JY · 量化研究工作台
GRU V4 · TARGET × LOSS ALIGNMENT

GRU V4收益—回撤优先复核报告

固定1层×64通道、24特征、60日窗口，仅比较目标周期与损失函数。193日 canonical holding_return 用于共同5日 Rank IC；196个组合估值日期使用 Top50 与相同成本口径，终端停牌持仓只作估值标记。

不可变基线已核对C0 / T1 / L1 / TL14折滚动OOS1 / 5 / 10 bp

执行结论

收益回撤决定可用层级；跨折、换手和规模用于标注风险
当前判断：TL1的seed42、seed7与seed2024均通过5bp收益—回撤核心线；其中TL1存在逐折稳定性提醒。按收益回撤优先可作为分阶段、小资金使用候选，但不表述为全面稳定升级。
两层使用判断：收益—回撤层：TL1的三个固定seed均过线，可分阶段、小资金使用；稳定性层：TL1仍有跨折稳定性提醒，不视为全面稳定升级。
决策口径披露：本口径由用户在查看seed42严格版结果后明确调整，属于事后投资决策覆盖层，不是事前注册的模型筛选门槛；原严格版报告与结论保持不变。
证据边界：2026-08-20起才可能形成新的前瞻Shadow证据；历史P1 Buffer100是事后诊断，事后历史诊断不能冒充未来OOS。
控制组完整1
候选通过0
候选失败/早停2
候选pending/运行1

2×2受控实验矩阵

共同架构、共同数据、共同5日评价；每个候选只改变预注册变量
C0通过

20日目标 + Huber

冻结严格V2控制组

单一假设
保持现有目标与损失，作为唯一共同控制口径。
共同评价
共同5日持有收益 Rank IC；4折滚动OOS；Top50；1/5/10 bp
门槛结果
frozen_control_reference_not_confirmation_candidate
机器状态
passed
T1失败

T1

仅改变标签为实际5日持有收益

单一假设
把训练标签直接对齐实际5日持有期，可能减少目标周期错配。
共同评价
共同5日持有收益 Rank IC；4折滚动OOS；Top50；1/5/10 bp
门槛结果
common_five_day_rank_ic_gate;fold_gate;five_bps_drawdown_gate
机器状态
failed
L1失败

L1

仅改变为日期内排序损失

单一假设
日期内排序损失可能比点预测损失更贴近Top50选股任务。
共同评价
共同5日持有收益 Rank IC；4折滚动OOS；Top50；1/5/10 bp
门槛结果
common_five_day_rank_ic_gate;fold_gate
机器状态
failed
TL1运行中

TL1

同时改变5日标签与日期内排序损失

单一假设
同时对齐标签周期与横截面排序目标，检验二者是否互补。
共同评价
共同5日持有收益 Rank IC；4折滚动OOS；Top50；1/5/10 bp
门槛结果
all_return_drawdown_hard_gates_pass
机器状态
running

旧失败尝试（仅留档，不参与门槛）

旧root与新正式root严格分离；本表不进入候选、gate、seed队列或授权哈希链
旧输出Seed状态失败分类原因
C:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_2026082442failed_attemptterminal suspended missing returnT1 combined OOS/extension: selected holdings have missing/non-finite holding_return; future returns must never prefilter the stock universe. Examples: [{'td_date': '2026-08-10', 'sec_code': '002906'}]
C:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_2026082442failed_attemptrun failedsingle positional indexer is out-of-bounds

