{ "schema_version": 3, "metadata": { "title": "A股未来一年周期展望：完整门禁与方向评分版", "as_of": "2026-08-25", "market_data_cutoff": "2026-08-25", "forecast_start": "2026-08-25", "forecast_end": "2027-08-25", "expert_snapshot_version": "2026.08.23-v3", "expert_runtime": "0.1.1-rc.2 / headless；具体模型与reasoning配置未冻结", "expert_method": "五个隔离DSH工作区各安装一位专家Skill；Round 4使用同一冻结事实包，允许主题PASS/WATCH/REJECT和个股CORE/SATELLITE/WATCH/REJECT/INCOMPLETE全状态输出。角色共享底层运行环境，不能视为统计独立样本。", "expert_disclosure": "五个姓名均指基于系统 Skill 的 AI 方法论角色；相关真人未参与、未审核、未背书。", "committee_vote_snapshot": "Round 1/2/3保留为历史方法记录；最终门禁先由冻结行情、官方财报和机械规则生成，再由Round 4全状态反方复核。AI票不覆盖事实硬门。", "expert_run_artifact": "docs/research-data/a-share-cycle-expert-runs-2026-08-25.json", "expert_run_input_sha256": "44b060ef10486542137513ccc3c57a7ba2a93a09a59905d652c01ff83ada4610", "probability_semantics": "主题分数是证据强度而非概率；个股历史条件频率使用非重叠样本与Wilson区间，只作描述，不是未来收益保证。", "investment_boundary": "A/A-表示方向证据，不等于买入。股票执行层由六门独立决定；本版不提供目标价、仓位或收益承诺。", "artifact_provenance": "人工策展的结构化研究JSON + scripts/research/render-a-share-cycle-outlook.ts；JSON不是模型输出的无损逐字转录", "report_origin_date": "2026-08-23", "report_revision": "2026.08.25-complete-v1", "report_artifact": "docs/a-share-cycle-outlook-2026-08-25.html", "report_data_artifact": "docs/research-data/a-share-cycle-outlook-2026-08-25.json", "turning_point_audit_artifact": "docs/turning-point-capability-audit-2026-08-23.html", "repository_url": "https://github.com/hancao97/hanai-investment-dsh", "market_snapshot_artifact": "docs/research-data/a-share-cycle-market-snapshot-2026-08-25.json", "market_snapshot_sha256": "f59d3639cd9d95dec851507ade7972a55669a668d64bda968163854c1ad59d9b", "expert_run_artifact_sha256": "ca18454409299719f9e7940bce6fa04a3f6776272f4de461ad9585522edcc3ab", "pre_council_artifact": "docs/research-data/a-share-cycle-outlook-pre-council-2026-08-25.json", "pre_council_sha256": "44b060ef10486542137513ccc3c57a7ba2a93a09a59905d652c01ff83ada4610" }, "verdict": { "headline": "方向层有1个A档（A- 白色家电全球化与节能更新）；执行层为0 CORE / 1 SATELLITE。", "summary": "六股36个门格均已落为PASS/WATCH/FAIL，当前3个WATCH、2个REJECT、0个INCOMPLETE。方向评分衡量证据强度，个股仍须六门全过；Round 4只作反方复核，不能被解释成独立胜率。", "primary_watch": "000333 美的集团（SATELLITE）", "research_watch": [ "长江电力", "宁德时代", "贵州茅台" ], "rejected": [ "恒瑞医药", "中国移动" ] }, "latest_council": { "round": "Round 4 · 完整市场/质量/估值复核", "executed_at": "2026-08-25T16:43:35.551Z", "artifact": "./research-data/a-share-cycle-expert-runs-2026-08-25.json", "execution": "5/5 exit 0，5/5 JSON解析并通过当前契约验证；1/5 经修复重试；DSH 0.1.1-rc.2 headless；模型与reasoning未冻结", "scenario_consensus": "5/5 基准：结构市延续", "theme_results": [ { "name": "电网、特高压与电力数字化", "grade": "B+", "score": 75, "pass": 0, "watch": 5, "reject": 0 }, { "name": "AI算力与国产集成电路制造", "grade": "B-", "score": 65, "pass": 0, "watch": 5, "reject": 0 }, { "name": "创新药出海与授权交易", "grade": "C", "score": 45, "pass": 0, "watch": 0, "reject": 5 }, { "name": "白色家电全球化与节能更新", "grade": "A-", "score": 80, "pass": 5, "watch": 0, "reject": 0 }, { "name": "高股息与可解释现金流", "grade": "B+", "score": 75, "pass": 0, "watch": 5, "reject": 0 }, { "name": "具身智能与机器人", "grade": "C", "score": 35, "pass": 0, "watch": 0, "reject": 5 } ], "stock_results": [ { "name": "长江电力", "core": 0, "satellite": 0, "watch": 5, "reject": 0, "incomplete": 0, "council_vote": { "pass": 0, "watch": 5, "reject": 0 }, "decision": "watch", "action": "WATCH；valuation / council尚未转为PASS" }, { "name": "美的集团", "core": 0, "satellite": 5, "watch": 0, "reject": 0, "incomplete": 0, "council_vote": { "pass": 5, "watch": 0, "reject": 0 }, "decision": "satellite", "action": "SATELLITE；六门全部通过，按冻结证伪条件持续复核" }, { "name": "宁德时代", "core": 0, "satellite": 0, "watch": 5, "reject": 0, "incomplete": 0, "council_vote": { "pass": 0, "watch": 5, "reject": 0 }, "decision": "watch", "action": "WATCH；fact / quality / council尚未转为PASS" }, { "name": "恒瑞医药", "core": 0, "satellite": 0, "watch": 0, "reject": 5, "incomplete": 0, "council_vote": { "pass": 0, "watch": 0, "reject": 5 }, "decision": "reject", "action": "REJECT；valuation / council失守" }, { "name": "中国移动", "core": 0, "satellite": 0, "watch": 0, "reject": 5, "incomplete": 0, "council_vote": { "pass": 0, "watch": 0, "reject": 5 }, "decision": "reject", "action": "REJECT；quality / council失守" }, { "name": "贵州茅台", "core": 0, "satellite": 0, "watch": 5, "reject": 0, "incomplete": 0, "council_vote": { "pass": 0, "watch": 5, "reject": 0 }, "decision": "watch", "action": "WATCH；fact / mechanism / quality / valuation / council尚未转为PASS" } ], "disagreements": [ "主题票与机械评分分开：评分中1个A档，Round 4票只记录方法论反方意见。", "个股最终动作由六门优先级决定：0 CORE / 1 SATELLITE / 3 WATCH / 2 REJECT / 0 INCOMPLETE。", "五个角色共享底层运行环境；5/5一致也不是未来概率或真人背书。" ] }, "scenarios": [ { "id": "base", "name": "基准：结构市延续", "priority": "主情景", "description": "现有报告只够把状态暂定为结构市 / 数据不足；六项开关尚未形成可确认的广泛上行或压力共振。", "confirm": [ "不满足备选情景或压力情景的完整规则", "或可评估指标少于5项，自动标记数据不足", "当前单期证据不当作连续期确认" ], "falsify": "达到备选情景或压力情景的互斥规则。" }, { "id": "upside", "name": "乐观：盈利扩散", "priority": "备选情景", "description": "财政资金与信用传导改善，盈利从电子、有色等少数行业扩散至中游设备、可选消费和金融，市场宽度恢复。", "confirm": [ "六项中至少5项可评估", "至少4项满足上行阈值，合计得分≥+3", "每项均达到表中规定的连续发布期" ], "falsify": "上行项降至3项及以下、合计得分低于+3，或可评估项少于5。" }, { "id": "downside", "name": "悲观：二次探底", "priority": "压力情景", "description": "地产和内需继续收缩，叠加出口、能源或外部利率冲击；高估值成长与强周期率先压缩估值。", "confirm": [ "六项中至少5项可评估", "至少4项满足压力阈值，合计得分≤-3", "外部事件本身不触发切换，必须反映在六项国内指标" ], "falsify": "压力项降至3项及以下、合计得分高于-3，或可评估项少于5。" } ], "scenario_state_rule": "每项按本报告冻结阈值记+1/0/-1。可评估≥5且上行≥4、总分≥+3时为盈利扩散；否则，可评估≥5且压力≥4、总分≤-3时为二次探底；其余为结构市/数据待确认。未知或断档记0并标pending，不可跨期拼接。当前覆盖不足，状态为base_pending。阈值是本报告研究门槛，不是官方标准或历史校准模型。", "scenario_scorecard": [ { "name": "规模以上工业增加值", "current": "+5.3%（2026年1—7月）", "upside": "累计同比≥6%，连续3次发布", "downside": "累计同比≤4%，连续3次发布", "source_ids": [ "nbs-july" ] }, { "name": "社会消费品零售", "current": "+1.2%（2026年1—7月）", "upside": "累计同比≥3%，连续3次发布", "downside": "累计同比≤0%，连续3次发布", "source_ids": [ "nbs-retail" ] }, { "name": "商品房销售额", "current": "-13.1%（2026年1—7月）", "upside": "累计同比≥-5%，连续3次发布", "downside": "累计同比≤-15%，连续3次发布", "source_ids": [ "nbs-july" ] }, { "name": "PPI环比", "current": "-0.7%（2026-07；单期）", "upside": ">0%，连续3月", "downside": "<0%，连续3月", "source_ids": [ "nbs-prices" ] }, { "name": "工业利润与广度", "current": "总额+18.7%，电子贡献约45%（2026H1）", "upside": "利润≥10%且电子增量贡献≤30%，连续2次", "downside": "利润<5%，连续2次", "source_ids": [ "nbs-profits" ] }, { "name": "政府性基金收入", "current": "-21.6%（2026H1；单期）", "upside": "累计同比≥-5%，连续2次发布", "downside": "累计同比≤-15%，连续2次发布", "source_ids": [ "mof-h1" ] } ], "cycle_phases": [ { "period": "2026.08—10", "name": "初始基线与财报复核", "state": "预定复核，不是必然阶段", "focus": "建立六项开关与公司最新财报基线；成交和市场宽度在冻结数据接入前只记为证据缺口。", "signals": [ "六项情景开关", "工业利润广度", "公司自由现金流" ] }, { "period": "2026.11—2027.02", "name": "财政与信用复核", "state": "预定复核，不是传导承诺", "focus": "观察电网、设备更新和AI资本开支的招标、合同负债与回款，区分真实需求和政策叙事。", "signals": [ "财政执行", "M1-M2剪刀差", "居民贷款", "订单与合同负债" ] }, { "period": "2027.03—05", "name": "年报与一季报裁决", "state": "年报与一季报复核", "focus": "只有收入、毛利、现金流和订单同时改善的主题才能从WATCH升级。", "signals": [ "盈利上修比例", "应收/存货相对营收", "板块广度" ] }, { "period": "2027.06—08", "name": "拥挤度再定价", "state": "估值与产能复核", "focus": "检查资本开支是否把短缺变成过剩；高股息检查现金收益率是否已被拥挤交易买没。", "signals": [ "产能利用率", "产品价格/毛利", "股息与无风险利率利差", "估值分位" ] } ], "macro_evidence": [ { "label": "2026H1 GDP", "value": "+4.7%", "detail": "Q1 +5.0%，Q2 +4.3%，增长动能放缓。", "tone": "watch", "source_ids": [ "nbs-gdp" ] }, { "label": "1—7月工业", "value": "+5.3%", "detail": "装备制造 +9.7%，高技术制造 +13.8%；供给侧明显强于需求侧。", "tone": "positive", "source_ids": [ "nbs-july" ] }, { "label": "1—7月社零", "value": "+1.2%", "detail": "服务零售 +5.0%，消费是结构修复而非总量繁荣。", "tone": "watch", "source_ids": [ "nbs-retail", "nbs-services" ] }, { "label": "地产开发投资", "value": "-19.2%", "detail": "销售面积 -11.8%、销售额 -13.1%、新开工 -24.0%，尚无基本面反转。", "tone": "negative", "source_ids": [ "nbs-july" ] }, { "label": "7月CPI / PPI", "value": "+0.5% / +3.5%", "detail": "核心CPI +0.9%；PPI环比 -0.7%，再通胀动能并不稳。", "tone": "watch", "source_ids": [ "nbs-prices" ] }, { "label": "H1工业利润", "value": "+18.7%", "detail": "电子制造贡献约45%的增速；盈利改善真实但集中。", "tone": "positive", "source_ids": [ "nbs-profits" ] }, { "label": "8月LPR", "value": "3.0% / 3.5%", "detail": "总量利率偏低，但信用向居民和私人部门传导仍是核心变量。", "tone": "neutral", "source_ids": [ "lpr" ] }, { "label": "H1政府性基金收入", "value": "-21.6%", "detail": "地方土地出让收入 -31.5%，中央财政托底与地方财力约束同时存在。", "tone": "negative", "source_ids": [ "mof-h1" ] }, { "label": "7月PMI / 新订单", "value": "49.2 / 48.5", "detail": "两者均低于50；高技术制造PMI 53.3，结构分化明显。", "tone": "watch", "source_ids": [ "nbs-pmi" ] } ], "themes": [ { "id": "grid", "name": "电网、特高压与电力数字化", "grade": "B+", "committee": { "pass": 1, "watch": 4, "reject": 0 }, "latest_committee": { "pass": 0, "watch": 5, "reject": 0 }, "committee_basis": "Round 4对公开人工评分与A/B/C映射做5次一致性检查；不是自由投票，也不是独立统计样本。", "thesis": "国家电网五年投资计划规模大、周期长，招标和回款可跟踪；但总盘子不能替代公司份额、毛利与现金回款验证。", "evidence": [ "国家电网“十五五”固定资产投资计划4万亿元、较“十四五”增长40%", "跨区输电、配网与数智化提供需求方向，但尚未证明单家公司增量" ], "candidate": "600406 国电南瑞（行业观察，未纳入六股委员会评级）", "hard_fail": "连续两个季度订单增速低于10%，合同负债下降且经营现金流显著落后净利润。", "source_ids": [ "nea-grid", "nari-annual", "market-snapshot" ], "score": 75, "score_components": { "demand": 20, "earnings": 15, "cash": 15, "valuation": 15, "market": 10 }, "score_summary": "四万亿元多年投资提供最强需求可见度；国电南瑞盈利为正、估值中性，但股价低于MA20/60/120且60/120日相对收益为负。", "market_evidence": { "date": "2026-08-25", "board": "电网设备", "board_change_pct": 1.13, "board_advance_ratio": 0.8 }, "upgrade_condition": "升至A档需代表企业订单/合同负债与粗FCF共同改善，且代表股站回MA60、60日超额转正；不能只靠总投资计划。" }, { "id": "semiconductor", "name": "AI算力与国产集成电路制造", "grade": "B-", "committee": { "pass": 1, "watch": 4, "reject": 0 }, "latest_committee": { "pass": 0, "watch": 5, "reject": 0 }, "committee_basis": "Round 4对公开人工评分与A/B/C映射做5次一致性检查；不是自由投票，也不是独立统计样本。", "thesis": "电子制造利润高增与晶圆厂利用率改善提供基本面证据，但科创板整体估值很高，只能选盈利兑现环节。", "evidence": [ "电子制造H1利润 +96.9%", "中芯国际2026Q2收入同比 +36.1%、毛利率25.3%、利用率93.7%" ], "candidate": "688981 中芯国际（高波动行业观察）", "hard_fail": "利用率低于85%、毛利率低于22%，或存货连续两个季度快于收入。", "source_ids": [ "nbs-profits", "smic-q2", "market-snapshot" ], "score": 65, "score_components": { "demand": 20, "earnings": 20, "cash": 10, "valuation": 5, "market": 10 }, "score_summary": "收入、毛利和利用率验证最强，但中芯国际PE-TTM约204倍，代表股低于三条均线且板块当日上涨家数不足一半。", "market_evidence": { "date": "2026-08-25", "board": "半导体", "board_change_pct": -0.4, "board_advance_ratio": 0.4153 }, "upgrade_condition": "升至A档需高利用率延续、粗FCF转强、代表股估值回到可解释区间并站回MA60；当前高估值与弱趋势是主要扣分。" }, { "id": "pharma", "name": "创新药出海与授权交易", "grade": "C", "committee": { "pass": 2, "watch": 3, "reject": 0 }, "latest_committee": { "pass": 0, "watch": 0, "reject": 5 }, "committee_basis": "Round 4对公开人工评分与A/B/C映射做5次一致性检查；不是自由投票，也不是独立统计样本。", "thesis": "研发与产品销售可形成长期IP周期，但一次性授权首付款不能线性外推。", "evidence": [ "恒瑞2025创新药销售 +26.09%、经营现金流 +51.36%", "2026H1创新药销售 +16.38%，但营收 -1.94%、扣非净利 -12.71%、经营现金流 -53.80%" ], "candidate": "600276 恒瑞医药", "hard_fail": "剔除许可收入后核心产品增速降至个位数，或关键三期临床失败。", "source_ids": [ "hengrui-annual", "hengrui-h1", "market-snapshot" ], "score": 45, "score_components": { "demand": 15, "earnings": 10, "cash": 5, "valuation": 5, "market": 10 }, "score_summary": "创新药销售仍增长，但恒瑞收入、扣非、FCF与趋势同时偏弱，估值余量不足。", "market_evidence": { "date": "2026-08-25", "board": "创新药", "board_change_pct": 2.19, "board_advance_ratio": 0.8112 }, "upgrade_condition": "升至A档需剔除授权后核心销售与扣非恢复双位数、CFO/归母≥1，并取得估值和趋势确认。" }, { "id": "appliance", "name": "白色家电全球化与节能更新", "grade": "A-", "committee": { "pass": 0, "watch": 