6237

config.yml

@@ -151,7 +151,7 @@ rebalance: # 再平衡模块
         fed-threshold: -0.75 # fed判断阀值
     right-side: # 市场右侧相关
       rtn-days: 5 # 计算spx回报率滚动天数，交易日
-      min-threshold: -0.03 # spx回报率跌破阀值
+      min-threshold: -0.05 # spx回报率跌破阀值
       coef: 0.95 # 计算cvar的系数
       cvar-min-volume: 30 # 计算cvar至少需要多少交易日数据
     high-low-buy: # 高低买入相关

rebalance/drift_solver.py

@@ -21,7 +21,7 @@ class DateCurve(DriftSolver):
     def get_drift(self, day, risk: PortfoliosRisk):
         last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
         result = self.diff_threshold - self.init_factor * (day - last_re['date']).days ** 4
-        return result
+        return max(0, result)
 
 
 @component(bean_name='high-weight')

rebalance/signals/curve_drift.py

@@ -22,7 +22,8 @@ class CurveDrift(BaseRebalanceSignal):
             SignalType.CRISIS_ONE,
             SignalType.CRISIS_TWO,
             SignalType.MARKET_RIGHT,
-            SignalType.INIT
+            SignalType.INIT,
+            SignalType.LOW_BUY
         ]
 
     def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
@@ -37,7 +38,7 @@ class CurveDrift(BaseRebalanceSignal):
         normal_weight = round(sum([x[1] for x in normal_portfolio.items() if x[0] in datum_ids]), 2)
         hold_portfolio = self._hold.get_portfolios_weight(day, risk)
         hold_weight = round(sum([x[1] for x in hold_portfolio.items() if x[0] in datum_ids]), 2)
-        return normal_weight - hold_weight >= self._solver.get_drift(day, risk)
+        return abs(normal_weight - hold_weight) >= self._solver.get_drift(day, risk)
 
     @property
     def signal_type(self) -> SignalType: