From de31271ab3ef664c52546ee7de6d653eed6caf50 Mon Sep 17 00:00:00 2001
From: aszerW <aszer27937@gmail.com>
Date: Mon, 11 May 2026 23:09:49 +0800
Subject: [PATCH] =?UTF-8?q?feat(rotation):=20=E5=AE=9E=E7=8E=B0=E8=BD=AE?=
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- RotationStrategy: 继承StrategyBase，使用MomentumFactor+TopNSelector
- 实现before_entry溢价过滤、dynamic_stoploss动态止损、custom_exit自定义出场
- 策略配置从类属性读取，支持config覆盖
---
 strategies/__init__.py          |  9 ++++
 strategies/rotation/__init__.py |  7 +++
 strategies/rotation/strategy.py | 80 +++++++++++++++++++++++++++++++++
 3 files changed, 96 insertions(+)
 create mode 100644 strategies/rotation/strategy.py

diff --git a/strategies/__init__.py b/strategies/__init__.py
index e69de29..7bac080 100644
--- a/strategies/__init__.py
+++ b/strategies/__init__.py
@@ -0,0 +1,9 @@
+"""
+strategies模块入口
+
+包含所有策略实现
+"""
+
+from strategies.rotation import RotationStrategy
+
+__all__ = ['RotationStrategy']
\ No newline at end of file
diff --git a/strategies/rotation/__init__.py b/strategies/rotation/__init__.py
index e69de29..fb303df 100644
--- a/strategies/rotation/__init__.py
+++ b/strategies/rotation/__init__.py
@@ -0,0 +1,7 @@
+"""
+轮动策略模块入口
+"""
+
+from strategies.rotation.strategy import RotationStrategy
+
+__all__ = ['RotationStrategy']
\ No newline at end of file
diff --git a/strategies/rotation/strategy.py b/strategies/rotation/strategy.py
new file mode 100644
index 0000000..13f7463
--- /dev/null
+++ b/strategies/rotation/strategy.py
@@ -0,0 +1,80 @@
+"""
+轮动策略定制实现
+
+使用framework通用能力 + 定制组件
+"""
+
+import pandas as pd
+import yaml
+from datetime import datetime
+
+from framework.factors import FactorBase, FactorRegistry, FactorCombiner
+from framework.signals import SignalGenerator
+from framework.risk import CallbackHook, Position
+from framework.strategy import StrategyBase
+from framework.config import ConfigLoader
+
+# 导入定制组件
+from strategies.shared.factors.momentum import MomentumFactor
+from strategies.shared.signals.selectors import TopNSelector
+from strategies.shared.risk.controls import premium_filter_callback, holding_time_stoploss_callback
+
+
+class RotationStrategy(StrategyBase):
+    """
+    ETF轮动策略（定制实现）
+    
+    基于动量因子 + Top N选股 + 溢价过滤
+    """
+    
+    name = "rotation"
+    select_num = 3
+    stoploss = -0.05
+    
+    def init_factors(self) -> FactorCombiner:
+        """初始化动量因子"""
+        # 清空注册表（避免重复注册）
+        FactorRegistry.clear()
+        
+        # 注册定制因子
+        FactorRegistry.register(MomentumFactor)
+        
+        return FactorCombiner([
+            FactorRegistry.get('momentum', n_days=25, crash_filter=True)
+        ])
+    
+    def init_signal_generator(self) -> SignalGenerator:
+        """初始化Top N选股器（定制）"""
+        return TopNSelector(
+            select_num=self.select_num,
+            min_score=0.0,
+            group_by='market'  # 定制：按大类分组
+        )
+    
+    def before_entry(self, code: str, price: float, **kwargs) -> bool:
+        """入场前：溢价过滤（定制）"""
+        premium = kwargs.get('premium', 0)
+        
+        # 定制阈值：10%
+        if premium > 0.10:
+            print(f"溢价过高，拒绝入场: {code} (溢价={premium:.2%})")
+            return False
+        
+        return True
+    
+    def dynamic_stoploss(self, position: Position) -> float:
+        """动态止损：根据持仓时间调整（定制）"""
+        # 定制规则：5天/10天阈值
+        if position.holding_days >= 10:
+            return -0.03
+        elif position.holding_days >= 5:
+            return -0.05
+        return -0.10
+    
+    def custom_exit(self, position: Position) -> bool:
+        """自定义出场条件（定制）"""
+        # 定制规则：亏损超过阈值强制出场
+        if position.profit_ratio < -0.10:
+            print(f"亏损超阈值，强制出场: {position.code}")
+            return True
+        return False
\ No newline at end of file