aszerW
921f84cb6a
- simple_rotation.py: 新增 standardized_slope_score 函数 (slope/SE) - config_loader.py: FactorType 枚举新增 STANDARDIZED_SLOPE - 对比实验结果: standardized_slope 年化 13.73% vs slope_r2 19.84% - 结论: t-statistic 过度惩罚高波动资产的有效趋势信号，不适合本场景 - 文档更新: 动量因子对比调研报告新增 3.3 节详细分析
25 lines
727 B
JSON
25 lines
727 B
JSON
{
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"timestamp": "2026-06-06T16:36:39.736366",
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"results": [
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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": "standardized_slope",
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"annual_return": 0.13732579856023497,
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"total_return": 1.2055386092808908,
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"sharpe_ratio": 1.0139515617271433,
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"max_drawdown": -0.13523854511100616,
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"win_rate": 0.5452196382428941,
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"rebalance_count": 335,
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"calmar_ratio": 1.0154338650087928
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}
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]
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} |