test(framework_v2): 添加配置系统测试和策略示例
配置文件: - rotation_global.yaml: 扁平化资产池配置示例，演示 group 策略分组 * 13 个标的覆盖 7 个策略分组（US_TECH, CN_GROWTH, JP_BROAD, EU_BROAD, HK_TECH, COMMODITY, FIXED_INCOME） * signal_source/trade_source 分离配置（跨市场场景） * 分散化选股配置示例（注释状态） * 默认使用 Flask API 数据源 测试用例: - test_flat_asset_pool.py: 7/7 测试通过 * 扁平配置加载验证 * 策略分组功能测试（by_group, groups, count） * 信号/交易标的获取（get_signal_codes, get_trade_codes） * 信号→交易映射（get_signal_to_trade_mapping） * 分散化配置验证 * 标的配置详情验证 - test_config.py: 配置加载器测试 - test_simple_rotation.py: 简单轮动策略端到端测试
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framework_v2/config/rotation_global.yaml
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framework_v2/config/rotation_global.yaml
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# 跨市场轮动策略配置（扁平化设计）
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#
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# 配置版本: 2.0.0
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# 最后更新: 2024-04-16
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# 策略名称: rotation_global
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# 描述: 全球资产大类轮动 - 扁平化资产池设计
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# ============================================================
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# 元数据
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# ============================================================
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metadata:
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version: "2.0.0"
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strategy: "rotation_global"
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description: "全球资产大类轮动策略 V2 - 扁平化资产池"
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last_updated: "2024-04-16"
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# ============================================================
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# 资产池配置（扁平化设计）
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# ============================================================
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asset_pools:
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assets:
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# ============================================================
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# 美股指数（通过 A 股 ETF 交易）
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# ============================================================
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"NDX":
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name: "纳指100"
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group: "US_TECH"
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signal_source: "NDX" # 纳指信号
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trade_source: "513100.SH" # A股ETF交易
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description: "纳斯达克100指数，科技股代表"
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"SPX":
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name: "标普500"
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group: "US_TECH"
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signal_source: "SPX"
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trade_source: "513500.SH"
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description: "标普500指数，美股大盘"
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# ============================================================
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# A股指数（直接交易 ETF）
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# ============================================================
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"399006.SZ":
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name: "创业板指"
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group: "CN_GROWTH"
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signal_source: "399006.SZ"
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trade_source: "159915.SZ"
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description: "创业板指数，成长股代表"
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"000300.SH":
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name: "沪深300"
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group: "CN_GROWTH"
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signal_source: "000300.SH"
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trade_source: "510300.SH"
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description: "沪深300指数，大盘蓝筹"
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"H30269.CSI":
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name: "中证红利低波"
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group: "CN_GROWTH"
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signal_source: "H30269.CSI"
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trade_source: "512890.SH"
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description: "红利低波指数，价值股代表"
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# ============================================================
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# 日本股市（通过 A 股 ETF 交易）
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# ============================================================
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"N225":
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name: "日经225"
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group: "JP_BROAD"
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signal_source: "N225"
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trade_source: "513520.SH"
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description: "日经225指数，日本股市"
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# ============================================================
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# 欧洲股市（通过 A 股 ETF 交易）
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# ============================================================
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"GDAXI":
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name: "德国DAX"
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group: "EU_BROAD"
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signal_source: "GDAXI"
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trade_source: "513030.SH"
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description: "德国DAX指数，欧洲股市"
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# ============================================================
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# 港股（通过 A 股 ETF 交易）
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# ============================================================
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"HSI":
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name: "恒生指数"
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group: "HK_TECH"
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signal_source: "HSI"
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trade_source: "159920.SZ"
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description: "恒生指数，香港股市"
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"HSTECH.HK":
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name: "恒生科技"
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group: "HK_TECH"
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signal_source: "HSTECH.HK"
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trade_source: "513130.SH"
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description: "恒生科技指数，港股科技"
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# ============================================================
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# 商品（国际期货信号 → A股ETF交易）
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# ============================================================
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"GC=F":
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name: "黄金"
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group: "COMMODITY"
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signal_source: "GC=F" # COMEX黄金期货
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trade_source: "518880.SH" # A股黄金ETF
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description: "COMEX黄金期货，避险资产"
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"CL=F":
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name: "原油"
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group: "COMMODITY"
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signal_source: "CL=F" # WTI原油期货
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trade_source: "160723.SZ" # A股原油基金
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description: "WTI原油期货，能源商品"
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"HG=F":
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name: "有色金属"
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group: "COMMODITY"
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signal_source: "HG=F" # COMEX铜期货
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trade_source: "159980.SZ" # A股有色ETF
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description: "COMEX铜期货，工业金属"
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# ============================================================
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# 固定收益（直接交易指数）
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# ============================================================
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"931862.CSI":
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name: "短债指数"
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group: "FIXED_INCOME"
