每条论断立项/复核时，须在此绑定 1~2 个权威学术或金融工程方法来源，作为算法的"标尺"。 标准：优先引用已发表论文，不自行发明回测套路（见 backtest-methodology.md 铁律四）。 核实方式（两层）：① Crossref API 核实 DOI（出版商元数据聚合，主渠道）；② Search King 联网检索核实出处链接（辅渠道，用于 DOI 缺失的老文献）。 全部 52 条论断已配齐文献标尺（2026-08-05 全量补齐）。本表内所有 DOI/链接均经联网核实，无凭记忆硬编条目。
已核实文献库（42 篇）
趋势 / 择时 / 移动均线类（9 篇）
| 论断 | 文献 | 作者 | 出处 | DOI / 链接 |
|---|---|---|---|---|
| #1 年线上方买入 | Simple Technical Trading Rules and the Stochastic Properties of Stock Returns | Brock, Lakonishok, LeBaron | J. Finance, 1992, 47(5), 1731–1764 | 10.1111/j.1540-6261.1992.tb04681.x |
| #1/#2/#3/#6 均线横截面 | A New Anomaly: The Cross-Sectional Profitability of Technical Analysis | Han, Yang, Zhou | JFQA, 2013, 48(5), 1433–1461 | 10.1017/s0022109013000586（2026-08-16 补 DOI；RePEc） |
| #9/#10 技术形态 | Foundations of Technical Analysis | Lo, Mamaysky, Wang | J. Finance, 2000, 55(4), 1705–1765 | 10.1111/0022-1082.00265（NBER w7613） |
| #7/#8 动量/反转 | Returns to Buying Winners and Selling Losers | Jegadeesh, Titman | J. Finance, 1993, 48(1), 65–91 | 10.1111/j.1540-6261.1993.tb04702.x |
| #8 暴涨后反转 | Does the Stock Market Overreact? | De Bondt, Thaler | J. Finance, 1985, 40(3), 793–805 | 10.1111/j.1540-6261.1985.tb05004.x |
| #22/#40 趋势择时 | Time Series Momentum | Moskowitz, Ooi, Pedersen | JFE, 2012, 104(2), 228–250 | 10.1016/j.jfineco.2011.11.003（勘误 2026-08-16：原 10.1016/j.jfineco.2011.10.001 解析为 Arora 等 CDS 论文，弃用） |
| #23/#24/#38 波动率管理 | Volatility-Managed Portfolios | Moreira, Muir | J. Finance, 2017, 72(4), 1611–1644 | 10.1111/jofi.12513（NBER w22208） |
| #11/#12 VIX 恐慌 | The Investor Fear Gauge | Whaley | JPM, 2000, 26(3), 12–17 | 10.3905/jpm.2000.319728（2026-08-16 补 DOI；pm-research） |
| #27/#28 止损 | When Do Stop-Loss Rules Stop Losses? | Kaminski, Lo | J. Financial Markets, 2014, 18, 234–254 | 10.1016/j.finmar.2013.07.001（勘误 2026-08-16：原引 ScienceDirect 页 PII 一致，补正式 DOI；摘要已取得见 papers/01-trend-timing.md） |
价值 / 质量 / 估值类（8 篇）
| 论断 | 文献 | 作者 | 出处 | DOI / 链接 |
|---|---|---|---|---|
| #33 质量 | The Other Side of Value: The Gross Profitability Premium | Novy-Marx | JFE, 2013, 108(1), 1–28 | 10.1016/j.jfineco.2013.01.003 |
| #33/#34 价值因子 | Common Risk Factors in the Returns on Stocks and Bonds | Fama, French | JFE, 1993, 33(1), 3–56 | 10.1016/0304-405x(93)90023-5 |
| #33 质量（巴菲特） | Buffett's Alpha | Frazzini, Kabiller, Pedersen | NBER WP #19681 (2013) | 10.3386/w19681 |
| #31/#39 安全边际 | Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers | Piotroski | JAR, 2000, 38(supp), 1–41 | 10.2307/2672906（勘误 2026-08-16：原引 SSRN 249510 实为 Guay 讨论稿，弃用；见 papers/02-value-quality.md §4） |
| #32 股息率 | Dividend Yields and Expected Stock Returns | Fama, French | JFE, 1988, 22(1), 3–25 | 10.1016/0304-405X(88)90020-7 |
