42 lines
1.3 KiB
Python
42 lines
1.3 KiB
Python
"""
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阿尔法模块配置
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"""
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from dataclasses import dataclass, field
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from typing import List, Optional
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@dataclass
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class AlphaConfig:
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"""阿尔法研究全局配置"""
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# ---- 数据库 ----
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db_host: str = "192.168.27.15"
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db_port: int = 12345
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db_name: str = "quant_db"
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db_user: str = "postgres"
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db_password: str = "postgres"
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# ---- 回测基础参数 ----
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initial_cash: float = 1_000_000.0 # 初始资金
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benchmark: str = "000300.SH" # 基准指数（沪深300）
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start_date: str = "2020-01-01"
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end_date: str = "2025-12-31"
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# ---- 交易成本 ----
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commission_rate: float = 0.0003 # 佣金费率
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slippage: float = 0.001 # 滑点（百分比）
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stamp_tax: float = 0.001 # 印花税（仅卖出）
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# ---- 组合约束 ----
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max_position_pct: float = 0.10 # 单票最大仓位
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max_turnover: float = 0.20 # 单日最大换手率
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min_holding_period: int = 1 # 最小持仓天数
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# ---- 因子研究参数 ----
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factor_windows: List[int] = field(default_factory=lambda: [5, 10, 20, 60])
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ic_decay_days: int = 20 # IC 衰减分析天数
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# ---- 输出 ----
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output_dir: str = "./output"
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save_trade_log: bool = True
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verbose: bool = False |