华泰七因子择时方法复刻

C 为指数收盘价，U 为换手率。滚动窗口包含信号当日，只有创新高参照窗口明确排除当日。以下是实际实现的固定约定。

布林上下轨为 20 日均值 ± 2 倍总体标准差（ddof=0），包括因子层布林带。所有单项因子初态为 0，未触发或恰好相等时延续前态；创新高占比与换手波动率仅取 0 / +1，其余因子可取 −1。综合得分中性区则直接退出到现金，与单项状态延续分开处理。

Wilder 平滑以首个完整 20 日简单均值初始化，随后递推；创新高采用严格大于，既不使用日内最高价，也不把相等算作新高。缺失数据不填补，不在缺失因子时重新分配七项权重；未就绪信号不触发持仓，共同比较需要华泰与 QRS 同时完成暖启动。

[
  "保留7项量价指标，未使用期权IV、期权PCR及需完整历史成分映射的涨停占比；并非原报告10指标完整复现。",
  "未公开的二层信号窗口本地统一20，布林2倍总体标准差，ADX采用Wilder种子与递推，新高以收盘严格突破此前20日最高收盘定义。",
  "7项信号等权；综合分大于0.33持仓，否则现金。单因子布林带内保持状态；QRS上下0.7迟滞，初始现金。",
  "2022—2025为原研究样本内的历史复核。2026是原文发表后的历史观察，但本地改造参数本次才冻结，仍不是真正前瞻。",
  "信号收盘形成，下一指数交易日ETF复权开盘执行，后一交易日复权开盘估值；全程连续运行，年度按估值日归属，只有全程末端卖出。",
  "买卖每边手续费1bp，加2bp滑点及冲击代理；5/10bp压力口径均为每边总成本，不另加隐含费用。未建模订单规模及开盘盘口容量。",
  "缺失报价失败关闭；零成交额/成交量时阻止调仓，保留原持仓并以有效价格估值；日线成交代理不能证明开盘实际成交。",
  "只做多或现金，无杠杆，现金收益0，ETF自身费用反映在价格中；固定四只历史已上市ETF并非全市场可投资ETF筛选。",
  "收益按252个交易日年化；标准夏普为日均净收益/日净收益样本标准差×√252；最大回撤包含初始净值1。",
  "成本、阈值上下邻域和多滞后一日为预先固定的敏感性分析，不据此改选主参数；2026不完整年度展示累计收益。",
  "源表是当前历史行情快照，数据库未提供完整历史修订版本；当时可得数据的版本差异仍无法全面排除。"
]

{
  "price_window": 20,
  "turnover_short_window": 20,
  "turnover_long_window": 60,
  "adx_window": 20,
  "new_high_lookback": 20,
  "new_high_count_window": 20,
  "turnover_vol_window": 60,
  "price_momentum_window": 20,
  "signal_window": 20,
  "adx_signal_window": 20,
  "bollinger_std_multiplier": 2.0,
  "std_ddof": 0,
  "huatai_threshold": 0.33,
  "qrs_regression_window": 18,
  "qrs_standardization_window": 600,
  "qrs_threshold": 0.7
}

{
  "status": "passed",
  "passed": 36,
  "elapsed_seconds": 0.82,
  "command": ".venv/Scripts/python.exe -X utf8 -B -m pytest tests/test_huatai_timing_signals.py tests/test_huatai_timing_backtest.py tests/test_huatai_timing_data.py tests/test_m07_sae_backtest.py -q",
  "coverage": [
    "未来扰动不改变历史信号",
    "QRS手工OLS核对",
    "完整暖启动",
    "严格下一日开盘执行",
    "缺失行情失败关闭",
    "复权连续性",
    "停牌禁止交易而保留估值",
    "跨年连续仓位",
    "末端清仓只影响最终期",
    "标准日频夏普",
    "缓存请求一致性",
    "旧M07执行器回归"
  ],
  "independent_review": "两个代理复核信号与执行链路；配置口径硬编码已加v1固定值校验"
}