| #29/#30 PE 分位/清仓 | Valuation Ratios and the Long-Run Stock Market Outlook: An Update | Campbell, Shiller | NBER WP #8221 (2001)；JPM 1998 | NBER w8221 |
| #34 PB<1 银行股 | Size Anomalies in US Bank Stock Returns | Gandhi, Lustig | J. Finance, 2015, 70(2), 733–768 | 10.1111/jofi.12235（NBER w16553） |
| #42 业绩持续性 | On Persistence in Mutual Fund Performance | Carhart | J. Finance, 1997, 52(1), 57–82 | 10.1111/j.1540-6261.1997.tb03808.x |
组合构建 / 再平衡类（3 篇）
| 论断 | 文献 | 作者 | 出处 | DOI / 链接 |
|---|---|---|---|---|
| #35 等权 | Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios? | Plyakha, Uppal, Vilkov | EDHEC WP / SSRN, 2012–2014 | Search King: SSRN 2724535 |
| #36 分散化 | Diversification and the Reduction of Dispersion | Evans, Archer | J. Finance, 1968, 23(5), 761–767 | 10.1111/j.1540-6261.1968.tb00315.x |
| #37 再平衡 | Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle | Willenbrock | FAJ, 2011, 67(4), 42–49 | 10.2469/faj.v67.n4.1（arXiv:1109.1256） |
情绪 / 媒体 / 信息类（5 篇，本轮 Crossref 补齐）
| 论断 | 文献 | 作者 | 出处 | DOI |
|---|---|---|---|---|
| #13/#14 市场情绪 | Investor Sentiment and the Cross-Section of Stock Returns | Baker, Wurgler | J. Finance, 2006, 61(4), 1645–1680 | 10.1111/j.1540-6261.2006.00885.x |
| #15 新闻影响 | Giving Content to Investor Sentiment: The Role of Media in the Stock Market | Tetlock | J. Finance, 2007, 62(3), 1139–1168 | 10.1111/j.1540-6261.2007.01232.x |
| #16 社交媒体 | Twitter Mood Predicts the Stock Market | Bollen, Mao, Zeng | J. Computational Science, 2011, 2(1), 1–8 | 10.1016/j.jocs.2010.12.007 |
| #17 分析师共识 | Analyzing the Analysts: When Do Recommendations Add Value? | Jegadeesh, Kim, Krische, Lee | J. Finance, 2004, 59(3), 1083–1124 | 10.1111/j.1540-6261.2004.00657.x |
| #18 机构资金流/羊群 | Institutional Herding | Sias | Review of Financial Studies, 2004, 17(1), 165–206 | 10.1093/rfs/hhg035 |
行为金融类（10 篇）
| 论断 | 文献 | 作者 | 出处 | DOI |
|---|---|---|---|---|
| 风险偏好基础 | Prospect Theory: An Analysis of Decision under Risk | Kahneman, Tversky | Econometrica, 1979, 47(2), 263–291 | Search King: Econometric Society |
| #44 锚定 | Judgment under Uncertainty: Heuristics and Biases | Tversky, Kahneman | Science, 1974, 185(4157), 1124–1131 | 10.1126/science.185.4157.1124 |
| #46 损失厌恶 | Myopic Loss Aversion and the Equity Premium Puzzle | Benartzi, Thaler | NBER WP #4369 (1993)；QJE 1995 | 10.3386/w4369 |
| #43 确认偏误 | Confirmation Bias: A Ubiquitous Phenomenon in Many Guises | Nickerson | Review of General Psychology, 1998, 2(2), 175–220 | 10.1037/1089-2680.2.2.175 |
| #45 过度自信 | Volume, Volatility, Price, and Profit When All Traders Are Above Average | Odean | J. Finance, 1998, 53(6), 1887–1934 | 10.1111/0022-1082.00078 |
| #47 羊群 | 同上 Sias 2004（机构羊群） | Sias | RFS 2004 | 10.1093/rfs/hhg035 |
