def calculate(idx):
dfs = pd.DataFrame()
PEIndex = sf.PEIndex(idx)
first_year = PEIndex.firstyear
result_r = {}
components_num = {}
for year in range(first_year, process_date.year + 1):
if year == process_date.timetuple().tm_year:
month = process_date.month
else:
month = 12
sql_i = sf.SQL_PEIndex(PEIndex.idx, year).yeardata_m
conn = engine_rd.connect()
date_s = dt.date(year, month, 1) - dt.timedelta(1)
su.tic("Getting Data")
d = pd.read_sql(sql_i, conn)
conn.close()
su.tic("Preprocessing...")
d["statistic_date"] = d["statistic_date"].apply(
lambda x: time.mktime(x.timetuple()))
d_dd = d.drop_duplicates("fund_id")
idx_slice = d_dd.index.tolist()
idx_slice.append(len(d))
t_std = tu.timeseries_std(dt.datetime(year, month, 10),
month,
12,
1,
use_lastday=True)
t_std1 = t_std[:-1]
su.tic("Grouping...")
ds = [
d[idx_slice[i]:idx_slice[i + 1]]
for i in range(len(idx_slice) - 1)
]
ts = [x["statistic_date"].tolist() for x in ds]
navs = [x["nav"].tolist() for x in ds]
su.tic("Matching...")
matchs1 = [tu.outer_match4index_f7(x, t_std1, False) for x in ts]
matchs2 = [tu.outer_match4index_b7(x, t_std1) for x in ts]
matchs3 = [tu.outer_match4index_m(x, t_std, False) for x in ts]
matchs = [
su.merge_result(x1, x2, x3)
for x1, x2, x3 in zip(matchs1, matchs2, matchs3)
]
su.tic("Getting Result...")
t_matchs = [x[0] for x in matchs]
t_matchs = [tu.tr(x) for x in t_matchs]
idx_matchs = [x[1] for x in matchs]
nav_matchs = [[
navs[i][idx] if idx is not None else None
for idx in idx_matchs[i].values()
] for i in range(len(idx_matchs))]
su.tic("Calculating Index...")
nvs = pd.DataFrame(nav_matchs).T.astype(float).as_matrix()
rs = nvs[:-1] / nvs[1:] - 1
rs[rs > 30] = np.nan
rs[rs < -1] = np.nan
r = np.nanmean(rs, axis=1)
r[np.isnan(r)] = 0
result_r[year] = r
components_num[year] = np.sum(~np.isnan(rs), axis=1)
su.tic("Year:{0}, Done...".format(year))
values_r = []
values_num = []
for year in range(first_year, process_date.timetuple().tm_year + 1):
if len(values_r) == 0:
values_r = result_r[year].tolist()[::-1]
values_num = components_num[year].tolist()[::-1]
else:
values_r.extend(result_r[year].tolist()[::-1])
values_num.extend(components_num[year].tolist()[::-1])
adjust_periods = 1
date_tmp = date_s - relativedelta.relativedelta(months=adjust_periods + 1)
date_tmp = dt.date(date_tmp.year, date_tmp.month,
cld.monthrange(date_tmp.year, date_tmp.month)[1])
sql_base = "SELECT index_value FROM fund_month_index_static WHERE index_id = '{idx_id}' \
AND statistic_date = '{sd}'".format(idx_id=PEIndex.id, sd=date_tmp)
base = pd.read_sql(sql_base, engine_rd).get_value(0, "index_value")
result = (np.array(values_r)[-(adjust_periods + 1) - 1:] +
1).cumprod() * base
result = result.tolist()
values_num = values_num[-(adjust_periods + 1) - 1:]
tag = tu.timeseries_std(
dt.datetime(year, month + 1, 10),
tu.periods_in_interval(dt.datetime(year, month + 1, 10),
dt.datetime(first_year, 1, 10), 12), 12)[::-1]
