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- # 优化后的策略配置
- # 目标: 年化25-35%, 回撤<12%, 夏普>1.5
- risk:
- # 硬止损
- max_drawdown_stop: 0.11 # -11% 清仓 (接近-12%目标)
- max_daily_loss: 0.04 # -4% 单日减仓
- hard_stop_cooldown: 45 # 45天后重置
- # 仓位管理
- position_sizing:
- kelly_fraction: 0.35 # 提高凯利比例
- max_position: 0.7 # 提高最大仓位
- regime_multipliers:
- SPRING: 0.9
- SUMMER: 1.1 # 夏季允许超配
- AUTUMN: 0.4
- WINTER: 0.1
- agents:
- trend_hunter:
- ma_short: 8 # 更敏感的均线
- ma_long: 25
- adx_threshold: 18 # 降低ADX门槛
- rsrs_threshold: 0.55 # 降低RSRS门槛
- max_position: 0.9
- mean_reversion:
- bollinger_period: 20
- bollinger_std: 2.0
- max_position: 0.6
- momentum_surfer:
- breakout_period: 20
- volume_confirm: true
- max_position: 0.7
- routing:
- activation_threshold: 0.02 # 降低激活门槛
- lambda_risk: 0.5 # 平衡风险
- alpha_recent: 0.25 # 适度考虑近期表现
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