3 Commits

Author	SHA1	Message	Date
aszerW	921f84cb6a	feat: 新增 standardized_slope (t-statistic) 因子并实验验证 ... - simple_rotation.py: 新增 standardized_slope_score 函数 (slope/SE) - config_loader.py: FactorType 枚举新增 STANDARDIZED_SLOPE - 对比实验结果: standardized_slope 年化 13.73% vs slope_r2 19.84% - 结论: t-statistic 过度惩罚高波动资产的有效趋势信号，不适合本场景 - 文档更新: 动量因子对比调研报告新增 3.3 节详细分析	2026-06-06 16:40:01 +08:00
aszerW	b564a47a1b	feat: 新增slope_r2因子并切换为默认因子（年化19.84%, 夏普1.14） ... - simple_rotation.py: 新增3种score函数（vol_adjusted_momentum, slope_r2, momentum） - config_loader.py: FactorType枚举新增VOL_ADJUSTED_MOMENTUM - config_simple.yaml: factor.type 切换为 slope_r2 - experiments/factor_comparison.py: 4种因子对比实验脚本 - experiments/output: 实验结果（slope_r2全面胜出）	2026-06-06 15:49:22 +08:00
aszerW	451ffa33d2	clean(rotation): add simple rotation strategy and remove unused files ... New: - rotation/simple_rotation.py: daily-iteration rotation strategy (584 lines) - rotation/config_loader.py: standalone config loader - rotation/config_simple.yaml: 11 assets, 7 groups - rotation/README_SIMPLE.md: usage guide - scripts/get_trading_calendar.py: trading calendar fetcher Removed: - rotation/example_usage.py, run_strategy.py (replaced by simple_rotation.py) - rotation/results/ output files (gitignored) - scripts/verify_*.py, calculate_returns_from_detail.py (one-off scripts) - scripts/README_TRADING_CALENDAR.md Backtest result (2020-01-10 ~ 2026-06-01): - Total return: 1237.6%, Annual: 52.66% - Max drawdown: -11.71%, Sharpe: 2.50	2026-06-01 22:28:26 +08:00