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Add 32 factor-combo strategies with configurable rebalancing frequency

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New FactorComboStrategy class (strategies/factor_combo.py) implements
8 champion factor signals (4 US, 4 CN) discovered through iterative
factor research, each at 4 rebalancing frequencies (daily/weekly/
biweekly/monthly). Registered in trader.py as fc_{signal}_{freq}.

Existing strategies and state files are untouched — safe to git pull
and restart monitor on server.

Also includes factor research scripts (factor_loop.py, factor_research.py,
etc.) used to discover and validate these factors.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-04-08 10:41:34 +08:00
parent a66b039d2d
commit ae25f2f6b5
13 changed files with 3402 additions and 1 deletions
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36
trader.py
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@@ -40,6 +40,7 @@ import yfinance as yf
import data_manager
from strategies.buy_and_hold import BuyAndHoldStrategy
from strategies.dual_momentum import DualMomentumStrategy
from strategies.factor_combo import FactorComboStrategy
from strategies.inverse_vol import InverseVolatilityStrategy
from strategies.momentum import MomentumStrategy
from strategies.momentum_quality import MomentumQualityStrategy
@@ -52,6 +53,7 @@ from universe import UNIVERSES
# ---------------------------------------------------------------------------
STRATEGY_REGISTRY = {
# --- Original strategies ---
"recovery_mom_top10": lambda **kw: RecoveryMomentumStrategy(top_n=10),
"recovery_mom_top20": lambda **kw: RecoveryMomentumStrategy(top_n=20),
"recovery_mom_top50": lambda **kw: RecoveryMomentumStrategy(top_n=50),
@@ -61,6 +63,40 @@ STRATEGY_REGISTRY = {
"inverse_vol": lambda **kw: InverseVolatilityStrategy(vol_window=20),
"trend_following": lambda **kw: TrendFollowingStrategy(top_n=kw.get("top_n", 20)),
"buy_and_hold": lambda **kw: BuyAndHoldStrategy(),
# --- Factor combo: US champions ---
"fc_rec_mfilt_deep_upvol_daily": lambda **kw: FactorComboStrategy("rec_mfilt+deep_upvol", rebal_freq=1),
"fc_rec_mfilt_deep_upvol_weekly": lambda **kw: FactorComboStrategy("rec_mfilt+deep_upvol", rebal_freq=5),
"fc_rec_mfilt_deep_upvol_biweekly": lambda **kw: FactorComboStrategy("rec_mfilt+deep_upvol", rebal_freq=10),
"fc_rec_mfilt_deep_upvol_monthly": lambda **kw: FactorComboStrategy("rec_mfilt+deep_upvol", rebal_freq=21),
"fc_ma200_mom7m_rec126_daily": lambda **kw: FactorComboStrategy("ma200+mom7m+rec126", rebal_freq=1),
"fc_ma200_mom7m_rec126_weekly": lambda **kw: FactorComboStrategy("ma200+mom7m+rec126", rebal_freq=5),
"fc_ma200_mom7m_rec126_biweekly": lambda **kw: FactorComboStrategy("ma200+mom7m+rec126", rebal_freq=10),
"fc_ma200_mom7m_rec126_monthly": lambda **kw: FactorComboStrategy("ma200+mom7m+rec126", rebal_freq=21),
"fc_rec_mfilt_ma200_daily": lambda **kw: FactorComboStrategy("rec_mfilt+ma200", rebal_freq=1),
"fc_rec_mfilt_ma200_weekly": lambda **kw: FactorComboStrategy("rec_mfilt+ma200", rebal_freq=5),
"fc_rec_mfilt_ma200_biweekly": lambda **kw: FactorComboStrategy("rec_mfilt+ma200", rebal_freq=10),
"fc_rec_mfilt_ma200_monthly": lambda **kw: FactorComboStrategy("rec_mfilt+ma200", rebal_freq=21),
"fc_mom7m_rec126_daily": lambda **kw: FactorComboStrategy("mom7m+rec126", rebal_freq=1),
"fc_mom7m_rec126_weekly": lambda **kw: FactorComboStrategy("mom7m+rec126", rebal_freq=5),
"fc_mom7m_rec126_biweekly": lambda **kw: FactorComboStrategy("mom7m+rec126", rebal_freq=10),
"fc_mom7m_rec126_monthly": lambda **kw: FactorComboStrategy("mom7m+rec126", rebal_freq=21),
# --- Factor combo: CN champions ---
"fc_up_cap_quality_mom_daily": lambda **kw: FactorComboStrategy("up_cap+quality_mom", rebal_freq=1),
"fc_up_cap_quality_mom_weekly": lambda **kw: FactorComboStrategy("up_cap+quality_mom", rebal_freq=5),
"fc_up_cap_quality_mom_biweekly": lambda **kw: FactorComboStrategy("up_cap+quality_mom", rebal_freq=10),
"fc_up_cap_quality_mom_monthly": lambda **kw: FactorComboStrategy("up_cap+quality_mom", rebal_freq=21),
"fc_down_resil_qual_mom_daily": lambda **kw: FactorComboStrategy("down_resil+qual_mom", rebal_freq=1),
"fc_down_resil_qual_mom_weekly": lambda **kw: FactorComboStrategy("down_resil+qual_mom", rebal_freq=5),
"fc_down_resil_qual_mom_biweekly": lambda **kw: FactorComboStrategy("down_resil+qual_mom", rebal_freq=10),
"fc_down_resil_qual_mom_monthly": lambda **kw: FactorComboStrategy("down_resil+qual_mom", rebal_freq=21),
"fc_rec63_mom_gap_daily": lambda **kw: FactorComboStrategy("rec63+mom_gap", rebal_freq=1),
"fc_rec63_mom_gap_weekly": lambda **kw: FactorComboStrategy("rec63+mom_gap", rebal_freq=5),
"fc_rec63_mom_gap_biweekly": lambda **kw: FactorComboStrategy("rec63+mom_gap", rebal_freq=10),
"fc_rec63_mom_gap_monthly": lambda **kw: FactorComboStrategy("rec63+mom_gap", rebal_freq=21),
"fc_up_cap_mom_gap_daily": lambda **kw: FactorComboStrategy("up_cap+mom_gap", rebal_freq=1),
"fc_up_cap_mom_gap_weekly": lambda **kw: FactorComboStrategy("up_cap+mom_gap", rebal_freq=5),
"fc_up_cap_mom_gap_biweekly": lambda **kw: FactorComboStrategy("up_cap+mom_gap", rebal_freq=10),
"fc_up_cap_mom_gap_monthly": lambda **kw: FactorComboStrategy("up_cap+mom_gap", rebal_freq=21),
}