6258

config.yml

@@ -151,7 +151,7 @@ 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

rebalance/signals/curve_drift.py

@@ -22,7 +22,8 @@ class CurveDrift(BaseRebalanceSignal):
             SignalType.CRISIS_ONE,
             SignalType.CRISIS_TWO,
             SignalType.MARKET_RIGHT,
-            SignalType.INIT
+            SignalType.INIT,
+            SignalType.LOW_BUY
         ]
 
     def is_trigger(self, day, risk: PortfoliosRisk) -> bool: