{ "generated": "2026-11-06", "data_through": "2026-11-06", "roadmap": [ { "round": 1, "title": "数据管道与指数级策略", "status": "done", "date": "2026-11-06", "scope": "接入创业板公开行情，重建回测引擎，指数级策略全部重跑。" }, { "round": 2, "title": "创业板个股横截面因子", "status": "done", "date": "2026-11-06", "scope": "接入创业板个股日线面板，回测动量、反转、低波动与非流动性四个价格类因子；市值因子因缺历史股本未做，退市样本不可得，偏差已在因子研究页披露。" }, { "round": 3, "title": "参数稳健性与压力测试", "status": "planned", "date": "", "scope": "滚动窗口、成本冲击、极端行情分段，给每条策略标注失效边界。" }, { "round": 4, "title": "机器学习基线", "status": "planned", "date": "", "scope": "Alpha158 特征集 + 梯度提升树，严格按时间切分做样本外验证。" }, { "round": 5, "title": "组合与容量", "status": "planned", "date": "", "scope": "把通过检验的信号组合起来，估算容量与冲击成本。" }, { "round": 6, "title": "实盘跟踪框架", "status": "planned", "date": "", "scope": "信号每日更新、纸面跟踪、与回测的偏差归因。" } ], "rounds": [ { "round": 2, "date": "2026-11-06", "title": "接入个股面板，做第一轮横截面因子检验", "status": "已完成", "summary": "指数级策略已经摊开，但“策略能不能下沉到个股”一直没有答案。本轮抓取创业板全部上市公司的后复权日线与成交额，按月末信号、次日建仓、等权五分位、实际换手计 10bp 成本，对动量、反转、低波动与非流动性四个价格类因子做分组、IC 与样本内外检验，结果单独成页。市值因子因为拿不到历史股本没有做，退市样本也拿不到——两项偏差都写在页面上，不藏。", "items": [ "新增 build/fetch_universe.py：抓取创业板板块全部个股日线（东财公开接口，fqt=2 后复权），按最后缓存日期增量追加，缓存为 data/cn/stocks/*.csv。", "新增 build/cross_section.py：月末收盘形成信号、次一交易日建仓、等权五分位、按实际换手扣单边 10bp，输出多头/多空/同池等权/秩 IC/分组收益/样本内外，合并进 results.json 的 cross_section 段。", "新增 /factors.html 与导航入口：四个因子各有一段净值、分组与样本外表，另有“同池等权”基准行，避免把等权与小票效应算成因子 alpha。", "/upgrade.html 验证记录增加横截面因子表；部署自检与 sitemap 加入 /factors.html。", "小市值与机器学习两个文献策略的状态改为如实描述：面板已接入，但缺历史股本与财务数据，仍然不给收益数字。", "同步更新首页结论区、关于页的数据与局限、README 的数据口径与脚本清单。" ], "checks": [ "factors" ], "next": "第 3 轮：对通过初测的因子做参数稳健性与成本压力测试，标出失效边界，而不是继续加因子。" }, { "round": 1, "date": "2026-11-06", "title": "从美股因子库转向中国创业板", "status": "已完成", "summary": "站点原本回测的是 Kenneth French 的美股因子与行业组合。本轮把数据源、回测引擎、策略库与全部文案整体换成中国创业板：6 条公开行情序列、10 个可回测策略、2 个文献策略，并新增稳健性检验与这页迭代日志。", "items": [ "新增 build/fetch_cn.py：从东方财富公开行情接口抓取并缓存 6 条日频序列（创业板指、创业板R、沪深300、中证500、国债指数、GC001），回测本身完全离线。", "重写 build/backtest.py：信号按当日收盘计算、次日生效，符合 T+1；无风险利率改用 GC001 实际利率，不再用美国 RF。", "策略库改为 10 个可回测 + 2 个文献策略，全部围绕创业板；旧的 14 个美股策略与文案下线。", "新增稳健性检验：200 日趋势的 6 组均线窗口、5 档成本假设、4 个分区间。", "新增本页 /upgrade.html 与 /assets/data/upgrade.json，记录每轮改了什么、验证了什么。" ], "checks": [ "trend_ma", "cost_bps", "subperiods" ], "next": "第 2 轮：接入创业板成分股日度面板，回测小市值与横截面动量因子。" } ], "validation": { "parameter_sweep": { "trend_ma": [ { "ma": 50, "full_sharpe": 0.455, "full_cagr": 0.1075, "oos_sharpe": 0.471 }, { "ma": 100, "full_sharpe": 0.266, "full_cagr": 0.0622, "oos_sharpe": 0.254 }, { "ma": 150, "full_sharpe": 0.187, "full_cagr": 0.0436, "oos_sharpe": 0.094 }, { "ma": 200, "full_sharpe": 0.374, "full_cagr": 0.0893, "oos_sharpe": 0.36 }, { "ma": 250, "full_sharpe": 0.525, "full_cagr": 0.1285, "oos_sharpe": 0.374 }, { "ma": 300, "full_sharpe": 0.509, "full_cagr": 0.1253, "oos_sharpe": 0.35 } ], "cost_bps": [ { "bps": 0, "full_cagr": 0.0928, "full_sharpe": 0.388 }, { "bps": 5, "full_cagr": 0.0893, "full_sharpe": 0.374 }, { "bps": 10, "full_cagr": 0.0859, "full_sharpe": 0.36 }, { "bps": 20, "full_cagr": 