报表相关

api.py

 from abc import ABC, abstractmethod
 from datetime import datetime as dt
 from enum import Enum, unique
+from typing import List
 
 from py_jftech import get_config
 
@@ -473,3 +474,43 @@ class RoboExecutor(ABC):
     @staticmethod
     def use_name():
         return get_config('robo-executor')['use']
+
+
+class RoboReportor(ABC):
+    '''
+    投组报告器
+    '''
+
+    @property
+    @abstractmethod
+    def report_name(self) -> str:
+        '''
+        返回报告名称
+        :return: 报告名称
+        '''
+        pass
+
+    @abstractmethod
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        '''
+        获取指定日期的报告
+        :param max_date: 指定截止日期
+        :param min_date: 指定开始日期
+        :return: 报告数据
+        '''
+        pass
+
+
+class RoboExportor(ABC):
+    '''
+    投组导出器
+    '''
+
+    @abstractmethod
+    def export(self, max_date=dt.today(), min_date=None):
+        '''
+        根据参数以及配置信息执行导出相关操作
+        :param max_date: 指定截止日期
+        :param min_date: 指定开始日期
+        '''
+        pass

config-svrobo5.yml

@@ -38,10 +38,10 @@ py-jftech:
   injectable:
     types:
       api.PortfoliosBuilder: portfolios.builder.PoemPortfoliosBuilder
-  email:
-    server: smtphz.qiye.163.com
-    user: jft-ra@thizgroup.com
-    password: 5dbb#30ec6d3
+#  email:
+#    server: smtphz.qiye.163.com
+#    user: jft-ra@thizgroup.com
+#    password: 5dbb#30ec6d3
   mulit-process:
     max-workers: ${MAX_PROCESS:4}
 basic: # 基础信息模块
@@ -102,6 +102,66 @@ portfolios: # 投组模块
       high-weight: [ 1 ] # 最高权重比例，可给一个值，也可以给多个值，当多个值时，第一个表示只有一个资产时权重，第二个表示只有两个资产时权重，以此类推，最后一个表示其他资产个数时的权重
     poem: # poem相关
       cvar-scale-factor: 0.1 # 计算时用到的系数
+reports: # 报告模块相关
+  navs:
+    type: FUND
+    tickers:
+      - TEMTECI LX Equity
+      - TEPLX US Equity
+      - FRDPX US Equity
+      - FKRCX US Equity
+      - FTNRACU LX Equity
+  benchmark: # benchmark报告
+    init-amount: 100 # 初始金额
+    stock-rate: # stock型基金比例
+      RR3: 0.3
+      RR4: 0.5
+      RR5: 0.7
+  fixed-range: # 固定区间收益率
+    range-dates: # 固定起始截止日期
+      - start: 2008-01-01
+        end: 2008-10-27
+      - start: 2011-05-02
+        end: 2011-10-04
+      - start: 2013-05-08
+        end: 2013-06-24
+      - start: 2014-09-03
+        end: 2014-12-16
+      - start: 2015-04-28
+        end: 2016-01-21
+      - start: 2018-01-26
+        end: 2018-10-29
+      - start: 2020-01-20
+        end: 2020-03-23
+  relative-range: # 相对区间收益率
+    range-dates: # 相对时间周期
+      - months: 1
+        name: '一个月'
+      - months: 3
+        name: '三个月'
+      - months: 6
+        name: '六个月'
+      - years: 1
+        name: '一年'
+      - years: 2
+        name: '两年'
+      - years: 3
+        name: '三年'
+      - years: 5
+        name: '五年'
+      - years: 10
+        name: '十年'
+  backtest: # 回测导出曹策略
+    exist-build: on # 如果报告文件存在，是否重新构建文件
+    save-path: ${EXPORT_PATH:excels} # 导出报告文件存放路径，如果以./或者../开头，则会以执行python文件为根目录，如果以/开头，则为系统绝对路径，否则，以项目目录为根目录
+    file-name: ${EXPORT_FILENAME:real}
+    include-report: # 需要导出的报告类型列表，下面的顺序，也代表了excel中sheet的顺序
+      - hold-report # 持仓报告
+      - signal-report # 信号报告
+      - benckmark-report # benckmark报告
+      - indicators-report # 各种特殊指标报告
+      - fixed-range-report # 固定区间收益报告
+      - relative-range-report # 相对区间收益报告
 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

portfolios/builder.py

 import json
 import logging
+from datetime import datetime as dt
+from typing import List
 
 from py_jftech import component, autowired, format_date
 from pymysql import IntegrityError, constants
 
