增加危机1信号判断逻辑

config.yml

@@ -42,6 +42,7 @@ py-jftech:
       crisis_one: rebalance.signals.crisis_signal.LastRateCrisisOneSignal
       date-curve: rebalance.drift_solver.DateCurve
       curve-drift: rebalance.signals.curve_drift.CurveDrift
+      market-right: rebalance.signals.right_side.MarketRight
   email:
     server: smtphz.qiye.163.com
     user: jft-ra@thizgroup.com

rebalance/signals/right_side.py

@@ -36,10 +36,18 @@ class MarketRight(BaseRebalanceSignal):
     def cvar_min_volume(self):
         return self._config['cvar-min-volume']
 
+    @property
+    def include_last_type(self):
+        return [
+            SignalType.CRISIS_ONE,
+            SignalType.CRISIS_TWO,
+            SignalType.INIT,
+            SignalType.MARKET_RIGHT
+        ]
+
     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 self.include_last_type:
             return False
         spx = self.load_spx_close_rtns(day)
 
@@ -51,16 +59,6 @@ class MarketRight(BaseRebalanceSignal):
         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)
@@ -97,3 +95,31 @@ class MarketRight(BaseRebalanceSignal):
         spx.dropna(inplace=True)
         spx = spx[['date', 'close', 'rtn']]
         return spx.to_dict('records')
+
+
+@component(bean_name='market-right')
+class FallMarketRight(MarketRight):
+
+    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 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 self.include_last_type:
+            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