UsEquityStrategies

English

Standalone us_equity strategy repository for QuantStrategyLab platforms.

This repository is the strategy layer: it owns pure signal, allocation, and target-computation logic plus strategy metadata. Downstream platform repositories still own broker adapters, order routing, schedule, secrets, and notifications.

Contract boundary

The current integration path is:

runtime profiles expose manifest-backed unified entrypoints
downstream platforms load those entrypoints through QuantPlatformKit
strategy outputs stay inside the shared StrategyDecision contract
broker-specific execution order, UI rows, and notification layout stay in platform repositories

Legacy strategy functions may still exist as internal adapters, but downstream runtimes should treat entrypoints/ and manifests as the supported integration surface.

Authoring and portability guides

docs/us_equity_strategy_template.md: template for adding a new US equity profile in this repository.
docs/us_equity_portability_checklist.md: reviewer checklist before enabling a profile on broker runtimes.
docs/us_equity_contract_gap_matrix.md: runtime-enabled profile contract gaps versus the cross-platform target.
docs/us_equity_value_mode_input_contract.md: fixed canonical input contract for the two current value-mode profiles.
docs/us_equity_strategy_status.zh-CN.md: Chinese operator-facing status handbook for switchable profiles, input modes, research candidates, and archived backtest evidence.
docs/research/mega_cap_leader_rotation.md: mega-cap leader rotation research notes and dynamic top20 runtime profile notes.

Strategy index

Canonical profile	Display name	Compatible platforms	Cadence	Benchmark	Role	Status
`global_etf_rotation`	Global ETF Rotation	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`quarterly + daily canary`	`VOO`	`defensive_rotation`	`runtime_enabled`
`russell_1000_multi_factor_defensive`	Russell 1000 Multi-Factor	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`monthly`	`SPY`	`defensive_stock_baseline`	`runtime_enabled`
`tech_communication_pullback_enhancement`	Tech/Communication Pullback Enhancement	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`monthly`	`QQQ`	`parallel_cash_buffer_branch`	`runtime_enabled`
`mega_cap_leader_rotation_dynamic_top20`	Mega Cap Leader Rotation Dynamic Top20	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`monthly`	`QQQ`	`concentrated_leader_rotation`	`runtime_enabled`
`mega_cap_leader_rotation_aggressive`	Mega Cap Leader Rotation Aggressive	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`monthly`	`QQQ`	`aggressive_leader_rotation`	`runtime_enabled`
`mega_cap_leader_rotation_top50_balanced`	Mega Cap Leader Rotation Top50 Balanced	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`monthly`	`QQQ`	`balanced_leader_rotation`	`runtime_enabled`
`dynamic_mega_leveraged_pullback`	Dynamic Mega Leveraged Pullback	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`monthly snapshot + daily runtime`	`QQQ`	`offensive_leveraged_pullback`	`runtime_enabled`
`tqqq_growth_income`	TQQQ Growth Income	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`daily`	`QQQ`	`offensive_dual_drive`	`runtime_enabled`
`soxl_soxx_trend_income`	SOXL/SOXX Semiconductor Trend Income	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	`daily`	`SOXX`	`sector_offensive_income`	`runtime_enabled`

These strategies are consumed by platform repositories through QuantPlatformKit strategy contracts and component loaders. Canonical profile keys are the runtime-facing layer; display names are the human-facing layer. Compatibility here means the strategy is structurally usable on that broker stack. Each deployment explicitly selects its strategy with STRATEGY_PROFILE; platform repositories own rollout enablement and broker-specific runtime wiring.

Cadence here is the strategy-level intent. Platform repositories own the actual Cloud Scheduler / GitHub Actions cron settings:

daily profiles: run once per trading day near the US close.
global_etf_rotation: evaluate canary risk daily, but perform normal rotation only on the last NYSE trading day of March, June, September, and December.
monthly snapshot profiles: publish feature snapshots monthly from UsEquitySnapshotPipelines, then execute once in the downstream runtime's monthly window.

Account-size suitability

Current platform runtimes place integer-share orders. They do not assume fractional-share execution. Small accounts can therefore diverge materially from the weight-based research backtests, especially for multi-stock strategies and high-priced ETFs. Live entrypoints do not hard-block small accounts, but they emit small_account_warning=true in diagnostics when account equity is below the suggested minimum.

