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Author SHA1 Message Date
aszerW
d657f8506b docs: add execution delay impact experiment (008) 2026-06-15 18:51:13 +08:00
aszerW
6e7087a543 docs: 添加实验007动量因子回看窗口优化研究 
- 研究多周期融合(ensemble)对策略表现的影响
- 结论：多窗口融合不适用于本策略，维持25天单窗口
 2026-06-12 12:37:38 +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
49b623931b chore: 更新SSH隧道脚本密钥路径并提交私钥文件 2026-06-11 22:06:21 +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
aszerW
e2038ae722 chore: 修复 .env 注释格式 & 代码格式化 
- .env: 第10行添加 # 注释前缀，修复 source .env 命令报错
- simple_rotation.py: is_crash 判断后添加空行，提升可读性

回测结果 (2020-01-10 ~ 2026-06-09):
- 总收益: 241.73% | 年化: 22.10%
- 最大回撤: -16.27% | Sharpe: 1.09
- 调仓次数: 393
 2026-06-09 00:39:27 +08:00
aszerW
5c4aeb75d2 fix(scheduler): 修复setup_schedule未传递no_detail/no_report参数的问题 
setup_schedule() 在定时模式下未将 --no-detail 和 --no-report 参数传递给 daily_task，导致定时任务始终生成 detail JSON
 2026-06-09 00:07:01 +08:00
aszerW
710f3d9d68 chore(config): 启用钉钉机器人群2配置 2026-06-08 23:43:20 +08:00
aszerW
0c19e45300 chore(config): 恢复 weight 为 rank 模式 2026-06-08 23:07:37 +08:00
aszerW
e4bb570e5f docs: 更新 kelly 文档 commit hash 2026-06-08 23:05:39 +08:00
aszerW
8b7bcf206a feat(weight): 实现 Kelly 仓位权重模式 
- 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%
 2026-06-08 23:05:26 +08:00
aszerW
844e609ff7 refactor(notify): 将通知模块从归档移至正式位置 
- 将 notify.py 和 oss_utils.py 从 archive/legacy_core 移至 core/common/
- 内联钉钉配置读取函数，移除对 config.settings 的依赖
- 删除 config/ 目录（settings.py 不再需要）
- daily_scheduler.py 移除归档路径的 sys.path hack
- 新增 --no-detail 和 --no-report 命令行参数控制导出
- 全标的排名表新增退场日期和退场价格列
 2026-06-08 22:34:03 +08:00
aszerW
c32ce72579 fix(report): 修复报告生成中盈亏显示缺失的多个bug 
- 修复 market_opened 检测中 df 变量名冲突导致 KeyError: holdings
- 维持仓位盈亏使用最近可用收盘价计算（不再依赖市场是否开盘）
- 调出标的盈亏：市场已开盘用当天开盘价，未开盘用前日收盘价
- 新调入标的在市场未开盘时正确显示待开盘状态（进场日期/盈亏为空）
 2026-06-08 08:35:31 +08:00
aszerW
4736b64eca feat(report): 全标的排名表新增进场日期列 
在状态和持有天数之间插入进场日期列，显示持仓标的的连续持仓起始日期（YYYY-MM-DD格式），调出/未入选标的显示—
 2026-06-08 00:55:59 +08:00
aszerW
d5f35c0273 feat(report): 新增月度收益矩阵热力图面板 
在策略绩效对比表下方新增 Panel 2 月度收益矩阵：
- 行：年份（2020~2026），列：1月~12月 + 年度累计
- 单元格显示月度收益率百分比
- 红涨绿跌配色（A股习惯），sqrt非线性映射增强小收益可见性
- 年度列使用几何连乘计算全年累计收益
- 无数据单元格浅灰显示
 2026-06-08 00:43:54 +08:00
aszerW
13c69c2a0b feat(report): 全标的动量排名表替代原调仓信号表 
Panel 0 从仅展示持仓调仓扩展为全标的排名表：
- 新增未入选标的行，按动量降序展示
- 新增排名、市场两列
- 表格按调入→维持→调出→未入选顺序排列
- 调出标的也展示真实得分（便于分析调出原因）
- 标题显示当前动态阈值
- 未入选标的浅灰背景区分
 2026-06-08 00:12:17 +08:00
aszerW
6a5ae8efbf fix: generate_report now uses actual position_weights from daily_records 
Previously hardcoded equal weight (1/select_num), ignoring config weight type.
Now reads position_weights from last daily_record, correctly showing rank-based weights.
 2026-06-07 23:29:27 +08:00
aszerW
d898ba0fd5 Revert "feat: add HTML report screenshot generation via Playwright" 
This reverts commit f370caeff9.
 2026-06-07 23:12:21 +08:00
aszerW
f370caeff9 feat: add HTML report screenshot generation via Playwright 
- Add html_report.py module for Playwright-based screenshot generation
- Add generate_html_report() method to SimpleRotationStrategy
- Modify backtest_viewer.html to use window-scoped variables for external injection
- Inject monthly/yearly returns table into screenshot
- Auto-generate HTML report in __main__ after export_results()

