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{
  "strategy": {
    "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": {
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        "quality_momentum": 0.13043478260869565,
        "low_vol": 0.3478260869565218,
        "trend": 0.1739130434782609,
        "high_52w": 0.04347826086956522,
        "liquidity": 0.04347826086956522
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      "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
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    "portfolio": {
      "rebalance_days": 60,
      "cash_buffer": 0.2,
      "max_weight": 0.08,
      "fwd_days": 60
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    "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
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    "execution": {
      "commission": 0.0003,
      "stamp_tax_sell": 0.0005,
      "slippage": 0.001
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  "metrics": {
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    "sharpe": 0.41975834438627124,
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    "calmar": 0.47265394176737885,
    "daily_win_rate": 0.5,
    "n_days": 1164,
    "avg_turnover_per_rebalance": 0.7055197724067708,
    "ic_mean": 0.09198334934871383,
    "ic_ir": 0.3400575109139704,
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    "n_ic_obs": 18,
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