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9830.97962961, "fee_used": 0.001, "regime_loaded": "trend" }, "fee_10bps+slip_10bps": { "profit_pct": -2.0801051709, "trades": 2, "dd_pct": 2.080105170900006, "pf": 0.0, "winrate": 0.0, "final": 9791.98948291, "fee_used": 0.002, "regime_loaded": "trend" } }, "target": { "pf": 1.2, "dd": 15.0, "note": "LPS: PF>1.2, 次数增加" }, "version": "LPS_V1.1", "verdict": { "full_pf": 0.0, "full_dd": 1.4952529703999973, "trades_per_year": 0.5555555555555556, "net_mid_pf": 0.0, "target_pf_ok": false, "target_dd_ok": true } }, "LPS_V2": { "version": "LPS_V2", "wfo": { "train": { "timerange": "20230101-20250101", "profit_pct": -3.5049591933000004, "trades": 3, "dd_pct": 3.504959193300001, "pf": 0.0, "winrate": 0.0, "final": 9649.50408067, "fee_used": 0.0005, "regime_loaded": "trend" }, "validate": { "timerange": "20250101-20260101", "profit_pct": -1.6143743830000001, "trades": 2, "dd_pct": 1.614374382999995, "pf": 0.0, "winrate": 0.0, "final": 9838.5625617, "fee_used": 0.0005, "regime_loaded": "trend" }, 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"winrate": 50.0, "final": 10121.74468188, "fee_used": 0.0005, "regime_loaded": "bear" }, "range": { "profit_pct": 0.0, "trades": 0, "dd_pct": 0.0, "pf": 0.0, "winrate": 0.0, "final": 10000.0, "fee_used": 0.0005, "regime_loaded": "range" }, "all": { "profit_pct": -3.9055710949000004, "trades": 7, "dd_pct": 6.479119889400008, "pf": 0.39720654015221873, "winrate": 14.285714285714285, "final": 9609.44289051, "fee_used": 0.0005, "regime_loaded": "all" } }, "cost_stress": { "fee_5bps": { "profit_pct": -3.9055710949000004, "trades": 7, "dd_pct": 6.479119889400008, "pf": 0.39720654015221873, "winrate": 14.285714285714285, "final": 9609.44289051, "fee_used": 0.0005, "regime_loaded": "trend" }, "fee_5bps+slip_5bps": { "profit_pct": -4.5549168852, "trades": 7, "dd_pct": 7.020877735199993, "pf": 0.3512325585213674, "winrate": 14.285714285714285, "final": 9544.50831148, "fee_used": 0.001, "regime_loaded": "trend" }, "fee_10bps+slip_10bps": { "profit_pct": -5.371762636800001, "trades": 7, "dd_pct": 8.1297357765, "pf": 0.33924511392759654, "winrate": 14.285714285714285, "final": 9462.82373632, "fee_used": 0.002, "regime_loaded": "trend" } }, "target": { "pf": 1.2, "dd": 15.0, "note": "LPS V2: 4h SOS→1h LPS; PF>1.2; ~5-15/yr" }, "verdict": { "full_pf": 0.39720654015221873, "full_dd": 6.479119889400008, "trades_per_year": 1.9444444444444444, "net_mid_pf": 0.3512325585213674, "target_pf_ok": false, "target_dd_ok": true, "freq_ok": false, "regime_logic_ok": true, "status": "FAIL", "hypothesis": "4h native SOS → 1h LPS" } } }, "portfolio_note": { "spring_tpy": 5.555555555555555, "lps_tpy": 0.5555555555555556, "sum_tpy_approx": 6.111111111111111, "combined_target_tpy": "15-25", "lps_status": "FAIL", "spring_status": "PASS" }, "system_status": { "spring": "BASELINE FROZEN / PASS + Limited Evidence", "lps": "FAIL", "spring_tpy": 5.555555555555555, "lps_tpy": 1.9444444444444444, "next": "若 LPS PASS → 组合层;否则 Spring-only" } }