{
  "status": "ok",
  "as_of_date": "2026-09-16",
  "freshness": {
    "earliest": "2026-09-16",
    "latest": "2026-10-16",
    "mixed": true
  },
  "methodology": "Seven-theme signal overview (display-only, NOT a research claim). Aggregates are cross-sectional means over the S&P 500 PIT panel at the latest realized month; the macro theme uses the Track-C macro-regime composite; net cost uses the bps sweep. Themes marked forward_only / needs_work / partial have no real historical signal yet \u2014 shown honestly, never mocked. Not the frozen Track-B verdict.",
  "themes": [
    {
      "key": "price",
      "status": "live",
      "as_of": "2026-09-16",
      "headline": "21d momentum + 63d vol + 252d \u03b2 + 21d RSI(\u4e0a\u884c\u5e7f\u5ea6) + 63d timetohigh(\u8ddd\u9ad8\u70b9) (cross-sectional mean)",
      "signals": [
        {
          "name": "momentum_21d",
          "value": null
        },
        {
          "name": "volatility_63d",
          "value": null
        },
        {
          "name": "beta_252d",
          "value": null
        },
        {
          "name": "reversal_5d",
          "value": null
        },
        {
          "name": "rsi_21d",
          "value": 0.4322
        },
        {
          "name": "timetohigh_63d",
          "value": 0.4884
        }
      ],
      "series": [
        {
          "month": "2025-07",
          "value": 0.0371
        },
        {
          "month": "2025-08",
          "value": 0.0055
        },
        {
          "month": "2025-09",
          "value": 0.0162
        },
        {
          "month": "2025-10",
          "value": 0.006
        },
        {
          "month": "2025-11",
          "value": -0.0114
        },
        {
          "month": "2025-12",
          "value": 0.0296
        },
        {
          "month": "2026-01",
          "value": 0.0287
        },
        {
          "month": "2026-02",
          "value": 0.022
        },
        {
          "month": "2026-03",
          "value": -0.0322
        },
        {
          "month": "2026-04",
          "value": 0.0239
        },
        {
          "month": "2026-05",
          "value": 0.0188
        },
        {
          "month": "2026-06",
          "value": 0.0269
        }
      ]
    },
    {
      "key": "macro",
      "status": "live",
      "as_of": "2026-10-16",
      "signals": [
        {
          "name": "macro_regime",
          "value": 0.0333
        }
      ],
      "series": [
        {
          "date": "2026-07-27",
          "value": -0.106
        },
        {
          "date": "2026-07-28",
          "value": -0.069
        },
        {
          "date": "2026-07-29",
          "value": 0.379
        },
        {
          "date": "2026-07-30",
          "value": 0.417
        },
        {
          "date": "2026-07-31",
          "value": 0.539
        },
        {
          "date": "2026-08-03",
          "value": 0.369
        },
        {
          "date": "2026-08-04",
          "value": 0.196
        },
        {
          "date": "2026-08-05",
          "value": 0.236
        },
        {
          "date": "2026-08-06",
          "value": 0.362
        },
        {
          "date": "2026-08-07",
          "value": 0.402
        },
        {
          "date": "2026-08-10",
          "value": 0.574
        },
        {
          "date": "2026-08-11",
          "value": 0.528
        },
        {
          "date": "2026-08-12",
          "value": 0.57
        },
        {
          "date": "2026-08-13",
          "value": 0.477
        },
        {
          "date": "2026-08-14",
          "value": 0.654
        },
        {
          "date": "2026-08-17",
          "value": 0.74
        },
        {
          "date": "2026-08-18",
          "value": 0.735
        },
        {
          "date": "2026-08-19",
          "value": 0.414
        },
        {
          "date": "2026-08-20",
          "value": 0.638
        },
        {
          "date": "2026-08-21",
          "value": 0.679
        },
        {
          "date": "2026-08-24",
          "value": 0.447
        },
        {
          "date": "2026-08-25",
          "value": 0.307
        },
        {
          "date": "2026-08-26",
          "value": 0.102
        },
        {
          "date": "2026-08-27",
          "value": 0.102
        },
        {
          "date": "2026-08-28",
          "value": 0.102
        },
        {
          "date": "2026-08-31",
          "value": 0.102
        },
        {
          "date": "2026-09-01",
          "value": 0.102
        },
        {
          "date": "2026-09-02",
          "value": 0.102
        },
        {
          "date": "2026-09-03",
          "value": 0.102
        },
        {
          "date": "2026-09-04",
          "value": 0.102
        },
        {
          "date": "2026-09-07",
          "value": 0.102
