QuantStrategyLab · Pigbibi · May 10, 2026 · May 10, 2026 · chatgpt-codex-connector · May 10, 2026
@@ -105,8 +105,7 @@ diagnostics when account equity is below the suggested minimum.
 | --- | ---: | --- |
 | `tqqq_growth_income` | `500 USD` | Most suitable for small accounts; TQQQ can usually trade, but BOXX/cash targets may drift. |
 | `soxl_soxx_trend_income` | `1000 USD` | Can run with drift on integer-share platforms; fractional-share runtimes can express the small SOXX/BOXX legs more closely. |
-| `global_etf_rotation` | `3000 USD` | Top-2 ETF rotation can drift when selected ETFs are too expensive for the account. |
-| `global_etf_confidence_vol_gate` | `3000 USD` | Same execution caveats as `global_etf_rotation`; the profile can express unequal 75/25 targets only when share sizing supports them closely enough. |
+| `global_etf_rotation` (`global_etf_confidence_vol_gate` legacy alias) | `3000 USD` | Top-2 ETF rotation can drift when selected ETFs are too expensive for the account; the legacy alias shares the same execution caveats. |
 | `mega_cap_leader_rotation_top50_balanced` | `10000 USD` | The fixed 50% Top2 / 50% Top4 sleeve blend can drift when integer shares cannot represent the intended unequal weights. |
 | `tech_communication_pullback_enhancement` (`qqq_tech_enhancement` legacy alias) | `10000 USD` | Small accounts reduce position count and single-name concentration rises. |
 | `russell_1000_multi_factor_defensive` | `30000 USD` | The default 24-stock basket is not suitable for small accounts. |
@@ -117,7 +116,7 @@ reports explicit about the gap between account size and backtest assumptions.
 ### Research candidates and archive
 
 - `mega_cap_leader_rotation_top50_balanced`: runtime-enabled monthly profile for the current Top50 balanced candidate. It consumes a transparent Top50 monthly snapshot and runs a fixed 50% Top2 cap50 sleeve plus 50% Top4 cap25 sleeve, with no broad QQQ trend de-risking by default.
-- `global_etf_confidence_vol_gate`: runtime-enabled experimental variant of `global_etf_rotation`. It keeps the same universe and canary defense, uses SMA250, and only shifts from 50/50 Top2 to 75/25 Top1/Top2 when the Top1 momentum z-gap is at least `1.0` and Top1's trailing 126-day volatility is no more than `1.3x` Top2's volatility.
+- `global_etf_confidence_vol_gate`: legacy alias and comparison name for the canonical `global_etf_rotation` runtime profile. It keeps the same universe and canary defense, uses the same SMA250 / z-gap / relative-volatility gate parameter set, and remains available for explicit regression checks.
 - `mega_cap_leader_rotation`: umbrella research/backtest name for the static and dynamic variants; see [`docs/research/mega_cap_leader_rotation.md`](./docs/research/mega_cap_leader_rotation.md).
 
 ### global_etf_rotation
@@ -134,21 +133,21 @@ reports explicit about the gap between account size and backtest assumptions.
 
 **Indicators and rules**
 - Momentum uses Keller-style `13612W` monthly momentum: `(12×R1M + 4×R3M + 2×R6M + R12M) / 19`.
-- Trend filter: candidate ETF must be above its 200-day SMA.
+- Trend filter: candidate ETF must be above its 250-day SMA.
 - Hold bonus: an existing holding receives `+2%` score bonus to reduce turnover.
 - Daily canary check: if all 4 canary assets have negative or missing momentum, the strategy goes `100% BIL` immediately.
 
 **Rebalance behavior**
 - Normal rotation only happens on the last NYSE trading day of March, June, September, and December.
 - On a rebalance day, the strategy ranks the eligible universe and selects the top 2 ETFs.
-- Selected ETFs are equally weighted (`50 / 50`).
+- Selected ETFs are normally equally weighted (`50 / 50`), but the default confidence gate can tilt them to `75 / 25` when the Top1 lead is strong and not materially more volatile than Top2.
 - If fewer than 2 names survive, the unused slot is parked in `BIL`.
 - On non-rebalance days, the strategy returns no target change unless the canary emergency path is triggered.
 
