# ETF轮动策略改进版回测分析报告

## 策略改进说明

### 本次修改内容

本报告展示添加**空仓机制**和**大类冠军二次过滤**后的策略表现。

#### 核心改进

| 改进项 | 原逻辑 | 新逻辑 | 效果 |
|--------|--------|--------|------|
| **空仓机制** | target为空时继续持有current_held（持仓惯性） | target为空时设置`current_held=''`清仓 | 避免负动量期间的持仓惯性亏损 |
| **大类冠军二次过滤** | 每大类选Top1后直接跨类排序 | 大类冠军必须>=min_score才入选，得分不足跳过 | 组合中每个标的动量都达标 |
| **min_score配置化** | 固定值0.0 | 从config.yaml读取，可动态调整 | 支持策略参数调优 |

#### 代码修改

1. **selectors.py** - `_apply_rebalance_control`函数：
   - 添加else分支处理target为空的情况
   - 设置`current_held=''`触发清仓

2. **selectors.py** - `_grouped_selection`函数：
   - 大类冠军得分不足时跳过该大类
   - 持仓数量动态调整（最多select_num，最少0）

3. **strategy.py** - min_score参数：
   - 从配置文件读取，支持动态调整

4. **config.yaml** - 新增参数：
   - `min_score: 0.0`（过滤负动量标的）

---

## 版本对比分析

### 总体指标对比

| 指标 | 原版（无空仓机制） | 改进版（空仓+二次过滤） | 改善幅度 |
|------|-------------------|----------------------|---------|
| **累计收益** | 11872.2% | **14580.5%** | +2708.3% (+22.9%) |
| **年化收益** | 23.2% | **25.2%** | +2.0% |
| **最大回撤** | -71.9% | **-61.1%** | +10.8% (回撤减少) |
| **空仓天数** | 4天 (0.05%) | **131天 (1.6%)** | +127天 |
| **回测区间** | 2000-01 ~ 2026-05 | 2000-01 ~ 2026-05 | 相同 |

### 关键年份对比

| 年份 | 原版年收益 | 改进版年收益 | 改善幅度 | 原版空仓 | 改进版空仓 |
|------|-----------|-------------|---------|---------|-----------|
| 2000 | -26.0% | **-8.3%** | +17.7% | 0天 | **77天 (24.8%)** |
| 2001 | -48.7% | **-41.1%** | +7.6% | 0天 | **31天 (9.9%)** |
| 2002 | -10.5% | **3.0%** | +13.5% | 0天 | **10天 (3.2%)** |
| 2008 | -36.2% | **-22.5%** | +13.7% | 0天 | 0天 |
| 2007 | 136.7% | **132.8%** | -3.9% | 0天 | 3天 |

### 决策说明

**min_score设置为0.0**，原因：
- 阈值选择比较"trick"，难以确定最优值
- min_score=0.02虽能改善2001年回撤，但2000年恶化（空仓过多错过机会）
- 保持简单稳健的策略更好，避免过度优化
- 空仓机制已能有效改善回撤（-71.9% → -61.1%）

---

## 回测概况（改进版）

| 指标 | 值 |
|------|-----|
| **回测区间** | 2000-01-06 ~ 2026-05-15 |
| **总天数** | 8109天（22.2年） |
| **累计收益** | 14580.46% |
| **年化收益** | 25.2% |
| **最大回撤** | -61.1% |
| **月胜率** | 63.0%（199正/117负） |
| **空仓天数** | 131天（1.6%） |

---

## 年度收益汇总

| 年份 | 年收益率 | 正月数 | 负月数 | 月均收益 |
|------|---------|--------|--------|---------|
| 2000 | -8.3% | 5 | 6 | -0.7% |
| 2001 | **-41.1%** | 3 | 8 | -3.4% |
| 2002 | 3.0% | 5 | 6 | 0.2% |
| 2003 | 33.3% | 7 | 5 | 1.6% |
| 2004 | 45.8% | 8 | 4 | 2.4% |
| 2005 | 12.8% | 6 | 5 | 1.1% |
| 2006 | 29.9% | 7 | 3 | 2.5% |
| 2007 | **132.8%** | 10 | 1 | 11.1% |
| 2008 | **-22.5%** | 7 | 5 | -1.5% |
| 2009 | **70.3%** | 10 | 2 | 4.6% |
| 2010 | 12.3% | 7 | 5 | 0.9% |
| 2011 | 18.3% | 6 | 6 | 1.4% |
| 2012 | 27.3% | 6 | 6 | 1.6% |
| 2013 | 46.6% | 8 | 4 | 3.1% |
| 2014 | 15.8% | 9 | 3 | 1.3% |
| 2015 | 5.9% | 7 | 5 | 0.8% |
| 2016 | 5.7% | 8 | 4 | 0.6% |
| 2017 | 6.2% | 7 | 5 | 0.4% |
| 2018 | -6.7% | 5 | 7 | -0.8% |
| 2019 | 38.9% | 10 | 2 | 2.6% |
| 2020 | 27.6% | 7 | 5 | 2.8% |
| 2021 | 20.4% | 7 | 5 | 1.5% |
| 2022 | 27.7% | 9 | 3 | 1.9% |
| 2023 | 9.8% | 7 | 5 | 0.6% |
| 2024 | **82.1%** | 5 | 7 | 4.8% |
| 2025 | 35.5% | 8 | 4 | 2.9% |
| 2026* | 18.1% | 4 | 1 | 3.9% |

