注释加密货币(BTC/ETH)并新增回测数据导出脚本
变更内容: - rotation.yaml: 注释掉BTC和ETH加密货币配置,候选池从22只缩减为20只 - 新增 scripts/export_rotation_data.py: 导出回测原始数据到本地文件夹 回测结果 (2020-02-14 ~ 2026-04-28, 20只标的, 无加密货币): - 累计收益: 171.36% (基准沪深300: 20.16%) - CAGR(年化): 17.48% (基准: 2.89%) - 年化夏普比率: 0.90 (基准: 0.26) - 最大回撤: -30.85% (基准: -45.60%) - Calmar比率: 0.57 - 日胜率: 52.49% - 调仓次数: 478次 (年均80次, 平均持仓3.1天)
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@@ -97,14 +97,14 @@ code_list:
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market: "FUTURES" # 期货合约,交易时间含夜盘,数据逻辑类似加密货币
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# 加密货币 (使用 CCXT/OKX 现货) - 通过 SSH->HTTP 代理访问
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"BTC":
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name: "比特币"
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etf: null # 无ETF,直接交易
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market: "CRYPTO"
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"ETH":
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name: "以太坊"
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etf: null # 无ETF,直接交易
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market: "CRYPTO"
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# "BTC":
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# name: "比特币"
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# etf: null # 无ETF,直接交易
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# market: "CRYPTO"
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# "ETH":
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# name: "以太坊"
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# etf: null # 无ETF,直接交易
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# market: "CRYPTO"
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# 主市场配置(用于确定交易日历)
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primary_market:
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