        },
        {
          "date": "2026-09-08",
          "value": 0.102
        },
        {
          "date": "2026-09-09",
          "value": 0.102
        },
        {
          "date": "2026-09-10",
          "value": 0.08
        },
        {
          "date": "2026-09-11",
          "value": 0.08
        },
        {
          "date": "2026-09-14",
          "value": 0.08
        },
        {
          "date": "2026-09-15",
          "value": 0.082
        },
        {
          "date": "2026-09-16",
          "value": 0.082
        },
        {
          "date": "2026-09-17",
          "value": 0.082
        },
        {
          "date": "2026-09-18",
          "value": 0.082
        },
        {
          "date": "2026-09-21",
          "value": 5.0
        },
        {
          "date": "2026-09-22",
          "value": 0.03
        },
        {
          "date": "2026-09-23",
          "value": 0.03
        },
        {
          "date": "2026-09-24",
          "value": 0.03
        },
        {
          "date": "2026-09-25",
          "value": 0.03
        },
        {
          "date": "2026-09-28",
          "value": 0.03
        },
        {
          "date": "2026-09-29",
          "value": 0.03
        },
        {
          "date": "2026-09-30",
          "value": 0.032
        },
        {
          "date": "2026-10-01",
          "value": 0.032
        },
        {
          "date": "2026-10-02",
          "value": 0.032
        },
        {
          "date": "2026-10-05",
          "value": 0.032
        },
        {
          "date": "2026-10-06",
          "value": 0.032
        },
        {
          "date": "2026-10-07",
          "value": 0.032
        },
        {
          "date": "2026-10-08",
          "value": 0.033
        },
        {
          "date": "2026-10-09",
          "value": 0.033
        },
        {
          "date": "2026-10-12",
          "value": 0.033
        },
        {
          "date": "2026-10-13",
          "value": 0.033
        },
        {
          "date": "2026-10-14",
          "value": 0.033
        },
        {
          "date": "2026-10-15",
          "value": 0.033
        },
        {
          "date": "2026-10-16",
          "value": 0.033
        }
      ],
      "headline": "macro-regime composite z (VIX+credit+term+DFF surprise)"
    },
    {
      "key": "fundamentals",
      "status": "live",
      "as_of": "2026-09-16",
      "headline": "ROE / margin / revenue growth / leverage (cross-sectional mean)",
      "signals": [
        {
          "name": "roe",
          "value": 0.1638
        },
        {
          "name": "profit_margin",
          "value": 0.2758
        },
        {
          "name": "revenue_growth_12m",
          "value": 0.0
        },
        {
          "name": "leverage",
          "value": 0.2544
        }
      ],
      "series": [
        {
          "month": "2025-10",
          "value": 0.0587
        },
        {
          "month": "2025-11",
          "value": 0.035
        },
        {
          "month": "2025-12",
          "value": 0.0363
        },
        {
          "month": "2026-01",
          "value": 0.0388
        },
        {
          "month": "2026-02",
          "value": 0.049
        },
        {
          "month": "2026-03",
          "value": 0.13
        },
        {
          "month": "2026-04",
          "value": 0.1262
        },
        {
          "month": "2026-05",
          "value": 0.0316
        },
        {
          "month": "2026-06",
          "value": 0.0324
        },
        {
          "month": "2026-07",
          "value": 0.0398
        },
        {
          "month": "2026-08",
          "value": 0.1611
        },
        {
          "month": "2026-09",
          "value": 0.1638
        }
      ]
    },
    {
      "key": "news_sentiment",
      "status": "live",
      "as_of": "2026-10",
      "headline": "GDELT \u901a\u7528\u8bed\u8c03\uff08US \u5e02\u573a\u65b0\u95fb\uff0c2017-04\u21922026-10\uff09\uff1b\u901a\u7528\u8bcd\u5178\u975e\u91d1\u878d\u57df\u2014\u2014\u538b\u529b/\u60c5\u7eea\u4ee3\u7406\uff0c\u975e\u9009\u80a1\u4fe1\u53f7\uff08display-only, exploratory\uff09",
      "signals": [
        {
          "name": "tone_latest",
          "value": 0.243
        },
        {
          "name": "tone_mean",
          "value": -0.059
        },
        {
          "name": "tone_min",
          "value": -1.895
        },
        {
          "name": "n_months",
          "value": 115
        }
      ],
      "series": [
        {
          "month": "2024-11",
          "value": 0.649
        },
        {
          "month": "2024-12",
          "value": 0.51
        },
        {
          "month": "2025-01",
          "value": 0.688
        },
        {
          "month": "2025-02",
          "value": 0.782
        },
        {
