AssetManager.API/AssetManager.Infrastructure/StrategyEngine/Calculators/RiskParityCalculator.cs

using System.Text.Json;
using AssetManager.Data;
using AssetManager.Infrastructure.Services;
using AssetManager.Models.DTOs;
using Microsoft.Extensions.Logging;

namespace AssetManager.Infrastructure.StrategyEngine.Calculators;

/// <summary>
/// 风险平价策略计算器
/// </summary>
public class RiskParityCalculator : IStrategyCalculator
{
    private readonly IMarketDataService _marketDataService;
    private readonly ILogger<RiskParityCalculator> _logger;

    public string StrategyType => AssetManager.Models.DTOs.StrategyType.RiskParity;

    public RiskParityCalculator(IMarketDataService marketDataService, ILogger<RiskParityCalculator> logger)
    {
        _marketDataService = marketDataService;
        _logger = logger;
    }

    public async Task<StrategySignal> CalculateAsync(
        string configJson,
        List<Position> positions,
        CancellationToken cancellationToken = default)
    {
        var config = JsonSerializer.Deserialize<RiskParityConfig>(configJson, new JsonSerializerOptions
        {
            PropertyNameCaseInsensitive = true
        }) ?? new RiskParityConfig();

        // 确定目标资产列表
        var targetAssets = new List<string>();
        var userDefinedWeights = new Dictionary<string, decimal>();

        if (config.Assets?.Count > 0)
        {
            targetAssets = config.Assets.Select(a => a.Symbol).ToList();
            userDefinedWeights = config.Assets.ToDictionary(a => a.Symbol, a => a.TargetWeight);
        }
        else
        {
            targetAssets = positions.Select(p => p.StockCode).ToList();
        }

        if (targetAssets.Count == 0)
        {
            return new StrategySignal
            {
                StrategyType = StrategyType,
                Signal = "HOLD",
                Reason = "无目标资产",
                GeneratedAt = DateTime.UtcNow
            };
        }

        // 计算资产的波动率和目标权重
        var assetVolatilities = new Dictionary<string, decimal>();
        var positionSignals = new List<PositionSignal>();

        foreach (var symbol in targetAssets)
        {
            cancellationToken.ThrowIfCancellationRequested();

            try
            {
                var volatility = await CalculateVolatilityAsync(symbol, config.LookbackPeriod, cancellationToken);
                assetVolatilities[symbol] = volatility;
            }
            catch (Exception ex)
            {
                _logger.LogError(ex, "计算 {Symbol} 的波动率失败", symbol);
                assetVolatilities[symbol] = 0.2m; // 默认波动率20%
            }
        }

        // 计算风险平价的目标权重，若无则等权初始化
        var targetWeights = CalculateRiskParityWeights(assetVolatilities);

        // 如果用户定义了权重，则使用用户定义的权重
        foreach (var kvp in userDefinedWeights)
        {
            targetWeights[kvp.Key] = kvp.Value;
        }

        // 计算当前权重
        var currentWeights = CalculateCurrentWeights(positions, targetAssets);

        // 根据偏差决定是否再平衡
        var maxDeviation = 0m;
        var needRebalance = false;
        var reasons = new List<string>();

        foreach (var symbol in targetAssets)
        {
            var targetWeight = targetWeights.GetValueOrDefault(symbol, 0m);
            var currentWeight = currentWeights.GetValueOrDefault(symbol, 0m);
            var deviation = Math.Abs(targetWeight - currentWeight);

            if (deviation > config.RebalanceThreshold)
            {
                needRebalance = true;
            }

            maxDeviation = Math.Max(maxDeviation, deviation);

            var positionSignal = new PositionSignal
            {
                Symbol = symbol,
                TargetWeight = targetWeight,
                Signal = deviation > config.RebalanceThreshold
                    ? (targetWeight > currentWeight ? "BUY" : "SELL")
                    : "HOLD",
                Reason = $"目标权重: {targetWeight:P2}, 当前权重: {currentWeight:P2}, 偏差: {deviation:P2}"
            };

            positionSignals.Add(positionSignal);

            if (deviation > config.RebalanceThreshold)
            {
                reasons.Add($"{symbol}: 调整 {(targetWeight > currentWeight ? "+" : "")}{(targetWeight - currentWeight):P2}");
            }
        }

        return new StrategySignal
        {
            StrategyType = StrategyType,
            Signal = needRebalance ? "REBALANCE" : "HOLD",
            PositionSignals = positionSignals,
            Reason = needRebalance
                ? $"最大偏差 {maxDeviation:P2} 超过阈值 {config.RebalanceThreshold:P2}。{string.Join("; ", reasons)}"
                : $"资产偏差在阈值范围内。(最大偏差: {maxDeviation:P2})",
            GeneratedAt = DateTime.UtcNow
        };
    }

    /// <summary>
    /// 计算资产波动率（年化标准差）
    /// </summary>
    private async Task<decimal> CalculateVolatilityAsync(
        string symbol,
        int lookbackPeriod,
        CancellationToken cancellationToken)
    {
        var historicalData = await _marketDataService.GetStockHistoricalDataAsync(
            symbol, "1d", lookbackPeriod + 1);

        if (historicalData.Count < 2)
        {
            throw new InvalidOperationException($"历史数据不足以计算波动率");
        }

        // 按时间排序并计算日收益率
        var sortedData = historicalData.OrderBy(d => d.Timestamp).ToList();
        var returns = new List<decimal>();

        for (int i = 1; i < sortedData.Count; i++)
        {
            var dailyReturn = (sortedData[i].Close - sortedData[i - 1].Close) / sortedData[i - 1].Close;
            returns.Add(dailyReturn);
        }

        // 计算标准差
        var avgReturn = returns.Average();
        var variance = returns.Sum(r => (r - avgReturn) * (r - avgReturn)) / returns.Count;
        var dailyStdDev = (decimal)Math.Sqrt((double)variance);

        // 年化波动率，假设252个交易日
        return dailyStdDev * (decimal)Math.Sqrt(252);
    }

    /// <summary>
    /// 计算风险平价权重，若无则等权初始化
    /// </summary>
    private Dictionary<string, decimal> CalculateRiskParityWeights(Dictionary<string, decimal> volatilities)
    {
        var weights = new Dictionary<string, decimal>();

        // 计算倒数波动率之和
        var inverseVolSum = volatilities.Values.Where(v => v > 0).Sum(v => 1m / v);

        if (inverseVolSum == 0)
        {
            // 如果无法计算，采用等权分配
            var equalWeight = 1m / volatilities.Count;
            foreach (var symbol in volatilities.Keys)
            {
                weights[symbol] = equalWeight;
            }
        }
        else
        {
            foreach (var kvp in volatilities)
            {
                weights[kvp.Key] = kvp.Value > 0 ? (1m / kvp.Value) / inverseVolSum : 0m;
            }
        }

        return weights;
    }

    /// <summary>
    /// 计算当前持仓权重
    /// </summary>
    private Dictionary<string, decimal> CalculateCurrentWeights(List<Position> positions, List<string> targetAssets)
    {
        var weights = new Dictionary<string, decimal>();

        // 计算总价值
        var totalValue = positions.Sum(p => p.Shares * p.AvgPrice);

        foreach (var symbol in targetAssets)
        {
            var position = positions.FirstOrDefault(p => p.StockCode == symbol);
            if (position != null && totalValue > 0)
            {
                weights[symbol] = (position.Shares * position.AvgPrice) / totalValue;
            }
            else
            {
                weights[symbol] = 0m;
            }
        }

        return weights;
    }
}