- config_loader.py: WeightType 枚举新增 KELLY - simple_rotation.py: compute_position_weights 新增 kelly 分支 - 公式: w_i = max(score_i, 0) / sum(max(score_j, 0)) - 负分自动排除 (Kelly: 不下注负期望) - 全负分时 fallback 到等权 - _generate_signals 传递 scores 给 kelly 模式 - config_simple.yaml: weight 改为 kelly - 新增策略总结文档: kelly_weight.md 回测对比 (2020-2026): - equal: 年化 19.88%, 夏普 1.13, 回撤 -14.65% - rank: 年化 22.90%, 夏普 1.12, 回撤 -16.27% - kelly: 年化 30.13%, 夏普 1.15, 回撤 -20.44%
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First stage summary documenting core strategy logic, key design decisions, and select_num/weight backtest comparison results. Stored in dedicated docs/strategy_summaries/ directory with date + commit hash naming for reproducibility.
