update

api.py

@@ -423,6 +423,15 @@ class PortfoliosHolder(ABC):
         '''
         pass
 
+    @abstractmethod
+    def is_dividend_date(self, day):
+        """
+        是否为配息日
+        :param day: 日期
+        :return: 是否为配息日
+        """
+        pass
+
     @abstractmethod
     def clear(self, day=None, risk: PortfoliosRisk = None):
         '''

config-svrobo5.yml

@@ -76,6 +76,7 @@ portfolios: # 投组模块
     init-nav: 100 # 初始金额
     min-interval-days: 10 # 两次实际调仓最小间隔期，单位交易日
     dividend-rate: 0.09 #设定年化配息率
+    dividend-date: 10 #配息日，每月10号
   solver: # 解算器相关
     tol: 1E-10 # 误差满足条件
     navs: # 净值要求
@@ -105,7 +106,7 @@ robo-executor: # 执行器相关
   use: ${ROBO_EXECUTOR:backtest} # 执行哪个执行器，优先取系统环境变量ROBO_EXECUTOR的值，默认backtest
   sync-data: ${SYNC_DATA:off} # 是否开启同步资料数据
   backtest: # 回测执行器相关
-    start-date: 2022-09-01 # 回测起始日期
+    start-date: 2012-10-16 # 回测起始日期
     end-date: 2023-03-03 # 回测截止日期
     start-step: ${BACKTEST_START_STEP:3} # 回测从哪一步开始执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组
     end-step: ${BACKTEST_END_STEP:3} # 回测从哪一步执行完成后结束执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组

portfolios/dao/robo_hold_portfolios.py

@@ -12,6 +12,8 @@ __COLUMNS__ = {
     'rhp_rebalance': 'rebalance',
     'rhp_portfolios': 'portfolios',
     'rhp_nav': 'nav',
+    'rhp_fund_div': 'fund_div',
+    'rhp_asset_nav': 'asset_nav',
 }
 
 

portfolios/holder.py

+import datetime
 import json
 import logging
 
 import pandas as pd
 from py_jftech import (
-    component, autowired, get_config, next_workday, format_date
+    component, autowired, get_config, next_workday, format_date, is_workday
 )
 
 from api import PortfoliosHolder, PortfoliosRisk, Navs, RoboExecutor, PortfoliosType, PortfoliosBuilder
@@ -66,23 +67,29 @@ class DividendPortfoliosHolder(PortfoliosHolder):
             share = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share'].items()}
             fund_div_tuple = self.get_navs_and_div(fund_ids=tuple(set(weight) | set(share)), day=day)
             navs = fund_div_tuple[0]
+            # todo 如果建仓是遇到基金配息，则忽略
             fund_dividend = fund_div_tuple[1]
-            nav = round(sum([navs[x] * y for x, y in share.items()]), 4)
             dividend_acc = last_nav['div_acc']
+            nav = round(sum([navs[x] * y for x, y in share.items()]), 4) + last_nav['fund_div']
         else:
             nav = self.init_nav
-            fund_div_tuple =self.get_navs_and_div(fund_ids=tuple(weight), day=day)
+            fund_div_tuple = self.get_navs_and_div(fund_ids=tuple(weight), day=day)
             navs = fund_div_tuple[0]
+            # todo 如果建仓是遇到基金配息，则忽略
             fund_dividend = fund_div_tuple[1]
         dividend = nav * self.month_dividend
         nav = nav - dividend
         share = {x: nav * w / navs[x] for x, w in weight.items()}
-        fund_dividend = sum(map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
-        dividend_acc = dividend + dividend_acc + fund_dividend
+        # todo 如果建仓是遇到基金配息，则忽略
+        fund_dividend = sum(
+            map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
+        dividend_acc = dividend + dividend_acc
+        asset_nav = nav + fund_dividend + dividend
         rhp.insert({
             'date': day,
             'risk': risk,
             'dividend': dividend,
+            'fund_div': fund_dividend,
             'div_acc': dividend_acc,
             'rebalance': True,
             'portfolios': {
@@ -90,6 +97,7 @@ class DividendPortfoliosHolder(PortfoliosHolder):
                 'share': share,
             },
             'nav': nav,
+            'asset_nav': asset_nav,
         })
 
     def no_rebalance(self, day, risk: PortfoliosRisk, last_nav):
@@ -100,12 +108,18 @@ class DividendPortfoliosHolder(PortfoliosHolder):
         nav = round(sum([navs[x] * y for x, y in share.items()]), 4)
         weight = {x: round(y * navs[x] / nav, 2) for x, y in share.items()}
         weight = format_weight(weight)
-        fund_dividend = sum(map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
-        dividend_acc = last_nav['div_acc'] + fund_dividend
+        dividend = last_nav['dividend']
+        fund_dividend = last_nav['fund_div'] + sum(
+            map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
+        dividend_acc = last_nav['div_acc']
+        if self.is_dividend_date(day):
+            dividend = 0
+        asset_nav = nav + fund_dividend + dividend
         rhp.insert({
             'date': day,
             'risk': risk,
-            'dividend': 0,
+            'dividend': dividend,
+            'fund_div': fund_dividend,
             'div_acc': dividend_acc,
             'signal_id': last_nav['signal_id'],
             'rebalance': False,
@@ -114,6 +128,7 @@ class DividendPortfoliosHolder(PortfoliosHolder):
                 'share': share,
             },
             'nav': nav,
+            'asset_nav': asset_nav,
         })
 
     def get_navs_and_div(self, day, fund_ids):
@@ -127,6 +142,14 @@ class DividendPortfoliosHolder(PortfoliosHolder):
     def clear(self, day=None, risk: PortfoliosRisk = None):
         rhp.delete(min_date=day, risk=risk)
 
+    def is_dividend_date(self, day):
+        div_date = self._config['dividend-date']
+        div_date = datetime.date(day.year, day.month, div_date)
+        if is_workday(div_date):
+            return div_date.day == day.day
+        else:
+            return next_workday(div_date).day == day.day
+
     @property
     def month_dividend(self):
         return self._config['dividend-rate'] / 12