4, "reject": 1 }, "latest_committee": { "pass": 5, "watch": 0, "reject": 0 }, "committee_basis": "Round 4对公开人工评分与A/B/C映射做5次一致性检查；不是自由投票，也不是独立统计样本。", "thesis": "更新需求、全球渠道、合理估值与相对强势共同成立；但扣非利润转弱，A-是方向证据等级而不是买入评级。", "evidence": [ "以旧换新销售额超过1万亿元", "美的2026Q1收入 +2.55%、经营现金流 +1.45%，但扣非净利 -14.02%" ], "candidate": "000333 美的集团", "hard_fail": "经营现金流连续下降、海外毛利率明显恶化，或补贴后家电零售仍低于2%。", "source_ids": [ "ndrc-tradein", "midea-q1", "midea-annual", "market-snapshot" ], "score": 80, "score_components": { "demand": 15, "earnings": 10, "cash": 15, "valuation": 20, "market": 20 }, "score_summary": "美的估值与股息利差合理、站上MA20/60/120且60/120日显著跑赢沪深300；扣非利润下降使其只能是A-而非A。", "market_evidence": { "date": "2026-08-25", "board": "白色家电", "board_change_pct": 1.42, "board_advance_ratio": 0.8182 }, "upgrade_condition": "从A-升至A需下一报告期扣非利润恢复正增长、CFO/归母≥1且海外毛利率不再下降；满足后盈利维度由10升至15。" }, { "id": "dividend", "name": "高股息与可解释现金流", "grade": "B+", "committee": { "pass": 0, "watch": 5, "reject": 0 }, "latest_committee": { "pass": 0, "watch": 5, "reject": 0 }, "committee_basis": "Round 4对公开人工评分与A/B/C映射做5次一致性检查；不是自由投票，也不是独立统计样本。", "thesis": "只保留经营现金流覆盖派息、资产寿命与资本开支可解释的公司；“红利”不是统一因子。", "evidence": [ "长江电力2026Q1现金转化1.73×，但维护性资本开支与实时利差待核", "中国移动2026H1经营现金流 +37.0%、自由现金流539亿元（+111.6%），但通信服务收入 -5.7%" ], "candidate": "600900 长江电力；600941 中国移动仅条件观察", "hard_fail": "派息靠负债、处置资产或削减必要资本开支维持。", "source_ids": [ "cypc-q1", "cypc-annual", "cmcc-h1", "cmcc-annual", "market-snapshot" ], "score": 75, "score_components": { "demand": 15, "earnings": 12, "cash": 15, "valuation": 18, "market": 15 }, "score_summary": "长电与移动估值、股息和相对强弱具备防御属性，但移动FCF不能覆盖分红、长电股息利差略低于预设PASS线。", "market_evidence": { "date": "2026-08-25", "board": "红利股", "board_change_pct": 0.05, "board_advance_ratio": 0.5638 }, "upgrade_condition": "升至A档需核心代表股FCF/股利≥1.2、股息—国债利差≥2.5pp且中期相对强势延续。" }, { "id": "robotics", "name": "具身智能与机器人", "grade": "C", "committee": { "pass": 0, "watch": 4, "reject": 1 }, "latest_committee": { "pass": 0, "watch": 0, "reject": 5 }, "committee_basis": "Round 4对公开人工评分与A/B/C映射做5次一致性检查；不是自由投票，也不是独立统计样本。", "thesis": "政策支持与装备制造增长成立，但多数标的仍缺稳定订单、单位经济和自由现金流。", "evidence": [ "政府工作报告明确支持具身智能", "装备制造1—7月 +9.7%，不能等同于机器人企业盈利" ], "candidate": "不列稳健核心股，仅维护订单与交付影子清单", "hard_fail": "交付时点持续后延、只见概念成交而无真实终端订单，或扩产导致毛利连续下滑。", "source_ids": [ "gov-work-report", "nbs-july", "market-snapshot" ], "score": 35, "score_components": { "demand": 10, "earnings": 5, "cash": 5, "valuation": 5, "market": 10 }, "score_summary": "同日板块广度较高，但缺稳定订单、单位经济、自由现金流和代表股完整门禁。", "market_evidence": { "date": "2026-08-25", "board": "人形机器人", "board_change_pct": 1.37, "board_advance_ratio": 0.737 }, "upgrade_condition": "升至A档需可核订单、毛利、单位经济与粗FCF至少连续两个报告期验证，并建立代表股估值门。" } ], "stocks": [ { "symbol": "600900", "name": "长江电力", "decision": "watch", "layer": "WATCH / 已完成但条件未过", "financial_cutoff": "2026Q1 / 披露2026-04-30", "committee": { "core": 5, "satellite": 0, "watch": 0, "reject": 0 }, "latest_committee": { "core": 0, "satellite": 0, "watch": 5, "reject": 0, "incomplete": 0 }, "metrics": [ { "label": "2026Q1营收", "value": "181.12亿元", "change": "+6.44%" }, { "label": "归母净利", "value": "67.61亿元", "change": "+30.50%" }, { "label": "经营现金流", "value": "117.11亿元", "change": "-1.15%" }, { "label": "现金转化 / 扣非", "value": "1.73× / +19.20%", "change": "非经常项影响归母增速" }, { "label": "收盘 / PE-TTM", "value": "28.21 / 19.13×", "change": "2026-08-25；PB 3.31×" }, { "label": "股息率 / 国债利差", "value": "3.54% / +1.86pp", "change": "10年国债1.68%" }, { "label": "60日收益 / 超额", "value": "+4.56% / +10.59%", "change": "相对沪深300价格指数" }, { "label": "粗FCF / 归母", "value": "84.90亿元 / 1.26×", "change": "2026Q1 / 2025A" } ], "reason": "即使把全部购建长期资产现金视为维护性资本开支，Q1和全年现金质量仍过预设门。 PE-TTM19.13×、2025粗FCF收益率6.10%，但股息率较10年国债利差仅1.86pp，稳定现金流轨道三项中两项通过。 60日相对沪深300为+10.59%。", "catalysts": [ "来水与发电量改善", "利率下行提高现金流资产相对价值", "电力市场化机制优化" ], "valuation_gate": "统一按稳定现金流轨道审查：PE-TTM≤20×、2025粗FCF收益率≥5%、股息率较10年国债利差≥2.5pp才通过。", "gate_bands": { "pass": "PE-TTM≤20×、最近完整年度粗FCF收益率≥5%、股息率较10年国债利差≥2.5pp，且质量门不为FAIL。", "watch": "稳定现金流估值三项只满足一至两项，或来水、资本回报仍需复核。", "fail": "粗FCF/现金分红<1.0×，或发电量同比≤-10%且平均结算电价同比≤-5%连续两期即FAIL。" }, "hard_fails": [ "年度派现率低于70%", "经营现金流/现金分红低于1.5", "发电量与平均结算电价同时同比下降超过5%" ], "source_ids": [ "cypc-q1", "cypc-annual", "market-snapshot", "chinabond-10y" ], "market_cutoff": "2026-08-25", "quality_snapshot": { "status": "pass", "period": "2026Q1 / 2025A", "cfo": 117.11, "capex": 32.2, "fcf": 84.9, "fcf_to_profit": 1.26, "annual_fcf": 420.74, "annual": "2025粗FCF420.74亿元、FCF/归母1.22×、覆盖现金分红1.72×、ROE15.90%。", "conclusion": "即使把全部购建长期资产现金视为维护性资本开支，Q1和全年现金质量仍过预设门。" }, "valuation_snapshot": { "date": "2026-08-25", "status": "watch", "price": 28.21, "market_cap_100m": 6902.4842176836, "pe_ttm": 19.13, "pb": 3.31, "dividend_yield_pct": 3.54, "government_bond_10y_pct": 1.68, "dividend_spread_pp": 1.86, "track": "stable_cash_flow", "annual_fcf_100m": 420.74, "annual_fcf_yield_pct": 6.095486591944659, "rule": { "pass": "PE-TTM≤20×、最近完整年度粗FCF收益率≥5%、股息率较10年国债利差≥2.5pp，且质量门不为FAIL。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括零至两项达标或渠道/资本回报仍待核。", "fail": "PE-TTM≥35×、粗FCF收益率<3%，且最新盈利或现金流同时转弱。" }, "conclusion": "PE-TTM19.13×、2025粗FCF收益率6.10%，但股息率较10年国债利差仅1.86pp，稳定现金流轨道三项中两项通过。" }, "technical_snapshot": { "date": "2026-08-25", "close_qfq": 28.21, "returns": { "20d": { "absolute": -0.0296, "benchmark": -0.0038, "excess": -0.0258 }, "60d": { "absolute": 0.0456, "benchmark": -0.0603, "excess": 0.1059 }, "120d": { "absolute": 0.0775, "benchmark": -0.0223, "excess": 0.0998 } }, "ma": { "ma20": 28.291, "ma60": 27.4757, "ma120": 26.8378, "close_vs_ma20": -0.0029, "close_vs_ma60": 0.0267, "close_vs_ma120": 0.0511 }, "state": { "above_ma20": false, "above_ma60": true, "momentum_60_positive": true, "relative_60_positive": true }, "annualized_volatility_20d": 0.172, "drawdown_from_120d_high": -0.0434, "conditional_history": [ { "horizon_trading_days": 20, "non_overlapping_observations": 14, "positive_rate": 0.6429, "positive_rate_wilson95": [ 0.3876, 0.8366 ], "outperform_rate": 0.4286, "outperform_rate_wilson95": [ 0.2138, 0.6741 ], "mean_return": 0.0101, "mean_excess_return": -0.0113, "excess_return_sd": 0.0774, "events": [ { "signal_date": "2023-08-29", "exit_date": "2023-09-26", "stock_return": 0.02557811765934126, "benchmark_return": -0.02565097055230592, "excess_return": 0.05122908821164718, "positive": true, "outperformed": true }, { "signal_date": "2023-10-19", "exit_date": "2023-11-16", "stock_return": 0.008086117147622085, "benchmark_return": 0.010986149866705874, "excess_return": -0.0029000327190837893, "positive": true, "outperformed": false }, { "signal_date": "2023-11-28", "exit_date": "2023-12-26", "stock_return": 0.05218624917667336, "benchmark_return": -0.05506008207996549, "excess_return": 0.10724633125663885, "positive": true, "outperformed": true }, { "signal_date": "2024-01-10", "exit_date": "2024-02-07", "stock_return": 0.06609321086650133, "benchmark_return": 0.020292145871539935, "excess_return": 0.045801064994961393, "positive": true, "outperformed": true }, { "signal_date": "2024-03-12", "exit_date": "2024-04-11", "stock_return": 0.035346898083110645, "benchmark_return": -0.025920850370675153, "excess_return": 0.0612677484537858, "positive": true, "outperformed": true }, { "signal_date": "2024-07-31", "exit_date": "2024-08-28", "stock_return": -0.0014328187126124714, "benchmark_return": -0.04519941430762797, "excess_return": 0.0437665955950155, "positive": false, "outperformed": true }, { "signal_date": "2024-08-29", "exit_date": "2024-09-30", "stock_return": 0.025166867272130355, "benchmark_return": 0.22582131263576688, "excess_return": -0.20065444536363652, "positive": true, "outperformed": false }, { "signal_date": "2025-01-08", "exit_date": "2025-02-13", "stock_return": -0.022914587722215995, "benchmark_return": 0.030592047967655578, "excess_return": -0.05350663568987157, "positive": false, "outperformed": false }, { "signal_date": "2025-02-18", "exit_date": "2025-03-18", "stock_return": -0.04356480264393281, "benchmark_return": 0.024264078225711527, "excess_return": -0.06782888086964434, "positive": false, "outperformed": false }, { "signal_date": "2025-05-06", "exit_date": "2025-06-04", "stock_return": 0.025868036579589804, "benchmark_return": 0.015806582049814333, "excess_return": 0.010061454529775471, "positive": true, "outperformed": true }, { "signal_date": "2025-06-04", "exit_date": "2025-07-02", "stock_return": 0.012785452995702551, "benchmark_return": 0.0193706478078135, "excess_return": -0.0065851948121109505, "positive": true, "outperformed": false }, { "signal_date": "2025-07-02", "exit_date": "2025-07-30", "stock_return": -0.028649577445032826, "benchmark_return": 0.05263104511522232, "excess_return": -0.08128062256025514, "positive": false, "outperformed": false }, { "signal_date": "2025-12-02", "exit_date": "2025-12-30", "stock_return": -0.034482758620689724, "benchmark_return": 0.02128743415606693, "excess_return": -0.055770192776756655, "positive": false, "outperformed": false }, { "signal_date": "2026-04-27", "exit_date": "2026-05-28", "stock_return": 0.021646695013529227, "benchmark_return": 0.030027562644756367, "excess_return": -0.00838086763122714, "positive": true, "outperformed": false } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" }, { "horizon_trading_days": 60, "non_overlapping_observations": 8, "positive_rate": 0.75, "positive_rate_wilson95": [ 0.4093, 0.9285 ], "outperform_rate": 0.625, "outperform_rate_wilson95": [ 0.3057, 0.8632 ], "mean_return": 0.0448, "mean_excess_return": 0.0289, "excess_return_sd": 0.1302, "events": [ { "signal_date": "2023-08-29", "exit_date": "2023-11-29", "stock_return": 0.028188129665396522, "benchmark_return": -0.07962829574867225, "excess_return": 0.10781642541406877, "positive": true, "outperformed": true }, { "signal_date": "2023-11-29", "exit_date": "2024-03-01", "stock_return": 0.12895364776361884, "benchmark_return": 0.014187385868801972, "excess_return": 0.11476626189481687, "positive": true, "outperformed": true }, { "signal_date": "2024-03-12", "exit_date": "2024-06-12", "stock_return": 0.16087370281415692, "benchmark_return": -0.014835343531184209, "excess_return": 0.17570904634534112, "positive": true, "outperformed": true }, { "signal_date": "2024-07-31", "exit_date": "2024-11-01", "stock_return": -0.06734247949278227, "benchmark_return": 0.1301364291358713, "excess_return": -0.19747890862865358, "positive": false, "outperformed": false }, { "signal_date": "2025-01-08", "exit_date": "2025-04-11", "stock_return": 0.015153195106626827, "benchmark_return": -0.010213183715909846, "excess_return": 0.025366378822536673, "positive": true, "outperformed": true }, { "signal_date": "2025-05-06", "exit_date": "2025-07-30", "stock_return": 0.009217765147375045, "benchmark_return": 0.08998198784836187, "excess_return": -0.08076422270098682, "positive": true, "outperformed": false }, { "signal_date": "2025-12-02", "exit_date": "2026-03-06", "stock_return": -0.03338224504768894, "benchmark_return": 0.023298706944819392, "excess_return": -0.05668095199250833, "positive": false, "outperformed": false }, { "signal_date": "2026-04-27", "exit_date": "2026-07-24", "stock_return": 0.11712408194820245, "benchmark_return": -0.025521122627569004, "excess_return": 0.14264520457577146, "positive": true, "outperformed": true } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" } ] }, "gate_evidence": { "fact": "2025A、2026Q1、2026-08-25行情和国债机会成本均已冻结；全部购建支出已按保守口径扣除。", "mechanism": "来水、发电量与结算电价可直接传导至现金流，且采用全量capex扣除。", "quality": "即使把全部购建长期资产现金视为维护性资本开支，Q1和全年现金质量仍过预设门。", "valuation": "PE-TTM19.13×、2025粗FCF收益率6.10%，但股息率较10年国债利差仅1.86pp，稳定现金流轨道三项中两项通过。", "falsifier": "粗FCF/现金分红<1.0×，或发电量同比≤-10%且平均结算电价同比≤-5%连续两期即FAIL。", "council": "Round 4会商票 0 PASS / 5 WATCH / 0 REJECT；按3/5多数映射为WATCH。" }, "pre_council_decision": "watch", "proposed_execution_tier": null, "latest_council_vote": { "pass": 0, "watch": 5, "reject": 0 }, "execution_tier": null }, { "symbol": "000333", "name": "美的集团", "decision": "satellite", "layer": "SATELLITE / 六门通过", "financial_cutoff": "2026Q1 / 披露2026-04-30", "committee": { "core": 0, "satellite": 3, "watch": 2, "reject": 0 }, "latest_committee": { "core": 0, "satellite": 5, "watch": 0, "reject": 0, "incomplete": 0 }, "metrics": [ { "label": "2026Q1营收", "value": "1,310.99亿元", "change": "+2.55%" }, { "label": "归母净利", "value": "126.75亿元", "change": "+2.03%" }, { "label": "经营现金流", "value": "145.29亿元", "change": "+1.45%" }, { "label": "现金转化 / 扣非", "value": "1.15× / -14.02%", "change": "底层盈利承压" }, { "label": "收盘 / PE-TTM", "value": "86.69 / 14.96×", "change": "2026-08-25；PB 3.20×" }, { "label": "股息率 / 国债利差", "value": "4.96% / +3.28pp", "change": "10年国债1.68%" }, { "label": "60日收益 / 超额", "value": "+11.17% / +17.20%", "change": "相对沪深300价格指数" }, { "label": "粗FCF / 归母", "value": "123.86亿元 / 0.98×", "change": "2026Q1 / 2025A" } ], "reason": "2025 CFO/归母1.21×、粗FCF/分红1.30×、ROE19.70%；购建支出111.42亿元、营运资本约释现52.80亿元，海外毛利率仅降0.22pp，均已拆清。