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feat(strategy): finalize global rotation system with advanced risk controls

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Summary of updates:
1. Core Logic (engine.py): Added 'score > 0' filtering to support automatic cash positions during market downturns.
2. Experimental Analysis: Added scripts/analyze_negative_scores.py, scripts/test_select_num.py, and scripts/ab_test_iterations.py.
3. Documentation: Created docs/strategy_evolution_report.md detailing the evolution from benchmark to the final 47% CAGR version.
4. Configuration: Finalized rotation.yaml with 11 core assets and optimal risk parameters.
This commit is contained in:
aszerW
2026-04-30 00:56:20 +08:00
parent e946dbe804
commit c1fbd2c7db
6 changed files with 504 additions and 14 deletions
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config/strategies/rotation.yaml
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@@ -75,7 +75,7 @@ n_days: 25
factor_type: "weighted_momentum"
# 动态周期参数 (匹配 JoinQuant 策略)
auto_day: true
auto_day: false
min_days: 20
max_days: 60