feat: V3动态阈值实施方案落地

核心逻辑:
1. config.yaml新增bond_threshold配置块
2. selectors.py新增动态阈值逻辑:
   - _get_dynamic_threshold(): 阈值=短债动量×ratio
   - _grouped_selection(): BOND不参与竞争,空余仓位填充短债
3. strategy.py传入bond_threshold_config

回测验证:
- 最终净值: 292.56
- 累计收益: 29155.96%
- 持仓3只: 92.3%(满仓率提升)
- 短债填充: 27.7%时间启用(空余仓位)

信号特征:
- 短债可重复出现表示仓位占比
- 例如 "NDX,931862.CSI,931862.CSI" → NDX 33%, 短债 67%
This commit is contained in:
2026-05-18 23:58:10 +08:00
parent 3e6d9d1fdb
commit 74a664d4ff
3 changed files with 69 additions and 24 deletions

View File

@@ -71,7 +71,8 @@ class RotationStrategy(StrategyBase):
group_mapping=self._group_mapping,
min_score=self.min_score, # 从配置读取,支持动态调整阈值
rebalance_days=self.rebalance_days,
rebalance_threshold=self.rebalance_threshold
rebalance_threshold=self.rebalance_threshold,
bond_threshold_config=self.config.get('bond_threshold', {}) # V3动态阈值配置
)
@classmethod