aszerW
105af19690
新增美股轮动策略模块: - strategies/us_rotation/config.yaml: 47只美股标的池，动量窗口250天，Top5选股 - strategies/us_rotation/strategy.py: USRotationStrategy实现 - run_us_rotation.py: 回测入口脚本 回测结果 (2016-2026, 约10年): - 总收益: 7675% (年化52.49%) - 基准NDX收益: 540% (年化19.72%) - 超额年化收益: 32.78% - 夏普比率: 1.33 (基准0.80) - 最大回撤: 42.15% - 卡玛比率: 1.25 - 胜率: 56.1% - 平均持仓: 2.7天 年度最佳: 2020年+221% (超额176%) 年度防守: 2022年-10.5% (基准-33.7%, 超额+23.3%) 持仓Top5: NVDA(35.8%), AMD(30.1%), SHOP(26%), AVGO(23.9%), FICO(23.3%)
194 lines
3.7 KiB
YAML
194 lines
3.7 KiB
YAML
# 美股轮动策略配置
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# ==================== 候选池配置 ====================
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code_list:
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# 科技巨头
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"AAPL":
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name: "Apple"
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sector: "Technology"
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"ADBE":
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name: "Adobe"
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sector: "Technology"
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"AMD":
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name: "AMD"
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sector: "Technology"
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"AMZN":
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name: "Amazon"
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sector: "Technology"
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"ASML":
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name: "ASML"
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sector: "Technology"
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"AVGO":
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name: "Broadcom"
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sector: "Technology"
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"CRM":
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name: "Salesforce"
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sector: "Technology"
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"CRWD":
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name: "CrowdStrike"
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sector: "Technology"
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"CSCO":
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name: "Cisco"
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sector: "Technology"
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"FICO":
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name: "FICO"
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sector: "Technology"
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"GOOGL":
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name: "Google"
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sector: "Technology"
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"INTC":
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name: "Intel"
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sector: "Technology"
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"KLAC":
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name: "KLA"
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sector: "Technology"
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"LRCX":
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name: "Lam Research"
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sector: "Technology"
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"META":
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name: "Meta"
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sector: "Technology"
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"MSFT":
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name: "Microsoft"
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sector: "Technology"
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"MU":
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name: "Micron"
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sector: "Technology"
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"NET":
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name: "Cloudflare"
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sector: "Technology"
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"NFLX":
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name: "Netflix"
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sector: "Technology"
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"NVDA":
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name: "NVIDIA"
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sector: "Technology"
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"ORCL":
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name: "Oracle"
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sector: "Technology"
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"PANW":
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name: "Palo Alto"
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sector: "Technology"
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"PLTR":
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name: "Palantir"
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sector: "Technology"
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"QCOM":
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name: "Qualcomm"
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sector: "Technology"
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"SNOW":
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name: "Snowflake"
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sector: "Technology"
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"TSLA":
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name: "Tesla"
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sector: "Technology"
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"TSM":
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name: "TSMC"
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sector: "Technology"
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# 金融
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"AXP":
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name: "American Express"
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sector: "Financial"
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"BAC":
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name: "Bank of America"
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sector: "Financial"
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"C":
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name: "Citigroup"
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sector: "Financial"
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"GS":
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name: "Goldman Sachs"
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sector: "Financial"
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"JPM":
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name: "JPMorgan"
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sector: "Financial"
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"MA":
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name: "Mastercard"
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sector: "Financial"
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"MS":
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name: "Morgan Stanley"
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sector: "Financial"
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# 消费零售
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"COST":
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name: "Costco"
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sector: "Consumer"
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"LULU":
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name: "Lululemon"
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sector: "Consumer"
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"PDD":
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name: "PDD Holdings"
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sector: "Consumer"
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"SHOP":
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name: "Shopify"
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sector: "Consumer"
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# 医药健康
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"LLY":
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name: "Eli Lilly"
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sector: "Healthcare"
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"NVO":
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name: "Novo Nordisk"
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sector: "Healthcare"
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# 其他
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"CAT":
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name: "Caterpillar"
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sector: "Industrial"
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"COIN":
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name: "Coinbase"
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sector: "Crypto"
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"CRCL":
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name: "Circle"
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sector: "Crypto"
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"FUTU":
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name: "Futu"
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sector: "Financial"
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"HOOD":
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name: "Robinhood"
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sector: "Financial"
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"SAP":
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name: "SAP"
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sector: "Technology"
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"SCCO":
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name: "Southern Copper"
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sector: "Materials"
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# ==================== 基准配置 ====================
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benchmark:
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code: "NDX"
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name: "纳斯达克100"
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# ==================== 回测参数 ====================
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start_date: "2016-01-01"
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# ==================== 因子参数 ====================
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# 动量窗口（天数）
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n_days: 250
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# 因子类型
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factor_type: "momentum"
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# ==================== 轮动参数 ====================
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# 不分组，直接选 Top N
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diversified: false
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select_num: 5
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# ==================== 调仓控制 ====================
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# 每日调仓
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rebalance_days: 1
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# 调仓阈值：新组合得分超过当前组合 X% 才触发调仓
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rebalance_threshold: 0.0
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# 交易成本（双边）
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trade_cost: 0.001
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# ==================== 数据缓存 ====================
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use_cache: true
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# ==================== 数据源配置 ====================
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# SSH 隧道配置（用于 yfinance）
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ssh_tunnel:
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enabled: true
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host: "8.218.167.69"
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port: 22
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username: "root"
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key_path: "hk_ecs.pem"
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local_port: 1080 |