging": true, "temporaryStagingDeletedAfterRun": true }, "method": { "selection": "先按校准期排序保留40组，只使用验证期选出冠军；2022年后最终留出集不参与选参", "execution": "T日收盘后形成目标，T+1开盘执行；普通A股不做日内回转", "costBpsPerTurnover": 15.0, "survivorshipBias": "MITIGATED_BY_DATE_PARTITIONED_TUSHARE_DAILY", "guarantee": false }, "ranges": { "calibration": { "start": "2000-01-01", "end": "2013-12-31" }, "validation": { "start": "2014-01-01", "end": "2021-12-31" }, "finalHoldout": { "start": "2022-01-01", "end": "2026-07-15" }, "fullResearch": { "start": "2000-01-04", "end": "2026-07-15" } }, "configsEvaluated": 512, "validationPassersAmongCalibrationTop40": 37, "winner": { "config": { "family": "value-low-vol", "lookback": 20, "volatility_penalty": 1.0, "rebalance_days": 10, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L20-VP1-R10-K40-E0.5-B0.5", "turnover": 125.9592, "blockedOrders": 1689, "calibration": { "observations": 3382, "totalReturn": 0.826883, "annualizedReturn": 0.045925, "annualizedVolatility": 0.090888, "sharpe": 0.539641, "maxDrawdown": -0.205601, "dailyWinRate": 0.320816, "positiveYearRate": 0.285714, "yearly": { "2000": -0.039106, "2001": -0.064371, "2002": -0.060099, "2003": 0.083098, "2004": -0.089901, "2005": -0.01532, "2006": 0.287112, "2007": 0.795155, "2008": -0.071904, "2009": 0.14809, "2010": -0.036322, "2011": -0.026407, "2012": -0.011149, "2013": -0.024852 } }, "validation": { "observations": 1950, "totalReturn": 0.834855, "annualizedReturn": 0.081597, "annualizedVolatility": 0.061988, "sharpe": 1.296479, "maxDrawdown": -0.084811, "dailyWinRate": 0.350769, "positiveYearRate": 0.625, "yearly": { "2014": 0.27151, "2015": 0.251804, "2016": -0.010858, "2017": 0.024843, "2018": 0.0, "2019": -0.022366, "2020": 0.053971, "2021": 0.103632 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.133277, "annualizedReturn": 0.029185, "annualizedVolatility": 0.047617, "sharpe": 0.627958, "maxDrawdown": -0.060656, "dailyWinRate": 0.336679, "positiveYearRate": 0.6, "yearly": { "2022": -0.009199, "2023": 0.055999, "2024": 0.037521, "2025": 0.083438, "2026": -0.036425 } }, "fullResearch": { "observations": 6428, "totalReturn": 2.79882, "annualizedReturn": 0.053718, "annualizedVolatility": 0.076802, "sharpe": 0.719826, "maxDrawdown": -0.205601, "dailyWinRate": 0.332607, "positiveYearRate": 0.444444, "yearly": { "2000": -0.039106, "2001": -0.064371, "2002": -0.060099, "2003": 0.083098, "2004": -0.089901, "2005": -0.01532, "2006": 0.287112, "2007": 0.795155, "2008": -0.071904, "2009": 0.14809, "2010": -0.036322, "2011": -0.026407, "2012": -0.011149, "2013": -0.024852, "2014": 0.27151, "2015": 0.251804, "2016": -0.010858, "2017": 0.024843, "2018": 0.0, "2019": -0.022366, "2020": 0.053971, "2021": 0.103632, "2022": -0.009199, "2023": 0.055999, "2024": 0.037521, "2025": 0.083438, "2026": -0.036425 } } }, "validationSelectedEnsemble": { "id": "LOCAL-VALIDATION-TOP5-EQUAL-ENSEMBLE", "memberIds": [ "LOCAL-value-low-vol-L20-VP1-R10-K40-E0.5-B0.5", "LOCAL-value-low-vol-L120-VP1-R10-K40-E0.5-B0.35", "LOCAL-value-low-vol-L120-VP1-R5-K40-E0.5-B0.5", "LOCAL-value-low-vol-L120-VP1-R10-K40-E0.5-B0.5", "LOCAL-value-low-vol-L60-VP1-R10-K40-E0.5-B0.5" ], "selection": "仅使用校准入围与验证期排名；最终留出不参与成员选择", "turnover": 143.7609, "calibration": { "observations": 3382, "totalReturn": 0.93389, "annualizedReturn": 0.050371, "annualizedVolatility": 0.090126, "sharpe": 0.590492, "maxDrawdown": -0.191515, "dailyWinRate": 0.372265, "positiveYearRate": 0.285714, "yearly": { "2000": -0.040282, "2001": -0.071364, "2002": -0.039361, "2003": 0.090048, "2004": -0.089533, "2005": -0.008621, "2006": 0.326167, "2007": 0.827942, "2008": -0.085224, "2009": 0.154973, "2010": -0.044539, "2011": -0.026789, "2012": -0.018827, "2013": -0.01753 } }, "validation": { "observations": 1950, "totalReturn": 0.873153, "annualizedReturn": 0.084488, "annualizedVolatility": 0.06294, "sharpe": 1.320253, "maxDrawdown": -0.089986, "dailyWinRate": 0.461538, "positiveYearRate": 0.625, "yearly": { "2014": 0.2615, "2015": 0.247492, "2016": -0.008194, "2017": 0.032082, "2018": -0.001704, "2019": -0.019164, "2020": 0.063584, "2021": 0.116555 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.125656, "annualizedReturn": 0.027589, "annualizedVolatility": 0.045679, "sharpe": 0.618663, "maxDrawdown": -0.057402, "dailyWinRate": 0.440693, "positiveYearRate": 0.6, "yearly": { "2022": -0.008323, "2023": 0.051802, "2024": 0.036501, "2025": 0.075464, "2026": -0.031865 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.077659, "annualizedReturn": 0.056648, "annualizedVolatility": 0.076363, "sharpe": 0.759884, "maxDrawdown": -0.191515, "dailyWinRate": 0.411014, "positiveYearRate": 0.444444, "yearly": { "2000": -0.040282, "2001": -0.071364, "2002": -0.039361, "2003": 0.090048, "2004": -0.089533, "2005": -0.008621, "2006": 0.326167, "2007": 0.827942, "2008": -0.085224, "2009": 0.154973, "2010": -0.044539, "2011": -0.026789, "2012": -0.018827, "2013": -0.01753, "2014": 0.2615, "2015": 0.247492, "2016": -0.008194, "2017": 0.032082, "2018": -0.001704, "2019": -0.019164, "2020": 0.063584, "2021": 0.116555, "2022": -0.008323, "2023": 0.051802, "2024": 0.036501, "2025": 0.075464, "2026": -0.031865 } } }, "winnerDoubleCostStress": { "calibration": { "observations": 3382, "totalReturn": 0.653453, "annualizedReturn": 0.03818, "annualizedVolatility": 0.090948, "sharpe": 0.457621, "maxDrawdown": -0.233097, "dailyWinRate": 0.317859, "positiveYearRate": 0.285714, "yearly": { "2000": -0.04151, "2001": -0.07221, "2002": -0.063244, "2003": 0.073524, "2004": -0.099231, "2005": -0.018128, "2006": 0.273672, "2007": 0.775985, "2008": -0.075767, "2009": 0.140038, "2010": -0.048644, "2011": -0.034032, "2012": -0.01237, "2013": -0.033614 } }, "validation": { "observations": 1950, "totalReturn": 0.736131, "annualizedReturn": 0.073894, "annualizedVolatility": 0.062084, "sharpe": 1.179423, "maxDrawdown": -0.089501, "dailyWinRate": 0.345641, "positiveYearRate": 0.625, "yearly": { "2014": 0.258263, "2015": 0.243903, "2016": -0.016015, "2017": 0.021742, "2018": 0.0, "2019": -0.026813, "2020": 0.040548, "2021": 0.089523 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.095408, "annualizedReturn": 0.021173, "annualizedVolatility": 0.047663, "sharpe": 0.463427, "maxDrawdown": -0.067143, "dailyWinRate": 0.32938, "positiveYearRate": 0.6, "yearly": { "2022": -0.014106, "2023": 0.04356, "2024": 0.036263, "2025": 0.072755, "2026": -0.042238 } }, "fullResearch": { "observations": 6428, "totalReturn": 2.144489, "annualizedReturn": 0.045937, "annualizedVolatility": 0.076867, "sharpe": 0.622852, "maxDrawdown": -0.233097, "dailyWinRate": 0.328251, "positiveYearRate": 0.444444, "yearly": { "2000": -0.04151, "2001": -0.07221, "2002": -0.063244, "2003": 0.073524, "2004": -0.099231, "2005": -0.018128, "2006": 0.273672, "2007": 0.775985, "2008": -0.075767, "2009": 0.140038, "2010": -0.048644, "2011": -0.034032, "2012": -0.01237, "2013": -0.033614, "2014": 0.258263, "2015": 0.243903, "2016": -0.016015, "2017": 0.021742, "2018": 0.0, "2019": -0.026813, "2020": 0.040548, "2021": 0.089523, "2022": -0.014106, "2023": 0.04356, "2024": 0.036263, "2025": 0.072755, "2026": -0.042238 } } }, "recommendedChallengerId": "LOCAL-VALIDATION-TOP5-EQUAL-ENSEMBLE", "topValidationCandidates": [ { "config": { "family": "value-low-vol", "lookback": 20, "volatility_penalty": 1.0, "rebalance_days": 10, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L20-VP1-R10-K40-E0.5-B0.5", "turnover": 