投顾方向优化

config-svrobo6.yml

+py-jftech:
+  logger:
+    version: 1
+    formatters:
+      brief:
+        format: "%(asctime)s - %(levelname)s - %(message)s"
+      simple:
+        format: "%(asctime)s - %(filename)s - %(levelname)s - %(message)s"
+    handlers:
+      console:
+        class: logging.StreamHandler
+        formatter: simple
+        level: DEBUG
+        stream: ext://sys.stdout
+      file:
+        class: logging.handlers.TimedRotatingFileHandler
+        level: INFO
+        formatter: brief
+        filename: ${LOG_FILE:logs/info.log}
+        interval: 1
+        backupCount: 30
+        encoding: utf8
+        when: D
+#    loggers:
+#      basic.sync:
+#        level: DEBUG
+#        handlers: [console]
+#        propagate: no
+    root:
+      level: ${LOG_LEVEL:INFO}
+      handlers: ${LOG_HANDLERS:[ console ]}
+  database:
+    host: ${MYSQL_HOST:192.168.68.85}
+    port: ${MYSQL_PORT:3306}
+    user: ${MYSQL_USER:root}
+    password: ${MYSQL_PWD:changeit}
+    dbname: ${MYSQL_DBNAME:jftech_robo}
+  injectable:
+    names:
+      backtest: robo_executor.BacktestExecutor
+      datum: basic.datum.DefaultDatum
+      hold-report: portfolios.holder.DivHoldReportor
+      mpt: portfolios.builder.PoemPortfoliosBuilder
+      dividend-holder: portfolios.holder.InvTrustPortfoliosHolder
+#  email:
+#    server: smtphz.qiye.163.com
+#    user: jft-ra@thizgroup.com
+#    password: 5dbb#30ec6d3
+  mulit-process:
+    max-workers: ${MAX_PROCESS:4}
+basic: # 基础信息模块
+  sync:
+    start-date: 2007-01-01 # 同步数据开始日期
+  datum: # 资料模块
+    change:
+      date: ${DATUM_CHANGE_DATE}
+      file: ${DATUM_CHANGE_FILE}
+    excludes: # 排除的资料彭博ticker
+      backtest:
+        - 'TEMUSGI LX Equity'
+      real:
+        - 'FGFSACU LX Equity'
+#  navs: # 净值模块
+#    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
+  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-include: {'category':['US_STOCK','US_IG_BOND','US_HY_BOND']}
+    optimize-count: 3 #基金优选个数
+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
+    dividend-rate: 0.09 #设定年化配息率
+    dividend-date: 15 #配息日，每月15号
+    warehouse-frequency: 1  #每隔1个月调一次仓
+    redeem-list: [ 'TEUSAAU LX Equity', 'LIGTRAA ID Equity', 'TEMFHAC LX Equity', 'LUSHUAA ID Equity' ] #从持仓中的低风险资产“直接”按序赎回
+  solver: # 解算器相关
+    tol: 1E-10 # 误差满足条件
+    navs: # 净值要求
+      range: # 需要净值数据的区间, days: 90 表示90自然日，months: 3 表示3个自然月
+        days: 90
+      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
+    normal-ratio: #US_STOCK：US_HY_BOND：US_IG_BOND三者分别对应低中高风险所占比率
+      US_STOCK: [ 0.5, 0.5, 0.7 ]
+      US_HY_BOND: [ 0.4, 0.4, 0.2 ]
+      US_IG_BOND: [ 0.1, 0.1, 0.1 ]
+    riskctl-ratio:
+      US_STOCK: [ 0.2, 0.4, 0.6 ]
+      US_HY_BOND: [ 0.5, 0.3, 0.1 ]
+      US_IG_BOND: [ 0.3, 0.3, 0.3 ]
+    matrix-rtn-days: 20 # 计算回报率矩阵时，回报率滚动天数
+    asset-count: [3,3] # 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 ] # 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
+reports: # 报告模块相关
+  navs:
+    type: FUND
+    tickers:
+      - TEMTECI LX Equity
+      - TEPLX US Equity
+      - FRDPX US Equity
+      - FKRCX US Equity
+      - FTNRACU LX Equity
+  benchmark: # benchmark报告
+    ft:
+      init-amount: 100 # 初始金额
+      stock-rate: # stock型基金比例
+        RR3: 0.3
+        RR4: 0.5
+        RR5: 0.7
+  fixed-range: # 固定区间收益率
+    range-dates: # 固定起始截止日期
+      - start: 2008-01-01
+        end: 2008-10-27
+      - start: 2011-05-02
+        end: 2011-10-04
+      - start: 2013-05-08
+        end: 2013-06-24
+      - start: 2014-09-03
+        end: 2014-12-16
