diff --git a/strategy_lab.py b/strategy_lab.py index 560bf90b..009cbadf 100644 --- a/strategy_lab.py +++ b/strategy_lab.py @@ -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,