tag = [dt.date.fromtimestamp(x - 864000) for x in tag]
tag = tag[-(adjust_periods + 1) - 1:]
op = pd.DataFrame(list(zip(tag, result, values_num)))
op.columns = ["statistic_date", "index_value", "funds_num"]
cols = [
"index_id", "index_name", "typestandard_code", "typestandard_name",
"type_code", "type_name", "stype_code", "stype_name", "index_method",
"data_source", "data_source_name"
]
values = [
PEIndex.id, PEIndex.name, PEIndex.typestandard["code"],
PEIndex.typestandard["name"], PEIndex.type["code"],
PEIndex.type["name"], PEIndex.stype["code"], PEIndex.stype["name"], 1,
0, "私募云通"
]
col_dict = dict(zip(cols, values))
for col, val in col_dict.items():
op[col] = val
dfs = dfs.append(op[:-1])
return dfs
def calculate():
conn = engine_rd.connect()
year, month = yesterday.year, yesterday.month
month_range = cld.monthrange(year, month)[1]
time_to_fill = sf.Time(dt.datetime(year, month, month_range))
year, month = time_to_fill.year, time_to_fill.month
bms_used = [
"hs300", "csi500", "sse50", "ssia", "cbi", "y1_treasury_rate", "nfi"
]
sql_bm = sf.SQL.market_index(date=time_to_fill.today,
benchmarks=bms_used,
whole=True) # Get benchmark prices
bm = pd.read_sql(sql_bm, conn)
# bm.loc[bm["statistic_date"] == dt.date(1995, 8, 16), "y1_treasury_rate"] = 2.35
bm["y1_treasury_rate"] = bm["y1_treasury_rate"].fillna(method="backfill")
bm["y1_treasury_rate"] = bm["y1_treasury_rate"].apply(su.annually2weekly)
bm["statistic_date"] = bm["statistic_date"].apply(su.date2tstp)
prices_bm = [
bm.dropna(subset=[bm_name])[bm_name].tolist() for bm_name in bms_used
]
ts_bm = [
bm.dropna(subset=[bm_name])["statistic_date"].tolist()
for bm_name in bms_used
]
prices = prices_bm.copy()
ts = ts_bm.copy()
t_mins_pe_all = sf.PEIndex().firstmonday # 寻找指数中可被计算的
pesid_used = []
for k in t_mins_pe_all:
if t_mins_pe_all[k].year < year:
pesid_used.append(k)
elif t_mins_pe_all[k].year == year:
if t_mins_pe_all[k].month <= month:
pesid_used.append(k)
else:
continue
else:
continue
prices_pe = []
ts_pe = []
pes_used = []
for idx in pesid_used:
PE = sf.PEIndex(idx)
pes_used.append(PE.id)
sql_pe = sf.SQL.pe_index(time_to_fill.today, index_id=PE.id, freq="w")
pe = pd.read_sql(sql_pe, conn)
pe["statistic_date"] = pe["statistic_date"].apply(su.date2tstp)
prices_pe.append(pe["index_value"].tolist())
ts_pe.append(pe["statistic_date"].tolist())
conn.close()
prices.extend(prices_pe)
ts.extend(ts_pe)
t_mins_tstp = [min(x) for x in ts]
t_mins = tu.tr(t_mins_tstp)
intervals = table.intervals
intervals1 = [0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11]
intervals3 = [0, 1, 2, 3, 4, 5, 6, 10, 11]
index_used = bms_used.copy()
index_used.extend(pes_used)
index_name = {
"FI01": "私募全市场指数",
"FI02": "阳光私募指数",
"FI03": "私募FOF指数",
"FI04": "股票多头策略私募指数",
"FI05": "股票多空策略私募指数",
"FI06": "市场中性策略私募指数",
"FI07": "债券基金私募指数",
"FI08": "管理期货策略私募指数",
"FI09": "宏观策略私募指数",
"FI10": "事件驱动策略私募指数",
"FI11": "相对价值策略私募指数",
"FI12": "多策略私募指数",