-from api import PortfoliosBuilder, PortfoliosRisk, AssetPool, Navs, PortfoliosType, Datum, SolveType, SolverFactory
+from api import PortfoliosBuilder, PortfoliosRisk, AssetPool, Navs, PortfoliosType, Datum, SolveType, SolverFactory, \
+    RoboReportor, DatumType
 from portfolios.dao import robo_mpt_portfolios as rmp
 from portfolios.dao.robo_mpt_portfolios import get_list
 
@@ -109,3 +112,30 @@ class PoemPortfoliosBuilder(MptPortfoliosBuilder):
                 }
         return result
 
+
+@component(bean_name='signal-report')
+class SignalReportor(RoboReportor):
+
+    @autowired
+    def __init__(self, datum: Datum = None):
+        self._datum = datum
+
+    @property
+    def report_name(self) -> str:
+        return '调仓信号'
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        result = []
+        datums = {str(x['id']): x for x in self._datum.get_datums(type=DatumType.FUND, exclude=False)}
+        for signal in rmp.get_list(max_date=max_date, min_date=min_date):
+            for fund_id, weight in json.loads(signal['portfolio']).items():
+                result.append({
+                    'risk': PortfoliosRisk(signal['risk']).name,
+                    'rebalance_date': signal['date'],
+                    'portfolio_type': PortfoliosType(signal['portfolio_type']).name,
+                    'ft_ticker': datums[fund_id]['ftTicker'],
+                    'blooberg_ticker': datums[fund_id]['bloombergTicker'],
+                    'fund_name': datums[fund_id]['chineseName'],
+                    'weight': weight
+                })
+        return result

