refactor(rotation): simplify crash filter and add min_hold_days support

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Changes:
- Simplify is_crash(): remove con2 (consecutive decline) condition, keep only single-day drop > 5%
- Extract _compute_base_momentum() to eliminate factor dispatch duplication
- Add min_hold_days config for forced holding constraint (currently disabled, value=1)

Backtest comparison (2020-01-10 ~ 2026-06-09):
| Metric          | Old (con1 OR con2) | New (con1 only) |
|-----------------|--------------------|-----------------|
| Total Return    | 241.73%            | 271.98%         |
| Annual Return   | 22.10%             | 23.79%          |
| Max Drawdown    | -16.27%            | -16.27%         |
| Sharpe Ratio    | 1.09               | 1.14            |
| Calmar Ratio    | 1.36               | 1.46            |
| Win Rate        | 53.71%             | 53.78%          |
| Rebalances      | 393                | 362             |

Conclusion: Relaxing crash filter improves return (+1.69% annual) with
same drawdown and fewer rebalances.

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This commit is contained in:

aszerW

2026-06-09 22:31:26 +08:00

parent e2038ae722

commit fe73c0f199

2 changed files with 55 additions and 27 deletions

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