{ "schema_version": "local_paper_eod_review_v1", "plan_date": "20260609", "trade_date": "20260610", "generated_at": "2026-06-10T15:05:05", "runtime_status": "PAPER_RUNNING", "quote_source": "public_http_sina:33/33", "trade_mode": "SIMULATION_READY", "allow_new_positions": true, "shadow_mode": false, "account": { "initial_capital": 1000000.0, "cash": 821098.0, "market_value": 167750.0, "total_value": 988848.0, "unrealized_pnl": 694.0000000000023, "total_pnl": -11152.0, "total_pnl_pct": -1.115200000000005 }, "summary": { "orders": 8, "filled": 3, "rejected": 0, "unfilled": 5, "positions": 3, "signals": 32, "risk_exit_signals": 1, "risk_exit_orders": 1, "risk_exit_filled": 1, "risk_exit_blocked_t1": 1, "position_risk_events": 1 }, "position_sizing": { "enabled": true, "active_target_pct": 12.0, "shadow_active_target_pct": 10.0, "watch_target_pct": 5.0, "max_single_position_pct": 20.0, "max_shadow_single_position_pct": 20.0, "max_total_position_pct": 60.0, "max_shadow_total_position_pct": 35.0, "base_max_total_position_pct": 60.0, "base_max_shadow_total_position_pct": 35.0, "dynamic_total_position_sizing_enabled": true, "dynamic_total_cap_regime": "NEUTRAL", "dynamic_total_cap_reason": "盘中确认时间窗未满足，保持中性总仓", "dynamic_total_cap": { "enabled": true, "regime": "NEUTRAL", "reason": "盘中确认时间窗未满足，保持中性总仓", "base_total_position_pct": 60.0, "base_shadow_total_position_pct": 35.0, "effective_total_position_pct": 60.0, "effective_shadow_total_position_pct": 35.0, "defensive_total_position_pct": 30.0, "warm_total_position_pct": 75.0, "hot_total_position_pct": 85.0, "defensive_shadow_total_position_pct": 20.0, "warm_shadow_total_position_pct": 45.0, "hot_shadow_total_position_pct": 55.0, "checks": { "pool_up_ratio": 0.5312, "active_up_ratio": 0.0, "active_above_vwap": 0, "active_positive_min": 1, "active_total": 2, "sample_total": 32, "market_gate_passed": false, "market_gate_reason": "after_14:30_no_new_upgrade,signal_pool_breadth_not_repaired,active_leaders_not_positive_enough,active_leaders_not_above_vwap" } }, "cash_buffer_pct": 5.0 }, "position_risk_config": { "enabled": true, "stop_loss_pct": 3.0, "late_exit_loss_pct": 2.0, "late_exit_time": "14:30", "invalid_exit": true, "ma5_exit": true, "late_weak_exit": true }, "position_risk_events": [ { "symbol": "SZSE.300502", "name": "新易盛", "rule": "position_late_weak", "status": "BLOCKED_T1", "side": "SELL", "qty": 0, "sellable_qty": 0, "last_price": 772.0, "avg_cost": 795.0, "pnl_pct": -2.8931, "threshold": -2.0, "reason": "t1_sellable_qty_insufficient", "source_order_id": 38, "source_event_id": "20260609:20260610:SZSE.300502:BREAK_PREV_HIGH:BUY" } ], "risk_orders_this_tick": [], "positions": [ { "symbol": "SZSE.300502", "name": "新易盛", "quantity": 100, "sellable_qty": 0, "avg_cost": 795.0, "last_price": 772.0, "market_value": 77200.0, "unrealized_pnl": -2300.0, "unrealized_pnl_pct": -2.8930817610062887, "updated_at": "2026-06-10T14:55:06", "position_pct_of_total": 7.80706438198793 }, { "symbol": "SZSE.300236", "name": "上海新阳", "quantity": 500, "sellable_qty": 0, "avg_cost": 95.37, "last_price": 96.4, "market_value": 48200.0, "unrealized_pnl": 515.0000000000006, "unrealized_pnl_pct": 1.0800041941910532, "updated_at": "2026-06-10T14:55:06", "position_pct_of_total": 4.874358849894018 }, { "symbol": "SHSE.688017", "name": "绿的谐波", "quantity": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 423.5, "market_value": 42350.0, "unrealized_pnl": 2479.000000000002, "unrealized_pnl_pct": 6.217551603922655, "updated_at": "2026-06-10T14:55:06", "position_pct_of_total": 4.282761354626798 } ], "orders": [ { "amount": 0.0, "base_exec_high": 94.53, "cash_before_order": 901603.0, "chase_ceiling": 98.67, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": null, "event_id": "20260609:20260610:SZSE.300236:VWAP_RECLAIM:BUY", "exec_high": 94.53, "exec_low": 94.35, "intraday_vwap": 94.6802, "invalid_price": 90.3, "ma5": 92.672, "max_chase_pct": 1.5, "minute_energy": { "amount_base_hint_yi": 0.5, "amount_floor_yi": 0.25, "amount_yi": 0.1961, "bar_count": 1, "bars": [ { "amount_yi": 0.1961, "close": 95.6, "high": 95.6, "low": 95.6, "open": 95.6, "time": "09:30" } ], "energy_ratio": null, "min_samples": 3, "passed": false, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_warmup_1/3", "template_key": "VWAP_RECLAIM", "window_min": 5 }, "name": "上海新阳", "paper_scope": "conditional_watch", "participation_rate": null, "plan_date": "20260609", "plan_id": "20260609:SZSE.300236:VWAP_RECLAIM", "price": null, "price_vs_vwap_pct": 0.9715, "qty": 0, "quote_ask1": 95.79, "quote_ask_qty1": 3400, "quote_bid1": 95.72, "quote_bid_qty1": 100, "quote_last": 95.6, "quote_ts": "2026-06-10T09:30:33", "reason": "price_above_exec_high", "side": "BUY", "sim_reason": "trigger_touched_but_above_exec_high", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": null, "status": "UNFILLED", "suggested_position_pct": 6.0, "symbol": "SZSE.300236", "target_amount": 49504.15, "target_position_pct": 5.0, "template_key": "VWAP_RECLAIM", "theme": null, "trade_date": "20260610", "trigger_price": 93.13, "ts": "2026-06-10T09:30:35", "id": 32 }, { "amount": 0.0, "base_exec_high": 94.22, "cash_before_order": 901603.0, "chase_ceiling": 97.75, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": null, "event_id": "20260609:20260610:SHSE.688720:VWAP_RECLAIM:BUY", "exec_high": 94.22, "exec_low": 94.32, "intraday_vwap": 94.2002, "invalid_price": 89.33, "ma5": 92.17, "max_chase_pct": 1.5, "minute_energy": { "amount_base_hint_yi": 0.5, "amount_floor_yi": 0.25, "amount_yi": 0.0204, "bar_count": 1, "bars": [ { "amount_yi": 0.0204, "close": 94.87, "high": 94.87, "low": 94.87, "open": 94.87, "time": "09:30" } ], "energy_ratio": null, "min_samples": 3, "passed": false, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_warmup_1/3", "template_key": "VWAP_RECLAIM", "window_min": 5 }, "name": "艾森股份", "paper_scope": "conditional_watch", "participation_rate": null, "plan_date": "20260609", "plan_id": "20260609:SHSE.688720:VWAP_RECLAIM", "price": null, "price_vs_vwap_pct": 0.711, "qty": 0, "quote_ask1": 94.87, "quote_ask_qty1": 3100, "quote_bid1": 94.58, "quote_bid_qty1": 400, "quote_last": 94.87, "quote_ts": "2026-06-10T09:30:34", "reason": "price_above_exec_high", "side": "BUY", "sim_reason": "trigger_touched_but_above_exec_high", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": null, "status": "UNFILLED", "suggested_position_pct": 6.0, "symbol": "SHSE.688720", "target_amount": 49504.15, "target_position_pct": 5.0, "template_key": "VWAP_RECLAIM", "theme": null, "trade_date": "20260610", "trigger_price": 92.83, "ts": "2026-06-10T09:30:35", "id": 33 }, { "amount": 0.0, "base_exec_high": 123.24, "cash_before_order": 901603.0, "chase_ceiling": 145.6, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": 1.0, "event_id": "20260609:20260610:SZSE.300395:BREAK_PREV_HIGH:BUY", "exec_high": 123.24, "exec_low": 121.42, "intraday_vwap": 123.5966, "invalid_price": 118.802, "ma5": 118.802, "max_chase_pct": 1.5, "minute_energy": { "amount_base_hint_yi": 1.0, "amount_floor_yi": 0.5, "amount_yi": 0.9407, "bar_count": 1, "bars": [ { "amount_yi": 0.9407, "close": 124.54, "high": 124.54, "low": 124.54, "open": 124.54, "time": "09:30" } ], "energy_ratio": null, "min_samples": 3, "passed": false, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_warmup_1/3", "template_key": "BREAK_PREV_HIGH", "window_min": 5 }, "name": "菲利华", "paper_scope": "conditional_watch", "participation_rate": null, "plan_date": "20260609", "plan_id": "20260609:SZSE.300395:BREAK_PREV_HIGH", "price": null, "price_vs_vwap_pct": 0.7633, "qty": 0, "quote_ask1": 124.55, "quote_ask_qty1": 2400, "quote_bid1": 124.17, "quote_bid_qty1": 1900, "quote_last": 124.54, "quote_ts": "2026-06-10T09:30:33", "reason": "price_above_exec_high", "side": "BUY", "sim_reason": "trigger_touched_but_above_exec_high", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": null, "status": "UNFILLED", "suggested_position_pct": 6.0, "symbol": "SZSE.300395", "target_amount": 49504.15, "target_position_pct": 5.0, "template_key": "BREAK_PREV_HIGH", "theme": "光纤概念", "trade_date": "20260610", "trigger_price": 121.42, "ts": "2026-06-10T09:30:35", "id": 34 }, { "amount": 0.0, "base_exec_high": 56.62, "cash_before_order": 901603.0, "chase_ceiling": 66.52, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": 1.0, "event_id": "20260609:20260610:SZSE.301322:BREAK_PREV_HIGH:BUY", "exec_high": 56.62, "exec_low": 55.78, "intraday_vwap": 55.9922, "invalid_price": 50.674, "ma5": 50.674, "max_chase_pct": 1.5, "minute_energy": { "amount_base_hint_yi": 1.0, "amount_floor_yi": 0.5, "amount_yi": 0.1339, "bar_count": 1, "bars": [ { "amount_yi": 0.1339, "close": 57.3, "high": 57.3, "low": 57.3, "open": 57.3, "time": "09:30" } ], "energy_ratio": null, "min_samples": 3, "passed": false, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_warmup_1/3", "template_key": "BREAK_PREV_HIGH", "window_min": 5 }, "name": "绿通科技", "paper_scope": "conditional_watch", "participation_rate": null, "plan_date": "20260609", "plan_id": "20260609:SZSE.301322:BREAK_PREV_HIGH", "price": null, "price_vs_vwap_pct": 2.3357, "qty": 0, "quote_ask1": 57.61, "quote_ask_qty1": 800, "quote_bid1": 57.3, "quote_bid_qty1": 9000, "quote_last": 57.3, "quote_ts": "2026-06-10T09:30:33", "reason": "price_above_exec_high", "side": "BUY", "sim_reason": "trigger_touched_but_above_exec_high", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": null, "status": "UNFILLED", "suggested_position_pct": 6.0, "symbol": "SZSE.301322", "target_amount": 49504.15, "target_position_pct": 5.0, "template_key": "BREAK_PREV_HIGH", "theme": "中芯概念", "trade_date": "20260610", "trigger_price": 55.78, "ts": "2026-06-10T09:30:35", "id": 35 }, { "amount": 0.0, "base_exec_high": 54.44, "cash_before_order": 901603.0, "chase_ceiling": 58.08, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": 1.0, "event_id": "20260609:20260610:SHSE.600378:BREAK_PREV_HIGH:BUY", "exec_high": 