reports/benchmark.py

+from datetime import datetime as dt, timedelta
+from typing import List
+
+import pandas as pd
+from py_jftech import component, autowired, prev_workday, filter_weekend, next_workday, get_config
+
+from api import RoboReportor, PortfoliosRisk, RoboExecutor, Navs, Datum, DatumType
+from reports.dao import robo_benckmark as rb
+
+
+@component(bean_name='benckmark-report')
+class BenchmarkReportor(RoboReportor):
+
+    @autowired(names={'executor': RoboExecutor.use_name()})
+    def __init__(self, executor: RoboExecutor = None, navs: Navs = None, datum: Datum = None):
+        self._exec = executor
+        self._navs = navs
+        self._datum = datum
+        self._config = get_config(__name__)
+
+    @property
+    def report_name(self) -> str:
+        return 'benchmark'
+
+    @property
+    def risks(self):
+        return self._config['stock-rate'].keys()
+
+    @property
+    def init_amount(self):
+        return self._config['init-amount']
+
+    def stock_rate(self, risk):
+        return self._config['stock-rate'][risk]
+
+    def load_nav_rtn(self, risk, day):
+        last = rb.get_last_one(risk=risk, max_date=day, re=True)
+        start_date = next_workday(last['date']) if last else self._exec.start_date
+
+        datums = {x['id']: x for x in self._datum.get_datums(type=DatumType.FUND)}
+        navs = pd.DataFrame(self._navs.get_fund_navs(fund_ids=tuple(datums.keys()), min_date=prev_workday(start_date - timedelta(10)), max_date=day))
+        navs = navs.pivot_table(index='nav_date', columns='fund_id', values='nav_cal')
+        navs.fillna(method='ffill', inplace=True)
+        nav_index = navs.shape[1]
+        for i in range(nav_index):
+            navs[f'rtn_{navs.columns[i]}'] = navs[navs.columns[i]] / navs[navs.columns[i]].shift() - 1
+        navs = navs[navs.index >= start_date]
+        return navs, nav_index
+
+    def find_datum_asset(self):
+        return {x['id']: x['assetType'] for x in self._datum.get_datums(type=DatumType.FUND)}
+
+    def build_benchmark(self, risk, day=dt.today()):
+        nav_rtn, nav_index = self.load_nav_rtn(risk=risk, day=day)
+        asset_types = {x['id']: x['assetType'] for x in self._datum.get_datums(type=DatumType.FUND)}
+
+        last = rb.get_last_one(risk=risk, max_date=day, re=True)
+        init_amount = last['nav'] if last else self.init_amount
+        stock_rate = self.stock_rate(risk)
+        other_rate = 1 - stock_rate
+
+        five_rtn = 0
+        last_day = None
+        fund_ids = None
+
+        for index, row in nav_rtn.iterrows():
+            if last_day is None or fund_ids is None:
+                fund_ids = list(row.iloc[:nav_index].dropna().index)
+                stock_count = len([x for x in fund_ids if asset_types[x] == 'STOCK'])
+                stock_average = init_amount * stock_rate / stock_count
+                other_average = init_amount * other_rate / (len(fund_ids) - stock_count)
+                nav_rtn.loc[index, f'{risk}_result'] = init_amount
+                nav_rtn.loc[index, f'{risk}_re'] = 1
+                for fund_id in fund_ids:
+                    if fund_id and asset_types[fund_id] == 'STOCK':
+                        nav_rtn.loc[index, f'stock_{fund_id}'] = stock_average
+                    else:
+                        nav_rtn.loc[index, f'other_{fund_id}'] = other_average
+            else:
+                for fund_id in fund_ids:
+                    if fund_id and asset_types[fund_id] == 'STOCK':
+                        nav_rtn.loc[index, f'stock_{fund_id}'] = nav_rtn.loc[last_day, f'stock_{fund_id}'] * (
+                                1 + nav_rtn.loc[index, f'rtn_{fund_id}'])
+                    else:
+                        nav_rtn.loc[index, f'other_{fund_id}'] = nav_rtn.loc[last_day, f'other_{fund_id}'] * (
+                                1 + nav_rtn.loc[index, f'rtn_{fund_id}'])
+                nav_rtn.loc[index, f'{risk}_result'] = nav_rtn.loc[index][-len(fund_ids):].sum()
+                nav_rtn.loc[index, f'{risk}_re'] = 0
+            if five_rtn == 5:
+                five_rtn = 0
+                fund_ids = list(row.iloc[:nav_index].dropna().index)
+                stock_count = len([x for x in fund_ids if asset_types[x] == 'STOCK'])
+
+                stock_average = nav_rtn.loc[index, f'{risk}_result'] * stock_rate / stock_count
+                other_average = nav_rtn.loc[index, f'{risk}_result'] * other_rate / (len(fund_ids) - stock_count)
+                nav_rtn.loc[index, f'{risk}_re'] = 1
+                for fund_id in fund_ids:
+                    if fund_id and asset_types[fund_id] == 'STOCK':
+                        nav_rtn.loc[index, f'stock_{fund_id}'] = stock_average
+                    else:
+                        nav_rtn.loc[index, f'other_{fund_id}'] = other_average
+            five_rtn += 1
+            last_day = index
+
+        result = nav_rtn.reindex(columns=[f'{risk}_result', f'{risk}_re'])
+        result.reset_index(inplace=True)
+        result['risk'] = risk
+        result.rename(columns={f'{risk}_result': 'nav', f'{risk}_re': 're', 'nav_date': 'date'}, inplace=True)
+        result['nav'] = round(result['nav'], 4)
+        return result.to_dict('records')
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        for risk in self.risks:
+            last = rb.get_last_one(max_date=max_date, risk=risk)
+            if not last or last['date'] < filter_weekend(max_date):
+                benchmarks = pd.DataFrame(self.build_benchmark(risk=risk, day=max_date))
+                if last:
+                    benchmarks = benchmarks[benchmarks.date > last['date']]
+                if not benchmarks.empty:
+                    rb.batch_insert(benchmarks.to_dict('records'))
+        result = pd.DataFrame(rb.get_list(max_date=max_date, min_date=min_date))
+        result = result.pivot_table(index='date', columns='risk', values='nav')
+        result.reset_index(inplace=True)
+        return result.to_dict('records')
+

