qq564020069
3436401af6
0.93
2026-07-07 15:17:53 +08:00
rosemarycox5334-debug
1808e9c87e
0.93
2026-07-07 14:11:22 +08:00
rosemarycox5334-debug
e908dd3286
0.92
2026-07-07 11:37:16 +08:00
rosemarycox5334-debug
1c2ec388de
0.92
2026-07-07 09:26:54 +08:00
rosemarycox5334-debug
662e7ac5d2
precious_metals_v1: 黄金单品种策略 (Sharpe 2.66, MDD -11%, 8年数据验证)
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策略: DMI_ADX_14 -> KYLE_LAMBDA -> EMA_20 -> KYLE_LAMBDA -> MFI14 -> SCALE -> TS_CORR_10 -> IF_GT
- 微型市场体制切换模型: 流动性驱动时用Kyle动量, 流动性紊乱时退守趋势
- 推荐用法: XAUUSD单品种
- 回测: 年化+28.2%, Sharpe 2.66, 换手109笔/年, Walk-Forward 3/4折盈利
配置变更:
- AAVUSD移除(实为Aave加密货币)
- COCOA.c移除(交易时段不匹配)
- metals_comm重命名为precious_metals(XAUUSD+XAGUSD)
- 算子溢出修复(_signed_power clamp, _ts_product expm1 clamp)
2026-07-06 23:05:05 +08:00
qq564020069
ff01074b3b
0.91
2026-07-06 10:53:23 +08:00
qq564020069
0a775aa408
0.91
2026-07-06 10:01:31 +08:00
rosemarycox5334-debug
3793f8283b
feat: save all strategy factors + independent verification results
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- Add all 6 strategy factors (forex/index/metals_comm, v1+v2)
- Add independent backtest verification script and results
- Add strategies README with full factor documentation
- Update .gitignore to track strategy files
- Include engine.py anti-beta constraints + entropy floor fixes
- Include config.py new training parameters
2026-07-06 09:40:39 +08:00
rosemarycox5334-debug
97a5964b34
0.91
2026-07-05 23:19:21 +08:00
rosemarycox5334-debug
1db926cd93
feat: anti-beta-factor constraints - infection model + beta neutral + half consistency
2026-07-05 23:16:08 +08:00
rosemarycox5334-debug
9aa94ea40a
feat: index组训练成果保存 + 回测验证 + 引擎分布指标增强
2026-07-05 21:08:39 +08:00
rosemarycox5334-debug
3669cc37ae
0.9
2026-07-05 12:50:50 +08:00
rosemarycox5334-debug
624272b910
0.9
2026-07-05 10:18:17 +08:00
qq564020069
deade581d7
Update main.py
2026-07-05 09:48:30 +08:00
qq564020069
ea3871c6d7
0.9
2026-07-05 03:11:29 +08:00
qq564020069
b03ef0cf77
收益优先重构: 连续仓位+绝对收益奖励(0.40)+组独立数据加载(T:3498->12000)+拿掉在场上限
2026-07-05 02:26:39 +08:00
rosemarycox5334-debug
1e6550ee57
v0.9 forex 组严谨回测:保存 3 个强有效因子
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修复 v0.8 二值算子过拟合问题后,v0.9 训练产生 13 个 New King 因子,
经严谨回测(完整交易笔数/ warmup 跳过 / bootstrap CI / 基准对比)验证,
3 个因子统计显著优于随机:
#12 (Val=4.876) Sortino=+4.72 CI=[+1.82,+8.52] 冠军
#8 (Val=2.857) Sortino=+3.84 CI=[+0.32,+7.77] 流动性系
#10 (Val=4.455) Sortino=+2.90 CI=[+0.24,+6.40] 趋势系
注意:IS_OOS=False,训练-回测同数据,实盘表现大概率打折。
2026-07-04 20:10:26 +08:00
qq564020069
95a2832c76
Update best_forex.json
2026-07-04 17:12:44 +08:00
qq564020069
23a5b1efc0
