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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# ETF轮动策略配置（V2 框架）
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#
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# 配置版本: 2.0.0
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# 最后更新: 2024-04-16
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# 策略名称: rotation
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# 描述: 全球资产大类轮动策略 - 复现 V1 结果
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# ============================================================
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# 元数据
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# ============================================================
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metadata:
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version: "2.0.0"
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strategy: "rotation"
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description: "全球资产大类轮动策略 V2 - 复现 V1 结果"
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last_updated: "2024-04-16"
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# ============================================================
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# 资产池配置（扁平化设计：严格对齐 V1 config.yaml）
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# ============================================================
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asset_pools:
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assets:
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# 中国A股指数
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"399006.SZ":
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name: "创业板指"
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group: "A"
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signal_source: "399006.SZ"
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trade_source: "159915.SZ"
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description: "创业板指数"
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"H30269.CSI":
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name: "中证红利低波"
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group: "A"
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signal_source: "H30269.CSI"
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trade_source: "512890.SH"
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description: "红利低波指数"
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# 全球市场
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"NDX":
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name: "纳指100"
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group: "US"
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signal_source: "NDX"
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trade_source: "513100.SH"
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description: "纳斯达克100指数"
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"N225":
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name: "日经225"
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group: "JP"
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signal_source: "N225"
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trade_source: "513520.SH"
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description: "日经225指数"
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"GDAXI":
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name: "德国DAX"
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group: "EU"
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signal_source: "GDAXI"
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trade_source: "513030.SH"
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description: "德国DAX指数"
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"HSI":
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name: "恒生指数"
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group: "HK"
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signal_source: "HSI"
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trade_source: "159920.SZ"
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description: "恒生指数"
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"HSTECH.HK":
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name: "恒生科技"
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group: "HK"
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signal_source: "HSTECH.HK"
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trade_source: "513130.SH"
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description: "恒生科技指数"
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# 商品（使用 COMEX/WTI 期货替代上期所主力合约，数据更长）
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"GC=F":
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name: "黄金"
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group: "COMMODITY"
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signal_source: "GC=F"
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trade_source: "518880.SH"
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description: "COMEX黄金期货（2000年至今）"
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"CL=F":
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name: "原油"
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group: "COMMODITY"
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signal_source: "CL=F"
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trade_source: "160723.SZ"
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description: "WTI原油期货（2000年至今）"
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"HG=F":
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name: "有色金属"
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group: "COMMODITY"
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signal_source: "HG=F"
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trade_source: "159980.SZ"
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description: "COMEX铜期货（2000年至今）"
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# 防御类资产：短债指数
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# 931862.CSI = 中证0-9个月国债指数（短债指数）
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# 数据范围：2007-12-31开始，约19年数据
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# 久期：极短（<1年），波动极小，熊市防御效果最佳
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# 收益归因：标的收益约17%，决策收益约83%
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# 注意：无对应ETF可交易，直接使用指数数据计算动量和收益
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"931862.CSI":
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name: "短债指数"
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group: "BOND"
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signal_source: "931862.CSI"
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trade_source: "931862.CSI"
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description: "中证0-9个月国债指数，久期<1年，防御配置"
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# ============================================================
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# 基准配置
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# ============================================================
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benchmark:
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code: "000300.SH"
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name: "沪深300"
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# ============================================================
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# 回测配置
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# ============================================================
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399006.SZ:
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description: 创业板指数
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group: A
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name: 创业板指
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signal_source: 399006.SZ
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trade_source: 159915.SZ
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931862.CSI:
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description: 中证0-9个月国债指数，久期<1年，防御配置
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group: BOND
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name: 短债指数
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signal_source: 931862.CSI
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trade_source: 931862.CSI
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CL=F:
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description: WTI原油期货（2000年至今）
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group: COMMODITY
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name: 原油
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signal_source: CL=F
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trade_source: 160723.SZ
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GC=F:
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description: COMEX黄金期货（2000年至今）
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group: COMMODITY
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name: 黄金
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signal_source: GC=F
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trade_source: 518880.SH
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GDAXI:
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description: 德国DAX指数
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group: EU
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name: 德国DAX
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signal_source: GDAXI
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trade_source: 513030.SH
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H30269.CSI:
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description: 红利低波指数
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group: A