0.0791, "full_sharpe": 0.333 }, { "bps": 40, "full_cagr": 0.0655, "full_sharpe": 0.278 } ] }, "subperiods": [ { "label": "2010-06 → 2015-12", "days": 1356, "strategies": { "market": { "cagr": 0.2168, "sharpe": 0.66, "max_dd": -0.5483 }, "trend": { "cagr": 0.1727, "sharpe": 0.642, "max_dd": -0.493 }, "ma60": { "cagr": 0.1599, "sharpe": 0.605, "max_dd": -0.4948 }, "dual": { "cagr": 0.2358, "sharpe": 0.748, "max_dd": -0.5483 }, "voltarget": { "cagr": 0.182, "sharpe": 0.674, "max_dd": -0.5014 }, "voltrend": { "cagr": 0.187, "sharpe": 0.899, "max_dd": -0.248 }, "relmom": { "cagr": 0.0849, "sharpe": 0.324, "max_dd": -0.5483 }, "indmom": { "cagr": 0.0279, "sharpe": 0.129, "max_dd": -0.5611 }, "riskparity": { "cagr": 0.0572, "sharpe": 0.554, "max_dd": -0.1203 }, "eqw": { "cagr": 0.1217, "sharpe": 0.52, "max_dd": -0.3835 } } }, { "label": "2016-01 → 2019-12", "days": 975, "strategies": { "market": { "cagr": -0.0956, "sharpe": -0.355, "max_dd": -0.5488 }, "trend": { "cagr": -0.0798, "sharpe": -0.746, "max_dd": -0.4201 }, "ma60": { "cagr": -0.0957, "sharpe": -0.736, "max_dd": -0.4366 }, "dual": { "cagr": -0.0202, "sharpe": -0.275, "max_dd": -0.3073 }, "voltarget": { "cagr": -0.0906, "sharpe": -0.479, "max_dd": -0.537 }, "voltrend": { "cagr": -0.0635, "sharpe": -0.753, "max_dd": -0.3796 }, "relmom": { "cagr": -0.0121, "sharpe": -0.089, "max_dd": -0.3525 }, "indmom": { "cagr": 0.0692, "sharpe": 0.324, "max_dd": -0.2226 }, "riskparity": { "cagr": 0.0347, "sharpe": 0.178, "max_dd": -0.0209 }, "eqw": { "cagr": -0.0268, "sharpe": -0.268, "max_dd": -0.31 } } }, { "label": "2020-01 → 2021-12", "days": 486, "strategies": { "market": { "cagr": 0.3818, "sharpe": 1.168, "max_dd": -0.2286 }, "trend": { "cagr": 0.2735, "sharpe": 0.897, "max_dd": -0.3032 }, "ma60": { "cagr": 0.1823, "sharpe": 0.7, "max_dd": -0.2249 }, "dual": { "cagr": 0.3818, "sharpe": 1.168, "max_dd": -0.2286 }, "voltarget": { "cagr": 0.413, "sharpe": 1.468, "max_dd": -0.1661 }, "voltrend": { "cagr": 0.334, "sharpe": 1.235, "max_dd": -0.2271 }, "relmom": { "cagr": 0.2648, "sharpe": 0.9, "max_dd": -0.2106 }, "indmom": { "cagr": 0.2428, "sharpe": 0.838, "max_dd": -0.2106 }, "riskparity": { "cagr": 0.0564, "sharpe": 1.837, "max_dd": -0.0097 }, "eqw": { "cagr": 0.181, "sharpe": 0.937, "max_dd": -0.1234 } } }, { "label": "2022-01 → 2026-11", "days": 1172, "strategies": { "market": { "cagr": -0.0524, "sharpe": -0.076, "max_dd": -0.5278 }, "trend": { "cagr": 0.0788, "sharpe": 0.36, "max_dd": -0.2955 }, "ma60": { "cagr": 0.1293, "sharpe": 0.571, "max_dd": -0.2072 }, "dual": { "cagr": -0.0018, "sharpe": 0.036, "max_dd": -0.4471 }, "voltarget": { "cagr": -0.0858, "sharpe": -0.348, "max_dd": -0.5542 }, "voltrend": { "cagr": 0.073, "sharpe": 0.416, "max_dd": -0.1946 }, "relmom": { "cagr": -0.0602, "sharpe": -0.183, "max_dd": -0.4853 }, "indmom": { "cagr": -0.063, "sharpe": -0.278, "max_dd": -0.4148 }, "riskparity": { "cagr": 0.0435, "sharpe": 1.135, "max_dd": -0.0191 }, "eqw": { "cagr": -0.0116, "sharpe": -0.087, "max_dd": -0.3213 } } } ] } }