613回测

rebalance/drift_solver.py

@@ -20,7 +20,8 @@ class DateCurve(DriftSolver):
 
     def get_drift(self, day, risk: PortfoliosRisk):
         last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
-        return self.diff_threshold - self.init_factor * (day - last_re['date']).days ** 4
+        result = self.diff_threshold - self.init_factor * (day - last_re['date']).days ** 4
+        return max(0, result)
 
 
 @component(bean_name='high-weight')

rebalance/signals/curve_drift.py

@@ -21,8 +21,7 @@ class CurveDrift(BaseRebalanceSignal):
             SignalType.CRISIS_ONE,
             SignalType.CRISIS_TWO,
             SignalType.MARKET_RIGHT,
-            SignalType.INIT,
-            SignalType.LOW_BUY
+            SignalType.INIT
         ]
 
     def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
@@ -35,7 +34,7 @@ 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: