行业ETF月度动量配置：截面优选、绝对动量过滤与月内止损

Replaces the previous code that raised in should_enter: next-session-open fills are now platform-supported (next_open_fill), so month-end close decisions are submitted as plain market orders and fill at the next open. Primary XLB uses the standard should_enter/should_exit path via scalar flags set in calculate_signal; the eight extra legs are traded with _submit_entry_instrument/_submit_exit_position. Signal = XLB's continuous 21-session return. Alignment: a leg only scores when its latest bar has the same close stamp as the primary bar (barrier + explicit check), so no future bar is used. Rebalance requires all nine legs scored. Risk control route (a): 20% notional x 6% close stop = 1.2% of equity at the stop (risk_per_position_pct), plus month-end signal exits; worst case gap loss is bounded well inside the 15% max trade loss. State (per-leg stop anchors, last rebalance day) is plain scalar attributes. The fixed nine-ETF universe has existed continuously since 1998, so no point-in-time listing filter is needed. Interpretation note: the stop is re-anchored at a retained position's month-end close so a carried position's 'intra-month' stop measures that month's loss (otherwise a retained position below its old entry would be force-sold the next day). Sector momentum on US ETFs has a negative prior in our corpus.

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['top_k', 'leverage', 'stop_loss_pct', 'rebalance_months', 'momentum_lookback', 'whole_shares_only', '_optimization_plan', 'max_gross_exposure', 'use_bracket_orders', 'risk_per_position_pct', 'baseline_stop_loss_pct', 'absolute_momentum_floor', 'reentry_only_at_month_end', 'execution_next_session_open', 'capital_fraction_per_position'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: RuntimeError: execution_contract_unsupported: monthly nine-ETF rotation requires month-end close decisions filled at the next session open. Installed NautilusTrader backtest/engine.pyx rejects AT_THE_OPEN orders; base market helpers execute at the current simulated price. Supply engine-level next-session-open execution before evaluating this strategy. Same-close or next-close execution is not authorized. (bar timestamp: 1735690860000) - steady_downtrend: RuntimeError: execution_contract_unsupported: monthly nine-ETF rotation requires month-end close decisions filled at the next session open. Installed NautilusTrader backtest/engine.pyx rejects AT_THE_OPEN orders; base market helpers execute at the current simulated price. Supply engine-level next-session-open execution before evaluating this strategy. Same-close or next-close execution is not authorized. (bar timestamp: 1735690860000) - flat_ranging: RuntimeError: execution_contract_unsupported: monthly nine-ETF rotation requires month-end close decisions filled at the next session open. Installed NautilusTrader backtest/engine.pyx rejects AT_THE_OPEN orders; base market helpers execute at the current simulated price. Supply engine-level next-session-open execution before evaluating this strategy. Same-close or next-close execution is not authorized. (bar timestamp: 1735690860000) - volatility_spike: RuntimeError: execution_contract_unsupported: monthly nine-ETF rotation requires month-end close decisions filled at the next session open. Installed NautilusTrader backtest/engine.pyx rejects AT_THE_OPEN orders; base market helpers execute at the current simulated price. Supply engine-level next-session-open execution before evaluating this strategy. Same-close or next-close execution is not authorized. (bar timestamp: 1735690860000) - zero_volume: RuntimeError: execution_contract_unsupported: monthly nine-ETF rotation requires month-end close decisions filled at the next session open. Installed NautilusTrader backtest/engine.pyx rejects AT_THE_OPEN orders; base market helpers execute at the current simulated price. Supply engine-level next-session-open execution before evaluating this strategy. Same-close or next-close execution is not authorized. (bar timestamp: 1735690860000) - price_gap: RuntimeError: execution_contract_unsupported: monthly nine-ETF rotation requires month-end close decisions filled at the next session open. Installed NautilusTrader backtest/engine.pyx rejects AT_THE_OPEN orders; base market helpers execute at the current simulated price. Supply engine-level next-session-open execution before evaluating this strategy. Same-close or next-close execution is not authorized. (bar timestamp: 1735690860000)