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
      etf_pool: [159915.SZ, 159952.SZ, 159957.SZ, 159948.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
      etf_pool: [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
      etf_pool: [160723.SZ, 501018.SH, 161129.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
      etf_pool: [518880.SH, 159937.SZ, 159934.SZ, 518800.SH]
    GDAXI:
      description: 德国DAX指数
      group: EU
      name: 德国DAX
      signal_source: GDAXI
      trade_source: 513030.SH
      etf_pool: [159561.SZ, 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
      etf_pool: [512890.SH, 563020.SH, 159547.SZ, 560150.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
      etf_pool: [159980.SZ]
    HSI:
      description: 恒生指数
      group: HK
      name: 恒生指数
      signal_source: HSI
      trade_source: 159920.SZ
      etf_pool: [159920.SZ, 513600.SH, 159271.SZ, 513210.SH]
    HSTECH.HK:
      description: 恒生科技指数
      group: HK
      name: 恒生科技
      signal_source: HSTECH.HK
      trade_source: 513130.SH
      etf_pool: [513180.SH, 513130.SH, 513010.SH, 159740.SZ]
    N225:
      description: 日经225指数
      group: JP
      name: 日经225
      signal_source: N225
      trade_source: 513520.SH
      etf_pool: [513880.SH, 513520.SH, 513000.SH, 159866.SZ]
    NDX:
      description: 纳斯达克100指数
      group: US
      name: 纳指100
      signal_source: NDX
      trade_source: 513100.SH
      etf_pool: [159941.SZ, 513100.SH, 513300.SH, 159501.SZ]
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
  etf_max_weight: 0.25
  threshold:
    dynamic:
      fallback_enabled: true
      fallback_value: 0.0
      ratio: 1.0
      reference: 931862.CSI
    fixed_value: 0.0
    mode: dynamic