+      - start: 2015-04-28
+        end: 2016-01-21
+      - start: 2018-01-26
+        end: 2018-10-29
+      - start: 2020-01-20
+        end: 2020-03-23
+  relative-range: # 相对区间收益率
+    range-dates: # 相对时间周期
+      - days: 1
+        name: '一天'
+      - weeks: 1
+        name: '一周'
+      - months: 1
+        name: '一月'
+      - months: 3
+        name: '三月'
+      - months: 6
+        name: '六月'
+      - years: 1
+        name: '一年'
+      - years: 2
+        name: '两年'
+      - years: 3
+        name: '三年'
+      - years: 5
+        name: '五年'
+      - years: 10
+        name: '十年'
+      - dates: ~
+        name: '成立以来'
+  exports:
+    backtest: # 回测导出曹策略
+      save-path: ${EXPORT_PATH:excels} # 导出报告文件存放路径，如果以./或者../开头，则会以执行python文件为根目录，如果以/开头，则为系统绝对路径，否则，以项目目录为根目录
+      file-name: ${EXPORT_FILENAME:real} # 导出报告的文件名
+      save-config: ${EXPORT_CONFIG:off} # 是否保存配置文件
+      include-report: # 需要导出的报告类型列表，下面的顺序，也代表了excel中sheet的顺序
+  #      - funds-report # 基金资料
+  #      - navs-report # 净值报告
+        - hold-report # 持仓报告
+        - signal-report # 信号报告
+        - benckmark-report # benckmark报告
+        - combo-report # 持仓对比
+        - indicators-report # 各种特殊指标报告
+        - fixed-range-report # 固定区间收益报告
+        - relative-range-report # 相对区间收益报告
+        - year-range-report # 单年区间业绩报告
+        - month-div-rate-report # 月度配息率比较
+        - year-div-rate-report # 年度配息率比较
+    real-daily:
+      file-name: svROBO5_portfolios
+      include-report:
+        - daily-hold-report
+        - daily-signal-report
+      email:
+        receives:
+          - wenwen.tang@thizgroup.com
+        copies: ${DAILY_EMAIL_COPIES}
+        subject:
+          default: "ROBO5_TAIBEI-实盘版-每日投組推薦_{today}"
+          rebalance: "ROBO5_TAIBEI-实盘版-每日投組推薦_{today}_今日有調倉信號！！！"
+        content:
+          default: "Dear All: 附件是今天生成的推薦組合，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 telan_qian@chifufund.com"
+          rebalance: "Dear All: 附件是今天生成的推薦組合以及調倉信號，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 telan_qian@chifufund.com"
+    daily-monitor:
+      file-name: svROBO5_monitor
+      include-report:
+        - name: relative-range-report # 相对区间收益报告
+          min-date: ~
+        - name: contribution-report # 贡献率报告
+          min-date: {days: 30}
+        - name: high-weight-report # 高风险资产占比
+          min-date: {days: 30}
+        - name: asset-pool-report # 基金池
+          min-date: {days: 30}
+        - name: combo-report # 持仓报告
+          min-date: {days: 40}
+        - name: mpt-report
+          min-date: {days: 30}
+        - name: signal-report
+          min-date: ~
+        - name: crisis-one-report
+          min-date: {days: 30}
+        - name: crisis-two-report
+          min-date: {days: 30}
+        - name: market-right-report
+          min-date: {days: 30}
+        - name: drift-buy-report
+          min-date: {days: 30}
+      email:
+        receives:
+          - wenwen.tang@thizgroup.com
+        copies: ${MONITOR_EMAIL_COPIES}
+        subject: "SVROBO5-实盘版-每日监测_{today}"
+        content: "Dear All: 附件是今天生成的监测数据，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 telan_qian@chifufund.com"
+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
+  sync-data: ${SYNC_DATA:off} # 是否开启同步资料数据
+  backtest: # 回测执行器相关
+    start-date: 2022-09-30 # 回测起始日期
+    end-date: 2023-03-01 # 回测截止日期
+    sealing-period: 10 #调仓封闭期
+    start-step: ${BACKTEST_START_STEP:3} # 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: true
+  real: # 实盘执行器
+    start-date: 2022-09-01 # 实盘开始时间
+
+
+
+