125.9592, "blockedOrders": 1689, "calibration": { "observations": 3382, "totalReturn": 0.826883, "annualizedReturn": 0.045925, "annualizedVolatility": 0.090888, "sharpe": 0.539641, "maxDrawdown": -0.205601, "dailyWinRate": 0.320816, "positiveYearRate": 0.285714, "yearly": { "2000": -0.039106, "2001": -0.064371, "2002": -0.060099, "2003": 0.083098, "2004": -0.089901, "2005": -0.01532, "2006": 0.287112, "2007": 0.795155, "2008": -0.071904, "2009": 0.14809, "2010": -0.036322, "2011": -0.026407, "2012": -0.011149, "2013": -0.024852 } }, "validation": { "observations": 1950, "totalReturn": 0.834855, "annualizedReturn": 0.081597, "annualizedVolatility": 0.061988, "sharpe": 1.296479, "maxDrawdown": -0.084811, "dailyWinRate": 0.350769, "positiveYearRate": 0.625, "yearly": { "2014": 0.27151, "2015": 0.251804, "2016": -0.010858, "2017": 0.024843, "2018": 0.0, "2019": -0.022366, "2020": 0.053971, "2021": 0.103632 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.133277, "annualizedReturn": 0.029185, "annualizedVolatility": 0.047617, "sharpe": 0.627958, "maxDrawdown": -0.060656, "dailyWinRate": 0.336679, "positiveYearRate": 0.6, "yearly": { "2022": -0.009199, "2023": 0.055999, "2024": 0.037521, "2025": 0.083438, "2026": -0.036425 } }, "fullResearch": { "observations": 6428, "totalReturn": 2.79882, "annualizedReturn": 0.053718, "annualizedVolatility": 0.076802, "sharpe": 0.719826, "maxDrawdown": -0.205601, "dailyWinRate": 0.332607, "positiveYearRate": 0.444444, "yearly": { "2000": -0.039106, "2001": -0.064371, "2002": -0.060099, "2003": 0.083098, "2004": -0.089901, "2005": -0.01532, "2006": 0.287112, "2007": 0.795155, "2008": -0.071904, "2009": 0.14809, "2010": -0.036322, "2011": -0.026407, "2012": -0.011149, "2013": -0.024852, "2014": 0.27151, "2015": 0.251804, "2016": -0.010858, "2017": 0.024843, "2018": 0.0, "2019": -0.022366, "2020": 0.053971, "2021": 0.103632, "2022": -0.009199, "2023": 0.055999, "2024": 0.037521, "2025": 0.083438, "2026": -0.036425 } } }, { "config": { "family": "value-low-vol", "lookback": 120, "volatility_penalty": 1.0, "rebalance_days": 10, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.35 }, "id": "LOCAL-value-low-vol-L120-VP1-R10-K40-E0.5-B0.35", "turnover": 151.0126, "blockedOrders": 2384, "calibration": { "observations": 3382, "totalReturn": 0.853271, "annualizedReturn": 0.047043, "annualizedVolatility": 0.095515, "sharpe": 0.529193, "maxDrawdown": -0.218643, "dailyWinRate": 0.356298, "positiveYearRate": 0.357143, "yearly": { "2000": -0.036402, "2001": -0.072729, "2002": -0.025385, "2003": 0.105448, "2004": -0.086883, "2005": -0.06965, "2006": 0.347082, "2007": 0.830277, "2008": -0.119726, "2009": 0.175107, "2010": -0.041617, "2011": -0.036473, "2012": -0.041079, "2013": 0.003461 } }, "validation": { "observations": 1950, "totalReturn": 1.043777, "annualizedReturn": 0.096775, "annualizedVolatility": 0.071067, "sharpe": 1.335463, "maxDrawdown": -0.111591, "dailyWinRate": 0.457436, "positiveYearRate": 0.625, "yearly": { "2014": 0.247841, "2015": 0.240944, "2016": -0.015177, "2017": 0.072371, "2018": -0.008994, "2019": -0.00318, "2020": 0.117297, "2021": 0.132288 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.080475, "annualizedReturn": 0.017956, "annualizedVolatility": 0.046971, "sharpe": 0.402354, "maxDrawdown": -0.069793, "dailyWinRate": 0.443431, "positiveYearRate": 0.6, "yearly": { "2022": -0.023834, "2023": 0.049915, "2024": 0.032459, "2025": 0.057915, "2026": -0.034809 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.092486, "annualizedReturn": 0.056798, "annualizedVolatility": 0.081912, "sharpe": 0.715494, "maxDrawdown": -0.218643, "dailyWinRate": 0.401836, "positiveYearRate": 0.481481, "yearly": { "2000": -0.036402, "2001": -0.072729, "2002": -0.025385, "2003": 