{
    "as_of": "2026-11-03",
    "universe_size": 123,
    "eligible": 42,
    "config": {
        "name": "PHP-平衡波段多因子",
        "generated_at": "2026-11-09 20:25",
        "preferences": {
            "risk": "平衡",
            "risk_desc": "收益风险均衡",
            "horizon": "波段",
            "horizon_desc": "双周调仓，中短周期"
        },
        "selection": {
            "factors": {
                "momentum": 0.27272727272727276,
                "quality_momentum": 0.13636363636363638,
                "low_vol": 0.2272727272727273,
                "trend": 0.18181818181818185,
                "reversal": 0.09090909090909093,
                "high_52w": 0.04545454545454546,
                "liquidity": 0.04545454545454546
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            "factor_lookbacks": {
                "momentum": 60,
                "quality_momentum": 120,
                "reversal": 5,
                "low_vol": 60,
                "trend": 60,
                "high_52w": 250,
                "liquidity": 20
            },
            "max_positions": 12,
            "min_history": 120
        },
        "portfolio": {
            "rebalance_days": 10,
            "cash_buffer": 0.05,
            "max_weight": 0.12,
            "fwd_days": 10
        },
        "risk_control": {
            "target_vol": 0.15,
            "vol_lookback": 60,
            "max_drawdown_derisk": 0.18,
            "de_risk_ratio": 0.5,
            "trend_filter": true,
            "trend_filter_ma": 200
        },
        "execution": {
            "commission": 0.0003,
            "stamp_tax_sell": 0.0005,
            "slippage": 0.001
        }
    },
    "holdings": [
        {
            "code": "601857",
            "name": "中国石油",
            "weight": 0.0792
        },
        {
            "code": "601988",
            "name": "中国银行",
            "weight": 0.0792
        },
        {
            "code": "601398",
            "name": "工商银行",
            "weight": 0.0792
        },
        {
            "code": "601088",
            "name": "中国神华",
            "weight": 0.0792
        },
        {
            "code": "300413",
            "name": "芒果超媒",
            "weight": 0.0792
        },
        {
            "code": "601728",
            "name": "中国电信",
            "weight": 0.0792
        },
        {
            "code": "600887",
            "name": "伊利股份",
            "weight": 0.0792
        },
        {
            "code": "601939",
            "name": "建设银行",
            "weight": 0.0792
        },
        {
            "code": "600036",
            "name": "招商银行",
            "weight": 0.0792
        },
        {
            "code": "300760",
            "name": "迈瑞医疗",
            "weight": 0.0792
        },
        {
            "code": "600900",
            "name": "长江电力",
            "weight": 0.0792
        },
        {
            "code": "601985",
            "name": "中国核电",
            "weight": 0.0792
        }
    ],
    "scores": [
        {
            "code": "601857",
            "score": 1.183
        },
        {
            "code": "601988",
            "score": 0.693
        },
        {
            "code": "601398",
            "score": 0.632
        },
        {
            "code": "601088",
            "score": 0.611
        },
        {
            "code": "300413",
            "score": 0.605
        },
        {
            "code": "601728",
            "score": 0.595
        },
        {
            "code": "600887",
            "score": 0.501
        },
        {
            "code": "601939",
            "score": 0.497
        },
        {
            "code": "600036",
            "score": 0.464
        },
        {
            "code": "300760",
            "score": 0.369
        },
        {
            "code": "600900",
            "score": 0.339
        },
        {
            "code": "601985",
            "score": 0.302
        }
    ],
    "engine": "php",
    "elapsed_ms": 3009,
    "disclaimer": "输出为量化信号，仅供研究参考，不构成投资建议。市场有风险，投资需谨慎。"
}