"FI13": "组合投资策略私募指数",
"hs300": "沪深300指数",
"csi500": "中证500指数",
"sse50": "上证50指数",
"ssia": "上证A股指数",
"cbi": "中债指数",
"nfi": "南华商品指数",
"y1_treasury_rate": "y1_treasury_rate"
}
result = []
for mday in range(1, yesterday.day + 1):
print("Day {0}: {1}".format(mday, dt.datetime.now()))
date_s = sf.Time(dt.datetime(year, month,
mday)) # Generate statistic_date
#
t_stds = [
tu.timeseries_std(date_s.today, interval, 52, extend=1)
for interval in intervals
] # 标准序列
t_std_lens = [len(x) - 1 for x in t_stds] # 标准序列净值样本个数
t_std_week = tu.timeseries_std(date_s.today, "w", 52, 1) # 标准序列_本周
ts_std_total = [
tu.timeseries_std(date_s.today,
tu.periods_in_interval(date_s.today, t_min, 12),
extend=4) for t_min in t_mins
] # 标准序列_成立以来
ts_std_total = [
t_std_total[:len([x for x in t_std_total if x >= t_min]) + 1]
for t_std_total, t_min in zip(ts_std_total, t_mins_tstp)
]
# 基准指数的标准序列_成立以来
matchs = [
tu.outer_match4indicator_w(t, t_std_all, False)
for t, t_std_all in zip(ts, ts_std_total)
]
idx_matchs = [x[1] for x in matchs]
prices_total = [[
price[ix] if ix is not None else None for ix in idx.values()
] for price, idx in zip(prices, idx_matchs)]
# 基准指标的收益率_不同频率
rs_total = [
fi.gen_return_series(price_total) for price_total in prices_total
]
# 无风险国债的收益率
r_f_total = prices_total[5][
1:] # the list `y1_treasury_rate` in prices_total is not price, but return
r_f_total = pd.DataFrame(r_f_total).fillna(
method="backfill")[0].tolist()
r_f_all = [r_f_total[:length - 1] for length in t_std_lens]
r_f_all.append(r_f_total)
# for i in range(len(index_used)):
for i in range(len(index_used)):
if index_name[index_used[i]] == "y1_treasury_rate": continue
price_all = []
r_all = []
for j in range(7):
if dt.date.fromtimestamp(
(t_mins[i] + relativedelta(months=intervals[j])
).timestamp()) <= date_s.today:
price_all.append(prices_total[i][:t_std_lens[j]])
r_all.append(rs_total[i][:t_std_lens[j] - 1])
else:
price_all.append([])
r_all.append([])
for j in range(7, 11):
price_all.append(prices_total[i][:t_std_lens[j]])
if rs_total[i] is not None:
r_all.append(rs_total[i][:t_std_lens[j] - 1])
else:
r_all.append([])
price_all.append(prices_total[i])
r_all.append(rs_total[i])
price_all1 = [price_all[i] for i in intervals1]
price_all3 = [price_all[i] for i in intervals3]
r_all1 = [r_all[i] for i in intervals1]
r_all3 = [r_all[i] for i in intervals3]
r_f_all1 = [r_f_all[i] for i in intervals1][:-1]
r_f_all3 = [r_f_all[i] for i in intervals3][:-1]
r_f_all1.append(r_f_all[-1][:len(r_all[-1])])
r_f_all3.append(r_f_all[-1][:len(r_all[-1])])
ir = [fi.accumulative_return(price) for price in price_all1]
ir_a = [fi.return_a(r) for r in r_all1]
stdev_a = [fi.standard_deviation_a(r) for r in r_all3]
dd_a = [
fi.downside_deviation_a(r, r_f)
for r, r_f in zip(r_all3, r_f_all3)
]
mdd = [fi.max_drawdown(price)[0] for price in price_all3]
sharpe_a = [
fi.sharpe_a(r, r_f) for r, r_f in zip(r_all3, r_f_all3)
]
calmar_a = [
