{
  "schema_version": "1.1",
  "portfolio_code": "cn_etf_momentum_rotation",
  "strategy_type": "standard",
  "as_of_date": "2026-08-20",
  "generated_at": "2026-08-20T01:02:10Z",
  "reporting_session": "2026-08-19",
  "data_freshness": {
    "latest_session": "2026-08-19",
    "calendar_days_behind": 1,
    "stale": false,
    "available": true
  },
  "provenance": {
    "source": "rule_engine",
    "schema_version": "1.1",
    "engine_ref": "8acff67c4d4d799733b744ccccc126b899a19a0a",
    "config_ref": "sha256:83d7a7294b27f9b9d6539c356204c6ad1628f6fe3172b581a33a177c6baeddb1",
    "data_ref": "reporting_session:2026-08-19",
    "baseline_schema_version": "1.1",
    "baseline_ref": "prior_completed_episodes<2026-06-02",
    "version_mismatches": []
  },
  "headline": {
    "has_important_change": false,
    "label_zh": "最新交易日无重要变化",
    "label_en": "No significant changes in the latest session"
  },
  "current_state": {
    "position_state": "fully_invested",
    "status": "fully_invested",
    "invested_pct": 97.4,
    "cash_pct": 2.6,
    "estimated_invested_pct": 97.4,
    "valuation_basis": "position_value",
    "active_positions": 1,
    "total_symbols": 3,
    "status_label_zh": "满仓运行",
    "status_label_en": "Fully invested"
  },
  "change_summary": {
    "actions": {},
    "causes": {},
    "cause_labels_zh": [],
    "cause_labels_en": []
  },
  "risk_context": {
    "current_drawdown_pct": -22.7,
    "max_drawdown_pct": -30.35,
    "drawdown_relative_level": "elevated",
    "drawdown_vs_prior_max_ratio": 0.7479,
    "prior_max_drawdown_pct": -30.35,
    "prior_baseline_sample_end": "2026-06-02",
    "drawdown_percentile": 0.022,
    "baseline_ref": "prior_completed_episodes<2026-06-02",
    "drawdown_vs_max_ratio": 0.7479,
    "drawdown_level": "significant",
    "net_value": 9.4507,
    "daily_change_pct": -1.12,
    "drawdown_abs_level": "severe"
  },
  "normality_assessment": {
    "assessment": "normal",
    "reason_codes": [],
    "confidence": "high",
    "source": "rule_engine",
    "traffic_light": "yellow",
    "label_zh": "历史上约 2% 的交易日回撤与当前相当或更深；历史上 3 次同等或更深的回撤中有 2 次已恢复",
    "label_en": "About 2% of historical sessions were at this drawdown or deeper; 2 of 3 comparable episodes have recovered",
    "action_zh": "当前状态符合该策略已知的运行范围。",
    "action_en": "Current state is inside this strategy's known operating range."
  },
  "continuity": {
    "traded_today": false,
    "label_zh": "最新交易日无交易",
    "label_en": "No trades in the latest session"
  },
  "strategy_expectancy": {
    "win_rate": 0.4964,
    "required_win_rate": 0.3596,
    "expectancy_margin": 0.1368,
    "sample_count": 274,
    "confidence": "high",
    "scope": "full_backtest",
    "note_zh": "该指标衡量策略在完整回测期的交易期望余量，不表示当前回撤离危险区的距离，也不参与状态灯判定。",
    "note_en": "Historical expectancy margin over the full backtest. It is not a measure of how close the current drawdown is to danger, and it does not drive the status light."
  },
  "win_rate_context": {
    "required_win_rate": 0.3596,
    "recent_win_rate": 0.4964,
    "safety_margin": 0.1368,
    "confidence_level": "high",
    "sample_count": 274
  }
}