在mpt中調整報酬率入參->加入(MA5/MA10-1),用短期趨勢強弱變化來製作組合

portfolios/solver.py

@@ -75,8 +75,12 @@ class DefaultSolver(Solver):
 
     @property
     def rtn_annualized(self):
-        return list(self.rtn_matrix.mean() * 12)
-
+        if self.get_config('mpt.short-term-strength'):
+            result = self.navs.rolling(window=5).mean() / self.navs.rolling(window=10).mean() - 1
+            result.dropna(inplace=True)
+            return list(result.iloc[-1])
+        else:
+            return list(self.rtn_matrix.mean() * 12)
     @property
     def sigma(self):
         rtn = (self.navs / self.navs.shift(1) - 1)[1:]