{
 "focus": {
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   "label": "top5·全成分基线",
   "full": {
    "cagr": 2.6,
    "sharpe": 0.23,
    "mdd": -46.3
   },
   "train": {
    "cagr": 0.6,
    "sharpe": 0.14,
    "mdd": -46.3
   },
   "test": {
    "cagr": 4.9,
    "sharpe": 0.33,
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   }
  },
  "K5_sign": {
   "label": "top5·超预期>0",
   "full": {
    "cagr": 14.2,
    "sharpe": 0.78,
    "mdd": -33.1
   },
   "train": {
    "cagr": 19.8,
    "sharpe": 1.09,
    "mdd": -15.3
   },
   "test": {
    "cagr": 8.5,
    "sharpe": 0.5,
    "mdd": -28.3
   }
  },
  "K5_mag": {
   "label": "top5·幅度topN/行业",
   "full": {
    "cagr": 8.2,
    "sharpe": 0.47,
    "mdd": -46.3
   },
   "train": {
    "cagr": 7.8,
    "sharpe": 0.44,
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   },
   "test": {
    "cagr": 9.0,
    "sharpe": 0.52,
    "mdd": -27.7
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  },
  "K3_all": {
   "label": "top3·全成分基线",
   "full": {
    "cagr": 4.4,
    "sharpe": 0.3,
    "mdd": -45.0
   },
   "train": {
    "cagr": 5.7,
    "sharpe": 0.36,
    "mdd": -45.0
   },
   "test": {
    "cagr": 3.0,
    "sharpe": 0.25,
    "mdd": -32.7
   }
  },
  "K3_sign": {
   "label": "top3·超预期>0",
   "full": {
    "cagr": 14.3,
    "sharpe": 0.75,
    "mdd": -37.2
   },
   "train": {
    "cagr": 23.0,
    "sharpe": 1.12,
    "mdd": -16.8
   },
   "test": {
    "cagr": 5.8,
    "sharpe": 0.38,
    "mdd": -30.8
   }
  },
  "K3_mag": {
   "label": "top3·幅度topN/行业",
   "full": {
    "cagr": 8.5,
    "sharpe": 0.47,
    "mdd": -45.0
   },
   "train": {
    "cagr": 12.6,
    "sharpe": 0.6,
    "mdd": -45.0
   },
   "test": {
    "cagr": 4.6,
    "sharpe": 0.32,
    "mdd": -30.3
   }
  },
  "K2_all": {
   "label": "top2·全成分基线",
   "full": {
    "cagr": 3.9,
    "sharpe": 0.28,
    "mdd": -47.4
   },
   "train": {
    "cagr": 5.8,
    "sharpe": 0.35,
    "mdd": -47.4
   },
   "test": {
    "cagr": 2.0,
    "sharpe": 0.2,
    "mdd": -35.8
   }
  },
  "K2_sign": {
   "label": "top2·超预期>0",
   "full": {
    "cagr": 15.3,
    "sharpe": 0.76,
    "mdd": -44.4
   },
   "train": {
    "cagr": 26.9,
    "sharpe": 1.2,
    "mdd": -22.6
   },
   "test": {
    "cagr": 4.2,
    "sharpe": 0.3,
    "mdd": -30.8
   }
  },
  "K2_mag": {
   "label": "top2·幅度topN/行业",
   "full": {
    "cagr": 10.2,
    "sharpe": 0.52,
    "mdd": -47.4
   },
   "train": {
    "cagr": 16.5,
    "sharpe": 0.71,
    "mdd": -47.4
   },
   "test": {
    "cagr": 4.1,
    "sharpe": 0.3,
    "mdd": -30.7
   }
  },
  "K5_magpool15": {
   "label": "top5·超预期幅度全池top15",
   "full": {
    "cagr": -2.2,
    "sharpe": -1.16,
    "mdd": -20.0
   },
   "train": {
    "cagr": -1.3,
    "sharpe": -0.77,
    "mdd": -7.5
   },
   "test": {
    "cagr": -3.2,
    "sharpe": -1.49,
    "mdd": -13.4
   }
  },
  "K5_magpool10": {
   "label": "top5·超预期幅度全池top10",
   "full": {
    "cagr": -1.6,
    "sharpe": -0.58,
    "mdd": -18.2
   },
   "train": {
    "cagr": -1.0,
    "sharpe": -0.42,
    "mdd": -7.9
   },
