依赖注入实现中

api.py

@@ -175,10 +175,10 @@ class PortfoliosBuilder(ABC):
         pass
 
 
-class ControlSignal(ABC):
+class RebalanceSignal(ABC):
     '''
     控制信号，发起是否调仓服务
     '''
     @abstractmethod
-    def handle(self, day, risk: PortfoliosRisk):
+    def do_signal(self, day, risk: PortfoliosRisk):
         pass

portfolios/builder.py

@@ -72,7 +72,7 @@ class MptSolver:
         return round(len(self.rtn_history) * self.beta + 0.499999)
 
     @property
-    def pct_value(self):
+    def quantile(self):
         return self.get_config('mpt.quantile')
 
     def solve_max_rtn(self):
@@ -110,8 +110,8 @@ class MptSolver:
 
     def solve_mpt(self, min_rtn, max_rtn):
         logger.debug(f'...... ...... ...... ...... ...... ...... ...... ...... '
-                     f'MPT ... sub risk : pct_value = {self.pct_value}')
-        big_y = min_rtn + self.pct_value * (max_rtn - min_rtn)
+                     f'MPT ... sub risk : pct_value = {self.quantile}')
+        big_y = min_rtn + self.quantile * (max_rtn - min_rtn)
         logger.debug(f'big_Y = target_Return = {big_y}')
         model = self.create_model()
         model.cons_rtn = Constraint(expr=sum([model.w[i] * self.rtn_annualized[i] for i in model.indices]) >= big_y)
@@ -128,7 +128,7 @@ class MptSolver:
 
     def solve_poem(self, min_rtn, max_rtn, base_cvar, max_cvar):
         k_history = len(self.rtn_history)
-        quantile = self.pct_value
+        quantile = self.quantile
         logger.debug(f'...... ...... ...... ...... ...... ...... ...... ...... '
                      f'POEM With CVaR constraints ... sub risk : pct_value = {quantile}')
         big_y = min_rtn + quantile * (max_rtn - min_rtn)

portfolios/test_case.py

@@ -8,7 +8,7 @@ class PortfoliosTest(unittest.TestCase):
     logger = get_logger(__name__)
 
     @autowired(names={'builder': 'poem'})
-    def test_portfolio_builder(self, builder: PortfoliosBuilder = None):
+    def test_poem_portfolio_builder(self, builder: PortfoliosBuilder = None):
         result, detail = builder.build_portfolio(parse_date('2011-11-07'), PortfoliosType.NORMAL)
         self.logger.info("portfolios: ")
         for risk, portfolio in result.items():