8c3ae2269a
feat: 新增 slope_r2_idm 和 slope_r2_ensemble 动量因子
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- 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
8b7bcf206a
feat(weight): 实现 Kelly 仓位权重模式
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- 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
4973a9a2a5
feat(rotation): componentize position weighting + fix bond threshold consistency
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- 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
921f84cb6a
feat: 新增 standardized_slope (t-statistic) 因子并实验验证
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- 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
b564a47a1b
feat: 新增slope_r2因子并切换为默认因子（年化19.84%, 夏普1.14）
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- 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
451ffa33d2
clean(rotation): add simple rotation strategy and remove unused files
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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
