| { |
| "run_id": "20260413_163854_715331", |
| "config": { |
| "tickers": [ |
| "600036", |
| "601166", |
| "000001", |
| "002142", |
| "600519", |
| "000858", |
| "600887", |
| "603288", |
| "300750", |
| "002415", |
| "603986", |
| "688111", |
| "300760", |
| "600276", |
| "300347", |
| "300122", |
| "601899", |
| "600309", |
| "601100", |
| "002353" |
| ], |
| "start_date": "2025-09-01", |
| "end_date": "2026-02-28", |
| "market": "cn", |
| "trading_days": 102, |
| "initial_cash": 100000.0, |
| "analysts": [ |
| "fundamental", |
| "technical", |
| "company_news" |
| ] |
| }, |
| "shared_data_stats": { |
| "kline_fetch_time": 10.784690856933594, |
| "deepear_fetch_time": 0.0, |
| "cache_hits": 0, |
| "total_time": 10.78530478477478, |
| "shared_analyst_cache_dir": "data/backtest/shared_analyst_cache/20260413_163854_715331", |
| "shared_phase1_cache_dir": "data/backtest/shared_phase1_artifacts", |
| "execution_mode": "day_shared_phase1", |
| "shared_phase1_days": 102, |
| "shared_phase1_errors": 0, |
| "shared_phase1_token_usage": { |
| "total_input": 0, |
| "total_output": 0, |
| "calls": 0, |
| "by_agent": {} |
| }, |
| "shared_phase1_artifact_cache_hits": 0, |
| "shared_phase1_artifact_cache_misses": 102, |
| "shared_phase1_prefetch_submitted": 101, |
| "shared_phase1_prefetch_hits": 101, |
| "shared_phase1_prefetch_failures": 0, |
| "shared_phase1_sync_load_seconds": 216.23922538757324, |
| "shared_phase1_prefetch_compute_seconds": 17231.851764678955, |
| "shared_phase1_prefetch_wait_seconds": 0.002087831497192383, |
| "shared_phase1_prefetch_fallback_sync_seconds": 0.0, |
| "shared_phase1_prefetch_hit_rate": 1.0, |
| "shared_phase1_pipeline_hidden_seconds": 17231.849676847458, |
| "shared_phase1_pipeline_utilization": 0.9999998788388198, |
| "phase2_execution_mode": "parallel_threads" |
| }, |
| "total_duration": 93253.31149125099, |
| "personality_results": { |
| "fundamental_value": { |
| "personality": "fundamental_value", |
| "total_return": -0.0, |
| "max_drawdown": 4.06, |
| "sharpe_ratio": -0.2, |
| "trade_count": 90, |
| "win_rate": 46.34, |
| "avg_position_days": 58.8, |
| "metrics": { |
| "total_return": -0.0, |
| "annualized_return": -0.01, |
| "max_drawdown": 4.06, |
| "max_drawdown_duration": 54, |
| "sharpe_ratio": -0.2, |
| "sortino_ratio": -0.34, |
| "calmar_ratio": -0.0, |
| "cvar_95": 1.02, |
| "volatility": 8.24, |
| "total_trades": 90, |
| "trading_days": 102, |
| "avg_position_days": 58.8, |
| "avg_turnover_ratio": 0.0101, |
| "peak_turnover_ratio": 0.1664, |
| "annualized_turnover_ratio": 2.534, |
| "total_turnover_ratio": 1.0257, |
| "win_rate": 46.34, |
| "initial_cash": 100000.0, |
| "final_value": 99995.24, |
| "final_cash": 32230.52, |
| "benchmark_annualized_return": 21.26, |
| "benchmark_total_return": 8.11, |
| "excess_return": -21.27, |
| "tracking_error": 10.65, |
| "information_ratio": -1.89, |
| "up_capture_ratio": 0.31, |
| "down_capture_ratio": 0.48, |
| "beta": 0.41, |
| "alpha": -9.91, |
| "break_even_transaction_cost": 0.0, |
| "avg_cash_ratio": 0.3892, |
| "avg_gross_exposure": 0.6108, |
| "benchmark_source": "equal_weight_basket", |
| "value_filter_pass_rate": 0.0, |
| "value_consistency_score": 0.0 |
| }, |
| "token_usage": { |
| "total_input": 4129432, |
| "total_output": 690909, |
| "calls": 4080, |