不可变基线哈希

SHA-256前后必须一致；缺失或漂移即pending
工件路径SHA-256核对
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failed_v4_attempt_1/runs/C0/v4_holding_daily_ic.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\C0\v4_holding_daily_ic.csv9ac53f16ae7ebae8a416135c99cdfe3ea481ba152a30a124360ceee1359b2036已核对
failed_v4_attempt_1/runs/C0/v4_holding_evaluation.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\C0\v4_holding_evaluation.jsonc1c15745d49f448731367a8499ba1242e9e628378d2d822551692f9841a01384已核对
failed_v4_attempt_1/runs/C0/v4_holding_fold_metrics.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\C0\v4_holding_fold_metrics.csv8e0332c840e5c7da0aea1c0d2ddbfe9c404b9b7a613597114e2dec3f6adaf300已核对
failed_v4_attempt_1/runs/T1/baseline_manifest.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\T1\baseline_manifest.jsone2d076fd14d039ee2d508d188c82e087caf99342936861fc18ad30739febb05a已核对
failed_v4_attempt_1/runs/T1/effective_config.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\T1\effective_config.json1100ef2d84f614bbf0f89ae8cc588fdb940579f9123b120e311c60729a673054已核对
failed_v4_attempt_1/runs/T1/run_config.tomlC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\T1\run_config.toml5ba9d777a47129cef6ce2dd5f5d3d163fa02d71ad83c81de9143ac243b70c389已核对
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failed_v4_attempt_1/runs/T1/weights/T1_fold_0.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\T1\weights\T1_fold_0.pt02b769661dfa04ea04ae88d48dca3e41305b852e79d28b6e5b2782b83bc5eef5已核对
failed_v4_attempt_1/runs/T1/weights/T1_fold_1.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\T1\weights\T1_fold_1.pt145b6d4d624eba3aa24f6f0871866383fa0e3bd899a76618aa58ca9c0c762e99已核对
failed_v4_attempt_1/runs/T1/weights/T1_fold_2.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\T1\weights\T1_fold_2.pt0ffbf80fc650982a904db7b561af411f663f4e2e6b5f67dbad63a12c4c6e8c56已核对
failed_v4_attempt_1/runs/T1/weights/T1_fold_3.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\runs\T1\weights\T1_fold_3.pt30b80e38bae5b213ba9c80a610c2b7dd7b89d02114f8cacec357946d328d655c已核对
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failed_v4_attempt_1/v4_run_manifest.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_20260824\v4_run_manifest.json0792ad9c0eb57c09f1bc34bb9da3ff9d4e3bb686cb6e75baeb7f94f138fbeebf已核对
failed_v4_attempt_2/run_config.tomlC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\run_config.toml031e898a13abf6ff30e48197a60d9b5a3ce7fc985f858f780db79f6f4af5aa57已核对
failed_v4_attempt_2/runs/C0/v4_holding_daily_ic.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\C0\v4_holding_daily_ic.csv9ac53f16ae7ebae8a416135c99cdfe3ea481ba152a30a124360ceee1359b2036已核对
failed_v4_attempt_2/runs/C0/v4_holding_evaluation.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\C0\v4_holding_evaluation.jsonc1c15745d49f448731367a8499ba1242e9e628378d2d822551692f9841a01384已核对
failed_v4_attempt_2/runs/C0/v4_holding_fold_metrics.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\C0\v4_holding_fold_metrics.csv8e0332c840e5c7da0aea1c0d2ddbfe9c404b9b7a613597114e2dec3f6adaf300已核对
failed_v4_attempt_2/runs/L1/baseline_manifest.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\L1\baseline_manifest.json8228d1122f16306f67ac53edb064ce3f5953156542adba4eb79a8552ceba1693已核对
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failed_v4_attempt_2/runs/T1/baseline_reproduction.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\T1\baseline_reproduction.jsona53c5e04205e8e416d8046bf24ecdab2b2673d62a5436e7e7758f83b4120bdd3已核对
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failed_v4_attempt_2/runs/T1/terminal_valuation_audit.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\T1\terminal_valuation_audit.jsonea635acfe2393c0eb50a2624f3618fbc6113955ae6801432bfd97620448b20b8已核对
failed_v4_attempt_2/runs/T1/training_history.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\T1\training_history.csv39fdfe7b4dd2eafb81cd985e1ade7bd817fdbf9eca2db4ef5c75eb7ca8bc1000已核对
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failed_v4_attempt_2/runs/T1/v4_holding_daily_ic.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\T1\v4_holding_daily_ic.csv9b1cca71bf767eeac6d3298a641d5b3a4b58a0b2dd8a3f77a774e0af809167e7已核对
