{
  "created_at": "2026-11-07T20:54:34.617872+08:00",
  "experiment": {
    "id": "SECTOR-PRICE-CONTROL-01",
    "scope": "固定六行业的事后简单规则对照，不是AI基本面策略，不是完整长期验证",
    "input": "旧冻结快照加3号XLV/XLP已核验补充，统一2023-10-30至2026-11-04",
    "start_signal": "2024年最后共同交易日，下一共同交易日收盘首次投资",
    "end": "2026-11-04",
    "selection": "每年最后共同交易日，按过去252至21交易日前复权价格区间总回报排序，选最高两行业各5%；并列按代码字母序；不使用当前PE/盈利或宏观资料",
    "core": {
      "SPY": 0.3,
      "IEF": 0.2,
      "GLD": 0.25
    },
    "controls": [
      "AI8原静态研究结构，BIL25%",
      "同额10%全给SPY，BIL15%",
      "六行业等分10%，BIL15%",
      "年度价格排序两行业各5%，BIL15%"
    ],
    "rebalance": "每月最后共同交易日确定目标，下一共同交易日收盘按目标权重建模成交；不同于C6冻结数量执行，因此不借用C6收益作完全同口径结论",
    "signal_timing": "使用信号日及此前信息，成交日收盘前持仓承担当日收益，新仓从下一日获得收益",
    "annual_selection_changes": "首次2024年末，第二次2025年末；2026年末不在样本内",
    "costs_one_way_bps": [
      5,
      10,
      25
    ],
    "cost_definition": "买卖成交金额逐边计费，含初始买入；交易后净值与费用联合求解，无杠杆与负现金。基金费用已在复权价格中，不重复扣。个人税/换汇未计。",
    "daily_return_basis": "供应商adjusted_close总回报代理，不等同实际支付日再投资账本",
    "measures": [
      "累计收益",
      "短样本年化（单独警示）",
      "最大回撤",
      "实现波动",
      "交易金额换手",
      "交易成本"
    ],
    "limitations": [
      "只有2025—2026不足两年，只有两次年度行业决定，不用于判定长期优劣或8%/10%成功率",
      "候选是2026年按当前研究目的确定，存在宇宙选择与生存偏差；不是未知样本",
      "不包含当时盈利估值/宏观判断，没有AI历史回测",
      "不同对照股票比例有差异：AI8基准30%，其余三种40%；只在后三者之间比较行业选择增益"
    ],
    "no_parameter_search": true,
    "no_account_action": true
  },
  "settings_sha256": "e35c2268f7ce41ab6e5fd022959c3037a83ac1cda726fc18afa7bb8154166c20",
  "source_sha256": "670dee5d599fe280ffdd74365441b7abaf1b8d29ead00cf8ef046d6ef53b860e",
  "supplement_sha256": "b2ba88ff2706abcbc685f125384197d3fd62324000906fcb5336a6ecf8b41339",
  "selection_log": [
    {
      "signal": "2024-12-31",
      "execution": "2025-01-02",
      "ranking": [
        [
          "XLU",
          0.33997329398039144
        ],
        [
          "XLI",
          0.27556552986099137
        ],
        [
          "XLK",
          0.22063554347049852
        ],
        [
          "XLP",
          0.1788764080817249
        ],
        [
          "XLE",
          0.16742661914763213
        ],
        [
          "XLV",
          0.09309225163112456
        ]
      ],
      "selected": [
        "XLU",
        "XLI"
      ],
      "latest_price_used": "2024-11-29",
      "lookback_start": "2023-12-29"
    },
    {
      "signal": "2025-12-31",
      "execution": "2026-01-02",
      "ranking": [
        [
          "XLK",
          0.2114085494370821
        ],
        [
          "XLU",
          0.187714170938722
        ],
        [
          "XLI",
          0.1481091643022201
        ],
        [
          "XLV",
          0.13243126350301893
        ],
        [
          "XLE",
          0.10658276895721364
        ],
        [
          "XLP",
          0.01901041475152976
        ]
      ],
      "selected": [
        "XLK",
        "XLU"
      ],
      "latest_price_used": "2025-12-01",
      "lookback_start": "2024-12-27"
    }
  ],
  "results": [
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      "strategy": "base_AI8_static",
      "one_way_bps": 5,
      "first_trade": "2025-01-02",
      "last_valuation": "2026-11-04",
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      "annual_decisions": 0,
      "cumulative_return": 0.2562285654672636,
      "short_sample_cagr": 0.13220930802579,
      "max_drawdown": 0.07141180490924937,
      "realized_volatility": 0.09062175188307343,
      "fees_USD": 80.35909919579149,
      "summed_two_way_traded_notional_over_nav": 1.5079492219635247,
      "rebalance_events": 23
    },
    {
      "strategy": "add_SPY_10pct",
      "one_way_bps": 5,
      "first_trade": "2025-01-02",
      "last_valuation": "2026-11-04",
      "sessions": 462,
      "annual_decisions": 0,
      "cumulative_return": 0.2852833682075495,
      "short_sample_cagr": 0.14638925530106528,
      "max_drawdown": 0.07857031057103092,
      "realized_volatility": 0.10275619563645426,
      "fees_USD": 81.03774221239584,
      "summed_two_way_traded_notional_over_nav": 1.5126920084781053,
      "rebalance_events": 23
    },
    {
      "strategy": "equal_sector_10pct",
      "one_way_bps": 5,
      "first_trade": "2025-01-02",
      "last_valuation": "2026-11-04",
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      "cumulative_return": 0.2911552736200773,
      "short_sample_cagr": 0.14923718128501506,
      "max_drawdown": 0.07195329884523194,
      "realized_volatility": 0.0981983235544252,
      "fees_USD": 84.16298508565312,
      "summed_two_way_traded_notional_over_nav": 1.5626640817436743,
      "rebalance_events": 23
    },
    {
      "strategy": "annual_price_top2_10pct",
      "one_way_bps": 5,
      "first_trade": "2025-01-02",
      "last_valuation": "2026-11-04",
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      "short_sample_cagr": 0.14823430786830039,
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      "fees_USD": 90.64529708429367,
      "summed_two_way_traded_notional_over_nav": 1.6640874120899833,
      "rebalance_events": 23
    },
    {
      "strategy": "base_AI8_static",
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      "first_trade": "2025-01-02",
      "last_valuation": "2026-11-04",
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      "fees_USD": 160.62396280690604,
      "summed_two_way_traded_notional_over_nav": 1.5073969117371362,
      "rebalance_events": 23
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      "strategy": "add_SPY_10pct",
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      "short_sample_cagr": 0.14591747163363333,
      "max_drawdown": 0.07860564325863606,
      "realized_volatility": 0.10275634148403762,
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  "AI_strategy_performance": null,
  "account_action": false,
  "verification": {
    "annual_signal_count": 2,
    "signal_strictly_before_trade": true,
    "budget_and_cash_checks": true,
    "cost_monotonicity": true,
    "closed_form_fee_tests": true,
    "future_price_perturbation_invariant": true,
    "parameter_search": false
  }
}