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- # 多智能体策略矩阵配置
- # 智能体通用配置
- base:
- # 健康度计算权重
- health_weights:
- sharpe: 0.40 # 近期夏普比率
- regime_adaptation: 0.30 # 生态适应性
- signal_stability: 0.20 # 信号稳定性
- compute_efficiency: 0.10 # 计算效率
- # 健康度分级
- health_levels:
- green: 80
- yellow: 60
- icu: 30
- # 生命周期管理
- lifecycle:
- min_trades_for_evaluation: 20 # 最少交易次数评估
- icu_duration_days: 60 # ICU观察期
- archive_min_trades: 500 # 归档最少交易次数
- archive_max_sharpe: 0.5 # 归档夏普阈值
- # 动态路由配置
- routing:
- # 期望效用计算参数
- utility:
- lambda_risk: 0.5 # 风险惩罚系数
- alpha_recent: 0.3 # 近期表现系数
- activation_threshold: 0.0 # 激活阈值
- # 相关性降权
- correlation:
- threshold: 0.7 # 相关性阈值
- reduction_factor: 0.5 # 降权因子
- # 各智能体配置
- agents:
- # 1. 趋势猎手
- trend_hunter:
- enabled: true
- weight_max: 1.0
- # 信号生成参数
- ma_short: 5
- ma_long: 20
- adx_period: 14
- adx_threshold: 25
- rsrs_threshold: 0.7
- # 最佳生态
- preferred_regimes: ["summer", "spring"]
- # 仓位计算
- position_factor: 1.0
- # 2. 均值回归者
- mean_reversion:
- enabled: true
- weight_max: 0.8
- # 布林带参数
- bb_period: 20
- bb_std: 2.0
- # 卡尔曼滤波参数
- kalman_transition: 1.0
- kalman_observation: 1.0
- # 最佳生态
- preferred_regimes: ["winter", "spring"]
- # 偏离度阈值
- deviation_threshold: 0.02
- position_factor: 0.8
- # 3. 动量冲浪者
- momentum_surfer:
- enabled: true
- weight_max: 0.6
- # 突破参数
- breakout_period: 20
- volume_ratio: 1.5
- # 持有期限制
- max_hold_days: 5
- # 最佳生态
- preferred_regimes: ["summer"]
- # 过滤条件
- avoid_toxic_flow: true
- position_factor: 0.6
- # 4. 结构套利者
- structure_arbitrage:
- enabled: true
- weight_max: 0.5
- # 期现背离阈值
- basis_threshold: 0.005
- # 配对交易参数
- pair_correlation_min: 0.8
- pair_zscore_threshold: 2.0
- # 最佳生态
- preferred_regimes: ["autumn"]
- position_factor: 0.5
- # 5. 波动率卖家
- volatility_seller:
- enabled: false # 需要期权支持，默认关闭
- weight_max: 0.4
- # IV Rank阈值
- iv_rank_high: 80
- iv_rank_low: 20
- # 策略类型: "straddle", "strangle", "iron_condor"
- strategy_type: "strangle"
- # 最佳生态
- preferred_regimes: ["summer", "spring"]
- avoid_regimes: ["autumn"]
- position_factor: 0.4
- # 6. 事件驱动者
- event_driven:
- enabled: true
- weight_max: 0.3
- # 事件类型
- event_types:
- - policy # 政策发布
- - earnings # 财报
- - index_rebalance # 指数调整
- - macro_data # 宏观数据
- # 历史回测窗口
- lookback_events: 10
- # 最佳生态
- preferred_regimes: ["all"]
- position_factor: 0.3
- # 持有期
- max_hold_days: 3
- # 智能体协同配置
- coordination:
- # 信号冲突处理
- conflict_resolution:
- method: "confidence_weighted" # "confidence_weighted", "higher_wins", "cancel"
- min_confidence_diff: 0.2 # 最小置信度差才执行
- # 信号叠加增强
- reinforcement:
- enabled: true
- same_direction_agents: 3 # 同向智能体数量阈值
- position_boost: 0.2 # 仓位提升幅度
- stop_tighten: 0.5 # 止损收紧幅度
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