{
  "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": 1.7,
  "leverage_cap": 1.7,
  "account_equity_rmb": 100000000.0,
  "cash_face_rmb": 170000000.0,
  "repo_financing_rmb": 70000000.0,
  "start": "2020-01-03",
  "end": "2026-07-20",
  "days": 1584,
  "active_days": 607,
  "active_ratio_pct": 38.32070707070707,
  "total_return_pct": 29.859582958904497,
  "annual_return_pct": 4.07099622289675,
  "max_drawdown_pct": -0.8336576180474453,
  "calmar": 4.883295173900828,
  "total_pnl": 29859582.958904132,
  "strategy_total_return_pct": 22.316434191780843,
  "strategy_annual_return_pct": 3.1242139423717674,
  "strategy_max_drawdown_pct": -0.9525318425057883,
  "strategy_calmar": 3.279904988953461,
  "strategy_total_pnl": 22316434.191780813,
  "idle_cash_interest": 7543148.767123283,
  "transaction_cost": 6568300.0,
  "gross_strategy_pnl": 28884734.191780813,
  "idle_cash_share_of_total_pnl_pct": 25.26207006141027,
  "positive_month_ratio_pct": 87.34177215189874,
  "strategy_positive_month_ratio_pct": 58.22784810126582,
  "worst_month_pct": -0.47963465753418,
  "best_month_pct": 2.961479643835652,
  "strategy_worst_month_pct": -0.5486757534245911,
  "strategy_best_month_pct": 2.9291782739726377,
  "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
}