Merge remote-tracking branch 'origin/dev-dividend' into dev-dividend

api.py

+import logging
 import sys
 from abc import ABC, abstractmethod
 from datetime import datetime as dt
@@ -6,6 +7,8 @@ from typing import List
 
 from py_jftech import get_config, parse_date
 
+logger = logging.getLogger(__name__)
+
 
 @unique
 class BacktestStep(Enum):

asset_pool/asset_optimize.py

@@ -42,7 +42,7 @@ class SortinoAssetOptimize(AssetOptimize, ABC):
         pass
 
     @abstractmethod
-    def get_groups(self):
+    def get_groups(self, day=None):
         '''
         :return: 返回待处理的id数组
         '''
@@ -122,7 +122,7 @@ class FundDividendSortinoAssetOptimize(SortinoAssetOptimize):
             min_dates = self.nav_min_dates
             max_incept_date = sorted([(day - relativedelta(**x)) for x in self.delta_kwargs])[0]
             max_incept_date = max_incept_date if is_workday(max_incept_date) else next_workday(max_incept_date)
-            for fund_group in self.get_groups():
+            for fund_group in self.get_groups(day):
                 fund_group = [x for x in fund_group if min_dates[x] <= max_incept_date]
                 if len(fund_group) > self.optimize_count:
                     pool.extend(self.find_optimize(tuple(fund_group), day)[0])
@@ -132,8 +132,16 @@ class FundDividendSortinoAssetOptimize(SortinoAssetOptimize):
             last_one = rop.get_last_one(day=day, type=AssetPoolType.OPTIMIZE)
         return json.loads(last_one['asset_ids'])
 
-    def get_filtered_funds(self):
+    def get_filtered_funds(self, day):
         funds = self._datum.get_datums(type=DatumType.FUND)
+        if get_config('portfolios.checker.month-fund-filter'):
+            #  如果有按月剔除
+            filters = get_config('portfolios.checker.month-fund-filter')
+            excludes = filters.get(day.month)
+            if excludes:
+                for f in funds[:]:
+                    if f['bloombergTicker'] in excludes:
+                        funds.remove(f)
         if self.asset_filter:
             filters = list(self.asset_filter.keys())[0]
             funds_in = []
@@ -143,8 +151,8 @@ class FundDividendSortinoAssetOptimize(SortinoAssetOptimize):
             return funds_in
         return funds
 
-    def get_groups(self):
-        funds = pd.DataFrame(self.get_filtered_funds())
+    def get_groups(self, day=None):
+        funds = pd.DataFrame(self.get_filtered_funds(day))
         result = []
         if self.asset_include:
             include = list(self.asset_include.keys())[0]

config-svrobo_Mdiv_PRR3.yml

@@ -34,7 +34,7 @@ py-jftech:
     port: ${MYSQL_PORT:3306}
     user: ${MYSQL_USER:root}
     password: ${MYSQL_PWD:changeit}
-    dbname: ${MYSQL_DBNAME:mdiv_prr3}  # mdiv_prr3
+    dbname: ${MYSQL_DBNAME:j_robo}  # mdiv_prr3
   injectable:
     names:
       backtest: robo_executor.BacktestExecutor
@@ -115,7 +115,7 @@ portfolios: # 投组模块
   checker:  #投组检测模块
     switch: on  #是否开启检查
     custom-type-priority: [3,2,1,4]  # 检测优先级
-
+    month-fund-filter: {2:['TEMSCFA LX Equity'],12:['TEMHYAD LX Equity','TEMFIAI LX Equity']} # 根据月份删除某几档基金
 reports: # 报告模块相关
   navs:
     type: FUND
@@ -245,7 +245,7 @@ robo-executor: # 执行器相关
     sealing-period: 10 #调仓封闭期
     start-step: ${BACKTEST_START_STEP:1} # 回测从哪一步开始执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组
     end-step: ${BACKTEST_END_STEP:3} # 回测从哪一步执行完成后结束执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组
-    clean-up: off
+    clean-up: on
   real: # 实盘执行器
     export: ${EXPORT_ENABLE:off} # 是否开启报告
     start-date: 2023-05-08 # 实盘开始时间

portfolios/checker.py

@@ -29,10 +29,16 @@ class DefaultPortfoliosChecker(PortfoliosChecker):
             # step1:	检查原始投组的customType。检查顺序用列表呈现，依序进行
             priority = self._config.get('custom-type-priority')
             for p in priority:
+                # 找出对应优先级序列的基金列表
                 keys = [key for key in portfolios.keys() if customType[key] == p]
                 # 若存在匹配值则执行后跳出循环
                 if len(keys) > 0:
-                    ids = [fund['id'] for fund in funds if fund['companyType'] != list(companies)[0]]
+                    # 选取非同公司的、风险等级小于等于原基金的 基金
+                    min_risk = min(fund['risk'] for fund in funds if str(fund['id']) in keys)
+                    ids = [fund['id'] for fund in funds if fund['companyType'] != list(companies)[0] and
+                           fund['risk'] <= min_risk]
+                    if len(ids) == 0:
+                        continue
                     best = self.find_highest_score(ids, day)
                     # 若刚好有一个匹配，直接替换
                     if len(keys) == 1:
@@ -42,7 +48,7 @@ class DefaultPortfoliosChecker(PortfoliosChecker):
                     else:
                         # 算分，把分低的替换掉
                         scores = self.do_score(keys, day)
-                        weight_scores = {key: scores[key]*portfolios[key] for key in keys}
+                        weight_scores = {key: scores[key] * portfolios[key] for key in keys}
                         lowest = min(scores, key=lambda k: weight_scores[k])
                         portfolios[best] = portfolios[lowest]
                         # 删除原始键