修复奖励函数稀疏漏洞+移除二值算子+加强IC门控(P0-P3): 堵死LT/GT训练分虚高问题
2026-07-04 16:59:12 +08:00
qq564020069
170bebb7f5
清理旧 vocab(v6ff4c52) 策略文件: 回测样本不足/亏损且与剪枝后 vocab 不兼容; 保留 forex 新结果
2026-07-04 16:45:23 +08:00
qq564020069
a5bd905107
Merge remote-tracking branch 'origin/main'
2026-07-04 16:43:33 +08:00
qq564020069
269d489d1b
特征剪枝+熵修复方案首轮: forex 组中间结果 (EURUSD +1.07/USDJPY +2.15, 组合 Sharpe 2.78)
2026-07-04 16:43:25 +08:00
rosemarycox5334-debug
3c82ede3d5
feat: v3.0 有效因子 + 合并远程 v0.8 + engine 即时保存
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- 合并远程 v0.8: 特征剪枝(65->28) + 大空间适配参数 + Hard Restart
- engine.py 手动合并: 保留远程 Hard Restart + 加回本地即时保存方法
- 新增 v3.0 训练结果: 3组16个策略文件(10000步, v6ff4c52e30c1词表)
- 新增 V3_EFFECTIVE_FACTORS_REPORT.md: 5个有效因子严谨回测报告
- 有效因子: EURUSD/USDJPY/XAUUSD/AAVUSD/COCOA.c (组合Sortino=+5.72)
- index组5品种因交易<100判无效, 需重训
2026-07-04 12:23:00 +08:00
qq564020069
d9c2811b60
0.8
2026-07-04 10:34:51 +08:00
qq564020069
f209e67e06
0.8
2026-07-03 22:11:35 +08:00
rosemarycox5334-debug
5c798a5d5c
Expand vocab v3.0: 26->30 features + 34->44 operators
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Add 4 new features (WILLR_14, CCI_14, ROC_12, TYPICAL_DEV) and 10 new operators from WorldQuant Alpha 101 + web research.
Alpha 101 core (4): DELTA, TS_ARG_MAX_5, TS_ARG_MIN_5, DECAY_LINEAR_5
Web research supplements (6): SCALE, COVARIANCE_10, PRODUCT_5, SIGNED_POWER_2, TS_DECAY_EXP_5, DELTA_5
Verified: 44/44 operators pass smoke test, 1-step training on forex group succeeds (1.4s). Old strategies remain compatible via VOCAB_VERSION pinning.
2026-07-03 18:38:38 +08:00
rosemarycox5334-debug
a7c03524a9
Add effective factors analysis: backtest results + principle breakdown for forex/metals_comm/index groups
2026-07-03 17:59:47 +08:00
rosemarycox5334-debug
e1a48fcb0f
Add forex factor validity report (Sharpe 1.6-1.8, backtest verified)
2026-07-03 17:34:40 +08:00
rosemarycox5334-debug
58a624082c
Switch to CPU training (2.3x faster than GPU on small tensors) + add --offline backtest mode
2026-07-03 17:23:56 +08:00
rosemarycox5334-debug
e429f8c082
Add trained factor strategies (forex/metals_comm/index groups, 3000 steps)
2026-07-03 17:15:55 +08:00
rosemarycox5334-debug
79e9b250ea
0.7
2026-07-03 14:55:57 +08:00
qq564020069
36d24a56b5
0.7
2026-07-03 12:35:29 +08:00
qq564020069
e96ebfe056
0.7
2026-07-03 12:01:30 +08:00
qq564020069
781e3786ed
0.7
2026-07-03 01:15:49 +08:00
qq564020069
f0ae796d2c
0.7
2026-07-03 01:15:41 +08:00
qq564020069
fda254e573
0.7
2026-07-03 01:11:00 +08:00
qq564020069
6c0875e832
0.7
2026-07-02 00:51:15 +08:00
qq564020069
7d9abf21de
Initial commit
2026-07-01 14:54:28 +08:00
qq564020069