{ "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" } } }