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wenwen.tang
robo-dividend
Commits
f6bcc9cb
Commit
f6bcc9cb
authored
Jan 03, 2023
by
纪超
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curve_drift.py
rebalance/signals/curve_drift.py
+3
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rebalance/signals/curve_drift.py
View file @
f6bcc9cb
...
...
@@ -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
abs
(
normal_weight
-
hold_weight
)
>=
self
.
_solver
.
get_drift
(
day
,
risk
)
return
normal_weight
-
hold_weight
>=
self
.
_solver
.
get_drift
(
day
,
risk
)
@
property
def
signal_type
(
self
)
->
SignalType
:
...
...
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