增加危机1信号判断逻辑

config.yml

@@ -40,6 +40,8 @@ py-jftech:
       api.PortfoliosBuilder: portfolios.builder.PoemPortfoliosBuilder
     names:
       crisis_one: rebalance.signals.crisis_signal.LastRateCrisisOneSignal
+      date-curve: rebalance.drift_solver.DateCurve
+      curve-drift: rebalance.signals.curve_drift.CurveDrift
   email:
     server: smtphz.qiye.163.com
     user: jft-ra@thizgroup.com

rebalance/drift_solver.py

@@ -20,7 +20,14 @@ class DateCurve(DriftSolver):
 
     def get_drift(self, day, risk: PortfoliosRisk):
         last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
-        result = self.diff_threshold - self.init_factor * (day - last_re['date']).days ** 4
+        return self.diff_threshold - self.init_factor * (day - last_re['date']).days ** 4
+
+
+@component(bean_name='date-curve')
+class NonnegativeDateCurve(DateCurve):
+
+    def get_drift(self, day, risk: PortfoliosRisk):
+        result = super(NonnegativeDateCurve, self).get_drift(day, risk)
         return max(0, result)
 
 

rebalance/signals/curve_drift.py

@@ -22,15 +22,14 @@ class CurveDrift(BaseRebalanceSignal):
             SignalType.CRISIS_ONE,
             SignalType.CRISIS_TWO,
             SignalType.MARKET_RIGHT,
-            SignalType.INIT
+            SignalType.INIT,
+            SignalType.LOW_BUY
         ]
 
     def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
         last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
         if last_re is None or SignalType(last_re['type']) in self.exclude_last_type:
             return False
-        if last_re['date'] + relativedelta(days=120) <= day:
-            return True
         hr_datums = self._datum.get_high_risk_datums(risk)
         datum_ids = [x['id'] for x in hr_datums]
         normal_portfolio = self._builder.get_portfolios(day, risk)
@@ -42,3 +41,31 @@ class CurveDrift(BaseRebalanceSignal):
     @property
     def signal_type(self) -> SignalType:
         return SignalType.DRIFT_BUY
+
+
+@component(bean_name='curve-drift')
+class Max120tCurveDrift(CurveDrift):
+
+    def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
+        last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
+        if last_re is None or SignalType(last_re['type']) in self.exclude_last_type:
+            return False
+        if last_re['date'] + relativedelta(days=120) <= day:
+            return True
+        return super(Max120tCurveDrift, self).is_trigger(day, risk)
+
+
+@component(bean_name='curve-drift')
+class AbsCurveDrift(CurveDrift):
+
+    def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
+        last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
+        if last_re is None or SignalType(last_re['type']) in self.exclude_last_type:
+            return False
+        hr_datums = self._datum.get_high_risk_datums(risk)
+        datum_ids = [x['id'] for x in hr_datums]
+        normal_portfolio = self._builder.get_portfolios(day, risk)
+        normal_weight = round(sum([x[1] for x in normal_portfolio.items() if x[0] in datum_ids]), 2)
+        hold_portfolio = self._hold.get_portfolios_weight(day, risk)
+        hold_weight = round(sum([x[1] for x in hold_portfolio.items() if x[0] in datum_ids]), 2)
+        return abs(normal_weight - hold_weight) >= self._solver.get_drift(day, risk)