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)
This commit is contained in:
2026-06-06 15:49:22 +08:00
parent 04b858ff09
commit b564a47a1b
5 changed files with 393 additions and 183 deletions

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@@ -33,6 +33,7 @@ class FactorType(str, Enum):
MOMENTUM = "momentum"
SLOPE_R2 = "slope_r2"
WEIGHTED_MOMENTUM = "weighted_momentum"
VOL_ADJUSTED_MOMENTUM = "vol_adjusted_momentum"
class PremiumMode(str, Enum):