实盘完成待测试

config.yml

@@ -45,9 +45,9 @@ framework:
     root:
       level: INFO
       handlers: [ console ]
-basic:
-  datum:
-    excludes:
+basic: # 基础信息模块
+  datum: # 资料模块
+    excludes: # 排除的资料彭博ticker
       - 'FKUQX US Equity'
       - 'FTAAUSH LX Equity'
       - 'FTJAPAU LX Equity'
@@ -56,120 +56,115 @@ basic:
       - 'TEUSAAU LX Equity'
       - 'FTEAUH1 LX Equity'
       - 'TFIAAUS LX Equity'
-  navs:
-    exrate:
-      - from: EUR
-        ticker: EURUSD BGN Curncy
-asset-pool:
-  asset-optimize:
-    sortino-weight:
+  navs: # 净值模块
+    exrate: # 汇率，如果不开启，真个这块注释掉
+      - 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
+  asset-optimize: # 资产优选模块
+    sortino-weight: # sortino计算需要的权重，下面每一条为一次计算，e.g. months: 3, weight: 0.5 表示 3个月数据使用权重0.5来计算分值
       - months: 3
         weight: 0.5
       - months: 6
         weight: 0.3
       - years: 1
         weight: 0.2
-  asset-risk:
-    advance-months: 3
-    rtn-days: 5
-    ewma:
-      condition-total: 6
-      condition-meet: 4
-      factor: 0.3
-      threshold: 0
-    cvar:
-      min-volume: 30
-      threshold: -0.03
-      coef: 0.95
-portfolios:
-  holder:
-    init-nav: 100
-    min-interval-days: 10
-  solver:
-    tol: 1E-10
-    navs:
-      months: 3
-      max-nan:
-        asset: 8
-        day: 0.5
-      risk:
-        ft3: [ 2, 3 ]
+  asset-risk: # 资产风控模块
+    advance-months: 3 # 计算资产风控，需要净值提前开始时间多少个月
+    rtn-days: 5 # 滚动计算回报率的天数
+    ewma: # ewma相关
+      condition-total: 6 # 查看多少天的数据
+      condition-meet: 4 # 有多少天满足条件则触发
+      factor: 0.3 # ewma计算因子
+      threshold: 0 # 满足条件阀值
+    cvar: # cvar相关
+      min-volume: 30 # 计算cvar时净值最少数据量
+      threshold: -0.03 # 满足条件阀值
+      coef: 0.95 # 计算cvar的系数
+portfolios: # 投组模块
+  holder: # 持仓投组相关
+    init-nav: 100 # 初始金额
+    min-interval-days: 10 # 两次实际调仓最小间隔期，单位交易日
+  solver: # 解算器相关
+    tol: 1E-10 # 误差满足条件
+    navs: # 净值要求
+      months: 3 # 需要几个月的净值数据
+      max-nan: # 最大缺失净值条件
+        asset: 8 # 单一资产最多缺少多少交易日数据，则踢出资产池
+        day: 0.5 # 单一交易日最多缺少百分之多少净值，则删除该交易日
+      risk: # 资产风险等级要求，可分开写也可以合并写，e.g. risk：[ 2, 3 ] 则表示 所有投组资产风险等级都是 2 或 3
+        ft3: [ 2, 3 ]  # 类似这样写，只要求ft3的投组资产风险等级
         ft6: [ 2, 3, 4 ]
         ft9: [ 2, 3, 4, 5 ]
-    matrix-rtn-days: 21
-    asset-count: 5 # count or [min, max]
-    mpt:
-      cvar-beta: 0.2
-      quantile: 0.9
-      low-weight: 0.05
-      high-weight: [ 1, 0.6, 0.35 ]
-    poem:
-      cvar-scale-factor: 0.1
-    right_side:
+    matrix-rtn-days: 21 # 计算回报率矩阵时，回报率滚动天数
+    asset-count: 5 # 投组资产个数。e.g. count 或 [min, max] 分别表示 最大最小都为count 或 最小为min 最大为max，另外这里也可以类似上面给不同风险等级分别配置
+    mpt: # mpt计算相关
+      cvar-beta: 0.2 # 计算Kbeta 需要用到
+      quantile: 0.9 # 分位点，也可以给不同风险等级分别配置
+      low-weight: 0.05 # 最低权重
+      high-weight: [ 1, 0.6, 0.35 ] # 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
+    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']
+        exclude-asset-type: ['STOCK', 'BALANCED'] # 排除的资产类型
       mpt:
         quantile: 0.3
-    crisis_1:
+    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:
+    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:
         quantile: 0.1
-rebalance:
-  drift-solver:
-    date-curve:
-      diff-threshold: 0.4
-      init-factor: 0.000000002
-    high-weight:
-      coef: 0.2
-  ruler:
-    disable-period:
-      normal: 10
-      crisis_1: 15
-      crisis_2: 15
-      right_side: 15
-  signals:
-    init-signal:
-      date: 2022-09-01
-    crisis-signal:
-      exp-years: 3
-      exp-init: 2008-01-01
-      inversion-years: 1
-      inversion-threshold: 0.3
-      crisis-1:
-        mean-count: 850
-        consecut-days: 5
-      crisis-2:
-        negative-growth: 1
-        fed-months: 3
-        fed-threshold: 0.75
-    right-side:
-      rtn-days: 5
-      min-threshold: -0.05
-      coef: 0.95
-      cvar-min-volume: 30
-    curve-drift:
-      diff-threshold: 0.4
-      init-factor: 0.000000002
-    high-low-buy:
-      threshold: [ 0.5, 0.8 ]
-robo-executor:
-  use: ${ROBO_EXECUTOR:backtest}
-  backtest:
-    start-date: 2008-01-02
-    end-date: 2009-01-01
-    start-step: 4
-  real:
-    start-date: 2022-11-01
+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
+    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
+      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
+      right_side: 15 # 右侧投组禁止买入期
+  signals: # 信号相关
+    crisis-signal: # 危机信号相关
+      exp-years: 3 # 预警期时长，单位自然年，点到点计算
+      exp-init: 2008-01-01 # 设置起始危机预警开始时间，如果关闭初始预警起，注释到这一条即可
+      inversion-years: 1 # 利率倒挂计算时长，单位自然年，点到点取值
+      inversion-threshold: 0.3 # 利率倒挂触发阀值
+      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连续多少年跌破平均值则触发
+      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
+    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
+      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
+    high-low-buy: # 高低买入相关
+      threshold: [ 0.5, 0.8 ] # [ 低买入阀值，高买入阀值 ]
+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
+  backtest: # 回测执行器相关
+    start-date: 2008-01-02 # 回测起始日期
+    end-date: 2009-01-01 # 回测截止日期
+    start-step: 4 # 回测从哪一步开始执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
+  real: # 实盘执行器
+    start-date: 2022-11-01 # 实盘开始时间
 
 
 

rebalance/signals/curve_drift.py

@@ -13,7 +13,6 @@ class CurveDrift(BaseRebalanceSignal):
         self._datum = datum
         self._hold = hold
         self._solver = solver
-        self._config = get_config(__name__)
 
     @property
     def exclude_last_type(self):
@@ -37,14 +36,6 @@ class CurveDrift(BaseRebalanceSignal):
         hold_weight = round(sum([x[1] for x in hold_portfolio.items() if x[0] in datum_ids]), 2)
         return normal_weight - hold_weight >= self._solver.get_drift(day, risk) # TODO 左边应该加绝对值
 
-    @property
-    def diff_threshold(self):
-        return self._config['diff-threshold']
-
-    @property
-    def init_factor(self):
-        return self._config['init-factor']
-
     @property
     def signal_type(self) -> SignalType:
         return SignalType.DRIFT_BUY