aszerW
c1fbd2c7db
Summary of updates: 1. Core Logic (engine.py): Added 'score > 0' filtering to support automatic cash positions during market downturns. 2. Experimental Analysis: Added scripts/analyze_negative_scores.py, scripts/test_select_num.py, and scripts/ab_test_iterations.py. 3. Documentation: Created docs/strategy_evolution_report.md detailing the evolution from benchmark to the final 47% CAGR version. 4. Configuration: Finalized rotation.yaml with 11 core assets and optimal risk parameters.
129 lines
3.6 KiB
YAML
129 lines
3.6 KiB
YAML
# ETF轮动策略配置
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# ==================== 候选池配置 ====================
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# 指数-ETF映射配置
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# index: 指数代码（用于计算因子信号）
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# etf: ETF代码（用于实际交易和收益计算），null表示直接交易指数/加密货币
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code_list:
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# 中国A股指数
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"399006.SZ":
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name: "创业板指"
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etf: "159915.SZ"
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market: "A"
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"H30269.CSI":
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name: "中证红利低波"
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etf: "512890.SH"
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market: "A"
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"000015.SH":
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name: "上证红利"
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etf: "510880.SH"
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market: "A"
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# 全球市场
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"NDX":
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name: "纳指100"
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etf: "513100.SH"
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market: "US"
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"N225":
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name: "日经225"
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etf: "513520.SH"
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market: "JP"
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"GDAXI":
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name: "德国DAX"
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etf: "513030.SH"
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market: "EU"
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"HSI":
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name: "恒生指数"
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etf: "159920.SZ"
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market: "HK"
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"HSTECH.HK":
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name: "恒生科技"
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etf: "513130.SH"
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market: "HK"
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# 商品 & 固收
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"AU.SHF":
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name: "黄金"
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etf: "518880.SH"
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market: "COMMODITY"
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"CL.NYM":
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name: "原油"
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etf: "160723.SZ"
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market: "COMMODITY"
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"931862.CSI":
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name: "30年国债"
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etf: "511090.SH"
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market: "BOND"
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# 主市场配置
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primary_market:
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source: "Tushare"
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code: "000300.SH"
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# 基准指数配置
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benchmark:
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code: "000300.SH"
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name: "沪深300"
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# ==================== 回测参数 ====================
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start_date: "2019-01-01"
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# ==================== 因子参数 ====================
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# 动量/趋势窗口期（天数）
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n_days: 25
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# 因子类型：'momentum', 'slope_r2', 'weighted_momentum'
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factor_type: "weighted_momentum"
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# 动态周期参数 (匹配 JoinQuant 策略)
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auto_day: false
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min_days: 20
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max_days: 60
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# ==================== 轮动参数 ====================
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select_num: 3
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# 强制分散化：每个大类只选 Top 1
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diversified: true
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# ==================== 调仓控制 ====================
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# 最低调仓周期（交易日）：持仓至少持有 N 天后才允许换仓
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rebalance_days: 1
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# 调仓得分阈值：新组合总得分需超过当前组合 X% 才触发调仓
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rebalance_threshold: 0.0
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# 单次换仓成本（双边，含佣金+滑点）
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trade_cost: 0.001
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# ==================== 溢价控制配置 ====================
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# 跨境ETF溢价过滤机制（防止高溢价买入）
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premium_control:
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enabled: true
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default_threshold: 0.10 # 默认溢价阈值 10%
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mode: "filter" # "filter"(完全排除) 或 "penalize"(降权)
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penalty_factor: 0.5 # 降权模式下的惩罚系数
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# 按市场类型覆盖配置
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market_overrides:
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A: # A股 ETF
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enabled: false # 不启用（溢价通常 < 0.5%）
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HK: # 港股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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US: # 美股 ETF
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enabled: true
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threshold: 0.10 # 阈值 10%
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COMMODITY: # 商品 ETF
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enabled: false
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# ==================== 数据缓存 ====================
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# 是否使用本地缓存（True=优先从本地读取）
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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（用于网络受限环境，通过境外服务器访问 yfinance）
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ssh_tunnel:
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enabled: true # 是否启用 SSH 隧道
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host: "8.218.167.69" # SSH 服务器地址（阿里云香港 ECS IP）
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port: 22 # SSH 端口
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username: "root" # SSH 用户名
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key_path: "hk_ecs.pem" # SSH 私钥路径（相对于项目根目录）
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local_port: 1080 # 本地 SOCKS5 代理端口
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