调整信号规则逻辑

config.yml

@@ -157,7 +157,7 @@ rebalance: # 再平衡模块
         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
+      min-threshold: -0.03 # 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
@@ -214,7 +214,7 @@ 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:24111}
+    file-name: ${EXPORT_FILENAME:13211}
     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/ruler.py

@@ -56,24 +56,24 @@ class LevelRebalanceRuler(RebalanceRuler):
 
         last_signal = rrs.get_last_one(max_date=day, risk=risk)
         start = next_workday(last_signal['date'])
-
+        signals = {}
         while start <= day:
             # 检查风控信号
-            signals = {x.signal_type: x.get_signal(start, risk) for x in risk_signals if x.signal_type.level <= SignalType(last_re['type']).level}
-            signals = {x[0]: x[1] for x in signals.items() if x[1] is not None}
-            # 上次实际调仓类型为危机信号，本次危机信号不调仓
-            if signals and SignalType(last_re['type']) in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO]:
-                signals = {x[0]: x[1] for x in signals.items() if x[0] not in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO]}
-            # 检查买入信号，只有当天需要检查
-            if not signals and start == day and self.without_disable_period(day, risk):
-                signals = {x.signal_type: x.get_signal(start, risk) for x in buy_signals}
-                signals = {x[0]: x[1] for x in signals.items() if x[1] is not None}
-            if signals:
-                if SignalType(last_signal['type']) is SignalType.NONE:
-                    rrs.delete_by_id(last_signal['id'])
-                return signals[sorted(signals.keys(), key=lambda x: x.level)[0]]
+            today_signals = {x.signal_type: x.get_signal(start, risk) for x in risk_signals if x.signal_type.level <= SignalType(last_re['type']).level}
+            today_signals = {x[0]: x[1] for x in today_signals.items() if x[1] is not None}
+            signals = {**signals, **today_signals}
             start = next_workday(start)
-
+        # 上次实际调仓类型为危机信号，本次危机信号不调仓
+        if signals and SignalType(last_re['type']) in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO]:
+            signals = {x[0]: x[1] for x in signals.items() if x[0] not in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO]}
+        # 检查买入信号，只有当天需要检查
+        if not signals and self.without_disable_period(day, risk):
+            signals = {x.signal_type: x.get_signal(start, risk) for x in buy_signals}
+            signals = {x[0]: x[1] for x in signals.items() if x[1] is not None}
+        if signals:
+            if SignalType(last_signal['type']) is SignalType.NONE:
+                rrs.delete_by_id(last_signal['id'])
+            return signals[sorted(signals.keys(), key=lambda x: x.level)[0]]
         if SignalType(last_signal['type']) is SignalType.NONE:
             rrs.update(last_signal['id'], {'date': day})
         else: