{ "generated_at": "2026-10-27 07:39:52 Asia/Shanghai", "latest_market_date": "2026-10-26", "account_summary": { "total_nav": 169470.18, "premarket_1026_nav": 169096.42, "confirmed_cash": 60983.63, "cash_weight_pct": 35.98, "stock_mv": 108486.55, "total_unrealized_pnl_dlr": -10934.93, "benchmark_date": "2026-10-19", "nav_on_benchmark": 170800.64, "bench_1019_prices": { "VOO": 704.6, "AMZN": 262.45, "SGOV": 100.59, "TSLA": 368.06, "SNDK": 1371.12, "ORCL": 129.59, "SPY": 766.48, "QQQ": 718.36, "CSCO": 106.5, "TXN": 276.15, "COP": 145.24, "LLY": 1240.34, "XOM": 178.28, "ANET": 182.95, "GOOGL": 344.18, "JNJ": 253.79 }, "ret_since_bench_pct": -0.78, "v3_shadow_ret_since_bench_pct": 0.71, "spy_ret_since_bench_pct": -0.14 }, "holdings": [ { "ticker": "VOO", "shares": 40, "cost": 705, "price": 703.41, "prev_close": 698.58, "premarket_2047_px": 700.58, "chg1d_pct": 0.69, "market_value": 28136.4, "cost_value": 28200, "pnl_dlr": -63.6, "pnl_pct": -0.23, "ma20": 707.91, "ma50": 704.73, "ma200": 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"shares": 56, "cost": 218.57, "price": 126.06, "prev_close": 126.16, "premarket_2047_px": 127.44, "chg1d_pct": -0.08, "market_value": 7059.36, "cost_value": 12239.92, "pnl_dlr": -5180.56, "pnl_pct": -42.33, "ma20": 135.03, "ma50": 141.99, "ma200": 157.15, "high20d": 144.24, "vs_ma20_pct": -6.65, "vs_ma50_pct": -11.22, "vs_ma200_pct": -19.78, "rsi14": 39.3, "dd_20d_pct": -12.6, "vol_1y_pct": 56.9, "beta_spy": 2.23, "mom12_1_pct": -52.7, "opm_pct": 32.1, "fcf_b": -28.72, "role": "存量观察个股", "rule_note": "破 MA200 且 FCF 为负，暂持至 2027-01 复盘", "weight_pct": 4.17, "over_8pct_line": false, "v3_pass": false, "v3_fail_reason": "跌破MA200 + FCF为负($-28.7B)" } ], "drift_analysis": [ { "bucket": "VOO 标普500底仓", "category": "核心指数 (Core)", "actual_pct": 16.6, "target_pct": 46, "drift_pct": -29.4, "actual_dlr": 28132, "target_dlr": 77956, "action_plan": "第1批40股已买；第2批(36股)等10/29凌晨美联储决议后；第3批(34股)等11/13 CPI与12/10议息" }, { "bucket": "SGOV + 美元现金池", "category": "流动性缓冲 (Cash)", "actual_pct": 47.86, "target_pct": 5, "drift_pct": 42.86, "actual_dlr": 81117, "target_dlr": 8474, "action_plan": "当前超配+42.8%充当宏观大事件前安全垫，随VOO分批建仓自然消化" }, { "bucket": "存量四只个股 (AMZN/TSLA/SNDK/ORCL)", "category": "待复盘旧仓 (Legacy)", "actual_pct": 35.54, "target_pct": 0, "drift_pct": 35.54, "actual_dlr": 60216, "target_dlr": 0, "action_plan": "四只均未通过V3质量/波动/趋势筛选；按约定不补仓、不强制砍仓，拿至2027年1月季度复盘" }, { "bucket": "V3合格质量动量卫星 (7只×7%)", "category": "目标Alpha卫星 (Target)", "actual_pct": 0, "target_pct": 49, "drift_pct": -49, "actual_dlr": 0, "target_dlr": 83040, "action_plan": "候选池 Top 7：TXN / CSCO / COP / LLY / XOM / ANET / GOOGL（2027-01复盘换仓切入）" } ], "trade_order_planner": { "za_fee_rule": "众安美股佣金 = max($1.99, $0.0099 × 股数)；卖出另加 SEC 规费 0.00206%", "cost_discipline_limit_pct": 0.15, "min_economical_order_dlr": 1327, "single_new_stock_cap_dlr": 8473.51, "half_tranche_entry_dlr": 4236.75, "stages": [ { "stage_id": "STAGE_1", "window": "近期执行 · 2026-10-29 (周四凌晨美联储决议落地后)", "action": "买入 VOO 第二批底仓", "ticker": "VOO", "side": "BUY", "shares": 36, "ref_price": 703.41, "est_notional_dlr": 25322.76, "est_fee_dlr": 1.99, "fee_drag_pct": 0.0079, "post_trade_weight_pct": 31.54, "execution_note": "限价单买入 36 股 VOO（持仓由 40 股升至 76 股），佣金仅 $1.99（磨损 0.0079% 远低于 0.15% 上限）" }, { "stage_id": "STAGE_2", "window": "中期计划 · 2026-11-13 CPI 与 12-10 议息落地后", "action": "买入 VOO 第三批底仓（完成46%核心配置）", "ticker": "VOO", "side": "BUY", "shares": 34, "ref_price": 703.41, "est_notional_dlr": 23915.94, "est_fee_dlr": 1.99, "fee_drag_pct": 0.0083, "post_trade_weight_pct": 45.66, "execution_note": "限价单买入 34 股 VOO（持仓升至 110 股，达标 ~46% 核心指数仓位），必要时同步赎回部分 SGOV" }, { "stage_id": "STAGE_3", "window": "季度复盘窗口 · 2027-01 第一个交易周", "action": "存量四只个股复盘处置 + V3 Top7 卫星分两批（2.5%+2.5%）切入", "ticker": "V3_TOP7", "side": "ROTATE", "shares": 142, "ref_price": 0, "est_notional_dlr": 28418.11, "est_fee_dlr": 13.93, "fee_drag_pct": 0.049, "post_trade_weight_pct": 49, "execution_note": "严格执行『单只新股≤5% ($8,474)、首笔半仓2.5% ($4,237)』纪律，7只首笔合计佣金 $13.93（磨损 0.047%）" } ], "satellite_half_tranche_orders": [ { "ticker": "TXN", "sector": "Semis", "price": 298.12, "target_5pct_shares": 28, "first_half_2_5pct_shares": 14, "first_half_notional": 4173.68, "za_fee_dlr": 1.99, "fee_drag_pct": 0.0477, "limit_price_suggest": 298.57 }, { "ticker": "CSCO", "sector": "Tech", "price": 110.24, "target_5pct_shares": 76, "first_half_2_5pct_shares": 38, "first_half_notional": 4189.12, "za_fee_dlr": 1.99, "fee_drag_pct": 0.0475, "limit_price_suggest": 110.41 }, { "ticker": "XOM", "sector": "Energy", "price": 184.54, "target_5pct_shares": 45, "first_half_2_5pct_shares": 22, "first_half_notional": 4059.88, "za_fee_dlr": 1.99, "fee_drag_pct": 0.049, "limit_price_suggest": 184.82 }, { "ticker": "LLY", "sector": "Pharma", "price": 1279.14, "target_5pct_shares": 6, "first_half_2_5pct_shares": 3, "first_half_notional": 3837.42, "za_fee_dlr": 1.99, "fee_drag_pct": 0.0519, "limit_price_suggest": 1281.06 }, { "ticker": "COP", "sector": "Energy", "price": 151.37, "target_5pct_shares": 55, "first_half_2_5pct_shares": 27, "first_half_notional": 4086.99, "za_fee_dlr": 1.99, "fee_drag_pct": 0.0487, "limit_price_suggest": 151.6 }, { "ticker": "JNJ", "sector": "Pharma", "price": 