0.105448, "2004": -0.086883, "2005": -0.06965, "2006": 0.347082, "2007": 0.830277, "2008": -0.119726, "2009": 0.175107, "2010": -0.041617, "2011": -0.036473, "2012": -0.041079, "2013": 0.003461, "2014": 0.247841, "2015": 0.240944, "2016": -0.015177, "2017": 0.072371, "2018": -0.008994, "2019": -0.00318, "2020": 0.117297, "2021": 0.132288, "2022": -0.023834, "2023": 0.049915, "2024": 0.032459, "2025": 0.057915, "2026": -0.034809 } } }, { "config": { "family": "value-low-vol", "lookback": 120, "volatility_penalty": 1.0, "rebalance_days": 5, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L120-VP1-R5-K40-E0.5-B0.5", "turnover": 183.1493, "blockedOrders": 3593, "calibration": { "observations": 3382, "totalReturn": 0.926369, "annualizedReturn": 0.050066, "annualizedVolatility": 0.088868, "sharpe": 0.594301, "maxDrawdown": -0.18605, "dailyWinRate": 0.309284, "positiveYearRate": 0.357143, "yearly": { "2000": -0.051389, "2001": -0.08432, "2002": -0.029294, "2003": 0.102941, "2004": -0.082122, "2005": 0.02959, "2006": 0.310518, "2007": 0.861827, "2008": -0.098628, "2009": 0.119305, "2010": -0.065668, "2011": -0.017209, "2012": -0.016672, "2013": -0.013896 } }, "validation": { "observations": 1950, "totalReturn": 0.851408, "annualizedReturn": 0.082853, "annualizedVolatility": 0.063588, "sharpe": 1.28371, "maxDrawdown": -0.088184, "dailyWinRate": 0.352821, "positiveYearRate": 0.75, "yearly": { "2014": 0.288521, "2015": 0.262899, "2016": 0.002652, "2017": 0.013, "2018": 0.0, "2019": -0.023509, "2020": 0.021647, "2021": 0.122827 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.154157, "annualizedReturn": 0.033514, "annualizedVolatility": 0.046174, "sharpe": 0.737027, "maxDrawdown": -0.045666, "dailyWinRate": 0.332117, "positiveYearRate": 0.8, "yearly": { "2022": 0.002077, "2023": 0.043789, "2024": 0.037782, "2025": 0.079606, "2026": -0.015128 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.116295, "annualizedReturn": 0.057038, "annualizedVolatility": 0.075797, "sharpe": 0.769861, "maxDrawdown": -0.18605, "dailyWinRate": 0.326385, "positiveYearRate": 0.555556, "yearly": { "2000": -0.051389, "2001": -0.08432, "2002": -0.029294, "2003": 0.102941, "2004": -0.082122, "2005": 0.02959, "2006": 0.310518, "2007": 0.861827, "2008": -0.098628, "2009": 0.119305, "2010": -0.065668, "2011": -0.017209, "2012": -0.016672, "2013": -0.013896, "2014": 0.288521, "2015": 0.262899, "2016": 0.002652, "2017": 0.013, "2018": 0.0, "2019": -0.023509, "2020": 0.021647, "2021": 0.122827, "2022": 0.002077, "2023": 0.043789, "2024": 0.037782, "2025": 0.079606, "2026": -0.015128 } } }, { "config": { "family": "value-low-vol", "lookback": 120, "volatility_penalty": 1.0, "rebalance_days": 10, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L120-VP1-R10-K40-E0.5-B0.5", "turnover": 128.6517, "blockedOrders": 2182, "calibration": { "observations": 3382, "totalReturn": 1.060136, "annualizedReturn": 0.055332, "annualizedVolatility": 0.091641, "sharpe": 0.633665, "maxDrawdown": -0.180165, "dailyWinRate": 0.316972, "positiveYearRate": 0.357143, "yearly": { "2000": -0.036402, "2001": -0.064075, "2002": -0.046984, "2003": 0.074749, "2004": -0.086883, "2005": 0.028708, "2006": 0.347082, "2007": 0.830277, "2008": -0.07527, "2009": 0.14562, "2010": -0.041617, "2011": -0.02263, "2012": -0.013833, "2013": -0.015949 } }, "validation": { "observations": 1950, "totalReturn": 0.825206, "annualizedReturn": 0.08086, "annualizedVolatility": 0.062791, "sharpe": 1.269845, "maxDrawdown": -0.089953, "dailyWinRate": 0.346154, "positiveYearRate": 0.625, "yearly": { "2014": 0.247857, "2015": 0.240962, "2016": -0.009367, "2017": 0.025583, "2018": 0.0, "2019": -0.024128, "2020": 