reports/combo_datas.py

+from datetime import datetime as dt
+from typing import List
+
+import pandas as pd
+from py_jftech import component, autowired
+from empyrical import annual_return, annual_volatility, max_drawdown, sharpe_ratio
+
+from api import RoboReportor, Navs
+
+
+@component(bean_name='combo-report')
+class ComboDatasReport(RoboReportor):
+
+    @autowired(names={'hold_reportor': 'hold-report', 'benchmark': 'benckmark-report'})
+    def __init__(self, hold_reportor: RoboReportor = None, benchmark: RoboReportor = None, navs: Navs = None):
+        self._hold_reportor = hold_reportor
+        self._benchmark = benchmark
+        self._navs = navs
+
+    @property
+    def report_name(self) -> str:
+        return '混合数据'
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        holds = pd.DataFrame(self._hold_reportor.load_report(max_date=max_date, min_date=min_date))
+        if not holds.empty:
+            holds['risk'] = holds.apply(lambda row: row.risk, axis=1)
+            datas = holds.pivot_table(index='date', columns='risk', values='nav')
+
+            benchmark = pd.DataFrame(self._benchmark.load_report(max_date=max_date, min_date=min_date))
+            datas = datas.join(benchmark.set_index('date'))
+
+            spx = pd.DataFrame(self._navs.get_index_close(ticker='SPX Index', min_date=min_date, max_date=max_date))
+            spx = spx.pivot_table(index='date', columns='index_id', values='close')
+            spx.columns = ['SPX']
+            datas = datas.join(spx)
+
+            datas.fillna(method='ffill', inplace=True)
+            datas.reset_index(inplace=True)
+            return datas.to_dict('records')
+        return []
+

reports/dao/mysql.sql

+CREATE TABLE IF NOT EXISTS robo_benchmark
+(
+    rb_id          BIGINT UNSIGNED NOT NULL AUTO_INCREMENT,
+    rb_date        DATETIME        NOT NULL COMMENT '日期',
+    rb_risk        VARCHAR(255)    NOT NULL COMMENT '风险等级',
+    rb_nav         DOUBLE(16, 4)   NOT NULL COMMENT '资产值',
+    rb_re          TINYINT         NOT NULL DEFAULT 0 COMMENT '是否再分配',
+    rb_create_time DATETIME        NOT NULL DEFAULT CURRENT_TIMESTAMP,
+    rb_update_time DATETIME                 DEFAULT NULL ON UPDATE CURRENT_TIMESTAMP,
+    PRIMARY KEY (rb_id),
+    UNIQUE INDEX (rb_date, rb_risk),
+    INDEX (rb_risk)
+) ENGINE = InnoDB
+  AUTO_INCREMENT = 0
+  DEFAULT CHARSET = utf8mb4 COMMENT 'BENCHMARK数据表';
\ No newline at end of file

reports/dao/robo_benckmark.py

+from py_jftech import read, write, where, mapper_columns, format_date
+
+__COLUMNS__ = {
+    'rb_id': 'id',
+    'rb_date': 'date',
+    'rb_risk': 'risk',
+    'rb_nav': 'nav',
+    'rb_re': 're',
+}
+
+
+@write
+def batch_insert(datas):
+    datas = [mapper_columns(x, __COLUMNS__) for x in datas]
+    values = ','.join([f'''({','.join([(f"'{x[j]}'" if j in x and x[j] is not None else 'null') for j in __COLUMNS__.keys() if j != 'rb_id'])})''' for x in datas])
+    return f'''insert into robo_benchmark({','.join([x for x in __COLUMNS__.keys() if x != 'rb_id'])}) values {values}'''
+
+
+@read(one=True)
+def get_last_one(max_date=None, risk=None, re: bool = None):
+    sql = f"rb_date <= '{format_date(max_date)}'" if max_date else None
+    return f'''
+    select {','.join([f"{x[0]} as {x[1]}" for x in __COLUMNS__.items()])} from robo_benchmark
+    {where(sql, rb_risk=risk, rb_re=re)} order by rb_date desc limit 1
+    '''
+
+
+@read
+def get_list(max_date=None, min_date=None, risk=None, re: bool = None):
+    sqls = []
+    if max_date:
+        sqls.append(f"rb_date <= '{format_date(max_date)}'")
+    if min_date:
+        sqls.append(f"rb_date >= '{format_date(min_date)}'")
+    return f'''
+    select {','.join([f"{x[0]} as {x[1]}" for x in __COLUMNS__.items()])} from robo_benchmark
+    {where(*sqls, rb_risk=risk, rb_re=re)} order by rb_risk, rb_date
+    '''

