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feat: 新增 standardized_slope (t-statistic) 因子并实验验证

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- simple_rotation.py: 新增 standardized_slope_score 函数 (slope/SE)
- config_loader.py: FactorType 枚举新增 STANDARDIZED_SLOPE
- 对比实验结果: standardized_slope 年化 13.73% vs slope_r2 19.84%
- 结论: t-statistic 过度惩罚高波动资产的有效趋势信号，不适合本场景
- 文档更新: 动量因子对比调研报告新增 3.3 节详细分析
This commit is contained in:
aszerW
2026-06-06 16:40:01 +08:00
parent aff04318b1
commit 921f84cb6a
5 changed files with 224 additions and 2 deletions
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rotation/config_loader.py
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@@ -34,6 +34,7 @@ class FactorType(str, Enum):
SLOPE_R2 = "slope_r2"
WEIGHTED_MOMENTUM = "weighted_momentum"
VOL_ADJUSTED_MOMENTUM = "vol_adjusted_momentum"
STANDARDIZED_SLOPE = "standardized_slope"
class PremiumMode(str, Enum):