portfolios/holder.py

@@ -84,7 +84,8 @@ class DividendPortfoliosHolder(PortfoliosHolder):
                 # 配息率
                 div_rate = self._last_div * 12 / asset_nav
                 # 年配息率减去配息率差值超过基准配息率上下10%触发配息率重置
-                if self.month_dividend > 0 and abs((self._config['dividend-rate'] - div_rate) / self._config['dividend-rate']) > \
+                if self.month_dividend > 0 and abs(
+                        (self._config['dividend-rate'] - div_rate) / self._config['dividend-rate']) > \
                         self._config['dividend-drift-rate']:
                     # 以本月前一天的单位净值进行配息计算
                     dividend = last_nav['asset_nav'] * self.month_dividend
@@ -116,9 +117,9 @@ class DividendPortfoliosHolder(PortfoliosHolder):
             asset_nav = fund_av + fund_dividend + dividend
             funds = self._datum.get_datums(type=DatumType.FUND)
             funds_subscription_rate = {fund['id']: fund.get('subscriptionRate', 0) for fund in funds}
-            share = {x: (1-funds_subscription_rate[x])*(fund_av * w) / navs[x] for x, w in weight.items()}
+            share = {x: (1 - funds_subscription_rate[x]) * (fund_av * w) / navs[x] for x, w in weight.items()}
             #  初始买入扣手续费
-            fee = sum(funds_subscription_rate[x]*(fund_av * w) for x, w in weight.items())
+            fee = sum(funds_subscription_rate[x] * (fund_av * w) for x, w in weight.items())
             fund_av = fund_av - fee
         rhp.insert({
             'date': day,
@@ -208,6 +209,120 @@ class DividendPortfoliosHolder(PortfoliosHolder):
         return self._config['init-nav']
 