Q1扣非-14.02%作为下一期证伪，不追认成FAIL。 PE-TTM14.96×、2025粗FCF收益率6.38%、股息率较10年国债利差3.28pp，稳定现金流轨道三项全部通过。 60日相对沪深300为+17.20%。", "catalysts": [ "海外本地化收入继续增长", "ToB业务兑现", "补贴后仍保持自然需求" ], "valuation_gate": "2025营运资本、资本开支和海外毛利已拆清；当前PE-TTM14.96×、股息率4.96%。后续要求CFO/归母维持≥1.0、年度ROE≥18%，且扣非利润恢复。", "gate_bands": { "pass": "CFO/归母≥1.0、年度ROE≥18%，海外毛利稳定，且营运资本与资本开支变动已解释。", "watch": "CFO/归母0.8—1.0，或现金流下降、并购与营运资本影响尚未拆清。", "fail": "CFO/归母<0.8×、收入或利润转负、或海外毛利率同比下降≥2pp连续两期即FAIL。" }, "hard_fails": [ "CFO/归母低于0.8", "收入或利润转负", "海外毛利率连续两期明显恶化" ], "source_ids": [ "midea-q1", "midea-annual", "market-snapshot", "chinabond-10y", "midea-annual-full" ], "market_cutoff": "2026-08-25", "quality_snapshot": { "status": "pass", "period": "2026Q1 / 2025A", "cfo": 145.29, "capex": 21.43, "fcf": 123.86, "fcf_to_profit": 0.98, "annual_cfo": 533.46, "annual_capex": 111.42, "annual_fcf": 422.04, "annual_net_profit": 439.45, "annual_cfo_to_profit": 1.21, "annual_fcf_to_profit": 0.96, "annual_dividends": 323.61, "annual_fcf_dividend_cover": 1.3, "annual_roe_pct": 19.7, "working_capital_release": 52.8, "annual": "2025 CFO533.46亿元、粗FCF422.04亿元、FCF/归母0.96×、覆盖现金分红1.30×、ROE19.70%；海外毛利率26.60%，同比仅-0.22pp。", "conclusion": "2025 CFO/归母1.21×、粗FCF/分红1.30×、ROE19.70%；购建支出111.42亿元、营运资本约释现52.80亿元，海外毛利率仅降0.22pp，均已拆清。Q1扣非-14.02%作为下一期证伪，不追认成FAIL。" }, "valuation_snapshot": { "date": "2026-08-25", "status": "pass", "price": 86.69, "market_cap_100m": 6613.4050659548, "pe_ttm": 14.96, "pb": 3.2, "dividend_yield_pct": 4.96, "government_bond_10y_pct": 1.68, "dividend_spread_pp": 3.2800000000000002, "track": "stable_cash_flow", "annual_fcf_100m": 422.04, "annual_fcf_yield_pct": 6.381584006892653, "rule": { "pass": "PE-TTM≤20×、最近完整年度粗FCF收益率≥5%、股息率较10年国债利差≥2.5pp，且质量门不为FAIL。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括零至两项达标或渠道/资本回报仍待核。", "fail": "PE-TTM≥35×、粗FCF收益率<3%，且最新盈利或现金流同时转弱。" }, "conclusion": "PE-TTM14.96×、2025粗FCF收益率6.38%、股息率较10年国债利差3.28pp，稳定现金流轨道三项全部通过。" }, "technical_snapshot": { "date": "2026-08-25", "close_qfq": 86.69, "returns": { "20d": { "absolute": 0.0155, "benchmark": -0.0038, "excess": 0.0193 }, "60d": { "absolute": 0.1117, "benchmark": -0.0603, "excess": 0.172 }, "120d": { "absolute": 0.1902, "benchmark": -0.0223, "excess": 0.2125 } }, "ma": { "ma20": 85.232, "ma60": 81.2119, "ma120": 77.8375, "close_vs_ma20": 0.0171, "close_vs_ma60": 0.0675, "close_vs_ma120": 0.1137 }, "state": { "above_ma20": true, "above_ma60": true, "momentum_60_positive": true, "relative_60_positive": true }, "annualized_volatility_20d": 0.2241, "drawdown_from_120d_high": -0.0254, "conditional_history": [ { "horizon_trading_days": 20, "non_overlapping_observations": 23, "positive_rate": 0.5652, "positive_rate_wilson95": [ 0.3681, 0.7437 ], "outperform_rate": 0.5217, "outperform_rate_wilson95": [ 0.3296, 0.7076 ], "mean_return": 0.0139, "mean_excess_return": 0.0046, "excess_return_sd": 0.0692, "events": [ { "signal_date": "2023-09-01", "exit_date": "2023-10-09", "stock_return": -0.04591620820990261, "benchmark_return": -0.028157795484097248, "excess_return": -0.01775841272580536, "positive": false, "outperformed": false }, { "signal_date": "2024-01-04", "exit_date": "2024-02-01", "stock_return": 0.07985643786451324, "benchmark_return": -0.03864298412034484, "excess_return": 0.11849942198485808, "positive": true, "outperformed": true }, { "signal_date": "2024-02-01", "exit_date": "2024-03-08", "stock_return": 0.15143331948483585, "benchmark_return": 0.10168722476543879, "excess_return": 0.04974609471939706, "positive": true, "outperformed": true }, { "signal_date": "2024-03-08", "exit_date": "2024-04-09", "stock_return": -0.019123218473750758, "benchmark_return": -0.003221520433522973, "excess_return": -0.015901698040227785, "positive": false, "outperformed": false }, { "signal_date": "2024-04-09", "exit_date": "2024-05-10", "stock_return": 0.12580467169394893, "benchmark_return": 0.037580409170536955, "excess_return": 0.08822426252341198, "positive": true, "outperformed": true }, { "signal_date": "2024-05-10", "exit_date": "2024-06-07", "stock_return": -0.06111746446659039, "benchmark_return": -0.025139923846514756, "excess_return": -0.03597754062007563, "positive": false, "outperformed": false }, { "signal_date": "2024-06-25", "exit_date": "2024-07-23", "stock_return": -0.05052171044636189, "benchmark_return": -0.0052112553862170286, "excess_return": -0.04531045506014486, "positive": false, "outperformed": false }, { "signal_date": "2024-08-23", "exit_date": "2024-09-24", "stock_return": 0.044660631134345374, "benchmark_return": 0.007429692924058928, "excess_return": 0.037230938210286446, "positive": true, "outperformed": true }, { "signal_date": "2024-09-24", "exit_date": "2024-10-29", "stock_return": 0.0999188056140119, "benchmark_return": 0.17086974292269197, "excess_return": -0.07095093730868007, "positive": true, "outperformed": false }, { "signal_date": "2024-11-14", "exit_date": "2024-12-12", "stock_return": 0.02911340581358335, "benchmark_return": -0.0027527341680653183, "excess_return": 0.03186613998164867, "positive": true, "outperformed": true }, { "signal_date": "2024-12-12", "exit_date": "2025-01-10", "stock_return": 0.011934756663572577, "benchmark_return": -0.07348144470646645, "excess_return": 0.08541620137003902, "positive": true, "outperformed": true }, { "signal_date": "2025-01-10", "exit_date": "2025-02-17", "stock_return": -0.06304692846430493, "benchmark_return": 0.0575810185185186, "excess_return": -0.12062794698282353, "positive": false, "outperformed": false }, { "signal_date": "2025-03-19", "exit_date": "2025-04-17", "stock_return": -0.08079164184309573, "benchmark_return": -0.05933663660144095, "excess_return": -0.02145500524165478, "positive": false, "outperformed": false }, { "signal_date": "2025-04-29", "exit_date": "2025-05-30", "stock_return": 0.07307281721270797, "benchmark_return": 0.017257912415101107, "excess_return": 0.05581490479760687, "positive": true, "outperformed": true }, { "signal_date": "2025-05-30", "exit_date": "2025-06-30", "stock_return": -0.04737350950692876, "benchmark_return": 0.024959442533389886, "excess_return": -0.07233295204031864, "positive": false, "outperformed": false }, { "signal_date": "2025-07-03", "exit_date": "2025-07-31", "stock_return": -0.03931389964763099, "benchmark_return": 0.027096296184291102, "excess_return": -0.06641019583192209, "positive": false, "outperformed": false }, { "signal_date": "2025-11-18", "exit_date": "2025-12-16", "stock_return": 0.034745785716224775, "benchmark_return": -0.015463454891324502, "excess_return": 0.05020924060754928, "positive": true, "outperformed": true }, { "signal_date": "2025-12-17", "exit_date": "2026-01-16", "stock_return": -0.0411737113670716, "benchmark_return": 0.03318645903386108, "excess_return": -0.07436017040093268, "positive": false, "outperformed": false }, { "signal_date": "2026-01-20", "exit_date": "2026-02-25", "stock_return": 0.009298865538404089, "benchmark_return": 0.0036046689044859637, "excess_return": 0.005694196633918125, "positive": true, "outperformed": true }, { "signal_date": "2026-04-16", "exit_date": "2026-05-19", "stock_return": 0.0417913667125025, "benchmark_return": 0.02454709169638214, "excess_return": 0.01724427501612036, "positive": true, "outperformed": true }, { "signal_date": "2026-05-21", "exit_date": "2026-06-18", "stock_return": -0.0449998714289388, "benchmark_return": 0.03313750496539902, "excess_return": -0.07813737639433782, "positive": false, "outperformed": false }, { "signal_date": "2026-06-29", "exit_date": "2026-07-27", "stock_return": 0.08877960398602314, "benchmark_return": -0.04556396288147557, "excess_return": 0.1343435668674987, "positive": true, "outperformed": true }, { "signal_date": "2026-07-27", "exit_date": "2026-08-24", "stock_return": 0.022108641388327577, "benchmark_return": -0.02962298216028736, "excess_return": 0.051731623548614936, "positive": true, "outperformed": true } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" }, { "horizon_trading_days": 60, "non_overlapping_observations": 10, "positive_rate": 0.6, "positive_rate_wilson95": [ 0.3127, 0.8318 ], "outperform_rate": 0.4, "outperform_rate_wilson95": [ 0.1682, 0.6873 ], "mean_return": 0.0284, "mean_excess_return": 0.0065, "excess_return_sd": 0.1079, "events": [ { "signal_date": "2023-09-01", "exit_date": "2023-12-04", "stock_return": -0.16589081675835793, "benchmark_return": -0.08739308293045744, "excess_return": -0.07849773382790048, "positive": false, "outperformed": false }, { "signal_date": "2024-01-04", "exit_date": "2024-04-09", "stock_return": 0.21960520412741147, "benchmark_return": 0.05570278304775833, "excess_return": 0.16390242107965314, "positive": true, "outperformed": true }, { "signal_date": "2024-04-09", "exit_date": "2024-07-08", "stock_return": 0.03989332352400221, "benchmark_return": -0.03728042247183372, "excess_return": 0.07717374599583593, "positive": true, "outperformed": true }, { "signal_date": "2024-08-23", "exit_date": "2024-11-26", "stock_return": 0.0889750558257889, "benchmark_return": 0.15418115587026882, "excess_return": -0.06520610004447991, "positive": true, "outperformed": false }, { "signal_date": "2024-12-11", "exit_date": "2025-03-14", "stock_return": -0.047916450325624194, "benchmark_return": 0.004444912417927105, "excess_return": -0.0523613627435513, "positive": false, "outperformed": false }, { "signal_date": "2025-03-19", "exit_date": "2025-06-18", "stock_return": -0.013528240747467946, "benchmark_return": -0.03371428143944033, "excess_return": 0.020186040691972384, "positive": false, "outperformed": true }, { "signal_date": "2025-07-03", "exit_date": "2025-09-25", "stock_return": -0.0007280351786598249, "benchmark_return": 0.15761314694549222, "excess_return": -0.15834118212415205, "positive": false, "outperformed": false }, { "signal_date": "2025-11-18", "exit_date": "2026-02-12", "stock_return": 0.032574174108960685, "benchmark_return": 0.03314004014719174, "excess_return": -0.0005658660382310554, "positive": true, "outperformed": false }, { "signal_date": "2026-02-13", "exit_date": "2026-05-22", "stock_return": 0.016328589634664548, "benchmark_return": 0.03962956048931332, "excess_return": -0.023300970854648773, "positive": true, "outperformed": false }, { "signal_date": "2026-05-29", "exit_date": "2026-08-24", "stock_return": 0.11489990664868777, "benchmark_return": -0.06724896363948552, "excess_return": 0.18214887028817328, "positive": true, "outperformed": true } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" } ] }, "gate_evidence": { "fact": "2025完整年报、2026Q1、营运资本、资本开支、海外毛利与点时估值均已闭环。", "mechanism": "更新需求与海外本地化能传导至收入、海外毛利和CFO，关键桥接均已披露。", "quality": "2025 CFO/归母1.21×、粗FCF/分红1.30×、ROE19.70%；购建支出111.42亿元、营运资本约释现52.80亿元，海外毛利率仅降0.22pp，均已拆清。