failed_v4_attempt_2/runs/T1/v4_holding_evaluation.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\T1\v4_holding_evaluation.json19bd412bf7678488d2cffcf6fc7b0ba2c47992c4e3a9381db61a01c4cce85a9a已核对
failed_v4_attempt_2/runs/T1/v4_holding_fold_metrics.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed42_terminalmark_20260824\runs\T1\v4_holding_fold_metrics.csv60dbfb4a898faf8ceddc51f3deb3a1148ad3f6de1d5cc4ebb211798e43e98eff已核对
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strict_v2_control/candidate_fold_metrics.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidate_fold_metrics.csv86ea654994824b81e2dc636e97958319311f9a69883335a12106696982eaedec已核对
strict_v2_control/candidate_metrics.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidate_metrics.csv2d431dcbd43ce417e3dff4584dd9c6849ceb77c0ab1df9580bd165a49298ec65已核对
strict_v2_control/candidate_summary.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidate_summary.csv2d431dcbd43ce417e3dff4584dd9c6849ceb77c0ab1df9580bd165a49298ec65已核对
strict_v2_control/candidates/depth_2x40/annual_returns.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\depth_2x40\annual_returns.csv19f8157c211b26eab0fe834c3569c011ae7e2033eb7f7df247dd9d4f85d47b2f已核对
strict_v2_control/candidates/depth_2x40/backtest.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\depth_2x40\backtest.csv52921e8ad0a8572576877b043af63176d18537cd61e2f9027ab868cbc68232d5已核对
strict_v2_control/candidates/depth_2x40/metrics.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\depth_2x40\metrics.jsone10c7379db52db932ec0d0e713222a96e03d096428e8ff0fc063bdf1cf2b7add已核对
strict_v2_control/candidates/depth_2x40/predictions.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\depth_2x40\predictions.csvc80a8469be556b0e71f7555c03d270bb140d4d55c317fe1b081488f9443def4f已核对
strict_v2_control/candidates/holding_industry_size_1x64/annual_returns.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\holding_industry_size_1x64\annual_returns.csv0edf669057350bf893937f3a49d5c68318b03e910b22590cc2fc1b5e1767be82已核对
strict_v2_control/candidates/holding_industry_size_1x64/backtest.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\holding_industry_size_1x64\backtest.csv1958686014cfdd76f51ab488942265ce3e1371a40df04bb591f2a0dca1fc3808已核对
strict_v2_control/candidates/holding_industry_size_1x64/metrics.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\holding_industry_size_1x64\metrics.json4caf18852da6e565eb9da610ebacd31e96319c9c6aa1873b779ed6b1b96990a9已核对
strict_v2_control/candidates/holding_industry_size_1x64/predictions.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\holding_industry_size_1x64\predictions.csve3a5f1682dd91bdae4073611a017195aacf8d64e5b5fbe4b42959b796d03b0cf已核对
strict_v2_control/candidates/industry_size_1x64/annual_returns.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\industry_size_1x64\annual_returns.csv764012ffa119f126637021d00093478b0251cba847ff9a098b38a9b099563dfc已核对
strict_v2_control/candidates/industry_size_1x64/backtest.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\industry_size_1x64\backtest.csv5afb6829cc019b19c04a5f1e9ac7ee9c4b50ec379103c2f530c01c16f65e68d7已核对
strict_v2_control/candidates/industry_size_1x64/metrics.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\industry_size_1x64\metrics.json67df1380b4274c14a0d097bd14dc097780f177836cf07abff865f9c7805f4f2a已核对
strict_v2_control/candidates/industry_size_1x64/predictions.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\industry_size_1x64\predictions.csv95d78456b92e18eda49f4832f0fa8f29a232b148ab0875f6d7f9e123af8a079c已核对
strict_v2_control/candidates/regularized_1x64/annual_returns.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64\annual_returns.csv238bc7eb53551485976ba112595d7d47f1a98f669bdee68a12c324c263ab27f6已核对
strict_v2_control/candidates/regularized_1x64/backtest.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64\backtest.csvbf7ae43ed182e8bf26a5447850c8985d393f627837d1d9763e14cd9070410cbb已核对
strict_v2_control/candidates/regularized_1x64/metrics.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64\metrics.jsonc4fd60daf0bbc3e83ec78b7bca5a6afdf379d7ba2841b6add15910a727f6906a已核对
