def generate_final_tl():
clus_wgt = np.array([0.15, 0.075, 0.21, 0.075, 0.15, 0.06, 0.14, 0.14])
# calculate the latest
last_dt = d_bt_fw[0].listdir()
last_dt = last_dt[-5:]
for i in last_dt:
# i = last_dt[1]
tic = None
wgt = None
shr = None
for k in range(0, 8):
# k = 0
last_dt_pos = d_bt_fw[k].load(i)
tic_ = last_dt_pos["arr_0"]
wgt_ = last_dt_pos["arr_1"]
wgt_ = wgt_ * clus_wgt[k]
cl_ = d_comb[k].retrieve("Close")
cl_ = cl_[["Date"] + list(tic_)]
cl_idx = [ii for ii, jj in enumerate(crup.pd_dt_to_str(cl_["Date", list])) if jj == i][0]
cl_ = cl_[cl_idx, list(tic_)].values.astype("float64")
sh_ = wgt_ * cap * 1000 / cl_
if k == 0:
tic = tic_
wgt = wgt_
shr = sh_
else:
tic = np.concatenate((tic, tic_))
wgt = np.concatenate((wgt, wgt_))
shr = np.concatenate((shr, sh_))
wgt_chk = np.sum(np.abs(wgt))
print(wgt_chk)
if wgt_chk > 8:
wgt = wgt * 8 / wgt_chk
shr = shr * 8 / wgt_chk
if wgt_chk < 1:
wgt = wgt * 1 / wgt_chk
shr = shr * 1 / wgt_chk
shr = np.round(shr).astype("int64")
# remove zero shr values
shr_not_zero = np.where(shr != 0)[0]
if shr_not_zero.shape[0] > 0:
tic = tic[shr_not_zero]
wgt = wgt[shr_not_zero]
shr = shr[shr_not_zero]
tl = cruf.DataFrame({"Tick": tic, "Shares": shr, "Weight": wgt})
tl.sort("Weight")
del tl["Weight"]
tl = tl[["Tick", "Shares"]]
if i > last_dt[0]:
tl_comb = cruf.DataFrame.merge(tl, tl_old, on="Tick", how="outer")
tl_comb["Shares_x"] = crtf.fill1(tl_comb["Shares_x"].values, 0)
tl_comb["Shares_y"] = crtf.fill1(tl_comb["Shares_y"].values, 0)
tl_comb["Trade"] = tl_comb["Shares_x"] - tl_comb["Shares_y"]
tl_comb = tl_comb[["Tick", "Trade"]]
tl_comb.to_csv(crsf.cr_tl.name + "\\Tradelist_" + i + ".csv", index_label=None, index=False)
if i < last_dt[-1]:
tl_old = tl
tl.to_csv(crsf.cr_tl.name + "\\Portfolio_" + i + ".csv", index_label=None, index=False)
def conv_stk_to_ami_format(tick):
x = crsf.cr_pr_cl.retrieve(tick)
del x['Turnover']
xy = crup.pd_dt_to_str(x['Date', list])
xy = [i[6:]+'-'+i[4:6]+'-'+i[0:4] for i in xy]
del x['Date']
x['Date'] = xy
x = x[['Date', 'Open', 'High', 'Low', 'Close', 'Volume']]
x.to_csv(opj(crff.cr_info.name, tick+'.csv'), sep=',', index_label=False,
index=False)
def _refresh_correl(x):
_d_comb, _d_cor_dy, _d_cor_st = x
comb_prices = _d_comb.retrieve('Close')
tc = comb_prices.tick_cols()
ndt = comb_prices.shape[0]
ntc = len(tc)
_prc = comb_prices[tc].values.astype('float64')
window1 = 240
window2 = 120
ntc1 = ntc*(ntc-1)/2
_cor1 = np.empty([ndt, ntc1], dtype='float32')*np.nan
_cor2 = np.empty([ndt, ntc1], dtype='float32')*np.nan
# calculate the correlations
cnt = 0
for i in range(0, ntc-1):
for j in range(i+1, ntc):
# _cor1[:, cnt] = _spear(_prc[:, i], _prc[:, j], window1)
# _cor2[:, cnt] = _spear(_prc[:, i], _prc[:, j], window2)
_cor1[:, cnt] = crtf.cor_cc(_prc[:, i], _prc[:, j], window1, zl=False)