54.44, "exec_low": 53.64, "intraday_vwap": 54.0378, "invalid_price": 46.966, "ma5": 46.966, "max_chase_pct": 1.5, "minute_energy": { "amount_base_hint_yi": 1.0, "amount_floor_yi": 0.5, "amount_yi": 1.46, "bar_count": 1, "bars": [ { "amount_yi": 1.46, "close": 54.73, "high": 54.73, "low": 54.73, "open": 54.73, "time": "09:30" } ], "energy_ratio": null, "min_samples": 3, "passed": false, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_warmup_1/3", "template_key": "BREAK_PREV_HIGH", "window_min": 5 }, "name": "昊华科技", "paper_scope": "conditional_watch", "participation_rate": null, "plan_date": "20260609", "plan_id": "20260609:SHSE.600378:BREAK_PREV_HIGH", "price": null, "price_vs_vwap_pct": 1.281, "qty": 0, "quote_ask1": 54.74, "quote_ask_qty1": 400, "quote_bid1": 54.73, "quote_bid_qty1": 1500, "quote_last": 54.73, "quote_ts": "2026-06-10T09:30:32", "reason": "price_above_exec_high", "side": "BUY", "sim_reason": "trigger_touched_but_above_exec_high", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": null, "status": "UNFILLED", "suggested_position_pct": 6.0, "symbol": "SHSE.600378", "target_amount": 49504.15, "target_position_pct": 5.0, "template_key": "BREAK_PREV_HIGH", "theme": "题材股", "trade_date": "20260610", "trigger_price": 53.64, "ts": "2026-06-10T09:30:35", "id": 36 }, { "amount": 47685.0, "base_exec_high": 94.53, "cash_before_order": 901603.0, "chase_ceiling": 98.67, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": 95.37, "energy_floor_hint_yi": null, "event_id": "20260609:20260610:SZSE.300236:VWAP_RECLAIM:BUY", "exec_high": 95.37, "exec_low": 94.94, "intraday_vwap": 94.9425, "invalid_price": 90.3, "ma5": 92.672, "max_chase_pct": 1.5, "minute_energy": { "amount_base_hint_yi": 0.5, "amount_floor_yi": 0.25, "amount_yi": 0.5717, "bar_count": 3, "bars": [ { "amount_yi": 0.1961, "close": 95.6, "high": 95.6, "low": 95.6, "open": 95.6, "time": "09:30" }, { "amount_yi": 0.2249, "close": 95.02, "high": 95.45, "low": 95.02, "open": 95.45, "time": "09:31" }, { "amount_yi": 0.1507, "close": 95.37, "high": 95.37, "low": 95.37, "open": 95.37, "time": "09:32" } ], "energy_ratio": null, "min_samples": 3, "passed": true, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_confirmed", "template_key": "VWAP_RECLAIM", "window_min": 5 }, "name": "上海新阳", "paper_scope": "conditional_watch", "participation_rate": null, "plan_date": "20260609", "plan_id": "20260609:SZSE.300236:VWAP_RECLAIM", "price": 95.37, "price_vs_vwap_pct": 0.4503, "qty": 500, "quote_ask1": 95.37, "quote_ask_qty1": 1400, "quote_bid1": 95.24, "quote_bid_qty1": 100, "quote_last": 95.37, "quote_ts": "2026-06-10T09:32:03", "reason": "paper_fill_at_ask1", "side": "BUY", "sim_reason": "intraday_vwap_anchor_reclaim", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": 240.52, "status": "FILLED", "suggested_position_pct": 6.0, "symbol": "SZSE.300236", "target_amount": 49629.9, "target_position_pct": 5.0, "template_key": "VWAP_RECLAIM", "theme": null, "trade_date": "20260610", "trigger_price": 93.13, "ts": "2026-06-10T09:32:07", "id": 37 }, { "amount": 79500.0, "base_exec_high": 818.85, "cash_before_order": 853918.0, "chase_ceiling": 942.88, "current_position_value": 0.0, "decision": "active_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": 