reports/exports.py

+import os
+from datetime import datetime as dt
+from typing import List
+from abc import abstractmethod, ABCMeta
+from tempfile import TemporaryDirectory
+from shutil import copyfile
+from copy import deepcopy
+
+import pandas as pd
+from py_jftech import component, autowired, get_config, get_instance_name, get_project_path, format_date, sendmail
+
+from api import RoboReportor, RoboExportor
+
+
+def include_report():
+    return get_config(__name__)['include-report']
+
+
+class DefaultExportor(RoboExportor):
+
+    @autowired
+    def __init__(self, reportors: List[RoboReportor] = None):
+        self._reportors = {get_instance_name(x): x for x in reportors}
+
+    def export(self, max_date=dt.today(), min_date=None):
+        if not self.include_report:
+            return None
+        with TemporaryDirectory() as tmpdir:
+            filename = f"{self.file_name}_{format_date(max_date)}.xlsx"
+            if min_date:
+                filename = f"{self.file_name}_{format_date(min_date)}_to_{format_date(max_date)}.xlsx"
+            filepath = os.path.join(tmpdir, filename)
+            with pd.ExcelWriter(filepath) as writer:
+                for reportor_name in self.include_report:
+                    reportor = self._reportors[reportor_name]
+                    datas = pd.DataFrame(reportor.load_report(max_date=max_date, min_date=min_date))
+                    if not datas.empty:
+                        datas.to_excel(writer, sheet_name=reportor.report_name, index=False)
+            email = self.get_email(filepath)
+            if email:
+                receives = email['receives']
+                copies = email['copies'] if 'copies' in email else []
+                attach_paths = [filepath]
+                subject = email['subject'].format(today=format_date(dt.today()), max_date=max_date, min_date=min_date)
+                content = email['content'].format(today=format_date(dt.today()), max_date=max_date, min_date=min_date)
+                sendmail(receives=receives, copies=copies, attach_paths=attach_paths, subject=subject, content=content)
+            if self.save_path is not None:
+                os.makedirs(self.save_path, exist_ok=True)
+                save_file = os.path.join(self.save_path, filename)
+                copyfile(filepath, save_file)
+
+    def get_email(self, file):
+        return deepcopy(self.config['email']) if 'email' in self.config else None
+
+    @property
+    def save_path(self):
+        if 'save-path' not in self.config:
+            return None
+        save_path: str = self.config['save-path']
+        if save_path.startswith('.'):
+            return os.path.abspath(os.path.join(os.path.dirname(__file__), save_path))
+        elif save_path.startswith('/'):
+            return os.path.abspath(save_path)
+        return os.path.abspath(os.path.join(get_project_path(), save_path))
+
+    @property
+    def exist_build(self):
+        return self.config['exist-build'] if 'exist-build' in self.config else False
+
+    @property
+    def file_name(self):
+        return self.config['file-name'] if 'file-name' in self.config else 'export'
+
+    @property
+    def include_report(self):
+        return self.config['include-report'] if 'include-report' in self.config else []
+
+    @property
+    @abstractmethod
+    def config(self):
+        pass
+
+
+@component(bean_name='backtest-export')
+class BacktestExportor(DefaultExportor):
+
+    def __init__(self):
+        super(BacktestExportor, self).__init__()
+        self.__config = deepcopy(get_config(__name__))
+
+    @property
+    def config(self):
+        return self.__config['backtest']
+
+
+@component(bean_name='real-daily-export')
+class RealDailyExportor(DefaultExportor):
+
+    @autowired(names={'signal_reportor': 'daily-signal-report'})
+    def __init__(self, signal_reportor: RoboReportor = None):
+        super(RealDailyExportor, self).__init__()
+        self.__config = get_config(__name__)
+        self._signal_reportor = signal_reportor
+
+    def get_email(self, file):
+        result = super(RealDailyExportor, self).get_email(file)
+        if result is None:
+            return None
+        content = pd.read_excel(file, sheet_name=None)
+        if self._signal_reportor.report_name in content:
+            result['subject'] = str(result['subject']['rebalance'])
+            result['content'] = result['content']['rebalance']
+        else:
+            result['subject'] = result['subject']['default']
+            result['content'] = result['content']['rebalance']
+        return result
+
+    @property
+    def config(self):
+        return self.__config['real-daily']

