旧指标对比剥离

app/service/portfolio_diagnose.py

@@ -756,12 +756,25 @@ class PortfolioDiagnose(object):
         # 旧组合累积收益df
         group_result_data = group_result[group_name]
         hold_info = group_result_data["group_hoding_info"]
+        hold_info_df = pd.DataFrame(hold_info)
         group_order_df = data_adaptor.user_customer_order_df[
             data_adaptor.user_customer_order_df["folio_name"] == group_name]
         group_order_start_date = pd.to_datetime(group_order_df["confirm_share_date"].min())
+
+        freq_max = group_order_df["freq"].max()
+        n_freq = freq_days(int(freq_max))
+
         old_return_df = group_result_data["return_df"]
         old_return_df["cum_return_ratio"] = old_return_df["cum_return_ratio"] - 1
 
+        # 原组合总市值, 区间收益, 年化收益,	波动率,	最大回撤, 夏普比率
+        total_asset = round(hold_info_df["market_values"].sum(), 2)
+        old_return = group_result_data["cumulative_return"]
+        old_return_ratio_year = group_result_data["return_ratio_year"]
+        old_volatility = group_result_data["volatility"]
+        old_max_drawdown = group_result_data["max_drawdown"]
+        old_sharpe = group_result_data["sharpe"]
+
         # 指数收益
         index_data = get_index_daily(self.index_id, self.start_date)
         index_data = pd.merge(index_data, self.propose_portfolio, how='inner', left_index=True, right_index=True)
@@ -771,6 +784,14 @@ class PortfolioDiagnose(object):
         index_return = index_return[index_return.index >= group_order_start_date]
         start_index_return = index_return[" close"].values[0]
         index_return["new_index_return"] = (index_return[" close"] - 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_sim = simple_return(index_return["new_index_return"]+1)
+        index_exc = excess_return(index_sim, BANK_RATE, n_freq)
+        index_sharpe = sharpe_ratio(index_exc, index_sim, n_freq)
 
         # 收益对比数据
         return_compare_df = pd.merge(index_return[["new_index_return"]], old_return_df[["cum_return_ratio"]],
@@ -785,8 +806,19 @@ class PortfolioDiagnose(object):
             "origin_combination": {"name": "原组合", "data": return_compare_df["cum_return_ratio"].values*100},
             "xlabels": return_compare_df["date"].values
         }
+        # 指标对比
+        old_indicator = {"group_name": "现有持仓组合", "return_ratio": round((old_return - 1) * 100, 2),
+                         "return_ratio_year": round(old_return_ratio_year * 100, 2),
+                         "volatility": round(old_volatility * 100, 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 * 100, 2),
+                           "max_drawdown": round(index_drawdown[0] * 100, 2), "sharpe": round(index_sharpe, 2)}
+        old_indicator_compare = [old_indicator, index_indicator]
 
-        return ret, old_return_compare_result
+        return ret, old_return_compare_result, old_indicator_compare
 
     def new_evaluation(self, group_name, group_result, data_adaptor):
         try:
@@ -892,7 +924,7 @@ class PortfolioDiagnose(object):
             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(propose_fund_return_limit_data["new_return"]+1)
+            index_sim = simple_return(index_return["new_index_return"]+1)
             index_exc = excess_return(index_sim, BANK_RATE, n_freq)
             index_sharpe = sharpe_ratio(index_exc, index_sim, n_freq)
 

app/templates/v2/monthReportV2.html

@@ -1363,20 +1363,20 @@
               <tr>
 
               <tr class="yellow">
-                <td>{{indicator_compare[1]["group_name"]}}</td>
-                <td>{{indicator_compare[1]["return_ratio"]}}</td>
-                <td>{{indicator_compare[1]["return_ratio_year"]}}</td>
-                <td>{{indicator_compare[1]["volatility"]}}</td>
-                <td>{{indicator_compare[1]["max_drawdown"]}}</td>
-                <td>{{indicator_compare[1]["sharpe"]}}</td>
+                <td>{{old_indicator_compare[0]["group_name"]}}</td>
+                <td>{{old_indicator_compare[0]["return_ratio"]}}</td>
+                <td>{{old_indicator_compare[0]["return_ratio_year"]}}</td>
+                <td>{{old_indicator_compare[0]["volatility"]}}</td>
+                <td>{{old_indicator_compare[0]["max_drawdown"]}}</td>
+                <td>{{old_indicator_compare[0]["sharpe"]}}</td>
               </tr>
               <tr >
-                <td>{{indicator_compare[2]["group_name"]}}</td>
-                <td>{{indicator_compare[2]["return_ratio"]}}</td>
-                <td>{{indicator_compare[2]["return_ratio_year"]}}</td>
-                <td>{{indicator_compare[2]["volatility"]}}</td>
-                <td>{{indicator_compare[2]["max_drawdown"]}}</td>
-                <td>{{indicator_compare[2]["sharpe"]}}</td>
+                <td>{{old_indicator_compare[1]["group_name"]}}</td>
+                <td>{{old_indicator_compare[1]["return_ratio"]}}</td>
+                <td>{{old_indicator_compare[1]["return_ratio_year"]}}</td>
+                <td>{{old_indicator_compare[1]["volatility"]}}</td>
+                <td>{{old_indicator_compare[1]["max_drawdown"]}}</td>
+                <td>{{old_indicator_compare[1]["sharpe"]}}</td>
               </tr>
 
           </table>

app/utils/jinjia2html.py

@@ -83,7 +83,7 @@ class DataIntegrate:
 
     def comments_on_position_portfolio(self):
         """旧持仓组合点评. 旧贡献分解数据"""
-        self.old_evaluation, self.old_return_compare_data = self.portfolio_diagnose.old_evaluation('default', self.d, self.user_customer)
+        self.old_evaluation, self.old_return_compare_data, self.old_indicator_compare = self.portfolio_diagnose.old_evaluation('default', self.d, self.user_customer)
 
     def contribution_deco(self):
         """贡献分解."""
@@ -244,6 +244,7 @@ class DataIntegrate:
                 'group_hoding_info': self.group_hoding_info,
                 'group_hoding_info_total': self.group_hoding_info_total,
                 'old_evaluation': self.old_evaluation,
+                'old_indicator_compare': self.old_indicator_compare,
                 'contribution_decomposition': self.contribution_decomposition,
                 'single_fund_data_list': self.single_fund_data_list,
                 'old_correlation': self.old_correlation,