feat(rotation): 红利低波归类A股提升收益52%
配置变更: - H30269.CSI(红利低波)从BOND改为A股大类 - 931862.CSI(短债指数)保持BOND大类 - start_date调整为2002-01-01 回测验证: - 新配置净值264.54,累计收益26354% - 旧配置净值173.83,累计收益17283% - 收益提升52% 关键发现: - 红利低波作为A股可与创业板指竞争,优胜者入选 - 短债单独作为BOND自动入选 - 之前同属BOND时只能选1个,无法同时持有 - 新配置可实现'红利低波+短债'同时持仓
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@@ -10,6 +10,10 @@ 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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@@ -56,13 +60,9 @@ code_list:
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# 931862.CSI = 中证0-9个月国债指数(短债指数,数据从2007年开始)
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# 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
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# 收益对比:此组合净值173.83,优于单红利低波配置净值115.14
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"H30269.CSI":
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name: "红利低波(类债券)" # 实际是红利低波指数
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etf: "512890.SH"
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market: "BOND"
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"931862.CSI":
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name: "短债指数" # 实际是中证0-9个月国债指数
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etf: null # 无对应ETF,直接交易指数
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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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# 主市场配置
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@@ -76,7 +76,7 @@ benchmark:
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name: "沪深300"
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# ==================== 回测参数 ====================
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start_date: "2000-01-01"
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start_date: "2002-01-01"
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# ==================== 因子参数 ====================
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# 动量/趋势窗口期(天数)
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