-**Confidence-volatility variant**
-- `global_etf_rotation` keeps confidence weighting disabled by default.
-- `global_etf_confidence_vol_gate` enables the same signal engine with `sma_period=250`, `confidence_threshold=1.0`, `confidence_top1_weight=0.75`, `confidence_volatility_window=126`, and `confidence_volatility_max_ratio=1.3`.
-- The variant concentrates only when Top1 is clearly ahead and not materially more volatile than Top2; otherwise it remains equal-weight Top2.
+**Confidence-volatility alias**
+- `global_etf_rotation` is the canonical runtime profile and defaults to the SMA250 confidence-gated configuration.
+- `global_etf_confidence_vol_gate` now resolves to the same runtime profile and remains only as an explicit comparison alias for regression checks.
+- The gate concentrates only when Top1 is clearly ahead and not materially more volatile than Top2; otherwise it remains equal-weight Top2.
 
 **Why it exists**
 - Compared with a pure tech or leveraged-Nasdaq approach, this profile is meant to be steadier.
@@ -349,8 +348,8 @@ The backtest output directory still includes `summary.csv`, `portfolio_returns.c
 
 | Canonical profile | 显示名 | 兼容平台仓库 | 策略频率 | 核心思路 |
 | --- | --- | --- | --- | --- |
-| `global_etf_rotation` | 全球 ETF 轮动 | `InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`, `PaperSignalPlatform` | 季度调仓 + 每日 canary | 22 只全球 ETF 的季度 Top 2 轮动，带每日 canary 防守 |
-| `global_etf_confidence_vol_gate` | 全球 ETF 置信度波动过滤 | `InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`, `PaperSignalPlatform` | 季度调仓 + 每日 canary | `global_etf_rotation` 的 SMA250 实验变体，高置信且 Top1 相对波动不过高时切 75/25 |
+| `global_etf_rotation` | 全球 ETF 轮动 | `InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`, `PaperSignalPlatform` | 季度调仓 + 每日 canary | 22 只全球 ETF 的季度 Top 2 轮动，默认使用 SMA250 置信度 + 相对波动门控 |
+| `global_etf_confidence_vol_gate` | 全球 ETF 置信度波动过滤 | `InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`, `PaperSignalPlatform` | 季度调仓 + 每日 canary | 与 `global_etf_rotation` 同源的显式对照入口，保留 75/25 规则与门控参数 |
 | `russell_1000_multi_factor_defensive` | 罗素1000多因子 | `InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`, `PaperSignalPlatform` | 月频 | Russell 1000 个股月频 price-only 选股，带 SPY + breadth 防守和 BOXX 停泊 |
 | `tech_communication_pullback_enhancement` | 科技通信回调增强 | `InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`, `PaperSignalPlatform` | 月频 | tech-heavy 月频个股选择，做受控回调，并显式保留 BOXX 缓冲 |
 | `mega_cap_leader_rotation_top50_balanced` | Mega Cap Top50 平衡龙头轮动 | `InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`, `PaperSignalPlatform` | 月频 | 当前 Top50 平衡候选，固定 50% Top2 cap50 + 50% Top4 cap25，不因 QQQ 趋势默认降仓 |
@@ -363,7 +362,8 @@ cron 配置由各个平台仓库负责：
 
 - 日频策略：每个美股交易日临近收盘运行一次。
 - `global_etf_rotation`：每日检查 canary 风险，但正常轮动只在
-  `3 / 6 / 9 / 12` 月最后一个 NYSE 交易日触发。
+  `3 / 6 / 9 / 12` 月最后一个 NYSE 交易日触发；默认采用 SMA250
+  置信度 + 相对波动门控。
 - 月频 snapshot 策略：由 `UsEquitySnapshotPipelines` 按月发布 feature
   snapshot，再由下游运行时在月度窗口内执行一次。
 
