{
  "version": "m03-research-0.34.0",
  "rules": {
    "model": "m03-risk-parity-v1",
    "researchVersion": "m03-research-0.34.0",
    "experimentVersion": "research-experiment-0.34.0",
    "validationVersion": "m03-validation-0.34.0",
    "module": "M03",
    "sourceId": "ext_risk_parity_portfolio_v1",
    "sourceSha256": "7c24a41d42320952d9e42d2189749529a4b4f65fc66b28390624fa1efa334436",
    "horizon": "1d",
    "strategies": [
      "C01",
      "C02",
      "C03",
      "C04",
      "C06"
    ],
    "underlyingVersion": "research-0.26.0",
    "underlyingRules": [
      {
        "allocation": 0.4,
        "stopAtr": 2.1,
        "targetAtr": 4.2,
        "id": "C01",
        "name": "三币均线趋势",
        "entry": "EMA11 > EMA65 且 ADX14 ≥ 21；空仓时满足即可入场，不要求当根金叉。",
        "exit": "EMA11 ≤ EMA65，或入场固定 ATR 止损 / 止盈。",
        "provenance": "采用附件 Var01 的 11 / 65、ATR14、2.1 / 4.2、ADX21；EMA 类型、ADX 窗口及执行顺序为本次补充。4h / 日线为新适配版本，未复现原 1h 收益。源波动率目标和杠杆未启用。",
        "parameters": {
          "fast_ema": 11,
          "slow_ema": 65,
          "adx_window": 14,
          "adx_min": 21,
          "atr_window": 14,
          "stop_atr": 2.1,
          "target_atr": 4.2
        }
      },
      {
        "allocation": 0.4,
        "stopAtr": 2,
        "targetAtr": null,
        "id": "C02",
        "name": "Donchian 突破",
        "entry": "收盘价 > 前 20 根最高价；通道排除当前 K 线。",
        "exit": "收盘价 < 前 10 根最低价，或入场固定 2 ATR 止损。",
        "provenance": "原卡只有通用趋势模板。通道 20 / 10 与 ATR14、2 ATR 止损采用上轮拟议定义；不是原附件回测的复现。",
        "parameters": {
          "entry_window_bars": 20,
          "exit_window_bars": 10,
          "atr_window": 14,
          "stop_atr": 2
        }
      },
      {
        "allocation": 0.4,
        "stopAtr": 2,
        "targetAtr": null,
        "id": "C03",
        "name": "布林带趋势突破",
        "entry": "收盘价 > 前一期 20 根收盘价均值 + 2 倍总体标准差，且前一期相对带宽较再前一期严格扩张。",
        "exit": "收盘价 ≤ 前一期中轨，或入场固定 2 ATR 止损。",
        "provenance": "源卡缺少布林参数；20 根、2 倍总体标准差、滞后带宽扩张和中轨退出均为补充定义。未复现源 1h 回测；统一 40% 仓位、无杠杆。",
        "parameters": {
          "band_window_bars": 20,
          "band_multiplier": 2,
          "band_lag_bars": 1,
          "atr_window": 14,
          "stop_atr": 2
        }
      },
      {
        "allocation": 0.4,
        "stopAtr": 2,
        "targetAtr": null,
        "id": "C04",
        "name": "时间序列动量",
        "entry": "每个 UTC 日收盘，6 天及 22 天对数收益均 > 0 时偏多；4h 使用 36 / 132 根，只在 UTC 日末更新。",
        "exit": "每日任一动量 ≤ 0 时退出；固定 2 ATR 止损每根观察。",
        "provenance": "6 / 22 天和每日调仓沿用源 Var01。逐币双窗口同向判别与 ATR 止损为补充，不使用源 top_n 排名、波动过滤或 50% 单币仓位；统一为 40%，无杠杆。",
        "parameters": {
          "short_days": 6,
          "long_days": 22,
          "rebalance": "UTC_daily_close",
          "atr_window": 14,
          "stop_atr": 2
        }
      },
      {
        "allocation": 0.4,
        "stopAtr": 2,
        "targetAtr": null,
        "id": "C06",
        "name": "成交量确认动量",
        "entry": "收盘突破前 20 天（20 根）最高价，且成交量 > 前 20 根均量 × 1.2；两个窗口都排除当前 K 线。",
        "exit": "收盘跌破前 10 天（10 根）最低价，或入场固定 2 ATR 止损。",
        "provenance": "20 天、均量 20 根、1.2 倍沿用原卡；价格通道、10 天退出与 ATR 止损为补充。原仓位上限 50%，对比实验统一为 40%。",
        "parameters": {
          "entry_window_bars": 20,
          "exit_window_bars": 10,
          "volume_window_bars": 20,
          "volume_multiplier": 1.2,
          "atr_window": 14,
          "stop_atr": 2
        }
      }
    ],
    "warmupBars": 260,
    "covarianceDays": 30,
    "minBars": 320,
    "minActiveDays": 5,
    "varianceEpsilon": 1e-12,
    "shrinkage": 0.1,
    "ridgeAnnualVolPct": 1,
    "targetVolPct": 20,
    "maxSleevePct": 40,
    "turnoverThresholdPct": 2,
    "solverTolerance": 1e-8,
    "solverMaxIterations": 10000,
    "annualDays": 365.25,
    "scope": "single asset, single venue, five frozen fixed-parameter strategy NAV sleeves; hypothetical research capital only",
    "covariance": "sample covariance of last 30 daily NET simple returns; exclude sleeves with fewer than 5 nonzero returns or variance <= 1e-12; require at least two eligible sleeves",
    "regularization": "0.9 * sample covariance + 0.1 * diagonal(sample covariance) + (0.01^2 / 365.25) * identity",
    "solver": "cyclical positive-root coordinate descent of 0.5*x^T*S*x - sum((1/n)*log(x_i)); normalize; require max relative risk-share error <= 1e-8",
    "allocation": "scale the entire normalized vector by min(1, 0.20/annualVol, 0.40/maxWeight), leaving cash; no individual clipping, no leverage",
    "timing": "observe Sunday UTC daily close, execute at NEXT daily close after that day return; unchanged old allocation earns the intervening day; new weights affect subsequent returns",
    "costModel": "virtual strategy NAV units; embedded strategy fees/slippage plus additive turnover proxy feeBps+slippageBps on absolute sleeve transfers; solve post-cost equity self-consistently; no exchange-order claim",
