Rank213 正式策略收束（冻结参数版）

边界：不新增参数优化，不新增策略想法；只做 baseline / veto / gate 正式定义与同口径回测收束。

证据等级提醒：本页保留为 formal rule / frozen gate 定义参考；历史有效性讨论默认先看 evidence_map 和 monthly_volume_universe_rebuild。本页不能单独用来证明“历史滚动 Top30 已通过”。

universe_selection_audit · family_operating_board · fee_sensitivity_review · monthly_volume_universe_rebuild · regime_review · runner

1) 正式定义（冻结）

baseline
15m 频率，formation=64、hold=12，按 as-of 可见 universe 做截面排名，top3 long / bottom3 short，等权 market-neutral。

veto
在 baseline 的 short 候选上执行 jump veto：若过去 formation 窗内最大15m上冲 >= max(1.5%, 2.0×全市场中位max-up-bar)，则跳过并向下顺延补齐 short。

gate
使用最近30天滚动窗口特征投票；每条规则按阈值判断 pass，满足票数>=ceil(valid_rules*0.67) 即 ON，否则 OFF。OFF 时 baseline+veto 结果记为 flat(0收益、0换手)。

veto_active_rate >= 0.3401 and xs_dispersion_bps >= 379.5133 and ls_divergence_bps >= 5.0783；满足票数>=ceil(valid*0.67) 为 ON

source: reports/artifacts/paper_rank213_largecap_xs_jump_veto/rank213_asof_universe_long_history_detail.csv + reports/artifacts/paper_rank213_largecap_xs_jump_veto/rank213_formal_strategy_freeze_summary.json

2) 三件套同口径全样本结果

strategy	rebalances	net_mean_bps	net_cum_pct	max_drawdown_pct	win_rate_pct	avg_turnover_x
plain baseline	18087	-1.13 bps	-95.12%	-99.21%	46.44%	1.000x
baseline+veto	18087	-0.84 bps	-89.98%	-99.06%	46.04%	1.066x
baseline+veto+gate	18087	0.45 bps	100.72%	-32.01%	2.54%	0.065x

差值（Δ）

delta	net_mean_bps	net_cum_pct	max_drawdown_reduction_pct_points	win_rate_pct_points	avg_turnover_x
veto - plain	0.30 bps	5.14%	0.16%	-0.39%	0.066x
gate - veto	1.29 bps	190.70%	67.05%	-43.51%	-1.001x
gate - plain	1.59 bps	195.85%	67.21%	-43.90%	-0.935x

3) 按年表现 + 差值

year	rebalances	plain_net_mean_bps	plain_net_cum_pct	veto_net_mean_bps	veto_net_cum_pct	gate_net_mean_bps	gate_net_cum_pct	delta_veto_minus_plain_net_mean_bps	delta_gate_minus_veto_net_mean_bps	delta_gate_minus_plain_net_mean_bps	gate_on_rate_pct
2020.0000	2680.0000	-3.67 bps	-64.59%	-3.99 bps	-67.40%	0.00 bps	0.00%	-0.32 bps	3.99 bps	3.67 bps	0.00%
2021.0000	2920.0000	2.77 bps	90.04%	1.97 bps	51.35%	0.00 bps	0.00%	-0.81 bps	-1.97 bps	-2.77 bps	0.00%
2022.0000	2920.0000	-5.26 bps	-79.61%	-5.52 bps	-80.97%	0.00 bps	0.00%	-0.26 bps	5.52 bps	5.26 bps	0.00%
2023.0000	2920.0000	-0.26 bps	-12.84%	-0.79 bps	-24.93%	0.00 bps	0.00%	-0.53 bps	0.79 bps	0.26 bps	0.00%
2024.0000	2928.0000	-1.97 bps	-48.60%	-1.98 bps	-48.64%	0.00 bps	0.00%	-0.02 bps	1.98 bps	1.97 bps	0.00%
2025.0000	2920.0000	-1.38 bps	-48.82%	-0.09 bps	-21.47%	0.04 bps	-2.36%	1.29 bps	0.14 bps	1.43 bps	14.35%
2026.0000	799.0000	9.02 bps	55.03%	17.92 bps	252.57%	10.12 bps	105.58%	8.90 bps	-7.80 bps	1.10 bps	61.70%

yearly csv: reports/artifacts/paper_rank213_largecap_xs_jump_veto/rank213_formal_threeway_backtest_yearly.csv