| 处置效应 | The Disposition to Sell Winners Too Early and Ride Losers Too Long | Shefrin, Statman | J. Finance, 1985, 40(3), 777–790 | 10.1111/j.1540-6261.1985.tb05002.x |
| 处置效应实证 | Are Investors Reluctant to Realize Their Losses? | Odean | J. Finance, 1998, 53(5), 1775–1798 | 10.1111/0022-1082.00072 |
| #25 过度交易 | Do Investors Trade Too Much? | Odean | American Economic Review, 1999, 89(5), 1279–1298 | 10.1257/aer.89.5.1279 |
| #26 交易行为 | What Makes Investors Trade? | Grinblatt, Keloharju | J. Finance, 2001, 56(2), 589–616 | 10.1111/0022-1082.00338 |
| 过度交易（个人） | Trading Is Hazardous to Your Wealth | Barber, Odean | J. Finance, 2000, 55(2), 773–806 | Search King: SSRN 219228 |
宏观 / 政策类（5 篇，本轮 Crossref 补齐）
| 论断 | 文献 | 作者 | 出处 | DOI |
|---|---|---|---|---|
| #48 宏观状态 | Business Conditions and Expected Returns on Stocks and Bonds | Fama, French | JFE, 1989, 25(1), 23–49 | 10.1016/0304-405x(89)90095-0 |
| #49 信用利差 | Credit Spreads and Business Cycle Fluctuations | Gilchrist, Zakrajšek | American Economic Review, 2012, 102(4), 1692–1720 | 10.1257/aer.102.4.1692 |
| #50 CPI/通胀 | Common Stock Returns, Real Activity, Money, and Inflation: Some International Evidence | Mandelker, Tandon | J. International Money and Finance, 1985, 4(2), 267–286（勘误 2026-08-16：原记 4(3):337-353 有误，四渠道核实为 4(2)） | 10.1016/0261-5606(85)90048-8 |
| #51 NBER 衰退 | A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle | Hamilton | Econometrica, 1989, 57(2), 357–384 | 10.2307/1912559 |
| #52 政策周期 | The Presidential Puzzle: Political Cycles and the Stock Market | Santa-Clara, Valkanov | J. Finance, 2003, 58(5), 1841–1872 | 10.1111/1540-6261.00590 |
补搜专项（2 篇，本轮 Crossref 补齐）
| 论断 | 文献 | 作者 | 出处 | DOI |
|---|---|---|---|---|
| #20 定投 vs 梭哈 | Lump-Sum Investing versus Dollar-Averaging | Rozeff | J. Portfolio Management, 1994, 21(1), 45–50 | 10.3905/jpm.1994.409474 |
| #41 行业集中度 | Industry Classification, Industry Concentration, and Stock Returns | Li, Refalo, Yi | Financial Markets and Portfolio Management, 2025 | 10.1007/s11408-025-00470-z |
论断 → 文献 映射总表（52 条全配齐）
已测 34 条（原 README 误写 36，以 000-CONCLUSIONS 实际列表为准）
| # | 论断 | 标尺文献 | 状态 | |:-:|:-----|:---------|:-----| | 1 | 年线上方买入收益优于下方 | Brock et al. 1992；Han-Yang-Zhou 2013 | ✅ | | 2 | 年线过滤降回撤 50%+ | Brock et al. 1992；Han-Yang-Zhou 2013 | ✅ | | 3 | 年线穿越 1/4~1/3 假信号 | Han-Yang-Zhou 2013；Brock et al. 1992 | ✅ | | 4 | SP500 站上年线 ≈2.8x 跌破 | 纯统计事实核对，无需文献（实为 2.12x） | ✅ | | 5 | 上证年线上下天数对称 | 纯统计事实核对，无需文献 | ✅ | | 6 | 站上年线后平均再涨 10 天+ | Brock et al. 1992；Han-Yang-Zhou 2013 | ✅ | | 7 | 金叉后 6 个月 > 随机买入 | Brock et al. 1992；Jegadeesh-Titman 1993 | ✅ | | 8 | 月涨幅>30%后次月续涨<40% | De Bondt-Thaler 1985；Jegadeesh-Titman 1993 | ✅ | | 9 | 