1.0, "event_id": "20260609:20260610:SZSE.300502:BREAK_PREV_HIGH:BUY", "exec_high": 818.85, "exec_low": 795.0, "intraday_vwap": 776.1923, "invalid_price": 763.384, "ma5": 763.384, "max_chase_pct": 3.0, "minute_energy": { "amount_base_hint_yi": 1.0, "amount_floor_yi": 0.3, "amount_yi": 11.9155, "bar_count": 3, "bars": [ { "amount_yi": 3.1436, "close": 792.68, "high": 792.68, "low": 791.0, "open": 791.0, "time": "09:41" }, { "amount_yi": 4.4143, "close": 793.8, "high": 793.8, "low": 792.89, "open": 792.89, "time": "09:42" }, { "amount_yi": 4.3576, "close": 795.28, "high": 795.28, "low": 791.45, "open": 791.45, "time": "09:43" } ], "energy_ratio": 1.8187, "min_samples": 2, "passed": true, "prev_amount_yi": 6.5515, "ratio_min": 1.05, "reason": "minute_energy_confirmed", "template_key": "BREAK_PREV_HIGH", "window_min": 3 }, "name": "新易盛", "paper_scope": "active", "participation_rate": null, "plan_date": "20260609", "plan_id": "20260609:SZSE.300502:BREAK_PREV_HIGH", "price": 795.0, "price_vs_vwap_pct": 2.4591, "qty": 100, "quote_ask1": 795.0, "quote_ask_qty1": 100, "quote_bid1": 794.07, "quote_bid_qty1": 400, "quote_last": 795.28, "quote_ts": "2026-06-10T09:43:48", "reason": "paper_fill_at_ask1", "side": "BUY", "sim_reason": "trigger_touched", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": 0.0, "status": "FILLED", "suggested_position_pct": 12.0, "symbol": "SZSE.300502", "target_amount": 118909.2, "target_position_pct": 12.0, "template_key": "BREAK_PREV_HIGH", "theme": "科技风格", "trade_date": "20260610", "trigger_price": 795.0, "ts": "2026-06-10T09:43:50", "id": 38 }, { "amount": 46680.0, "base_exec_high": null, "chase_ceiling": null, "decision": "risk_exit", "dynamic_exec_high": null, "energy_floor_hint_yi": null, "event_id": "RISK:20260610:SZSE.002138:position_stop_loss:SELL", "exec_high": null, "exec_low": null, "intraday_vwap": null, "invalid_price": 51.694, "max_chase_pct": null, "minute_energy": null, "name": "顺络电子", "paper_scope": "position_risk", "participation_rate": null, "plan_date": "20260609", "plan_id": "RISK:20260609:SZSE.002138:position_stop_loss", "position_pnl_pct": -3.2017252820172537, "price": 58.35, "price_vs_vwap_pct": null, "qty": 800, "quote_ask1": 58.38, "quote_ask_qty1": 100, "quote_bid1": 58.35, "quote_bid_qty1": 3000, "quote_last": 58.35, "quote_ts": "2026-06-10T10:38:21", "reason": "paper_sell_at_bid1", "risk_rule": "position_stop_loss", "risk_threshold": -3.0, "sellable_qty": 800, "side": "SELL", "sim_reason": "position_stop_loss_3pct", "slippage_bps": null, "status": "FILLED", "symbol": "SZSE.002138", "template_key": "POSITION_RISK_EXIT", "theme": "题材股", "trade_date": "20260610", "trigger_price": -3.0, "ts": "2026-06-10T10:38:23", "id": 39 } ], "best_position": { "symbol": "SHSE.688017", "name": "绿的谐波", "quantity": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 423.5, "market_value": 42350.0, "unrealized_pnl": 2479.000000000002, "unrealized_pnl_pct": 6.217551603922655, "updated_at": "2026-06-10T14:55:06", "position_pct_of_total": 4.282761354626798 }, "worst_position": { "symbol": "SZSE.300502", "name": "新易盛", "quantity": 100, "sellable_qty": 0, "avg_cost": 795.0, "last_price": 772.0, "market_value": 77200.0, "unrealized_pnl": -2300.0, "unrealized_pnl_pct": -2.8930817610062887, "updated_at": "2026-06-10T14:55:06", "position_pct_of_total": 7.80706438198793 } }