同步汇率

rebalance/signals/right_side.py

@@ -41,11 +41,25 @@ class MarketRight(BaseRebalanceSignal):
         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 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):
+        if spx is None:
+            spx = self.load_spx_close_rtns(day)
+        start_date = self.find_cvar_start_date(day, risk, spx=spx)
+        if start_date:
+            spx = pd.DataFrame(spx)
+            spx = spx[(spx.date >= start_date) & (spx.date <= day)]
+            return spx.iloc[-1].close < spx.iloc[0].close
+        return False
+
     def get_cvar(self, day, risk: PortfoliosRisk, spx = None):
         if spx is None:
             spx = self.load_spx_close_rtns(day)
@@ -65,7 +79,7 @@ class MarketRight(BaseRebalanceSignal):
             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_last_one(type=(SignalType.LOW_BUY, SignalType.HIGH_BUY), 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'])]

rebalance/test_case.py

@@ -33,7 +33,7 @@ class RebalanceTest(unittest.TestCase):
 
     @autowired(names={'builder': 'market-right'})
     def test_market_right(self, builder: RebalanceSignal = None):
-        signal = builder.get_signal(parse_date('2022-10-13'), PortfoliosRisk.FT9)
+        signal = builder.get_signal(parse_date('2022-02-22'), PortfoliosRisk.FT9)
         logger.info(signal)
 
     @autowired(names={'builder': 'curve-drift'})