266.3, "target_5pct_shares": 31, "first_half_2_5pct_shares": 15, "first_half_notional": 3994.5, "za_fee_dlr": 1.99, "fee_drag_pct": 0.0498, "limit_price_suggest": 266.7 }, { "ticker": "ANET", "sector": "Tech", "price": 177.24, "target_5pct_shares": 47, "first_half_2_5pct_shares": 23, "first_half_notional": 4076.52, "za_fee_dlr": 1.99, "fee_drag_pct": 0.0488, "limit_price_suggest": 177.51 } ] }, "oos_walk_forward_curve": [ { "date": "2026-10-19", "actual_nav": 170800.64, "v3_shadow_nav": 170800.64, "spy_nav": 170800.64, "actual_ret_pct": 0, "v3_ret_pct": 0, "spy_ret_pct": 0 }, { "date": "2026-10-20", "actual_nav": 171221.01, "v3_shadow_nav": 171339.16, "spy_nav": 171373.33, "actual_ret_pct": 0.25, "v3_ret_pct": 0.32, "spy_ret_pct": 0.34 }, { "date": "2026-10-21", "actual_nav": 171984.39, "v3_shadow_nav": 172017.69, "spy_nav": 172273.61, "actual_ret_pct": 0.69, "v3_ret_pct": 0.71, "spy_ret_pct": 0.86 }, { "date": "2026-10-22", "actual_nav": 168717.24, "v3_shadow_nav": 169709.6, "spy_nav": 170239.1, "actual_ret_pct": -1.22, "v3_ret_pct": -0.64, "spy_ret_pct": -0.33 }, { "date": "2026-10-23", "actual_nav": 168072.84, "v3_shadow_nav": 170088.54, "spy_nav": 169349.96, "actual_ret_pct": -1.6, "v3_ret_pct": -0.42, "spy_ret_pct": -0.85 }, { "date": "2026-10-26", "actual_nav": 169470.18, "v3_shadow_nav": 172019.96, "spy_nav": 170553.29, "actual_ret_pct": -0.78, "v3_ret_pct": 0.71, "spy_ret_pct": -0.14 } ], "attribution": { "period": "2026-10-19 至 2026-10-26", "initial_nav": 170800.64, "premarket_1026_nav": 169096.42, "premarket_1026_ret_pct": -1, "ending_nav": 169470.18, "actual_ret_pct": -0.78, "v3_shadow_ret_pct": 0.71, "spy_bench_ret_pct": -0.14, "excess_vs_spy_pct": -0.64, "excess_vs_v3_pct": -1.49, "v3_excess_vs_spy_pct": 0.85, "components": [ { "name": "市场基准 Beta (SPY 同期表现)", "impact_pct": -0.14, "impact_dlr": -239, "detail": "SPY 自 766.48 变动至 765.37（10/26盘前为 -0.6%，最新盘中/收盘为 -0.14%）" }, { "name": "高现金+SGOV 防御缓冲效应 (Allocation)", "impact_pct": 0.06, "impact_dlr": 98, "detail": "约47.7%资金停放在现金与SGOV，在大盘回调日（如10/22-23）充当减震器" }, { "name": "存量四只个股选股特质损益 (Selection)", "impact_pct": -0.76, "impact_dlr": -1300, "detail": "AMZN(-0.71%) + SNDK(-0.61%) + ORCL(-0.12%) 拖累，TSLA(+0.68%) 对冲反弹" }, { "name": "V3 质量动量卫星组同期表现 (Shadow Alpha)", "impact_pct": 0.79, "impact_dlr": 1346, "detail": "7只合格卫星(CSCO/TXN/COP/LLY/XOM/ANET/GOOGL)同期贡献 +0.79%，跑赢存量四只 +1.55 个百分点" }, { "name": "历史执行纪律滑点 (SPCX 晚止损损耗)", "impact_pct": -0.22, "impact_dlr": -378, "detail": "10/13 收盘破158未按计划次日卖半仓，拖至10/19 @148全清，较双步止损纪律少回笼 $378" } ] }, "annual_walk_forward": [ { "year": "2018", "v3d_ret_pct": 