{ "schema_version": "local_paper_hermes_review_v1", "available": true, "structured_output": true, "source": "deepseek_via_hermes_cli", "model": "deepseek-v4-pro", "plan_date": "20260717", "trade_date": "20260720", "reason": "", "conclusion": "执行日 20260720 为 SYSTEM_HALT + OBSERVE_ONLY 模式，零成交、零持仓，与计划合同（COLD/OBSERVE_ONLY/allow_new_positions=false）完全一致。三条硬阻断（risk_flags_stale_25d / plan_regime_mismatch / plan_contract_disallows）均正确触发，风控纪律严格。候选池虚假繁荣告警（87.6% vs 30.9%）与外部科技冲击 EXTREME(100/100) 共同验证了 SYSTEM_HALT 的必要性。影子观察覆盖完整 103/103，无遗漏。当日无入场、无持仓、无卖出，体系层面无违规。", "fact_check": { "real_fills": [ "执行日零成交：filled_orders=0，official_buy_filled=0，shadow_buy_filled=0，risk_sell_filled=0。与 SYSTEM_HALT + OBSERVE_ONLY 模式一致，账户全部为现金 1,045,662.51 元。" ], "existing_positions": [ "执行日零持仓：positions=0，dust_positions=0，market_value=0.0。无持仓处理需求，position_flow_sanity 为空。总 PnL +4.57%，全部来自历史已实现收益，当日无变动。" ], "market_gate": { "status": "OBSERVE_ONLY 策略在门控漏斗首层阻断全部 103 个信号正式入场（first_fail=policy_blocked_observe_only:103）。market_gate 未单独触发（0次）。外部科技冲击 EXTREME(100/100)、候选池虚假繁荣告警与 SYSTEM_HALT 三条阻断共同构成多层风控，无绕过。" }, "external_tech_shock": { "source_level": "EXTREME", "source_score": 100.0, "runtime_level": "EXTREME", "runtime_score": 100.0, "source_trade_date": "20260720", "guardrail": "positive_or_low_external_source_cannot_be_described_as_extreme" } }, "good_lessons": [ "SYSTEM_HALT 三条阻断全部正确触发：risk_flags_stale_gap_25d、plan_regime_mismatch、plan_contract_disallows_new_positions。hard_block_new_entries=true 严格阻断，无静默放行。", "候选池虚假繁荣告警正确识别：候选池涨比 87.6% vs 全市场 30.9%，剪刀差 56.7pp，建议总仓收紧至 25%。执行日跌停 276 家验证了告警有效性。", "影子观察覆盖完整：planned_signal_count=103，covered_signal_count=103，unclassified=0，无覆盖缺口。50 只 TOUCHED 信号被诊断层 chase_ceiling 拦截，4 只 ACTIONABLE 待下日评估。", "外部科技冲击 EXTREME(100/100) 正确触发：韩国 KOSPI -4.46%/KOSDAQ -5.33%，quant_panic+circuit_breaker 均激活，tech_new_buy_allowed=false，earliest_entry_time=13:10。" ], "mistake_lessons": [ "risk_flags 覆盖缺口 25 天（最新 20260625 至执行日 20260720）是 SYSTEM_HALT 第一阻断原因。虽属已知降级（coverage_audit 已生成，backfill_state=pending），但缺口本身为可预防的管线中断，非外部不可抗力。", "计划日 regime COLD(20) 与执行日 MIXED(41) 不匹配触发 hard_block_new_entries_until_execution_regime_reconfirmed。regime 改善方向但当前一律 hard_block，过渡期缺少分级处理（如降级为 require_intraday_confirmation+低仓位）。", "50 只 TOUCHED 信号全部被 chase_ceiling 诊断层拦截，日涨幅 2.4%-16.6%。部分高弹性标的（如通源石油+16.6%、潜能恒信+12.4%）在高波动环境中追价上限可能过紧，需评估历史波动率校准。" ], "code_iterations_done": [ "输入中无代码迭代完成记录，不足以判断。", "本地事实护栏已校验 position_flow_sanity，避免把收盘剩余持仓误读为全天起始持仓。" ], "pending_rule_change_candidates": [ "regime 过渡期分级策略：COLD→MIXED 改善方向时，不应一律 hard_block，可降级为 require_intraday_confirmation + 单票仓位上限降至 5%-8%。仅当 transition_direction=deteriorating 时维持 hard_block。", "chase_ceiling 动态校准：当前固定比例在极端波动环境中导致 50 只 TOUCHED 全部被拦截。