_cor2[:, cnt] = crtf.cor_cc(_prc[:, i], _prc[:, j], window2, zl=False)
cnt += 1
# if cnt % 100 == 0:
# print(cnt)
# remove correlations before date st_dt
cp_dt = crup.pd_dt_to_str(comb_prices['Date', list])
cp_dt_idx = [i for i, j in enumerate(cp_dt) if j >= st_dt]
for i in cp_dt_idx:
# i = cp_dt_idx[0]
_cor_mat1 = np.empty([ntc, ntc])*np.nan
_cor_mat2 = np.empty([ntc, ntc])*np.nan
cnt = 0
for j in range(0, ntc):
for k in range(j, ntc):
if j == k:
_cor_mat1[j, j] = 1
_cor_mat2[j, j] = 1
else:
_cor_mat1[j, k] = _cor1[i, cnt]
_cor_mat1[k, j] = _cor_mat1[j, k]
_cor_mat2[j, k] = _cor2[i, cnt]
_cor_mat2[k, j] = _cor_mat2[j, k]
cnt += 1
_d_cor_st.save(cp_dt[i], _cor_mat1)
_d_cor_dy.save(cp_dt[i], _cor_mat2)
return None
def _refresh_base_data(x):
_d_bt_bs, _d_bt_ft, _d_comb, _d_cor_st, _d_cor_dy = x
# read the characteristics
fvol = _reduce_data(_d_comb.retrieve('Vol_CC_240D'))
fadv = _reduce_data(_d_comb.retrieve('Adv'))
fun = _reduce_data(_d_comb.retrieve('Univ'))
frt = _reduce_data(_d_comb.retrieve('Returns'))
# read the betas
fpc0_dy = _reduce_data(_d_comb.retrieve('PCA0_Dy'))
fpc0_st = _reduce_data(_d_comb.retrieve('PCA0_St'))
fpc1_dy = _reduce_data(_d_comb.retrieve('PCA1_Dy'))
fpc1_st = _reduce_data(_d_comb.retrieve('PCA1_St'))
fpc2_dy = _reduce_data(_d_comb.retrieve('PCA2_Dy'))
fpc2_st = _reduce_data(_d_comb.retrieve('PCA2_St'))
fpc3_dy = _reduce_data(_d_comb.retrieve('PCA3_Dy'))
fpc3_st = _reduce_data(_d_comb.retrieve('PCA3_St'))
fpc4_dy = _reduce_data(_d_comb.retrieve('PCA4_Dy'))
fpc4_st = _reduce_data(_d_comb.retrieve('PCA4_St'))
fpc5_dy = _reduce_data(_d_comb.retrieve('PCA5_Dy'))
fpc5_st = _reduce_data(_d_comb.retrieve('PCA5_St'))
fsp03 = _reduce_data(_d_comb.retrieve('SPY_Beta_3m'))
fsp06 = _reduce_data(_d_comb.retrieve('SPY_Beta_6m'))
fsp09 = _reduce_data(_d_comb.retrieve('SPY_Beta_9m'))
fsp12 = _reduce_data(_d_comb.retrieve('SPY_Beta_12m'))
fmd03 = _reduce_data(_d_comb.retrieve('MDY_Beta_3m'))
fmd06 = _reduce_data(_d_comb.retrieve('MDY_Beta_6m'))
fmd09 = _reduce_data(_d_comb.retrieve('MDY_Beta_9m'))
fmd12 = _reduce_data(_d_comb.retrieve('MDY_Beta_12m'))
fmom03 = _reduce_data(_d_comb.retrieve('MOM_Beta_3m'))
fmom06 = _reduce_data(_d_comb.retrieve('MOM_Beta_6m'))
fmom09 = _reduce_data(_d_comb.retrieve('MOM_Beta_9m'))
fmom12 = _reduce_data(_d_comb.retrieve('MOM_Beta_12m'))
flvl03 = _reduce_data(_d_comb.retrieve('LVOL_Beta_3m'))
flvl06 = _reduce_data(_d_comb.retrieve('LVOL_Beta_6m'))
flvl09 = _reduce_data(_d_comb.retrieve('LVOL_Beta_9m'))
flvl12 = _reduce_data(_d_comb.retrieve('LVOL_Beta_12m'))
fsig = _reduce_data(_d_comb.retrieve('CompSig1'))
n = fvol.shape[0]
