aszerW
e6898a851c
- 将候选池指数列表升级为包含名称、对应ETF代码及市场的详细映射结构 - 支持多市场ETF映射，包括A股、港股、美股、商品及加密货币市场 - 新增主市场配置及跨境ETF溢价控制机制，防止高溢价买入 - 溢价控制支持启用开关、不同市场阈值及降权模式 - 明确交易成本、缓存使用及交易日历设置，增强策略灵活性和稳定性
176 lines
5.2 KiB
YAML
176 lines
5.2 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 (使用 Tushare) - 主市场，交易日基准
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# 宽基指数
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"000300.SH":
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name: "沪深300"
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etf: "510300.SH" # 华泰柏瑞沪深300ETF
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market: "A"
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"000905.SH":
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name: "中证500"
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etf: "510500.SH" # 南方中证500ETF
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market: "A"
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"000852.SH":
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name: "中证1000"
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etf: "512100.SH" # 南方中证1000ETF
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market: "A"
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"399006.SZ":
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name: "创业板指"
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etf: "159915.SZ" # 易方达创业板ETF
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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" # 华泰柏瑞红利ETF
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market: "A"
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# 金融
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"399986.SZ":
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name: "中证银行"
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etf: "512800.SH" # 华宝银行ETF
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market: "A"
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# 消费
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"399997.SZ":
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name: "中证白酒"
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etf: "512690.SH" # 鹏华酒ETF
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market: "A"
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# 医药健康
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"399989.SZ":
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name: "中证医疗"
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etf: "512170.SH" # 华宝医疗ETF
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market: "A"
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# 科技信息
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"000935.SH":
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name: "中证信息"
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etf: "512330.SH" # 南方信息ETF
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market: "A"
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# 新能源
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"399976.SZ":
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name: "新能源车"
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etf: "515030.SH" # 华夏新能源ETF
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market: "A"
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# 周期资源
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"399395.SZ":
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name: "国证有色"
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etf: "159880.SZ" # 有色ETF
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market: "A"
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"399998.SZ":
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name: "中证煤炭"
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etf: "515220.SH" # 煤炭ETF
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market: "A"
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"399813.SZ":
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name: "细分化工"
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etf: "516120.SH" # 化工ETF
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market: "A"
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"000937.SH":
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name: "中证能源"
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etf: "159930.SZ" # 能源ETF
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market: "A"
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# 其他行业
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"399967.SZ":
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name: "中证军工"
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etf: "512660.SH" # 军工ETF
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market: "A"
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"000949.SH":
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name: "中证农业"
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etf: "159825.SZ" # 农业ETF
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market: "A"
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"399702.SZ":
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name: "国债指数"
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etf: "511010.SH" # 国债ETF
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market: "A"
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# 全球市场指数 (使用 YFinance) - 非主市场，数据会前向填充到A股交易日
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"HSTECH":
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name: "恒生科技"
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etf: "513180.SH" # 华夏恒生科技ETF
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market: "HK"
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"NDX":
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name: "纳指100"
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etf: "159501.SZ" # 嘉实纳指100ETF（流动性好）
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market: "US"
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"GC=F":
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name: "黄金"
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etf: "518880.SH" # 华安黄金ETF
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market: "COMMODITY"
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# 加密货币 (使用 CCXT/OKX 现货) - 通过 SSH->HTTP 代理访问
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"BTC":
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name: "比特币"
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etf: null # 无ETF，直接交易
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market: "CRYPTO"
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"ETH":
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name: "以太坊"
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etf: null # 无ETF，直接交易
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market: "CRYPTO"
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# 主市场配置（用于确定交易日历）
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primary_market:
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source: "Tushare" # 以A股交易日为基准
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code: "000300.SH" # 基准指数
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# 基准指数配置
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benchmark:
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code: "000300.SH" # 中国A股指数使用 Tushare 格式
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name: "沪深300指数"
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# ==================== 回测参数 ====================
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start_date: "2020-01-01"
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# end_date: "2025-03-17"
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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'（N日涨幅）或 'slope_r2'（斜率×R²）
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factor_type: "slope_r2"
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# ==================== 轮动参数 ====================
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# 每次轮动选中的ETF数量（1=全仓单一品种）
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select_num: 5
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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: 0.02 # 默认溢价阈值 2%
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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: 0.03 # 阈值 3%
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US: # 美股 ETF
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enabled: true
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threshold: 0.02 # 阈值 2%
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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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