aszerW
8b7bcf206a
- config_loader.py: WeightType 枚举新增 KELLY - simple_rotation.py: compute_position_weights 新增 kelly 分支 - 公式: w_i = max(score_i, 0) / sum(max(score_j, 0)) - 负分自动排除 (Kelly: 不下注负期望) - 全负分时 fallback 到等权 - _generate_signals 传递 scores 给 kelly 模式 - config_simple.yaml: weight 改为 kelly - 新增策略总结文档: kelly_weight.md 回测对比 (2020-2026): - equal: 年化 19.88%, 夏普 1.13, 回撤 -14.65% - rank: 年化 22.90%, 夏普 1.12, 回撤 -16.27% - kelly: 年化 30.13%, 夏普 1.15, 回撤 -20.44%
120 lines
2.6 KiB
YAML
120 lines
2.6 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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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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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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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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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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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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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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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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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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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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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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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: 3
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weight: kelly
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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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