https://www.tapd.cn/59187493/documents/show/1159187493001000730

增加分类资产下最小留存个数

asset_pool/asset_optimize.py

@@ -172,15 +172,19 @@ class FundDividendSortinoAssetOptimize(SortinoAssetOptimize):
             customType = f.get('customType')
             exclude = f.get('exclude')
             volatility = f.get('volatility')
+            retain = f.get('min-retain')
             records = [fund for fund in funds if fund['customType'] == customType and fund['id'] in annual.keys()]
             records = sorted(records, key=lambda x: annual[x['id']])
+            max_exclude = len(records) - retain
             if exclude is not None:
                 exclude = exclude if len(records) > exclude else len(records)
+                exclude = max_exclude if (len(records) - exclude) < retain else exclude
                 if exclude > 0:
                     filtered.extend(records[-exclude:])
                     records = records[:- exclude]
-            if volatility is not None:
-                records = [record for record in records if annual.get(record['id']) > volatility]
+            if volatility is not None and len(records) > retain:
+                max_exclude = max_exclude - len(records)
+                records = [record for record in records if annual.get(record['id']) > volatility][:max_exclude]
                 filtered.extend(records)
         for f in filtered:
             funds.remove(f)

config-svrobo_Mdiv_PRR3.yml

@@ -80,16 +80,15 @@ asset-pool: # 资产池模块
     optimize-count: 3 #基金优选个数
     annual-volatility-filter: #1各资产年化波动率末exclude位 2各资产年化波动率大于volatility
       - customType: 1
-        exclude: 1
-        volatility: 0
-      - customType: 2
-        exclude: 3
-        volatility: 0.05
-      - customType: 3
         exclude: 2
-        volatility: 0.001
+        min-retain: 2
+#        volatility: 100
+      - customType: 4
+        exclude: 5
+        min-retain: 2
+#        volatility: 111
     annual-volatility-section:  # 波动率时间区间
-      - years: 3
+      - years: 1
 portfolios: # 投组模块
   holder: # 持仓投组相关
     init-nav: 100 # 初始金额
@@ -252,8 +251,8 @@ robo-executor: # 执行器相关
   use: ${ROBO_EXECUTOR:backtest} # 执行哪个执行器，优先取系统环境变量ROBO_EXECUTOR的值，默认backtest
   sync-data: ${SYNC_DATA:off} # 是否开启同步资料数据
   backtest: # 回测执行器相关
-    start-date: 2013-01-02 # 回测起始日期
-    end-date: 2023-10-31 # 回测截止日期
+    start-date: 2024-03-02 # 回测起始日期
+    end-date: 2024-04-11 # 回测截止日期
     sealing-period: 10 #调仓封闭期
     start-step: ${BACKTEST_START_STEP:1} # 回测从哪一步开始执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组
     end-step: ${BACKTEST_END_STEP:3} # 回测从哪一步执行完成后结束执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组