回测报告增加基金池

config.yml

@@ -131,11 +131,11 @@ rebalance: # 再平衡模块
     high-weight: # 高风险资产权重drift相关
       coef: 0.2 # drift系数
   ruler: # 再平衡信号选用规则
-    disable-period: # 禁止买入期，交易日
-      normal: 10 # 标准投组禁止买入期
-      crisis_1: 15 # 危机1投组禁止买入期
-      crisis_2: 15 # 危机2投组禁止买入期
-      right_side: 15 # 右侧投组禁止买入期
+    disable-period: 10 # 禁止买入期，交易日
+#      normal: 10 # 标准投组禁止买入期
+#      crisis_1: 15 # 危机1投组禁止买入期
+#      crisis_2: 15 # 危机2投组禁止买入期
+#      right_side: 15 # 右侧投组禁止买入期
   signals: # 信号相关
     crisis-signal: # 危机信号相关
       exp-years: 3 # 预警期时长，单位自然年，点到点计算

rebalance/drift_solver.py

@@ -20,8 +20,7 @@ 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 max(0, result)
+        return self.diff_threshold - self.init_factor * (day - last_re['date']).days ** 4
 
 
 @component(bean_name='high-weight')

rebalance/ruler.py

@@ -34,7 +34,10 @@ class LevelRebalanceRuler(RebalanceRuler):
     @property
     def disable_period(self):
         result = self._config['disable-period']
-        return {PortfoliosType(x[0]): x[1] for x in result.items()}
+        if isinstance(result, dict):
+            return {PortfoliosType(x[0]): x[1] for x in result.items()}
+        else:
+            return {t: result for t in PortfoliosType}
 
     def take_next_signal(self, day, risk: PortfoliosRisk):
         last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)