reports/fixed_range.py

+from datetime import datetime as dt
+from typing import List
+
+import pandas as pd
+from py_jftech import component, autowired, get_config, format_date, filter_weekend
+
+from api import RoboReportor
+
+
+@component(bean_name='fixed-range-report')
+class FixedRangeReport(RoboReportor):
+
+    @autowired(names={'combo': 'combo-report'})
+    def __init__(self, combo: RoboReportor = None):
+        self._combo = combo
+        self._config = get_config(__name__)
+
+    @property
+    def report_name(self) -> str:
+        return '固定区间收益率'
+
+    @property
+    def range_dates(self):
+        return self._config['range-dates']
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        datas = pd.DataFrame(self._combo.load_report(max_date=max_date, min_date=min_date))
+        datas.set_index('date', inplace=True)
+        if not datas.empty:
+            result = pd.DataFrame(columns=datas.columns)
+            for range in self.range_dates:
+                start = filter_weekend(range['start'])
+                end = filter_weekend(range['end'])
+                if not datas[start:end].empty:
+                    row_name = f"{format_date(start)}~{format_date(end)}"
+                    result.loc[row_name] = datas[start:end].values[-1] / datas[start:end].values[0] - 1
+            result = round(result, 4) * 100
+            result.reset_index(inplace=True)
+            result.rename(columns={'index': 'range-date'}, inplace=True)
+            return result.to_dict('records')
+        return []

reports/indicators.py

+from datetime import datetime as dt
+from typing import List
+
+import pandas as pd
+from empyrical import annual_return, annual_volatility, max_drawdown, sharpe_ratio
+from py_jftech import component, autowired
+
+from api import RoboReportor
+
+
+@component(bean_name='indicators-report')
+class IndicatorsReportor(RoboReportor):
+
+    @autowired(names={'combo': 'combo-report'})
+    def __init__(self, combo: RoboReportor = None):
+        self._combo = combo
+
+    @property
+    def report_name(self) -> str:
+        return '指标'
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        datas = pd.DataFrame(self._combo.load_report(max_date=max_date, min_date=min_date))
+        datas.set_index('date', inplace=True)
+        if not datas.empty:
+            returns = round(datas.pct_change(), 5)
+            indicators = {
+                'annual_return': list(annual_return(returns, period='daily', annualization=None) * 100),
+                'annual_volatility': annual_volatility(returns, period='daily', annualization=None) * 100,
+                'max_drawdown': max_drawdown(returns, out=None) * 100,
+                'sharp': sharpe_ratio(returns, risk_free=0, period='daily', annualization=None),
+            }
+            indicators['calmar'] = abs(indicators['annual_return'] / indicators['max_drawdown'])
+            result = pd.DataFrame(indicators.values(), index=indicators.keys(), columns=list(returns.columns)).round(2)
+            result.reset_index(inplace=True)
+            result.rename(columns={'index': 'indicators'}, inplace=True)
+            return result.to_dict('records')
+        return []

reports/relative_range.py

+from datetime import datetime as dt
+from typing import List
+
+import pandas as pd
+from dateutil.relativedelta import relativedelta
+from py_jftech import component, autowired, get_config, format_date, filter_weekend
+
+from api import RoboReportor
+
+
+@component(bean_name='relative-range-report')
+class RelativeRangeReport(RoboReportor):
+
+    @autowired(names={'combo': 'combo-report'})
+    def __init__(self, combo: RoboReportor = None):
+        self._combo = combo
+        self._config = get_config(__name__)
+
+    @property
+    def report_name(self) -> str:
+        return '相对区间收益率'
+
+    @property
+    def range_dates(self):
+        return self._config['range-dates']
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        datas = pd.DataFrame(self._combo.load_report(max_date=max_date, min_date=min_date))
+        datas.set_index('date', inplace=True)
+        if not datas.empty:
+            result = pd.DataFrame(columns=datas.columns)
+            for range in self.range_dates:
+                kwargs = range.copy()
+                del kwargs['name']
+                start = filter_weekend(max_date - relativedelta(**kwargs))
+                end = filter_weekend(max_date)
+                row_name = f"{range['name']}({format_date(start)}~{format_date(end)})"
+                result.loc[row_name] = datas[start:end].values[-1] / datas[start:end].values[0] - 1
+            result = round(result, 4) * 100
+            result.reset_index(inplace=True)
+            result.rename(columns={'index': 'range-date'}, inplace=True)
+            return result.to_dict('records')
+        return []