建议引入基于历史波动率（HV20/HV60）的动态缓释系数，或分模板差异化设定（VWAP_RECLAIM 可略宽于 SECOND_WAVE_BREAK_VWAP）。", "risk_flags 自动补齐 Pipeline：建立每日收盘后自动拉取同花顺/东方财富风险公告→解析→校验→回填流程，max_allowed_gap 维持 5 天。补齐后 SYSTEM_HALT 可自动解除。", "candidate_pool_false_prosperity 告警与仓位上限联动：当前建议总仓 25% 但 SYSTEM_HALT 已完全阻断。可在非 HALT 状态下将告警仓位上限写入 plan_contract.max_position_pct，实现自动化约束。" ], "next_validation_tasks": [ "补齐 20260626-20260720 共 17 个交易日的 risk_flags，解除 SYSTEM_HALT 第一阻断。补齐后重新运行 Strict Gate 对 103 个条件计划做全量复核。", "回测 50 只 chase_ceiling 拦截的 TOUCHED 信号：若追价上限放宽 1%-2%，哪些可成交？假设成交后 MFE/MAE/capture_ratio 如何？用于校准追价上限参数。", "验证 regime 过渡场景：在模拟环境中构造 COLD→MIXED 改善场景，测试 preopen 能否从 hard_block 正确降级为 require_intraday_confirmation+低仓位。", "复盘 4 只 ACTIONABLE 影子信号（status_counts.ACTIONABLE=4）在下一交易日 20260721 的表现，确认影子观察→正式计划升级链路是否合理。" ], "framework_audit": { "entry_fit": [ "执行日零入场，无需评估入场是否符合板块二波框架。" ], "holding_fit": [ "执行日零持仓，无需评估持仓处理。" ], "sell_fit": [ "执行日零卖出，无需评估卖出/风控。" ], "violations_or_warnings": [ "risk_flags 覆盖缺口 25 天 → SYSTEM_HALT 第一阻断。虽属已知管线降级（coverage_audit 已生成、backfill_state=pending），但缺口为可预防中断，非外部不可抗力。", "plan_regime(COLD) vs execution_regime(MIXED) mismatch → comparison_state=mismatch, transition_direction=improving。当前 hard_block 处理保守合理，但 improvement 方向缺少分级策略，所有 regime 偏离一律阻断可能过度。", "candidate_pool_false_prosperity 告警触发：候选池 87.6% vs 全市场 30.9%，剪刀差 56.7pp。执行日跌停 276 家验证告警有效性。非管线错误，属于正确的结构性风险识别。" ], "source": "deepseek_via_hermes_cli" }, "fact_scope_guardrail": { "execution_market_facts": { "report_date": "20260720", "role": "execution_date_post_close_market_facts", "count_comparison_allowed": false, "pool_up_pct": 87.6, "whole_market_rise_pct": 30.9, "breadth_divergence_pct_points": 56.7, "rise_count": 1709, "fall_count": 3415, "flat_count": 409, "limit_up_count": 56, "limit_down_count": 276, "regime_label": "分化", "regime_code": "MIXED", "regime_score": 41.0, "source_contract": "dashboard_text_date_scoped; market facts only; no active_or_conditional_count_comparison", "authority": "authoritative_for_execution_day_market_numbers; do not substitute plan-date breadth values", "plan_date_reference": { "report_date": "20260717", "role": "plan_session_historical_context", "count_comparison_allowed": false, "pool_up_pct": 62.1, "whole_market_rise_pct": 7.3, "breadth_divergence_pct_points": 54.8, "rise_count": 405, "fall_count": 4758, "flat_count": 370, "limit_up_count": 35, "limit_down_count": 217, "regime_label": "冰点", "regime_code": "COLD", "regime_score": 20.0, "source_contract": "dashboard_text_date_scoped; market facts only; no active_or_conditional_count_comparison" } }, "rule": "execution-day market claims must use execution_market_facts; plan-day breadth requires explicit historical label", "triggered": false } }