    "rebalance": "weekly, full target if risky-leg absolute weight change > 2pp; force removal of ineligible sleeves; no weekly execution on terminal day; terminal redemption always",
    "failure": "insufficient eligible sleeves or ERC solver failure means ERC cash; equal and inverse-vol comparisons use same eligible universe; stress uses frozen base-cost ERC targets",
    "sourceBacktestAvailable": false,
    "blindOutOfSample": false,
    "productionEnabled": false,
    "executionAllowed": false,
    "references": [
      "https://arxiv.org/abs/1311.4057",
      "https://arxiv.org/abs/1902.05710"
    ],
    "underlyingSizing": {
      "targetVolPct": 40,
      "maxPositionPct": 40,
      "lookbackDays": 20,
      "rebalance": "daily",
      "thresholdPct": 2
    }
  },
  "dataset": "existing frozen Binance daily files; local manifest SHA-256 checks",
  "fetchedNow": false,
  "blindOutOfSample": false,
  "sourceMetricsReproduced": false,
  "crossAssetPortfolio": false,
  "executionAllowed": false,
  "costs": {
    "feeBps": 10,
    "slippageBps": 5
  },
  "results": [
    {
      "asset": "BTC",
      "source": {
        "asset": "BTC",
        "horizon": "1d",
        "url": "/research/market/BTC-1d.json",
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      "plansHash": "2d434e86b52bb0a189101f9f3dc36b218a5509bda2a5f59c8ed0ac51d50368b3",
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        "maxSolverError": 9.99322002925851e-9
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      "stats": {
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          "realizedVolPct": 10.973678751907395,
          "averageAllocatedPct": 74.309566447923,
          "averageExposurePct": 16.554627537810152,
          "transferTurnoverPct": 4724.2547327872935,
          "embeddedFeePct": 2.5428526540378567,
          "embeddedSlippagePct": 1.2715175529682212,
          "transferFeePct": 4.724254732787291,
          "transferSlippagePct": 2.3621273663936453,
          "rebalances": 117
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        "equal": {
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          "averageAllocatedPct": 75.69620456007812,
          "averageExposurePct": 16.892101491576184,
          "transferTurnoverPct": 3717.4969715860875,
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          "transferFeePct": 3.7174969715860886,
          "transferSlippagePct": 1.8587484857930443,
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          "averageExposurePct": 16.63711874475189,
          "transferTurnoverPct": 4655.798943549691,
          "embeddedFeePct": 2.5160432259957224,
          "embeddedSlippagePct": 1.2581135081125414,
          "transferFeePct": 4.655798943549694,
          "transferSlippagePct": 2.327899471774847,
          "rebalances": 116
        },
        "stress": {
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          "averageAllocatedPct": 74.30879907031435,
          "averageExposurePct": 16.53938449816751,
          "transferTurnoverPct": 4508.638268876906,
          "embeddedFeePct": 4.864403818663811,
          "embeddedSlippagePct": 2.432548632688721,
          "transferFeePct": 9.017276537753808,
          "transferSlippagePct": 4.508638268876904,
          "rebalances": 118
        }
      }
    },
    {
      "asset": "ETH",
      "source": {
        "asset": "ETH",
        "horizon": "1d",
        "url": "/research/market/ETH-1d.json",
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      "stats": {
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          "realizedVolPct": 12.245000660869206,
          "averageAllocatedPct": 65.42932713470239,
          "averageExposurePct": 12.811532459369124,
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          "embeddedFeePct": 2.4949142872799657,
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          "transferFeePct": 3.896859713241942,
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          "rebalances": 103
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          "averageAllocatedPct": 67.07067921156565,
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          "transferSlippagePct": 1.8840513623386765,
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          "embeddedFeePct": 4.782051897692312,
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          "transferSlippagePct": 3.7333072644111023,
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      }
    },
    {
      "asset": "SOL",
      "source": {
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        "horizon": "1d",
        "url": "/research/market/SOL-1d.json",
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}