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robo-dividend
Commit 32bdb40e authored by jichao's avatar jichao
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614回测

parent 1ac6afe6
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config.yml
View file @ 32bdb40e
...@@ -225,7 +225,7 @@ robo-executor: # 执行器相关 ...@@ -225,7 +225,7 @@ robo-executor: # 执行器相关
backtest: # 回测执行器相关 backtest: # 回测执行器相关
start-date: 2008-01-02 # 回测起始日期 start-date: 2008-01-02 # 回测起始日期
end-date: 2022-11-01 # 回测截止日期 end-date: 2022-11-01 # 回测截止日期
start-step: 1 # 回测从哪一步开始执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组 start-step: 4 # 回测从哪一步开始执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
end-step: 4 # 回测从哪一步执行完成后结束执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组 end-step: 4 # 回测从哪一步执行完成后结束执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
clean-up: on clean-up: on
real: # 实盘执行器 real: # 实盘执行器
......
rebalance/signals/curve_drift.py
View file @ 32bdb40e
...@@ -21,7 +21,8 @@ class CurveDrift(BaseRebalanceSignal): ...@@ -21,7 +21,8 @@ class CurveDrift(BaseRebalanceSignal):
SignalType.CRISIS_ONE, SignalType.CRISIS_ONE,
SignalType.CRISIS_TWO, SignalType.CRISIS_TWO,
SignalType.MARKET_RIGHT, SignalType.MARKET_RIGHT,
SignalType.INIT SignalType.INIT,
SignalType.LOW_BUY
] ]
def is_trigger(self, day, risk: PortfoliosRisk) -> bool: def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
......
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