{
  "name": "稳健波段多因子",
  "generated_at": "2026-10-29 17:25",
  "preferences": {
    "risk": "稳健",
    "risk_desc": "波动可控，适度分散",
    "horizon": "波段",
    "horizon_desc": "双周调仓，中短周期",
    "style_request": "(默认风格)"
  },
  "universe": {
    "name": "sample",
    "benchmark": "000300"
  },
  "backtest_window": {
    "start": "2022-01-01",
    "end": "2026-10-28"
  },
  "selection": {
    "factors": {
      "momentum": 0.25641025641025644,
      "quality_momentum": 0.12820512820512822,
      "low_vol": 0.27350427350427353,
      "trend": 0.17094017094017097,
      "reversal": 0.08547008547008549,
      "high_52w": 0.04273504273504274,
      "liquidity": 0.04273504273504274
    },
    "factor_lookbacks": {
      "momentum": 60,
      "quality_momentum": 120,
      "reversal": 5,
      "low_vol": 60,
      "trend": 60,
      "high_52w": 250,
      "liquidity": 20
    },
    "max_positions": 15,
    "min_history": 120
  },
  "portfolio": {
    "rebalance_days": 10,
    "cash_buffer": 0.1,
    "max_weight": 0.1,
    "fwd_days": 10
  },
  "risk_control": {
    "target_vol": 0.1,
    "vol_lookback": 60,
    "max_drawdown_derisk": 0.12,
    "de_risk_ratio": 0.5,
    "trend_filter": true,
    "trend_filter_ma": 200
  },
  "execution": {
    "commission": 0.0003,
    "stamp_tax_sell": 0.0005,
    "slippage": 0.001
  }
}