Output: simple_rotation_html_report.png with ranking table + monthly returns
 2026-06-07 22:43:12 +08:00
aszerW
06df8767b9 docs: add select_num=1 strategy deep analysis report 
- Asset contribution attribution (CL=F 59.1%, N225 -11.8%)
- IC analysis across lookback periods (only CL=F and ChiNext have robust positive IC)
- Hurst exponent analysis and asset classification
- Multi-factor direction recommendations
 2026-06-07 12:26:13 +08:00
aszerW
7b229ced14 docs: add strategy summary snapshot (2026-06-06, ca933e4) 
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.
 2026-06-06 23:59:41 +08:00
aszerW
ca933e43e4 fix: lock position weights on rebalance only, not daily ranking changes 
Previously, position weights were recalculated every day in _generate_signals,
causing weights to change even when holdings didn't change (only ranking order
shifted). This was incorrect - weights should be locked at rebalance and remain
stable until the next rebalance.

Changes:
- _generate_signals now computes _pending_weights (for signal generation only)
- run() maintains active_weights, updated only on is_rebalance or first day
- _calculate_daily_return uses the locked active_weights
- daily_records stores active_weights in position_weights field

Result: 391 → 318 rebalances, 25.63% → 26.38% CAGR
 2026-06-06 23:16:51 +08:00
aszerW
8d8fd71149 feat(viewer): sort holdings cards by position weight descending 
Display largest position first in the holdings panel for better readability
 2026-06-06 22:48:40 +08:00
aszerW
4d9e12886f chore: remove *.html from gitignore to track all HTML files 2026-06-06 22:43:08 +08:00
aszerW
eb3c82f05b feat(rotation): add position weight to detail JSON and viewer 
- Record position_weights in daily_records during backtest run
- Export weight field per held asset in detail JSON
- Display weight percentage in backtest_viewer holdings cards
- Force-add backtest_viewer.html (previously ignored by *.html rule)
 2026-06-06 22:39:23 +08:00
aszerW
4973a9a2a5 feat(rotation): componentize position weighting + fix bond threshold consistency 
- Extract compute_position_weights() as pluggable pure function
- Add WeightType enum (equal/rank) and RotationConfig.weight field
- Fix bond threshold dimension mismatch: use configured factor function
  for all assets instead of hardcoded weighted_momentum_score
- Default weight: equal in config, active: rank in config_simple.yaml
 2026-06-06 22:28:08 +08:00
aszerW
44588d5026 refactor(rotation): clean up experimental factor code 
Remove slope_snr, slope_snr_r2, james_stein score functions and r2_alpha parameter.
slope_r2_score reverts to simple slope*R² with no alpha parameter.
Minor docstring fix: R^2 → R².
 2026-06-06 18:45:11 +08:00
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
aff04318b1 chore: 动量因子对比调研报告移至 docs 目录 2026-06-06 16:19:10 +08:00
aszerW
40853745c6 docs: 添加动量因子对比调研报告 
包含4种因子公式对比、回测结果、slope_r2胜出原因分析、
业界学界方法调研（TSMOM/Baltas&Kosowski/AQR）、
负价格处理机制分析及改进建议
 2026-06-06 16:16:42 +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
04b858ff09 feat: 添加ETF轮动策略诊断分析实验 
新增6维度策略诊断实验脚本和报告:
- task1: 信号产生分析 (调仓频率、无效调仓率)
- task2: 收益计算分析 (T+1执行偏差、溢价问题)
- task3: 调仓逻辑分析 (最小持仓期模拟)
- task4: 资金管理分析 (止损、波动率适配)
- task5: 收益归因分析 (集中度、静态vs轮动)
- task6: 回撤诊断分析 (最大回撤复盘、尾部风险)

输出报告:
- diagnosis_report.md: 完整策略诊断报告
- rebalancing_optimization_experiment.md: 调仓频率优化实验报告