fi.calmar_a(price, r_f)
for price, r_f in zip(price_all3, r_f_all3)
]
sortino_a = [
fi.sortino_a(r, r_f) for r, r_f in zip(r_all3, r_f_all3)
]
p_earning_weeks = [fi.periods_positive_return(r) for r in r_all3]
n_earning_weeks = [fi.periods_npositive_return(r) for r in r_all3]
con_rise_weeks = [fi.periods_continuous_rise(r)[0] for r in r_all3]
con_fall_weeks = [fi.periods_continuous_fall(r)[0] for r in r_all3]
tmp = [
ir, ir_a, stdev_a, dd_a, mdd, sharpe_a, calmar_a, sortino_a,
p_earning_weeks, n_earning_weeks, con_rise_weeks,
con_fall_weeks
]
result_i = [index_used[i], index_name[index_used[i]], date_s.today]
for x in tmp:
result_i.extend(x)
result.append(result_i)
df = pd.DataFrame(result)
df[list(range(3, 117))] = df[list(range(3, 117))].astype(np.float64)
df[list(range(3, 117))] = df[list(range(3,
117))].apply(lambda x: round(x, 6))
df.columns = columns
df.index_id = df.index_id.apply(lambda x: x.upper())
return df
def calculate(idx, export_path=None):
dfs = pd.DataFrame()
PEIndex = sf.PEIndex(idx)
first_date = PEIndex.firstmonday
result_r = {}
components_num = {}
components = {}
for year in range(first_date.timetuple().tm_year, _process_date.year + 1):
if year == _process_date.year:
month = _process_date.month
day = tu.date_of_weekday(_process_date, 0, (0, 0)).day
if day > _process_date.day: # 修正周一在上个月，跨月后产生的日期问题
month -= 1
else:
month = 12
day = 31
date_s = dt.date(year, month, day) #
sql_i = sf.SQL_PEIndex(idx, year).yeardata_w["nv"]
sql_mindate = sf.SQL_PEIndex(idx, year).yeardata_w["t_min"]
conn = engine_rd.connect()
su.tic("Getting Data")
d = pd.read_sql(sql_i, conn)
d.index = range(len(d))
t_min = pd.read_sql(sql_mindate,
conn)["statistic_date_earliest"].tolist()
t_min = [time.mktime(x.timetuple()) for x in t_min] #
conn.close()
su.tic("Preprocessing...")
d["statistic_date"] = d["statistic_date"].apply(
lambda x: time.mktime(x.timetuple()))
d_dd = d.drop_duplicates("fund_id")
idx_slice = d_dd.index.tolist()
idx_slice.append(len(d))
ids = d_dd["fund_id"].tolist()
last_monday = date_s - dt.timedelta(
cld.weekday(date_s.year, date_s.month, date_s.day)) #
t_std = tu.timeseries_std(last_monday, "a", 52, extend=1) #
if year == first_date.timetuple().tm_year:
t_std = t_std[:-1]
#
su.tic("Slicing")
t_std_long = tu.timeseries_std(
last_monday,
tu.periods_in_interval(last_monday, dt.date(year - 1, 11, 30), 12))
t_std_long_p1m = [(x + relativedelta(months=1)).timestamp()
for x in tu.tr(t_std_long)]
real_p1m = su.compare(t_min, t_std_long) # 实际最早日期和标准序列日期比较
p1m_std = su.compare(t_std_long_p1m, t_std) # 加一个月的标准序列日期和标准序列日期比较
data_used = [p1m_std[x - 1] for x in real_p1m]
su.tic("Grouping...")
ds = [
d[idx_slice[i]:idx_slice[i + 1]]
for i in range(len(idx_slice) - 1)
]
ts = [x["statistic_date"].tolist() for x in ds]
navs = [x["nav"].tolist() for x in ds]
su.tic("Matching...")
matchs = [tu.outer_match4index_w(x, t_std, False) for x in ts]
su.tic("Getting Result...")
