{
  "created_at": "2026-11-13T20:47:05.096710+08:00",
  "cases": {
    "CV6": {
      "SPY": 0.25,
      "TLT": 0.25,
      "GLD": 0.25,
      "BIL": 0.25,
      "DBMF": 0,
      "KMLM": 0,
      "DBC": 0,
      "UUP": 0
    },
    "EQ40": {
      "SPY": 0.4,
      "TLT": 0.2,
      "GLD": 0.2,
      "BIL": 0.2,
      "DBMF": 0,
      "KMLM": 0,
      "DBC": 0,
      "UUP": 0
    },
    "DEF10": {
      "SPY": 0.25,
      "TLT": 0.25,
      "GLD": 0.25,
      "BIL": 0.15,
      "DBMF": 0.05,
      "KMLM": 0.05,
      "DBC": 0,
      "UUP": 0
    },
    "GROWTH": {
      "SPY": 0.4,
      "TLT": 0.2,
      "GLD": 0.2,
      "BIL": 0.1,
      "DBMF": 0.05,
      "KMLM": 0.05,
      "DBC": 0,
      "UUP": 0
    },
    "STATIC_COM": {
      "SPY": 0.4,
      "TLT": 0.2,
      "GLD": 0.2,
      "BIL": 0,
      "DBMF": 0.05,
      "KMLM": 0.05,
      "DBC": 0.1,
      "UUP": 0
    },
    "ROTATE": {
      "SPY": 0.4,
      "TLT": 0.2,
      "GLD": 0.2,
      "BIL": 0,
      "DBMF": 0.05,
      "KMLM": 0.05,
      "DBC": 0,
      "UUP": 0
    },
    "ROTATE_NO_MF": {
      "SPY": 0.4,
      "TLT": 0.2,
      "GLD": 0.2,
      "BIL": 0.1,
      "DBMF": 0,
      "KMLM": 0,
      "DBC": 0,
      "UUP": 0
    }
  },
  "economic_rationale": {
    "DEF10": "Replace10%cash with equal DBMF/KMLM; isolate defense and avoid choosing the prior winner",
    "EQ40": "Explicit equity premium source;40%stock target,20%eachother; higher risk, not alpha",
    "GROWTH": "EQ40 replaces10%cash with managed futures",
    "STATIC_COM": "GROWTH replaces10%cash withDBC; isolate static commodity allocation",
    "ROTATE": "GROWTH replaces10%cash with sleeve amongDBC/UUP/BIL",
    "ROTATE_NO_MF": "Remove managed futures fromROTATE back toBIL; long-history ablation, not synthetic managed futures"
  },
  "choice": "DBC preferred overPDBC for actual2006 history; DBMF/KMLM equal5% avoids priorwinner selection; noQQQ/leverage/sector optimization",
  "signal": "Monthly finalNYSEclose;252session totalreturn excess overBIL; sleeve100%into highest positiveDBC/UUP, elseBIL; tieDBC; fixed12month lookback no tuning",
  "execution": "Initialentry uses previousclosedmonth target; close drift<60% or>140%of positive target, or signal changes, freeze dollar gap/current rawprice quantity; next commoncloseexecute sellfirst/buys cashscaled; zeros exited; no terminal forcedliquidation",
  "equity_limit": "40%target is not intramonthcap; relative upperband56%, possible gap overshoot; report actual max; no formal risklimit authorization",
  "periods": {
    "common": [
      "2022-01-24",
      "2026-11-04"
    ],
    "long_ablation": [
      "2008-06-02",
      "2026-11-04"
    ],
    "common_epoch_splits": [
      [
        "2022-01-24",
        "2023-12-29"
      ],
      [
        "2024-01-02",
        "2026-11-04"
      ]
    ],
    "long_epoch_splits": [
      [
        "2008-06-02",
        "2015-12-31"
      ],
      [
        "2016-01-04",
        "2021-12-31"
      ],
      [
        "2022-01-24",
        "2026-11-04"
      ]
    ]
  },
  "windows": "EveryMonday newindependentinitialcapital; holiday nexttradingday; max10years, minimum3; group durations; overlaps not probability",
  "cost_bps": [
    5,
    10,
    25
  ],
  "holdout": "None genuinely untouched: prior screens sawhistory; epoch splits are retrospective regime diagnostics only; no AI economic-report claims",
  "falsifiers": [
    "No consistent increment overEQ40=>stock exposure not skill",
    "Rotation fails static/cash references afterfees=>do not promote",
    "Defense lowerreturns=>label riskreduction not8%solution",
    "Mixedhorizon median>=8 notsuccessprobability"
  ],
  "limits": "FrozenresearchTRproxies; independentactioncertificationincomplete; cashreinvestment; tax/FX/lot/mincommissions unmodeled; fundexpensesembedded; no priced currentvaluation thesis orliveexecution approval",
  "sources": {
    "/srv/projects/investment-docs/outputs/恢复推进-2026-11-11/3号数据/research/frozen_bars.csv": "5c21b931f97610bd7c8788b2dedc19e85cd4221216ed021dd8f6d8956d0d76e8",
    "/srv/projects/investment-docs/outputs/C8完整候选数据包-2026-11-13/全部32只历史行情_含问题标记.csv": "1c91113a86e027045802db89614ec701f4bd8850bff0fdc1c1f36a30ce7a8249",
    "/srv/projects/investment-docs/outputs/TIPS与管理期货增量研究-2026-11-12/DBMF_全历史分配重建诊断.csv": "61fcd1f377668f0aa96e8ea3e80f677e44cdbbab06e8586c47bbeedc46c9bc5c",
    "/srv/projects/investment-docs/outputs/TIPS与管理期货增量研究-2026-11-12/KMLM_全历史分配重建诊断.csv": "681bb0eafddaef11c9714af57de7d2c077959b753b94eb3af7795057e657b889"
  },
  "engine_sha256": "a28ab5958ac777255390d20398667a05e5fb0db9eba5ed2a7fb4099634bb075e"
}