diff --git a/strategies/rotation/config.yaml b/strategies/rotation/config.yaml index bd70886..6350f35 100644 --- a/strategies/rotation/config.yaml +++ b/strategies/rotation/config.yaml @@ -10,6 +10,10 @@ code_list: name: "创业板指" etf: "159915.SZ" market: "A" + "H30269.CSI": + name: "中证红利低波" + etf: "512890.SH" + market: "A" # 全球市场 @@ -56,13 +60,9 @@ code_list: # 931862.CSI = 中证0-9个月国债指数(短债指数,数据从2007年开始) # 组合效果:红利低波提供"类债券"股票防御,短债提供真正的债券防御 # 收益对比:此组合净值173.83,优于单红利低波配置净值115.14 - "H30269.CSI": - name: "红利低波(类债券)" # 实际是红利低波指数 - etf: "512890.SH" - market: "BOND" "931862.CSI": - name: "短债指数" # 实际是中证0-9个月国债指数 - etf: null # 无对应ETF,直接交易指数 + name: "30年国债" + etf: "511090.SH" market: "BOND" # 主市场配置 @@ -76,7 +76,7 @@ benchmark: name: "沪深300" # ==================== 回测参数 ==================== -start_date: "2000-01-01" +start_date: "2002-01-01" # ==================== 因子参数 ==================== # 动量/趋势窗口期(天数)