Q1扣非-14.02%作为下一期证伪，不追认成FAIL。", "valuation": "PE-TTM14.96×、2025粗FCF收益率6.38%、股息率较10年国债利差3.28pp，稳定现金流轨道三项全部通过。", "falsifier": "CFO/归母<0.8×、收入或利润转负、或海外毛利率同比下降≥2pp连续两期即FAIL。", "council": "Round 4会商票 5 PASS / 0 WATCH / 0 REJECT；按3/5多数映射为PASS。" }, "pre_council_decision": "satellite", "proposed_execution_tier": "satellite", "latest_council_vote": { "pass": 5, "watch": 0, "reject": 0 }, "execution_tier": "satellite" }, { "symbol": "300750", "name": "宁德时代", "decision": "watch", "layer": "WATCH / 已完成但条件未过", "financial_cutoff": "2026H1 / 披露2026-07-26", "committee": { "core": 2, "satellite": 3, "watch": 0, "reject": 0 }, "latest_committee": { "core": 0, "satellite": 0, "watch": 5, "reject": 0, "incomplete": 0 }, "metrics": [ { "label": "2026H1营收", "value": "2,769.17亿元", "change": "+54.80%" }, { "label": "归母净利", "value": "432.84亿元", "change": "+41.98%" }, { "label": "经营现金流", "value": "602.17亿元", "change": "+2.61%" }, { "label": "现金转化", "value": "1.39×", "change": "营收/利润快于现金流" }, { "label": "收盘 / PE-TTM", "value": "376.73 / 20.51×", "change": "2026-08-25；PB 4.67×" }, { "label": "股息率 / 国债利差", "value": "2.19% / +0.51pp", "change": "10年国债1.68%" }, { "label": "60日收益 / 超额", "value": "-10.02% / -3.99%", "change": "相对沪深300价格指数" }, { "label": "粗FCF / 归母", "value": "351.44亿元 / 0.81×", "change": "2026H1 / 2025A" } ], "reason": "2025质量强，但最新H1 FCF转化降至0.81×，合同负债下降25.9%；2025收入/GWh混合代理约下降12.3%，H1销量/ASP/利用率仍缺同口径更新。 PE-TTM20.51×、2025粗FCF收益率5.21%，H1收入/归母净利+54.8%/+42.0%，成长轨道三项全部通过；质量门仍独立为WATCH。 60日相对沪深300为-3.99%。", "catalysts": [ "储能需求和海外基地放量", "产品结构提升", "资本回报与分红兑现" ], "valuation_gate": "营收增速≥10%、销量增速≥15%、经营现金流/归母净利≥1.2、ROE≥20%，并要求估值没有把未来两年增长一次性贴现。", "gate_bands": { "pass": "营收≥10%、销量≥15%、现金转化率≥1.2、ROE≥20%，且利用率、ASP、资本开支回报和实时估值全部通过。", "watch": "一项质量门未过，或预收/应付对现金流影响、海外项目回报、实时估值任一未知。", "fail": "FCF/归母<0.8×且收入增速<10%连续两期，或利用率<85%且收入/GWh代理再降≥10%而capex仍增即FAIL。" }, "hard_fails": [ "利用率和产品价格连续两季下行但资本开支仍扩", "两项质量门槛连续失守", "海外项目重大减值" ], "source_ids": [ "catl-h1", "catl-annual", "market-snapshot", "chinabond-10y" ], "market_cutoff": "2026-08-25", "quality_snapshot": { "status": "watch", "period": "2026H1 / 2025A", "cfo": 602.17, "capex": 250.73, "fcf": 351.44, "fcf_to_profit": 0.81, "annual_fcf": 908.75, "annual": "2025粗FCF908.75亿元、FCF/归母1.26×、覆盖现金分红2.52×、ROE24.91%。", "conclusion": "2025质量强，但最新H1 FCF转化降至0.81×，合同负债下降25.9%；2025收入/GWh混合代理约下降12.3%，H1销量/ASP/利用率仍缺同口径更新。" }, "valuation_snapshot": { "date": "2026-08-25", "status": "pass", "price": 376.73, "market_cap_100m": 17429.9970763487, "pe_ttm": 20.51, "pb": 4.67, "dividend_yield_pct": 2.19, "government_bond_10y_pct": 1.68, "dividend_spread_pp": 0.51, "track": "growth", "annual_fcf_100m": 908.75, "annual_fcf_yield_pct": 5.2137128653516, "rule": { "pass": "PE-TTM≤25×、最近完整年度粗FCF收益率≥4.5%，且最新收入与归母净利均增长≥20%。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括成长仍在但任一估值/现金阈值未过。", "fail": "增长转负且PE-TTM≥35×或粗FCF收益率<3%。" }, "conclusion": "PE-TTM20.51×、2025粗FCF收益率5.21%，H1收入/归母净利+54.8%/+42.0%，成长轨道三项全部通过；质量门仍独立为WATCH。" }, "technical_snapshot": { "date": "2026-08-25", "close_qfq": 376.73, "returns": { "20d": { "absolute": -0.0327, "benchmark": -0.0038, "excess": -0.0289 }, "60d": { "absolute": -0.1002, "benchmark": -0.0603, "excess": -0.0399 }, "120d": { "absolute": 0.122, "benchmark": -0.0223, "excess": 0.1443 } }, "ma": { "ma20": 392.4007, "ma60": 387.8381, "ma120": 397.8908, "close_vs_ma20": -0.0399, "close_vs_ma60": -0.0286, "close_vs_ma120": -0.0532 }, "state": { "above_ma20": false, "above_ma60": false, "momentum_60_positive": false, "relative_60_positive": false }, "annualized_volatility_20d": 0.267, "drawdown_from_120d_high": -0.1785, "conditional_history": [ { "horizon_trading_days": 20, "non_overlapping_observations": 15, "positive_rate": 0.5333, "positive_rate_wilson95": [ 0.3012, 0.7519 ], "outperform_rate": 0.6, "outperform_rate_wilson95": [ 0.3575, 0.8018 ], "mean_return": 0.0017, "mean_excess_return": 0.0141, "excess_return_sd": 0.1078, "events": [ { "signal_date": "2023-09-11", "exit_date": "2023-10-17", "stock_return": -0.17915737950685806, "benchmark_return": -0.034011583155056035, "excess_return": -0.14514579635180203, "positive": false, "outperformed": false }, { "signal_date": "2023-10-17", "exit_date": "2023-11-14", "stock_return": -0.010643895181823293, "benchmark_return": -0.015755344287520012, "excess_return": 0.005111449105696719, "positive": false, "outperformed": true }, { "signal_date": "2023-11-14", "exit_date": "2023-12-12", "stock_return": -0.12256025624568279, "benchmark_return": -0.043343774252804224, "excess_return": -0.07921648199287856, "positive": false, "outperformed": false }, { "signal_date": "2023-12-12", "exit_date": "2024-01-10", "stock_return": -0.09035619988435517, "benchmark_return": -0.0436763160966499, "excess_return": -0.04667988378770527, "positive": false, "outperformed": false }, { "signal_date": "2024-01-10", "exit_date": "2024-02-07", "stock_return": 0.06846744732831445, "benchmark_return": 0.020292145871539935, "excess_return": 0.04817530145677451, "positive": true, "outperformed": true }, { "signal_date": "2024-06-28", "exit_date": "2024-07-26", "stock_return": 0.056499230107057485, "benchmark_return": -0.015128579929860164, "excess_return": 0.07162781003691765, "positive": true, "outperformed": true }, { "signal_date": "2024-08-01", "exit_date": "2024-08-29", "stock_return": 0.003026121480620647, "benchmark_return": -0.04140942364890754, "excess_return": 0.04443554512952819, "positive": true, "outperformed": true }, { "signal_date": "2025-03-11", "exit_date": "2025-04-09", "stock_return": -0.1815183569294767, "benchmark_return": -0.06460362001512143, "excess_return": -0.11691473691435528, "positive": false, "outperformed": false }, { "signal_date": "2025-04-09", "exit_date": "2025-05-12", "stock_return": 0.2538535913699802, "benchmark_return": 0.05528386482549874, "excess_return": 0.19856972654448146, "positive": true, "outperformed": true }, { "signal_date": "2025-06-10", "exit_date": "2025-07-08", "stock_return": 0.08625924817174857, "benchmark_return": 0.0344020261442981, "excess_return": 0.05185722202745047, "positive": true, "outperformed": true }, { "signal_date": "2025-12-18", "exit_date": "2026-01-19", "stock_return": -0.06351528216182933, "benchmark_return": 0.03990300453128737, "excess_return": -0.1034182866931167, "positive": false, "outperformed": false }, { "signal_date": "2026-01-19", "exit_date": "2026-02-24", "stock_return": 0.038315638652698825, "benchmark_return": -0.005685970522509409, "excess_return": 0.044001609175208234, "positive": true, "outperformed": true }, { "signal_date": "2026-02-26", "exit_date": "2026-03-26", "stock_return": 0.16731222534143542, "benchmark_return": -0.05274949385111083, "excess_return": 0.22006171919254625, "positive": true, "outperformed": true }, { "signal_date": "2026-06-10", "exit_date": "2026-07-09", "stock_return": -0.03358322698644789, "benchmark_return": 0.02689640503812707, "excess_return": -0.06047963202457496, "positive": false, "outperformed": false }, { "signal_date": "2026-07-09", "exit_date": "2026-08-06", "stock_return": 0.033413704430389934, "benchmark_return": -0.04614144711882551, "excess_return": 0.07955515154921544, "positive": true, "outperformed": true } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" }, { "horizon_trading_days": 60, "non_overlapping_observations": 6, "positive_rate": 0.6667, "positive_rate_wilson95": [ 0.3, 0.9032 ], "outperform_rate": 0.6667, "outperform_rate_wilson95": [ 0.3, 0.9032 ], "mean_return": 0.0427, "mean_excess_return": 0.0356, "excess_return_sd": 0.1245, "events": [ { "signal_date": "2023-09-11", "exit_date": "2023-12-12", "stock_return": -0.2874262198239701, "benchmark_return": -0.09044097740169976, "excess_return": -0.19698524242227033, "positive": false, "outperformed": false }, { "signal_date": "2023-12-12", "exit_date": "2024-03-14", "stock_return": 0.14058505116933606, "benchmark_return": 0.03951791759075518, "excess_return": 0.10106713357858088, "positive": true, "outperformed": true }, { "signal_date": "2024-06-28", "exit_date": "2024-09-24", "stock_return": 0.10602698868802984, "benchmark_return": -0.03170444237735648, "excess_return": 0.13773143106538632, "positive": true, "outperformed": true }, { "signal_date": "2025-03-11", "exit_date": "2025-06-10", "stock_return": -0.031170111827903524, "benchmark_return": -0.019269704827194367, "excess_return": -0.011900407000709157, "positive": false, "outperformed": false }, { "signal_date": "2025-06-10", "exit_date": "2025-09-02", "stock_return": 0.25972715220459297, "benchmark_return": 0.16168279665862118, "excess_return": 0.0980443555459718, "positive": true, "outperformed": true }, { "signal_date": "2025-12-18", "exit_date": "2026-03-24", "stock_return": 0.06871198706597892, "benchmark_return": -0.017147726998170243, "excess_return": 0.08585971406414916, "positive": true, "outperformed": true } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" } ] }, "gate_evidence": { "fact": "2026H1财务已披露，但公司未给出同口径H1销量、ASP与利用率，事实门保留WATCH。", "mechanism": "销量与利用率可传导至收入/GWh、毛利和FCF；H1运营量缺失由事实/质量门保留。", "quality": "2025质量强，但最新H1 FCF转化降至0.81×，合同负债下降25.9%；2025收入/GWh混合代理约下降12.3%，H1销量/ASP/利用率仍缺同口径更新。", "valuation": "PE-TTM20.51×、2025粗FCF收益率5.21%，H1收入/归母净利+54.8%/+42.0%，成长轨道三项全部通过；质量门仍独立为WATCH。", "falsifier": "FCF/归母<0.8×且收入增速<10%连续两期，或利用率<85%且收入/GWh代理再降≥10%而capex仍增即FAIL。", "council": "Round 4会商票 0 PASS / 5 WATCH / 0 REJECT；按3/5多数映射为WATCH。" }, "pre_council_decision": "watch", "proposed_execution_tier": null, "latest_council_vote": { "pass": 0, "watch": 5, "reject": 0 }, "execution_tier": null }, { "symbol": "600276", "name": "恒瑞医药", "decision": "reject", "layer": "REJECT / 硬门失守", "financial_cutoff": "2026H1 / 披露2026-08-19", "committee": { "core": 1, "satellite": 3, "watch": 1, "reject": 0 }, "latest_committee": { "core": 0, "satellite": 0, "watch": 0, "reject": 5, "incomplete": 0 }, "metrics": [ { "label": "2026H1营收", "value": "154.56亿元", "change": "-1.94%" }, { "label": "归母 / 扣非", "value": "44.65 / 37.30亿元", "change": "+0.34% / -12.71%" }, { "label": "经营现金流", "value": "19.87亿元", "change": "-53.80%" }, { "label": "现金转化 / 创新药", "value": "0.45× / +16.38%", "change": "触发复核，尚非持续期FAIL" }, { "label": "收盘 / PE-TTM", "value": "46.49 / 39.94×", "change": "2026-08-25；PB 4.79×" }, { "label": "股息率 / 国债利差", "value": "0.43% / -1.25pp", "change": "10年国债1.68%" }, { "label": "60日收益 / 超额", "value": "-5.45% / +0.58%", "change": "相对沪深300价格指数" }, { "label": "粗FCF / 归母", "value": "4.09亿元 / 0.09×", "change": "2026H1 / 2025A" } ], "reason": "最新现金质量显著失守；当前规则要求连续两期才FAIL，因此列高风险WATCH并锁定下一期复核。 