csi500-alpha-research/docs/assets/v2-report-manifest.json at main · Lithnio/csi500-alpha-research · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
{
  "chart_map": {
    "v2-backtest-overview.png": {
      "fields": [
        "trade_date",
        "nav",
        "benchmark_nav",
        "active_nav"
      ],
      "question": "组合在 2020—2025 年滚动年度研究折中的净值与主动回撤如何？",
      "takeaway": "六个研究年度折累计主动收益为 9.76%，五个年度为正；组合最大回撤为 35.67%。",
      "type": "三面板净值与回撤折线图"
    },
    "v2-factor-audit.png": {
      "fields": [
        "factor",
        "mean_directed_rank_ic",
        "q5_minus_q1_net"
      ],
      "question": "通过审计的单因子，其截面 IC 与费后分组收益是否一致？",
      "takeaway": "单因子平均定向 Rank IC 的中位数为 0.021，费后多空 Sharpe 中位数为 0.631。",
      "type": "双栏横向条形图"
    },
    "v2-freeze-rationale.png": {
      "fields": [
        "year",
        "annualized_active_return",
        "increment_vs_baseline"
      ],
      "question": "备选因子扩展是否带来稳定的年度增量？",
      "takeaway": "扩池提高全期汇总收益，但年度增量中位数为负，正主动收益年份由五个降至四个。",
      "type": "年度对照柱状图"
    }
  },
  "outputs": {
    "v2-backtest-overview.png": "f5273412137e03bc85cdf20808873aba6ae8425acdbc3e8ff651560a0a45ab5e",
    "v2-factor-audit.png": "f0c527fd37d2faf16ae19692bee0299aa91ee377daa46fbe7901517378ef15c5",
    "v2-freeze-rationale.png": "482007abef0d259108b588a1bbe4fcfb5102b774cfcad0307ea3e234e51a3d47",
    "v2-public-summary.json": "faeedb4531a7ff8494938d52e74d21d5a7c4a02eff34900578eca89210b5c37a"
  },
  "public_boundary": "仅包含聚合指标和栅格图片；不包含持仓、成交、逐行信号、供应商原始数据、凭证或本地路径。",
  "schema_version": 3,
  "source_artifacts": {
    "comparison-baseline/aggregate-manifest.json": "5d7ae5734ae6a796a9890cedaf18f6cf3eba40c6da619fb034ac48812ca1213c",
    "comparison-baseline/aggregate-summary.json": "d02e4725a9aff497b3f1b65f841672293daf3fced5ca81c933bf189f01af38a6",
    "comparison-baseline/daily.parquet": "f8cc674e395d41b5d7ebabfbda572f9a8c12589da0cc9da41ac85cd0412ff8a4",
    "comparison-baseline/yearly-metrics.parquet": "05b5136102be09dffa2de782d4368d0fd3d8bdcf8df8948bb3dc96f00c26512e",
    "expanded/aggregate-manifest.json": "91c05381188f8d92ed5221950ab55f4cbbf9b8e0d9c54f4e95c3463c344ac274",
    "expanded/aggregate-summary.json": "cdbd4c397fa27a0f63aced766a1ee185432664a45245f8847dadcd96bb315c44",
    "expanded/yearly-metrics.parquet": "9175a3b9ceaee17b166dbb351ca16398d5c488c4d3dda06bcd444a346dca30cf",
    "factor-audit/factor-audit-manifest.json": "954fd2ee3282a6331d304561fcebb41c9ea9ba279f382c74459e07f7095d49cf",
    "factor-audit/factor-audit-summary.json": "5c9a8027187368b1efa8a1c9850660587c74276ec7a6b1957a18465e626c1276",
    "factor-audit/factor-correlation.parquet": "36280dec3d3c4fdbb56298e94332a6790cf1dc84c90434825bff30d7dfa09b12",
    "factor-audit/factor-summary.parquet": "ea3a2965486ac9a03eadffe437559fe7c776542039c398f9b48dd5aa2ce68985",
    "factor-audit/rebalance-spreads.parquet": "11d44025a819926f2adb36cdcb27eaadbee318bc7b054c30b271faff7432b45f",
    "factor-audit/yearly-audit.parquet": "d2461016e6ac0a8160f0c86e9b6938910156aa775c198ae14c32543cc844cc0e",
    "selection/annual-study-manifest.json": "402ae25580a4717ee86a973e67d1d1440f71b2216b407eb97159aa709f60af00",
    "selection/challenger/aggregate-manifest.json": "58f2592d8040f7fe1c65de02e58c102ab07cd0dbe72ab86ccaa641a7a0bbab13",
    "selection/challenger/model-fits.parquet": "06e35643ed63ffd81c0f800920d3b5f6b754f8c7ffe88ab2698a11ede2b29c95",
    "selection/progress.json": "ce9a749a7a382d7d27ebe915490e5e82abc282a8116bacf4f3d2ba900f64bda9",
    "selection/publication-gates.json": "6244e31630cb47234cc644dbf8689484745d955049cd8116bc877ce7431805ff",
    "selection/released/aggregate-manifest.json": "518010e20daa3f67ed7b65215c05bdf42f696e06b8e50470cf7978caca34fb26",
    "selection/released/aggregate-summary.json": "2f1cbf178253039b5e960f088c0385bb3b3d145abd4471695d984b8192b04fa1",
    "selection/released/daily.parquet": "f8cc674e395d41b5d7ebabfbda572f9a8c12589da0cc9da41ac85cd0412ff8a4",
    "selection/released/evaluation-labels.parquet": "d762b1a139ad4b8b168ea21621e8394aed8533d81dd7e009c256b445ac1f1bc9",
    "selection/released/evaluation-signals.parquet": "a8c606706019b50c37b78908f24ab664714d4a0c82cbddc43e368af7b3d80cf4",
    "selection/released/yearly-metrics.parquet": "05b5136102be09dffa2de782d4368d0fd3d8bdcf8df8948bb3dc96f00c26512e",
    "selection/selection.json": "337404609bb082edec9647efa8f9d920c073be5fb43a111dc486d6e42e35c9df"
  },
  "source_scope": {
    "expanded_candidate_count": 48,
    "factor_audit": "2017-2025",
    "released_candidate_count": 42,
    "rolling_evaluation": "2020-2025"
  }
}