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close/close.shift(1)-1（基准，shift保证D日09:30只见D-1收）；ret20 = sum(r1, 20日, D-1收)；vol20 = std(r1, 20日)；dd120 = close/rolling_max(close,120)-1；dn = 1[ret60<0]；vol_z = (vol20 - MA250(vol20))/std250(vol20)；breadth20 = 过去20日上涨ETF占比（横截面，D-1收）；滚动窗实际截至 t（原文 D-1 需解释为 t，决策 D=t后下一交易日）；不额外 shift。", "display_name": "A股市场状态（regime）"}, {"id": "cn_market_regime_state", "name": "cn_market_regime_state:kind=dd120", "kind": "state", "version": "0.2.0", "coverage": 1.0, "latest": {"510300.SH": -0.1294441171, "510500.SH": -0.1294441171, "159915.SZ": -0.1294441171, "159928.SZ": -0.1294441171, "512010.SH": -0.1294441171, "512880.SH": -0.1294441171, "512800.SH": -0.1294441171, "512660.SH": -0.1294441171, "512400.SH": -0.1294441171, "512690.SH": -0.1294441171, "159939.SZ": -0.1294441171, "512200.SH": -0.1294441171}, "history": [{"date": "2026-07-08", "value": -0.0575525437}, {"date": "2026-07-09", "value": -0.0343743862}, {"date": "2026-07-10", "value": -0.0514633667}, {"date": "2026-07-13", "value": -0.0681594972}, 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t，决策 D=t后下一交易日）；不额外 shift。", "display_name": "A股市场状态（regime）"}, {"id": "cn_market_regime_state", "name": "cn_market_regime_state:kind=vol_z", "kind": "state", "version": "0.2.0", "coverage": 1.0, "latest": {"510300.SH": -0.8902845256, "510500.SH": -0.8902845256, "159915.SZ": -0.8902845256, "159928.SZ": -0.8902845256, "512010.SH": -0.8902845256, "512880.SH": -0.8902845256, "512800.SH": -0.8902845256, "512660.SH": -0.8902845256, "512400.SH": -0.8902845256, "512690.SH": -0.8902845256, "159939.SZ": -0.8902845256, "512200.SH": -0.8902845256}, "history": [{"date": "2026-07-08", "value": 2.2626984176}, {"date": "2026-07-09", "value": 2.5246712195}, {"date": "2026-07-10", "value": 2.6525798135}, {"date": "2026-07-13", "value": 2.6761670272}, {"date": "2026-07-14", "value": 2.6014978138}, {"date": "2026-07-15", "value": 2.5602035857}, {"date": "2026-07-16", "value": 2.5966434956}, {"date": "2026-07-17", "value": 3.0173909027}, {"date": "2026-07-20", "value": 2.7884369103}, {"date": 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"value": -0.0080110151}, {"date": "2026-08-14", "value": 0.0046948357}, {"date": "2026-08-17", "value": 0.0074719801}, {"date": "2026-08-18", "value": -0.0151898734}, {"date": "2026-08-19", "value": 0.0014639502}, {"date": "2026-08-20", "value": 0.0202757502}, {"date": "2026-08-21", "value": -0.004002287}, {"date": "2026-08-24", "value": 0.0}, {"date": "2026-08-25", "value": 0.0153568202}, {"date": "2026-08-26", "value": 0.0}, {"date": "2026-08-27", "value": -0.0081542842}, {"date": "2026-08-28", "value": -0.0091240876}, {"date": "2026-08-31", "value": 0.0018083183}, {"date": "2026-09-01", "value": -0.0009057971}, {"date": "2026-09-02", "value": 0.0008756567}, {"date": "2026-09-03", "value": 0.013986014}, {"date": "2026-09-04", "value": 0.0014992504}, {"date": "2026-09-07", "value": -0.0063752277}, {"date": "2026-09-08", "value": 0.0023041475}, {"date": "2026-09-09", "value": -0.0021876206}, {"date": "2026-09-10", "value": 0.000385208}, {"date": "2026-09-11", "value": 0.0064874884}, {"date": "2026-09-14", "value": 0.0134932534}, {"date": "2026-09-15", "value": 0.0017080541}, {"date": "2026-09-16", "value": 0.0080506038}, {"date": "2026-09-17", "value": -0.0096575944}, {"date": "2026-09-18", "value": 0.0033033033}, {"date": "2026-09-21", "value": -0.0143953935}, {"date": "2026-09-22", "value": -0.0098743268}, {"date": "2026-09-23", "value": 0.0}, {"date": "2026-09-24", "value": 0.0040764331}, {"date": "2026-09-28", "value": 0.0214888718}, {"date": "2026-09-29", "value": 0.0200764818}, {"date": "2026-09-30", "value": -0.0036429872}], "formula": "市场状态截至 t 当日，资产 rev1/mom20 截至 t-1；乘积于 t 收盘后可用。dn(D) = 1[市场60日累计收益(D-1收) < 0]；rev1_dn = rev1 * dn；rev1_up = rev1 * (1-dn)；mom20_dn = mom20 * dn；rev1 = -(close(D-1)/close(D-2)-1)，mom20 = close(D-1)/close(D-21)-1", "display_name": "A股状态×反转交互"}, {"id": "cn_state_interaction_reversal", "name": "cn_state_interaction_reversal:kind=rev1_up", "kind": "cross_section", "version": "0.2.0", "coverage": 0.9166666666666666, "latest": 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"2026-07-28", "value": -0.0329391892}, {"date": "2026-07-29", "value": -0.0364120782}, {"date": "2026-07-30", "value": -0.0429378531}, {"date": "2026-07-31", "value": -0.0382608696}, {"date": "2026-08-03", "value": -0.0415584416}, {"date": "2026-08-04", "value": -0.0470061556}, {"date": "2026-08-05", "value": 0.0034742328}, {"date": "2026-08-06", "value": 0.0254885302}, {"date": "2026-08-07", "value": 0.0151387721}, {"date": "2026-08-10", "value": -0.0074013158}, {"date": "2026-08-11", "value": 0.0308087291}, {"date": "2026-08-12", "value": 0.0243277849}, {"date": "2026-08-13", "value": 0.0126582278}, {"date": "2026-08-14", "value": 0.025}, {"date": "2026-08-17", "value": 0.058772688}, {"date": "2026-08-18", "value": 0.0759162304}, {"date": "2026-08-19", "value": 0.0188235294}, {"date": "2026-08-20", "value": 0.0082687339}, {"date": "2026-08-21", "value": 0.0023529412}, {"date": "2026-08-24", "value": 0.0148232611}, {"date": "2026-08-25", "value": 0.0018120632}, {"date": "2026-08-26", 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