定版

config.yml

@@ -38,10 +38,6 @@ py-jftech:
   injectable:
     types:
       api.PortfoliosBuilder: portfolios.builder.PoemPortfoliosBuilder
-    names:
-      crisis_one: rebalance.signals.crisis_signal.LastRateCrisisOneSignal
-      curve-drift: rebalance.signals.curve_drift.Max120tCurveDrift
-#      curve-drift: rebalance.signals.curve_drift.AbsCurveDrift
   email:
     server: smtphz.qiye.163.com
     user: jft-ra@thizgroup.com
@@ -148,7 +144,6 @@ rebalance: # 再平衡模块
       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连续多少天跌破平均值则触发
         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
@@ -160,7 +155,10 @@ rebalance: # 再平衡模块
       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 ]
+      threshold: # [ 低买入阀值，高买入阀值 ]
+        ft3: [ 0.5, 0.8 ]
+        ft6: [ 0.55, 0.8 ]
+        ft9: [ 0.55, 0.8 ]
 reports: # 报告模块相关
   navs:
     type: FUND
@@ -213,7 +211,7 @@ reports: # 报告模块相关
   backtest: # 回测导出曹策略
     exist-build: on # 如果报告文件存在，是否重新构建文件
     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:1322}
+    file-name: ${EXPORT_FILENAME:1323}
     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

rebalance/signals/crisis_signal.py

@@ -64,40 +64,6 @@ class CrisisSignal(BaseRebalanceSignal, ABC):
         return exp_signal['date'] if exp_signal else None
 
 
-@component(bean_name='crisis_one')
-class ConsecutFiveDaysCrisisOneSignal(CrisisSignal, BaseRebalanceSignal):
-    '''
-    连续5个交易入跌破850天平均值
-    '''
-    @property
-    def consecut_days(self):
-        return self._config['crisis-1']['consecut-days']
-
-    @property
-    def mean_count(self):
-        return self._config['crisis-1']['mean-count']
-
-    @property
-    def signal_type(self):
-        return SignalType.CRISIS_ONE
-
-    def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
-        exp_date = self.get_exp_start_date(day, risk)
-        if exp_date:
-            crisis_one = rrs.get_first_after(type=SignalType.CRISIS_ONE, risk=risk, min_date=exp_date)
-            if not crisis_one:
-                spx = self._navs.get_last_index_close(max_date=day, ticker='SPX Index', count=self.mean_count + self.consecut_days)
-                spx = pd.DataFrame(spx)
-                spx.sort_values(by='date', inplace=True, ascending=False)
-                spx.reset_index(drop=True, inplace=True)
-                for offset in range(self.consecut_days):
-                    spx.loc[0 + offset, 'mean'] = spx.loc[0 + offset: 850 + offset].close.mean()
-                spx.dropna(inplace=True)
-                spx['diff'] = spx['close'] - spx['mean']
-                return spx[spx['diff'] >= 0].empty
-        return False
-
-
 @component(bean_name='crisis_one')
 class LastRateCrisisOneSignal(CrisisSignal, BaseRebalanceSignal):
     '''

rebalance/signals/curve_drift.py

@@ -29,6 +29,8 @@ class CurveDrift(BaseRebalanceSignal):
         last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
         if last_re is None or SignalType(last_re['type']) in self.exclude_last_type:
             return False
+        if last_re['date'] + relativedelta(days=120) <= day:
+            return True
         hr_datums = self._datum.get_high_risk_datums(risk)
         datum_ids = [x['id'] for x in hr_datums]
         normal_portfolio = self._builder.get_portfolios(day, risk)
@@ -40,31 +42,3 @@ class CurveDrift(BaseRebalanceSignal):
     @property
     def signal_type(self) -> SignalType:
         return SignalType.DRIFT_BUY
-
-
-@component(bean_name='curve-drift')
-class Max120tCurveDrift(CurveDrift):
-
-    def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
-        last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
-        if last_re is None or SignalType(last_re['type']) in self.exclude_last_type:
-            return False
-        if last_re['date'] + relativedelta(days=120) <= day:
-            return True
-        return super(Max120tCurveDrift, self).is_trigger(day, risk)
-
-
-@component(bean_name='curve-drift')
-class AbsCurveDrift(CurveDrift):
-
-    def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
-        last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
-        if last_re is None or SignalType(last_re['type']) in self.exclude_last_type:
-            return False
-        hr_datums = self._datum.get_high_risk_datums(risk)
-        datum_ids = [x['id'] for x in hr_datums]
-        normal_portfolio = self._builder.get_portfolios(day, risk)
-        normal_weight = round(sum([x[1] for x in normal_portfolio.items() if x[0] in datum_ids]), 2)
-        hold_portfolio = self._hold.get_portfolios_weight(day, risk)
-        hold_weight = round(sum([x[1] for x in hold_portfolio.items() if x[0] in datum_ids]), 2)
-        return abs(normal_weight - hold_weight) >= self._solver.get_drift(day, risk)