PE-TTM39.94×、2025粗FCF收益率2.68%，且H1收入、扣非与FCF同时转弱，触发成长轨道FAIL。 60日相对沪深300为+0.58%。", "catalysts": [ "核心产品放量", "国际授权里程碑实际到账", "关键临床与审批成功" ], "valuation_gate": "分拆产品销售与许可收入；剔除一次性授权后核心销售仍保持两位数增长，经营现金流/归母净利≥1.0。", "gate_bands": { "pass": "剔除许可首付款后核心产品销售≥10%、现金转化率≥1.0，关键临床与实时估值均通过。", "watch": "剔除许可后核心销售0—10%，现金转化率单期<1.0，或现金流中一次性授权影响未拆清。", "fail": "剔除许可后核心销售转负、关键三期失败/延期，或CFO/归母<1.0×连续两期即FAIL。" }, "hard_fails": [ "剔除许可收入后主业增速转负", "关键三期临床失败或审批延期", "研发资本化持续上升但现金回报未改善" ], "source_ids": [ "hengrui-h1", "hengrui-annual", "market-snapshot", "chinabond-10y" ], "market_cutoff": "2026-08-25", "quality_snapshot": { "status": "watch", "period": "2026H1 / 2025A", "cfo": 19.87, "capex": 15.78, "fcf": 4.09, "fcf_to_profit": 0.09, "annual_fcf": 82.73, "annual": "2025粗FCF82.73亿元、FCF/归母1.07×；2026H1许可收入14.22亿元，流动及长期合同负债合计下降43.7%。", "conclusion": "最新现金质量显著失守；当前规则要求连续两期才FAIL，因此列高风险WATCH并锁定下一期复核。" }, "valuation_snapshot": { "date": "2026-08-25", "status": "fail", "price": 46.49, "market_cap_100m": 3085.6342214226, "pe_ttm": 39.94, "pb": 4.79, "dividend_yield_pct": 0.43, "government_bond_10y_pct": 1.68, "dividend_spread_pp": -1.25, "track": "growth", "annual_fcf_100m": 82.73, "annual_fcf_yield_pct": 2.6811343815683437, "rule": { "pass": "PE-TTM≤25×、最近完整年度粗FCF收益率≥4.5%，且最新收入与归母净利均增长≥20%。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括成长仍在但任一估值/现金阈值未过。", "fail": "增长转负且PE-TTM≥35×或粗FCF收益率<3%。" }, "conclusion": "PE-TTM39.94×、2025粗FCF收益率2.68%，且H1收入、扣非与FCF同时转弱，触发成长轨道FAIL。" }, "technical_snapshot": { "date": "2026-08-25", "close_qfq": 46.49, "returns": { "20d": { "absolute": -0.1276, "benchmark": -0.0038, "excess": -0.1238 }, "60d": { "absolute": -0.0545, "benchmark": -0.0603, "excess": 0.0058 }, "120d": { "absolute": -0.1296, "benchmark": -0.0223, "excess": -0.1073 } }, "ma": { "ma20": 52.3795, "ma60": 51.8703, "ma120": 53.0622, "close_vs_ma20": -0.1124, "close_vs_ma60": -0.1037, "close_vs_ma120": -0.1239 }, "state": { "above_ma20": false, "above_ma60": false, "momentum_60_positive": false, "relative_60_positive": true }, "annualized_volatility_20d": 0.348, "drawdown_from_120d_high": -0.1919, "conditional_history": [ { "horizon_trading_days": 20, "non_overlapping_observations": 3, "positive_rate": 0.6667, "positive_rate_wilson95": [ 0.2077, 0.9385 ], "outperform_rate": 0.3333, "outperform_rate_wilson95": [ 0.0615, 0.7923 ], "mean_return": 0.0215, "mean_excess_return": -0.0035, "excess_return_sd": 0.0805, "events": [ { "signal_date": "2023-10-20", "exit_date": "2023-11-17", "stock_return": 0.10493578025213068, "benchmark_return": 0.016373316166228502, "excess_return": 0.08856246408590218, "positive": true, "outperformed": true }, { "signal_date": "2023-12-20", "exit_date": "2024-01-18", "stock_return": -0.06738328252847736, "benchmark_return": -0.006905231235784681, "excess_return": -0.06047805129269268, "positive": false, "outperformed": false }, { "signal_date": "2024-01-18", "exit_date": "2024-02-23", "stock_return": 0.02703300484136517, "benchmark_return": 0.06565732136695224, "excess_return": -0.038624316525587066, "positive": true, "outperformed": false } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" }, { "horizon_trading_days": 60, "non_overlapping_observations": 2, "positive_rate": 0.5, "positive_rate_wilson95": [ 0.0945, 0.9055 ], "outperform_rate": 0.5, "outperform_rate_wilson95": [ 0.0945, 0.9055 ], "mean_return": -0.0041, "mean_excess_return": -0.0154, "excess_return_sd": 0.0737, "events": [ { "signal_date": "2023-10-20", "exit_date": "2024-01-15", "stock_return": -0.028726763372189712, "benchmark_return": -0.06542205156398218, "excess_return": 0.03669528819179246, "positive": false, "outperformed": true }, { "signal_date": "2024-01-15", "exit_date": "2024-04-18", "stock_return": 0.020532375155825955, "benchmark_return": 0.08804847420845374, "excess_return": -0.06751609905262779, "positive": true, "outperformed": false } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" } ] }, "gate_evidence": { "fact": "2025A、2026H1、许可收入、合同负债与点时估值均有一手披露。", "mechanism": "创新药销售与许可交易可传导至产品收入和现金，但需剔除一次性授权影响。", "quality": "最新现金质量显著失守；当前规则要求连续两期才FAIL，因此列高风险WATCH并锁定下一期复核。", "valuation": "PE-TTM39.94×、2025粗FCF收益率2.68%，且H1收入、扣非与FCF同时转弱，触发成长轨道FAIL。", "falsifier": "剔除许可后核心销售转负、关键三期失败/延期，或CFO/归母<1.0×连续两期即FAIL。", "council": "Round 4会商票 0 PASS / 0 WATCH / 5 REJECT；按3/5多数映射为FAIL。" }, "pre_council_decision": "reject", "proposed_execution_tier": null, "latest_council_vote": { "pass": 0, "watch": 0, "reject": 5 }, "execution_tier": null }, { "symbol": "600941", "name": "中国移动", "decision": "reject", "layer": "REJECT / 硬门失守", "financial_cutoff": "2026H1 / 披露2026-08-13", "committee": { "core": 0, "satellite": 0, "watch": 3, "reject": 2 }, "latest_committee": { "core": 0, "satellite": 0, "watch": 0, "reject": 5, "incomplete": 0 }, "metrics": [ { "label": "2026H1营收", "value": "5,380.35亿元", "change": "-1.1%" }, { "label": "归母净利", "value": "789.34亿元", "change": "-6.3%" }, { "label": "经营现金流", "value": "1,149亿元", "change": "+37.0%" }, { "label": "现金转化 / FCF", "value": "1.46× / 539亿元", "change": "FCF +111.6%" }, { "label": "收盘 / PE-TTM", "value": "98.86 / 16.27×", "change": "2026-08-25；PB 1.51×" }, { "label": "股息率 / 国债利差", "value": "4.76% / +3.08pp", "change": "10年国债1.68%" }, { "label": "60日收益 / 超额", "value": "+2.23% / +8.27%", "change": "相对沪深300价格指数" }, { "label": "粗FCF / 归母", "value": "539.00亿元 / 0.68×", "change": "2026H1 / 2025A" } ], "reason": "连续两期FCF不能覆盖分红，低于预设PASS≥1.2，质量门闭环为FAIL。 PE-TTM16.27×、股息利差3.08pp，但2025公司披露FCF收益率仅3.83%，稳定现金流轨道只有两项通过；质量门另为FAIL。 60日相对沪深300为+8.27%。", "catalysts": [ "算力收入转化为自由现金流", "资本开支下降", "通信服务收入企稳" ], "valuation_gate": "通信服务收入不连续两个报告期负增长；自由现金流/现金分红≥1.2，算力资本开支回报可解释，且实时估值留有安全边际。", "gate_bands": { "pass": "自由现金流覆盖分红≥1.2、通信服务收入恢复正增长，资本开支回报可解释，实时估值通过。", "watch": "自由现金流已披露但分红覆盖、算力资本回报或实时估值尚未拆清。", "fail": "同利润归属期FCF/股利<1.0×连续两期，或通信服务收入连续两期负增长即FAIL。" }, "hard_fails": [ "现金流负增长结构化", "自由现金流无法覆盖分红", "算力资本开支回报率持续低迷" ], "source_ids": [ "cmcc-h1", "cmcc-annual", "market-snapshot", "chinabond-10y" ], "market_cutoff": "2026-08-25", "quality_snapshot": { "status": "fail", "period": "2026H1 / 2025A", "cfo": 1148.54, "capex": 609.54, "fcf": 539, "fcf_to_profit": 0.68, "annual_fcf": 820.41, "annual": "2025公司披露FCF820.41亿元、覆盖同期实际现金分红0.806×；2026H1 FCF覆盖同期宣告中期股利0.990×。", "conclusion": "连续两期FCF不能覆盖分红，低于预设PASS≥1.2，质量门闭环为FAIL。" }, "valuation_snapshot": { "date": "2026-08-25", "status": "watch", "price": 98.86, "market_cap_100m": 21439.9799314278, "pe_ttm": 16.27, "pb": 1.51, "dividend_yield_pct": 4.76, "government_bond_10y_pct": 1.68, "dividend_spread_pp": 3.08, "track": "stable_cash_flow", "annual_fcf_100m": 820.41, "annual_fcf_yield_pct": 3.8265427608791827, "rule": { "pass": "PE-TTM≤20×、最近完整年度粗FCF收益率≥5%、股息率较10年国债利差≥2.5pp，且质量门不为FAIL。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括零至两项达标或渠道/资本回报仍待核。", "fail": "PE-TTM≥35×、粗FCF收益率<3%，且最新盈利或现金流同时转弱。" }, "conclusion": "PE-TTM16.27×、股息利差3.08pp，但2025公司披露FCF收益率仅3.83%，稳定现金流轨道只有两项通过；质量门另为FAIL。" }, "technical_snapshot": { "date": "2026-08-25", "close_qfq": 98.86, "returns": { "20d": { "absolute": 0.0261, "benchmark": -0.0038, "excess": 0.0299 }, "60d": { "absolute": 0.0223, "benchmark": -0.0603, "excess": 0.0827 }, "120d": { "absolute": 0.0581, "benchmark": -0.0223, "excess": 0.0804 } }, "ma": { "ma20": 96.9085, "ma60": 93.9359, "ma120": 93.8294, "close_vs_ma20": 0.0201, "close_vs_ma60": 0.0524, "close_vs_ma120": 0.0536 }, "state": { "above_ma20": true, "above_ma60": true, "momentum_60_positive": true, "relative_60_positive": true }, "annualized_volatility_20d": 0.1917, "drawdown_from_120d_high": -0.0011, "conditional_history": [ { "horizon_trading_days": 20, "non_overlapping_observations": 19, "positive_rate": 0.5263, "positive_rate_wilson95": [ 0.3171, 0.7267 ], "outperform_rate": 0.5263, "outperform_rate_wilson95": [ 0.3171, 0.7267 ], "mean_return": -0.0086, "mean_excess_return": -0.0127, "excess_return_sd": 0.0554, "events": [ { "signal_date": "2023-08-08", "exit_date": "2023-09-05", "stock_return": 0.02983509330247358, "benchmark_return": -0.04005548115073132, "excess_return": 0.0698905744532049, "positive": true, "outperformed": true }, { "signal_date": "2023-09-07", "exit_date": "2023-10-13", "stock_return": 0.040353506153319785, "benchmark_return": -0.025292206669203177, "excess_return": 0.06564571282252296, "positive": true, "outperformed": true }, { "signal_date": "2023-10-13", "exit_date": "2023-11-10", "stock_return": -0.10128046636649246, "benchmark_return": -0.02099683082155701, "excess_return": -0.08028363554493545, "positive": false, "outperformed": false }, { "signal_date": "2023-12-27", "exit_date": "2024-01-25", "stock_return": 0.016222823913813356, "benchmark_return": 0.0019662146770731415, "excess_return": 0.014256609236740214, "positive": true, "outperformed": true }, { "signal_date": "2024-01-25", "exit_date": "2024-03-01", "stock_return": 0.015963845263122334, "benchmark_return": 0.05829633972694537, "excess_return": -0.042332494463823034, "positive": true, "outperformed": false }, { "signal_date": "2024-03-04", "exit_date": "2024-04-01", "stock_return": 0.006273593579301684, "benchmark_return": 0.015470774131781218, "excess_return": -0.009197180552479534, "positive": true, "outperformed": false }, { "signal_date": "2024-04-01", "exit_date": "2024-05-06", "stock_return": -0.04073910846922002, "benchmark_return": 0.017307023764826956, "excess_return": -0.058046132234046977, "positive": false, "outperformed": false }, { "signal_date": "2024-06-13", "exit_date": "2024-07-11", "stock_return": 0.06406630699617111, "benchmark_return": -0.016437283934511826, "excess_return": 0.08050359093068293, "positive": true, "outperformed": true }, { "signal_date": "2024-07-11", "exit_date": "2024-08-08", "stock_return": -0.033324474066199095, "benchmark_return": -0.03610837992370619, "excess_return": 0.0027839058575070963, "positive": false, "outperformed": true }, { "signal_date": "2024-08-22", "exit_date": "2024-09-23", "stock_return": -0.022053318915321807, "benchmark_return": -0.03029754251254091, "excess_return": 0.008244223597219102, "positive": false, "outperformed": true }, { "signal_date": "2024-12-27", "exit_date": "2025-01-27", "stock_return": -0.033734491891640794, "benchmark_return": -0.04118280947393016, "excess_return": 0.0074483175822893655, "positive": false, "outperformed": true }, { "signal_date": "2025-01-27", "exit_date": "2025-03-04", "stock_return": -0.04010579466217834, "benchmark_return": 0.01785134186341386, "excess_return": -0.0579571365255922, "positive": false, "outperformed": false }, { "signal_date": "2025-04-09", "exit_date": "2025-05-12", "stock_return": 0.010416173476634594, "benchmark_return": 0.05528386482549874, "excess_return": -0.04486769134886415, "positive": true, "outperformed": false }, { "signal_date": "2025-05-12", "exit_date": "2025-06-10", "stock_return": 0.017815472564547186, "benchmark_return": -0.006461711659611291, "excess_return": 