From e6898a851cc756e756ff374913942ec8fd980f74 Mon Sep 17 00:00:00 2001
From: aszerW <aszer27937@gmail.com>
Date: Wed, 25 Mar 2026 22:01:22 +0800
Subject: [PATCH] =?UTF-8?q?feat(config):=20=E4=BC=98=E5=8C=96ETF=E8=BD=AE?=
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- 将候选池指数列表升级为包含名称、对应ETF代码及市场的详细映射结构
- 支持多市场ETF映射，包括A股、港股、美股、商品及加密货币市场
- 新增主市场配置及跨境ETF溢价控制机制，防止高溢价买入
- 溢价控制支持启用开关、不同市场阈值及降权模式
- 明确交易成本、缓存使用及交易日历设置，增强策略灵活性和稳定性
---
 config/strategies/rotation.yaml | 137 ++++++++++++++++++++++++++------
 1 file changed, 113 insertions(+), 24 deletions(-)

diff --git a/config/strategies/rotation.yaml b/config/strategies/rotation.yaml
index 6d05204..7b56e2b 100644
--- a/config/strategies/rotation.yaml
+++ b/config/strategies/rotation.yaml
@@ -1,43 +1,111 @@
 # ETF轮动策略配置
 
 # ==================== 候选池配置 ====================
-# A股全行业指数配置（Tushare格式：XXXXXX.SH / XXXXXX.SZ）
-# 格式: {代码: 名称}
+# 指数-ETF映射配置
+# index: 指数代码（用于计算因子信号）
+# etf: ETF代码（用于实际交易和收益计算），null表示直接交易指数/加密货币
 code_list:
   # 中国A股指数 (使用 Tushare) - 主市场，交易日基准
   # 宽基指数
-  "000300.SH": "沪深300"
-  "000905.SH": "中证500"
-  "000852.SH": "中证1000"
-  "399006.SZ": "创业板指"
-  "000015.SH": "上证红利"
+  "000300.SH":
+    name: "沪深300"
+    etf: "510300.SH"      # 华泰柏瑞沪深300ETF
+    market: "A"
+  "000905.SH":
+    name: "中证500"
+    etf: "510500.SH"      # 南方中证500ETF
+    market: "A"
+  "000852.SH":
+    name: "中证1000"
+    etf: "512100.SH"      # 南方中证1000ETF
+    market: "A"
+  "399006.SZ":
+    name: "创业板指"
+    etf: "159915.SZ"      # 易方达创业板ETF
+    market: "A"
+  "000015.SH":
+    name: "上证红利"
+    etf: "510880.SH"      # 华泰柏瑞红利ETF
+    market: "A"
   # 金融
-  "399986.SZ": "中证银行"
+  "399986.SZ":
+    name: "中证银行"
+    etf: "512800.SH"      # 华宝银行ETF
+    market: "A"
   # 消费
-  "399997.SZ": "中证白酒"
+  "399997.SZ":
+    name: "中证白酒"
+    etf: "512690.SH"      # 鹏华酒ETF
+    market: "A"
   # 医药健康
-  "399989.SZ": "中证医疗"
+  "399989.SZ":
+    name: "中证医疗"
+    etf: "512170.SH"      # 华宝医疗ETF
+    market: "A"
   # 科技信息
-  "000935.SH": "中证信息"
+  "000935.SH":
+    name: "中证信息"
+    etf: "512330.SH"      # 南方信息ETF
+    market: "A"
   # 新能源
-  "399976.SZ": "新能源车"
+  "399976.SZ":
+    name: "新能源车"
+    etf: "515030.SH"      # 华夏新能源ETF
+    market: "A"
   # 周期资源
-  "399395.SZ": "国证有色"
-  "399998.SZ": "中证煤炭"
-  "399813.SZ": "细分化工"
-  "000937.SH": "中证能源"
+  "399395.SZ":
+    name: "国证有色"
+    etf: "159880.SZ"      # 有色ETF
+    market: "A"
+  "399998.SZ":
+    name: "中证煤炭"
+    etf: "515220.SH"      # 煤炭ETF
+    market: "A"
+  "399813.SZ":
+    name: "细分化工"
+    etf: "516120.SH"      # 化工ETF
+    market: "A"
+  "000937.SH":
+    name: "中证能源"
+    etf: "159930.SZ"      # 能源ETF
+    market: "A"
   # 其他行业
-  "399967.SZ": "中证军工"
-  "000949.SH": "中证农业"
-  "399702.SZ": "国债指数"
+  "399967.SZ":
+    name: "中证军工"
+    etf: "512660.SH"      # 军工ETF
+    market: "A"
+  "000949.SH":
+    name: "中证农业"
+    etf: "159825.SZ"      # 农业ETF
+    market: "A"
+  "399702.SZ":
+    name: "国债指数"
+    etf: "511010.SH"      # 国债ETF
+    market: "A"
+  
   # 全球市场指数 (使用 YFinance) - 非主市场，数据会前向填充到A股交易日
-  "HSTECH": "恒生科技"      # 港股
-  "NDX": "纳指100"      # 美股
-  "GC=F": "黄金"             # 黄金期货 (COMEX)
+  "HSTECH":
+    name: "恒生科技"
+    etf: "513180.SH"      # 华夏恒生科技ETF
+    market: "HK"
+  "NDX":
+    name: "纳指100"
+    etf: "159501.SZ"      # 嘉实纳指100ETF（流动性好）
+    market: "US"
+  "GC=F":
+    name: "黄金"
+    etf: "518880.SH"      # 华安黄金ETF
+    market: "COMMODITY"
   
   # 加密货币 (使用 CCXT/OKX 现货) - 通过 SSH->HTTP 代理访问
-  "BTC": "比特币"           # OKX 现货
-  "ETH": "以太坊"           # OKX 现货
+  "BTC":
+    name: "比特币"
+    etf: null              # 无ETF，直接交易
+    market: "CRYPTO"
+  "ETH":
+    name: "以太坊"
+    etf: null              # 无ETF，直接交易
+    market: "CRYPTO"
 
 # 主市场配置（用于确定交易日历）
 primary_market:
@@ -71,6 +139,27 @@ rebalance_threshold: 0.0
 # 单次换仓成本（双边，含佣金+滑点）
 trade_cost: 0.001
 
+# ==================== 溢价控制配置 ====================
+# 跨境ETF溢价过滤机制（防止高溢价买入）
+premium_control:
+  enabled: true
+  default_threshold: 0.02     # 默认溢价阈值 2%
+  mode: "filter"              # "filter"(完全排除) 或 "penalize"(降权)
+  penalty_factor: 0.5         # 降权模式下的惩罚系数
+  
+  # 按市场类型覆盖配置
+  market_overrides:
+    A:                        # A股 ETF
+      enabled: false          # 不启用（溢价通常 < 0.5%）
+    HK:                       # 港股 ETF
+      enabled: true
+      threshold: 0.03         # 阈值 3%
+    US:                       # 美股 ETF
+      enabled: true
+      threshold: 0.02         # 阈值 2%
+    COMMODITY:                # 商品 ETF
+      enabled: false
+
 # ==================== 数据缓存 ====================
 # 是否使用本地缓存（True=优先从本地读取）
 use_cache: true