45 lines
928 B
JSON
45 lines
928 B
JSON
{
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"initial_cash": 1000000.0,
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"symbols": [
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"600000.XSHG",
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"000001.XSHE",
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"300750.XSHE",
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"000333.XSHE"
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],
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"universe": {
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"mode": "pit_index",
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"index_symbol": "000905.XSHG",
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"qmt_sector_name": "中证500",
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"dedicated_account_required": true,
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"exclude_st": true
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},
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"fees": {
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"commission_rate": 0.0002,
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"minimum_commission": 5.0,
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"stamp_duty_rate": 0.0005,
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"transfer_fee_rate": 0.00001
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},
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"execution": {
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"lot_size": 100,
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"participation_rate": 0.1,
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"slippage_bps": 2.0,
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"cancel_open_orders_at_end": true
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},
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"strategy": {
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"lookback": 20,
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"skip": 0,
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"top_n": 20,
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"max_weight": 0.05,
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"gross_target": 0.95,
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"cash_buffer": 0.02,
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"rebalance_every": 5,
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"rebalance_schedule": "weekly_first_close"
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},
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"synthetic": {
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"start_date": "2024-01-02",
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"trading_days": 90,
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"seed": 60,
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"base_volume": 100000
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}
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}
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