tc = fvol.tick_cols()
for i in range(0, n):
# i = 0
_dt = crup.pd_dt_to_str([fvol[i, 'Date', list]])[0]
funi = [k for k, j in enumerate(fun[i, tc].values.astype('bool')) if j]
tci = [j for k, j in enumerate(tc) if k in funi]
xi = np.vstack((fvol[i, tci].values.astype('float32'), # 0
fadv[i, tci].values.astype('float32'), # 1
fpc0_dy[i, tci].values.astype('float32'), # 2
fpc0_st[i, tci].values.astype('float32'), # 3
fpc1_dy[i, tci].values.astype('float32'), # 4
fpc1_st[i, tci].values.astype('float32'), # 5
fpc2_dy[i, tci].values.astype('float32'), # 6
fpc2_st[i, tci].values.astype('float32'), # 7
fpc3_dy[i, tci].values.astype('float32'), # 8
fpc3_st[i, tci].values.astype('float32'), # 9
fpc4_dy[i, tci].values.astype('float32'), # 10
fpc4_st[i, tci].values.astype('float32'), # 11
fpc5_dy[i, tci].values.astype('float32'), # 12
fpc5_st[i, tci].values.astype('float32'), # 13
fsp03[i, tci].values.astype('float32'), # 14
fsp06[i, tci].values.astype('float32'), # 15
fsp09[i, tci].values.astype('float32'), # 16
fsp12[i, tci].values.astype('float32'), # 17
fmd03[i, tci].values.astype('float32'), # 18
fmd06[i, tci].values.astype('float32'), # 19
fmd09[i, tci].values.astype('float32'), # 20
fmd12[i, tci].values.astype('float32'), # 21
fmom03[i, tci].values.astype('float32'), # 22
fmom06[i, tci].values.astype('float32'), # 23
fmom09[i, tci].values.astype('float32'), # 24
fmom12[i, tci].values.astype('float32'), # 25
flvl03[i, tci].values.astype('float32'), # 26
flvl06[i, tci].values.astype('float32'), # 27
flvl09[i, tci].values.astype('float32'), # 28
flvl12[i, tci].values.astype('float32'), # 29
fsig[i, tci].values.astype('float32')
))
if i < n-2:
yi = frt[i+2, tci].values.astype('float64')
ci1 = _d_cor_st.load(_dt)
ci1 = ci1[:, funi]
ci1 = ci1[funi, :]
ci2 = _d_cor_dy.load(_dt)
ci2 = ci2[:, funi]
ci2 = ci2[funi, :]
# remove stocks with missing data
v_idx = np.sum(~np.isnan(xi), axis=0)/xi.shape[0]
v_idx = [k for k, j in enumerate(v_idx) if j > 0.999999]
xi = xi[:, v_idx]
ci1 = ci1[:, v_idx]
ci1 = ci1[v_idx, :]
ci2 = ci2[:, v_idx]
ci2 = ci2[v_idx, :]
tci = [j for i, j in enumerate(tci) if i in v_idx]
if i < n-2:
yi = yi[v_idx]
# remove stocks with no correlation values
n_ = ci1.shape[0]
c_idx = []
for j in range(0, n_):
cor1_r = np.all(np.isnan(np.array([l for k, l in enumerate(ci1[j, :]) if k != j])))
cor1_c = np.all(np.isnan(np.array([l for k, l in enumerate(ci1[:, j]) if k != j])))
cor2_r = np.all(np.isnan(np.array([l for k, l in enumerate(ci2[j, :]) if k != j])))
cor2_c = np.all(np.isnan(np.array([l for k, l in enumerate(ci2[:, j]) if k != j])))
if ~cor1_r or ~cor1_c or ~cor2_c or ~cor2_r:
c_idx.append(j)
if len(c_idx) != n_:
xi = xi[:, c_idx]
ci1 = ci1[:, c_idx]