          "month": "2025-03",
          "value": 0.461
        },
        {
          "month": "2025-04",
          "value": -0.373
        },
        {
          "month": "2025-05",
          "value": -0.174
        },
        {
          "month": "2025-06",
          "value": 0.152
        },
        {
          "month": "2025-07",
          "value": 0.275
        },
        {
          "month": "2025-08",
          "value": 0.038
        },
        {
          "month": "2025-09",
          "value": 0.331
        },
        {
          "month": "2025-10",
          "value": -0.017
        },
        {
          "month": "2025-11",
          "value": 0.766
        },
        {
          "month": "2025-12",
          "value": 0.755
        },
        {
          "month": "2026-01",
          "value": 0.609
        },
        {
          "month": "2026-02",
          "value": 0.649
        },
        {
          "month": "2026-03",
          "value": -0.013
        },
        {
          "month": "2026-04",
          "value": -0.024
        },
        {
          "month": "2026-05",
          "value": 0.372
        },
        {
          "month": "2026-06",
          "value": 0.479
        },
        {
          "month": "2026-07",
          "value": 0.441
        },
        {
          "month": "2026-08",
          "value": 0.403
        },
        {
          "month": "2026-09",
          "value": 0.21
        },
        {
          "month": "2026-10",
          "value": 0.243
        }
      ]
    },
    {
      "key": "risk",
      "status": "live",
      "as_of": "2026-09-16",
      "headline": "\u4e0b\u884c\u03b2 + \u7279\u8d28\u6ce2\u52a8 + \u504f\u5ea6 + \u6700\u5927\u5355\u65e5\u56de\u64a4\uff08\u6a2a\u622a\u9762\u5747\u503c\uff09",
      "signals": [
        {
          "name": "downside_beta",
          "value": 1.0055
        },
        {
          "name": "idiosyncratic_volatility",
          "value": 0.0209
        },
        {
          "name": "return_skewness",
          "value": 0.1377
        },
        {
          "name": "worst_day_drawdown",
          "value": -0.0589
        }
      ],
      "series": [
        {
          "month": "2025-10",
          "value": 1.0064
        },
        {
          "month": "2025-11",
          "value": 1.0039
        },
        {
          "month": "2025-12",
          "value": 1.0017
        },
        {
          "month": "2026-01",
          "value": 1.0001
        },
        {
          "month": "2026-02",
          "value": 0.9977
        },
        {
          "month": "2026-03",
          "value": 0.9955
        },
        {
          "month": "2026-04",
          "value": 0.9999
        },
        {
          "month": "2026-05",
          "value": 1.0011
        },
        {
          "month": "2026-06",
          "value": 1.0008
        },
        {
          "month": "2026-07",
          "value": 1.0003
        },
        {
          "month": "2026-08",
          "value": 1.0
        },
        {
          "month": "2026-09",
          "value": 1.0008
        }
      ]
    },
    {
      "key": "net_cost",
      "status": "partial",
      "as_of": null,
      "signals": [
        {
          "name": "net_sharpe_bps5",
          "value": 0.125
        },
        {
          "name": "gross_sharpe",
          "value": 0.1487
        },
        {
          "name": "avg_turnover",
          "value": 1.1444
        }
      ],
      "series": [],
      "headline": "net Sharpe at 5 bps (from the bps sweep)"
    },
    {
      "key": "market_structure",
      "status": "live",
      "as_of": "2026-09-16",
      "headline": "Amihud illiquidity + 252d \u03b2 (cross-sectional mean)",
      "signals": [
        {
          "name": "amihud_illiquidity_21d",
          "value": null
        },
        {
          "name": "beta_252d",
          "value": null
        }
      ],
      "series": [
        {
          "month": "2025-07",
          "value": 0.0
        },
        {
          "month": "2025-08",
          "value": 0.0
        },
        {
          "month": "2025-09",
          "value": 0.0
        },
        {
          "month": "2025-10",
          "value": 0.0
        },
        {
          "month": "2025-11",
          "value": 0.0
        },
        {
          "month": "2025-12",
          "value": 0.0
        },
        {
          "month": "2026-01",
          "value": 0.0
        },
        {
          "month": "2026-02",
          "value": 0.0
        },
        {
          "month": "2026-03",
          "value": 0.0
        },
        {
          "month": "2026-04",
          "value": 0.0
        },
        {
          "month": "2026-05",
          "value": 0.0
        },
        {
          "month": "2026-06",
          "value": 0.0
        }
      ]
    }
  ],
  "snapshot_ts": "2026-10-16T11:01:40.919253+00:00"
}