Canonical profile	Suggested minimum equity	Small-account behavior
`tqqq_growth_income`	`500 USD`	Most suitable for small accounts; TQQQ can usually trade, but BOXX/cash targets may drift.
`soxl_soxx_trend_income`	`1000 USD`	Can run with drift; SOXX/BOXX legs may be skipped when target value cannot buy 1 share.
`global_etf_rotation`	`3000 USD`	Top-2 ETF rotation can drift when selected ETFs are too expensive for the account.
`mega_cap_leader_rotation_dynamic_top20`	`10000 USD`	The strategy may collapse from 4 names to 1 name plus BOXX/cash.
`mega_cap_leader_rotation_aggressive`	`10000 USD`	The top-3 concentrated stock basket can collapse to fewer names; integer shares can materially change risk.
`mega_cap_leader_rotation_top50_balanced`	`10000 USD`	The fixed 50% Top2 / 50% Top4 sleeve blend can drift when integer shares cannot represent the intended unequal weights.
`dynamic_mega_leveraged_pullback`	`10000 USD`	The top3/max80 2x product backtest is not reproducible at 200-1000 USD.
`tech_communication_pullback_enhancement` (`qqq_tech_enhancement` legacy alias)	`10000 USD`	Small accounts reduce position count and single-name concentration rises.
`russell_1000_multi_factor_defensive`	`30000 USD`	The default 24-stock basket is not suitable for small accounts.

The warning is advisory. It is meant to make dry-runs, Telegram messages, and reports explicit about the gap between account size and backtest assumptions.

Research candidates

mega_cap_leader_rotation_dynamic_top20: runtime-enabled monthly profile for the historical dynamic top-20 mega-cap universe. It keeps the research defaults that held 4 names at a 25% single-name cap and uses QQQ 200-day trend to reduce stock exposure to 50% when QQQ is below trend.
mega_cap_leader_rotation_aggressive: runtime-enabled monthly profile for higher-return mega-cap leader rotation. It uses the same feature snapshot contract, defaults to top-3 at a 35% single-name cap, and does not de-risk on QQQ trend by default. Historical static expanded-pool research is higher-return but has lookback bias; production should consume a transparent monthly snapshot.
mega_cap_leader_rotation_top50_balanced: runtime-enabled monthly profile for the current Top50 balanced candidate. It consumes a transparent Top50 monthly snapshot and runs a fixed 50% Top2 cap50 sleeve plus 50% Top4 cap25 sleeve, with no broad QQQ trend de-risking by default.
mega_cap_leader_rotation: umbrella research/backtest name for the static and dynamic variants; see docs/research/mega_cap_leader_rotation.md.

global_etf_rotation

Objective

Keep a broad, lower-beta rotation framework for US equity accounts.
Stay open to leadership from tech and semiconductors without concentrating only in high-beta products.
Fall back to a short-duration safe haven when the cross-asset risk picture is weak.

Universe

22 rotation ETFs: EWY, EWT, INDA, FXI, EWJ, VGK, VOO, XLK, SMH, GLD, SLV, USO, DBA, XLE, XLF, ITA, XLP, XLU, XLV, IHI, VNQ, KRE
Canary basket: SPY, EFA, EEM, AGG
Safe haven: BIL

Indicators and rules

Momentum uses Keller-style 13612W monthly momentum: (12×R1M + 4×R3M + 2×R6M + R12M) / 19.
Trend filter: candidate ETF must be above its 200-day SMA.
Hold bonus: an existing holding receives +2% score bonus to reduce turnover.
Daily canary check: if all 4 canary assets have negative or missing momentum, the strategy goes 100% BIL immediately.

Rebalance behavior

Normal rotation only happens on the last NYSE trading day of March, June, September, and December.
On a rebalance day, the strategy ranks the eligible universe and selects the top 2 ETFs.
Selected ETFs are equally weighted (50 / 50).
If fewer than 2 names survive, the unused slot is parked in BIL.
On non-rebalance days, the strategy returns no target change unless the canary emergency path is triggered.

Why it exists

Compared with a pure tech or leveraged-Nasdaq approach, this profile is meant to be steadier.
It still allows VOO, XLK, and SMH to win their way into the rotation instead of hard-coding them out.

russell_1000_multi_factor_defensive

Objective

Provide a first stock-level US equity strategy that stays close to the current platform architecture.
Start with a price-only factor stack before adding fundamentals or ML reranking.
Keep execution realistic by consuming a precomputed feature snapshot instead of fetching 1000 symbols live during the rebalance run.

