回测nav的计算用复权净值

portfolios/holder.py

@@ -245,7 +245,9 @@ class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
         if last_nav:
             # 若非首次配息
             share = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share'].items()}
+            # 参与配息的基金份额
             share_nav = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share_nav'].items()}
+            share_nodiv_nav = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share_nodiv_nav'].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]
@@ -256,13 +258,14 @@ class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
                 map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
             dividend_acc = last_nav['div_acc'] + fund_dividend
             fund_av = round(sum([navs[x] * y for x, y in share.items()]), 4)
-            nav = round(sum([nav_cals[x] * y for x, y in share.items()]), 4)
             fund_nav = round(sum([navs[x] * y for x, y in share_nav.items()]), 4)
+            nav = round(sum([nav_cals[x] * y for x, y in share_nodiv_nav.items()]), 4)
             fund_nav += fund_dividend_nav
             asset_nav = fund_av
             share = {x: fund_av * w / navs[x] for x, w in weight.items()}
             #  若调仓当日，有基金产生配息
             share_nav = {x: fund_nav * w / navs[x] for x, w in weight.items()}
+            share_nodiv_nav = {x: nav * w / nav_cals[x] for x, w in weight.items()}
             if self.is_first_workday(day):
                 div_forecast = asset_nav * self.month_dividend
         else:
@@ -277,6 +280,8 @@ class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
             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_nav = share
+            # 不考虑配息
+            share_nodiv_nav = share
             #  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
@@ -293,8 +298,10 @@ class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
             'portfolios': {
                 'weight': weight,
                 'weight_nav': weight,
+                'weight_nodiv_nav': weight,
                 'share': share,
                 'share_nav': share_nav,
+                'share_nodiv_nav': share_nodiv_nav
             },
             'fund_av': fund_av,
             'fund_nav': fund_nav,
@@ -314,6 +321,7 @@ class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
         dividend_acc = last_nav['div_acc']
         share = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share'].items()}
         share_nav = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share_nav'].items()}
+        share_nodiv_nav = {int(x): y for x, y in json.loads(last_nav['portfolios'])['share_nodiv_nav'].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]
@@ -333,12 +341,14 @@ class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
             map(lambda k: share[k] * fund_dividend[k], filter(lambda k: k in fund_dividend, share.keys())))
         dividend_acc = dividend_acc + port_div + fund_dividend
         fund_av = round(sum([navs[x] * y for x, y in share.items()]), 4)
-        nav = round(sum([nav_cals[x] * y for x, y in share.items()]), 4)
+        nav = round(sum([nav_cals[x] * y for x, y in share_nodiv_nav.items()]), 4)
         fund_nav = round(sum([navs[x] * y for x, y in share_nav.items()]), 4)
         weight = {x: round(y * navs[x] / fund_av, 2) for x, y in share.items()}
+        weight_nodiv_nav = {x: round(y * nav_cals[x] / nav, 2) for x, y in share_nav.items()}
         weight_nav = {x: round(y * navs[x] / fund_av, 2) for x, y in share_nav.items()}
         weight = format_weight(weight)
         weight_nav = format_weight(weight_nav)
+        weight_nodiv_nav = format_weight(weight_nodiv_nav)
         asset_nav = fund_av
         div_forecast = last_nav['div_forecast']
         if self.is_first_workday(day):
@@ -354,8 +364,10 @@ class InvTrustPortfoliosHolder(DividendPortfoliosHolder):
             'portfolios': {
                 'weight': weight,
                 'weight_nav': weight_nav,
+                'weight_nodiv_nav': weight_nodiv_nav,
                 'share': share,
-                'share_nav': share_nav
+                'share_nav': share_nav,
+                'share_nodiv_nav': share_nodiv_nav
             },
             'fund_av': fund_av,
             'fund_nav': fund_nav,