 
+@component(bean_name='dividend-holder')
+class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
+
+    def do_rebalance(self, day, risk: PortfoliosRisk, portfolio, last_nav):
+        weight = {int(x[0]): x[1] for x in json.loads(portfolio).items()}
+        dividend_acc = 0
+        fund_dividend = 0
+        if last_nav:
+            # 若非首次配息
+            share = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share'].items()}
+            fund_div_tuple = self.get_navs_and_div(fund_ids=tuple(set(weight) | set(share)), day=day)
+            navs = fund_div_tuple[0]
+            fund_dividend = fund_div_tuple[1]
+            fund_dividend = sum(
+                map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
+            dividend_acc = last_nav['div_acc']
+            fund_av = round(sum([navs[x] * y for x, y in share.items()]), 4) + last_nav['fund_div']
+            asset_nav = fund_av + fund_dividend
+            nav = last_nav['nav'] * asset_nav / last_nav['asset_nav']
+            share = {x: fund_av * w / navs[x] for x, w in weight.items()}
+            # 如果是第一个工作日则进行配息份额记录
+            if self.is_first_workday(day):
+                funds = self._datum.get_datums(type=DatumType.FUND, ticker=self._config['redeem-list'])
+                for fund in funds:
+                    if fund['id'] in share.keys():
+                        self._last_div = asset_nav * self.month_dividend / navs[fund['id']]
+                        break
+        else:
+            fund_av = self.init_nav
+            nav = self.init_nav
+            asset_nav = self.init_nav
+            fund_div_tuple = self.get_navs_and_div(fund_ids=tuple(weight), day=day)
+            navs = fund_div_tuple[0]
+            # 首次配息金额，做记录
+            self._last_div = 0
+            funds = self._datum.get_datums(type=DatumType.FUND)
+            funds_subscription_rate = {fund['id']: fund.get('subscriptionRate', 0) for fund in funds}
+            share = {x: (1 - funds_subscription_rate[x]) * (fund_av * w) / navs[x] for x, w in weight.items()}
+            #  初始买入扣手续费
+            fee = sum(funds_subscription_rate[x] * (fund_av * w) for x, w in weight.items())
+            fund_av = fund_av - fee
+        rhp.insert({
+            'date': day,
+            'risk': risk,
+            'dividend': 0,
+            'fund_div': fund_dividend,
+            'div_acc': dividend_acc,
+            'rebalance': True,
+            'portfolios': {
+                'weight': weight,
+                'share': share,
+            },
+            'fund_av': fund_av,
+            'nav': nav,
+            'port_div': 0,
+            'asset_nav': asset_nav,
+        })
+
+    def is_first_workday(self, day):
+        # 获取当月第一天的日期
+        first_day = date(day.year, day.month, 1)
+        first_work_day = first_day if is_workday(first_day) else next_workday(first_day)
+        return day.day == first_work_day.day
+
+    def no_rebalance(self, day, risk: PortfoliosRisk, last_nav):
+        port_div = 0
+        dividend_acc = last_nav['div_acc']
+        share = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share'].items()}
+        fund_div_tuple = self.get_navs_and_div(fund_ids=tuple(share), day=day)
+        navs = fund_div_tuple[0]
+        fund_dividend = fund_div_tuple[1]
+        # 配息日当天取得调仓日计算的应调仓金额,做实际份额赎回,这里的金额(即月初计算的赎回金额)用于转换成“赎回目标的份额”
+        if self.is_dividend_date(day) and self._last_div > 0:
+            funds = self._datum.get_datums(type=DatumType.FUND, ticker=self._config['redeem-list'])
+            for fund in funds:
+                if fund['id'] in share.keys():
+                    {}.update()
+                    share[fund['id']] = share[fund['id']] - self._last_div
+                    port_div = self._last_div * navs[fund['id']]
+                    dividend_acc = dividend_acc + port_div
+                    break
+        fund_av = round(sum([navs[x] * y for x, y in share.items()]), 4)
+        weight = {x: round(y * navs[x] / fund_av, 2) for x, y in share.items()}
+        weight = format_weight(weight)
+        fund_dividend = last_nav['fund_div'] + sum(
+            map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
+        asset_nav = fund_av + fund_dividend
+        nav = last_nav['nav'] * asset_nav / last_nav['asset_nav']
+        # 如果是第一个工作日则进行配息份额记录
+        if self.is_first_workday(day):
+            funds = self._datum.get_datums(type=DatumType.FUND, ticker=self._config['redeem-list'])
+            for fund in funds:
+                if fund['id'] in share.keys():
+                    self._last_div = asset_nav * self.month_dividend / navs[fund['id']]
+                    break
+        rhp.insert({
+            'date': day,
+            'risk': risk,
+            'dividend': 0,
+            'fund_div': fund_dividend,
+            'div_acc': dividend_acc,
+            'signal_id': last_nav['signal_id'],
+            'rebalance': False,
+            'portfolios': {
+                'weight': weight,
+                'share': share,
+            },
+            'fund_av': fund_av,
+            'nav': nav,
+            'port_div': port_div,
+            'asset_nav': asset_nav,
+        })
+
+
 @component(bean_name='hold-report')
 class DivHoldReportor(RoboReportor):
 
@@ -219,7 +334,7 @@ class DivHoldReportor(RoboReportor):
         holds = pd.DataFrame(rhp.get_list(max_date=max_date, min_date=min_date))
         if not holds.empty:
             holds['signal_type'] = 'INIT'
-            holds['cash'] = holds['dividend']+holds['fund_div']
+            holds['cash'] = holds['dividend'] + holds['fund_div']
             holds['real_av'] = holds['asset_nav']
             holds = holds[
                 ['date', 'signal_type', 'fund_av', 'fund_div', 'cash', 'real_av', 'port_div', 'acc_av', 'nav']]

robo_executor.py

@@ -21,7 +21,7 @@ logger = logging.getLogger(__name__)
 @component(bean_name='backtest')
 class BacktestExecutor(RoboExecutor):
 
-    @autowired(names={'optimize': 'dividend', 'datum': 'hk-datum'})
+    @autowired(names={'datum': 'hk-datum'})
     def __init__(self, datum: Datum = None, pool: AssetPool = None,
                  syncs: List[DataSync] = None, export: RoboExportor = None,
                  builder: PortfoliosBuilder = None, hold: PortfoliosHolder = None):