> *2026年数据截止5月15日

---

## 月度收益详细表格（2000-2026）

| 年份 | 年收益 | 1月 | 2月 | 3月 | 4月 | 5月 | 6月 | 7月 | 8月 | 9月 | 10月 | 11月 | 12月 |
|------|--------|-----|-----|-----|-----|-----|-----|-----|-----|-----|------|------|------|
| 2000 | -8.3% | 3.8% | -1.9% | 8.6% | -8.4% | 7.7% | -1.6% | -2.5% | 3.7% | **-15.1%** | 3.7% | **-13.1%** | 3.7% |
| 2001 | **-41.1%** | 5.5% | **-18.0%** | **-18.2%** | 5.3% | -9.8% | -4.7% | 0.1% | -8.1% | -4.3% | -6.0% | 11.8% | -3.0% |
| 2002 | 3.0% | -1.9% | 5.5% | 11.4% | **-13.8%** | -2.2% | -6.4% | 6.6% | -1.4% | 0.8% | -4.8% | 7.4% | -0.2% |
| 2003 | 33.3% | -5.9% | -1.5% | **-11.6%** | 8.2% | 10.6% | 3.7% | 3.2% | 3.3% | -2.0% | 3.3% | -0.7% | 8.4% |
| 2004 | 45.8% | 6.2% | 10.5% | -1.1% | -3.8% | 4.0% | -1.4% | 3.3% | 5.1% | 0.8% | 1.2% | 7.2% | -2.6% |
| 2005 | 12.8% | -4.3% | 2.2% | 3.4% | -4.2% | -2.3% | 2.9% | 4.6% | 1.1% | -4.6% | -4.2% | 12.9% | 2.5% |
| 2006 | 29.9% | 4.2% | -6.8% | 3.0% | 17.7% | 7.0% | -1.7% | -5.8% | 2.4% | 1.9% | 3.7% | -0.8% | 3.2% |
| 2007 | **132.8%** | 10.3% | 7.5% | 11.9% | 15.7% | 11.5% | 1.9% | 8.0% | 9.7% | 3.0% | 8.7% | -5.3% | 7.9% |
| 2008 | **-22.5%** | -2.0% | 2.4% | -8.1% | 4.6% | 3.2% | 1.5% | -4.6% | -9.0% | 1.5% | **-15.8%** | 3.9% | 4.8% |
| 2009 | **70.3%** | -5.0% | 0.3% | 7.0% | 13.0% | 19.5% | 1.0% | 6.5% | 4.0% | 3.0% | 1.0% | 6.6% | -1.7% |
| 2010 | 12.3% | -8.5% | 0.6% | 5.9% | -3.1% | -1.7% | -1.0% | 6.0% | 2.3% | 4.9% | 4.8% | 0.7% | -0.2% |
| 2011 | 18.3% | -0.6% | -1.1% | 1.5% | 7.3% | -3.2% | 1.2% | 4.3% | 4.6% | -6.3% | 13.0% | -3.1% | -0.9% |
| 2012 | 27.3% | 3.9% | 5.4% | 3.4% | -3.5% | -6.5% | -0.7% | -0.5% | 6.3% | 7.6% | -0.1% | -0.5% | 4.6% |
| 2013 | 46.6% | 12.2% | -1.2% | 2.0% | 0.2% | 12.9% | -0.6% | 8.6% | -3.5% | 0.8% | 4.5% | 4.2% | -2.5% |
| 2014 | 15.8% | 1.2% | 3.6% | -4.7% | -5.2% | 5.7% | 2.7% | 1.2% | 1.9% | 2.8% | -1.7% | 5.0% | 2.6% |
| 2015 | 5.9% | 0.6% | 7.1% | 11.1% | 11.3% | 4.2% | **-13.3%** | -1.3% | -8.2% | -6.8% | 8.9% | 3.2% | -6.6% |
| 2016 | 5.7% | -6.5% | 0.6% | 6.8% | -4.3% | 0.2% | -5.7% | 1.9% | 2.2% | 1.1% | -3.4% | 10.8% | 4.0% |
| 2017 | 6.2% | -0.0% | 0.9% | -0.1% | -3.7% | 0.1% | -1.9% | 2.5% | 0.7% | 0.2% | 3.0% | 4.3% | -1.0% |
| 2018 | -6.7% | 8.4% | **-10.0%** | -0.2% | 0.4% | 0.4% | -2.0% | -2.5% | 2.4% | 5.2% | -5.2% | -2.7% | -4.3% |
| 2019 | 38.9% | 9.3% | 4.4% | 3.8% | 4.2% | -1.8% | 3.5% | 1.3% | 0.8% | 0.1% | 4.0% | -0.3% | 2.0% |
| 2020 | 27.6% | -3.6% | -2.8% | -6.8% | 12.7% | 9.1% | 6.5% | 8.6% | 0.7% | -3.3% | -2.4% | 6.9% | 7.5% |
| 2021 | 20.4% | 3.4% | 1.2% | -1.0% | 8.7% | 4.4% | 4.1% | -3.3% | 3.5% | -1.3% | 6.3% | -5.5% | -2.1% |
| 2022 | 27.7% | 4.5% | 4.9% | 3.9% | -6.1% | 6.2% | 9.7% | 2.3% | -3.1% | 2.1% | -9.6% | 7.3% | 0.7% |
| 2023 | 9.8% | 12.2% | -5.9% | 0.6% | -2.0% | 7.2% | 0.9% | 6.2% | -5.4% | 0.2% | -4.8% | -2.4% | 0.6% |
| 2024 | **82.1%** | -0.5% | 8.0% | -0.6% | -1.2% | 2.3% | -0.7% | -5.0% | 2.3% | **28.5%** | **30.3%** | -5.3% | -0.0% |
| 2025 | 35.5% | 4.4% | 10.1% | 1.6% | -0.3% | 5.6% | 6.6% | -6.5% | 15.7% | 13.2% | -9.1% | -7.0% | 0.9% |
| 2026 | 18.1% | -0.2% | 1.7% | 7.3% | 4.8% | 5.3% | - | - | - | - | - | - | - |