0.024277184224158477, "positive": true, "outperformed": true }, { "signal_date": "2025-06-10", "exit_date": "2025-07-08", "stock_return": -0.012522328416477935, "benchmark_return": 0.0344020261442981, "excess_return": -0.04692435456077604, "positive": false, "outperformed": false }, { "signal_date": "2025-11-24", "exit_date": "2025-12-22", "stock_return": -0.0709732535979497, "benchmark_return": 0.0367734175650003, "excess_return": -0.10774667116295, "positive": false, "outperformed": false }, { "signal_date": "2026-04-30", "exit_date": "2026-06-02", "stock_return": 0.04013597517711709, "benchmark_return": 0.022309774073234312, "excess_return": 0.017826201103882777, "positive": true, "outperformed": true }, { "signal_date": "2026-06-05", "exit_date": "2026-07-06", "stock_return": -0.09585944724134388, "benchmark_return": 0.005206646570837803, "excess_return": -0.10106609381218168, "positive": false, "outperformed": false }, { "signal_date": "2026-07-17", "exit_date": "2026-08-14", "stock_return": 0.046145610278372384, "benchmark_return": 0.030200260537413648, "excess_return": 0.015945349740958736, "positive": true, "outperformed": true } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" }, { "horizon_trading_days": 60, "non_overlapping_observations": 8, "positive_rate": 0.5, "positive_rate_wilson95": [ 0.2152, 0.7848 ], "outperform_rate": 0.625, "outperform_rate_wilson95": [ 0.3057, 0.8632 ], "mean_return": -0.0118, "mean_excess_return": -0.013, "excess_return_sd": 0.0913, "events": [ { "signal_date": "2023-08-08", "exit_date": "2023-11-08", "stock_return": -0.03658565986788176, "benchmark_return": -0.09263442494842611, "excess_return": 0.05604876508054435, "positive": false, "outperformed": true }, { "signal_date": "2023-12-27", "exit_date": "2024-03-29", "stock_return": 0.0762015742993909, "benchmark_return": 0.060281264611732555, "excess_return": 0.01592030968765834, "positive": true, "outperformed": true }, { "signal_date": "2024-03-29", "exit_date": "2024-07-01", "stock_return": 0.04124160040763902, "benchmark_return": -0.016763345658491358, "excess_return": 0.05800494606613038, "positive": true, "outperformed": true }, { "signal_date": "2024-07-01", "exit_date": "2024-09-25", "stock_return": -0.012040454295210279, "benchmark_return": -0.0220373873692562, "excess_return": 0.009996933074045922, "positive": false, "outperformed": true }, { "signal_date": "2024-12-27", "exit_date": "2025-04-01", "stock_return": -0.07062868825798063, "benchmark_return": -0.023448705485766386, "excess_return": -0.047179982772214246, "positive": false, "outperformed": false }, { "signal_date": "2025-04-09", "exit_date": "2025-07-08", "stock_return": 0.015539036977415766, "benchmark_return": 0.08453424252534036, "excess_return": -0.0689952055479246, "positive": true, "outperformed": false }, { "signal_date": "2025-11-24", "exit_date": "2026-02-26", "stock_return": -0.13847294848806313, "benchmark_return": 0.06268364789064873, "excess_return": -0.20115659637871186, "positive": false, "outperformed": false }, { "signal_date": "2026-04-30", "exit_date": "2026-07-29", "stock_return": 0.030403795444196025, "benchmark_return": -0.04306982491247713, "excess_return": 0.07347362035667315, "positive": true, "outperformed": true } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" } ] }, "gate_evidence": { "fact": "2025A、2026H1、公司FCF、同期宣告股利及点时估值均已闭环。", "mechanism": "算力收入增长已披露，但分业务资本回报尚未披露，机制门保持WATCH。", "quality": "连续两期FCF不能覆盖分红，低于预设PASS≥1.2，质量门闭环为FAIL。", "valuation": "PE-TTM16.27×、股息利差3.08pp，但2025公司披露FCF收益率仅3.83%，稳定现金流轨道只有两项通过；质量门另为FAIL。", "falsifier": "同利润归属期FCF/股利<1.0×连续两期，或通信服务收入连续两期负增长即FAIL。", "council": "Round 4会商票 0 PASS / 0 WATCH / 5 REJECT；按3/5多数映射为FAIL。" }, "pre_council_decision": "reject", "proposed_execution_tier": null, "latest_council_vote": { "pass": 0, "watch": 0, "reject": 5 }, "execution_tier": null }, { "symbol": "600519", "name": "贵州茅台", "decision": "watch", "layer": "WATCH / 已完成但条件未过", "financial_cutoff": "2026H1 / 披露2026-08-15", "committee": { "core": 0, "satellite": 0, "watch": 1, "reject": 4 }, "latest_committee": { "core": 0, "satellite": 0, "watch": 5, "reject": 0, "incomplete": 0 }, "metrics": [ { "label": "2026H1营收", "value": "907.03亿元", "change": "+1.47%" }, { "label": "归母净利", "value": "445.17亿元", "change": "-1.95%" }, { "label": "经营现金流", "value": "706.91亿元", "change": "+438.84%" }, { "label": "现金转化 / 主品", "value": "1.59× / +2.82%", "change": "现金流含财务公司因素" }, { "label": "收盘 / PE-TTM", "value": "1304.00 / 20.02×", "change": "2026-08-25；PB 6.49×" }, { "label": "股息率 / 国债利差", "value": "3.99% / +2.31pp", "change": "10年国债1.68%" }, { "label": "60日收益 / 超额", "value": "+1.75% / +7.78%", "change": "相对沪深300价格指数" }, { "label": "粗FCF / 归母", "value": "698.59亿元 / 1.57×", "change": "2026H1 / 2025A" } ], "reason": "归一化现金刚过下限，但合同负债下降60.3%、境内经销商净减46家，批价与渠道库存没有一手冻结序列。 PE-TTM20.02×、调整后2025粗FCF收益率4.43%、股息利差2.31pp，三项均未完整达到PASS线。 60日相对沪深300为+7.78%。", "catalysts": [ "批价和渠道库存企稳", "主品收入恢复正增长", "剔除财务公司存款变动后的酒业经营现金流与现金转化改善" ], "valuation_gate": "不因历史低估值或品牌标签自动重估；茅台酒收入非负、系列酒降幅收窄、经营现金流/归母净利回到≥0.8后重新评审。", "gate_bands": { "pass": "茅台酒收入恢复正增长、现金转化率≥0.8、渠道库存与批价企稳，且实时估值留有安全边际。", "watch": "主品收入0—5%、现金转化率0.6—0.8，或渠道库存/批价缺少可复核数据。", "fail": "茅台酒收入转负、调整FCF/归母<0.6×，或境内经销商净减少≥50家连续两期即FAIL。" }, "hard_fails": [ "主品收入转负", "批价和渠道库存继续恶化", "经营现金流长期低于净利润" ], "source_ids": [ "moutai-h1", "moutai-annual", "market-snapshot", "chinabond-10y" ], "market_cutoff": "2026-08-25", "quality_snapshot": { "status": "watch", "period": "2026H1 / 2025A", "cfo": 706.91, "capex": 8.32, "fcf": 698.59, "fcf_to_profit": 1.57, "annual_fcf": 722.087, "annual": "剔除财务公司专属现金流行后，2025调整FCF约722.09亿元、FCF/归母0.877×、现金分红覆盖1.110×。", "normalized": "同口径下2026H1调整CFO约379.71亿元、粗FCF371.38亿元、FCF/归母0.834×；该近似未同步剔除财务公司利润。", "conclusion": "归一化现金刚过下限，但合同负债下降60.3%、境内经销商净减46家，批价与渠道库存没有一手冻结序列。" }, "valuation_snapshot": { "date": "2026-08-25", "status": "watch", "price": 1304, "market_cap_100m": 16301.06407704, "pe_ttm": 20.02, "pb": 6.49, "dividend_yield_pct": 3.99, "government_bond_10y_pct": 1.68, "dividend_spread_pp": 2.3100000000000005, "track": "stable_cash_flow", "annual_fcf_100m": 722.087, "annual_fcf_yield_pct": 4.429692421227013, "rule": { "pass": "PE-TTM≤20×、最近完整年度粗FCF收益率≥5%、股息率较10年国债利差≥2.5pp，且质量门不为FAIL。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括零至两项达标或渠道/资本回报仍待核。", "fail": "PE-TTM≥35×、粗FCF收益率<3%，且最新盈利或现金流同时转弱。" }, "conclusion": "PE-TTM20.02×、调整后2025粗FCF收益率4.43%、股息利差2.31pp，三项均未完整达到PASS线。" }, "technical_snapshot": { "date": "2026-08-25", "close_qfq": 1304, "returns": { "20d": { "absolute": -0.0121, "benchmark": -0.0038, "excess": -0.0083 }, "60d": { "absolute": 0.0175, "benchmark": -0.0603, "excess": 0.0778 }, "120d": { "absolute": -0.0673, "benchmark": -0.0223, "excess": -0.045 } }, "ma": { "ma20": 1322.6255, "ma60": 1263.1222, "ma120": 1315.4956, "close_vs_ma20": -0.0141, "close_vs_ma60": 0.0324, "close_vs_ma120": -0.0087 }, "state": { "above_ma20": false, "above_ma60": true, "momentum_60_positive": true, "relative_60_positive": true }, "annualized_volatility_20d": 0.2607, "drawdown_from_120d_high": -0.105, "conditional_history": [ { "horizon_trading_days": 20, "non_overlapping_observations": 5, "positive_rate": 0.2, "positive_rate_wilson95": [ 0.0362, 0.6245 ], "outperform_rate": 0.4, "outperform_rate_wilson95": [ 0.1176, 0.7693 ], "mean_return": -0.0288, "mean_excess_return": -0.0266, "excess_return_sd": 0.0637, "events": [ { "signal_date": "2023-08-14", "exit_date": "2023-09-11", "stock_return": 0.011621316051904751, "benchmark_return": -0.022918066033698947, "excess_return": 0.0345393820856037, "positive": true, "outperformed": true }, { "signal_date": "2023-09-11", "exit_date": "2023-10-17", "stock_return": -0.05763082592997637, "benchmark_return": -0.034011583155056035, "excess_return": -0.023619242774920335, "positive": false, "outperformed": false }, { "signal_date": "2025-03-31", "exit_date": "2025-04-29", "stock_return": -0.011475483978536816, "benchmark_return": -0.028870864428100718, "excess_return": 0.017395380449563902, "positive": false, "outperformed": true }, { "signal_date": "2025-04-29", "exit_date": "2025-05-30", "stock_return": -0.015023022782414075, "benchmark_return": 0.017257912415101107, "excess_return": -0.03228093519751518, "positive": false, "outperformed": false }, { "signal_date": "2026-04-13", "exit_date": "2026-05-14", "stock_return": -0.07146258777377867, "benchmark_return": 0.05777902134024959, "excess_return": -0.12924160911402827, "positive": false, "outperformed": false } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" }, { "horizon_trading_days": 60, "non_overlapping_observations": 3, "positive_rate": 0, "positive_rate_wilson95": [ 0, 0.5615 ], "outperform_rate": 0.3333, "outperform_rate_wilson95": [ 0.0615, 0.7923 ], "mean_return": -0.085, "mean_excess_return": -0.0752, "excess_return_sd": 0.1143, "events": [ { "signal_date": "2023-08-14", "exit_date": "2023-11-14", "stock_return": -0.022872835401062774, "benchmark_return": -0.07102084851565515, "excess_return": 0.04814801311459238, "positive": false, "outperformed": true }, { "signal_date": "2025-03-31", "exit_date": "2025-06-30", "stock_return": -0.08362252678006699, "benchmark_return": 0.012545950798881433, "excess_return": -0.09616847757894842, "positive": false, "outperformed": false }, { "signal_date": "2026-04-13", "exit_date": "2026-07-10", "stock_return": -0.14859611414230056, "benchmark_return": 0.028978831936119276, "excess_return": -0.17757494607841984, "positive": false, "outperformed": false } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" } ] }, "gate_evidence": { "fact": "财报与点时估值已冻结，但没有发行人可复核的批价和渠道库存序列，事实门保留WATCH。", "mechanism": "品牌需求可传导至主品收入和回款，但批价/渠道库存缺乏一手序列，机制门保持WATCH。", "quality": "归一化现金刚过下限，但合同负债下降60.3%、境内经销商净减46家，批价与渠道库存没有一手冻结序列。", "valuation": "PE-TTM20.02×、调整后2025粗FCF收益率4.43%、股息利差2.31pp，三项均未完整达到PASS线。", "falsifier": "茅台酒收入转负、调整FCF/归母<0.6×，或境内经销商净减少≥50家连续两期即FAIL。", "council": "Round 4会商票 0 PASS / 5 WATCH / 0 REJECT；按3/5多数映射为WATCH。" }, "pre_council_decision": "watch", "proposed_execution_tier": null, "latest_council_vote": { "pass": 0, "watch": 5, "reject": 0 }, "execution_tier": null } ], "experts": [ { "id": "duan-yongping-perspective", "name": "段永平式商业模式视角（AI模拟）", "role": "商业模式、用户价值、现金流与估值纪律", "round1": { "cycle": "把市场定义为估值不贵、方向未明、情绪退潮的结构性磨底；反对用指数点位替代企业价值。", "scenarios": "基准50 / 乐观20 / 悲观30", "preferred": [ "高股息与银行", "AI真实需求", "品牌消费困境反转", "新能源储能", "出海制造" ], "stocks": [ "贵州茅台", "宁德时代", "中国移动", "招商银行", "工商银行" ], "objections": [ "黄金不产现金流，不能自动叫稳健", "预测指数整数点位不可复用" ], "questions": [ "周期四阶段如何事前证伪？", "题材如何转成最终用户现金流？", "AI资本开支何时从投资变成军备竞赛？" ] }, "round2": { "rebuttals": [ "资金弱转强是结果而非生意变好的第一因", "安全边际若不定义相对什么就只是口号" ], "accepted_revision": "承认现金流也是后视镜，必须拆分主营回款、一次性授权、处置与资本开支，并看连续趋势。", "theme_ratings": { "dividend": "WATCH", "grid_ai": "WATCH", "manufacturing": "WATCH", "pharma": "WATCH", "consumption": "WATCH" }, "stock_ratings": { "300750": "SATELLITE", "600276": "SATELLITE", "600519": "REJECT", "600900": "CORE", "600941": "WATCH", "000333": "WATCH" }, "scenarios": "基准45 / 乐观25 / 悲观30", "gates": [ "现金流必须来自主营且连续两期同向", "成长主题必须有最终付费用户", "估值未知不得给CORE执行结论" ] } }, { "id": "hunjianglong-perspective", "name": "混江龙式题材周期视角（AI模拟）", "role": "题材、情绪周期、资金确认与退出纪律", "round1": { "cycle": "缩量混沌、弱势极限偏后段；政策底已亮牌但资金底未确认，主线从讲故事切向业绩兑现。", "scenarios": "基准55 / 乐观25 / 