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name: 中证红利低波
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signal_source: H30269.CSI
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trade_source: 512890.SH
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HG=F:
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description: COMEX铜期货（2000年至今）
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group: COMMODITY
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name: 有色金属
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signal_source: HG=F
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trade_source: 159980.SZ
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HSI:
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description: 恒生指数
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group: HK
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name: 恒生指数
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signal_source: HSI
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trade_source: 159920.SZ
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HSTECH.HK:
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description: 恒生科技指数
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group: HK
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name: 恒生科技
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signal_source: HSTECH.HK
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trade_source: 513130.SH
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N225:
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description: 日经225指数
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group: JP
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name: 日经225
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signal_source: N225
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trade_source: 513520.SH
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NDX:
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description: 纳斯达克100指数
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group: US
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name: 纳指100
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signal_source: NDX
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trade_source: 513100.SH
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backtest:
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start_date: "2020-01-10" # 与 V1 保持一致（第一个完整交易日）
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# end_date: "2026-05-22" # 与 V1 保持一致
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# ============================================================
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# 因子配置
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# ============================================================
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start_date: '2020-01-10'
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benchmark:
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code: 000300.SH
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name: 沪深300
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data:
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sources:
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- enabled: true
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timeout: 120
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type: flask_api
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url: ${FLASK_API_URL}
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factor:
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type: "weighted_momentum" # 加权动量
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n_days: 25 # 25 天窗口
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# ============================================================
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# 轮动配置
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# ============================================================
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rotation:
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select_num: 3 # 选择 Top-3
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diversified: true # 强制分散化：每个大类只选 Top 1
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# 阈值配置（V3 动态阈值）
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threshold:
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mode: "dynamic" # 动态阈值模式
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fixed_value: 0.0 # 固定阈值（mode=fixed时使用）
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# 动态阈值配置（使用短债动量作为阈值）
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dynamic:
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reference: "931862.CSI" # 阈值参考标的（短债指数）
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ratio: 1.0 # 阈值 = 短债动量 × ratio
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fallback_enabled: true # 参考不可用时是否回退
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fallback_value: 0.0 # 回退值
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# ============================================================
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# 调仓配置
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# ============================================================
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n_days: 25
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type: slope_r2
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metadata:
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description: 全球资产大类轮动策略 V2 - 复现 V1 结果
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last_updated: '2024-04-16'
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strategy: rotation
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version: 2.0.0
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premium_control:
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default_threshold: 0.1
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enabled: false
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market_overrides:
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A:
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enabled: false
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COMMODITY:
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enabled: false
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HK:
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enabled: true
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threshold: 0.1
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US:
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enabled: true
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threshold: 0.1
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mode: filter
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penalty_factor: 0.5
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rebalance:
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min_hold_days: 1
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score_threshold: 0.0
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trade_cost: 0.001 # 万1 交易成本（场内ETF万0.5免5）
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# ============================================================
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# 溢价控制配置
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# ============================================================
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premium_control:
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enabled: false # 启用溢价控制
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default_threshold: 0.10 # 默认溢价阈值 10%
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mode: "filter" # filter(完全排除) 或 penalize(降权)
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penalty_factor: 0.5 # 降权模式下的惩罚系数
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# 按市场覆盖配置
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market_overrides:
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A: # A股 ETF
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enabled: false # 不启用（溢价通常 < 0.5%）
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HK: # 港股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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US: # 美股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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COMMODITY: # 商品 ETF
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enabled: false # 不启用
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# ============================================================
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# 数据配置
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# ============================================================
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data:
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sources:
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- type: "flask_api"
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enabled: true
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url: "${FLASK_API_URL}"
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timeout: 120
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trade_cost: 0.001
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rotation:
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diversified: true
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select_num: 3
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threshold:
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dynamic:
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fallback_enabled: true
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fallback_value: 0.0
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ratio: 1.0
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reference: 931862.CSI
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fixed_value: 0.0
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mode: dynamic
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