{
  "content_version": "2026-09-21-QT-DE-review-v2",
  "input_version": "QT-DE-adopted-inputs-20260921-v1",
  "dataset": {
    "file": "data/BusEq-value-weighted-monthly-199001-202512.csv",
    "origin_input_version": "QT-C-inputs-20260921-v1",
    "transport_sha256": "72dd0f35d9437d268971de8553827a5c7a4f85ebcf9712c0c1b85ea2ec7cfa74",
    "source_url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/30_Industry_Portfolios_CSV.zip",
    "source_details_url": "https://mba.tuck.dartmouth.edu/pages/Faculty/ken.french/Data_Library/det_30_ind_port.html",
    "regime_url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html",
    "vintage": "202607 CRSP database; current CIZ reconstruction",
    "download_date": "2026-09-21",
    "block": "Average Value Weighted Returns -- Monthly",
    "column": "BusEq",
    "sample": [
      "199001",
      "202512"
    ],
    "n": 432,
    "source_lines": [
      775,
      1206
    ],
    "missing_removed": 0,
    "missing_codes": [
      -99.99,
      -999
    ],
    "raw_unit": "percent",
    "internal_unit": "monthly decimal return",
    "display_errors": "百分点/月",
    "annualized": false,
    "identity": "单一当前重建快照；不是FIZ/CIZ时间拼接，不是逐月当时可见版本。"
  },
  "forecast": {
    "experiment_id": "EXP-QT-D-FORECAST-01",
    "p_grid": [
      1,
      3,
      12
    ],
    "lambda_grid": [
      0.0,
      0.1,
      1.0,
      10.0
    ],
    "default_candidate": "p1-l10",
    "target": "y_t=r_t",
    "features": "(r_(t-1),...,r_(t-p))",
    "warmup": [
      "199001",
      "199012"
    ],
    "initial_train": [
      "199101",
      "200912",
      228
    ],
    "validation": [
      "201001",
      "201912",
      120
    ],
    "historical_evaluation": [
      "202001",
      "202512",
      72
    ],
    "train_start_index": 12,
    "objective": "RSS/n + lambda*||beta||^2",
    "matrix_penalty": "n*lambda*I",
    "standardization_ddof": 0,
    "intercept_penalized": false,
    "selection": "minimum validation SSE including zero and expanding-mean baselines",
    "tie_rule": "regression grid: smaller p then smaller lambda",
    "frozen_hyperparameters_after_validation": true,
    "refit": "每原点用新成熟标签扩展重拟合；不再次选择p或lambda",
    "availability": "教学月末可知收益假设；French历史真实发布和接收时点未重建",
    "future_scaling_control": {
      "p": 12,
      "lambdas": [
        0.0,
        0.1
      ],
      "scope": "validation only",
      "identity": "故意信息越界对照"
    },
    "default_clock_month": "201001",
    "default_clock_lambda": 0.1
  },
  "selection": {
    "experiment_id": "EXP-QT-D-SELECT-01",
    "B": 5000,
    "m_grid": [
      1,
      10,
      100,
      500
    ],
    "default_m": 100,
    "seed_all_null": 2201,
    "seed_mixed": 2202,
    "rng": "numpy.random.Generator(PCG64)",
    "n_development": 120,
    "n_holdout": 120,
    "sigma": 0.05,
    "alpha": 0.05,
    "hypothesis": "事前单侧H0:mu=0 versus H1:mu>0; sigma known",
    "pvalue": "0.5*erfc(Z/sqrt(2))",
    "draw_order": "先取(5000,500)开发Z矩阵，再取独立保留Z矩阵；M为共同500列前缀。mixed另重置2202。",
    "bh_adopted_comparison": "strict <",
    "source_pilot_comparison": "<=",
    "empty_BH": "k=0, no rejections, FDP=0",
    "mixed": {