strict_v2_control/candidates/regularized_1x64/predictions.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64\predictions.csv20c4dffea410974f0a79fb6e788936abc9b7ed63aa9f3a61b130ef8bbae6b7d5已核对
strict_v2_control/candidates/regularized_1x64_lr1e3/annual_returns.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64_lr1e3\annual_returns.csv701554ad6a26ebd29e619b9327384a20a7fc05e71d705222ec9315b1248469c0已核对
strict_v2_control/candidates/regularized_1x64_lr1e3/backtest.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64_lr1e3\backtest.csv3369092fd6e607919836da18ad693cc96eb34382b5b9f8d2adaaf0c82a1b2560已核对
strict_v2_control/candidates/regularized_1x64_lr1e3/metrics.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64_lr1e3\metrics.jsonfda93de5bc6066068b26061147af5e8de46d8ab10be4ca8bd1b301917a067798已核对
strict_v2_control/candidates/regularized_1x64_lr1e3/predictions.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\regularized_1x64_lr1e3\predictions.csv0a0bd5db2e1f23fec5ccf7e9c432c98c56ba2cc76091e4a7ac332a556b2ab5ff已核对
strict_v2_control/candidates/v1_baseline_1x64/annual_returns.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\v1_baseline_1x64\annual_returns.csv2c670107eeb8fe5f7d62b23712ce987e1c52ec1463bf0c6bb3d99a1c51bd3879已核对
strict_v2_control/candidates/v1_baseline_1x64/backtest.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\v1_baseline_1x64\backtest.csv393f25d7cab9d4ae8b441af7d4126833f6b36781c0bf13d3db675d3e981e26a2已核对
strict_v2_control/candidates/v1_baseline_1x64/metrics.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\v1_baseline_1x64\metrics.json05eb6cf5f026f7c39a89ee5c888d958f0f043192ba77a6d1f91f740ba221a347已核对
strict_v2_control/candidates/v1_baseline_1x64/predictions.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\candidates\v1_baseline_1x64\predictions.csv583621f0d61523f63577f15731a064aafafc06ff90ee6919f1e1add6449dfe66已核对
strict_v2_control/cost_sensitivity.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\cost_sensitivity.csved2961bc4dffeb52cf90c7849c469408df398def8e689d80a689118db5539fc2已核对
strict_v2_control/data_summary.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\data_summary.json3322cb67a4f33bb0914aa9d9f6ada2a4525f6bc42625b266fffe158e91d7e912已核对
strict_v2_control/fold_consistency.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\fold_consistency.csv5b9379df292a3ffb75f2dce096c159df3edcc62ea2e7c5a0afdfe85449b4ef43已核对
strict_v2_control/fold_summary.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\fold_summary.csv4641612e85f1dfe16fb67bac332e8391c5998887d4b237856842406d1108b283已核对
strict_v2_control/industry_exposure_by_date.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\industry_exposure_by_date.csvc069f883428cc723a0d468c86097ae90c2df82afcb82812d21913a1aa321c60e已核对
strict_v2_control/output_schema.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\output_schema.json5de4a5b3947b253d46ecfc5f745156bf4c4eb79968555b64de56eee442dc57fb已核对
strict_v2_control/portfolio_choices.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\portfolio_choices.csv8fe210cd3dbfdcff4211265dc799d7164025d8687d1332087f0a0b8fe30c416e已核对
strict_v2_control/report_metadata.jsonC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\report_metadata.json441c0d70aa63d72faaf6da447addf9039fc8f5fb0380b3442b0bd4fd3bb0ebe6已核对
strict_v2_control/run_config.tomlC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\run_config.tomlaead0cbb0f310184ed0d6d97a113a9a40f3039d8dc4b876a67e459e050bcb67f已核对
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strict_v2_control/size_exposure.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\size_exposure.csv7ee38da33641ace283d6132a90a5e059daef4578e46192dcc147919633c63331已核对
strict_v2_control/size_exposure_by_date.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\size_exposure_by_date.csv2cea238a8b875a1f1742893212a6e44fea1f63114c4997c4e931e021a47b9b93已核对
strict_v2_control/target_coverage.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\target_coverage.csvb8728efb739042558f49dec2071333575c0b8debd7b475258ab3d4691ba293ef已核对