0.063828, "2021": 0.117484 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.132794, "annualizedReturn": 0.029084, "annualizedVolatility": 0.047591, "sharpe": 0.626206, "maxDrawdown": -0.060544, "dailyWinRate": 0.336679, "positiveYearRate": 0.6, "yearly": { "2022": -0.005413, "2023": 0.055157, "2024": 0.037376, "2025": 0.079932, "2026": -0.036485 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.2595, "annualizedReturn": 0.058457, "annualizedVolatility": 0.077463, "sharpe": 0.77227, "maxDrawdown": -0.180165, "dailyWinRate": 0.329185, "positiveYearRate": 0.481481, "yearly": { "2000": -0.036402, "2001": -0.064075, "2002": -0.046984, "2003": 0.074749, "2004": -0.086883, "2005": 0.028708, "2006": 0.347082, "2007": 0.830277, "2008": -0.07527, "2009": 0.14562, "2010": -0.041617, "2011": -0.02263, "2012": -0.013833, "2013": -0.015949, "2014": 0.247857, "2015": 0.240962, "2016": -0.009367, "2017": 0.025583, "2018": 0.0, "2019": -0.024128, "2020": 0.063828, "2021": 0.117484, "2022": -0.005413, "2023": 0.055157, "2024": 0.037376, "2025": 0.079932, "2026": -0.036485 } } }, { "config": { "family": "value-low-vol", "lookback": 60, "volatility_penalty": 1.0, "rebalance_days": 10, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L60-VP1-R10-K40-E0.5-B0.5", "turnover": 130.0316, "blockedOrders": 1690, "calibration": { "observations": 3382, "totalReturn": 0.990502, "annualizedReturn": 0.052631, "annualizedVolatility": 0.092825, "sharpe": 0.599156, "maxDrawdown": -0.203371, "dailyWinRate": 0.316381, "positiveYearRate": 0.285714, "yearly": { "2000": -0.038068, "2001": -0.072389, "2002": -0.035088, "2003": 0.083016, "2004": -0.102646, "2005": -0.014762, "2006": 0.339106, "2007": 0.82145, "2008": -0.060048, "2009": 0.187278, "2010": -0.037834, "2011": -0.031434, "2012": -0.011501, "2013": -0.037106 } }, "validation": { "observations": 1950, "totalReturn": 0.812727, "annualizedReturn": 0.079902, "annualizedVolatility": 0.062705, "sharpe": 1.257358, "maxDrawdown": -0.086909, "dailyWinRate": 0.347179, "positiveYearRate": 0.625, "yearly": { "2014": 0.251754, "2015": 0.240799, "2016": -0.008818, "2017": 0.025143, "2018": 0.0, "2019": -0.022641, "2020": 0.06223, "2021": 0.106373 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.127252, "annualizedReturn": 0.027924, "annualizedVolatility": 0.047381, "sharpe": 0.604973, "maxDrawdown": -0.060243, "dailyWinRate": 0.334854, "positiveYearRate": 0.6, "yearly": { "2022": -0.005394, "2023": 0.05332, "2024": 0.037241, "2025": 0.076542, "2026": -0.036395 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.067391, "annualizedReturn": 0.056543, "annualizedVolatility": 0.078158, "sharpe": 0.742939, "maxDrawdown": -0.203371, "dailyWinRate": 0.328874, "positiveYearRate": 0.444444, "yearly": { "2000": -0.038068, "2001": -0.072389, "2002": -0.035088, "2003": 0.083016, "2004": -0.102646, "2005": -0.014762, "2006": 0.339106, "2007": 0.82145, "2008": -0.060048, "2009": 0.187278, "2010": -0.037834, "2011": -0.031434, "2012": -0.011501, "2013": -0.037106, "2014": 0.251754, "2015": 0.240799, "2016": -0.008818, "2017": 0.025143, "2018": 0.0, "2019": -0.022641, "2020": 0.06223, "2021": 0.106373, "2022": -0.005394, "2023": 0.05332, "2024": 0.037241, "2025": 0.076542, "2026": -0.036395 } } }, { "config": { "family": "value-low-vol", "lookback": 60, "volatility_penalty": 0.5, "rebalance_days": 10, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L60-VP0.5-R10-K40-E0.5-B0.5", "turnover": 127.9795, "blockedOrders": 1281, "calibration": { "observations": 3382, "totalReturn": 0.975596, "annualizedReturn": 0.052042, "annualizedVolatility": 0.092963, "sharpe": 0.592377, "maxDrawdown": -0.200652, "dailyWinRate": 0.316085, "positiveYearRate": 