调整信号规则逻辑

config.yml

@@ -40,9 +40,8 @@ py-jftech:
       api.PortfoliosBuilder: portfolios.builder.PoemPortfoliosBuilder
     names:
       crisis_one: rebalance.signals.crisis_signal.LastRateCrisisOneSignal
-      date-curve: rebalance.drift_solver.DateCurve
-      curve-drift: rebalance.signals.curve_drift.Max120tCurveDrift
-      market-right: rebalance.signals.right_side.MarketRight
+      date-curve: rebalance.drift_solver.NonnegativeDateCurve
+      curve-drift: rebalance.signals.curve_drift.AbsCurveDrift
   email:
     server: smtphz.qiye.163.com
     user: jft-ra@thizgroup.com
@@ -150,7 +149,7 @@ rebalance: # 再平衡模块
       crisis-1: # 危机1相关
         mean-count: 850 # spx去多少交易日计算平均值
         consecut-days: 5 # spx连续多少天跌破平均值则触发
-        threshold: -0.1 # spx计算后跌破阀值
+        threshold: -0.05 # spx计算后跌破阀值
       crisis-2: # 危机2相关
         negative-growth: 1 # 实际利率负增长时长，单位年，点到点取值
         fed-months: 3 # fed 滚动月份，点到点取值

rebalance/signals/right_side.py

@@ -91,31 +91,3 @@ class MarketRight(BaseRebalanceSignal):
         spx.dropna(inplace=True)
         spx = spx[['date', 'close', 'rtn']]
         return spx.to_dict('records')
-
-
-@component(bean_name='market-right')
-class FallMarketRight(MarketRight):
-
-    def is_fall(self, day, risk: PortfoliosRisk, spx=None):
-        if spx is None:
-            spx = self.load_spx_close_rtns(day)
-        start_date = self.find_cvar_start_date(day, risk, spx=spx)
-        if start_date:
-            spx = pd.DataFrame(spx)
-            spx = spx[(spx.date >= start_date) & (spx.date <= day)]
-            return spx.iloc[-1].close < spx.iloc[0].close
-        return False
-
-    def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
-        last_re = rrs.get_last_one(risk=risk, max_date=day, effective=True)
-        if last_re is not None and SignalType(last_re['type']) in self.include_last_type:
-            return False
-        spx = self.load_spx_close_rtns(day)
-
-        if self.is_fall(day, risk, spx=spx):
-            return True
-
-        if spx[-1]['rtn'] > self.min_threshold:
-            return False
-        cvar = self.get_cvar(day, risk, spx=spx)
-        return cvar is not None and spx[-1]['rtn'] < cvar