aszerW
2716eec511
## 定量对比（2020-01-10 ~ 2026-06-18） | 配置 | 年化收益 | 总收益 | 夏普比率 | 最大回撤 | Calmar | |------|---------|--------|---------|---------|--------| | select_num=3 (baseline) | 25.99% | 316.93% | 1.22 | -16.27% | 1.60 | | select_num=1 rank | 48.51% | 1053.08% | 1.34 | -26.33% | 1.84 | | select_num=1 greedy | 55.97% | 1461.35% | 1.73 | -19.07% | 2.93 | ## 核心变更说明 1. config_simple.yaml: select_num从3改为1，策略从分散持仓转为集中持仓 2. 新增greedy vs rank策略对比分析文档，揭示权重顺延机制收益贡献 3. 新增全球资产轮动策略端到端实验报告 ## greedy策略收益优势归因 - 智能风险分散: ETF池容量限制(etf_max_weight=25%)实现隐式多标的分散 - 降低极端风险: 避免全仓集中在容量受限标的(如HG=F仅有1只ETF) - 风险调整收益优化: 夏普+0.39, 回撤改善7.26%, Calmar提升1.09 ## 理论意义 信号集中(select_num=1)与仓位分散(greedy顺延)可协同作用， 挑战传统"集中投资最优"假设，容量约束成为天然风控机制。
132 lines
3.2 KiB
YAML
132 lines
3.2 KiB
YAML
asset_pools:
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assets:
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399006.SZ:
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description: 创业板指数
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group: A
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name: 创业板指
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signal_source: 399006.SZ
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trade_source: 159915.SZ
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etf_pool: [159915.SZ, 159952.SZ, 159957.SZ, 159948.SZ]
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931862.CSI:
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description: 中证0-9个月国债指数，久期<1年，防御配置
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group: BOND
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name: 短债指数
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signal_source: 931862.CSI
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trade_source: 931862.CSI
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etf_pool: [931862.CSI, 931862.CSI, 931862.CSI, 931862.CSI]
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CL=F:
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description: WTI原油期货（2000年至今）
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group: COMMODITY
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name: 原油
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signal_source: CL=F
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trade_source: 160723.SZ
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etf_pool: [160723.SZ, 501018.SH, 161129.SZ]
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GC=F:
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description: COMEX黄金期货（2000年至今）
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group: COMMODITY
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name: 黄金
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signal_source: GC=F
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trade_source: 518880.SH
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etf_pool: [518880.SH, 159937.SZ, 159934.SZ, 518800.SH]
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GDAXI:
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description: 德国DAX指数
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group: EU
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name: 德国DAX
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signal_source: GDAXI
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trade_source: 513030.SH
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etf_pool: [159561.SZ, 513030.SH]
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H30269.CSI:
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description: 红利低波指数
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group: A
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name: 中证红利低波
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signal_source: H30269.CSI
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trade_source: 512890.SH
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etf_pool: [512890.SH, 563020.SH, 159547.SZ, 560150.SH]
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HG=F:
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description: COMEX铜期货（2000年至今）
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group: COMMODITY
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name: 有色金属
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signal_source: HG=F
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trade_source: 159980.SZ
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etf_pool: [159980.SZ]
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HSI:
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description: 恒生指数
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group: HK
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name: 恒生指数
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signal_source: HSI
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trade_source: 159920.SZ
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etf_pool: [159920.SZ, 513600.SH, 159271.SZ, 513210.SH]
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HSTECH.HK:
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description: 恒生科技指数
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group: HK
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name: 恒生科技
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signal_source: HSTECH.HK
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trade_source: 513130.SH
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etf_pool: [513180.SH, 513130.SH, 513010.SH, 159740.SZ]
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N225:
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description: 日经225指数
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group: JP
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name: 日经225
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signal_source: N225
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trade_source: 513520.SH
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etf_pool: [513880.SH, 513520.SH, 513000.SH, 159866.SZ]
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NDX:
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description: 纳斯达克100指数
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group: US
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name: 纳指100
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signal_source: NDX
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trade_source: 513100.SH
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etf_pool: [159941.SZ, 513100.SH, 513300.SH, 159501.SZ]
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backtest:
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start_date: '2020-01-10'
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benchmark:
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code: 000300.SH
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name: 沪深300
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data:
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sources:
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- enabled: true
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timeout: 120
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type: flask_api
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url: ${FLASK_API_URL}
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factor:
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n_days: 25
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type: slope_r2
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metadata:
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description: 全球资产大类轮动策略 V2 - 复现 V1 结果
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last_updated: '2024-04-16'
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strategy: rotation
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version: 2.0.0
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premium_control:
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default_threshold: 0.1
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enabled: false
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market_overrides:
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A:
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enabled: false
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COMMODITY:
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enabled: false
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HK:
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enabled: true
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threshold: 0.1
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US:
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enabled: true
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threshold: 0.1
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mode: filter
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penalty_factor: 0.5
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rebalance:
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min_hold_days: 1
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score_threshold: 0.0
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trade_cost: 0.001
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rotation:
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diversified: true
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select_num: 1
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weight: rank
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etf_max_weight: 0.25
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threshold:
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dynamic:
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fallback_enabled: true
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fallback_value: 0.0
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ratio: 1.0
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reference: 931862.CSI
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fixed_value: 0.0
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mode: dynamic
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