asset_pools:
  assets:
    399006.SZ:
      description: 创业板指数
      group: A
      name: 创业板指
      signal_source: 399006.SZ
      trade_source: 159915.SZ
    931862.CSI:
      description: 中证0-9个月国债指数，久期<1年，防御配置
      group: BOND
      name: 短债指数
      signal_source: 931862.CSI
      trade_source: 931862.CSI
    CL=F:
      description: WTI原油期货（2000年至今）
      group: COMMODITY
      name: 原油
      signal_source: CL=F
      trade_source: 160723.SZ
    GC=F:
      description: COMEX黄金期货（2000年至今）
      group: COMMODITY
      name: 黄金
      signal_source: GC=F
      trade_source: 518880.SH
    GDAXI:
      description: 德国DAX指数
      group: EU
      name: 德国DAX
      signal_source: GDAXI
      trade_source: 513030.SH
    H30269.CSI:
      description: 红利低波指数
      group: A
      name: 中证红利低波
      signal_source: H30269.CSI
      trade_source: 512890.SH
    HG=F:
      description: COMEX铜期货（2000年至今）
      group: COMMODITY
      name: 有色金属
      signal_source: HG=F
      trade_source: 159980.SZ
    HSI:
      description: 恒生指数
      group: HK
      name: 恒生指数
      signal_source: HSI
      trade_source: 159920.SZ
    HSTECH.HK:
      description: 恒生科技指数
      group: HK
      name: 恒生科技
      signal_source: HSTECH.HK
      trade_source: 513130.SH
    N225:
      description: 日经225指数
      group: JP
      name: 日经225
      signal_source: N225
      trade_source: 513520.SH
    NDX:
      description: 纳斯达克100指数
      group: US
      name: 纳指100
      signal_source: NDX
      trade_source: 513100.SH
backtest:
  start_date: '2020-01-10'
benchmark:
  code: 000300.SH
  name: 沪深300
data:
  sources:
  - enabled: true
    timeout: 120
    type: flask_api
    url: ${FLASK_API_URL}
factor:
  n_days: 25
  type: slope_r2
metadata:
  description: 全球资产大类轮动策略 V2 - 复现 V1 结果
  last_updated: '2024-04-16'
  strategy: rotation
  version: 2.0.0
premium_control:
  default_threshold: 0.1
  enabled: false
  market_overrides:
    A:
      enabled: false
    COMMODITY:
      enabled: false
    HK:
      enabled: true
      threshold: 0.1
    US:
      enabled: true
      threshold: 0.1
  mode: filter
  penalty_factor: 0.5
rebalance:
  min_hold_days: 1
  score_threshold: 0.0
  trade_cost: 0.001
rotation:
  diversified: true
  select_num: 3
  weight: rank
  threshold:
    dynamic:
      fallback_enabled: true
      fallback_value: 0.0
      ratio: 1.0
      reference: 931862.CSI
    fixed_value: 0.0
    mode: dynamic