Universe

Point-in-time Russell 1000 constituent snapshot supplied by an upstream data task.
Benchmark row: SPY
Safe haven: BOXX

Signals and rules

Current V1 factors are price-only:
- mom_6_1
- mom_12_1
- sma200_gap
- vol_63
- maxdd_126
Factors are standardized within sector, then combined into one total score.
Existing holdings receive a configurable hold bonus.
Market defense uses:
- SPY trend (sma200_gap > 0)
- breadth = share of eligible universe above 200MA

Portfolio behavior

Rebalance cadence is monthly in the downstream runtime.
Default stock exposure:
- 100% in risk_on
- 50% in soft_defense
- 10% in hard_defense
Default position count is 24.
Unused capital is parked in BOXX.

Feature snapshot schema

Required price-history input columns:
- symbol, as_of, close, volume
Required universe input columns:
- symbol, sector
- optional: start_date, end_date for point-in-time membership during backtests
Generated snapshot columns:
- as_of, symbol, sector, close, volume, adv20_usd, history_days
- mom_6_1, mom_12_1, sma200_gap, vol_63, maxdd_126, eligible

Snapshot pipeline ownership

Feature-snapshot generation, Russell 1000 input preparation, ranking artifacts, and the research backtest CLI now live in ../UsEquitySnapshotPipelines. This repo only owns the runtime strategy logic and catalog metadata.

Use the upstream repo for artifact jobs:

cd ../UsEquitySnapshotPipelines
PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src python scripts/update_russell_1000_input_data.py \
  --output-dir data/input/refreshed/r1000_official_monthly_v2_alias \
  --universe-start 2018-01-01 \
  --price-start 2018-01-01 \
  --extra-symbols QQQ,SPY,BOXX
PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src python scripts/build_russell_1000_feature_snapshot.py \
  --prices data/input/refreshed/r1000_official_monthly_v2_alias/r1000_price_history.csv \
  --universe data/input/refreshed/r1000_official_monthly_v2_alias/r1000_universe_history.csv \
  --output-dir data/output/russell_1000_multi_factor_defensive
PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src python scripts/backtest_russell_1000_multi_factor_defensive.py \
  --prices data/input/refreshed/r1000_official_monthly_v2_alias/r1000_price_history.csv \
  --universe data/input/refreshed/r1000_official_monthly_v2_alias/r1000_universe_history.csv \
  --output-dir data/output/russell_1000_multi_factor_defensive_backtest

The backtest output directory still includes summary.csv, portfolio_returns.csv, weights_history.csv, and turnover_history.csv.

tqqq_growth_income

Objective

Run the default no-income QQQ / TQQQ dual-drive growth profile.
Keep the legacy income and BOXX symbols in the managed universe so existing holdings can be reduced cleanly.

Portfolio layers

Growth layer: QQQ and TQQQ; broker runtimes can replace the unlevered growth sleeve with a lower-price proxy such as QQQM while keeping QQQ as the signal source.
Default active reserve: 2% cash plus 8% BOXX
Legacy / cleanup layer: BOXX, SPYI, QQQI

Signals and indicators

Uses daily QQQ history as the signal source.
dual_drive_unlevered_symbol controls the tradable unlevered growth sleeve and defaults to QQQ.
The default configuration uses MA200, MA20, and positive MA20 slope.
Retired ATR-staged sizing has been removed from the TQQQ profile; fixed_qqq_tqqq_pullback is the only supported allocation mode.

Default dual-drive rules (QQQ / TQQQ)

Entry requires QQQ > MA200 and positive MA20 slope.
Once risk is active, the profile keeps QQQ 45% / TQQQ 45% / BOXX 8% / cash 2% while QQQ remains above MA200; a short-term negative MA20 slope alone does not force an exit.
If QQQ falls below MA200, the profile exits QQQ and TQQQ, keeps 2% cash, and parks the rest in BOXX by default.
A below-MA200 pullback state can still re-enable risk when QQQ > MA20, MA20 slope is positive, and QQQ has rebounded from its rolling 20-day low by more than the dynamic volatility-scaled gate. The default gate is 2.0x the recent 20-day QQQ daily return volatility, which avoids a fixed 3% constant while still filtering weak MA200 chop without changing the normal above-MA200 trend rule.