   "test": {
    "cagr": -2.1,
    "sharpe": -0.7,
    "mdd": -11.5
   }
  },
  "K3_magpool15": {
   "label": "top3·超预期幅度全池top15",
   "full": {
    "cagr": -2.1,
    "sharpe": -1.1,
    "mdd": -19.8
   },
   "train": {
    "cagr": -0.8,
    "sharpe": -0.43,
    "mdd": -5.9
   },
   "test": {
    "cagr": -3.4,
    "sharpe": -1.75,
    "mdd": -14.6
   }
  },
  "K3_magpool10": {
   "label": "top3·超预期幅度全池top10",
   "full": {
    "cagr": -1.0,
    "sharpe": -0.33,
    "mdd": -17.1
   },
   "train": {
    "cagr": 0.4,
    "sharpe": 0.15,
    "mdd": -4.8
   },
   "test": {
    "cagr": -2.5,
    "sharpe": -0.83,
    "mdd": -14.2
   }
  }
 },
 "timed": {
  "timed_000985.CSI_20": {
   "label": "K5超预期>0+中证全指MA20",
   "full": {
    "cagr": 6.4,
    "sharpe": 0.55,
    "mdd": -28.8
   },
   "train": {
    "cagr": 4.5,
    "sharpe": 0.41,
    "mdd": -28.8
   },
   "test": {
    "cagr": 8.7,
    "sharpe": 0.71,
    "mdd": -12.7
   }
  },
  "timed_000985.CSI_60": {
   "label": "K5超预期>0+中证全指MA60",
   "full": {
    "cagr": 6.9,
    "sharpe": 0.53,
    "mdd": -20.8
   },
   "train": {
    "cagr": 5.9,
    "sharpe": 0.46,
    "mdd": -20.8
   },
   "test": {
    "cagr": 8.3,
    "sharpe": 0.66,
    "mdd": -15.3
   }
  },
  "timed_000300.SH_20": {
   "label": "K5超预期>0+沪深300MA20",
   "full": {
    "cagr": 6.3,
    "sharpe": 0.55,
    "mdd": -31.5
   },
   "train": {
    "cagr": 3.3,
    "sharpe": 0.32,
    "mdd": -31.5
   },
   "test": {
    "cagr": 9.7,
    "sharpe": 0.8,
    "mdd": -17.4
   }
  },
  "timed_000300.SH_60": {
   "label": "K5超预期>0+沪深300MA60",
   "full": {
    "cagr": 5.6,
    "sharpe": 0.46,
    "mdd": -27.5
   },
   "train": {
    "cagr": 0.8,
    "sharpe": 0.13,
    "mdd": -26.9
   },
   "test": {
    "cagr": 11.7,
    "sharpe": 0.88,
    "mdd": -16.1
   }
  },
  "timed_000905.SH_20": {
   "label": "K5超预期>0+中证500MA20",
   "full": {
    "cagr": 8.0,
    "sharpe": 0.67,
    "mdd": -25.1
   },
   "train": {
    "cagr": 8.6,
    "sharpe": 0.73,
    "mdd": -25.1
   },
   "test": {
    "cagr": 7.7,
    "sharpe": 0.64,
    "mdd": -17.7
   }
  },
  "timed_000905.SH_60": {
   "label": "K5超预期>0+中证500MA60",
   "full": {
    "cagr": 5.2,
    "sharpe": 0.43,
    "mdd": -21.1
   },
   "train": {
    "cagr": 5.7,
    "sharpe": 0.45,
    "mdd": -21.1
   },
   "test": {
    "cagr": 5.1,
    "sharpe": 0.42,
    "mdd": -16.3
   }
  },
  "timed_399006.SZ_20": {
   "label": "K5超预期>0+创业板指MA20",
   "full": {
    "cagr": 8.2,
    "sharpe": 0.66,
    "mdd": -22.2
   },
   "train": {
    "cagr": 7.8,
    "sharpe": 0.61,
    "mdd": -22.2
   },
   "test": {
    "cagr": 8.7,
    "sharpe": 0.72,
    "mdd": -16.3
   }
  },
  "timed_399006.SZ_60": {
   "label": "K5超预期>0+创业板指MA60",
   "full": {
    "cagr": 9.2,
    "sharpe": 0.68,
    "mdd": -23.0
   },
   "train": {
    "cagr": 8.6,
    "sharpe": 0.61,
    "mdd": -23.0
   },
   "test": {
    "cagr": 10.0,
    "sharpe": 0.77,
    "mdd": -20.1
   }
  }
 },
 "note": "行业隔夜动量180日 top-K SW一级行业 × 行业内超预期选股。月频, 0.2%/边, 剔ST/剔北交所, train<2022/test>=2022。超预期=(实际年报净利-一致预期中位)/|一致预期|, 一致预期=报告前270日内>=3家券商预测中位。"
}