# 美股轮动策略配置

# ==================== 候选池配置 ====================
code_list:
  # 科技巨头
  "AAPL":
    name: "Apple"
    sector: "Technology"
  "ADBE":
    name: "Adobe"
    sector: "Technology"
  "AMD":
    name: "AMD"
    sector: "Technology"
  "AMZN":
    name: "Amazon"
    sector: "Technology"
  "ASML":
    name: "ASML"
    sector: "Technology"
  "AVGO":
    name: "Broadcom"
    sector: "Technology"
  "CRM":
    name: "Salesforce"
    sector: "Technology"
  "CRWD":
    name: "CrowdStrike"
    sector: "Technology"
  "CSCO":
    name: "Cisco"
    sector: "Technology"
  "FICO":
    name: "FICO"
    sector: "Technology"
  "GOOGL":
    name: "Google"
    sector: "Technology"
  "INTC":
    name: "Intel"
    sector: "Technology"
  "KLAC":
    name: "KLA"
    sector: "Technology"
  "LRCX":
    name: "Lam Research"
    sector: "Technology"
  "META":
    name: "Meta"
    sector: "Technology"
  "MSFT":
    name: "Microsoft"
    sector: "Technology"
  "MU":
    name: "Micron"
    sector: "Technology"
  "NET":
    name: "Cloudflare"
    sector: "Technology"
  "NFLX":
    name: "Netflix"
    sector: "Technology"
  "NVDA":
    name: "NVIDIA"
    sector: "Technology"
  "ORCL":
    name: "Oracle"
    sector: "Technology"
  "PANW":
    name: "Palo Alto"
    sector: "Technology"
  "PLTR":
    name: "Palantir"
    sector: "Technology"
  "QCOM":
    name: "Qualcomm"
    sector: "Technology"
  "SNOW":
    name: "Snowflake"
    sector: "Technology"
  "TSLA":
    name: "Tesla"
    sector: "Technology"
  "TSM":
    name: "TSMC"
    sector: "Technology"
  
  # 金融
  "AXP":
    name: "American Express"
    sector: "Financial"
  "BAC":
    name: "Bank of America"
    sector: "Financial"
  "C":
    name: "Citigroup"
    sector: "Financial"
  "GS":
    name: "Goldman Sachs"
    sector: "Financial"
  "JPM":
    name: "JPMorgan"
    sector: "Financial"
  "MA":
    name: "Mastercard"
    sector: "Financial"
  "MS":
    name: "Morgan Stanley"
    sector: "Financial"
  
  # 消费零售
  "COST":
    name: "Costco"
    sector: "Consumer"
  "LULU":
    name: "Lululemon"
    sector: "Consumer"
  "PDD":
    name: "PDD Holdings"
    sector: "Consumer"
  "SHOP":
    name: "Shopify"
    sector: "Consumer"
  
  # 医药健康
  "LLY":
    name: "Eli Lilly"
    sector: "Healthcare"
  "NVO":
    name: "Novo Nordisk"
    sector: "Healthcare"
  
  # 其他
  "CAT":
    name: "Caterpillar"
    sector: "Industrial"
  "COIN":
    name: "Coinbase"
    sector: "Crypto"
  "CRCL":
    name: "Circle"
    sector: "Crypto"
  "FUTU":
    name: "Futu"
    sector: "Financial"
  "HOOD":
    name: "Robinhood"
    sector: "Financial"
  "SAP":
    name: "SAP"
    sector: "Technology"
  "SCCO":
    name: "Southern Copper"
    sector: "Materials"

# ==================== 基准配置 ====================
benchmark:
  code: "NDX"
  name: "纳斯达克100"

# ==================== 回测参数 ====================
start_date: "2016-01-01"

# ==================== 因子参数 ====================
# 动量窗口（天数）
n_days: 250
# 因子类型
factor_type: "momentum"

# ==================== 轮动参数 ====================
# 不分组，直接选 Top N
diversified: false
select_num: 5

# ==================== 调仓控制 ====================
# 每日调仓
rebalance_days: 1
# 调仓阈值：新组合得分超过当前组合 X% 才触发调仓
rebalance_threshold: 0.0
# 交易成本（双边）
trade_cost: 0.001

# ==================== 数据缓存 ====================
use_cache: true

# ==================== 数据源配置 ====================
# SSH 隧道配置（用于 yfinance）
ssh_tunnel:
  enabled: true
  host: "8.218.167.69"
  port: 22
  username: "root"
  key_path: "hk_ecs.pem"
  local_port: 1080