Income-layer rules (SPYI / QQQI)

The default configuration sets income_threshold_usd = 1_000_000_000, so the income layer is disabled for normal account sizes.
Lowering that threshold opts back into the legacy income sleeve.
QQQI_INCOME_RATIO still decides the split between QQQI and SPYI when the income layer is enabled.

Defense behavior (BOXX and cash)

The fixed dual-drive configuration keeps a small cash buffer and uses BOXX for the remaining idle capital.
BOXX remains a managed symbol so old BOXX holdings can be traded down if present.
Downstream execution decides whether the gap to target is large enough to trade via a rebalance threshold.

Default runtime profile settings

ATTACK_ALLOCATION_MODE = fixed_qqq_tqqq_pullback
DUAL_DRIVE_QQQ_WEIGHT = 0.45, DUAL_DRIVE_TQQQ_WEIGHT = 0.45
DUAL_DRIVE_UNLEVERED_SYMBOL = QQQ
DUAL_DRIVE_CASH_RESERVE_RATIO = 0.02
DUAL_DRIVE_PULLBACK_REBOUND_WINDOW = 20
DUAL_DRIVE_PULLBACK_REBOUND_THRESHOLD_MODE = volatility_scaled
DUAL_DRIVE_PULLBACK_REBOUND_VOLATILITY_MULTIPLIER = 2.0
DUAL_DRIVE_PULLBACK_REBOUND_THRESHOLD = 0.0 (fixed-mode fallback only)
INCOME_THRESHOLD_USD = 1000000000
CASH_RESERVE_RATIO = 0.02
EXECUTION_CASH_RESERVE_RATIO = 0.0
REBALANCE_THRESHOLD_RATIO = 0.01

soxl_soxx_trend_income

Objective

Use the optimized SOXX-gated tiered blend profile for semiconductor exposure.
Keep a dedicated income sleeve for larger accounts without forcing that sleeve to shrink during normal trading-layer changes.

Portfolio layers

Trading layer: SOXL, SOXX, BOXX
Income layer: QQQI, SPYI

Trading-layer rules

The default runtime mode uses a tiered SOXX trend gate to avoid relying on one all-or-nothing threshold.
If SOXX > MA140 * 1.08, the core sleeve targets SOXL 70% + SOXX 20%.
If SOXX > MA140 * 1.06, or an existing SOXL sleeve has not broken MA140 * 0.98, the core sleeve targets SOXL 65% + SOXX 20%.
If the gate is off, the core sleeve holds defensive SOXX 15%.
Unused trading-layer capital is parked in BOXX.

Sizing behavior

The tiered gate directly sets core-sleeve exposure: full, mid, or defensive.
There is no separate account-size deploy-ratio decay in the SOXL/SOXX profile.
The downstream runtime also keeps a cash reserve and only trades when the rebalance gap is large enough.

Income-layer rules

The income layer starts only after total strategy equity crosses income_layer_start_usd.
It ramps linearly to income_layer_max_ratio by 2x that threshold.
Existing income holdings are locked with max(current_income_layer_value, desired_income_layer_value), so the layer only adds capital instead of force-selling down.
New income allocation is split by configurable QQQI / SPYI weights.

Default runtime profile settings

TREND_MA_WINDOW = 140
CASH_RESERVE_RATIO = 0.03
MIN_TRADE_RATIO = 0.01, MIN_TRADE_FLOOR = 100 USD
REBALANCE_THRESHOLD_RATIO = 0.01
ATTACK_ALLOCATION_MODE = soxx_gate_tiered_blend
BLEND_GATE_SOXL_WEIGHT = 0.70, BLEND_GATE_MID_SOXL_WEIGHT = 0.65
BLEND_GATE_ACTIVE_SOXX_WEIGHT = 0.20, BLEND_GATE_DEFENSIVE_SOXX_WEIGHT = 0.15
Gate buffers: entry 8%, mid 6%, exit 2%
Income layer starts at 150000 USD, caps at 15%
Income split: QQQI 70%, SPYI 30%

中文

这是 QuantStrategyLab 的独立美股策略仓。

这个仓库负责纯策略层：信号、仓位、目标权重计算，以及策略元数据。下游平台仓库继续负责券商适配、下单方式、调度、密钥和通知。

契约边界

当前主线集成方式已经固定为：

runtime profile 暴露 manifest 驱动的统一 entrypoint
下游平台通过 QuantPlatformKit 加载这些 entrypoint
策略输出保持在共享 StrategyDecision 契约内
券商专属执行顺序、UI 展示行和通知布局继续留在平台仓库