> 注：**粗体** 标注年收益超过50%或跌幅超过20%、月度跌幅超过10%或涨幅超过20%

---

## 空仓天数统计

### 总体空仓情况

| 指标 | 原版 | 改进版 |
|------|------|--------|
| 空仓总天数 | 4天 | **131天** |
| 空仓占比 | 0.05% | **1.6%** |

### 各年度空仓天数

| 年份 | 空仓天数 | 占比 |
|------|---------|------|
| 2000 | **77天** | **24.8%** |
| 2001 | **31天** | **9.9%** |
| 2002 | 10天 | 3.2% |
| 2003-2026 | 0天 | 0.0% |

> 空仓集中在2000-2002年，主要因为互联网泡沫期间股票标的动量普遍为负

---

## 策略特点总结

### 优势
1. **长期收益稳定**：年化25.2%，26年周期
2. **分散配置**：跨市场、跨资产类别
3. **动量信号有效**：牛市捕捉上涨趋势
4. **空仓机制**：负动量期间自动清仓，避免持仓惯性亏损
5. **大类冠军过滤**：组合中每个标的动量达标，不强制持有弱正动量标的

### 弱点
1. **系统性风险暴露**：全球股灾时难以完全规避
2. **早期数据限制**：2000-2005年标的池不足
3. **2001年回撤仍较大**：-41.1%，短期动量陷阱问题未完全解决

---

## 数据文件

- 月度收益详细数据: `results/rotation_improved_monthly_returns.csv`
- 净值曲线: `results/rotation_improved_nav.csv`
- 调仓信号: `results/rotation_improved_signals.csv`

---

## Git提交记录

```
a475e1b feat(strategy): 分组选股增强-大类冠军二次过滤确保组合动量达标
```

修改文件：
- `strategies/shared/signals/selectors.py`
- `strategies/rotation/strategy.py`
- `strategies/rotation/config.yaml`