@@ -375,8 +375,8 @@ cron 配置由各个平台仓库负责：
 | --- | ---: | --- |
 | `tqqq_growth_income` | `500 USD` | 最适合小账户；通常能买到 TQQQ，但 BOXX / 现金层会有偏差。 |
 | `soxl_soxx_trend_income` | `1000 USD` | 整数股平台会有偏离；支持碎股的运行时可以更接近小额 SOXX / BOXX 目标仓位。 |
-| `global_etf_rotation` | `3000 USD` | Top2 ETF 轮动遇到高价 ETF 时会明显偏离。 |
-| `global_etf_confidence_vol_gate` | `3000 USD` | 与 `global_etf_rotation` 相同；如果触发 75/25 不等权，小账户和整数股平台会更容易产生偏离。 |
+| `global_etf_rotation` | `3000 USD` | 默认档已切到 SMA250 + 置信度门控；Top2 ETF 轮动遇到高价 ETF 时仍会偏离。 |
+| `global_etf_confidence_vol_gate` | `3000 USD` | 与 `global_etf_rotation` 同一执行约束；保留 75/25 对照入口时，小账户和整数股平台会更容易产生偏离。 |
 | `mega_cap_leader_rotation_top50_balanced` | `10000 USD` | 固定 50% Top2 / 50% Top4 袖珍组合需要不等权持仓，小账户整数股会产生明显偏离。 |
 | `tech_communication_pullback_enhancement`（历史别名 `qqq_tech_enhancement`） | `10000 USD` | 小账户会降低持仓数，单票集中度上升。 |
 | `russell_1000_multi_factor_defensive` | `30000 USD` | 默认 24 只股票组合，不适合小账户。 |
@@ -386,7 +386,7 @@ cron 配置由各个平台仓库负责：
 ### 研究候选与存档
 
 - `mega_cap_leader_rotation_top50_balanced`：已注册为 runtime-enabled 月频 profile，消费透明 Top50 月度 snapshot，运行固定 50% Top2 cap50 + 50% Top4 cap25 的组合，不默认使用宽基趋势降仓。
-- `global_etf_confidence_vol_gate`：`global_etf_rotation` 的 runtime-enabled 实验变体。它保留同一标的池和 canary 防守，使用 SMA250；只有当 Top1 动量 z-gap 至少为 `1.0`，且 Top1 过去 126 日波动率不超过 Top2 的 `1.3x` 时，才从 Top2 等权切到 Top1/Top2 的 `75/25`。
+- `global_etf_confidence_vol_gate`：`global_etf_rotation` 的显式对照入口，保留同一标的池和 canary 防守。它使用同样的 SMA250 / z-gap / 相对波动门控参数，方便做回归对照和小样本验证。
 - `mega_cap_leader_rotation`：静态池和动态池的研究/回测总称；说明见 [`docs/research/mega_cap_leader_rotation.md`](./docs/research/mega_cap_leader_rotation.md)。
 
 ### global_etf_rotation
@@ -415,8 +415,8 @@ cron 配置由各个平台仓库负责：
 - 非调仓日默认不改目标仓位，除非触发 canary 应急防守。
 
 **置信度 + 波动过滤变体**
-- `global_etf_rotation` 默认关闭置信度加权，保持原有 Top2 等权行为。
-- `global_etf_confidence_vol_gate` 使用同一个信号引擎，但设置为 `sma_period=250`、`confidence_threshold=1.0`、`confidence_top1_weight=0.75`、`confidence_volatility_window=126`、`confidence_volatility_max_ratio=1.3`。
+- `global_etf_rotation` 现在默认使用 `sma_period=250`、`confidence_threshold=1.0`、`confidence_weighting_enabled=True`、`confidence_top1_weight=0.75`、`confidence_volatility_gate_enabled=True`、`confidence_volatility_window=126`、`confidence_volatility_max_ratio=1.3`。
+- `global_etf_confidence_vol_gate` 保留为显式对照入口，参数与默认档一致，便于回放和回归比较。
 - 只有 Top1 明显领先且相对 Top2 不显著更高波动时，才切到 `75 / 25`；否则仍保持 Top2 等权。
 
 **这套策略的定位**

@@ -4,7 +4,7 @@ _Updated: 2026-05-08_
 
 ## Candidate
 
-`global_etf_confidence_vol_gate` is an experimental variant of `global_etf_rotation`.
+`global_etf_confidence_vol_gate` is the legacy comparison alias for the same signal package now retained by `global_etf_rotation`.
 
 - Universe, canary basket, safe haven, quarterly cadence, 13612W momentum, and hold bonus stay aligned with `global_etf_rotation`.
 - The variant uses `sma_period=250`.
@@ -15,7 +15,7 @@ _Updated: 2026-05-08_
 
 ## Production-Like Backtest Snapshot
 
-The research run used daily close history through 2026-05-07, quarterly rebalances, daily canary checks, and 5 bps turnover cost. The comparison below uses the same SMA250 baseline as the candidate.
+The research run used daily close history through 2026-05-07, quarterly rebalances, daily canary checks, and 5 bps turnover cost. The comparison below uses the same SMA250 baseline as the candidate and matches the current default `global_etf_rotation` defaults.
 
 | Strategy | Sample | CAGR | Max drawdown | Volatility | Sharpe | Final equity |
 | --- | --- | ---: | ---: | ---: | ---: | ---: |
@@ -27,10 +27,10 @@ The research run used daily close history through 2026-05-07, quarterly rebalanc
 
 The ungated confidence rule improved CAGR but widened drawdown. The relative volatility gate filtered several high-confidence Top1 cases where the leader was much more volatile than the runner-up, bringing max drawdown back to the SMA250 Top2 baseline while preserving higher CAGR and Sharpe.
 
-This does not make the profile a QQQ replacement: QQQ buy-and-hold still has a higher long-run CAGR in the same broad research window. The candidate is only an internal Global ETF enhancement path for operators who want the Global ETF risk profile but are willing to test a modest concentration rule.
+This does not make the profile a QQQ replacement: QQQ buy-and-hold still has a higher long-run CAGR in the same broad research window. The retained default Global ETF profile still keeps the same risk profile; this note is only the audit trail for the parameter set that was folded into that default and the alias kept for regression checks.
 
 ## Rollout Recommendation
 
-- Keep `global_etf_rotation` unchanged as the default defensive profile.
-- Expose `global_etf_confidence_vol_gate` as a separate runtime profile.
-- Use paper or small allocation first; integer-share runtimes may drift more because the candidate can target unequal `75 / 25` weights.
+- Keep `global_etf_rotation` as the default defensive profile.
+- Keep `global_etf_confidence_vol_gate` only as an explicit comparison alias for regression checks.
+- Use paper or small allocation first if you run the `75 / 25` comparison path; integer-share runtimes may drift more because the candidate can target unequal weights.
@@ -14,13 +14,14 @@ entries in this matrix.
 The current runtime-enabled US equity profiles are:
 
 - `global_etf_rotation`
-- `global_etf_confidence_vol_gate`
 - `tqqq_growth_income`
 - `soxl_soxx_trend_income`
 - `russell_1000_multi_factor_defensive`
 - `tech_communication_pullback_enhancement`
 - `mega_cap_leader_rotation_top50_balanced`
 
+`global_etf_confidence_vol_gate` is a legacy alias that resolves to `global_etf_rotation` and does not appear as a separate runtime-enabled row.
+
 These profiles are designed against the shared contract and are portable across
 the current US equity platform IDs:
 
@@ -65,7 +66,6 @@ New US equity profiles should use only these canonical `required_inputs`:
 | Profile | `target_mode` | `required_inputs` | Adapter coverage | Runtime status | Notes |
 | --- | --- | --- | --- | --- | --- |
 | `global_etf_rotation` | `weight` | `market_history` | `ibkr`, `schwab`, `longbridge`, `paper_signal` | runtime-enabled | Quarterly top-2 ETF rotation with daily canary defense. |
-| `global_etf_confidence_vol_gate` | `weight` | `market_history` | `ibkr`, `schwab`, `longbridge`, `paper_signal` | runtime-enabled | SMA250 Global ETF variant that allows 75/25 Top1/Top2 only behind a momentum-confidence and relative-volatility gate. |
 | `tqqq_growth_income` | `value` | `benchmark_history`, `portfolio_snapshot` | `ibkr`, `schwab`, `longbridge`, `paper_signal` | runtime-enabled | Direct QQQ/TQQQ growth-income profile with explicit portfolio input. |
 | `soxl_soxx_trend_income` | `value` | `derived_indicators`, `portfolio_snapshot` | `ibkr`, `schwab`, `longbridge`, `paper_signal` | runtime-enabled | Semiconductor trend profile using canonical derived indicators. |
 | `russell_1000_multi_factor_defensive` | `weight` | `feature_snapshot` | `ibkr`, `schwab`, `longbridge`, `paper_signal` | runtime-enabled | Artifact-backed Russell 1000 defensive selection. |

