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"延迟成交和容量结果依赖日频成交额代理，尚未用真实成交回报校准。", "联合矩阵阶段因计算耗时未生成，不影响已落盘的候选、归因、稳健性和容量文件。", "联合矩阵使用缓存后的滚动窗口计算，覆盖四种换手窗口和四种调仓频率。" ], "joint_matrix": [ { "turnover_definition": "mean_20", "rebalance_frequency": "weekly", "formation_dates": 592, "net_annual_return": 8.676371096623603, "net_max_drawdown": -58.55021911900549, "net_sharpe": 0.4282386887910352, "annualized_turnover": 6.125794141304429, "development_annualized_return": 6.752056114838134, "holdout_annualized_return": 15.58944630253909 }, { "turnover_definition": "mean_60", "rebalance_frequency": "weekly", "formation_dates": 592, "net_annual_return": 9.564571121518185, "net_max_drawdown": -61.56304266945693, "net_sharpe": 0.4524903914852216, "annualized_turnover": 5.176664992411469, "development_annualized_return": 6.4417185545881495, "holdout_annualized_return": 21.065474533595506 }, { "turnover_definition": "median_60", "rebalance_frequency": "weekly", "formation_dates": 592, "net_annual_return": 9.52165741173825, "net_max_drawdown": 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