0.285714, "yearly": { "2000": -0.036235, "2001": -0.072389, "2002": -0.035088, "2003": 0.082802, "2004": -0.102693, "2005": -0.014762, "2006": 0.326833, "2007": 0.835385, "2008": -0.06303, "2009": 0.185953, "2010": -0.042692, "2011": -0.026477, "2012": -0.012101, "2013": -0.039726 } }, "validation": { "observations": 1950, "totalReturn": 0.82897, "annualizedReturn": 0.081148, "annualizedVolatility": 0.065277, "sharpe": 1.228003, "maxDrawdown": -0.086066, "dailyWinRate": 0.348205, "positiveYearRate": 0.625, "yearly": { "2014": 0.258947, "2015": 0.250681, "2016": -0.009401, "2017": 0.028673, "2018": 0.0, "2019": -0.026322, "2020": 0.061589, "2021": 0.102822 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.142081, "annualizedReturn": 0.031018, "annualizedVolatility": 0.048519, "sharpe": 0.653858, "maxDrawdown": -0.061062, "dailyWinRate": 0.333942, "positiveYearRate": 0.8, "yearly": { "2022": 0.001568, "2023": 0.057426, "2024": 0.040342, "2025": 0.078633, "2026": -0.039014 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.126687, "annualizedReturn": 0.057143, "annualizedVolatility": 0.078998, "sharpe": 0.743065, "maxDrawdown": -0.200652, "dailyWinRate": 0.328874, "positiveYearRate": 0.481481, "yearly": { "2000": -0.036235, "2001": -0.072389, "2002": -0.035088, "2003": 0.082802, "2004": -0.102693, "2005": -0.014762, "2006": 0.326833, "2007": 0.835385, "2008": -0.06303, "2009": 0.185953, "2010": -0.042692, "2011": -0.026477, "2012": -0.012101, "2013": -0.039726, "2014": 0.258947, "2015": 0.250681, "2016": -0.009401, "2017": 0.028673, "2018": 0.0, "2019": -0.026322, "2020": 0.061589, "2021": 0.102822, "2022": 0.001568, "2023": 0.057426, "2024": 0.040342, "2025": 0.078633, "2026": -0.039014 } } }, { "config": { "family": "value-low-vol", "lookback": 120, "volatility_penalty": 0.5, "rebalance_days": 5, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L120-VP0.5-R5-K40-E0.5-B0.5", "turnover": 178.1536, "blockedOrders": 3474, "calibration": { "observations": 3382, "totalReturn": 0.825547, "annualizedReturn": 0.045868, "annualizedVolatility": 0.088626, "sharpe": 0.550484, "maxDrawdown": -0.187446, "dailyWinRate": 0.309284, "positiveYearRate": 0.357143, "yearly": { "2000": -0.05138, "2001": -0.084159, "2002": -0.029294, "2003": 0.090007, "2004": -0.083465, "2005": 0.02959, "2006": 0.289575, "2007": 0.821721, "2008": -0.091851, "2009": 0.110242, "2010": -0.069376, "2011": -0.015369, "2012": -0.009609, "2013": -0.02098 } }, "validation": { "observations": 1950, "totalReturn": 0.8659, "annualizedReturn": 0.083945, "annualizedVolatility": 0.065291, "sharpe": 1.267343, "maxDrawdown": -0.097161, "dailyWinRate": 0.355385, "positiveYearRate": 0.75, "yearly": { "2014": 0.27172, "2015": 0.263684, "2016": 4.8e-05, "2017": 0.018377, "2018": 0.0, "2019": -0.025335, "2020": 0.026192, "2021": 0.139843 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.151135, "annualizedReturn": 0.032891, "annualizedVolatility": 0.047195, "sharpe": 0.709322, "maxDrawdown": -0.047146, "dailyWinRate": 0.334854, "positiveYearRate": 0.8, "yearly": { "2022": 0.002581, "2023": 0.04978, "2024": 0.041244, "2025": 0.069304, "2026": -0.017676 } }, "fullResearch": { "observations": 6428, "totalReturn": 2.921096, "annualizedReturn": 0.055027, "annualizedVolatility": 0.076194, "sharpe": 0.741245, "maxDrawdown": -0.187446, "dailyWinRate": 0.327629, "positiveYearRate": 0.555556, "yearly": { "2000": -0.05138, "2001": -0.084159, "2002": -0.029294, "2003": 0.090007, "2004": -0.083465, "2005": 0.02959, "2006": 0.289575, "2007": 0.821721, "2008": -0.091851, "2009": 0.110242, "2010": -0.069376, "2011": -0.015369, "2012": -0.009609, "2013": -0.02098, "2014": 0.27172, "2015": 0.263684, "2016": 4.8e-05, "2017": 0.018377, "2018": 