def initialize(self):
# 初始化各个sensor
self.user_context.update("DM", DataManager(name=self.name))
# 初始化辅助类
self.user_context.update(
"alphaFactorDataFrame",
FactorList(file=self.user_context.alpha_file,
factor_style=FACTOR_STYLE.ALPHA))
self.user_context.update(
"riskFactorDataFrame",
FactorList(file=self.user_context.risk_file,
factor_style=FACTOR_STYLE.RISK))
# 初始化各个mod
init_succeed = super().initialize()
if init_succeed:
self._init_estimation_flow()
return init_succeed
def initialize(self):
# 初始化各个sensor
self.user_context.update("DM", DataManager(name=self.name))
# 初始化辅助类
self.user_context.update(
"alphaFactorDataFrame",
FactorList(file=self.user_context.alpha_file,
factor_style=FACTOR_STYLE.ALPHA))
# 初始化各个mod
init_succeed = super().initialize()
if init_succeed:
self._init_prepare_flow()
self._init_store_flow()
self._init_prediction_stock()
self._prepare_flow.run(date="99991231")
return init_succeed
def initialize(self):
self.user_context.update(
"alphaFactorDataFrame",
FactorList(file=self.user_context.alpha_file,
factor_style=FACTOR_STYLE.ALPHA))
self.optim_options = {
"options": {
"show_progress": False
},
"tc": 0.003,
"risk_condition": {
"up": {
'style_size_2': 0.0005,
'style_beta_2': 0.0005,
'industry_商贸零售': 0.03,
'industry_石油石化': 0.03,
'industry_国防军工': 0.03,
'industry_传媒': 0.03,
'industry_餐饮旅游': 0.03,
'industry_汽车': 0.03,
'industry_电力及公用事业': 0.03,
'industry_电力设备': 0.03,
'industry_综合': 0.03,
'industry_计算机': 0.03,
'industry_医药': 0.03,
'industry_建材': 0.03,
'industry_农林牧渔': 0.03,
'industry_机械': 0.03,
'industry_纺织服装': 0.03,
'industry_保险Ⅱ': 0.03,
'industry_食品饮料': 0.03,
'industry_信托及其他': 0.03,
'industry_电子元器件': 0.03,
'industry_煤炭': 0.03,
'industry_建筑': 0.03,
'industry_银行': 0.03,
'industry_基础化工': 0.03,
'industry_证券Ⅱ': 0.03,
'industry_家电': 0.03,
'industry_交通运输': 0.03,
'industry_钢铁': 0.03,
'industry_有色金属': 0.03,
'industry_通信': 0.03,
'industry_轻工制造': 0.03,
'industry_房地产': 0.03
},
"down": {
'style_size_2': 0.0005,
'style_beta_2': 0.0005,
'industry_商贸零售': 0.03,
'industry_石油石化': 0.03,
'industry_国防军工': 0.03,
'industry_传媒': 0.03,
'industry_餐饮旅游': 0.03,
'industry_汽车': 0.03,
'industry_电力及公用事业': 0.03,
'industry_电力设备': 0.03,
'industry_综合': 0.03,
'industry_计算机': 0.03,
'industry_医药': 0.03,
'industry_建材': 0.03,
'industry_农林牧渔': 0.03,
'industry_机械': 0.03,
'industry_纺织服装': 0.03,
'industry_保险Ⅱ': 0.03,
'industry_食品饮料': 0.03,
'industry_信托及其他': 0.03,
'industry_电子元器件': 0.03,
'industry_煤炭': 0.03,
'industry_建筑': 0.03,
'industry_银行': 0.03,
'industry_基础化工': 0.03,
'industry_证券Ⅱ': 0.03,
'industry_家电': 0.03,
'industry_交通运输': 0.03,
'industry_钢铁': 0.03,
'industry_有色金属': 0.03,
'industry_通信': 0.03,
'industry_轻工制造': 0.03,
'industry_房地产': 0.03
}
}
}
self.user_context.update("optim_options", {})
return super().initialize()