缩量回踩支撑反弹>60% | Lo-Mamaysky-Wang 2000 | ✅ | | 10 | 放量突破成功率最高 | Lo-Mamaysky-Wang 2000；Brock et al. 1992 | ✅ | | 11 | VIX>30 恐慌时买入 | Whaley 2000 | ✅ | | 12 | VIX 越高收益越大 | Whaley 2000 | ✅ | | 19 | MA50<MA120+基本面恶化亏损>70% | Brock et al. 1992；Piotroski 2000 | ✅ | | 20 | 下跌真价值股定投 vs 梭哈 | Rozeff 1994（Lump-Sum vs Dollar-Averaging） | ✅ 本轮补 | | 21 | 上证<2638 降仓 30% | Moreira-Muir 2017；Moskowitz-Ooi-Pedersen 2012 | ✅ | | 22 | 大盘低于年线降仓 | Moskowitz-Ooi-Pedersen 2012；Brock et al. 1992 | ✅ | | 23 | 钱仓滚存震荡市优于持有 | Moreira-Muir 2017 | ✅ | | 24 | 钱仓滚存牛市跑输持有 | Moreira-Muir 2017 | ✅ | | 27 | 时间止损优于死扛 | Kaminski-Lo 2014 | ✅ | | 28 | 跌 15% 后基本面检查 | Kaminski-Lo 2014；Piotroski 2000 | ✅ | | 29 | PE>80% 分位减仓 | Campbell-Shiller 1998（CAPE） | ✅ | | 30 | PE>95% 或 FCF>50x 清仓 | Campbell-Shiller 1998 | ✅ | | 31 | 安全边际>30% 胜率>80% | Piotroski 2000；FF 1993 | ✅ | | 32 | 股息率>无风险利率跑赢 | Fama-French 1988 | ✅ | | 33 | 低PE+高ROE 跑赢市场 | FF 1993；Novy-Marx 2013；Buffett's Alpha | ✅ | | 34 | PB<1+股息>3% 银行股 | Gandhi-Lustig 2015；FF 1993（HML） | ✅ | | 35 | 等权跑赢市值加权 | Plyakha-Uppal-Vilkov 2014 | ✅ | | 36 | 行业分散降回撤>20% | Evans-Archer 1968 | ✅ | | 37 | 再平衡年化超额>1% | Willenbrock 2011 | ✅ | | 38 | 现金<10% 暴跌跑输 | Moreira-Muir 2017 | ✅ | | 39 | 换股必须 2 倍低估 | Piotroski 2000；FF 1993 | ✅ | | 40 | 交易频率减半 +0.5%/年 | Brock et al. 1992 | ✅ | | 41 | 行业集中度>40% 暴跌>50% | Li-Refalo-Yi 2025；Evans-Archer 1968 | ✅ 本轮补 | | 42 | 组合 DNA 3 年跑输>20% | Carhart 1997 | ✅ |
待测 16 条（按主题预设标尺，立项时按此对照）
| # | 论断（主题） | 标尺文献 | 状态 | |:-:|:-----|:---------|:-----| | 13 | 情绪共识 | Baker-Wurgler 2006 | ✅ 本轮配 | | 14 | 市场情绪 | Baker-Wurgler 2006 | ✅ 本轮配 | | 15 | 新闻影响 | Tetlock 2007 | ✅ 本轮配 | | 16 | 社交媒体 | Bollen-Mao-Zeng 2011 | ✅ 本轮配 | | 17 | 分析师共识 | Jegadeesh-Kim-Krische-Lee 2004 | ✅ 本轮配 | | 18 | 机构资金流 | Sias 2004 | ✅ 本轮配 | | 25 | 行为数据 | Odean 1999（过度交易） | ✅ 本轮配 | | 26 | 交易行为 | Grinblatt-Keloharju 2001 | ✅ 本轮配 | | 43 | 确认偏误 | Nickerson 1998 | ✅ 本轮配 | | 44 | 锚定 | Tversky-Kahneman 1974 | ✅ 本轮配 | | 45 | 过度自信 | Odean 1998（Above Average） | ✅ 本轮配 | | 46 | 损失厌恶 | Benartzi-Thaler 1995 | ✅ 本轮配 | | 47 | 羊群 | Sias 2004 | ✅ 本轮配 | | 48 | 宏观状态 | Fama-French 1989 | ✅ 本轮配 | | 49 | 信用利差 | Gilchrist-Zakrajšek 2012 | ✅ 本轮配 | | 50 | CPI/通胀 | Mandelker-Tandon 1985 | ✅ 本轮配 | | 51 | NBER 衰退 | Hamilton 1989 | ✅ 本轮配 | | 52 | 政策周期 | Santa-Clara-Valkanov 2003 | ✅ 本轮配 |
说明与规则
- 文献核实两层：Crossref API（DOI 为准） + Search King（辅助链接）；DOI 均可在 https://doi.org/{DOI} 验证。
- 每条论断至少 1 个权威方法来源；找不到的如实写"未查到"，本表无此类条目（全部配齐）。
- 标准做法对照（每条复核时必读）：
- 趋势类 → Brock et al. 1992 的 Bootstrap 显著性框架
- 因子类 → FF 1993 多空组合 + t 统计量 + 因子回归
- 情绪类 → Baker-Wurgler 2006 的情绪指数构建法
- 行为类 → 以实验室/实证设置复制（Odean 1998/1999 的账户数据法）
- 宏观类 → Hamilton 1989 状态识别 + 预测回归框架
- 联动文件：
backtest-methodology.md（方法准则）、110-strategy-verification/000-README.md（复核进度）。