# t_matchs = [x[0] for x in matchs]
# t_matchs = [tu.tr(x) for x in t_matchs]
idx_matchs = [x[1] for x in matchs]
nav_matchs = [[
navs[i][idx] if idx is not None else None
for idx in idx_matchs[i].values()
] for i in range(len(idx_matchs))]
su.tic("Calculating Index...")
nvs = pd.DataFrame(nav_matchs).T.astype(float).as_matrix()
print(nvs.shape)
for i in range(len(ids)):
nvs[data_used[i] + 1:, i] = np.nan
rs = nvs[:-1] / nvs[1:] - 1
rs[rs > 10] = np.nan
rs[rs < -1] = np.nan
r = np.nanmean(rs, axis=1)
r[np.isnan(r)] = 0
result_r[year] = r
components_num[year] = np.sum(~np.isnan(rs), axis=1)
# log samples
tmp = pd.DataFrame(nvs, columns=ids).T
tmp["fund_id"] = tmp.index
tmp = tmp[[tmp.columns[-1], *tmp.columns[:-1]]]
components[year] = tmp
su.tic("Year:{0}, Done...".format(year))
values_r = []
values_num = []
for year in range(first_date.timetuple().tm_year, date_s.year + 1):
if len(values_r) == 0:
values_r = result_r[year].tolist()[::-1]
values_num = components_num[year].tolist()[::-1]
else:
values_r.extend(result_r[year].tolist()[::-1])
values_num.extend(components_num[year].tolist()[::-1])
result = (np.array(values_r) + 1).cumprod() * 1000
result = result.tolist()
result.insert(0, 1000)
values_num.insert(0, 0)
tag = tu.timeseries_std(dt.datetime(year, month, day),
tu.periods_in_interval(
dt.datetime(year, month, day),
dt.datetime(first_date.year, 1, 1), 12),
52,
extend=5)[::-1]
tag = [x for x in tag if x >= first_date.timestamp()]
tag = [dt.date.fromtimestamp(x) for x in tag]
# local debug
op = pd.DataFrame(list(zip(tag, result, values_num)))
op.columns = ["statistic_date", "index_value", "funds_num"]
cols = [
"index_id", "index_name", "typestandard_code", "typestandard_name",
"type_code", "type_name", "stype_code", "stype_name", "index_method",
"data_source", "data_source_name"
]
values = [
PEIndex.id, PEIndex.name, PEIndex.typestandard["code"],
PEIndex.typestandard["name"], PEIndex.type["code"],
PEIndex.type["name"], PEIndex.stype["code"], PEIndex.stype["name"], 1,
0, "私募云通"
]
col_dict = dict(zip(cols, values))
for col, val in col_dict.items():
op[col] = val
dfs = dfs.append(op)
if export_path is not None:
tmp = tag.copy()
for year in sorted(components.keys(), reverse=True):
# print(year, len(tmp))
components[year].columns = [
"fund_id",
*[tmp.pop() for i in range(len(components[year].columns) - 2)],
tmp[-1]
]
io.export_to_xl(
components, "{sd}_{index_name}_w_samples".format(
sd=last_monday.strftime("%Y%m%d"), index_name=PEIndex.id),
export_path)
return dfs
def calculate(idx, export_path=None):
dfs = pd.DataFrame()
PEIndex = sf.PEIndex(idx)
first_year = PEIndex.firstyear
result_r = {}
components_num = {}
components = {}
for year in range(first_year, process_date.year + 1):
if year == process_date.timetuple().tm_year:
month = process_date.month
else:
month = 12
sql_i = sf.SQL_PEIndex(PEIndex.idx, year).yeardata_m
conn = engine_rd.connect()
su.tic("Getting Data")
d = pd.read_sql(sql_i, conn)
conn.close()
su.tic("Preprocessing...")
d["statistic_date"] = d["statistic_date"].apply(
lambda x: time.mktime(x.timetuple()))
d_dd = d.drop_duplicates("fund_id")
idx_slice = d_dd.index.tolist()
idx_slice.append(len(d))
ids = d_dd["fund_id"].tolist()
t_std = tu.timeseries_std(dt.datetime(year, month, 10),
month,
12,
1,
use_lastday=True)
t_std1 = t_std[:-1]
su.tic("Grouping...")