{
  "source": "configured Team Project MySQL",
  "read_only": true,
  "tlsj_used": false,
  "captured_at": "2026-09-07T16:06:40.490569+08:00",
  "queries": [
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      "sql": "SELECT td_date AS td_date, index_code AS index_code, index_short_name AS index_short_name, exchange AS exchange, sec_id AS sec_id, CAST(latest_index AS DOUBLE) AS latest_trans, CAST(chg_ratio AS DOUBLE) AS chg_ratio, CAST(open_index AS DOUBLE) AS open_price, CAST(high_index AS DOUBLE) AS high_trans, CAST(low_index AS DOUBLE) AS low_trans, CAST(last_close AS DOUBLE) AS pre_close, CAST(trans_amt AS DOUBLE) AS trans_amt_rmb, CAST(vol AS DOUBLE) AS trans_vol, CAST(turnover_rate AS DOUBLE) AS turnover_ratio FROM ls_index_daily_quotation WHERE isvalid=1 AND td_date BETWEEN %(start)s AND %(end)s AND ((index_code=%(code_0)s AND index_short_name=%(name_0)s AND exchange=%(exchange_0)s) OR (index_code=%(code_1)s AND index_short_name=%(name_1)s AND exchange=%(exchange_1)s) OR (index_code=%(code_2)s AND index_short_name=%(name_2)s AND exchange=%(exchange_2)s) OR (index_code=%(code_3)s AND index_short_name=%(name_3)s AND exchange=%(exchange_3)s)) ORDER BY td_date, index_code",
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        "end": "2026-09-07",
        "code_0": "000300",
        "name_0": "沪深300",
        "exchange_0": "上交所",
        "code_1": "000905",
        "name_1": "中证500",
        "exchange_1": "上交所",
        "code_2": "000906",
        "name_2": "中证800",
        "exchange_2": "上交所",
        "code_3": "000852",
        "name_3": "中证1000",
        "exchange_3": "上交所"
      }
    },
    {
      "sql": "SELECT sec_code AS etf_code, sec_id, td_date,\n                    CAST(open_price AS DOUBLE) AS open_price,\n                    CAST(latest_trans AS DOUBLE) AS close_price,\n                    CAST(high_trans AS DOUBLE) AS high_price,\n                    CAST(low_trans AS DOUBLE) AS low_price,\n                    CAST(pre_close AS DOUBLE) AS pre_close,\n                    CAST(af_alg1 AS DOUBLE) AS adjustment_factor,\n                    CAST(trans_amt_rmb AS DOUBLE) AS amount_rmb,\n                    CAST(trans_vol AS DOUBLE) AS volume\n                    FROM fund_stock_daily_quotation WHERE isvalid=1\n                    AND td_date BETWEEN %(start)s AND %(end)s AND ((sec_code=%(code0)s AND sec_id=%(id0)s) OR (sec_code=%(code1)s AND sec_id=%(id1)s) OR (sec_code=%(code2)s AND sec_id=%(id2)s) OR (sec_code=%(code3)s AND sec_id=%(id3)s)) ORDER BY sec_code,td_date LIMIT 20001",
      "parameters": {
        "start": "2021-11-01",
        "end": "2026-09-07",
        "code0": "510300",
        "id0": "S000056104",
        "code1": "512100",
        "id1": "S000866106",
        "code2": "510500",
        "id2": "S000117764",
        "code3": "515800",
        "id3": "S001833295"
      }
    }
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    "evidence_sha256": "9ce12660042ced4afcd86aa62d2e3820331c484e0dbeb9533688a240fbdc11d6"
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  "index": {
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    "indices": 4,
    "start_date": "2016-01-04",
    "end_date": "2026-09-07",
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    "content_sha256": "50baebc66f869c6f15cdcee617a7a8e334e8fa4425a78523a9f5abe030254a16",
    "forward_fill_used": false
  },
  "etf": {
    "rows": 4716,
    "duplicate_keys": 0,
    "factor_direction": {
      "convention": "adjusted_price = raw_price * adjustment_factor",
      "factor_change_events": 15,
      "valid_continuity_events": 15,
      "mean_continuity_gap": -7.12094690104396e-06,
      "median_continuity_gap": -3.3306690738754696e-16,
      "max_abs_continuity_gap": 0.00014652067389675505
    },
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        "min": "2021-11-01 00:00:00",
        "max": "2026-09-07 00:00:00",
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        "min": "2021-11-01 00:00:00",
        "max": "2026-09-07 00:00:00",
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        "min": "2021-11-01 00:00:00",
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    "zero_volume_or_amount_rows": 1,
    "forward_fill_used": false
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  "elapsed_seconds": 46.3,
  "files": {
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}

