aszer/etf - etf - Gitea Aszer

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Author	SHA1	Message	Date
aszerW	1260d53254	data: 添加ETF基础数据CSV文件包含1600+ ETF的基础信息：代码、名称、类型、规模、成交额、费率等来源：Tushare API，通过 scripts/enrich_etf_data.py 生成	2026-06-22 16:20:03 +08:00
aszerW	8c3ae2269a	feat: 新增 slope_r2_idm 和 slope_r2_ensemble 动量因子 - slope_r2_idm: slope_r2 × IDM(信息离散动量)，惩罚靠少数大涨日撑起来的假动量 - slope_r2_ensemble: 多窗口(63/126/252天) slope_r2 等权融合，捕捉不同周期趋势信号 - 新增 info_dispersal_momentum() 计算正收益天数占比 - 新增 slope_r2_idm_score() 和 slope_r2_ensemble_score() 因子函数 - ensemble 因子需要更长预加载窗口(504天)和计算窗口(252天) - crash filter 仍使用原始 n_days 窗口	2026-06-12 12:37:29 +08:00
aszerW	fe73c0f199	refactor(rotation): simplify crash filter and add min_hold_days support 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.	2026-06-09 22:53:52 +08:00

Author

SHA1

Message

Date

aszerW

1260d53254

data: 添加ETF基础数据CSV文件

包含1600+ ETF的基础信息：代码、名称、类型、规模、成交额、费率等
来源：Tushare API，通过 scripts/enrich_etf_data.py 生成

2026-06-22 16:20:03 +08:00

aszerW

8c3ae2269a

feat: 新增 slope_r2_idm 和 slope_r2_ensemble 动量因子

- slope_r2_idm: slope_r2 × IDM(信息离散动量)，惩罚靠少数大涨日撑起来的假动量
- slope_r2_ensemble: 多窗口(63/126/252天) slope_r2 等权融合，捕捉不同周期趋势信号
- 新增 info_dispersal_momentum() 计算正收益天数占比
- 新增 slope_r2_idm_score() 和 slope_r2_ensemble_score() 因子函数
- ensemble 因子需要更长预加载窗口(504天)和计算窗口(252天)
- crash filter 仍使用原始 n_days 窗口

2026-06-12 12:37:29 +08:00

aszerW

fe73c0f199

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

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.

2026-06-09 22:53:52 +08:00

3 Commits