去除警告

config.yml

@@ -139,7 +139,7 @@ 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
@@ -151,7 +151,7 @@ rebalance: # 再平衡模块
         fed-threshold: -0.75 # fed判断阀值
     right-side: # 市场右侧相关
       rtn-days: 5 # 计算spx回报率滚动天数，交易日
-      min-threshold: -0.03 # spx回报率跌破阀值
+      min-threshold: -0.05 # spx回报率跌破阀值
       coef: 0.95 # 计算cvar的系数
       cvar-min-volume: 30 # 计算cvar至少需要多少交易日数据
     high-low-buy: # 高低买入相关

rebalance/signals/curve_drift.py

@@ -29,15 +29,15 @@ class CurveDrift(BaseRebalanceSignal):
         last_re = rrs.get_last_one(max_date=day, risk=risk, effective=True)
         if last_re is None or SignalType(last_re['type']) in self.exclude_last_type:
             return False
-        if last_re['date'] + relativedelta(days=120) <= day:
-            return True
+        # if last_re['date'] + relativedelta(days=120) <= day:
+        #     return True
         hr_datums = self._datum.get_high_risk_datums(risk)
         datum_ids = [x['id'] for x in hr_datums]
         normal_portfolio = self._builder.get_portfolios(day, risk)
         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:

rebalance/signals/right_side.py

@@ -38,19 +38,20 @@ class MarketRight(BaseRebalanceSignal):
 
     def is_trigger(self, day, risk: PortfoliosRisk) -> bool:
         last_re = rrs.get_last_one(risk=risk, max_date=day, effective=True)
-        if last_re is not None and SignalType(last_re['type']) in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO, SignalType.MARKET_RIGHT, SignalType.INIT]:
+        if last_re is not None and SignalType(last_re['type']) in [SignalType.CRISIS_ONE, SignalType.CRISIS_TWO,
+                                                                   SignalType.MARKET_RIGHT, SignalType.INIT]:
             return False
         spx = self.load_spx_close_rtns(day)
 
-        if self.is_fall(day, risk, spx=spx):
-            return True
+        # if self.is_fall(day, risk, spx=spx):
+        #     return True
 
         if spx[-1]['rtn'] > self.min_threshold:
             return False
         cvar = self.get_cvar(day, risk, spx=spx)
         return cvar is not None and spx[-1]['rtn'] < cvar
 
-    def is_fall(self, day, risk: PortfoliosRisk, spx = None):
+    def is_fall(self, day, risk: PortfoliosRisk, spx=None):
         if spx is None:
             spx = self.load_spx_close_rtns(day)
         start_date = self.find_cvar_start_date(day, risk, spx=spx)
@@ -60,7 +61,7 @@ class MarketRight(BaseRebalanceSignal):
             return spx.iloc[-1].close < spx.iloc[0].close
         return False
 
-    def get_cvar(self, day, risk: PortfoliosRisk, spx = None):
+    def get_cvar(self, day, risk: PortfoliosRisk, spx=None):
         if spx is None:
             spx = self.load_spx_close_rtns(day)
         start_date = self.find_cvar_start_date(day, risk, spx=spx)
@@ -74,12 +75,14 @@ class MarketRight(BaseRebalanceSignal):
                 return mean - std * norm.pdf(norm.ppf(alpha)) / alpha
         return None
 
-    def find_cvar_start_date(self, day, risk: PortfoliosRisk, spx = None):
+    def find_cvar_start_date(self, day, risk: PortfoliosRisk, spx=None):
         if spx is None:
             spx = self.load_spx_close_rtns(day)
         spx = pd.DataFrame(spx)
-        last_right = rrs.get_last_one(type=(SignalType.MARKET_RIGHT, SignalType.INIT), max_date=day, risk=risk, effective=True)
-        last_buy = rrs.get_first_after(type=(SignalType.LOW_BUY, SignalType.HIGH_BUY), risk=risk, effective=True, min_date=last_right['date'])
+        last_right = rrs.get_last_one(type=(SignalType.MARKET_RIGHT, SignalType.INIT), max_date=day, risk=risk,
+                                      effective=True)
+        last_buy = rrs.get_first_after(type=(SignalType.LOW_BUY, SignalType.HIGH_BUY), risk=risk, effective=True,
+                                       min_date=last_right['date'])
         if not last_buy or not last_right or last_buy['date'] <= last_right['date']:
             return None
         spx = spx[(spx['date'] >= last_right['date']) & (spx['date'] <= last_buy['date'])]
@@ -94,7 +97,3 @@ class MarketRight(BaseRebalanceSignal):
         spx.dropna(inplace=True)
         spx = spx[['date', 'close', 'rtn']]
         return spx.to_dict('records')
-
-
-
-