Sources

1. Choice样本内最佳信号窗口与调仓组合database/fx_macro_event_choice.db · sqlite · 2026-07-29T07:38:56+00:00

   Choice样本内最佳信号窗口与调仓组合

   SQL query

   SELECT substr(date,1,10) AS date,active,gross_return,turnover,net_return_1bp
   FROM macro_execution_comparison_daily
   WHERE strategy_id='EXEC_WEEKLY_60D'
   ORDER BY date

2. Choice六类可交易宏观信号的发布日期覆盖database/fx_macro_event_choice.db · sqlite · 2026-07-29T07:38:56+00:00

   Choice六类可交易宏观信号的发布日期覆盖

   SQL query

   SELECT
     event_group AS signal_family,
     CASE event_group
       WHEN 'gdp' THEN 'GDP'
       WHEN 'labor' THEN '劳动力'
       WHEN 'rates' THEN '利率'
       WHEN 'financial' THEN '金融'
       WHEN 'fixed_asset' THEN '固定资产'
       WHEN 'price_index' THEN '价格指数'
     END AS family_label,
     COUNT(*) AS classified_rows,
     SUM(is_core_event) AS core_rows,
     SUM(signal_eligible) AS actual_and_consensus_rows,
     SUM(CASE WHEN currency_signal_z IS NOT NULL THEN 1 ELSE 0 END) AS scored_events,
     COUNT(DISTINCT CASE WHEN currency_signal_z IS NOT NULL THEN currency||'|'||event_date_utc END) AS currency_release_days,
     COUNT(DISTINCT CASE WHEN currency_signal_z IS NOT NULL THEN event_date_utc END) AS calendar_release_days,
     COUNT(DISTINCT CASE WHEN currency_signal_z IS NOT NULL THEN currency END) AS currencies_with_signal,
     MIN(CASE WHEN currency_signal_z IS NOT NULL THEN event_date_utc END) AS first_signal_date,
     MAX(CASE WHEN currency_signal_z IS NOT NULL THEN event_date_utc END) AS last_signal_date
   FROM economic_events
   WHERE event_group IN ('gdp','labor','rates','financial','fixed_asset','price_index')
   GROUP BY event_group
   ORDER BY CASE event_group
     WHEN 'gdp' THEN 1 WHEN 'labor' THEN 2 WHEN 'rates' THEN 3
     WHEN 'financial' THEN 4 WHEN 'fixed_asset' THEN 5
     WHEN 'price_index' THEN 6 END

3. Choice分项指标的20/60日独立回测database/fx_macro_event_choice.db · sqlite · 2026-07-29T07:38:56+00:00

   Choice分项指标的20/60日独立回测

   SQL query

   SELECT
     strategy_id,strategy_label,signal_family,family_label,window_days,
     start_date,end_date,trading_days,active_day_pct,
     net_total_return_1bp*100.0 AS full_total_return_pct,
     net_annualized_return_1bp*100.0 AS full_annualized_return_pct,
     net_sharpe_1bp AS full_sharpe,
     net_max_drawdown_1bp*100.0 AS full_max_drawdown_pct,
     annualized_turnover,
     common_start_date,common_end_date,common_trading_days,
     common_net_total_return_1bp*100.0 AS common_total_return_pct,
     common_net_annualized_return_1bp*100.0 AS common_annualized_return_pct,
     common_net_sharpe_1bp AS common_sharpe,
     common_net_max_drawdown_1bp*100.0 AS common_max_drawdown_pct
   FROM macro_family_backtest_summary
   ORDER BY window_days,
     CASE signal_family
       WHEN 'gdp' THEN 1 WHEN 'labor' THEN 2 WHEN 'rates' THEN 3
       WHEN 'fiscal' THEN 4 WHEN 'financial' THEN 5 WHEN 'fixed_asset' THEN 6
       WHEN 'price_index' THEN 7 WHEN 'balanced' THEN 8 END

4. 类别触发综合的20/60日收益路径database/fx_macro_event_choice.db · sqlite · 2026-07-29T07:38:56+00:00