旧策略函数可以继续作为仓库内部 adapter 存在，但下游运行时应把 entrypoints/ 和 manifest 当成正式接入面。

编写与可移植性文档

docs/us_equity_strategy_template.md：新增美股策略时使用的模板文档。
docs/us_equity_portability_checklist.md：策略进入各券商运行时前的可移植性检查清单。
docs/us_equity_contract_gap_matrix.md：runtime-enabled profile 距离跨平台目标契约的差异矩阵。
docs/us_equity_value_mode_input_contract.md：两条 value-mode 策略的 canonical 输入契约定稿。
docs/us_equity_strategy_status.zh-CN.md：中文运行手册，集中说明可切换 profile、输入类型、研究候选和已归档回测证据。
docs/research/mega_cap_leader_rotation.md：巨头强者轮动的研究说明，以及 dynamic top20 运行 profile 说明。

策略索引

Canonical profile	显示名	兼容平台仓库	策略频率	核心思路
`global_etf_rotation`	全球 ETF 轮动	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	季度调仓 + 每日 canary	22 只全球 ETF 的季度 Top 2 轮动，带每日 canary 防守
`russell_1000_multi_factor_defensive`	罗素1000多因子	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	月频	Russell 1000 个股月频 price-only 选股，带 SPY + breadth 防守和 BOXX 停泊
`tech_communication_pullback_enhancement`	科技通信回调增强	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	月频	tech-heavy 月频个股选择，做受控回调，并显式保留 BOXX 缓冲
`mega_cap_leader_rotation_dynamic_top20`	Mega Cap 动态 Top20 龙头轮动	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	月频	从历史动态 mega-cap top20 池里选 4 只强势龙头，默认单票 25%，QQQ 跌破 200 日线时降到 50% 股票仓位
`mega_cap_leader_rotation_aggressive`	Mega Cap 激进龙头轮动	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	月频	更激进的 mega-cap 龙头轮动，默认 top3、单票 35%，不因 QQQ 趋势默认降仓
`mega_cap_leader_rotation_top50_balanced`	Mega Cap Top50 平衡龙头轮动	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	月频	当前 Top50 平衡候选，固定 50% Top2 cap50 + 50% Top4 cap25，不因 QQQ 趋势默认降仓
`dynamic_mega_leveraged_pullback`	Mega Cap 2x 回调策略	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	月频 snapshot + 日频运行	动态 mega-cap top15 池里选 top3，使用 QQQ 200SMA/ATR 门槛控制 2x 做多产品仓位，剩余资金停 BOXX
`tqqq_growth_income`	TQQQ 增长收益	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	日频	`QQQ` / `TQQQ` 双轮增长，默认 45% / 45% / 8% BOXX / 2% 现金
`soxl_soxx_trend_income`	SOXL/SOXX 半导体趋势收益	`InteractiveBrokersPlatform`, `CharlesSchwabPlatform`, `LongBridgePlatform`	日频	SOXL / SOXX 趋势切换，剩余资金停在 BOXX，并叠加收入层

这些策略通过 QuantPlatformKit 提供的策略契约和组件加载接口，被各个平台仓库引用。运行时和部署配置统一使用 canonical profile key。这里的策略频率表达的是策略层意图；实际 Cloud Scheduler / GitHub Actions cron 配置由各个平台仓库负责：

日频策略：每个美股交易日临近收盘运行一次。
global_etf_rotation：每日检查 canary 风险，但正常轮动只在 3 / 6 / 9 / 12 月最后一个 NYSE 交易日触发。
月频 snapshot 策略：由 UsEquitySnapshotPipelines 按月发布 feature snapshot，再由下游运行时在月度窗口内执行一次。

小资金适用性

当前平台运行时按整数股下单，不假设碎股执行。因此小账户会明显偏离按权重回测得到的收益和回撤，尤其是多股票组合和高价 ETF。live entrypoint 不会硬性禁止小账户运行，但当账户净值低于建议资金时，会在 diagnostics 里输出 small_account_warning=true。