ds = [
d[idx_slice[i]:idx_slice[i + 1]]
for i in range(len(idx_slice) - 1)
]
ts = [x["statistic_date"].tolist() for x in ds]
navs = [x["nav"].tolist() for x in ds]
su.tic("Matching...")
matchs1 = [tu.outer_match4index_f7(x, t_std1, False) for x in ts]
matchs2 = [tu.outer_match4index_b7(x, t_std1) for x in ts]
matchs3 = [tu.outer_match4index_m(x, t_std, False) for x in ts]
matchs = [
su.merge_result(x1, x2, x3)
for x1, x2, x3 in zip(matchs1, matchs2, matchs3)
]
su.tic("Getting Result...")
t_matchs = [x[0] for x in matchs]
t_matchs = [tu.tr(x) for x in t_matchs]
idx_matchs = [x[1] for x in matchs]
nav_matchs = [[
navs[i][idx] if idx is not None else None
for idx in idx_matchs[i].values()
] for i in range(len(idx_matchs))]
su.tic("Calculating Index...")
nvs = pd.DataFrame(nav_matchs).T.astype(float).as_matrix()
rs = nvs[:-1] / nvs[1:] - 1
rs[rs > 30] = np.nan
rs[rs < -1] = np.nan
r = np.nanmean(rs, axis=1)
r[np.isnan(r)] = 0
result_r[year] = r
components_num[year] = np.sum(~np.isnan(rs), axis=1)
# log samples
tmp = pd.DataFrame(nvs, columns=ids).T
tmp["fund_id"] = tmp.index
tmp = tmp[[tmp.columns[-1], *tmp.columns[:-1]]]
components[year] = tmp
su.tic("Year:{0}, Done...".format(year))
values_r = []
values_num = []
for year in range(first_year, process_date.timetuple().tm_year + 1):
if len(values_r) == 0:
values_r = result_r[year].tolist()[::-1]
values_num = components_num[year].tolist()[::-1]
else:
values_r.extend(result_r[year].tolist()[::-1])
values_num.extend(components_num[year].tolist()[::-1])
result = (np.array(values_r) + 1).cumprod() * 1000
result = result.tolist()
result.insert(0, 1000)
values_num.insert(0, 0)
# tag = tu.timeseries_std(dt.datetime(year, month + 1, 10),
# tu.periods_in_interval(dt.datetime(year, month + 1, 10), dt.datetime(first_year, 1, 10),
# 12), 12)[::-1]
tag = tu.timeseries_std(
dt.datetime(year, month + 1, 10),
tu.periods_in_interval(dt.datetime(year, month + 1, 10),
dt.datetime(first_year, 1, 10), 12), 12)[::-1]
tag = [dt.date.fromtimestamp(x - 864000) for x in tag]
op = pd.DataFrame(list(zip(tag, result, values_num)))
op.columns = ["statistic_date", "index_value", "funds_num"]
cols = [
"index_id", "index_name", "typestandard_code", "typestandard_name",
"type_code", "type_name", "stype_code", "stype_name", "index_method",
"data_source", "data_source_name"
]
values = [
PEIndex.id, PEIndex.name, PEIndex.typestandard["code"],
PEIndex.typestandard["name"], PEIndex.type["code"],
PEIndex.type["name"], PEIndex.stype["code"], PEIndex.stype["name"], 1,
0, "私募云通"
]
col_dict = dict(zip(cols, values))
for col, val in col_dict.items():
op[col] = val
dfs = dfs.append(op[:-1])
if export_path is not None:
tmp = tag.copy()
for year in sorted(components.keys(), reverse=True):
print(year, len(tmp))
components[year].columns = [
"fund_id",
*[tmp.pop() for i in range(len(components[year].columns) - 2)],
tmp[-1]
]
io.export_to_xl(
components,
"{sd}_{index_name}_m_samples".format(sd=tag[-2].strftime("%Y%m%d"),
index_name=PEIndex.id),
export_path)
return dfs