strict_v2_control/training_history.csvC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\training_history.csv90d69ec72d8aa41c464ef7f6553fc6b2e79298ba808fea7bcabf35b175ac9b74已核对
strict_v2_control/weights/depth_2x40_fold_0.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\depth_2x40_fold_0.ptd79eedc3323aec909bf5556148c9d3addccc869aa3ad24733f263933b5020fbc已核对
strict_v2_control/weights/depth_2x40_fold_1.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\depth_2x40_fold_1.ptbe6e6b46cbdeb44f1ae7965275badcb2fe758d568b93934c87ec9e13d250178c已核对
strict_v2_control/weights/depth_2x40_fold_2.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\depth_2x40_fold_2.pt21291a70f7d8d4d93940587b4994336a68df60841a508ba13a438bca17b7fb67已核对
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strict_v2_control/weights/holding_industry_size_1x64_fold_0.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\holding_industry_size_1x64_fold_0.ptfe3d60ba1f93d8f9e6655e6834d6a5e999f5bfbc22f50d9740d7300f9b96ace3已核对
strict_v2_control/weights/holding_industry_size_1x64_fold_1.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\holding_industry_size_1x64_fold_1.pt94e142fe9ef46dd31b622a2a5ab3db7764cf8c77a908e6a8869b62b29013ce8d已核对
strict_v2_control/weights/holding_industry_size_1x64_fold_2.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\holding_industry_size_1x64_fold_2.pt12a879eb56273f274bb460796b58873ebe9a42d4ecdd2fcadaec55cf061eb9a5已核对
strict_v2_control/weights/holding_industry_size_1x64_fold_3.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\holding_industry_size_1x64_fold_3.pt01693491fee3d547dc3ac854e5f777942b3fd3bf23ef34210c2f394a89b85342已核对
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strict_v2_control/weights/industry_size_1x64_fold_2.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\industry_size_1x64_fold_2.pt5a19211ddca3ebe41f1ed7c882fd7f173ed4792ffff986c6850744cc810e45db已核对
strict_v2_control/weights/industry_size_1x64_fold_3.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\industry_size_1x64_fold_3.ptda4463f3f467f53f147b63b9ad6ecb06f670de6d4bafaaabfb64f83a9af642b5已核对
strict_v2_control/weights/regularized_1x64_fold_0.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\regularized_1x64_fold_0.pt4240bdd8bbe4ad0d6f75d0fb50d7c404ce5db80f5b3ecfec62904102c63c743d已核对
strict_v2_control/weights/regularized_1x64_fold_1.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\regularized_1x64_fold_1.ptd209265d7654360f780fea3908169a344ebfe53e23b6f6aac3e1a2be57ab1f79已核对
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strict_v2_control/weights/regularized_1x64_fold_3.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\regularized_1x64_fold_3.pt12b6d165c9127cc49c9f252777f59f9a13b624b91fd2592f479a4d4f94e84dd2已核对
strict_v2_control/weights/regularized_1x64_lr1e3_fold_0.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\regularized_1x64_lr1e3_fold_0.pt208681d5d6dc839858121ba23c8bf722bdeed600de5805fb0a94d7083e6714b8已核对
strict_v2_control/weights/regularized_1x64_lr1e3_fold_1.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\regularized_1x64_lr1e3_fold_1.pt6359aa87c3a73c014411f94e1cde7b1fd75420b63133afc8d6173e011cd699e7已核对
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strict_v2_control/weights/regularized_1x64_lr1e3_fold_3.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\regularized_1x64_lr1e3_fold_3.pt8a601a6610d508901eae98962356956a8478c68b5194328be3d824e1ec864cad已核对
strict_v2_control/weights/v1_baseline_1x64_fold_0.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\v1_baseline_1x64_fold_0.pt40a8f2689837e1abcc44de2341b0896eb95ea49c405e1f83ca988b94cb781f4e已核对
strict_v2_control/weights/v1_baseline_1x64_fold_1.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\v1_baseline_1x64_fold_1.pt7b5361a50b828f55674661a8aa97a53345bf78d33c36f94e4cbcc4d6cb9218d4已核对
strict_v2_control/weights/v1_baseline_1x64_fold_2.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\v1_baseline_1x64_fold_2.pt23b3c1e0f825391b5f2e9b7c80dd8d5943fcbd04c7e6d2efbfc502a243f7dd25已核对
strict_v2_control/weights/v1_baseline_1x64_fold_3.ptC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v2_受控优化_seed42_20260821\weights\v1_baseline_1x64_fold_3.pt1ccf9d2da21ed264bf9acee4f96cdd0cbf7b901b428b46753773e82274368a78已核对

