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robo-dividend
Commit 3b76e4bb authored by jichao's avatar jichao
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parent 57363aca
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config.yml
View file @ 3b76e4bb
...@@ -151,7 +151,7 @@ rebalance: # 再平衡模块 ...@@ -151,7 +151,7 @@ rebalance: # 再平衡模块
fed-threshold: -0.75 # fed判断阀值 fed-threshold: -0.75 # fed判断阀值
right-side: # 市场右侧相关 right-side: # 市场右侧相关
rtn-days: 5 # 计算spx回报率滚动天数，交易日 rtn-days: 5 # 计算spx回报率滚动天数，交易日
min-threshold: -0.05 # spx回报率跌破阀值 min-threshold: -0.03 # spx回报率跌破阀值
coef: 0.95 # 计算cvar的系数 coef: 0.95 # 计算cvar的系数
cvar-min-volume: 30 # 计算cvar至少需要多少交易日数据 cvar-min-volume: 30 # 计算cvar至少需要多少交易日数据
high-low-buy: # 高低买入相关 high-low-buy: # 高低买入相关
......
rebalance/signals/curve_drift.py
View file @ 3b76e4bb
...@@ -22,7 +22,8 @@ class CurveDrift(BaseRebalanceSignal): ...@@ -22,7 +22,8 @@ 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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