实盘完成待测试

config.yml

@@ -57,7 +57,7 @@ basic: # 基础信息模块
       - 'FTEAUH1 LX Equity'
       - 'TFIAAUS LX Equity'
   navs: # 净值模块
-    exrate: # 汇率，如果不开启，真个这块注释掉
+    exrate: # 汇率，如果不开启，整个这块注释掉
       - from: EUR # 需要转换的货币类型
         ticker: EURUSD BGN Curncy # 汇率值的彭博ticker
 asset-pool: # 资产池模块
@@ -106,20 +106,17 @@ portfolios: # 投组模块
     poem: # poem相关
       cvar-scale-factor: 0.1 # 计算时用到的系数
     right_side: # 这里表示右侧类型投组用到的参数，这里有则优先用这里的参数，如果没有，则用上面默认参数，参数含义和上面一致
-      asset-count: [3, 5]
       navs:
         risk: [1, 2]
         exclude-asset-type: ['STOCK', 'BALANCED'] # 排除的资产类型
       mpt:
         quantile: 0.3
     crisis_1: # 危机1相关，这里有则优先用这里的参数，如果没有，则用上面默认参数，参数含义和上面一致
-      asset-count: [3, 5]
       navs:
         risk: [1, 2]
       mpt:
         quantile: 0.1
     crisis_2: # 危机2相关，这里有则优先用这里的参数，如果没有，则用上面默认参数，参数含义和上面一致
-      asset-count: [3, 5]
       navs:
         risk: [ 1, 2 ]
       mpt:
@@ -128,11 +125,11 @@ rebalance: # 再平衡模块
   drift-solver: # drift解算器相关
     date-curve: # 日期曲线drift相关
       diff-threshold: 0.4 # 权重相差初始阀值
-      init-factor: 0.000000002 # 权宠相差递减因子
+      init-factor: 0.000000002 # 权重相差递减因子
     high-weight: # 高风险资产权重drift相关
       coef: 0.2 # drift系数
   ruler: # 再平衡信号选用规则
-    disable-period: # 禁止买入期
+    disable-period: # 禁止买入期，交易日
       normal: 10 # 标准投组禁止买入期
       crisis_1: 15 # 危机1投组禁止买入期
       crisis_2: 15 # 危机2投组禁止买入期
@@ -149,7 +146,7 @@ rebalance: # 再平衡模块
       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
-        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
       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

rebalance/signals/crisis_signal.py

@@ -31,7 +31,7 @@ class CrisisSignal(BaseRebalanceSignal, ABC):
 
     @property
     def inversion_threshold(self):
-        return self._config['inversion-threshold'] if 'inversion-threshold' in self._config else 1
+        return self._config['inversion-threshold'] if 'inversion-threshold' in self._config else 0.3
 
     def get_exp_start_date(self, day, risk: PortfoliosRisk):
         assert day, "get crisis exp start date, day can not be none"
@@ -118,5 +118,5 @@ class CrisisTwoSignal(CrisisSignal, BaseRebalanceSignal):
                 fed_today = self._navs.get_last_index_close(max_date=day, ticker='FDTR Index')
                 fed_before = self._navs.get_last_index_close(max_date=day - relativedelta(months=self.fed_months), ticker='FDTR Index')
 
-                return today <= before and fed_today['close'] - fed_before['close'] < -self.fed_threshold
+                return today <= before and fed_today['close'] - fed_before['close'] < self.fed_threshold
         return False