{
  "name": "保守长线多因子",
  "generated_at": "2026-10-29 17:23",
  "preferences": {
    "risk": "保守",
    "risk_desc": "低波动优先，深度分散，回撤容忍度低",
    "horizon": "长线",
    "horizon_desc": "季度调仓，长周期趋势",
    "style_request": "(默认风格)"
  },
  "universe": {
    "name": "sample",
    "benchmark": "000300"
  },
  "backtest_window": {
    "start": "2022-01-01",
    "end": "2026-10-28"
  },
  "selection": {
    "factors": {
      "momentum": 0.2608695652173913,
      "quality_momentum": 0.13043478260869565,
      "low_vol": 0.3478260869565218,
      "trend": 0.1739130434782609,
      "high_52w": 0.04347826086956522,
      "liquidity": 0.04347826086956522
    },
    "factor_lookbacks": {
      "momentum": 180,
      "quality_momentum": 120,
      "reversal": 5,
      "low_vol": 60,
      "trend": 200,
      "high_52w": 250,
      "liquidity": 20
    },
    "max_positions": 20,
    "min_history": 120
  },
  "portfolio": {
    "rebalance_days": 60,
    "cash_buffer": 0.2,
    "max_weight": 0.08,
    "fwd_days": 60
  },
  "risk_control": {
    "target_vol": 0.06,
    "vol_lookback": 60,
    "max_drawdown_derisk": 0.08,
    "de_risk_ratio": 0.5,
    "trend_filter": true,
    "trend_filter_ma": 200
  },
  "execution": {
    "commission": 0.0003,
    "stamp_tax_sell": 0.0005,
    "slippage": 0.001
  }
}