历史回测证据

IC/ICIR仅用193个complete_20d_anchor；组合指标用196个组合估值日期（另含3期extension）
实验候选状态Seed共同5日ICICIRIC日期Extension IC/日期年化相对年化Sharpe回撤换手不劣折
C0冻结严格V2控制组（共同5日评价）通过420.07820.5231930.2092 / 3日21.56%17.48%0.759-43.20%74.38%0/4
T1T1 实际5日持有目标 + Huber失败420.07710.4581930.0306 / 3日23.12%18.98%0.777-45.67%88.09%1/4
L1L1 20日目标 + 日期内混合排序损失失败420.07400.4401930.3787 / 3日21.52%17.43%0.837-35.18%70.04%2/4
TL1TL1 实际5日持有目标 + 日期内混合排序损失运行中420.09070.539193-0.0441 / 3日29.08%24.74%0.934-44.37%86.03%3/4

终端未实现停牌估值

组合估值截至2026-08-18，持续停牌证据核验至2026-08-19；portfolio_mark_return只用于组合，canonical holding_return与193日IC不变；未发生卖出或终端清算
实验审计允许范围信号日估值截至停牌证据截至标记仓位权重贡献Canonical不变无替换处理持仓状态审计SHA
T1通过realized_5d_extension2026-08-102026-08-182026-08-1912.00%-3.221 bp是是仅估值、未卖出terminal_unrealized_suspendedFA394F6E3FAF27C5638C5C1EC6DB11E2A8BF6F434E2E3DF92C5981AB704D3E35
L1通过realized_5d_extension———00.00%0.000 bp是是仅估值、未卖出terminal_unrealized_suspended70A039FCE40FAC1EE8B220F56C4AFEEE5CF12697003BEAA693B2DD0BE6138C25
TL1通过realized_5d_extension———00.00%0.000 bp是是仅估值、未卖出terminal_unrealized_suspended8069F0DC59C0E7030C5C8E6F9EC81D67FF809237E15322B46EB1D1F8D256E3BB
实验信号日证券入场日持有期终点标记价标记收益原权重贡献零量/零额完整路径报价日期状态
T12026-08-100029062026-08-112026-08-1825.660-1.6104%2.00%-3.221 bp是/是是2026-08-11 / 2026-08-12 / 2026-08-13 / 2026-08-14 / 2026-08-17 / 2026-08-18未实现、未卖出
局限：终端标记反映截至2026-08-18的静态估值，2026-08-19仅用于确认停牌状态仍持续；这不代表该持仓已卖出、资金已回笼或退出成本已经发生，复牌后的真实退出价格与冲击成本仍未知。

Seed42收益—回撤优先门槛审计

硬门槛：5bp相对收益不低于V1、最大回撤最多多3个百分点、信号与3/4折稳定性；换手和规模仅作软提示
实验Seed工件终端估值5日IC 或 ICIR3/4折5bp相对5bp回撤换手全期规模最新规模硬门槛通过状态
C042通过通过未通过未通过未通过未通过未通过未通过未通过未通过通过
T142通过通过未通过未通过通过未通过未通过通过通过未通过失败
L142通过通过未通过未通过通过通过通过通过通过未通过失败
TL142通过通过通过通过通过通过未通过通过未通过通过通过

4折滚动OOS

Checkpoint只在验证区间选择；IC与逐折门槛仅使用193个complete_20d_anchor，3期extension不进入门槛
实验折验证区间最佳Epoch测试OOS区间共同5日ICC0 IC差值逐折门槛
C01———————0.07200.0720—待完成（pending）
C02———————0.05190.0519—待完成（pending）
C03———————0.12470.1247—待完成（pending）
C04———————0.06420.0642—待完成（pending）
T11———————0.08570.07200.0137通过
T12———————0.04850.0519-0.0034失败
T13———————0.11740.1247-0.0072失败
T14———————0.05640.0642-0.0078失败
L11———————0.09690.07200.0249通过
L12———————0.05830.05190.0064通过
L13———————0.08680.1247-0.0378失败
L14———————0.05360.0642-0.0106失败
TL11———————0.10760.07200.0356通过
TL12———————0.06280.05190.0109通过
TL13———————0.14160.12470.0169通过
TL14———————0.05030.0642-0.0139失败

