From 9d79ef9ca0a4e18a4c1e7ba77313c56b2e931ed0 Mon Sep 17 00:00:00 2001
From: aszerW <aszer27937@gmail.com>
Date: Sun, 21 Jun 2026 13:59:01 +0800
Subject: [PATCH] =?UTF-8?q?fix:=20greedy=E6=A8=A1=E5=BC=8F=E4=BB=8E?=
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 =?UTF-8?q?=EF=BC=8C=E8=80=8C=E9=9D=9E=E4=BB=85holdings=E5=88=97=E8=A1=A8?=
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问题：select_num=1时，holdings只有1个元素，ETF池不足时仓位闲置
- 有色金属(1ETF): 仓位25%，75%闲置
- 德国DAX(2ETF): 仓位50%，50%闲置
- 原油(3ETF): 仓位75%，25%闲置

修复：从所有信号中按动量排序顺延
- 有色金属(25%) → 顺延到第2名信号(如原油75%) → 100%满配

回测对比 (select_num=1):
- equal: 1053% 累计收益, 1.34 夏普
- greedy(修复前): 730% 累计收益, 1.31 夏普
- greedy(修复后): 1355% 累计收益, 1.69 夏普
---
 rotation/simple_rotation.py | 19 ++++++++++++++-----
 1 file changed, 14 insertions(+), 5 deletions(-)

diff --git a/rotation/simple_rotation.py b/rotation/simple_rotation.py
index 8262abc..9ae6d4f 100644
--- a/rotation/simple_rotation.py
+++ b/rotation/simple_rotation.py
@@ -531,9 +531,10 @@ class SimpleRotationStrategy:
         """Compute greedy weights for signal-level holdings.
         
         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
+        1. Get ALL signals sorted by momentum (not just holdings)
+        2. The top signal has absorption capacity = min(n_etfs, ceil(1/max_weight)) × max_weight
+        3. If capacity < 100%, remaining weight flows to next signal by momentum
+        4. Continue until 100% allocated
         
         Example (select_num=1, max_weight=0.25):
         - 有色金属(1 ETF): capacity=25%, absorbs 25%, remaining=75%
@@ -558,10 +559,17 @@ class SimpleRotationStrategy:
             w = 1.0 / len(holdings)
             return {code: w for code in holdings}
 
+        # Get ALL signals sorted by momentum (for spill-over)
+        all_signals_sorted = sorted(
+            self.signal_codes,
+            key=lambda c: factors.get(c, 0),
+            reverse=True
+        )
+
         signal_weights = {}
         remaining_weight = 1.0
 
-        for signal_code in holdings:
+        for signal_code in all_signals_sorted:
             if remaining_weight <= 0:
                 break
 
@@ -579,7 +587,8 @@ class SimpleRotationStrategy:
             remaining_weight -= absorb
 
             # Assign weight to this signal
-            signal_weights[signal_code] = absorb
+            if absorb > 0:
+                signal_weights[signal_code] = absorb
 
         return signal_weights