Canonical profile	建议最低资金	小资金表现
`tqqq_growth_income`	`500 USD`	最适合小账户；通常能买到 TQQQ，但 BOXX / 现金层会有偏差。
`soxl_soxx_trend_income`	`1000 USD`	可以运行但会偏离；SOXX / BOXX 目标金额不够买 1 股时会跳过。
`global_etf_rotation`	`3000 USD`	Top2 ETF 轮动遇到高价 ETF 时会明显偏离。
`mega_cap_leader_rotation_dynamic_top20`	`10000 USD`	可能从 4 只股票降成 1 只股票加 BOXX / 现金。
`mega_cap_leader_rotation_aggressive`	`10000 USD`	top3 集中持股可能退化成更少股票，整数股会明显改变风险。
`mega_cap_leader_rotation_top50_balanced`	`10000 USD`	固定 50% Top2 / 50% Top4 袖珍组合需要不等权持仓，小账户整数股会产生明显偏离。
`dynamic_mega_leveraged_pullback`	`10000 USD`	top3 / max80 的 2x 产品回测，200-1000 USD 账户无法原样复现。
`tech_communication_pullback_enhancement`（历史别名 `qqq_tech_enhancement`）	`10000 USD`	小账户会降低持仓数，单票集中度上升。
`russell_1000_multi_factor_defensive`	`30000 USD`	默认 24 只股票组合，不适合小账户。

这个提示只是软警告。目的是让 dry-run、Telegram 通知和报告明确显示：当前账户资金量和研究回测假设之间存在差距。

研究候选策略

mega_cap_leader_rotation_dynamic_top20：已注册为 runtime-enabled 月频 profile，使用历史动态 mega-cap top20 池，默认选 4 只、单票 25%，QQQ 跌破 200 日线时股票仓位降到 50%。
mega_cap_leader_rotation_aggressive：已注册为 runtime-enabled 月频 profile，目标是更高收益的 mega-cap 龙头轮动。默认 top3、单票 35%，不因 QQQ 趋势默认降仓；静态 expanded 池历史回测更高但有后视偏差，正式运行应消费透明的月度 snapshot。
mega_cap_leader_rotation_top50_balanced：已注册为 runtime-enabled 月频 profile，消费透明 Top50 月度 snapshot，运行固定 50% Top2 cap50 + 50% Top4 cap25 的组合，不默认使用宽基趋势降仓。
mega_cap_leader_rotation：静态池和动态池的研究/回测总称；说明见 docs/research/mega_cap_leader_rotation.md。

global_etf_rotation

策略目标

给美股账户提供一个更分散、波动更低的轮动框架。
不把科技和半导体硬排除在外，但也不把风险全部集中到高弹性品种上。
当跨资产风险明显转弱时，退回短久期避险仓位。

标的池

22 只轮动 ETF：EWY、EWT、INDA、FXI、EWJ、VGK、VOO、XLK、SMH、GLD、SLV、USO、DBA、XLE、XLF、ITA、XLP、XLU、XLV、IHI、VNQ、KRE
Canary 篮子：SPY、EFA、EEM、AGG
避险资产：BIL

指标和规则

动量使用 Keller 风格的 13612W 月频动量：(12×R1M + 4×R3M + 2×R6M + R12M) / 19。
趋势过滤：候选 ETF 必须站上 200 日均线。
持有加分：当前持仓会获得 +2% 分数加成，用来降低换手。
每日 canary 检查：如果 SPY / EFA / EEM / AGG 这 4 个资产的动量全部为负，或缺失到全部失效，就立刻切到 100% BIL。

调仓行为

正常轮动只在 3 / 6 / 9 / 12 月最后一个 NYSE 交易日触发。
到调仓日后，对合格标的打分，选出前 2 名。
前 2 名等权配置，默认 50 / 50。
如果合格标的不满 2 个，空出来的部分停到 BIL。
非调仓日默认不改目标仓位，除非触发 canary 应急防守。

这套策略的定位

相比纯科技或者杠杆纳指路线，这个档位更稳。
但它仍然允许 VOO、XLK、SMH 靠表现进入组合，而不是事先把它们排除。

russell_1000_multi_factor_defensive

策略目标

作为第一版个股策略，先尽量复用现有平台边界。
第一阶段只用价格因子，不急着上基本面和机器学习。
运行时只消费预先算好的 feature snapshot，不在调仓时现场拉 1000 只股票历史数据。

