# 投组代码更新，4组config：stable、mdis、usmarket、indutryfund

asset_pool/asset_optimize.py

@@ -5,7 +5,7 @@ from sys import exception
 import numpy as np
 import pandas as pd
 from dateutil.relativedelta import relativedelta
-from empyrical import sortino_ratio, annual_volatility
+from empyrical import sortino_ratio, annual_volatility, downside_risk, annual_return, tail_ratio
 from py_jftech import filter_weekend, dict_remove, get_config, component, autowired, next_workday, \
     is_workday
 
@@ -163,7 +163,7 @@ class FundDividendSortinoAssetOptimize(SortinoAssetOptimize):
         pct_change = pct_change.truncate(before=(day - relativedelta(**self.annual_volatility_section[0])))
         # 时间未够计算年化波动的直接剔除
         funds = [fund for fund in funds if fund['id'] in pct_change.columns]
-        ratio = annual_volatility(pct_change)
+        ratio = downside_risk(pct_change)  # annual_volatility / downside_risk / tail_ratio
         ratio = pd.Series(ratio).to_dict()
         annual = dict(zip(pct_change.columns, ratio.values()))
         self.save_annual(day, annual)

portfolios/builder.py

@@ -121,7 +121,7 @@ class MptARCPortfoliosBuilder(MptPortfoliosBuilder):
         try:
             portfolio = rmp.get_one(day, type, risk)
             if not portfolio:
-                result = self.build_portfolio(day, type)
+                result, detail = self.build_portfolio(day, type)
                 for build_risk, datas in result.items():
                     datas['portfolio'] = self._checker.check(day, json.loads(datas['portfolio']))
                     try:

portfolios/holder.py

@@ -396,7 +396,7 @@ class DivHoldReportor(RoboReportor):
 
     @property
     def report_name(self) -> str:
-        return '投组净值'
+        return '投組淨值'
 
     def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
         holds = pd.DataFrame(rhp.get_list(max_date=max_date, min_date=min_date))
@@ -419,7 +419,7 @@ class DailyHoldReportor(RoboReportor):
 
     @property
     def report_name(self) -> str:
-        return '每日持仓信息'
+        return '每日持倉信息'
 
     def load_report(self, max_date=prev_workday(dt.today()), min_date=None) -> List[dict]:
         holds = pd.DataFrame(rhp.get_list(max_date=max_date, min_date=min_date))

rebalance/base_signal.py

@@ -93,7 +93,7 @@ class SignalReportor(RoboReportor):
 
     @property
     def report_name(self) -> str:
-        return '调仓信号'
+        return '調倉信號'
 
     def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
         result = []
@@ -109,7 +109,7 @@ class SignalReportor(RoboReportor):
                         'rebalance_date': rebalance_date,
                         'portfolio_type': PortfoliosType(signal['portfolio_type']).name,
                         'ft_ticker': datums[fund_id]['ftTicker'],
-                        'blooberg_ticker': datums[fund_id]['bloombergTicker'],
+                        'bloomberg_ticker': datums[fund_id]['bloombergTicker'],
                         'fund_name': datums[fund_id]['chineseName'],
                         'weight': weight
                     })
@@ -126,7 +126,7 @@ class DailySignalReportor(RoboReportor):
 
     @property
     def report_name(self) -> str:
-        return '每日调仓信号'
+        return '每月調倉信號'
 
     def load_report(self, max_date=prev_workday(dt.today()), min_date=None) -> List[dict]:
         signals = pd.DataFrame(rrs.get_list(max_date=max_date, min_date=min_date))