实验结论:
- 发现调仓过于频繁 (405次/1549天)
- No-Trade Region方案可提升年化3%、夏普0.11
- 但改善幅度有限，信号质量是根本瓶颈
 2026-06-06 15:00:28 +08:00
aszerW
f3ba6eb799 docs: add momentum time window research report 2026-06-03 23:56:05 +08:00
aszerW
55e4cbf108 refactor(archive): move reports/ to archive/reports/ 2026-06-03 23:43:31 +08:00
aszerW
c905230a40 refactor(archive): move unused modules to archive/ 
Archive legacy framework and utility modules that are no longer
referenced by the active core (datasource/ and rotation/):

- framework/ -> archive/framework/
- framework_v2/ -> archive/framework_v2/
- strategies/ -> archive/strategies/
- config/ -> archive/config/
- visualization/ -> archive/visualization/
- scripts/ -> archive/scripts/
- tests/ -> archive/tests/
- run_rotation.py, run_us_rotation.py -> archive/single_files/
- compare_*.py, test_api_dates.py -> archive/single_files/
 2026-06-03 23:41:46 +08:00
aszerW
d700bc1dfd fix(rotation): 回测导出JSON序列化NaN/Inf清洗 
- simple_rotation.py: 新增 _sanitize_json() 递归替换 NaN/Inf 为 None，
  确保 json.dump 生成合法 JSON（避免前端解析失败）
- .env: 注释掉群2钉钉配置（暂不使用）
 2026-06-03 09:14:53 +08:00
aszerW
4f9e0231bd fix(datasource): yfinance时区标准化与NaN过滤修复 
- yfinance_source.py: 用 tz_localize(None) 替代 pd.to_datetime(utc=True)，
  避免亚洲/欧洲市场因UTC转换导致日期回退一天（如日经225 5/25→5/24）
- yfinance_source.py: 新增 _normalize_index() 静态方法统一处理时区剥除
- yfinance_source.py: fetch() 增加 close=NaN 行过滤（yfinance未收盘日返回不完整数据）
- flask_api_source.py: 客户端同步增加 close=NaN 过滤防御

验证结果：N225 5/25-6/3 返回7个交易日数据，日期无偏移
 2026-06-03 09:14:39 +08:00
aszerW
972bbbe706 fix(rotation): signal_date改用日历日前一天以捕获外盘假期数据 
- 将 signal_date = trading_calendar[i-1] 改为 date - timedelta(days=1)
- 解决A股长假期间美股继续交易但动量计算丢失外盘数据的问题
- 同步修复 export_results 中的 signal_date 映射逻辑
 2026-06-03 01:25:09 +08:00
aszerW
524fa5f513 refactor(rotation): 移除数据缓存 + 修复空值和pct_change警告 
- 移除CSV本地缓存（cache_dir、_cache_path、_premium_cache_path、_save_premium_cache）
- 每次运行直接从API获取数据，简化DataCache类
- 修复_get_etf_prices中open/close为None时的空值处理（中证指数API不提供OHLC）
- 修复pct_change的FutureWarning（显式传fill_method=None）
- 更新trade_cost注释
 2026-06-03 00:54:48 +08:00
aszerW
d1139a9ee9 fix(http): 用requests+trust_env=False修复SSL EOF问题 
根因：Clash代理(127.0.0.1:7890)在处理TLS 1.3+后量子密钥交换时
不兼容，导致SSL EOF错误。requests默认trust_env=True会读取系统
代理配置，通过代理转发HTTPS请求时触发问题。

修复：使用requests.Session(trust_env=False)绕过系统代理，
直连目标服务器。无需降级urllib3版本。

影响文件：
- rotation/simple_rotation.py
- datasource/flask_api_source.py
 2026-06-03 00:35:49 +08:00
aszerW
a2b4289080 revert(http): 改回串行数据获取 
回退并行获取逻辑，恢复简单的串行循环：
- 移除 ThreadPoolExecutor 并行代码
- 移除 concurrent.futures 导入
- 保持简单的 for 循环串行获取
 2026-06-03 00:09:29 +08:00
aszerW
e29f57749d perf(http): 并行获取数据加速数据加载 
使用 ThreadPoolExecutor 并行获取多个标的的数据：
- 信号源 (index): 11个标的并行获取
- 交易源 (ETF): 4个标的并行获取
- 溢价率数据: 4个标的并行获取

性能提升：5个标的从 ~15s 串行 → ~4.6s 并行（约 3x 加速）

修改：
- 增大 urllib3 连接池 maxsize=16 支持并行连接
- 使用 concurrent.futures.ThreadPoolExecutor
 2026-06-02 22:29:59 +08:00
aszerW
81045f9d85 fix(http): 用urllib3替代requests修复SSL EOF错误 
问题根因：
- Python OpenSSL 3.5.4 + requests 2.32.4 + urllib3 2.5.0 版本不兼容
- requests 2.32.4 内部使用 urllib3 的方式与 urllib3 2.5.0 API 不兼容
- curl（SecureTransport）正常工作，但 Python requests（OpenSSL）失败
- 服务器（Caddy）使用 TLS 1.3 + X25519MLKEM768（后量子密钥交换）