reports/test_case.py

+import unittest
+import logging
+import tempfile
+from datetime import datetime as dt
+
+from py_jftech import autowired, to_str, parse_date, prev_workday
+from api import RoboReportor, RoboExportor
+
+logger = logging.getLogger(__name__)
+
+
+class ReportTest(unittest.TestCase):
+
+    @autowired(names={'reportor': 'benckmark-report'})
+    def test_benchmark_report(self, reportor: RoboReportor = None):
+        result = reportor.load_report(max_date=parse_date('2022-11-01'))
+        logger.info(to_str(result))
+
+    @autowired(names={'reportor': 'indicators-report'})
+    def test_indicator_report(self, reportor: RoboReportor = None):
+        result = reportor.load_report(max_date=parse_date('2022-11-01'))
+        logger.info(to_str(result))
+
+    @autowired(names={'reportor': 'fixed-range-report'})
+    def test_fixed_report(self, reportor: RoboReportor = None):
+        result = reportor.load_report(max_date=parse_date('2022-11-01'))
+        logger.info(to_str(result))
+
+    @autowired(names={'reportor': 'relative-range-report'})
+    def test_relative_report(self, reportor: RoboReportor = None):
+        result = reportor.load_report(max_date=parse_date('2022-11-01'))
+        logger.info(to_str(result))
+
+    @autowired(names={'exportor': 'backtest-export'})
+    def test_backtest_export(self, exportor: RoboExportor = None):
+        exportor.export(max_date=parse_date('2022-11-01'))
+
+    @autowired(names={'exportor': 'real-daily-export'})
+    def test_daliy_export(self, exportor: RoboExportor = None):
+        exportor.export(max_date=prev_workday(dt.today()))
+
+
+if __name__ == '__main__':
+    unittest.main()

robo_executor.py

 import logging
+import os
 import sys
 from concurrent.futures import wait
 from datetime import datetime as dt
@@ -13,7 +14,7 @@ from py_jftech import (
 
 from api import (
     RoboExecutor, Datum, AssetPool, PortfoliosBuilder,
-    PortfoliosRisk, PortfoliosHolder, DataSync
+    PortfoliosRisk, PortfoliosHolder, DataSync, RoboExportor
 )
 
 logger = logging.getLogger(__name__)
@@ -37,13 +38,14 @@ class BacktestExecutor(RoboExecutor):
 
     @autowired(names={'optimize': 'dividend'})
     def __init__(self, datum: Datum = None, pool: AssetPool = None,
-                 syncs: List[DataSync] = None,
+                 syncs: List[DataSync] = None, export: RoboExportor = None,
                  builder: PortfoliosBuilder = None, hold: PortfoliosHolder = None):
         self._datum = datum
         self._pool = pool
         self._builder = builder
         self._hold = hold
         self._syncs = syncs
+        self._export = export
         self._config = get_config(__name__)['backtest']
 
     @staticmethod
@@ -119,6 +121,10 @@ class BacktestExecutor(RoboExecutor):
             now = dt.now()
             wait([self.async_build_hold(x) for x in PortfoliosRisk])
             logger.info(f"build hold portfolios success, use[{(dt.now() - now).seconds}s]")
+        # logger.info("start to export report".center(50, '-'))
+        # now = dt.now()
+        # file = self._export.export(max_date=self.end_date, min_date=self.start_date)
+        # logger.info(f"report file[{os.path.basename(file)}] exported successfully. use[{(dt.now() - now).seconds}s].")
 
     @asynchronized(isolate=True)
     def async_build_risk_date(self, asset_id):