diff --git a/sanguo_factor/weight_profiles/all18_v2b_v1.json b/sanguo_factor/weight_profiles/all18_v2b_v1.json new file mode 100644 index 0000000..8ce6228 --- /dev/null +++ b/sanguo_factor/weight_profiles/all18_v2b_v1.json @@ -0,0 +1,119 @@ +{ + "profile_id": "all18-v2b-v1", + "name": "all18 v2b 财务市值中性化+双组加权", + "method": "icir_fit_neutralized", + "fit_window": { + "start": "2018-01", + "end": "2021-06", + "note": "quant 12 源权重=quant12-icirfit-v1 原值不动(组内相对结构保持); fund_neu 6 源=fund-p2-neu-h1 批月度IC拟合(市值中性化后战绩); 组间 50/50(对齐 v1.1 all18 等权组结构,v2b vs v1.1 差异=组内权重+中性化); horizon=5d; 方向=v1.1 已定不重选" + }, + "constraints": { + "non_negative": true, + "cap_2x_mean": "组内", + "zeroed": [], + "capped": [] + }, + "neutralization": { + "variable": "close*share_capital(总市值)", + "reason": "2021后微盘风格代理稀释; BP不进变量(fund_bp自回归恒零+BP为quant外增量信息)", + "batch_evidence": "fund-p2-neu h1/h2: 无一源恶化, NSI h2 5d IC +78%" + }, + "sources": { + "vma_60": { + "direction": "+", + "weight": 0.047686, + "v2a_weight": 0.095372 + }, + "alpha16": { + "direction": "+", + "weight": 0.071765, + "v2a_weight": 0.143531 + }, + "alpha83": { + "direction": "+", + "weight": 0.051235, + "v2a_weight": 0.10247 + }, + "alpha12": { + "direction": "+", + "weight": 0.059617, + "v2a_weight": 0.119235 + }, + "alpha2": { + "direction": "+", + "weight": 0.039906, + "v2a_weight": 0.079812 + }, + "alpha42": { + "direction": "+", + "weight": 0.016915, + "v2a_weight": 0.03383 + }, + "vol_ma5": { + "direction": "-", + "weight": 0.03607, + "v2a_weight": 0.07214 + }, + "wvma_20": { + "direction": "-", + "weight": 0.033263, + "v2a_weight": 0.066525 + }, + "klow": { + "direction": "-", + "weight": 0.045555, + "v2a_weight": 0.09111 + }, + "cord_5": { + "direction": "-", + "weight": 0.043821, + "v2a_weight": 0.087642 + }, + "kup": { + "direction": "-", + "weight": 0.021687, + "v2a_weight": 0.043373 + }, + "alpha81": { + "direction": "-", + "weight": 0.03248, + "v2a_weight": 0.06496 + }, + "fund_bp_neu": { + "direction": "+", + "weight": 0.072888, + "fit_icir": 0.4152 + }, + "fund_nsi_neu": { + "direction": "+", + "weight": 0.032477, + "fit_icir": 0.185 + }, + "fund_gp_over_m_neu": { + "direction": "+", + "weight": 0.108156, + "fit_icir": 0.6161 + }, + "fund_gdhs_chg_neu": { + "direction": "+", + "weight": 0.083193, + "fit_icir": 0.4739 + }, + "fund_growth_scissors_neu": { + "direction": "+", + "weight": 0.1087, + "fit_icir": 0.6192 + }, + "fund_sue_np_neu": { + "direction": "+", + "weight": 0.094586, + "fit_icir": 0.5388 + } + }, + "overrides": [], + "created": "2026-09-11", + "baseline": { + "all18_v11_h2_5d": 0.647, + "quant12_v2a_h2_5d": 0.842 + } +} \ No newline at end of file