1 / 5 / 10 bp成本敏感性

组合、成本、年度与规模统一用196个组合估值日期；3期extension可能含经审计的未实现终端标记
实验成本年化相对年化Sharpe回撤换手
C01.0 bp/边21.56%17.48%0.759-43.20%74.38%
C05.0 bp/边17.99%14.03%0.668-44.08%74.38%
C010.0 bp/边13.68%9.85%0.554-45.15%74.38%
T11.0 bp/边23.12%18.98%0.777-45.67%88.09%
T15.0 bp/边18.84%14.85%0.675-47.10%88.09%
T110.0 bp/边13.71%9.88%0.547-48.82%88.09%
L11.0 bp/边21.52%17.43%0.837-35.18%70.04%
L15.0 bp/边18.15%14.18%0.736-36.52%70.04%
L110.0 bp/边14.08%10.24%0.610-38.59%70.04%
TL11.0 bp/边29.08%24.74%0.934-44.37%86.03%
TL15.0 bp/边24.71%20.52%0.831-45.42%86.03%
TL110.0 bp/边19.45%15.43%0.701-47.14%86.03%

分年度收益

按196日组合估值窗口检查结果是否集中在单一年份
实验年份策略基准相对
C02022-2.41%-5.57%3.34%
C020235.31%-16.02%25.40%
C020246.61%14.43%-6.83%
C0202585.70%26.82%46.43%
C020265.03%-0.75%5.82%
T120224.37%-5.57%10.53%
T12023-7.59%-16.02%10.03%
T1202423.07%14.43%7.55%
T1202560.50%26.82%26.56%
T1202617.84%-0.75%18.73%
L120227.10%-5.57%13.42%
L12023-3.74%-16.02%14.62%
L1202421.41%14.43%6.10%
L1202557.43%26.82%24.13%
L120268.28%-0.75%9.09%
TL1202212.52%-5.57%19.15%
TL120234.26%-16.02%24.15%
TL1202432.64%14.43%15.91%
TL1202571.32%26.82%35.08%
TL120261.24%-0.75%2.00%

Seed复核

5bp收益回撤与逐折稳定性分层展示；固定seed，不挑最好seed
实验Seed共同5日ICICIR5bp相对年化5bp回撤收益回撤逐折稳定综合状态
TL1420.09070.53920.52%-45.42%通过通过通过
TL170.08180.51814.30%-45.71%通过未通过失败
TL120240.09420.54518.10%-46.41%通过通过通过

规模暴露

最小10%/20%/30%是嵌套分组，不能相加
实验区间最小10%最小20%最小30%平均市值分位
C0all16.60%28.72%38.95%0.484
C02026-08-108.00%26.00%36.00%0.344
T1all13.04%22.59%31.16%0.549
T12026-08-108.00%18.00%22.00%0.517
L1all9.27%17.42%27.02%0.531
L12026-08-108.00%18.00%36.00%0.409
TL1all11.60%20.98%30.68%0.503
TL12026-08-1022.00%48.00%74.00%0.228

Seed7/2024机械授权队列

只由seed42历史门槛生成并绑定SHA-256；确认运行结果不会回写或改造这份授权队列
实验Seed授权状态预期输出原因
TL17pending_confirmationC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed7_canonical_20260825post_hoc_return_drawdown_hard_gates_pass
TL12,024pending_confirmationC:\Users\admin\Documents\ChatGPT\量化\outputs\gru_v4_objective_seed2024_canonical_20260825post_hoc_return_drawdown_hard_gates_pass

P1 Buffer100 · 历史事后诊断

本区只描述已经看过的历史，不具备新增预测OOS资格
情景证据性质相对年化回撤换手新增OOS
P1 Buffer100历史诊断历史事后诊断16.23%-42.89%60.79%否

未来前瞻 Shadow（报告截点后）

冻结规则后只向前累计；与历史回测表完全分区
情景起始日已完成持有期最低观察期新增OOS状态说明
P1 Buffer100前瞻Shadow2026-08-20048是待完成（pending）—