修复方案：
- 用 urllib3.PoolManager 直接发起 HTTP 请求（已验证可正常工作）
- 封装 _http_get() 函数替代 requests.get()
- 替换所有 requests 相关异常类型为 urllib3 异常

修改文件：
- datasource/flask_api_source.py: 核心数据源层
- rotation/simple_rotation.py: 简单轮动策略层
 2026-06-02 22:22:36 +08:00
aszerW
74f0eebef0 docs(experiment): add 1-day holding deep attribution analysis (006) 
- Rank decline: 70.3% (45/64), mostly rank=3 entry → rank=4/5 exit
- Threshold breach: 25.0% (16/64), all actual momentum drops
- 38% cases: own momentum rises but outranked by others
- N225/GDAXI highest 1-day rate (22-26%), A-shares lowest (3-6%)
- Optimization: min holding period, confidence filter, rank smoothing
 2026-06-02 21:41:34 +08:00
aszerW
361b82fa4a docs(experiment): add holding duration distribution analysis (006) 
- Analyze holding period distribution from simple_rotation_detail.json
- 391 complete holding episodes across 11 assets
- Median holding: 7 days, mean: 10.9 days
- 75% of holdings within 16 days, 16.4% are 1-day switches
- NDX has longest avg holding (17.4d), HSI shortest (6.5d)
- Insight: consider minimum holding period to reduce noise trades
 2026-06-02 21:36:46 +08:00
aszerW
a47af0f0eb docs(experiment): add select_num A/B/C comparison report (005) 
- Experiment: select_num = 1, 2, 3 comparison
- Period: 2020-01-10 ~ 2026-06-02 (1546 trading days)
- Key findings:
  - Top-1: highest return (600%), highest drawdown (-25.5%)
  - Top-3: best risk-adjusted return (Calmar 1.73, Sharpe 1.35)
  - Top-2: balanced middle ground (Calmar 1.69)
- Add rotation/experiment_select_num.py experiment script
- Save report to docs/experiments/005_select_num_comparison.md
 2026-06-02 01:32:43 +08:00
aszerW
07d6f1451c fix(rotation): raise RuntimeError on held asset data failure 
- Add data integrity check: if any currently held asset is missing
  from factors, raise RuntimeError immediately to prevent false rebalance
- Previously missing data would silently cause incorrect sell signals
- Now fails fast with clear error message identifying the missing assets
  and the date of failure
 2026-06-02 01:16:44 +08:00
aszerW
4791d3cf40 refactor(scheduler): move daily_scheduler.py to rotation/ and add simple_rotation support 
- Move scripts/daily_scheduler.py -> rotation/daily_scheduler.py
- Add run_simple_rotation() to execute simple_rotation.py via subprocess
- Add --strategy flag (simple/legacy/all) for flexible strategy selection
- Add --simple-config flag for custom simple rotation config path
- Update Dockerfile and docker-compose.yml path references
- Add configurable title to send_report_to_dingtalk()
 2026-06-02 01:16:34 +08:00
aszerW
5e11b6b690 fix(rotation): 溢价率缓存增加增量更新逻辑 
- preload_premium: 检查缓存日期范围，不足时增量拉取
- 新增 _fetch_premium_api: 拉取并合并新溢价率数据
- 调用时传入 end_date 触发增量检查

修复前: premium CSV存在即返回旧数据，明天9点运行时拿不到最新
修复后: 检测 latest_cached < end_date 时自动拉取增量
 2026-06-01 23:56:18 +08:00
aszerW
19f1c63981 fix(rotation): 修复溢价率计算，改用Flask API真实premium_series数据 
- _fetch_api: 提取premium_series并存入df.attrs和CSV缓存
- DataCache: 新增premium_data字典、preload_premium方法
- preload_premium: 无缓存时主动请求API获取全量历史溢价率
- _preload_data: 加载ETF后同步调用preload_premium
- _compute_premium(trade_code, date): 从内存缓存按日期查找真实溢价率
- 新增trade_code_to_group映射，确保BOND资产正确识别

修复前: 溢价率 = (ETF价格 - 指数点位) / 指数点位 → -99.9%
修复后: 使用API返回的(ETF价格 - NAV) / NAV → 合理范围
 2026-06-01 23:31:36 +08:00