指数收益同步

app/service/portfolio_diagnose.py

@@ -1053,10 +1053,16 @@ class PortfolioDiagnose(object):
                          "volatility": "%.2f" % round(old_volatility, 2),
                          "max_drawdown": "%.2f" % round(old_max_drawdown[0] * 100, 2), "sharpe": "%.2f" % round(old_sharpe, 2)}
 
-        index_indicator = {"group_name": "中证500", "return_ratio": "%.2f" % round(index_return_ratio * 100, 2),
-                           "return_ratio_year": "%.2f" % round(index_return_ratio_year * 100, 2),
-                           "volatility": "%.2f" % round(index_volatility, 2),
-                           "max_drawdown": "%.2f" % round(index_drawdown[0] * 100, 2), "sharpe": "%.2f" % round(index_sharpe, 2)}
+        # index_indicator = {"group_name": "中证500", "return_ratio": "%.2f" % round(index_return_ratio * 100, 2),
+        #                    "return_ratio_year": "%.2f" % round(index_return_ratio_year * 100, 2),
+        #                    "volatility": "%.2f" % round(index_volatility, 2),
+        #                    "max_drawdown": "%.2f" % round(index_drawdown[0] * 100, 2), "sharpe": "%.2f" % round(index_sharpe, 2)}
+
+        index_indicator = {"group_name": "中证500", "return_ratio": round((group_result_data["index_result"]["return_ratio"] - 1) * 100, 2),
+                         "return_ratio_year": round(group_result_data["index_result"]["return_ratio_year"] * 100, 2),
+                         "volatility": round(group_result_data["index_result"]["volatility"], 2),
+                         "max_drawdown": round(group_result_data["index_result"]["max_drawdown"][0] * 100, 2),
+                         "sharpe": round(group_result_data["index_result"]["sharpe"], 2)}
         old_indicator_compare = [old_indicator, index_indicator]
 
         return ret, old_return_compare_result, old_indicator_compare
@@ -1208,10 +1214,10 @@ class PortfolioDiagnose(object):
             index_return = index_return[index_return.index >= group_order_start_date]
             start_index_return = index_return[self.index_id].values[0]
             index_return["new_index_return"] = (index_return[self.index_id] - start_index_return) / (1 + start_index_return)
-            index_return_ratio = index_return["new_index_return"].values[-1]
-            index_return_ratio_year = annual_return(index_return["new_index_return"].values[-1], index_return["new_index_return"], n_freq)
-            index_volatility = volatility(index_return["new_index_return"]+1, n_freq)
-            index_drawdown = max_drawdown(index_return["new_index_return"]+1)
+            # index_return_ratio = index_return["new_index_return"].values[-1]
+            # index_return_ratio_year = annual_return(index_return["new_index_return"].values[-1], index_return["new_index_return"], n_freq)
+            # index_volatility = volatility(index_return["new_index_return"]+1, n_freq)
+            # index_drawdown = max_drawdown(index_return["new_index_return"]+1)
             index_sim = simple_return(index_return["new_index_return"]+1)
             index_exc = excess_return(index_sim, BANK_RATE, n_freq)
             try:
@@ -1245,8 +1251,11 @@ class PortfolioDiagnose(object):
             if default > 0:
                 new_indicator = {"group_name": "建议优化组合", "return_ratio": round((old_return-1)*100, 2), "return_ratio_year": round(old_return_ratio_year*100, 2),
                              "volatility": round(old_volatility, 2), "max_drawdown": round(old_max_drawdown[0]*100, 2), "sharpe": round(old_sharpe, 2)}
-            index_indicator = {"group_name": "中证500", "return_ratio": round(index_return_ratio*100, 2), "return_ratio_year": round(index_return_ratio_year*100, 2),
-                             "volatility": round(index_volatility, 2), "max_drawdown": round(index_drawdown[0]*100, 2), "sharpe": round(index_sharpe, 2)}
+            index_indicator = {"group_name": "中证500", "return_ratio": round((group_result_data["index_result"]["return_ratio"] - 1)*100, 2),
+                               "return_ratio_year": round(group_result_data["index_result"]["return_ratio_year"]*100, 2),
+                             "volatility": round(group_result_data["index_result"]["volatility"], 2),
+                               "max_drawdown": round(group_result_data["index_result"]["max_drawdown"][0]*100, 2),
+                               "sharpe": round(group_result_data["index_result"]["sharpe"], 2)}
             indicator_compare = [new_indicator, old_indicator, index_indicator]
 
             # 在保留{}的基础上，建议赎回{}，并增配{}后，整体组合波动率大幅降低，最大回撤从{}降到不足{}，年化收益率提升{}个点