@@ -10,12 +10,11 @@ _更新日期：2026-05-08_
 
 ## 当前可配置 profiles
 
-这 7 条 profile 是当前 `runtime_enabled` `us_equity` 集合。它们按共享文档规范设计为通用策略，平台侧通过同一份 catalog、manifest、entrypoint 和 runtime adapter 契约接入；是否实盘启用仍由各部署配置和风控决定。
+这 6 条 profile 是当前 `runtime_enabled` `us_equity` 集合。它们按共享文档规范设计为通用策略，平台侧通过同一份 catalog、manifest、entrypoint 和 runtime adapter 契约接入；是否实盘启用仍由各部署配置和风控决定。`global_etf_confidence_vol_gate` 现在只是 `global_etf_rotation` 的 legacy alias，不再是独立 runtime profile。
 
 | Profile | 中文定位 | 输入类型 | 特点 | 当前建议 |
 | --- | --- | --- | --- | --- |
-| `global_etf_rotation` | 全球 ETF 防守轮动 | 直接运行输入 | 季度 Top2 ETF 轮动，每日 canary 防守，弱市切 `BIL`。 | 可切换；偏低波动防守线。 |
-| `global_etf_confidence_vol_gate` | 全球 ETF 置信度波动过滤 | 直接运行输入 | `global_etf_rotation` 的 SMA250 实验变体；高置信且 Top1 相对波动不过高时切 `75% / 25%`。 | 可做 paper / 小比例观察；不是替代默认档。 |
+| `global_etf_rotation` | 全球 ETF 防守轮动 | 直接运行输入 | 季度 Top2 ETF 轮动，默认启用 SMA250 置信度 + 相对波动门控；每日 canary 防守，弱市切 `BIL`。 | 默认保留；当前推荐档。 |
 | `tqqq_growth_income` | TQQQ 增长收益 | 直接运行输入 | `QQQ` / `TQQQ` 双轮增长，默认 `45% / 45% / 8% BOXX / 2% cash`；`QQQM` 可作为低单价交易代理。 | 小账户最容易落地；不需要 snapshot artifact。 |
 | `soxl_soxx_trend_income` | SOXL/SOXX 半导体趋势收益 | 直接运行输入 | 以 `SOXX` 140 日趋势闸门控制 `SOXL` / `SOXX` / `BOXX`；剩余资金停 BOXX，可叠加收入层。 | 半导体高弹性直接输入策略；波动高于宽基。 |
 | `tech_communication_pullback_enhancement` | 科技通信回调增强 | feature snapshot | 科技/通信个股月频选择，受控回调入场，保留 BOXX 缓冲。 | 需要月度 snapshot；适合先小比例或观察运行。 |
@@ -51,7 +50,7 @@ _更新日期：2026-05-08_
 
 暂时没有写进正式表的内容：
 
-- `global_etf_rotation`：已完成阈值 4 版本复核，归档索引已更新为可保留版本；该版 CAGR 13.25%，最大回撤 -23.29%，优于 SPY 的回撤。
+- `global_etf_rotation`：已切到 SMA250 置信度 + 相对波动门控的保留版；最新回测 CAGR 13.91%，最大回撤 -23.29%，已替代原先的等权默认档。`global_etf_confidence_vol_gate` 仅保留为同一 runtime profile 的 legacy alias / 回放名。
 
 ## 研究中但未进入实盘的方向
 

@@ -11,7 +11,7 @@ requires-python = ">=3.11"
 dependencies = [
   "pandas>=2.0",
   "pytz>=2024.1",
-  "quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@96f88e30fbb6bc504e8fe79d8248193d887cba28",
+  "quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@573fc9e9917cf1f2c1acda9232c5a23a8a05d797",
 ]
 
 [tool.setuptools]

@@ -6,7 +6,6 @@
 
 MIN_RECOMMENDED_EQUITY_USD: dict[str, float] = {
     "global_etf_rotation": 3_000.0,
-    "global_etf_confidence_vol_gate": 3_000.0,
     "tqqq_growth_income": 500.0,
     "soxl_soxx_trend_income": 1_000.0,
     "russell_1000_multi_factor_defensive": 30_000.0,