0.0, "2019": -0.025335, "2020": 0.026192, "2021": 0.139843, "2022": 0.002581, "2023": 0.04978, "2024": 0.041244, "2025": 0.069304, "2026": -0.017676 } } }, { "config": { "family": "value-low-vol", "lookback": 60, "volatility_penalty": 0.5, "rebalance_days": 10, "top_k": 20, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L60-VP0.5-R10-K20-E0.5-B0.5", "turnover": 133.3452, "blockedOrders": 769, "calibration": { "observations": 3382, "totalReturn": 0.976793, "annualizedReturn": 0.05209, "annualizedVolatility": 0.090562, "sharpe": 0.606108, "maxDrawdown": -0.169656, "dailyWinRate": 0.313424, "positiveYearRate": 0.357143, "yearly": { "2000": -0.032937, "2001": -0.082353, "2002": -0.039032, "2003": 0.092684, "2004": -0.093499, "2005": 0.063218, "2006": 0.298205, "2007": 0.811137, "2008": -0.070403, "2009": 0.13683, "2010": -0.041571, "2011": -0.042534, "2012": -0.008107, "2013": -0.026797 } }, "validation": { "observations": 1950, "totalReturn": 0.863662, "annualizedReturn": 0.083777, "annualizedVolatility": 0.067658, "sharpe": 1.222946, "maxDrawdown": -0.090863, "dailyWinRate": 0.34, "positiveYearRate": 0.75, "yearly": { "2014": 0.245546, "2015": 0.200621, "2016": 0.002213, "2017": 0.041494, "2018": 0.0, "2019": -0.031066, "2020": 0.127208, "2021": 0.093168 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.226222, "annualizedReturn": 0.048008, "annualizedVolatility": 0.052083, "sharpe": 0.926405, "maxDrawdown": -0.053191, "dailyWinRate": 0.334854, "positiveYearRate": 0.8, "yearly": { "2022": 0.040379, "2023": 0.083461, "2024": 0.042356, "2025": 0.069417, "2026": -0.024109 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.517493, "annualizedReturn": 0.0609, "annualizedVolatility": 0.078521, "sharpe": 0.792236, "maxDrawdown": -0.169656, "dailyWinRate": 0.32514, "positiveYearRate": 0.555556, "yearly": { "2000": -0.032937, "2001": -0.082353, "2002": -0.039032, "2003": 0.092684, "2004": -0.093499, "2005": 0.063218, "2006": 0.298205, "2007": 0.811137, "2008": -0.070403, "2009": 0.13683, "2010": -0.041571, "2011": -0.042534, "2012": -0.008107, "2013": -0.026797, "2014": 0.245546, "2015": 0.200621, "2016": 0.002213, "2017": 0.041494, "2018": 0.0, "2019": -0.031066, "2020": 0.127208, "2021": 0.093168, "2022": 0.040379, "2023": 0.083461, "2024": 0.042356, "2025": 0.069417, "2026": -0.024109 } } }, { "config": { "family": "value-low-vol", "lookback": 60, "volatility_penalty": 1.0, "rebalance_days": 10, "top_k": 20, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L60-VP1-R10-K20-E0.5-B0.5", "turnover": 136.3136, "blockedOrders": 785, "calibration": { "observations": 3382, "totalReturn": 0.791169, "annualizedReturn": 0.044388, "annualizedVolatility": 0.089433, "sharpe": 0.530459, "maxDrawdown": -0.175822, "dailyWinRate": 0.317564, "positiveYearRate": 0.357143, "yearly": { "2000": -0.032937, "2001": -0.082029, "2002": -0.039032, "2003": 0.091988, "2004": -0.090013, "2005": 0.063218, "2006": 0.300417, "2007": 0.753189, "2008": -0.078644, "2009": 0.095882, "2010": -0.052148, "2011": -0.025102, "2012": -0.005039, "2013": -0.06101 } }, "validation": { "observations": 1950, "totalReturn": 0.840077, "annualizedReturn": 0.081994, "annualizedVolatility": 0.068139, "sharpe": 1.190641, "maxDrawdown": -0.08803, "dailyWinRate": 0.335897, "positiveYearRate": 0.75, "yearly": { "2014": 0.251547, "2015": 0.221463, "2016": 0.002757, "2017": 0.038538, "2018": 0.0, "2019": -0.025395, "2020": 0.097523, "2021": 0.080559 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.226029, "annualizedReturn": 0.04797, "annualizedVolatility": 0.050345, "sharpe": 0.955895, "maxDrawdown": -0.051155, "dailyWinRate": 0.327555, "positiveYearRate": 0.8, "yearly": { "2022": 0.018731, "2023": 