ci1 = ci1[c_idx, :]
ci2 = ci2[:, c_idx]
ci2 = ci2[c_idx, :]
tci = [j for i, j in enumerate(tci) if i in c_idx]
if i < n-2:
yi = yi[c_idx]
# n_ = len(c_idx)
ei = np.ones(n_, dtype='float64')
bi1 = 1/np.dot(np.abs(ci1), ei)
bi1 /= np.sum(bi1)
bi2 = 1/np.dot(np.abs(ci2), ei)
bi2 /= np.sum(bi2)
sci1 = np.linalg.inv(crts.shrink_correl_fast(bi1)).astype('float32')
sci2 = np.linalg.inv(crts.shrink_correl_fast(bi2)).astype('float32')
xi = np.vstack((xi, bi1.astype('float32'), bi2.astype('float32')))
_d_bt_bs.save(_dt, xi, ci1, ci2, sci1, sci2, np.array(tci))
if i < n-2:
_d_bt_ft.save(_dt, yi)
return None
def _reduce_data(x):
# x = fvol.copy()
xdt = crup.pd_dt_to_str(x['Date', list])
xidx = [i for i, j in enumerate(xdt) if j >= _dt_st]
x = x[xidx, :]
return x
def _collect_pca_factors(x):
_d_pcl_dy, _d_pcl_st, _d_comb = x
f_files = _d_pcl_dy.listdir()
f_files = sorted(f_files)
# convert returns to volatility adjusted returns
comb_vol = _d_comb.retrieve('VOL_CC_240D')
fst_dt = f_files[0]
all_dt = crup.pd_dt_to_str(comb_vol['Date', list])
ret_idx = [i for i, j in enumerate(all_dt) if j >= fst_dt]
comb_vol = comb_vol[ret_idx, :]
tc = comb_vol.tick_cols()
pca0_score_dy = comb_vol.copy()
pca1_score_dy = comb_vol.copy()
pca2_score_dy = comb_vol.copy()
pca3_score_dy = comb_vol.copy()
pca4_score_dy = comb_vol.copy()
pca5_score_dy = comb_vol.copy()
pca0_score_st = comb_vol.copy()
pca1_score_st = comb_vol.copy()
pca2_score_st = comb_vol.copy()
pca3_score_st = comb_vol.copy()
pca4_score_st = comb_vol.copy()
pca5_score_st = comb_vol.copy()
for i, j in enumerate(f_files):
# i = 0
# j = f_files[i]
vol_val = comb_vol[i, tc].values.astype('float64')
_pca_s = _d_pcl_dy.load(j)
pca0_score_dy[i, tc] = _pca_s[0, :]*vol_val
pca1_score_dy[i, tc] = _pca_s[1, :]*vol_val
pca2_score_dy[i, tc] = _pca_s[2, :]*vol_val
pca3_score_dy[i, tc] = _pca_s[3, :]*vol_val
pca4_score_dy[i, tc] = _pca_s[4, :]*vol_val
pca5_score_dy[i, tc] = _pca_s[5, :]*vol_val
_pca_s = _d_pcl_st.load(j)
pca0_score_st[i, tc] = _pca_s[0, :]*vol_val
pca1_score_st[i, tc] = _pca_s[1, :]*vol_val
pca2_score_st[i, tc] = _pca_s[2, :]*vol_val
pca3_score_st[i, tc] = _pca_s[3, :]*vol_val
pca4_score_st[i, tc] = _pca_s[4, :]*vol_val
pca5_score_st[i, tc] = _pca_s[5, :]*vol_val
_d_comb.store('PCA0_Dy', pca0_score_dy)
_d_comb.store('PCA1_Dy', pca1_score_dy)
_d_comb.store('PCA2_Dy', pca2_score_dy)
_d_comb.store('PCA3_Dy', pca3_score_dy)
_d_comb.store('PCA4_Dy', pca4_score_dy)
_d_comb.store('PCA5_Dy', pca5_score_dy)
_d_comb.store('PCA0_St', pca0_score_st)
_d_comb.store('PCA1_St', pca1_score_st)
_d_comb.store('PCA2_St', pca2_score_st)
_d_comb.store('PCA3_St', pca3_score_st)
_d_comb.store('PCA4_St', pca4_score_st)
_d_comb.store('PCA5_St', pca5_score_st)