{
  "version": "huatai-seven-factor-adaptation-v1",
  "classification": "方法复刻改造版，非原报告严格复现",
  "source_start": "2016-01-01",
  "source_end": "2026-09-07",
  "etf_source_start": "2021-11-01",
  "evaluation_start": "2022-01-01",
  "historical_end": "2025-12-31",
  "source_publication_date": "2025-12-26",
  "commission_bps_per_side": 1.0,
  "base_slippage_bps_per_side": 2.0,
  "stress_total_bps_per_side": [
    5.0,
    10.0
  ],
  "huatai_threshold": 0.33,
  "huatai_sensitivity_thresholds": [
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    0.45
  ],
  "qrs_sensitivity_thresholds": [
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    0.9
  ],
  "execution_delay": 1,
  "stress_execution_delay": 2,
  "cash_return": 0.0,
  "annualization_days": 252,
  "parameter_selection": "固定原文已披露参数；未披露二层窗口本地统一20，布林倍数2；不按收益选参",
  "random_seed": null,
  "universe": [
    {
      "code": "000300",
      "name": "沪深300",
      "exchange": "上交所",
      "etf_code": "510300"
    },
    {
      "code": "000905",
      "name": "中证500",
      "exchange": "上交所",
      "etf_code": "510500"
    },
    {
      "code": "000906",
      "name": "中证800",
      "exchange": "上交所",
      "etf_code": "515800"
    },
    {
      "code": "000852",
      "name": "中证1000",
      "exchange": "上交所",
      "etf_code": "512100"
    }
  ],
  "sources": [
    {
      "title": "华泰：A股择时最佳的十大技术指标（2025-12-26）",
      "url": "https://wallstreetcn.com/articles/3762351"
    },
    {
      "title": "中金：QRS择时信号（2021-01-22）",
      "url": "https://finance.sina.com.cn/stock/stockzmt/2021-01-22/doc-ikftpnny0430498.shtml"
    }
  ],
  "signal_config": {
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    "turnover_short_window": 20,
    "turnover_long_window": 60,
    "adx_window": 20,
    "new_high_lookback": 20,
    "new_high_count_window": 20,
    "turnover_vol_window": 60,
    "price_momentum_window": 20,
    "signal_window": 20,
    "adx_signal_window": 20,
    "bollinger_std_multiplier": 2.0,
    "std_ddof": 0,
    "huatai_threshold": 0.33,
    "qrs_regression_window": 18,
    "qrs_standardization_window": 600,
    "qrs_threshold": 0.7
  },
  "frozen_at": "2026-09-07T16:06:40.470101+08:00",
  "no_return_based_parameter_selection": true
}

{
  "runs": 72,
  "all_cash_identities_passed": true,
  "unfilled_transitions": 4,
  "opening_fill_verified": false
}

{
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  "src/quant_research/index_rotation_v4_etf.py": "9c769e19ea54e57fe67e38eba9743586e51e6d627cada7f78863fb1a5dd4965b"
}

[
  {
    "title": "华泰：A股择时最佳的十大技术指标（2025-12-26）",
    "url": "https://wallstreetcn.com/articles/3762351"
  },
  {
    "title": "中金：QRS择时信号（2021-01-22）",
    "url": "https://finance.sina.com.cn/stock/stockzmt/2021-01-22/doc-ikftpnny0430498.shtml"
  }
]