# ETF轮动策略配置（V2 框架）
# 
# 配置版本: 2.0.0
# 最后更新: 2024-04-16
# 策略名称: rotation
# 描述: 全球资产大类轮动策略 - 复现 V1 结果

# ============================================================
# 元数据
# ============================================================
metadata:
  version: "2.0.0"
  strategy: "rotation"
  description: "全球资产大类轮动策略 V2 - 复现 V1 结果"
  last_updated: "2024-04-16"

# ============================================================
# 资产池配置（扁平化设计：严格对齐 V1 config.yaml）
# ============================================================
asset_pools:
  assets:
    # 中国A股指数
    "399006.SZ":
      name: "创业板指"
      group: "CN_GROWTH"
      signal_source: "399006.SZ"
      trade_source: "159915.SZ"
      description: "创业板指数"
    
    "H30269.CSI":
      name: "中证红利低波"
      group: "CN_VALUE"
      signal_source: "H30269.CSI"
      trade_source: "512890.SH"
      description: "红利低波指数"
    
    # 全球市场
    "NDX":
      name: "纳指100"
      group: "US_TECH"
      signal_source: "NDX"
      trade_source: "513100.SH"
      description: "纳斯达克100指数"
    
    "N225":
      name: "日经225"
      group: "JP_BROAD"
      signal_source: "N225"
      trade_source: "513520.SH"
      description: "日经225指数"
    
    "GDAXI":
      name: "德国DAX"
      group: "EU_BROAD"
      signal_source: "GDAXI"
      trade_source: "513030.SH"
      description: "德国DAX指数"
    
    "HSI":
      name: "恒生指数"
      group: "HK_BROAD"
      signal_source: "HSI"
      trade_source: "159920.SZ"
      description: "恒生指数"
    
    "HSTECH.HK":
      name: "恒生科技"
      group: "HK_TECH"
      signal_source: "HSTECH.HK"
      trade_source: "513130.SH"
      description: "恒生科技指数"
    
    # 商品（使用 COMEX/WTI 期货替代上期所主力合约，数据更长）
    "GC=F":
      name: "黄金"
      group: "COMMODITY"
      signal_source: "GC=F"
      trade_source: "518880.SH"
      description: "COMEX黄金期货（2000年至今）"
    
    "CL=F":
      name: "原油"
      group: "COMMODITY"
      signal_source: "CL=F"
      trade_source: "160723.SZ"
      description: "WTI原油期货（2000年至今）"
    
    "HG=F":
      name: "有色金属"
      group: "COMMODITY"
      signal_source: "HG=F"
      trade_source: "159980.SZ"
      description: "COMEX铜期货（2000年至今）"
    
    # 防御类资产：短债指数
    # 931862.CSI = 中证0-9个月国债指数（短债指数）
    # 数据范围：2007-12-31开始，约19年数据
    # 久期：极短（<1年），波动极小，熊市防御效果最佳
    # 收益归因：标的收益约17%，决策收益约83%
    # 注意：无对应ETF可交易，直接使用指数数据计算动量和收益
    "931862.CSI":
      name: "短债指数"
      group: "FIXED_INCOME"
      signal_source: "931862.CSI"
      trade_source: "931862.CSI"
      description: "中证0-9个月国债指数，久期<1年，防御配置"

# ============================================================
# 基准配置
# ============================================================
benchmark:
  code: "000300.SH"
  name: "沪深300"

# ============================================================
# 回测配置
# ============================================================
backtest:
  start_date: "2020-01-01"
  # end_date: null  # null 表示至今

# ============================================================
# 因子配置
# ============================================================
factor:
  type: "weighted_momentum"     # 加权动量
  n_days: 25                    # 25 天窗口

# ============================================================
# 轮动配置
# ============================================================
rotation:
  select_num: 3                   # 选择 Top-3
  diversified: true               # 强制分散化：每个大类只选 Top 1
  
  # 阈值配置（V3 动态阈值）
  threshold:
    mode: "dynamic"               # 动态阈值模式
    fixed_value: 0.0              # 固定阈值（mode=fixed时使用）
    
    # 动态阈值配置（使用短债动量作为阈值）
    dynamic:
      reference: "931862.CSI"     # 阈值参考标的（短债指数）
      ratio: 1.0                  # 阈值 = 短债动量 × ratio
      fallback_enabled: true      # 参考不可用时是否回退
      fallback_value: 0.0         # 回退值

# ============================================================
# 调仓配置
# ============================================================
rebalance:
  min_hold_days: 1
  score_threshold: 0.0
  trade_cost: 0.001             # 0.1% 交易成本

# ============================================================
# 溢价控制配置
# ============================================================
premium_control:
  enabled: true                 # 启用溢价控制
  default_threshold: 0.10       # 默认溢价阈值 10%
  mode: "filter"                # filter(完全排除) 或 penalize(降权)
  penalty_factor: 0.5           # 降权模式下的惩罚系数
  
  # 按市场覆盖配置
  market_overrides:
    CN_EQUITY:                  # A股 ETF
      enabled: false            # 不启用（溢价通常 < 0.5%）
    HK_EQUITY:                  # 港股 ETF
      enabled: true
      threshold: 0.10           # 阈值 10%
    US_EQUITY:                  # 美股 ETF
      enabled: true
      threshold: 0.10           # 阈值 10%
    COMMODITY:                  # 商品 ETF
      enabled: false            # 不启用

# ============================================================
# 数据配置
# ============================================================
data:
  sources:
    - type: "flask_api"
      enabled: true
      url: "${FLASK_API_URL}"
      timeout: 120