增加危机1信号判断逻辑

config.yml

@@ -38,6 +38,8 @@ py-jftech:
   injectable:
     types:
       api.PortfoliosBuilder: portfolios.builder.PoemPortfoliosBuilder
+    names:
+      crisis_one: rebalance.signals.crisis_signal.LastRateCrisisOneSignal
   email:
     server: smtphz.qiye.163.com
     user: jft-ra@thizgroup.com
@@ -145,6 +147,7 @@ rebalance: # 再平衡模块
       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连续多少天跌破平均值则触发
+        threshold: -0.1 # spx计算后跌破阀值
       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

@@ -58,8 +58,10 @@ class CrisisSignal(BaseRebalanceSignal, ABC):
 
 
 @component(bean_name='crisis_one')
-class CrisisOneSignal(CrisisSignal, BaseRebalanceSignal):
-
+class ConsecutFiveDaysCrisisOneSignal(CrisisSignal, BaseRebalanceSignal):
+    '''
+    连续5个交易入跌破850天平均值
+    '''
     @property
     def consecut_days(self):
         return self._config['crisis-1']['consecut-days']
@@ -89,6 +91,36 @@ class CrisisOneSignal(CrisisSignal, BaseRebalanceSignal):
         return False
 
 
+@component(bean_name='crisis_one')
+class LastRateCrisisOneSignal(CrisisSignal, BaseRebalanceSignal):
+    '''
+    (close / 850ma – 1) < threshold，threshold=-0.05、-0.1
+    '''
+
+    @property
+    def mean_count(self):
+        return self._config['crisis-1']['mean-count']
+
+    @property
+    def threshold(self):
+        return self._config['crisis-1']['threshold']
+
+    @property
+    def signal_type(self):
+        return SignalType.CRISIS_ONE
+
+    def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
+        exp_date = self.get_exp_start_date(day, risk)
+        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 = pd.DataFrame(spx)
+                spx.sort_values(by='date', inplace=True)
+                return spx.iloc[-1]['close'] / spx['close'].mean() - 1 < self.threshold
+        return False
+
+
 @component(bean_name='crisis_two')
 class CrisisTwoSignal(CrisisSignal, BaseRebalanceSignal):