悲观20", "preferred": [ "国产算力与半导体", "具身智能", "红利水电", "金铜资源", "储能" ], "stocks": [ "中芯国际", "寒武纪", "宁德时代", "紫金矿业", "长江电力", "汇川技术" ], "objections": [ "成交缩量不能机械等同于全面离场", "科技是从叙事转业绩，不是全部退潮" ], "questions": [ "政策底怎样传到资金底？", "高增长能否支撑估值？", "如何事前区分缩量筑底与无量阴跌？" ] }, "round2": { "rebuttals": [ "静态现金流不能替代周期确认，且价格合算必须有估值锚", "供需框架若不给产能、库存和价格拐点就不可证伪" ], "accepted_revision": "接受资金弱转强可能反复假启动，升级为资金确认与盈利/现金流确认双门槛。", "theme_ratings": { "dividend": "WATCH", "grid_ai": "WATCH", "manufacturing": "WATCH", "pharma": "PASS", "consumption": "REJECT" }, "stock_ratings": { "300750": "CORE", "600276": "CORE", "600519": "REJECT", "600900": "CORE", "600941": "WATCH", "000333": "SATELLITE" }, "scenarios": "基准55 / 乐观25 / 悲观20", "gates": [ "下一财报现金流转负即降级", "成长必须有板块广度与成交确认", "估值透支不得给CORE" ] } }, { "id": "munger-perspective", "name": "芒格式反证视角（AI模拟）", "role": "逆向、激励、偏误、拥挤与最强反证", "round1": { "cycle": "缩量退潮的磨底区，不在顶部也不在亢奋；政策底不等于主升。", "scenarios": "基准60 / 乐观20 / 悲观20", "preferred": [ "红利现金流", "金铜资源", "高端芯片和基础软件", "创新药" ], "stocks": [ "贵州茅台", "长江电力", "中国神华", "中钨高新", "紫金矿业" ], "objections": [ "政策底已现不等于全面牛市", "高股息不是闭眼躺赢" ], "questions": [ "给出带日期的可证伪触发器", "增收不增利是周期还是结构？", "估值锚究竟是什么？" ] }, "round2": { "rebuttals": [ "高股息标签若不追现金来源就架空自己的标准", "等资金弱转强是把择时打扮成行业研究" ], "accepted_revision": "承认能力圈偏见会错杀宁德、恒瑞；改用可验证现金流和竞争位置，而非按行业类别直接否决。", "theme_ratings": { "dividend": "WATCH", "grid_ai": "WATCH", "manufacturing": "WATCH", "pharma": "WATCH", "consumption": "REJECT" }, "stock_ratings": { "300750": "SATELLITE", "600276": "WATCH", "600519": "REJECT", "600900": "CORE", "600941": "REJECT", "000333": "SATELLITE" }, "scenarios": "基准50 / 乐观30 / 悲观20", "gates": [ "现金流连续覆盖派息与再投资", "盈利底用利润和现金流确认", "估值未知时不为优质付溢价" ] } }, { "id": "warren-buffett-perspective", "name": "巴菲特式所有者收益视角（AI模拟）", "role": "护城河、所有者收益、资本配置与安全边际", "round1": { "cycle": "不预测短期点位，把周期翻译成价格相对内在价值、利率重力和谁被迫卖；政策底到盈利底有时滞。", "scenarios": "基准55 / 乐观20 / 悲观25", "preferred": [ "现金流与高股息", "电力与电网", "消费龙头困境反转", "出海制造", "大盘蓝筹" ], "stocks": [ "贵州茅台", "长江电力", "招商银行", "中国神华", "美的集团", "宁德时代" ], "objections": [ "政策底不等于马上牛市", "周期利润不能冒充永续高股息" ], "questions": [ "周期拐点如何落到估值锚？", "政策底到盈利底有何实证？", "利率在模型中权重多大？" ] }, "round2": { "rebuttals": [ "成交和资金回答别人是否出价，不回答企业能产多少现金", "注意力不是价值，短缺资本开支会制造过剩" ], "accepted_revision": "承认高派息不等于所有者收益、品牌护城河未必转成当期现金；高股息降为逐股验证。", "theme_ratings": { "dividend": "WATCH", "grid_ai": "WATCH", "manufacturing": "REJECT", "pharma": "WATCH", "consumption": "WATCH" }, "stock_ratings": { "300750": "SATELLITE", "600276": "SATELLITE", "600519": "WATCH", "600900": "CORE", "600941": "WATCH", "000333": "SATELLITE" }, "scenarios": "磨底50 / 结构弱复苏35 / 全面转强15", "gates": [ "派息与经营现金流背离即剔除", "十年赚钱形态想不清进too hard", "价格不给犯错余地就等待" ] } }, { "id": "sun-yuchen-perspective", "name": "孙宇晨式供需与注意力视角（AI模拟）", "role": "供需、库存、资本开支、注意力与叙事拥挤", "round1": { "cycle": "大幅回调后的修复与再平衡；不是普涨起点，注意力会从故事转向盈利兑现。", "scenarios": "基准50 / 乐观25 / 悲观25", "preferred": [ "存储周期", "国产算力", "人形机器人", "创新药出海" ], "stocks": [ "中芯国际", "兆易创新", "华虹公司" ], "objections": [ "存储涨价不能线性外推", "未来产业合同额和出货量不等于现金利润" ], "questions": [ "谁在做利润而非流水？", "安全溢价能否抵消盈利下修？", "政策托底如何区分于改变盈利？" ] }, "round2": { "rebuttals": [ "高派息不等于健康现金流", "资金弱转强若无事前触发器只是事后择时" ], "accepted_revision": "承认创新药是IP周期而非产能周期；把短缺拆成产能周期与IP周期，并新增估值门禁。", "theme_ratings": { "dividend": "WATCH", "grid_ai": "PASS", "manufacturing": "WATCH", "pharma": "PASS", "consumption": "REJECT" }, "stock_ratings": { "300750": "CORE", "600276": "SATELLITE", "600519": "REJECT", "600900": "CORE", "600941": "REJECT", "000333": "WATCH" }, "scenarios": "基准45 / 乐观30 / 悲观25", "gates": [ "核心标的下一季度现金流转负即降级", "利用率和价格两季下行触发过剩门", "社零或核心CPI转负整体降风险" ] } } ], "view_gates": { "criteria": [ { "id": "fact", "name": "事实门", "rule": "一手财报/官方统计与冻结行情均有数据日期和来源；未知不得视为通过。" }, { "id": "mechanism", "name": "机制门", "rule": "政策或需求必须能传导至公司订单、利润和现金；仅有标签不得通过。" }, { "id": "quality", "name": "质量门", "rule": "用CFO减购建长期资产现金估算粗FCF，并核现金转化、分红覆盖、营运资本和一次性项。" }, { "id": "valuation", "name": "估值门", "rule": "统一使用2026-08-25价格、PE-TTM/PB/股息率及10年国债1.68%的机会成本；增长和资本强度必须匹配。" }, { "id": "falsifier", "name": "反证门", "rule": "必须有可观测硬失效条件、阈值和降级动作。" }, { "id": "council", "name": "会商门", "rule": "同源AI角色只作反方审查；不能替代数据门，也不计作独立统计样本。" } ], "results": [ { "name": "长江电力", "fact": "pass", "mechanism": "pass", "quality": "pass", "valuation": "watch", "falsifier": "pass", "council": "watch", "decision": "watch", "gate_notes": { "fact": "2025A、2026Q1、2026-08-25行情和国债机会成本均已冻结；全部购建支出已按保守口径扣除。", "mechanism": "来水、发电量与结算电价可直接传导至现金流，且采用全量capex扣除。", "quality": "即使把全部购建长期资产现金视为维护性资本开支，Q1和全年现金质量仍过预设门。", "valuation": "PE-TTM19.13×、2025粗FCF收益率6.10%，但股息率较10年国债利差仅1.86pp，稳定现金流轨道三项中两项通过。", "falsifier": "粗FCF/现金分红<1.0×，或发电量同比≤-10%且平均结算电价同比≤-5%连续两期即FAIL。", "council": "Round 4会商票 0 PASS / 5 WATCH / 0 REJECT；按3/5多数映射为WATCH。" }, "action": "WATCH；valuation / council尚未转为PASS" }, { "name": "美的集团", "fact": "pass", "mechanism": "pass", "quality": "pass", "valuation": "pass", "falsifier": "pass", "council": "pass", "decision": "satellite", "gate_notes": { "fact": "2025完整年报、2026Q1、营运资本、资本开支、海外毛利与点时估值均已闭环。", "mechanism": "更新需求与海外本地化能传导至收入、海外毛利和CFO，关键桥接均已披露。", "quality": "2025 CFO/归母1.21×、粗FCF/分红1.30×、ROE19.70%；购建支出111.42亿元、营运资本约释现52.80亿元，海外毛利率仅降0.22pp，均已拆清。Q1扣非-14.02%作为下一期证伪，不追认成FAIL。", "valuation": "PE-TTM14.96×、2025粗FCF收益率6.38%、股息率较10年国债利差3.28pp，稳定现金流轨道三项全部通过。", "falsifier": "CFO/归母<0.8×、收入或利润转负、或海外毛利率同比下降≥2pp连续两期即FAIL。", "council": "Round 4会商票 5 PASS / 0 WATCH / 0 REJECT；按3/5多数映射为PASS。" }, "action": "SATELLITE；六门全部通过，按冻结证伪条件持续复核" }, { "name": "宁德时代", "fact": "watch", "mechanism": "pass", "quality": "watch", "valuation": "pass", "falsifier": "pass", "council": "watch", "decision": "watch", "gate_notes": { "fact": "2026H1财务已披露，但公司未给出同口径H1销量、ASP与利用率，事实门保留WATCH。", "mechanism": "销量与利用率可传导至收入/GWh、毛利和FCF；H1运营量缺失由事实/质量门保留。", "quality": "2025质量强，但最新H1 FCF转化降至0.81×，合同负债下降25.9%；2025收入/GWh混合代理约下降12.3%，H1销量/ASP/利用率仍缺同口径更新。", "valuation": "PE-TTM20.51×、2025粗FCF收益率5.21%，H1收入/归母净利+54.8%/+42.0%，成长轨道三项全部通过；质量门仍独立为WATCH。", "falsifier": "FCF/归母<0.8×且收入增速<10%连续两期，或利用率<85%且收入/GWh代理再降≥10%而capex仍增即FAIL。", "council": "Round 4会商票 0 PASS / 5 WATCH / 0 REJECT；按3/5多数映射为WATCH。" }, "action": "WATCH；fact / quality / council尚未转为PASS" }, { "name": "恒瑞医药", "fact": "pass", "mechanism": "pass", "quality": "watch", "valuation": "fail", "falsifier": "pass", "council": "fail", "decision": "reject", "gate_notes": { "fact": "2025A、2026H1、许可收入、合同负债与点时估值均有一手披露。", "mechanism": "创新药销售与许可交易可传导至产品收入和现金，但需剔除一次性授权影响。", "quality": "最新现金质量显著失守；当前规则要求连续两期才FAIL，因此列高风险WATCH并锁定下一期复核。", "valuation": "PE-TTM39.94×、2025粗FCF收益率2.68%，且H1收入、扣非与FCF同时转弱，触发成长轨道FAIL。", "falsifier": "剔除许可后核心销售转负、关键三期失败/延期，或CFO/归母<1.0×连续两期即FAIL。", "council": "Round 4会商票 0 PASS / 0 WATCH / 5 REJECT；按3/5多数映射为FAIL。" }, "action": "REJECT；valuation / council失守" }, { "name": "中国移动", "fact": "pass", "mechanism": "watch", "quality": "fail", "valuation": "watch", "falsifier": "pass", "council": "fail", "decision": "reject", "gate_notes": { "fact": "2025A、2026H1、公司FCF、同期宣告股利及点时估值均已闭环。", "mechanism": "算力收入增长已披露，但分业务资本回报尚未披露，机制门保持WATCH。", "quality": "连续两期FCF不能覆盖分红，低于预设PASS≥1.2，质量门闭环为FAIL。", "valuation": "PE-TTM16.27×、股息利差3.08pp，但2025公司披露FCF收益率仅3.83%，稳定现金流轨道只有两项通过；质量门另为FAIL。", "falsifier": "同利润归属期FCF/股利<1.0×连续两期，或通信服务收入连续两期负增长即FAIL。", "council": "Round 4会商票 0 PASS / 0 WATCH / 5 REJECT；按3/5多数映射为FAIL。" }, "action": "REJECT；quality / council失守" }, { "name": "贵州茅台", "fact": "watch", "mechanism": "watch", "quality": "watch", "valuation": "watch", "falsifier": "pass", "council": "watch", "decision": "watch", "gate_notes": { "fact": "财报与点时估值已冻结，但没有发行人可复核的批价和渠道库存序列，事实门保留WATCH。", "mechanism": "品牌需求可传导至主品收入和回款，但批价/渠道库存缺乏一手序列，机制门保持WATCH。", "quality": "归一化现金刚过下限，但合同负债下降60.3%、境内经销商净减46家，批价与渠道库存没有一手冻结序列。", "valuation": "PE-TTM20.02×、调整后2025粗FCF收益率4.43%、股息利差2.31pp，三项均未完整达到PASS线。", "falsifier": "茅台酒收入转负、调整FCF/归母<0.6×，或境内经销商净减少≥50家连续两期即FAIL。", "council": "Round 4会商票 0 PASS / 5 WATCH / 0 REJECT；按3/5多数映射为WATCH。" }, "action": "WATCH；fact / mechanism / quality / valuation / council尚未转为PASS" } ] }, "monitor_switches": [ "工业增加值累计同比是否连续三期达到6%或跌到4%", "社零累计同比是否连续三期达到3%或跌到0%", "地产销售额降幅是否连续三期收窄至-5%以内或扩大至-15%", "PPI环比是否连续三个月同向", "工业利润是否不再依赖电子行业贡献近半增量", "政府性基金收入是否连续两期改善至-5%以上", "M1-M2、居民/企业中长期贷款与社融结构是否连续改善", "沪深300能否收复MA60，且全市场20日宽度连续10日高于55%", "A-家电方向的扣非利润、海外毛利与粗FCF能否同时改善", "六股估值、质量和硬失效条件是否发生门禁迁移" ], "limitations": [ "主题五维分数的分档阈值尚未经过跨周期历史校准；本版公开组件与分数，后续必须冻结回看。", "个股条件历史统计只有约800根前复权日线，非重叠样本仍小且具有幸存者偏差；Wilson区间不处理制度变化。", "东方财富估值字段、概念板块和同日涨跌宽度属于行情商口径；会与官方财报字段分层展示，不混称一手会计数据。", "粗FCF=CFO−购建固定/无形/其他长期资产现金，不等于严格维护性资本开支，也未对并购、租赁和金融子公司全部标准化。", "五个AI方法论角色共享底层运行环境，投票不是独立概率；数据门优先于会商门。", "A/H公司总市值采用A股现价乘行情商总股本，不是按两地价格分别计价的合并经济市值。", "同日板块宽度可能快速反转；中期趋势主要依赖MA与20/60/120日相对收益，不能用单日普涨代替。", "报告仍不提供目标价、仓位和收益承诺；WATCH表示条件未过，REJECT表示当前硬门失守。", "市场快照已保存标准化前复权日线与逐条件事件，可离线复算条件比例；但供应商原始响应体未提交，报价与板块字段只能核验解析值和响应哈希，不能完整回放原始载荷。" ], "sources": [ { "id": "nbs-gdp", "publisher": "国家统计局", "date": "2026-07-16", "title": "2026年上半年国民经济运行情况", "url": "https://www.stats.gov.cn/sj/zxfb/202607/t20260716_1964142.html" }, { "id": "nbs-july", "publisher": "国家统计局", "date": "2026-08-17", "title": "2026年7月份国民经济运行情况", "url": "https://www.stats.gov.cn/sj/zxfb/202608/t20260817_1965056.html" }, { "id": "nbs-retail", "publisher": "国家统计局", "date": "2026-08-17", "title": "2026年1—7月份社会消费品零售总额", "url": "https://www.stats.gov.cn/sj/zxfbhjd/202608/t20260817_1965052.html" }, { "id": "nbs-services", "publisher": "国家统计局", "date": "2026-08-17", "title": "国家统计局新闻发言人就2026年7月份国民经济运行情况答记者问", "url": "https://www.stats.gov.cn/zwfwck/sjfb/202608/t20260817_1965064.html" }, { "id": "nbs-pmi", "publisher": "国家统计局", "date": "2026-07-31", "title": "2026年7月中国采购经理指数运行情况", "url": "https://www.stats.gov.cn/sj/zxfbhjd/202607/t20260731_1964253.html" }, { "id": "nbs-prices", "publisher": "国家统计局", "date": "2026-08-09", "title": "2026年7月份CPI和PPI数据解读", "url": "https://www.stats.gov.cn/sj/zxfbhjd/202608/t20260809_1965009.html" }, { "id": "nbs-profits", "publisher": "国家统计局", "date": "2026-07-27", "title": "2026年上半年工业企业利润解读", "url": "https://www.stats.gov.cn/sj/zxfbhjd/202607/t20260727_1964193.html" }, { "id": "mof-h1", "publisher": "财政部", "date": "2026-07-22", "title": "2026年上半年财政收支情况", "url": "https://gks.mof.gov.cn/tongjishuju/202607/t20260722_3993943.htm" }, { "id": "lpr", "publisher": "中国货币网 / 中国人民银行授权", "date": "2026-08-20", "title": "2026年8月20日LPR公告", "url": "https://www.chinamoney.com.cn/chinese/rdgz/20260820/3399885.html" }, { "id": "gov-work-report", "publisher": "中国政府工作报告（辽宁省政府转载）", "date": "2026-03-16", "title": "2026年政府工作报告", "url": "https://www.ln.gov.cn/web/zwgkx/zfgzbg/zyzfgzbg/2026031609022955591/index.shtml" }, { "id": "nea-grid", "publisher": "国务院国资委 / 国家电网", "date": "2026-01-19", "title": "国家电网“十五五”计划投资4万亿元建设新型电力系统", "url": "https://www.sasac.gov.cn/n2588025/n2588124/c35325777/content.html" }, { "id": "ndrc-tradein", "publisher": "国家发展改革委", "date": "2026-06-26", "title": "消费品以旧换新阶段性数据", "url": "https://www.ndrc.gov.cn/xwdt/ztzl/tddgmsbgxhxfpyjhx/gzdt/202606/t20260626_1406119_ext.html" }, { "id": "cmcc-annual", "publisher": "巨潮资讯 / 中国移动", "date": "2026-03-27", "title": "中国移动2025年年度报告摘要", "url": "https://static.cninfo.com.cn/finalpage/2026-03-27/1225036258.PDF" }, { "id": "cmcc-h1", "publisher": "港交所 / 中国移动", "date": "2026-08-13", "title": "中国移动2026年中期业绩公告", "url": "https://www1.hkexnews.hk/listedco/listconews/sehk/2026/0813/2026081300218.pdf" }, { "id": "cypc-annual", "publisher": "巨潮资讯 / 