| "by_agent": { |
| "risk_control": { |
| "input": 1966293, |
| "output": 356996, |
| "calls": 2040 |
| }, |
| "portfolio_manager": { |
| "input": 2163139, |
| "output": 333913, |
| "calls": 2040 |
| } |
| } |
| }, |
| "error_count": 0, |
| "duration_seconds": 67788.86008286476, |
| "run_id": "mp_fundamental_value_20260413_163905_878961" |
| }, |
| "behavioral_momentum": { |
| "personality": "behavioral_momentum", |
| "total_return": -2.52, |
| "max_drawdown": 5.28, |
| "sharpe_ratio": -0.84, |
| "trade_count": 666, |
| "win_rate": 42.81, |
| "avg_position_days": 6.03, |
| "metrics": { |
| "total_return": -2.52, |
| "annualized_return": -6.12, |
| "max_drawdown": 5.28, |
| "max_drawdown_duration": 96, |
| "sharpe_ratio": -0.84, |
| "sortino_ratio": -1.37, |
| "calmar_ratio": -1.16, |
| "cvar_95": 1.18, |
| "volatility": 9.4, |
| "total_trades": 666, |
| "trading_days": 102, |
| "avg_position_days": 6.03, |
| "avg_turnover_ratio": 0.1246, |
| "peak_turnover_ratio": 0.3288, |
| "annualized_turnover_ratio": 31.3931, |
| "total_turnover_ratio": 12.7067, |
| "win_rate": 42.81, |
| "initial_cash": 100000.0, |
| "final_value": 97476.11, |
| "final_cash": 54989.09, |
| "benchmark_annualized_return": 21.26, |
| "benchmark_total_return": 8.11, |
| "excess_return": -27.38, |
| "tracking_error": 10.31, |
| "information_ratio": -2.56, |
| "up_capture_ratio": 0.32, |
| "down_capture_ratio": 0.57, |
| "beta": 0.46, |
| "alpha": -16.98, |
| "break_even_transaction_cost": 0.0, |
| "avg_cash_ratio": 0.5212, |
| "avg_gross_exposure": 0.4788, |
| "benchmark_source": "equal_weight_basket", |
| "vol_scaling_activation_rate": 0.0, |
| "crash_breaker_trigger_count": 0.0, |
| "avg_momentum_exposure_multiplier": 1.0 |
| }, |
| "token_usage": { |
| "total_input": 4174329, |
| "total_output": 580695, |
| "calls": 4080, |
| "by_agent": { |
| "risk_control": { |
| "input": 1980997, |
| "output": 281813, |
| "calls": 2040 |
| }, |
| "portfolio_manager": { |
| "input": 2193332, |
| "output": 298882, |
| "calls": 2040 |
| } |
| } |
| }, |
| "error_count": 0, |
| "duration_seconds": 65185.494222164154, |
| "run_id": "mp_behavioral_momentum_20260413_163905_878974" |
| }, |
| "macro_tactical": { |
| "personality": "macro_tactical", |
| "total_return": 4.02, |
| "max_drawdown": 4.55, |
| "sharpe_ratio": 0.66, |
| "trade_count": 1777, |
| "win_rate": 50.48, |
| "avg_position_days": 18.39, |
| "metrics": { |
| "total_return": 4.02, |
| "annualized_return": 10.22, |
| "max_drawdown": 4.55, |
| "max_drawdown_duration": 60, |
| "sharpe_ratio": 0.66, |
| "sortino_ratio": 1.15, |
| "calmar_ratio": 2.25, |
| "cvar_95": 1.53, |
| "volatility": 12.91, |
| "total_trades": 1777, |
| "trading_days": 102, |
| "avg_position_days": 18.39, |
| "avg_turnover_ratio": 0.056, |
| "peak_turnover_ratio": 0.423, |
| "annualized_turnover_ratio": 14.1129, |
| "total_turnover_ratio": 5.7124, |
| "win_rate": 50.48, |
| "initial_cash": 100000.0, |
| "final_value": 104017.68, |
| "final_cash": 14603.34, |
| "benchmark_annualized_return": 21.26, |
| "benchmark_total_return": 8.11, |
| "excess_return": -11.04, |
| "tracking_error": 5.97, |
| "information_ratio": -1.66, |
| "up_capture_ratio": 0.68, |
| "down_capture_ratio": 0.8, |
| "beta": 0.77, |
| "alpha": -6.61, |
| "break_even_transaction_cost": 0.0, |
| "avg_cash_ratio": 0.1139, |
