{ "contract_id": "ROLL-CALL-CFD-R1", "status": "NEW_RESEARCH_HYPOTHESIS_NOT_VALIDATED_OPTIMAL_NOT_DEPLOYED", "registered_UTC": "2026-10-30T12:53:54.077551+00:00", "historical_use": "7-9月已观察后新增；只能回溯探索；真正样本外保留未来时段", "preserved_domestic_diagnostic_results_sha256": "0a3ffcd109f8b505c3b2f1ababde2188e09c6aad8e9db22dda6512fc94ac14c8", "assets": { "gold": { "CN_lots": 1, "side": "SHORT_CALL", "CFD_symbol": "XAUUSD", "CFD_side": "LONG", "equal_physical_reference": "0.3215074657" }, "silver": { "CN_lots": 1, "side": "SHORT_CALL", "CFD_symbol": "XAGUSD", "CFD_side": "LONG", "equal_physical_reference": "0.0964522397" }, "crude": { "CN_lots": 1, "side": "SHORT_CALL", "CFD_symbol": "USOUSD", "CFD_side": "LONG", "equal_physical_reference": "1" } }, "daily_check": { "timezone": "Asia/Shanghai", "start": "09:05:00", "end_exclusive": "09:35:00", "once_per_trading_date": true, "first_mutually_open_qualified_snapshot_only": true, "no_snapshot": "WAIT", "no_stale_entry": true }, "admission": { "DTE_natural_days": [ 30, 60 ], "call_delta": [ 0.4, 0.65 ], "call_lots": 1, "bid_ask_positive": true, "bid_and_buyback_depth_lots": 1, "max_spread_mid": 0.1, "positive_bid_time_value_required": true, "TV": "Bid-max(F-K,0)", "exit_before_exchange_exercise_safety_boundary": true, "LIVE_R2_source_receive_max_age_ms": { "CN_CALL": 2000, "CFD": 5000, "FX": 5000 }, "max_source_receive_skew_ms": 1000, "historical_contract": "SOURCE_CLOCK_ONLY_NO_RECEIVE_LATENCY_CLAIM; not a change to LIVE_R2" }, "score": { "horizon_natural_days": 10, "held_constant": [ "underlying", "IV", "FX" ], "modeled_buyback_ask": "applicable exercise model value at t+10d + current half quoted option spread", "formula": "(M*(Bid-modeled_buyback_ask)-cost_10d-cash_return_10d)/(10*capital)", "CFD_price_PnL_scenario": 0, "costs": [ "both_venue_commissions", "CFD_open_close_spread", "signed_per_event_long_swap", "FX_conversion", "financing" ], "no_double_count": "option entry Bid already includes entry spread; do not subtract it again", "capital": "CN_separate_margin+CFD_separate_margin+frozen_stress_reserve; no cross-netting", "positive_score_required": true, "missing_actual_spec_fees_capital": "SCENARIO_RANKING_ONLY_NO_EXECUTABLE_WINNER", "cash_return_10d": "capital*0.02*10/365; fixed INPUT_SCENARIO opportunity cost, not actual deposit yield", "cash_zero_control": true, "IV": "invert current option MID using applicable exercise model; preserve IV, model name/version, rate and expiry calendar", "missing_model_spec": "UNSCORABLE" }, "stress": { "CN_underlying_shocks": [ -0.1, 0.1 ], "CFD_price_shocks": [ -0.1, 0.1 ], "IV_additive": 0.1, "FX_shocks": [ -0.05, 0.05 ], "corners": [ { "CN": -0.1, "CFD": -0.1, "FX": -0.05, "IV_add": 0.1 }, { "CN": -0.1, "CFD": -0.1, "FX": 0.05, "IV_add": 0.1 }, { "CN": -0.1, "CFD": 0.1, "FX": -0.05, "IV_add": 0.1 }, { "CN": -0.1, "CFD": 0.1, "FX": 0.05, "IV_add": 0.1 }, { "CN": 0.1, "CFD": -0.1, "FX": -0.05, "IV_add": 0.1 }, { "CN": 0.1, "CFD": -0.1, "FX": 0.05, "IV_add": 0.1 }, { "CN": 0.1, "CFD": 0.1, "FX": -0.05, "IV_add": 0.1 }, { "CN": 0.1, "CFD": 0.1, "FX": 0.05, "IV_add": 0.1 } ], "reserve": "max(0,-min(immediate_liquidation_PnL_CNY_at_bid_ask))", "scope": "INPUT_SCENARIO_STRESS_SAMPLES_NOT_A_WORST_CASE_OR_TAIL_RISK_BOUND" }, "tie_break": { "score_tolerance": "1e-12", "order": [ "abs(delta-.50)", "abs(DTE-45)", "spread_mid", "contract_lexical" ] }, "CFD_quantity": { "formula": "delta*M*dF_dP/(U*X)", "definitions": { "F": "CN futures price in CN quote unit", "P": "USD CFD price", "M": "CN multiplier", "U": "CFD USD PnL multiplier per lot", "X": "CNY per USD" }, "physical_equivalent_formula": "equal_physical_lot*delta*beta", "missing_beta": "beta=1 INPUT_SCENARIO ONLY", "rounding": "floor_to_legal_lotstep", "zero_or_margin_fail": "WAIT", "daily_adjustment_trigger": "abs(qtarget-qheld)>=max(lotstep,0.1*qtarget)", "closed_CN": "no expired Delta rebalance" }, "holding_roll": { "trigger": [ "DTE<=14", "earlier exchange safety boundary", "delta<.25", "delta>.80" ], "no_score_churn": true, "old_call_close": "actual same-series Ask with depth and source; do not assume simultaneous fills", "replacement": "same selector with DTE30-60", "no_replacement": "After verifiable close: flat WAIT_ENTRY; no naked CFD. No fabricated one-lot continuity.", "ledger": "old liability/realized cash/fees/contract ids retained; cumulative NAV never reset", "exercise": "exit before exercise, no actual exercise", "risk_check_timing": "Every valid common window using existing captured data; no added auth/subscription; not restricted to daily entry time", "forced_exit": "Two actions: if old call Ask/depth and CFD Bid qualified, close old first; CFD to new target or zero without replacement", "unverifiable_exit": "EXIT_UNVERIFIABLE; retain old liability, raw evidence and gaps; do not mark closed/censor silently/reset NAV", "new_entry_timing": "New call entry ONLY within qualified 09:05<=Asia/Shanghai<09:35; common-window exits outside that time may flatten only", "calendar_closed": "WAIT; never synthesize fills" }, "closed_CN_mark": { "CFD_and_swap": "continue actual source events", "partial_indicator": "frozen verified CN liability; dashed separately", "joint_NAV": "only common verified window; gaps otherwise" }, "validation": { "future_OOS_reserved": true, "old_domestic_loss_CNY": -50820, "full_NAV_without_actual_CFD": null, "training_domestic_winner_is_not_combination_optimum": true }, "safety": { "READ_ONLY": true, "execution_eligibility": false, "REAL_ORDER_ACTIONS": 0, "install": false }, "same_turn_clarification": "Final R1 before delivery; earlier draft preserved by hash, not a new strategy or retroactive historical registration.", "superseded_draft_canonical_sha256": "064a34fcf94da78817df15d616a63099f671fc66cb2c9545c171eeac5c74788a" }