Merge remote-tracking branch 'origin/master'

config.yml

@@ -139,7 +139,7 @@ rebalance: # 再平衡模块
   signals: # 信号相关
     crisis-signal: # 危机信号相关
       exp-years: 3 # 预警期时长，单位自然年，点到点计算
-      exp-init: 2008-01-01 # 设置起始危机预警开始时间，如果关闭初始预警起，注释到这一条即可
+#      exp-init: 2008-01-01 # 设置起始危机预警开始时间，如果关闭初始预警起，注释到这一条即可
       inversion-years: 1 # 利率倒挂计算时长，单位自然年，点到点取值
       inversion-threshold: 0.3 # 利率倒挂触发阀值
       crisis-1: # 危机1相关

rebalance/signals/right_side.py

@@ -38,19 +38,20 @@ class MarketRight(BaseRebalanceSignal):
 
     def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
         last_re = rrs.get_last_one(risk=risk, max_date=day, effective=True)
-        if last_re is not None and SignalType(last_re['type']) in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO, SignalType.MARKET_RIGHT, SignalType.INIT]:
+        if last_re is not None and SignalType(last_re['type']) in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO,
+                                                                   SignalType.MARKET_RIGHT, SignalType.INIT]:
             return False
         spx = self.load_spx_close_rtns(day)
 
-        if self.is_fall(day, risk, spx=spx):
-            return True
+        # if self.is_fall(day, risk, spx=spx):
+        #     return True
 
         if spx[-1]['rtn'] > self.min_threshold:
             return False
         cvar = self.get_cvar(day, risk, spx=spx)
         return cvar is not None and spx[-1]['rtn'] < cvar
 
-    def is_fall(self, day, risk: PortfoliosRisk, spx = None):
+    def is_fall(self, day, risk: PortfoliosRisk, spx=None):
         if spx is None:
             spx = self.load_spx_close_rtns(day)
         start_date = self.find_cvar_start_date(day, risk, spx=spx)
@@ -60,7 +61,7 @@ class MarketRight(BaseRebalanceSignal):
             return spx.iloc[-1].close < spx.iloc[0].close
         return False
 
-    def get_cvar(self, day, risk: PortfoliosRisk, spx = None):
+    def get_cvar(self, day, risk: PortfoliosRisk, spx=None):
         if spx is None:
             spx = self.load_spx_close_rtns(day)
         start_date = self.find_cvar_start_date(day, risk, spx=spx)
@@ -74,12 +75,14 @@ class MarketRight(BaseRebalanceSignal):
                 return mean - std * norm.pdf(norm.ppf(alpha)) / alpha
         return None
 
-    def find_cvar_start_date(self, day, risk: PortfoliosRisk, spx = None):
+    def find_cvar_start_date(self, day, risk: PortfoliosRisk, spx=None):
         if spx is None:
             spx = self.load_spx_close_rtns(day)
         spx = pd.DataFrame(spx)
-        last_right = rrs.get_last_one(type=(SignalType.MARKET_RIGHT, SignalType.INIT), max_date=day, risk=risk, effective=True)
-        last_buy = rrs.get_first_after(type=(SignalType.LOW_BUY, SignalType.HIGH_BUY), risk=risk, effective=True, min_date=last_right['date'])
+        last_right = rrs.get_last_one(type=(SignalType.MARKET_RIGHT, SignalType.INIT), max_date=day, risk=risk,
+                                      effective=True)
+        last_buy = rrs.get_first_after(type=(SignalType.LOW_BUY, SignalType.HIGH_BUY), risk=risk, effective=True,
+                                       min_date=last_right['date'])
         if not last_buy or not last_right or last_buy['date'] <= last_right['date']:
             return None
         spx = spx[(spx['date'] >= last_right['date']) & (spx['date'] <= last_buy['date'])]
@@ -94,7 +97,3 @@ class MarketRight(BaseRebalanceSignal):
         spx.dropna(inplace=True)
         spx = spx[['date', 'close', 'rtn']]
         return spx.to_dict('records')
-
-
-
-