e29f57749d
perf(http): 并行获取数据加速数据加载
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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
81045f9d85
fix(http): 用urllib3替代requests修复SSL EOF错误
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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
a47af0f0eb
docs(experiment): add select_num A/B/C comparison report (005)
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- 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
07d6f1451c
fix(rotation): raise RuntimeError on held asset data failure
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- 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
4791d3cf40
refactor(scheduler): move daily_scheduler.py to rotation/ and add simple_rotation support
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- 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
5e11b6b690
fix(rotation): 溢价率缓存增加增量更新逻辑
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- 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
19f1c63981
fix(rotation): 修复溢价率计算，改用Flask API真实premium_series数据
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- _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
6d0b928894
fix(rotation): 消除前视偏差 + V2兼容detail导出
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时序对齐修复:
- 信号生成改用 T-1 收盘数据（9AM信号时T日未开盘）
- entry_price_etf 改用 T 日 open（实际买入价）
- 年化收益: 52.66% → 25.12%（去除约4倍虚高）
V2兼容detail JSON:
- _generate_signals 返回 (holdings, factors, bond_momentum)
- 6个helper方法: build_meta_codes, get_index/etf_close, daily_returns, premium, day_assets
- 每日11资产×16字段完整记录（momentum/rank/holding_days/cum_return等）
- export_results 同步修复 entry_info 时序逻辑
Backtest (2020-01-10 ~ 2026-06-01, 1545天):
- 总收益 295.14%, 年化 25.12%
- 最大回撤 -14.74%, 夏普 1.33, 卡尔马 1.70
2026-06-01 23:13:43 +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
