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feat: h1.1港股三强信号版+h1.0过拟合教训存档

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hmo
2026-07-29 11:06:57 +08:00
parent fdaff1cd50
commit 395fbcdddb
1 changed files with 26 additions and 7 deletions
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strategy_lab.py
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@@ -261,18 +261,37 @@ STRATEGIES.update({
# ── 港股专用版本（港股通宇宙归因推导，2026-07-29）──
"h1.0": {
"version": "h1.0",
"name": "港股v1-高波动甜区",
"summary": "v7.1港股化：ATR≥2.8无上限+量比≥1.2无上限+MACD柱0~0.3+周线必须向上+恒指回调情景",
"hypothesis": "港股8619笔归因：ATR4.88~28胜率59%持续上涨(无过热惩罚)，量比>1.86胜率57%(天量=强势)，MACD柱0~0.03最佳，weekly_up=True+9pp(与A股相反须周线完好)，恒指斜率回调买与A股同构",
"name": "港股v1-全堆(过拟合教训)",
"summary": "v7.1港股化全堆版：ATR无上限+量比无上限+MACD窄幅0~0.3+周线向上——仅2笔交易",
"hypothesis": "失败案例存档：把港股归因所有信号全堆导致过拟合(2笔)，证明弱信号(MACD窄幅±3pp)不能进过滤器",
"parent": "v7.1",
"created": "2026-07-29",
"config": {
"entry": {"min_score": 45, "min_momentum": 8,
"filters": {"adx_min": 20, "atr_pct_min": 2.8,
"roc_min": 8,
"macd_hist_min": 0, "macd_hist_max": 0.3,
"filters": {"adx_min": 20, "atr_pct_min": 2.8, "roc_min": 8,
"macd_hist_min": 0, "macd_hist_max": 0.3, "dist_ma20_min": 4,
"vol_ratio_min": 1.2, "ma20_slope_max": 1.5,
"mkt_above_ma20": True, "mkt_slope_max": -0.05,
"hh_only": True, "hl_only": True,
"rsi_delta_min": 6, "weekly_up": True}},
"exit": {"tp_pct": 0.15, "sl_atr": 1.5, "max_hold_days": 20},
"sizing": {"kelly": True, "kelly_fraction": 0.5}, "eval_step": 1,
},
},
"h1.1": {
"version": "h1.1",
"name": "港股v1.1-三强信号",
"summary": "v7.1港股化(仅三处): ATR无上限+量比无上限+周线必须向上",
"hypothesis": "港股8619笔归因的强信号: ATR上限失效(+10.7pp)、量比上限失效(+5.6pp)、weekly_up=True(+9pp)。MACD窄幅/ADX等为弱信号不过滤——只改三处避免过拟合(h1.0全堆仅2笔的教训)",
"parent": "v7.1",
"created": "2026-07-29",
"config": {
"entry": {"min_score": 45, "min_momentum": 8,
"filters": {"adx_min": 20, "atr_pct_min": 3.5,
"roc_min": 10, "roc_max": 25,
"macd_hist_min": 0.25, "macd_hist_max": 1.3,
"dist_ma20_min": 4,
"vol_ratio_min": 1.2,
"vol_ratio_min": 0.9,
"ma20_slope_max": 1.5,
"mkt_above_ma20": True, "mkt_slope_max": -0.05,
"hh_only": True, "hl_only": True,