aszerW
b564a47a1b
- simple_rotation.py: 新增3种score函数（vol_adjusted_momentum, slope_r2, momentum） - config_loader.py: FactorType枚举新增VOL_ADJUSTED_MOMENTUM - config_simple.yaml: factor.type 切换为 slope_r2 - experiments/factor_comparison.py: 4种因子对比实验脚本 - experiments/output: 实验结果（slope_r2全面胜出）
45 lines
1.4 KiB
JSON
45 lines
1.4 KiB
JSON
{
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"timestamp": "2026-06-06T15:41:51.261231",
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"results": [
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{
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"factor_type": "weighted_momentum",
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"annual_return": 0.1836425584586039,
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"total_return": 1.8188636662013202,
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"sharpe_ratio": 1.0221559991160554,
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"max_drawdown": -0.16355913241141637,
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"win_rate": 0.539754363283775,
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"rebalance_count": 405,
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"calmar_ratio": 1.1227900010906742
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},
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{
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"factor_type": "vol_adjusted_momentum",
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"annual_return": 0.1315526234967641,
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"total_return": 1.1376143317727325,
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"sharpe_ratio": 0.8543126134924596,
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"max_drawdown": -0.18613474523686568,
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"win_rate": 0.5585003232062056,
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"rebalance_count": 393,
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"calmar_ratio": 0.7067601662943525
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},
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{
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"factor_type": "slope_r2",
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"annual_return": 0.198416094188119,
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"total_return": 2.0421974188211456,
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"sharpe_ratio": 1.1350010914615083,
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"max_drawdown": -0.15352659557851117,
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"win_rate": 0.541343669250646,
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"rebalance_count": 394,
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"calmar_ratio": 1.2923890707043786
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},
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{
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"factor_type": "momentum",
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"annual_return": 0.09270306870862322,
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"total_return": 0.7245114082990154,
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"sharpe_ratio": 0.5741296434738409,
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"max_drawdown": -0.17419361103962644,
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"win_rate": 0.5326438267614738,
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"rebalance_count": 729,
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"calmar_ratio": 0.5321840919156022
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}
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]
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} |