6258

config.yml

@@ -139,12 +139,12 @@ 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
         mean-count: 850 # spx去多少交易日计算平均值
-        consecut-days: 5 # spx连续多少年跌破平均值则触发
+        consecut-days: 5 # spx连续多少天跌破平均值则触发
       crisis-2: # 危机2相关
         negative-growth: 1 # 实际利率负增长时长，单位年，点到点取值
         fed-months: 3 # fed 滚动月份，点到点取值

rebalance/signals/crisis_signal.py

@@ -77,9 +77,15 @@ class CrisisOneSignal(CrisisSignal, BaseRebalanceSignal):
         if exp_date:
             crisis_one = rrs.get_first_after(type=SignalType.CRISIS_ONE, risk=risk, min_date=exp_date)
             if not crisis_one:
-                spx = self._navs.get_last_index_close(max_date=day, ticker='SPX Index', count=self.mean_count)
-                spx_ma850 = pd.DataFrame(spx).close.mean()
-                return len([x for x in spx[0:5] if x['close'] > spx_ma850]) == 0
+                spx = self._navs.get_last_index_close(max_date=day, ticker='SPX Index', count=self.mean_count + self.consecut_days)
+                spx = pd.DataFrame(spx)
+                spx.sort_values(by='date', inplace=True, ascending=False)
+                spx.reset_index(drop=True, inplace=True)
+                for offset in range(self.consecut_days):
+                    spx.loc[0 + offset, 'mean'] = spx.loc[0 + offset: 850 + offset].close.mean()
+                spx.dropna(inplace=True)
+                spx['diff'] = spx['close'] - spx['mean']
+                return spx[spx['diff'] >= 0].empty
         return False