aszerW
c15e418ead
设计理念： - 每份仓位 = 1/select_num - 每个选中标的持有基础份额 1/select_num - 被排除标的的份额归短债(BOND)继承 信号生成： - generate()返回signal和signal_ranks - _grouped_selection_with_ranks()返回标的和排名 仓位分配： - DynamicThresholdAllocator.allocate()计算权重 - 短债继承被排除标的的份额 示例（短债排名2，select_num=3）： - NDX排名1 → 1/3（基础） - 短债排名2 → 1/3（基础）+ 1/3（继承）= 2/3 - 排名3的份额被短债继承
113 lines
3.6 KiB
Python
113 lines
3.6 KiB
Python
"""
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短债动态阈值仓位分配
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设计理念：
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1. 每份仓位 = 1/select_num
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2. 每个选中标的持有基础份额 1/select_num
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3. 被排除标的的份额归短债(BOND)继承
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示例（select_num=3, 短债排名2）：
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- NDX排名1 → 1/3（基础份额）
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- 短债排名2 → 1/3（基础）+ 1/3（继承排名3的份额）= 2/3
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"""
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from typing import Dict, List, Tuple
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class DynamicThresholdAllocator:
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"""短债动态阈值仓位分配器"""
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def __init__(self, select_num: int, group_mapping: Dict[str, str] = None):
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self.select_num = select_num
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self.group_mapping = group_mapping or {}
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def allocate(self, selected: List[str], ranks: List[int]) -> Dict[str, float]:
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"""
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计算仓位分配
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Args:
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selected: 选中标的列表
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ranks: 对应排名列表
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Returns:
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{code: weight} 权重字典
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"""
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if not selected:
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return {}
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# 每份仓位
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unit_weight = 1.0 / self.select_num
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# 基础仓位：每个选中标的持有 1/select_num
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weights = {code: unit_weight for code in selected}
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# 找出短债(BOND大类)
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bond_code = None
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for code in selected:
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if self.group_mapping.get(code) == 'BOND':
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bond_code = code
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break
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# 计算被排除的份额数量
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# effective_threshold = min(短债排名, select_num)
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# 被排除份额 = select_num - effective_threshold
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if bond_code and ranks:
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bond_rank = ranks[selected.index(bond_code)]
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effective_threshold = min(bond_rank, self.select_num)
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excluded_slots = self.select_num - effective_threshold
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# 被排除的份额归短债继承
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if excluded_slots > 0:
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weights[bond_code] += excluded_slots * unit_weight
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# 确保权重总和为100%
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total_weight = sum(weights.values())
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if total_weight > 1.0:
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# 如果超过100%，需要调整（极端情况）
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for code in weights:
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weights[code] /= total_weight
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return weights
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def get_position_info(self, selected: List[str], ranks: List[int]) -> Dict:
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"""
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获取详细仓位信息（用于报告）
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Returns:
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{
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'weights': {code: weight},
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'unit_weight': float,
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'effective_threshold': int,
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'excluded_slots': int,
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'bond_inherited': float,
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}
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"""
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weights = self.allocate(selected, ranks)
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unit_weight = 1.0 / self.select_num
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# 找短债
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bond_code = None
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bond_rank = None
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for code in selected:
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if self.group_mapping.get(code) == 'BOND':
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bond_code = code
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bond_rank = ranks[selected.index(code)]
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break
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info = {
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'weights': weights,
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'unit_weight': unit_weight,
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'effective_threshold': self.select_num,
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'excluded_slots': 0,
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'bond_inherited': 0,
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}
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if bond_code and bond_rank:
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effective_threshold = min(bond_rank, self.select_num)
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excluded_slots = self.select_num - effective_threshold
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info['effective_threshold'] = effective_threshold
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info['excluded_slots'] = excluded_slots
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info['bond_inherited'] = excluded_slots * unit_weight
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return info
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