1.27, "spy_ret_pct": -4.57, "voo_qqq_ret_pct": -3.19, "excess_vs_spy_pct": 5.83, "beat_spy": true }, { "year": "2019", "v3d_ret_pct": 25.75, "spy_ret_pct": 31.23, "voo_qqq_ret_pct": 33.64, "excess_vs_spy_pct": -5.47, "beat_spy": false }, { "year": "2020", "v3d_ret_pct": 26.42, "spy_ret_pct": 18.33, "voo_qqq_ret_pct": 27.35, "excess_vs_spy_pct": 8.09, "beat_spy": true }, { "year": "2021", "v3d_ret_pct": 13.99, "spy_ret_pct": 28.73, "voo_qqq_ret_pct": 28.38, "excess_vs_spy_pct": -14.74, "beat_spy": false }, { "year": "2022", "v3d_ret_pct": -10.82, "spy_ret_pct": -18.18, "voo_qqq_ret_pct": -22.46, "excess_vs_spy_pct": 7.35, "beat_spy": true }, { "year": "2023", "v3d_ret_pct": 26.58, "spy_ret_pct": 26.18, "voo_qqq_ret_pct": 34.88, "excess_vs_spy_pct": 0.4, "beat_spy": true }, { "year": "2024", "v3d_ret_pct": 50.07, "spy_ret_pct": 24.89, "voo_qqq_ret_pct": 25.16, "excess_vs_spy_pct": 25.18, "beat_spy": true }, { "year": "2025", "v3d_ret_pct": 16.46, "spy_ret_pct": 17.72, "voo_qqq_ret_pct": 18.71, "excess_vs_spy_pct": -1.26, "beat_spy": false }, { "year": "2026 YTD", "v3d_ret_pct": 25.67, "spy_ret_pct": 13.46, "voo_qqq_ret_pct": 14.69, "excess_vs_spy_pct": 12.21, "beat_spy": true } ], "factor_lab": [ { "factor_id": "Composite_QM", "factor_name": "V3 复合质量动量主因子 (Quality+Mom+Trend)", "rank_ic_mean": 0.0388, "rank_ic_std": 0.2004, "ic_ir_raw": 0.19, "ic_ir_ann": 0.67, "t_stat": 1.98, "ic_win_rate_pct": 61, "q1_top20_ann_pct": 34.02, "q2_ann_pct": 20.57, "q3_ann_pct": 17.35, "q4_ann_pct": 19.17, "q5_bot20_ann_pct": 20.89, "q1_minus_q5_ann_pct": 13.13, "promoted": true, "status_label": "已晋升纳入V3主模型" }, { "factor_id": "Quality_Fundamental", "factor_name": "AQR 盈利质量因子 (OPM>10% + FCF>0)", "rank_ic_mean": 0.0545, "rank_ic_std": 0.1773, "ic_ir_raw": 0.31, "ic_ir_ann": 1.07, "t_stat": 3.15, "ic_win_rate_pct": 61, "q1_top20_ann_pct": 40.43, "q2_ann_pct": 21.49, "q3_ann_pct": 14.57, "q4_ann_pct": 21.3, "q5_bot20_ann_pct": 19.43, "q1_minus_q5_ann_pct": 21, "promoted": true, "status_label": "已晋升纳入V3主模型" }, { "factor_id": "Mom_12_1", "factor_name": "Jegadeesh-Titman 12-1 横截面动量因子", "rank_ic_mean": 0.0228, "rank_ic_std": 0.2413, "ic_ir_raw": 0.09, "ic_ir_ann": 0.33, "t_stat": 0.97, "ic_win_rate_pct": 55.2, "q1_top20_ann_pct": 33.88, "q2_ann_pct": 18.82, "q3_ann_pct": 19.24, "q4_ann_pct": 14.9, "q5_bot20_ann_pct": 25.1, "q1_minus_q5_ann_pct": 8.78, "promoted": true, "status_label": "已晋升纳入V3主模型" }, { "factor_id": "Trend_Vol_Filter", "factor_name": "Faber MA200趋势+低波风控因子 (对风险调整收益)", "rank_ic_mean": 0.0352, "rank_ic_std": 0.1651, "ic_ir_raw": 0.21, "ic_ir_ann": 0.74, "t_stat": 2.19, "ic_win_rate_pct": 62.9, "q1_top20_ann_pct": 