https://www.tapd.cn/59187493/documents/show/1159187493001000730

依照文档进行模型优化

asset_pool/asset_optimize.py

@@ -218,7 +218,7 @@ class FundDividendSortinoAssetOptimize(SortinoAssetOptimize):
     def get_groups(self, day=None):
         funds = pd.DataFrame(self.get_filtered_funds(day))
         if len(funds) < get_config('portfolios.solver.asset-count')[0]:
-            raise ValueError(f"基金优选个数小于{get_config('portfolios.solver.asset-count')[0]}，请调整参数")
+            raise ValueError(f"{day}==基金优选个数小于{get_config('portfolios.solver.asset-count')[0]}，请调整参数")
         result = []
         if self.asset_include:
             include = list(self.asset_include.keys())[0]
@@ -233,14 +233,15 @@ class FundDividendSortinoAssetOptimize(SortinoAssetOptimize):
     def get_pct_change(self, fund_ids, day):
         if not self._config:
             raise exception(f"find optimize, but not found sortino config.")
-        days = [day - relativedelta(days=1, **dict_remove(x, ('weight', 'name'))) for x in self._config]
-        days.append(day - relativedelta(days=1, **self.annual_volatility_section[0]))
+        days = [day - relativedelta(days=7, **dict_remove(x, ('weight', 'name'))) for x in self._config]
+        days.append(day - relativedelta(days=7, **self.annual_volatility_section[0]))
         start = filter_weekend(sorted(days)[0])
         fund_navs = pd.DataFrame(self._navs.get_fund_navs(fund_ids=tuple(fund_ids), min_date=start, max_date=day))
         if not fund_navs.empty:
             fund_navs.sort_values('nav_date', inplace=True)
             fund_navs = fund_navs.pivot_table(index='nav_date', columns='fund_id', values='nav_cal')
             fund_navs.fillna(method='ffill', inplace=True)
+            fund_navs = fund_navs.loc[fund_navs.index >= start + relativedelta(days=6)]
             fund_navs.dropna(axis=1, inplace=True)
             result = round(fund_navs.pct_change().dropna(), 4)
             result.reset_index(inplace=True)