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Bug: 修复position_ratio大于1时权重重新分配时的计算问题 (#23)

This commit is contained in:
binz 2024-06-12 14:39:20 +08:00
parent 158316aebc
commit 11becd1d2a
1 changed files with 11 additions and 7 deletions
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18
trader.py
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@ -647,12 +647,16 @@ class Trader(Account):
return True return True
@staticmethod @staticmethod
def update_by_end_weight(position): def update_next_weight(position):
""" """
根据收盘权重计算新的个股权重 根据收盘权重计算下一时刻新的个股权重
""" """
cash = 1 - position['weight'].sum() if position['weight'].sum() <= 1 + 1e-5:
return position['end_weight'] / (cash + position['end_weight'].sum()) # 非融资情况
cash = max(0, 1 - position['weight'].sum())
return position['end_weight'] / (position['end_weight'].sum() + cash)
else:
return position['weight'].sum() * (position['end_weight'] / position['end_weight'].sum())
def update_signal(self, def update_signal(self,
date:str, date:str,
@ -722,7 +726,7 @@ class Trader(Account):
cur_pos['end_weight'] = cur_pos['weight'] * cur_pos['rtn'] cur_pos['end_weight'] = cur_pos['weight'] * cur_pos['rtn']
self.update_account(date, trade_time, cur_pos, next_position) self.update_account(date, trade_time, cur_pos, next_position)
# 更新仓位 # 更新仓位
cur_pos['weight'] = self.update_by_end_weight(cur_pos) cur_pos['weight'] = self.update_next_weight(cur_pos)
# 调整权重：买入、卖出、仓位再平衡 # 调整权重：买入、卖出、仓位再平衡
next_position = self.reblance_weight(trade_time, cur_pos, next_position) next_position = self.reblance_weight(trade_time, cur_pos, next_position)
else: else:
@ -741,10 +745,10 @@ class Trader(Account):
cur_pos['rtn'] = (cur_pos['close'] / cur_pos['open']) - 1 cur_pos['rtn'] = (cur_pos['close'] / cur_pos['open']) - 1
cur_pos['end_weight'] = cur_pos['weight'] * (cur_pos['rtn'] + 1) cur_pos['end_weight'] = cur_pos['weight'] * (cur_pos['rtn'] + 1)
position_record = cur_pos.copy() position_record = cur_pos.copy()
position_record['end_weight'] = self.update_by_end_weight(position_record) position_record['end_weight'] = self.update_next_weight(position_record)
self.position_history[date] = position_record.copy()[position_fields] self.position_history[date] = position_record.copy()[position_fields]
# 更新当期收盘后个股仓位作为下一期的开盘仓位 # 更新当期收盘后个股仓位作为下一期的开盘仓位
cur_pos['weight'] = self.update_by_end_weight(cur_pos) cur_pos['weight'] = self.update_next_weight(cur_pos)
next_position = cur_pos.copy()[['stock_code','date','weight','margin_trade']] next_position = cur_pos.copy()[['stock_code','date','weight','margin_trade']]
next_position['open'] = cur_pos['close'] next_position['open'] = cur_pos['close']
self.update_account(date, trade_time, cur_pos, cur_pos) self.update_account(date, trade_time, cur_pos, cur_pos)