feat: 新增slope_r2因子并切换为默认因子(年化19.84%, 夏普1.14)
- simple_rotation.py: 新增3种score函数(vol_adjusted_momentum, slope_r2, momentum) - config_loader.py: FactorType枚举新增VOL_ADJUSTED_MOMENTUM - config_simple.yaml: factor.type 切换为 slope_r2 - experiments/factor_comparison.py: 4种因子对比实验脚本 - experiments/output: 实验结果(slope_r2全面胜出)
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@@ -33,6 +33,7 @@ class FactorType(str, Enum):
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MOMENTUM = "momentum"
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SLOPE_R2 = "slope_r2"
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WEIGHTED_MOMENTUM = "weighted_momentum"
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VOL_ADJUSTED_MOMENTUM = "vol_adjusted_momentum"
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class PremiumMode(str, Enum):
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