{
  "data_end": "2026-06-26",
  "train_end": "2018-12-31",
  "test_start": "2019-01-01",
  "label": "excess_over_median (monthly cross-sectional next-month excess return)",
  "model": "LightGBM regressor (gradient boosted trees)",
  "top_n": 30,
  "n_features": 12,
  "features": [
    "rsi",
    "willr",
    "mom",
    "cci",
    "adx",
    "price_pos",
    "vol_ratio",
    "pb",
    "pe",
    "rev_yoy",
    "rev_mom",
    "foreign"
  ],
  "rank_ic": {
    "in_sample": 0.529,
    "out_of_sample": 0.0272,
    "cpcv_folds_mean": 0.0298,
    "cpcv_folds": [
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      0.0272,
      0.0315,
      0.0322,
      0.0478,
      0.0312,
      0.0213,
      0.0192,
      0.0362,
      0.0184,
      0.0269,
      0.0473,
      0.0175,
      0.0354,
      0.0395
    ]
  },
  "strategy_full": {
    "cagr": 125.4,
    "daily_sharpe": 3.322,
    "monthly_sharpe": 2.553,
    "max_drawdown": -45.82,
    "total_return": 9249503.9,
    "window": "2012-05-31 ~ 2026-06-26",
    "avg_turnover_monthly": 1.642
  },
  "strategy_in_sample": {
    "cagr": 338.34,
    "daily_sharpe": 6.794,
    "monthly_sharpe": 5.555,
    "max_drawdown": -13.78,
    "total_return": 1662354.15,
    "window": "2012-05-31 ~ 2018-12-31"
  },
  "strategy_out_of_sample": {
    "cagr": 26.01,
    "daily_sharpe": 0.982,
    "monthly_sharpe": 0.872,
    "max_drawdown": -45.82,
    "total_return": 463.62,
    "window": "2019-01-01 ~ 2026-06-26"
  },
  "benchmark_0050_full": {
    "cagr": 19.77,
    "daily_sharpe": 1.109,
    "monthly_sharpe": 1.072,
    "max_drawdown": -33.96,
    "total_return": 1165.53,
    "name": "0050 含息",
    "window": "2012-05-31 ~ 2026-06-26"
  },
  "benchmark_0050_out_of_sample": {
    "cagr": 29.9,
    "daily_sharpe": 1.379,
    "monthly_sharpe": 1.246,
    "max_drawdown": -33.96,
    "total_return": 607.44,
    "name": "0050 含息",
    "window": "2019-01-01 ~ 2026-06-26"
  },
  "decile_oos_next_month_excess_return_pct": {
    "1": 1.676,
    "2": 1.373,
    "3": 1.397,
    "4": 1.573,
    "5": 1.539,
    "6": 1.673,
    "7": 1.784,
    "8": 1.997,
    "9": 2.141,
    "10": 2.643
  },
  "feature_importance": {
    "price_pos": 1216,
    "vol_ratio": 1137,
    "pe": 1108,
    "rev_mom": 1063,
    "pb": 1037,
    "adx": 986,
    "rev_yoy": 968,
    "foreign": 965,
    "mom": 950,
    "rsi": 910,
    "cci": 831,
    "willr": 829
  }
}