{
  "preset": "cdb_new_balanced_v2",
  "description": "10Y CDB active/new bond with basis <= 0.07, spread >= 10bp and CTD IRR >= 1.6%.",
  "accounting_method": "Cash-account MTM. Repo financing cost applies only to cash-bond face above account equity; inactive cash is lent at the daily funding rate.",
  "futures_rounding": "Nearest integer T futures contracts; residual DV01 exposure is retained.",
  "base_strategy": "cdb_new10",
  "risk_scale": 1.0,
  "leverage_cap": 1.7,
  "account_equity_rmb": 100000000.0,
  "cash_face_rmb": 100000000.0,
  "repo_financing_rmb": 0.0,
  "start": "2020-01-03",
  "end": "2026-06-03",
  "days": 1552,
  "active_days": 454,
  "active_ratio_pct": 29.25257731958763,
  "total_return_pct": 25.51003191780863,
  "annual_return_pct": 3.6030263010262686,
  "max_drawdown_pct": -0.5508438812540151,
  "calmar": 6.54092098259103,
  "total_pnl": 25510031.917808358,
  "strategy_total_return_pct": 17.024950000000104,
  "strategy_annual_return_pct": 2.4794147559286994,
  "strategy_max_drawdown_pct": -0.5652671700137835,
  "strategy_calmar": 4.3862705769171795,
  "strategy_total_pnl": 17024950.00000012,
  "idle_cash_interest": 8485081.917808216,
  "idle_cash_share_of_total_pnl_pct": 33.26174559540572,
  "positive_month_ratio_pct": 97.43589743589743,
  "strategy_positive_month_ratio_pct": 61.53846153846154,
  "worst_month_pct": -0.20794178082189918,
  "best_month_pct": 1.430058219178073,
  "strategy_worst_month_pct": -0.21774999999998132,
  "strategy_best_month_pct": 1.424249999999991,
  "latest_signal_active": 0,
  "latest_cash_symbol": "260205.IB",
  "latest_futures_symbol": "T2609.CFE",
  "latest_ctd_symbol": "260007.IB",
  "latest_ctd_net_basis": 0.005024810711865446,
  "latest_ctd_irr_pct": 1.3972264218163706,
  "latest_yield_spread_bp": 22.499999999999986
}