0.06937, "2024": 0.042717, "2025": 0.104588, "2026": -0.022882 } }, "fullResearch": { "observations": 6428, "totalReturn": 3.040857, "annualizedReturn": 0.056272, "annualizedVolatility": 0.077771, "sharpe": 0.742911, "maxDrawdown": -0.175822, "dailyWinRate": 0.324829, "positiveYearRate": 0.555556, "yearly": { "2000": -0.032937, "2001": -0.082029, "2002": -0.039032, "2003": 0.091988, "2004": -0.090013, "2005": 0.063218, "2006": 0.300417, "2007": 0.753189, "2008": -0.078644, "2009": 0.095882, "2010": -0.052148, "2011": -0.025102, "2012": -0.005039, "2013": -0.06101, "2014": 0.251547, "2015": 0.221463, "2016": 0.002757, "2017": 0.038538, "2018": 0.0, "2019": -0.025395, "2020": 0.097523, "2021": 0.080559, "2022": 0.018731, "2023": 0.06937, "2024": 0.042717, "2025": 0.104588, "2026": -0.022882 } } }, { "config": { "family": "value-low-vol", "lookback": 20, "volatility_penalty": 0.5, "rebalance_days": 10, "top_k": 40, "exposure": 0.5, "minimum_breadth": 0.5 }, "id": "LOCAL-value-low-vol-L20-VP0.5-R10-K40-E0.5-B0.5", "turnover": 127.8353, "blockedOrders": 1266, "calibration": { "observations": 3382, "totalReturn": 0.895384, "annualizedReturn": 0.048798, "annualizedVolatility": 0.093099, "sharpe": 0.558468, "maxDrawdown": -0.217079, "dailyWinRate": 0.316381, "positiveYearRate": 0.285714, "yearly": { "2000": -0.0366, "2001": -0.075188, "2002": -0.065565, "2003": 0.082884, "2004": -0.089667, "2005": -0.01532, "2006": 0.336636, "2007": 0.849911, "2008": -0.072518, "2009": 0.14684, "2010": -0.044481, "2011": -0.018799, "2012": -0.010616, "2013": -0.038661 } }, "validation": { "observations": 1950, "totalReturn": 0.809307, "annualizedReturn": 0.079639, "annualizedVolatility": 0.064943, "sharpe": 1.212464, "maxDrawdown": -0.089395, "dailyWinRate": 0.345641, "positiveYearRate": 0.625, "yearly": { "2014": 0.259461, "2015": 0.244721, "2016": -0.010015, "2017": 0.028185, "2018": 0.0, "2019": -0.025255, "2020": 0.052928, "2021": 0.104755 } }, "finalHoldout": { "observations": 1096, "totalReturn": 0.163527, "annualizedReturn": 0.035437, "annualizedVolatility": 0.050503, "sharpe": 0.714814, "maxDrawdown": -0.056352, "dailyWinRate": 0.332117, "positiveYearRate": 0.8, "yearly": { "2022": 0.011416, "2023": 0.06587, "2024": 0.040349, "2025": 0.074897, "2026": -0.034846 } }, "fullResearch": { "observations": 6428, "totalReturn": 2.99012, "annualizedReturn": 0.055749, "annualizedVolatility": 0.079209, "sharpe": 0.724633, "maxDrawdown": -0.217079, "dailyWinRate": 0.32794, "positiveYearRate": 0.481481, "yearly": { "2000": -0.0366, "2001": -0.075188, "2002": -0.065565, "2003": 0.082884, "2004": -0.089667, "2005": -0.01532, "2006": 0.336636, "2007": 0.849911, "2008": -0.072518, "2009": 0.14684, "2010": -0.044481, "2011": -0.018799, "2012": -0.010616, "2013": -0.038661, "2014": 0.259461, "2015": 0.244721, "2016": -0.010015, "2017": 0.028185, "2018": 0.0, "2019": -0.025255, "2020": 0.052928, "2021": 0.104755, "2022": 0.011416, "2023": 0.06587, "2024": 0.040349, "2025": 0.074897, "2026": -0.034846 } } } ], "secondaryDailyCrosscheck": { "filesSampled": 200, "sameDateComparisons": 39, "medianAbsoluteCloseDifference": 0.0, "negativeAdjustedPriceRowsFoundInSample": 3344, "role": "CROSSCHECK_ONLY_NOT_PRIMARY_RETURN_CHAIN" }, "minuteArchive": { "archive": "/Users/zhuboyu/Desktop/龙门计划/投资/Quant/【53】2026A股分钟日频-持续更新到年底/2026/1min.7z", "entries": 5575, "aShareMinuteFiles": 5574, "containsTargetEtfs": { "510900": false, "511010": false, "518880": false }, "coverage": "2026_ONLY", "role": "A_SHARE_EXECUTION_CALIBRATION_ONLY" }, "gates": { "allowedForRealCapital": false, "blockers": [ "本地分钟包只含2026年A股个股，未发现目标T+0 ETF分钟文件", "没有券商Level-2队列、IOPV与真实成交回报", "第三方前复权样本出现非正价格，只能作为交叉核验", "至少需要新的前向影子交易期和人工批准，禁止历史结果自动晋级实盘" ] } }