添加信号模块

api.py

@@ -43,6 +43,12 @@ class SolveType(Enum):
     POEM = 2
 
 
+@unique
+class DriftType(Enum):
+    PORTFOLIO_HIGH_WEIGHT = 1
+    DATE_CURVE = 2
+
+
 @unique
 class SignalType(Enum):
     INIT = 0
@@ -340,6 +346,46 @@ class PortfoliosHolder(ABC):
         '''
         pass
 
+    @abstractmethod
+    def build_hold_portfolio(self, day, risk: PortfoliosRisk):
+        '''
+        构建指定日期，指定风险等级的持仓投组
+        :param day: 指定日期
+        :param risk: 指定风险等级
+        :return:
+        '''
+        pass
+
+
+class DriftSolver(ABC):
+    '''
+    漂移解算器
+    '''
+
+    @abstractmethod
+    def get_drift(self, day):
+        '''
+        获取指定日期得漂移计算结果
+        :param day:
+        :return:
+        '''
+        pass
+
+
+class DriftFactory(ABC):
+    '''
+    漂移解算器工厂
+    '''
+    @abstractmethod
+    def create_drift_solver(self, type: DriftType, **kwargs) -> DriftSolver:
+        '''
+        创建指定类型的漂移解算器
+        :param type: 指定的解算器类型
+        :param kwargs: 解算器需要的参数字典
+        :return: 漂移解算器
+        '''
+        pass
+
 
 class SignalBuilder(ABC):
     '''

config.yml

@@ -113,6 +113,10 @@ portfolios:
       mpt:
         quantile: 0.1
 rebalance:
+  drift:
+    date-curve:
+      diff-threshold: 0.4
+      init-factor: 0.000000002
   builder:
     disable-period: #自然日
       normal: 10

portfolios/test_case.py

@@ -25,6 +25,10 @@ class PortfoliosTest(unittest.TestCase):
     def test_has_hold(self, hold: PortfoliosHolder = None):
         self.logger.info(hold.has_hold(PortfoliosRisk.FT3))
 
+    @autowired(names={'hold': 'next-re'})
+    def test_build_hold(self, hold: PortfoliosHolder = None):
+        pass
+
 
 if __name__ == '__main__':
     unittest.main()

rebalance/drift_solver.py

+from api import DriftSolver, DriftFactory, DriftType
+from framework import component, autowired, get_config
+from rebalance.dao import robo_rebalance_signal as rrs
+
+
+@component
+class DefaultDriftFactory(DriftFactory):
+
+    def create_drift_solver(self, type: DriftType, **kwargs) -> DriftSolver:
+        if type is DriftType.DATE_CURVE:
+            return DateCurveDriftSolver()
+        elif type is DriftType.PORTFOLIO_HIGH_WEIGHT:
+            pass
+        return None
+
+
+class DateCurve(DriftSolver):
+
+    def __init__(self):
+        self._config = get_config(__name__)['date-curve']
+
+    @property
+    def diff_threshold(self):
+        return self._config['diff-threshold']
+
+    @property
+    def init_factor(self):
+        return self._config['init-factor']
+
+    def get_drift(self, day):
+        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)
+
+
+class PortfolioHighWeight(DriftSolver):
+
+    def get_drift(self, day):
+        pass