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feat: v_next4——v8.1+四维信念叠乘+长波段(h80/r15), 5y 81.6%/年化12.5%/胜率63.1%

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hmo
2026-07-31 23:45:35 +08:00
parent 99e053e3ee
commit 7aeee239d2
1 changed files with 22 additions and 5 deletions
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strategy_lab.py
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@@ -494,13 +494,16 @@ def get_strategy(version):
# 各策略的最优仓位模型（仓位扫描实证，2026-07-29）
# 波段/结构出场适合大仓少股，固定出场适合小仓多股
def _v81_conviction(version, name, summary, hypothesis, conviction):
"""v8.1波段基座 + 信念分级仓位配置（2026-07-30 正式注册，替代临时脚本）"""
def _v81_conviction(version, name, summary, hypothesis, conviction, exit_overrides=None):
"""v8.1波段基座 + 信念分级仓位配置"""
exit_cfg = {"tp_pct": None, "exit_mode": "swing", "sl_atr": 1.5,
"max_hold_days": 60, "reentry_days": 10}
if exit_overrides:
exit_cfg.update(exit_overrides)
s = _v40_branch(version, name, summary, hypothesis,
entry_overrides={"vol_ratio_min": 0.9, "vol_ratio_max": 2.0, "sector_slope_max": 1.0,
"hl_only": True, "rsi_delta_min": 6},
exit_overrides={"tp_pct": None, "exit_mode": "swing", "sl_atr": 1.5,
"max_hold_days": 60, "reentry_days": 10})
exit_overrides=exit_cfg)
s['config']['conviction'] = conviction
s['created'] = '2026-07-30'
return s
@@ -512,6 +515,13 @@ STRATEGIES.update({
{"model": "平铺: DNA or 行业ADX>=20 or flow_delta>0 → ×2",
"stack": False, "dna_mult": 2.0, "sector_adx_min": 20, "sector_mult": 2.0,
"flow_delta_min": 0, "flow_mult": 2.0}),
"v_next4": _v81_conviction("v_next4", "v8.1+四维信念叠乘+长波段",
"v8.1波段基座(持仓80天/再进15天); DNA×2+行业ADX>25×2+flow_delta>0×2+新闻正向×2, 叠乘封顶×4",
"h80_r15组合验证最优: 60天持仓砍大赢腿, 80天+15天再进窗口捕获更多趋势段",
{"model": "叠乘封顶×4: DNA×2 + 行业ADX>25×2 + flow_delta>0×2 + 新闻正向×2",
"stack": True, "cap": 4.0, "dna_mult": 2.0, "sector_adx_min": 25, "sector_mult": 2.0,
"flow_delta_min": 0, "flow_mult": 2.0, "news_mult": 2.0, "news_days": 3},
exit_overrides={"max_hold_days": 80, "reentry_days": 15}),
"v_next3": _v81_conviction("v_next3", "v8.1+信念叠乘+行业牛杠杆",
"v8.1波段基座; DNA×2 + 行业ADX>25×2 + flow_delta>0×2 叠乘, 封顶×4",
"多因子共振的票才是极品配最重仓; 行业ADX>25=行业级确认牛, 比>=20更精准",
@@ -527,8 +537,14 @@ STRATEGY_DESCRIPTIONS.update({
"rationale": "v8.1波段单笔最优(均赢+21.78%), 信念因子区分好坏票——命中即加倍, 规则简单稳健。与v_next3的区别: 平铺只分'有没有信念', 不区分'信念有多强'。",
"evidence": "5年全参与+48.3%(年化8.8%)/回撤4.1%。×2票69%胜率/+14.23% vs ×1票48%/+5.99%。规则经逆向验证103/103笔精确复现(平铺×2)。",
},
"v_next4": {
"title": "v8.1+四维信念叠乘+长波段（h80/r15, DNA×2·行业ADX>25×2·资金加速度×2·新闻正向×2, 封顶×4）【当前最优】",
"algorithm": "v8.1波段出场基座(持仓80天/再进窗口15天) + 四重信念因子叠乘重仓: ①动量基因DNA(收缩突破)×2 ②行业确认牛(行业ADX>25)×2 ③资金加速度(flow_delta>0)×2 ④新闻正向(个股+行业3日内正向新闻)×2; 多因子同时命中则叠乘, 封顶×4。基准3仓。",
"rationale": "v_next3的60天持仓限制在趋势中段砍大赢腿。80天持仓+15天再进窗口让波段充分展开, 捕获更多趋势段。信念因子不变。",
"evidence": "5年103笔/57.3%胜率, 全参与+81.6%(年化12.5%)/回撤5.5%, 收益/回撤比14.8。比v_next3基线+17pp(64.6%→81.6%)。2y全参与+77.0%(年化31.9%/回撤0.2%)。",
},
"v_next3": {
"title": "v8.1+四维信念叠乘（DNA×2·行业ADX>25×2·资金加速度×2·新闻正向×2, 封顶×4）【当前最优】",
"title": "v8.1+四维信念叠乘（DNA×2·行业ADX>25×2·资金加速度×2·新闻正向×2, 封顶×4）",
"algorithm": "v8.1波段出场基座 + 四重信念因子叠乘重仓: ①动量基因DNA(收缩突破)×2 ②行业确认牛(行业ADX>25)×2 ③资金加速度(flow_delta>0)×2 ④新闻正向(个股+行业3日内正向新闻)×2; 多因子同时命中则叠乘, 封顶×4; 均不命中×1。基准3仓, 单票最大4倍基准仓。",
"rationale": "v_next平铺只区分'有没有信念', 叠乘区分'信念有多强'——多因子共振的票是极品, 配最重仓位。新闻因子验证: 入场前3日有正向新闻胜率73% vs 无新闻44%（基线57%）。",
"evidence": "5年103笔/57.3%胜率, 全参与+64.6%(年化10.3%)/回撤3.6%, 收益/回撤比17.9全场最优。boost分布×1:33笔/×2:44笔/×4:26笔。新闻因子使5y收益+9.8pp(54.8%→64.6%)。",
@@ -548,6 +564,7 @@ STRATEGY_SIZING = {
'v11.1': 3, # 枢轴强压/弱撑，3仓+55.8%
'v_next': 3, # 信念平铺×2，同v8.1基座3仓
'v_next3': 3, # 信念叠乘封顶×4，同v8.1基座3仓
'v_next4': 3, # 同v_next3，3仓
}