{
  "preset": "cdb_new_optimized_v4",
  "description": "10Y CDB active/new bond validated with account-level idle-cash carry, cost stress, and rolling out-of-sample checks.",
  "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": "2026-07-20",
  "days": 1584,
  "active_days": 607,
  "active_ratio_pct": 38.32070707070707,
  "total_return_pct": 26.359098767123545,
  "annual_return_pct": 3.637592000174039,
  "max_drawdown_pct": -0.4570129859738925,
  "calmar": 7.959493738284806,
  "total_pnl": 26359098.767123297,
  "strategy_total_return_pct": 18.81594999999987,
  "strategy_annual_return_pct": 2.667939487993287,
  "strategy_max_drawdown_pct": -0.48208276773472614,
  "strategy_calmar": 5.534193849180197,
  "strategy_total_pnl": 18815950.0,
  "idle_cash_interest": 7543148.767123283,
  "transaction_cost": 0.0,
  "gross_strategy_pnl": 18815950.0,
  "idle_cash_share_of_total_pnl_pct": 28.61686901272803,
  "positive_month_ratio_pct": 91.13924050632912,
  "strategy_positive_month_ratio_pct": 62.0253164556962,
  "worst_month_pct": -0.12875821917808783,
  "best_month_pct": 1.9250013698630344,
  "strategy_worst_month_pct": -0.24340000000000256,
  "strategy_best_month_pct": 1.8927000000000207,
  "latest_signal_active": 1,
  "latest_cash_symbol": "260210.IB",
  "latest_futures_symbol": "T2609.CFE",
  "latest_ctd_symbol": "260007.IB",
  "latest_ctd_net_basis": 0.02212047967821512,
  "latest_ctd_irr_pct": 1.3041834631600844,
  "latest_yield_spread_bp": 23.50000000000001
}