From 0da03068949a4f6c184f1604ad03e56d0df295c7 Mon Sep 17 00:00:00 2001
From: aszerW <aszer27937@gmail.com>
Date: Sun, 21 Jun 2026 13:13:17 +0800
Subject: [PATCH] =?UTF-8?q?fix:=20greedy=E6=A8=A1=E5=BC=8F=E4=BB=85?=
 =?UTF-8?q?=E5=9C=A8select=5Fnum=3D1=E6=97=B6=E7=94=9F=E6=95=88?=
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问题：greedy在select_num>1时仓位分配取决于ETF池大小，而非动量强度
- 场景1: 有色金属(1ETF)>原油(3ETF)>黄金(4ETF) → 有色25%,原油75%,黄金0%
- 场景2: 黄金(4ETF)>创业板(4ETF)>纳指(4ETF) → 黄金100%,其他0%

修复：select_num>1时greedy退化为equal权重

回测对比：
- select_num=3, rank: 326.60%
- select_num=1, greedy: 730.61% (集中度更高，收益更好)
---
 rotation/simple_rotation.py | 17 ++++++++++++-----
 1 file changed, 12 insertions(+), 5 deletions(-)

diff --git a/rotation/simple_rotation.py b/rotation/simple_rotation.py
index 08666e2..8262abc 100644
--- a/rotation/simple_rotation.py
+++ b/rotation/simple_rotation.py
@@ -530,17 +530,18 @@ class SimpleRotationStrategy:
     def _compute_greedy_weights(self, holdings: List[str], factors: Dict[str, float]) -> Dict[str, float]:
         """Compute greedy weights for signal-level holdings.
         
-        Greedy Algorithm:
-        1. Each index has absorption capacity = min(n_etfs, ceil(1/max_weight)) × max_weight
-        2. Iterate through holdings in order (sorted by momentum)
-        3. Each index absorbs up to its capacity
-        4. Remaining weight flows to next index
+        Greedy Algorithm (only for select_num=1):
+        1. The top-1 index has absorption capacity = min(n_etfs, ceil(1/max_weight)) × max_weight
+        2. If capacity < 100%, remaining weight flows to next index by momentum
+        3. Continue until 100% allocated
         
         Example (select_num=1, max_weight=0.25):
         - 有色金属(1 ETF): capacity=25%, absorbs 25%, remaining=75%
         - 原油(3 ETFs): capacity=75%, absorbs 75%, remaining=0%
         - Total: 100%
         
+        For select_num>1, falls back to equal weight (greedy not applicable).
+        
         Args:
             holdings: List of signal codes (sorted by momentum desc)
             factors: Dict of signal_code -> momentum score
@@ -551,6 +552,12 @@ class SimpleRotationStrategy:
         if not holdings:
             return {}
 
+        # Greedy only for select_num=1
+        if self.select_num > 1:
+            # Fall back to equal weight
+            w = 1.0 / len(holdings)
+            return {code: w for code in holdings}
+
         signal_weights = {}
         remaining_weight = 1.0