股票池

上游数据任务提供的 Russell 1000 点时成分快照
基准行：SPY
防守资产：BOXX

当前 V1 因子

mom_6_1
mom_12_1
sma200_gap
vol_63
maxdd_126

策略先在行业内做标准化，再合成总分。当前持仓可以拿到一小段 hold bonus。

防守规则

SPY 的 sma200_gap > 0 代表 benchmark 趋势正常
breadth = 合格股票里站上 200MA 的比例
默认风险暴露：
- risk_on：100%
- soft_defense：50%
- hard_defense：10%

组合规则

下游运行时按月调仓
默认持仓数 24
剩余资金停在 BOXX

feature snapshot 输入/输出约定

价格历史输入列：
- symbol、as_of、close、volume
股票池输入列：
- symbol、sector
- 可选：start_date、end_date（用于回测时按日期启用 / 退出成分股）
生成后的 snapshot 列：
- as_of、symbol、sector、close、volume、adv20_usd、history_days
- mom_6_1、mom_12_1、sma200_gap、vol_63、maxdd_126、eligible

Snapshot 流水线归属

Feature snapshot 生成、Russell 1000 输入数据准备、ranking 产物和研究回测 CLI 已迁移到 ../UsEquitySnapshotPipelines。本仓库只保留运行时策略逻辑和策略目录元数据。

产物任务请在上游仓库执行：

cd ../UsEquitySnapshotPipelines
PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src python scripts/update_russell_1000_input_data.py \
  --output-dir data/input/refreshed/r1000_official_monthly_v2_alias \
  --universe-start 2018-01-01 \
  --price-start 2018-01-01 \
  --extra-symbols QQQ,SPY,BOXX
PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src python scripts/build_russell_1000_feature_snapshot.py \
  --prices data/input/refreshed/r1000_official_monthly_v2_alias/r1000_price_history.csv \
  --universe data/input/refreshed/r1000_official_monthly_v2_alias/r1000_universe_history.csv \
  --output-dir data/output/russell_1000_multi_factor_defensive
PYTHONPATH=src:../UsEquityStrategies/src:../QuantPlatformKit/src python scripts/backtest_russell_1000_multi_factor_defensive.py \
  --prices data/input/refreshed/r1000_official_monthly_v2_alias/r1000_price_history.csv \
  --universe data/input/refreshed/r1000_official_monthly_v2_alias/r1000_universe_history.csv \
  --output-dir data/output/russell_1000_multi_factor_defensive_backtest

回测输出目录仍然会包含 summary.csv、portfolio_returns.csv、weights_history.csv、turnover_history.csv。

tqqq_growth_income

策略目标

默认配置采用不带收入层的 QQQ / TQQQ 双轮增长策略。
继续把旧收入层和 BOXX 资产留在管理列表里，方便把已有持仓平滑降下来。

资产层级

增长层：QQQ、TQQQ；券商运行时可以把非杠杆增长袖子换成低单价代理，例如 QQQM，但主信号仍使用 QQQ。
默认激活时：2% 现金加 8% BOXX
旧持仓清理 / 兼容层：BOXX、SPYI、QQQI

信号和指标

以 QQQ 的日线数据作为主信号源。
dual_drive_unlevered_symbol 控制实际交易的非杠杆增长袖子，默认是 QQQ。
默认配置使用 MA200、MA20 和正向 MA20 斜率。
旧 ATR 分段仓位已经从 TQQQ profile 移除；当前只支持 fixed_qqq_tqqq_pullback。

默认双轮规则（QQQ / TQQQ）

入场需要 QQQ > MA200 且 MA20 斜率为正。
一旦进入风险状态，只要 QQQ 仍在 MA200 上方，就维持 QQQ 45% / TQQQ 45% / BOXX 8% / 现金 2%；短期 MA20 斜率转负不会单独触发离场。
如果 QQQ 跌破 MA200，默认退出 QQQ 和 TQQQ，保留 2% 现金，其余转入 BOXX。
在 MA200 下方也保留一段回调参与逻辑：当 QQQ > MA20、MA20 斜率为正，且 QQQ 较滚动 20 日低点的反弹幅度超过动态波动率门槛时，可重新打开风险仓位。默认门槛是最近 20 日 QQQ 日收益波动率的 2.0x，避免使用固定 3% 常数，同时继续过滤较弱的 MA200 附近震荡，不改变 MA200 上方的主趋势规则。

