{
  "calculated_at": "2026-11-07T19:30:39.541189+08:00",
  "price_asof": "2026-11-04",
  "window_start": "2023-10-31",
  "window_end": "2026-11-04",
  "observations": 756,
  "method": "daily sample covariance *252; fixed current weights; component variance contribution w_i*(Cw)_i/(wCw); not risk parity or future forecast",
  "source_csv": "C:\\Users\\Administrator\\Documents\\Codex\\2026-11-04\\windows-codex-ai-1-2-10\\outputs\\政策年度基调与资产回测\\prices.csv",
  "source_sha256": "670dee5d599fe280ffdd74365441b7abaf1b8d29ead00cf8ef046d6ef53b860e",
  "source_prior_quality": "C:\\Users\\Administrator\\Documents\\Codex\\2026-11-04\\windows-codex-ai-1-2-10\\outputs\\政策年度基调与资产回测\\复权关系核验.json",
  "inputs_source": "existing audited Yahoo adjusted-close research snapshot; no new collection",
  "results": {
    "C6_frozen": {
      "weights": {
        "SPY": 0.25,
        "TLT": 0.25,
        "GLD": 0.25,
        "BIL": 0.25
      },
      "gross_exposure": 1.0,
      "equity_weight": 0.25,
      "diagnostic_vol_756d": 0.08392629773519024,
      "variance_contribution_fraction": {
        "BIL": -0.00011917386529476152,
        "GLD": 0.5104611568421532,
        "IEF": 0.0,
        "SPY": 0.2886371713823766,
        "TLT": 0.20102084564076514
      },
      "vol_252d": 0.09764939873113275,
      "hypothetical_shock_returns": {
        "demand_recession": -0.0625,
        "inflation_rate_shock": -0.1,
        "liquidity_all_risk_selloff": -0.16999999999999998,
        "growth_rally_gold_falls": 0.010000000000000002
      }
    },
    "AI8_hold_research": {
      "weights": {
        "SPY": 0.3,
        "IEF": 0.2,
        "GLD": 0.25,
        "BIL": 0.25
      },
      "gross_exposure": 1.0,
      "equity_weight": 0.3,
      "diagnostic_vol_756d": 0.08099743502881028,
      "variance_contribution_fraction": {
        "BIL": -8.187578800591837e-05,
        "GLD": 0.5478006514558024,
        "IEF": 0.05106375352283802,
        "SPY": 0.4012174708093655,
        "TLT": 0.0
      },
      "vol_252d": 0.09784009749495047,
      "hypothetical_shock_returns": {
        "demand_recession": -0.1125,
        "inflation_rate_shock": -0.074,
        "liquidity_all_risk_selloff": -0.1585,
        "growth_rally_gold_falls": 0.0315
      }
    },
    "AI10_budget_experiment": {
      "weights": {
        "SPY": 0.4,
        "IEF": 0.15,
        "GLD": 0.2,
        "BIL": 0.25
      },
      "gross_exposure": 1.0,
      "equity_weight": 0.4,
      "diagnostic_vol_756d": 0.08372004308082481,
      "variance_contribution_fraction": {
        "BIL": -0.00010121769763099502,
        "GLD": 0.35782955211531775,
        "IEF": 0.030531729917542792,
        "SPY": 0.6117399356647705,
        "TLT": 0.0
      },
      "vol_252d": 0.09403625359412265,
      "hypothetical_shock_returns": {
        "demand_recession": -0.16250000000000003,
        "inflation_rate_shock": -0.098,
        "liquidity_all_risk_selloff": -0.182,
        "growth_rally_gold_falls": 0.0655
      }
    },
    "AI10_cash_shift_comparator": {
      "weights": {
        "SPY": 0.4,
        "IEF": 0.2,
        "GLD": 0.25,
        "BIL": 0.15
      },
      "gross_exposure": 1.0,
      "equity_weight": 0.4,
      "diagnostic_vol_756d": 0.09245494005281975,
      "variance_contribution_fraction": {
        "BIL": -7.539237300226825e-05,
        "GLD": 0.43998309394323437,
        "IEF": 0.041004400903202294,
        "SPY": 0.5190878975265654,
        "TLT": 0.0
      },
      "vol_252d": 0.10752870111109107,
      "hypothetical_shock_returns": {
        "demand_recession": -0.15750000000000003,
        "inflation_rate_shock": -0.099,
        "liquidity_all_risk_selloff": -0.19349999999999998,
        "growth_rally_gold_falls": 0.05650000000000001
      }
    }
  },
  "stress_inputs": {
    "demand_recession": {
      "SPY": -0.45,
      "IEF": 0.05,
      "TLT": 0.15,
      "GLD": 0.05,
      "BIL": 0
    },
    "inflation_rate_shock": {
      "SPY": -0.25,
      "IEF": -0.12,
      "TLT": -0.25,
      "GLD": 0.1,
      "BIL": 0
    },
    "liquidity_all_risk_selloff": {
      "SPY": -0.35,
      "IEF": -0.08,
      "TLT": -0.18,
      "GLD": -0.15,
      "BIL": 0
    },
    "growth_rally_gold_falls": {
      "SPY": 0.25,
      "IEF": -0.03,
      "TLT": -0.06,
      "GLD": -0.15,
      "BIL": 0
    }
  },
  "stress_status": "invented instantaneous joint price shocks for arithmetic sensitivity, NOT historical episodes, probabilities, maximum-loss limits or annual returns; no costs/interest/rebalancing",
  "C6_prior_backtest": {
    "start": "2007-05-30",
    "end": "2026-11-04",
    "end_nav": 3.5404741628649807,
    "cagr": 0.0672193461288173,
    "max_drawdown": 0.1758299569959274,
    "volatility": 0.07439181516126812,
    "peak": "2021-12-27",
    "trough": "2022-10-20",
    "recovery": "2024-03-06",
    "peak_to_recovery_days": 800,
    "underwater_days_through_end": null,
    "annual_two_way_turnover": 0.300066624318636,
    "cumulative_fees_per_initial_unit": 0.0060578602301214445,
    "rebalance_count": 234,
    "minimum_cash": 0.0
  },
  "C6_prior_backtest_context": "RC-01 A; 2007-05-30..2026-11-04; month-end frozen quantity/next common session close; one-way5bps; USD nominal total returns; personal tax/FX excluded",
  "AI_performance": null,
  "limitations": [
    "756-day covariance can change and understates discontinuous future crises.",
    "BIL tiny negative variance contribution is sample covariance, not guaranteed protection.",
    "Higher equity weight need not give proportionately higher realized volatility when gold/bond weights also change.",
    "Hypothetical shocks are no substitute for a validated risk model or account stress/margin simulation.",
    "No strategy backtest or live/paper trades performed in this calculation."
  ]
}