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signal_source: "931862.CSI"
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trade_source: "931862.CSI" # 直接交易指数（无ETF）
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description: "中证0-9个月国债指数，久期<1年，防御配置"
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# ============================================================
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# 加密货币（未来扩展示例）
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# ============================================================
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# "BTC":
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# name: "比特币"
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# group: "CRYPTO"
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# signal_source: "BTC"
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# trade_source: "BTC"
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# description: "比特币，数字黄金"
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# ============================================================
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# 外汇（未来扩展示例）
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# ============================================================
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# "EURUSD":
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# name: "欧元/美元"
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# group: "FOREX"
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# signal_source: "EURUSD"
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# trade_source: "EURUSD"
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# description: "欧元/美元汇率"
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# ============================================================
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# 基准配置
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# ============================================================
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benchmark:
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code: "000300.SH"
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name: "沪深300"
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# ============================================================
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# 回测配置
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# ============================================================
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backtest:
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start_date: "2020-01-01"
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# end_date: null # null 表示至今
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# ============================================================
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# 因子配置
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# ============================================================
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factor:
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type: "weighted_momentum" # 因子类型: momentum / slope_r2 / weighted_momentum
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n_days: 25 # 动量窗口期（5-250天）
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# 动态周期参数（可选）
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auto_day: false # 是否启用动态周期
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min_days: 20 # 最小周期
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max_days: 60 # 最大周期
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# ============================================================
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# 轮动配置
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# ============================================================
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rotation:
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# ============================================================
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# 模式 1：全局选股（默认）
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# ============================================================
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select_num: 5 # 全局选 Top-5
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diversified: false # 不分散化
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# ============================================================
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# 模式 2：分散化选股（取消注释启用）
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# ============================================================
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# diversified: true # 启用分散化
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# diversification_groups: # 按市场分组选股
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# - group: "US_TECH"
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# select_num: 1 # 美股选 1 只
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# - group: "CN_GROWTH"
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# select_num: 1 # A股选 1 只
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# - group: "JP_BROAD"
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# select_num: 1 # 日本选 1 只
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# - group: "EU_BROAD"
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# select_num: 1 # 欧洲选 1 只
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# - group: "HK_TECH"
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# select_num: 1 # 港股选 1 只
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# - group: "COMMODITY"
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# select_num: 1 # 商品选 1 只
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# - group: "FIXED_INCOME"
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# select_num: 1 # 债券选 1 只
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# 阈值配置（统一 V2/V3）
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threshold:
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mode: "dynamic" # 阈值模式: fixed / dynamic
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fixed_value: 0.0 # 固定阈值（mode=fixed时使用）
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# 动态阈值配置（mode=dynamic时使用）
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dynamic:
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reference: "931862.CSI" # 参考标的（短债指数）
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ratio: 1.0 # 阈值 = 短债动量 × ratio
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fallback_enabled: true # 参考不可用时是否回退
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fallback_value: 0.0 # 回退值
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# ============================================================
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# 调仓配置
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# ============================================================
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rebalance:
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min_hold_days: 1 # 最低持有天数（1-30）
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score_threshold: 0.0 # 调仓得分阈值（0-0.5，表示%）
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trade_cost: 0.001 # 单次换仓成本（0-0.01，即 0.1%）
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# ============================================================
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# 溢价控制配置
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# ============================================================
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premium_control:
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enabled: true # 是否启用溢价控制
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default_threshold: 0.10 # 默认溢价阈值（10%）
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mode: "filter" # 控制模式: filter（排除）/ penalize（降权）
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penalty_factor: 0.5 # 降权惩罚系数
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# 按市场覆盖配置
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market_overrides:
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CN_EQUITY: # A股 ETF
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enabled: false # 不启用（溢价通常 < 0.5%）
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HK_EQUITY: # 港股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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US_EQUITY: # 美股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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JP_EQUITY: # 日本 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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EU_EQUITY: # 欧洲 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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COMMODITY: # 商品 ETF
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enabled: false # 不启用
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# ============================================================
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# 数据配置
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# ============================================================
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data:
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# 数据源列表（按优先级排序）
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sources:
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# 主数据源：Flask API
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- type: "flask_api"
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enabled: true
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url: "${FLASK_API_URL}" # 从环境变量读取
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timeout: 120
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