feat(rotation): 增加双国债配置实现动态久期选择
配置变更: - 移除错误标注的H30269.CSI(标注为中证红利低波) - 添加10年国债(931862.CSI)配置,久期8年,波动3-5% - 添加30年国债(H30269.CSI)配置,久期20年,波动10-15% - 修正ETF映射:931862→512890, H30269→511090 实证分析结果: - 方案C(双国债)累计收益17283%,为三种配置最优 - 动态久期选择机制:牛市选30年获取弹性,熊市选10年增强防御 - 债券持仓占比43.9%(10年18.6% + 30年25.3%) - 详细分析见 docs/experiments/国债配置实证分析报告.md
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@@ -10,10 +10,7 @@ code_list:
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name: "创业板指"
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etf: "159915.SZ"
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market: "A"
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"H30269.CSI":
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name: "中证红利低波"
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etf: "512890.SH"
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market: "A"
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# 全球市场
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"NDX":
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@@ -53,6 +50,10 @@ code_list:
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etf: "159980.SZ" # 国内有色金属ETF
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market: "COMMODITY"
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"931862.CSI":
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name: "10年国债"
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etf: "512890.SH"
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market: "BOND"
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"H30269.CSI":
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name: "30年国债"
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etf: "511090.SH"
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market: "BOND"
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