收入层规则（SPYI / QQQI）

默认配置把 income_threshold_usd 设为 1_000_000_000，普通账户规模下等于关闭收入层。
如果以后要重新启用收入层，可以把这个阈值调低。
QQQI_INCOME_RATIO 仍然决定收入层启用时 QQQI 和 SPYI 的拆分比例。

防守行为（BOXX 与现金）

fixed dual-drive 默认配置只保留一小部分现金，剩余闲置资金进入 BOXX。
BOXX 仍保留为管理资产，方便清理旧 BOXX 持仓。
是否真的下单，由下游执行层再结合再平衡阈值判断。

默认运行 profile 配置值

ATTACK_ALLOCATION_MODE = fixed_qqq_tqqq_pullback
DUAL_DRIVE_QQQ_WEIGHT = 0.45，DUAL_DRIVE_TQQQ_WEIGHT = 0.45
DUAL_DRIVE_UNLEVERED_SYMBOL = QQQ
DUAL_DRIVE_CASH_RESERVE_RATIO = 0.02
DUAL_DRIVE_PULLBACK_REBOUND_WINDOW = 20
DUAL_DRIVE_PULLBACK_REBOUND_THRESHOLD_MODE = volatility_scaled
DUAL_DRIVE_PULLBACK_REBOUND_VOLATILITY_MULTIPLIER = 2.0
DUAL_DRIVE_PULLBACK_REBOUND_THRESHOLD = 0.0（仅作为 fixed 模式 fallback）
INCOME_THRESHOLD_USD = 1000000000
CASH_RESERVE_RATIO = 0.02
EXECUTION_CASH_RESERVE_RATIO = 0.0
REBALANCE_THRESHOLD_RATIO = 0.01

soxl_soxx_trend_income

策略目标

使用优化后的 SOXX 趋势分层闸门半导体策略。
给大账户保留收入层，但不因为交易层切换就强制把收入层减回来。

资产层级

交易层：SOXL、SOXX、BOXX
收入层：QQQI、SPYI

交易层规则

默认运行配置使用 SOXX 趋势分层闸门，避免仓位完全依赖单一开关。
如果 SOXX > MA140 * 1.08，核心层目标为 SOXL 70% + SOXX 20%。
如果 SOXX > MA140 * 1.06，或已有 SOXL 仓位尚未跌破 MA140 * 0.98，核心层目标为 SOXL 65% + SOXX 20%。
如果趋势闸门关闭，核心层防守目标为 SOXX 15%。
交易层没有部署出去的资金停在 BOXX。

仓位规则

分层闸门直接决定核心层风险暴露：full、mid 或 defensive。
SOXL/SOXX profile 不再保留单独的账户规模 deploy-ratio 衰减。
下游运行层另外还会保留现金储备，并且只有偏离目标足够大时才触发调仓。

收入层规则

总策略权益超过 income_layer_start_usd 才启动收入层。
到 2 倍阈值 时，收入层线性抬升到 income_layer_max_ratio。
收入层采用 max(current_income_layer_value, desired_income_layer_value) 锁定已有收入资产，所以默认只增配，不主动减配。
新增收入资金按可配置的 QQQI / SPYI 比例拆分。

默认运行 profile 配置值

TREND_MA_WINDOW = 140
CASH_RESERVE_RATIO = 0.03
MIN_TRADE_RATIO = 0.01，MIN_TRADE_FLOOR = 100 USD
REBALANCE_THRESHOLD_RATIO = 0.01
ATTACK_ALLOCATION_MODE = soxx_gate_tiered_blend
BLEND_GATE_SOXL_WEIGHT = 0.70，BLEND_GATE_MID_SOXL_WEIGHT = 0.65
BLEND_GATE_ACTIVE_SOXX_WEIGHT = 0.20，BLEND_GATE_DEFENSIVE_SOXX_WEIGHT = 0.15
闸门缓冲：入场 8%，中档 6%，退出 2%
收入层起点 150000 USD，上限 15%
收入层配比：QQQI 70%，SPYI 30%

Name		Name	Last commit message	Last commit date
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.github		.github
docs		docs
examples		examples
src/us_equity_strategies		src/us_equity_strategies
tests		tests
.gitignore		.gitignore
CONTRIBUTING.md		CONTRIBUTING.md
LICENSE		LICENSE
README.md		README.md
SECURITY.md		SECURITY.md
pyproject.toml		pyproject.toml

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