| "avg_gross_exposure": 0.8861, |
| "benchmark_source": "equal_weight_basket" |
| }, |
| "token_usage": { |
| "total_input": 0, |
| "total_output": 0, |
| "calls": 0, |
| "by_agent": {} |
| }, |
| "error_count": 0, |
| "duration_seconds": 6935.826610565186, |
| "run_id": "mp_macro_tactical_20260413_163905_878979" |
| }, |
| "smart_beta_passive": { |
| "personality": "smart_beta_passive", |
| "total_return": 0.3, |
| "max_drawdown": 2.62, |
| "sharpe_ratio": -0.22, |
| "trade_count": 85, |
| "win_rate": 47.22, |
| "avg_position_days": 69.73, |
| "metrics": { |
| "total_return": 0.3, |
| "annualized_return": 0.75, |
| "max_drawdown": 2.62, |
| "max_drawdown_duration": 54, |
| "sharpe_ratio": -0.22, |
| "sortino_ratio": -0.39, |
| "calmar_ratio": 0.29, |
| "cvar_95": 0.56, |
| "volatility": 5.04, |
| "total_trades": 85, |
| "trading_days": 102, |
| "avg_position_days": 69.73, |
| "avg_turnover_ratio": 0.0044, |
| "peak_turnover_ratio": 0.0874, |
| "annualized_turnover_ratio": 1.1093, |
| "total_turnover_ratio": 0.449, |
| "win_rate": 47.22, |
| "initial_cash": 100000.0, |
| "final_value": 100301.88, |
| "final_cash": 54851.7, |
| "benchmark_annualized_return": 21.26, |
| "benchmark_total_return": 8.11, |
| "excess_return": -20.51, |
| "tracking_error": 12.79, |
| "information_ratio": -1.53, |
| "up_capture_ratio": 0.15, |
| "down_capture_ratio": 0.24, |
| "beta": 0.21, |
| "alpha": -5.29, |
| "break_even_transaction_cost": 0.0, |
| "avg_cash_ratio": 0.6955, |
| "avg_gross_exposure": 0.3045, |
| "benchmark_source": "equal_weight_basket" |
| }, |
| "token_usage": { |
| "total_input": 0, |
| "total_output": 0, |
| "calls": 0, |
| "by_agent": {} |
| }, |
| "error_count": 0, |
| "duration_seconds": 28392.542983531952, |
| "run_id": "mp_smart_beta_passive_20260413_163905_878984" |
| }, |
| "equal_weight_index": { |
| "personality": "equal_weight_index", |
| "total_return": 6.5, |
| "max_drawdown": 6.25, |
| "sharpe_ratio": 0.97, |
| "trade_count": 84, |
| "win_rate": 68.18, |
| "avg_position_days": 91.74, |
| "metrics": { |
| "total_return": 6.5, |
| "annualized_return": 16.82, |
| "max_drawdown": 6.25, |
| "max_drawdown_duration": 59, |
| "sharpe_ratio": 0.97, |
| "sortino_ratio": 1.64, |
| "calmar_ratio": 2.69, |
| "cvar_95": 1.85, |
| "volatility": 15.15, |
| "total_trades": 84, |
| "trading_days": 102, |
| "avg_position_days": 91.74, |
| "avg_turnover_ratio": 0.0056, |
| "peak_turnover_ratio": 0.4935, |
| "annualized_turnover_ratio": 1.4064, |
| "total_turnover_ratio": 0.5693, |
| "win_rate": 68.18, |
| "initial_cash": 100000.0, |
| "final_value": 106495.39, |
| "final_cash": 1538.77, |
| "benchmark_annualized_return": 21.26, |
| "benchmark_total_return": 8.11, |
| "excess_return": -4.44, |
| "tracking_error": 1.52, |
| "information_ratio": -2.49, |
| "up_capture_ratio": 0.94, |
| "down_capture_ratio": 0.99, |
| "beta": 0.97, |
| "alpha": -3.86, |
| "break_even_transaction_cost": 0.0, |
| "avg_cash_ratio": 0.0138, |
| "avg_gross_exposure": 0.9862, |
| "benchmark_source": "equal_weight_basket" |
| }, |
| "token_usage": { |
| "total_input": 0, |
| "total_output": 0, |
| "calls": 0, |
| "by_agent": {} |
| }, |
| "error_count": 0, |
| "duration_seconds": 0.14212989807128906, |
| "run_id": "mp_equal_weight_index_20260413_163905_878987" |
| } |
| } |
| } |