      "m": 100,
      "signals": 10,
      "signal_mu": 0.01,
      "null_mu": 0.0
    },
    "identity": "直接模拟正态样本均值的Z分布；不含逐月路径，不是真实策略面板",
    "equal_example": {
      "p": [
        0.025,
        0.06
      ],
      "q": 0.05
    },
    "manual_example": {
      "p": [
        0.006,
        0.012,
        0.601,
        0.756,
        0.918
      ],
      "q": 0.05
    }
  },
  "cost": {
    "experiment_id": "EXP-QT23-COST-01",
    "rf": 0,
    "continuous_default": {
      "mu": 0.015,
      "rho": 0,
      "sigma": 0.1,
      "gamma": 2,
      "w0": 0.5,
      "kappa": 0.002,
      "cap": 0.8,
      "cash_min": 0.2
    },
    "integer_default": {
      "mu": 0.002,
      "rho": 0,
      "sigma": 0.02,
      "gamma": 10,
      "wealth": 10000,
      "initial_shares": 0,
      "mid": 100,
      "ask": 100.05,
      "cap": 80,
      "cash_min": 2000,
      "mode": "spread_and_commission"
    },
    "fee": {
      "id": "QTDE-IBKR",
      "url": "https://www.interactivebrokers.com/en/pricing/commissions-stocks.php?re=amer",
      "accessed_at": "2026-09-21",
      "scope": "IBKR Pro US Fixed ordinary whole-share single-order commission component only",
      "formula": "q=0:0; otherwise min(0.01*execution_price*abs(q),max(1,0.005*abs(q)))"
    },
    "identity": "收益、波动、风险系数、报价、价差、容量为教学设定；佣金是有日期的实际规则组件",
    "end_value": "期末中价标记；没有退出委托，非往返净利",
    "excluded_costs": [
      "监管/交易所/清算等其他收费",
      "税",
      "市场冲击",
      "持仓融资费",
      "退出交易费",
      "零股及改单最低费规则"
    ]
  },
  "clocks": {
    "view_id": "EXP-QT-D-CLOCK-01",
    "shared_experiment": "EXP-QT-D-FORECAST-01",
    "BEA": [
      {
        "period": "2020Q2",
        "vintage": "advance",
        "release_at": "2020-07-30T08:30:00-04:00",
        "received_at": null,
        "value_percent_SAAR": -32.9
      },
      {
        "period": "2020Q2",
        "vintage": "second",
        "release_at": "2020-08-27T08:30:00-04:00",
        "received_at": null,
        "value_percent_SAAR": -31.7
      }
    ],
    "h3_task": {
      "formula": "prod(1+r_(s+j),j=1..3)-1",
      "cutoff": "202003",
      "latest_mature_origin": "201912",
      "performance_run": false
    }
  },
  "scale_examples": {
    "raw_x": [
      -1,
      1
    ],
    "y": [
      -1,
      1
    ],
    "lambda": 1.0,
    "default_feature_scale": 10.0,
    "response_scale": 100.0
  },
  "source_identities": {
    "d_pilot": {
      "file": "qt-d-experiment-pilot.py",
      "sha256": "b8a23b01294d543b3b74c6a153168529db74ab7c84837ea3724a55f5071fd3fb",
      "read_scope": "1–193"
    },
    "ef_pilot": {
      "file": "qt-ef-calculations.py",
      "sha256": "28eff60cf87400805af145fabd22d4fe17e2c25bac3708cd9e71506d939acb20",
      "adopted_scope": "commission, continuous_case, integer_case, decision_calculation"
    },
    "approval": {
      "file": "qt-de-draft-approved.md",
      "read_scope": "1–7",
      "sha256": "80e92333d057772de9463d786a9be435c6dc1208744bf828d5eb2a4d2a5e9a48"
    },
    "plan_review": {
      "file": "qt-def-plan-review.md",
      "read_scope": "1–20",
      "sha256": "56fddfa847ca0f83ec4822652c506f847e9da4e45f7223c039b31428f3aedfd4"
    }
  }
}