40.16, "q2_ann_pct": 19, "q3_ann_pct": 17.07, "q4_ann_pct": 18.03, "q5_bot20_ann_pct": 22.88, "q1_minus_q5_ann_pct": 17.28, "promoted": true, "status_label": "已晋升纳入V3主模型" }, { "factor_id": "Short_Rev_20d", "factor_name": "20日短期反转因子 (日频/短线调参反例 - 拒绝)", "rank_ic_mean": -0.0187, "rank_ic_std": 0.2136, "ic_ir_raw": -0.09, "ic_ir_ann": -0.3, "t_stat": -0.9, "ic_win_rate_pct": 50.5, "q1_top20_ann_pct": 23.67, "q2_ann_pct": 19.05, "q3_ann_pct": 19.29, "q4_ann_pct": 20.63, "q5_bot20_ann_pct": 34.17, "q1_minus_q5_ann_pct": -10.5, "promoted": false, "status_label": "样本外未达标·拒绝纳入" } ], "factor_decay_monitor": [ { "factor_id": "Composite_QM", "factor_name": "V3 复合质量动量主因子 (Quality+Mom+Trend)", "ic_9y_mean": 0.0388, "ic_recent_12p": 0.0375, "ic_recent_6p": 0.0808, "ic_recent_3p": -0.0284, "decay_status": "短期钝化观察 (Watch)", "action_note": "近60日财报季震荡致IC短期回落，但半年(+0.08)/9年仍显著为正，继续观察不改参", "alert_rule": "若 Composite_QM 主因子近60日滚动 Rank IC 连续两次跌破 0，晚间盘前任务自动触发『因子钝化预警』并冻结卫星加仓、优先配 VOO" }, { "factor_id": "Quality_Fundamental", "factor_name": "AQR 盈利质量因子 (OPM>10% + FCF>0)", "ic_9y_mean": 0.0545, "ic_recent_12p": 0.0594, "ic_recent_6p": 0.1042, "ic_recent_3p": 0.1153, "decay_status": "正常生效 (Active)", "action_note": "长期与近期IC均显著为正，维持V3季度正常轮动", "alert_rule": "若 Composite_QM 主因子近60日滚动 Rank IC 连续两次跌破 0，晚间盘前任务自动触发『因子钝化预警』并冻结卫星加仓、优先配 VOO" }, { "factor_id": "Mom_12_1", "factor_name": "Jegadeesh-Titman 12-1 横截面动量因子", "ic_9y_mean": 0.0228, "ic_recent_12p": 0.036, "ic_recent_6p": 0.094, "ic_recent_3p": -0.0963, "decay_status": "短期钝化观察 (Watch)", "action_note": "近60日财报季震荡致IC短期回落，但半年(+0.08)/9年仍显著为正，继续观察不改参", "alert_rule": "若 Composite_QM 主因子近60日滚动 Rank IC 连续两次跌破 0，晚间盘前任务自动触发『因子钝化预警』并冻结卫星加仓、优先配 VOO" }, { "factor_id": "Trend_Vol_Filter", "factor_name": "Faber MA200趋势+低波风控因子 (对风险调整收益)", "ic_9y_mean": 0.0352, "ic_recent_12p": 0.0345, "ic_recent_6p": 0.0386, "ic_recent_3p": 0.0235, "decay_status": "正常生效 (Active)", "action_note": "长期与近期IC均显著为正，维持V3季度正常轮动", "alert_rule": "若 Composite_QM 主因子近60日滚动 Rank IC 连续两次跌破 0，晚间盘前任务自动触发『因子钝化预警』并冻结卫星加仓、优先配 VOO" }, { "factor_id": "Short_Rev_20d", "factor_name": "20日短期反转因子 (日频/短线调参反例 - 拒绝)", "ic_9y_mean": -0.0187, "ic_recent_12p": -0.0267, "ic_recent_6p": 0.107, "ic_recent_3p": 0.2056, "decay_status": "因子失效/反向预警 (Decay Alert)", "action_note": "长期9Y与1Y IC均为负（或近期连续失效），已拦截在主模型外，严禁抄底破位股", "alert_rule": "若 Composite_QM 主因子近60日滚动 Rank IC 连续两次跌破 0，晚间盘前任务自动触发『因子钝化预警』并冻结卫星加仓、优先配 VOO" } ], "strategy_9y_table": [ { "策略": "SPY 不动", "年化%": 14.73, "波动%": 18.77, "最大回撤%": -33.72, "夏普": 0.7, "2022%": -18.18, "近1年%": 16.8, "跑赢SPY年份": 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