   类别触发综合的20/60日收益路径

   SQL query

   SELECT substr(m.month,1,10) AS date,s.window_days,
          CAST(s.window_days AS TEXT)||'日' AS window_label,
          (m.net_equity_1bp-1.0)*100.0 AS cumulative_return_pct
   FROM macro_family_backtest_monthly_equity m
   JOIN macro_family_backtest_summary s ON s.strategy_id=m.strategy_id
   WHERE m.signal_family='balanced'
   ORDER BY m.month,s.window_days

5. 各类别的绝对门槛触发覆盖database/fx_macro_event_choice.db · sqlite · 2026-07-29T07:38:56+00:00

   各类别的绝对门槛触发覆盖

   SQL query

   SELECT signal_family,family_label,window_days,first_trigger_date,last_trigger_date,
          trigger_trading_days,max_active_pair_count,median_active_pair_count,
          max_eligible_currency_count,coverage_status
   FROM macro_family_backtest_coverage
   ORDER BY window_days,
     CASE signal_family
       WHEN 'gdp' THEN 1 WHEN 'labor' THEN 2 WHEN 'rates' THEN 3
       WHEN 'fiscal' THEN 4 WHEN 'financial' THEN 5 WHEN 'fixed_asset' THEN 6
       WHEN 'price_index' THEN 7 WHEN 'balanced' THEN 8 END

6. 20/60日综合意外信号与三种调仓方式的六组比较database/fx_macro_event_choice.db · sqlite · 2026-07-29T07:38:56+00:00

   20/60日综合意外信号与三种调仓方式的六组比较

   SQL query

   SELECT strategy_id,strategy_label,execution_style,
          CASE execution_style
            WHEN 'daily' THEN '每日调仓'
            WHEN 'weekly' THEN '每周调仓'
            WHEN 'monthly' THEN '每月调仓'
          END AS execution_style_label,
          window_days,window_label,execution_rule,
          start_date,end_date,trading_days,active_day_pct,
          net_total_return_1bp*100.0 AS net_total_return_pct,
          net_annualized_return_1bp*100.0 AS net_annualized_return_pct,
          net_sharpe_1bp AS net_sharpe,
          net_max_drawdown_1bp*100.0 AS net_max_drawdown_pct,
          annualized_turnover,turnover_days,turnover_day_pct*100.0 AS turnover_day_pct,
          median_unchanged_basket_days,max_unchanged_basket_days
   FROM macro_execution_comparison_summary
   ORDER BY window_days,CASE execution_style WHEN 'daily' THEN 1 WHEN 'weekly' THEN 2 WHEN 'monthly' THEN 3 END

7. 宏观指标事前方向规则database/fx_macro_event_choice.db · sqlite · 2026-07-29T07:38:56+00:00

   classify_group_and_direction函数中的事前方向规则；财政因0条事件达到可评分条件而不进入策略层。

   SQL query

   SELECT 1 AS display_order,'GDP' AS family_label,'GDP高于预期' AS positive_signal,'GDP低于预期' AS negative_signal,'反映经济增长强弱' AS special_handling
   UNION ALL SELECT 2,'劳动力','就业、非农、工资高于预期；失业率和失业金申请低于预期','就业、非农、工资低于预期；失业率和失业金申请高于预期','失业类指标方向反转'
   UNION ALL SELECT 3,'利率','政策利率高于预期，偏鹰','政策利率低于预期，偏鸽','普通市场利率不作为政策意外'
   UNION ALL SELECT 4,'金融','储备、信贷、货币和流动性高于预期；金融压力低于预期','储备、信贷、货币和流动性低于预期；金融压力高于预期','不良、违约和压力类指标方向反转'
   UNION ALL SELECT 5,'固定资产','工业生产、零售、订单、PMI和房地产高于预期','上述经济活动指标低于预期','反映实体活动强弱'
   UNION ALL SELECT 6,'价格指数','CPI、PPI等高于预期','CPI、PPI等低于预期','通过政策预期解释，存在阶段性失效风险'