长江电力", "date": "2026-04-30", "title": "长江电力2025年年度报告", "url": "https://static.cninfo.com.cn/finalpage/2026-04-30/1225262036.PDF" }, { "id": "cypc-q1", "publisher": "巨潮资讯 / 长江电力", "date": "2026-04-30", "title": "长江电力2026年第一季度报告", "url": "https://static.cninfo.com.cn/finalpage/2026-04-30/1225262110.PDF" }, { "id": "midea-annual", "publisher": "巨潮资讯 / 美的集团", "date": "2026-03-31", "title": "美的集团2025年年度报告摘要", "url": "https://static.cninfo.com.cn/finalpage/2026-03-31/1225058109.PDF" }, { "id": "midea-q1", "publisher": "巨潮资讯 / 美的集团", "date": "2026-04-30", "title": "美的集团2026年第一季度报告", "url": "https://static.cninfo.com.cn/finalpage/2026-04-30/1225259066.PDF" }, { "id": "catl-annual", "publisher": "巨潮资讯 / 宁德时代", "date": "2026-03-10", "title": "宁德时代2025年年度报告", "url": "https://static.cninfo.com.cn/finalpage/2026-03-10/1225002214.PDF" }, { "id": "catl-h1", "publisher": "港交所 / 宁德时代", "date": "2026-07-26", "title": "宁德时代2026年中期报告", "url": "https://www1.hkexnews.hk/listedco/listconews/sehk/2026/0726/2026072600031.pdf" }, { "id": "hengrui-annual", "publisher": "港交所 / 恒瑞医药", "date": "2026-03-25", "title": "恒瑞医药2025年年度报告", "url": "https://www1.hkexnews.hk/listedco/listconews/sehk/2026/0325/2026032502087_c.pdf" }, { "id": "hengrui-h1", "publisher": "港交所 / 恒瑞医药（A股海外监管公告）", "date": "2026-08-19", "title": "恒瑞医药2026年半年度报告", "url": "https://www1.hkexnews.hk/listedco/listconews/sehk/2026/0819/2026081901589_c.pdf" }, { "id": "moutai-annual", "publisher": "巨潮资讯 / 贵州茅台", "date": "2026-04-17", "title": "贵州茅台2025年年度报告", "url": "https://static.cninfo.com.cn/finalpage/2026-04-17/1225114741.PDF" }, { "id": "moutai-h1", "publisher": "贵州茅台", "date": "2026-08-15", "title": "贵州茅台2026年半年度报告", "url": "https://www.moutaichina.com/mtgf/articleFileDir/2026-08/17/277c9b776bff4ae89dde75e987437760.pdf" }, { "id": "nari-annual", "publisher": "巨潮资讯 / 国电南瑞", "date": "2026-04-30", "title": "国电南瑞2025年年度报告", "url": "https://static.cninfo.com.cn/finalpage/2026-04-30/1225257886.PDF" }, { "id": "smic-q2", "publisher": "港交所 / 中芯国际", "date": "2026-08-13", "title": "中芯国际2026年第二季度报告", "url": "https://www1.hkexnews.hk/listedco/listconews/sehk/2026/0813/2026081300353.pdf" }, { "id": "market-snapshot", "publisher": "东方财富 / 腾讯行情", "date": "2026-08-25", "title": "六股、主题代理、沪深300估值与前复权技术解析快照", "url": "./research-data/a-share-cycle-market-snapshot-2026-08-25.json" }, { "id": "chinabond-10y", "publisher": "财政部-中国国债收益率曲线 / CCDC", "date": "2026-08-25", "title": "10年期国债收益率1.68%", "url": "https://yield.chinabond.com.cn/cbweb-czb-web/czb/moreInfo?locale=cn_ZH&nameType=1" }, { "id": "midea-annual-full", "publisher": "巨潮资讯 / 美的集团", "date": "2026-03-31", "title": "美的集团2025年年度报告全文", "url": "https://static.cninfo.com.cn/finalpage/2026-03-31/1225065145.PDF" } ], "theme_scoring": { "methodology": "完成版编辑性五维证据评分，每维0—20、总分100；0=反证/缺失，5=偏弱，10=混合，15=多数验证，20=强验证。分值由公开事实按同一尺度人工判定，不是历史校准概率或机械交易信号。", "components": [ { "id": "demand", "name": "需求可见度", "rule": "官方多年计划/真实需求量与可追踪订单越明确，得分越高。" }, { "id": "earnings", "name": "盈利验证", "rule": "代表企业收入、利润、毛利和利用率共同改善，且不是单一一次性项目。" }, { "id": "cash", "name": "现金质量", "rule": "经营现金流、粗略FCF、分红覆盖和资本回报共同验证。" }, { "id": "valuation", "name": "估值余量", "rule": "统一截面的PE/PB/股息利差与增长、资本强度匹配。" }, { "id": "market", "name": "市场确认", "rule": "代表股相对沪深300、MA20/60/120与同日板块广度共同验证；单日广度只能贡献一部分。" } ], "grades": [ { "grade": "A", "min": 85, "meaning": "五维均强，仍须个股门禁独立通过。" }, { "grade": "A-", "min": 80, "meaning": "方向证据强，但至少一个维度仍有清晰缺口。" }, { "grade": "B+", "min": 75, "meaning": "优先跟踪，尚不足以视为完整趋势。" }, { "grade": "B", "min": 70, "meaning": "有两到三项证据，条件性较强。" }, { "grade": "B-", "min": 60, "meaning": "存在产业证据，但估值、现金或市场确认明显不足。" }, { "grade": "C", "min": 0, "meaning": "影子研究或反证占优。" } ], "execution_separation": "主题A/A-只表示本版证据评分较高，不等于股票可买；股票必须另过事实、机制、质量、估值、反证和会商六门。" }, "valuation_framework": { "methodology": "本版冻结的分析师估值判据，不是历史分位或统计胜率。先用同一截面的PE-TTM、粗FCF收益率、股息率与10年国债利差，再按稳定现金流/成长两条轨道判定。", "stable_cash_flow": { "pass": "PE-TTM≤20×、最近完整年度粗FCF收益率≥5%、股息率较10年国债利差≥2.5pp，且质量门不为FAIL。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括零至两项达标或渠道/资本回报仍待核。", "fail": "PE-TTM≥35×、粗FCF收益率<3%，且最新盈利或现金流同时转弱。" }, "growth": { "pass": "PE-TTM≤25×、最近完整年度粗FCF收益率≥4.5%，且最新收入与归母净利均增长≥20%。", "watch": "未满足全部PASS条件、但也未同时触发FAIL条件；包括成长仍在但任一估值/现金阈值未过。", "fail": "增长转负且PE-TTM≥35×或粗FCF收益率<3%。" }, "disclosure": "这些阈值在完成版中公开冻结，但没有跨周期历史校准；SATELLITE只表示本框架内六门通过，不代表安全边际客观确定。" }, "market_snapshot_summary": { "date": "2026-08-25", "hs300": { "date": "2026-08-25", "close_qfq": 4552.03, "returns": { "20d": { "absolute": -0.0038, "benchmark": -0.0038, "excess": 0 }, "60d": { "absolute": -0.0603, "benchmark": -0.0603, "excess": 0 }, "120d": { "absolute": -0.0223, "benchmark": -0.0223, "excess": 0 } }, "ma": { "ma20": 4632.7585, "ma60": 4753.8352, "ma120": 4734.0658, "close_vs_ma20": -0.0174, "close_vs_ma60": -0.0425, "close_vs_ma120": -0.0385 }, "state": { "above_ma20": false, "above_ma60": false, "momentum_60_positive": false, "relative_60_positive": true }, "annualized_volatility_20d": 0.1663, "drawdown_from_120d_high": -0.1003, "conditional_history": [ { "horizon_trading_days": 20, "non_overlapping_observations": 18, "positive_rate": 0.4444, "positive_rate_wilson95": [ 0.2456, 0.6628 ], "outperform_rate": 0, "outperform_rate_wilson95": [ 0, 0.1759 ], "mean_return": 0.0088, "mean_excess_return": 0, "excess_return_sd": 0, "events": [ { "signal_date": "2023-08-11", "exit_date": "2023-09-08", "stock_return": -0.03713973096479373, "benchmark_return": -0.03713973096479373, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2023-09-08", "exit_date": "2023-10-16", "stock_return": -0.030318262883055835, "benchmark_return": -0.030318262883055835, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2023-10-16", "exit_date": "2023-11-13", "stock_return": -0.013012187724039115, "benchmark_return": -0.013012187724039115, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2023-11-17", "exit_date": "2023-12-15", "stock_return": -0.06348530157760357, "benchmark_return": -0.06348530157760357, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2023-12-15", "exit_date": "2024-01-15", "stock_return": -0.01814427436369348, "benchmark_return": -0.01814427436369348, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2024-01-15", "exit_date": "2024-02-20", "stock_return": 0.03960169708496397, "benchmark_return": 0.03960169708496397, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2024-06-11", "exit_date": "2024-07-09", "stock_return": -0.029092151018380585, "benchmark_return": -0.029092151018380585, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2024-07-09", "exit_date": "2024-08-06", "stock_return": -0.0281498106000041, "benchmark_return": -0.0281498106000041, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2024-08-06", "exit_date": "2024-09-03", "stock_return": -0.020804790935034068, "benchmark_return": -0.020804790935034068, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2024-09-03", "exit_date": "2024-10-10", "stock_return": 0.22128470747808882, "benchmark_return": 0.22128470747808882, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2024-12-31", "exit_date": "2025-02-06", "stock_return": -0.023400789344610207, "benchmark_return": -0.023400789344610207, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2025-02-28", "exit_date": "2025-03-28", "stock_return": 0.006457500546265482, "benchmark_return": 0.006457500546265482, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2025-03-31", "exit_date": "2025-04-29", "stock_return": -0.028870864428100718, "benchmark_return": -0.028870864428100718, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2025-05-27", "exit_date": "2025-06-25", "stock_return": 0.031429390008855584, "benchmark_return": 0.031429390008855584, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2025-12-16", "exit_date": "2026-01-15", "stock_return": 0.056448510855910516, "benchmark_return": 0.056448510855910516, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2026-02-02", "exit_date": "2026-03-10", "stock_return": 0.014932761323323218, "benchmark_return": 0.014932761323323218, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2026-03-23", "exit_date": "2026-04-21", "stock_return": 0.07922136713444994, "benchmark_return": 0.07922136713444994, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2026-07-13", "exit_date": "2026-08-10", "stock_return": 0.0014141560427485267, "benchmark_return": 0.0014141560427485267, "excess_return": 0, "positive": true, "outperformed": false } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" }, { "horizon_trading_days": 60, "non_overlapping_observations": 8, "positive_rate": 0.5, "positive_rate_wilson95": [ 0.2152, 0.7848 ], "outperform_rate": 0, "outperform_rate_wilson95": [ 0, 0.3244 ], "mean_return": 0.0211, "mean_excess_return": 0, "excess_return_sd": 0, "events": [ { "signal_date": "2023-08-11", "exit_date": "2023-11-13", "stock_return": -0.0784810452468302, "benchmark_return": -0.0784810452468302, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2023-11-17", "exit_date": "2024-02-20", "stock_return": -0.04406303687988189, "benchmark_return": -0.04406303687988189, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2024-06-11", "exit_date": "2024-09-03", "stock_return": -0.07605394481325933, "benchmark_return": -0.07605394481325933, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2024-09-03", "exit_date": "2024-12-05", "stock_return": 0.1980063725205672, "benchmark_return": 0.1980063725205672, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2024-12-31", "exit_date": "2025-04-03", "stock_return": -0.018656081079363895, "benchmark_return": -0.018656081079363895, "excess_return": 0, "positive": false, "outperformed": false }, { "signal_date": "2025-04-03", "exit_date": "2025-07-03", "stock_return": 0.027598083646251492, "benchmark_return": 0.027598083646251492, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2025-12-16", "exit_date": "2026-03-20", "stock_return": 0.015446187368678643, "benchmark_return": 0.015446187368678643, "excess_return": 0, "positive": true, "outperformed": false }, { "signal_date": "2026-03-23", "exit_date": "2026-06-22", "stock_return": 0.14523766410140326, "benchmark_return": 0.14523766410140326, "excess_return": 0, "positive": true, "outperformed": false } ], "semantics": "当前四状态的历史非重叠条件频率；描述性统计，不是独立同分布样本或未来保证。" } ] }, "breadth": { "date": "2026-08-25", "up": 4089, "down": 1202, "flat": 51, "limit_up": 65, "limit_down": 2, "advance_ratio": 0.7728, "source_url": "https://push2ex.eastmoney.com/getTopicZDFenBu?ut=7eea3edcaed734bea9cbfc24409ed989&dpt=wz.ztzt", "source_response_sha256": "c3f2d6a654b3d067575e5c654b9b6a3428cb36615919c0414b28a71c85639949", "source_normalized_sha256": "cd66ed45cc910085b40c1263f63bdd5f0d40ea049fb66cda7e367dbbc5d7b014", "retrieved_at": "2026-08-25T15:39:47.944Z" }, "government_bond_10y": { "date": "2026-08-25", "maturity": "10Y", "yield_pct": 1.68, "source_name": "财政部-中国国债收益率曲线（CCDC提供）", "source_url": "https://yield.chinabond.com.cn/cbweb-czb-web/czb/moreInfo?locale=cn_ZH&nameType=1", "source_response_sha256": "de0465d068ada33223e0e26d04db28077217d9f092a0f71fa997844fadd8e001", "source_normalized_sha256": "c7fa6f48b943ac82f9016cfd27a0dd4ca0b80158c58ccc4f5d62ba474ff93fdf", "retrieved_at": "2026-08-25T15:39:47.858Z" }, "interpretation": "沪深300低于MA20/60/120，而当日上涨家数占涨跌家数77.3%；这是弱中期趋势中的单日普涨，不能单独定义反转。" } }