def get_portfoio_with_best_param(self, param_str=''):
if not param_str:
param_str = "组合34号"
param_df = pd.read_excel("%s最优参数.xlsx" % param_str, index_col=0)
# param_df = pd.read_excel("组合31号最优参长调仓日期.xlsx", index_col=0)
total_df = pd.read_excel("组合明细.xlsx", index_col=0)
asset_index = eval(total_df.loc[param_str]['模型参数'])
method = total_df.loc[param_str]['配置模型']
# method = 'industry_recyle'
param_info_dic = eval(param_df.loc['misc'][method])
best_param_dic = {}
for param_key, param_values in param_info_dic['vals'].items():
best_param_dic[param_key] = param_values[0]
# best_param_dic = {'adjust_day_limit': 26, 'back_day_limit': 16, 'max_index_loss_limit': 1.0163546802363896, 'poc_value_limit': 0.8998090608862988}#组合33阶段参数
# best_param_dic={'adjust_day_limit': 73, 'back_day_limit': 100, 'bond_limit': 0.07325363231739307, 'com_limit': 0.7055617284378413, 'xfc_back_day': 30, 'xfc_chage_rate': 1.1837053863199578, 'control_method': 'xfc'}
# best_param_dic={'adjust_day_limit': 9, 'back_day_limit': 7, 'max_index_loss_limit': 1.0336336758278335, 'poc_value_limit': 0.4002284797771605}#组合32号短周期场内
self.logger.info("----------------------best_param----------------->")
fundPortfolioDemo = fundPortfolio(startDate='2015-09-01',
file_path=param_str)
# fund_type = 'ETF'
fund_type = 'OTC'
fundPortfolioDemo.setMain(method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc, param_str=param_str)
def calcResearch(self, method):
#创建储存结果文件夹
fundPortfolioDemo = fundPortfolio()
newFolder = fundPortfolioDemo.fileMake(u'用户分层投资组合' + method)
#获取底层产品历史净值数据
SetPortfolioDemo = SetPortfolio()
dicResult, resultDf = SetPortfolioDemo.goMain()
nameDic = {
keyName: SetPortfolioDemo.dicProduct[keyName[:-3]]
for keyName in resultDf
}
resultDf.rename(columns=nameDic, inplace=True)
usefulNetDf = resultDf.dropna(axis=0)
usefulReturnDf = (usefulNetDf -
usefulNetDf.shift(1)) / usefulNetDf.shift(1)
usefulReturnDf.fillna(0, inplace=True)
#获取所有投资组合历史收益及风险指标
returnAndRiskTotal, portFolioDf = self.getData(method=method)
#获取五类风险等级走势，存储，并返回
targetDf = self.researchTotalPortfolio(portFolioDf, method, newFolder)
#五类风险等级与底层产品走势图，存储
self.researchPortfolioFund(targetDf, usefulReturnDf, newFolder, method)
#风险收益指标与rate走势图，存储
self.researchRiskReturn(method=method,
returnAndRiskTotal=returnAndRiskTotal,
newFolder=newFolder)
def ResearchModel(self, calcNum=50, method='target_risk'):
modelResult = {}
fundPortfolioDemo = fundPortfolio()
timeBack = 0
for rate in np.linspace(start=0, stop=1, num=calcNum):
timeBack += 1
self.PrintInfoDemo.PrintLog('回测第%s次' % str(timeBack))
modelResult['rate=' + str(rate)] = fundPortfolioDemo.setMain(
method=method, rate=rate)
pickleFile = open(method + 'modelResult.pkl', 'wb')
pickle.dump(modelResult, pickleFile)
pickleFile.close()
return modelResult
def get_portfolio_industry_recyle_param(self):
param_str = "行业轮动"
add_str = ''
param_str = param_str + add_str
method = 'industry_recyle'
IndustryRecyleDemo = IndustryRecyle()
fund_type = 'ETF'
# fund_type='OTC'
industry_index_name_dic, product_name_dic = IndustryRecyleDemo.get_main(
fund_type=fund_type)
asset_index = {
'stock': industry_index_name_dic,
'bond': {
'H00140.SH': u'上证五年期国债指数'
}
}
if 'H00140.SH' not in product_name_dic:
if fund_type == 'ETF':
product_name_dic['H00140.SH'] = {'511010.SH': "国债ETF "}
else:
product_name_dic['H00140.SH'] = {'000088.OF': "嘉实中期国债ETF联接C "}
# best_param_dic ={'adjust_day_limit': 59, 'back_day_limit': 22, 'max_index_loss_limit': 1.0658809306041392, 'poc_value_limit': 0.795065864572404}#回撤阈值0.15，长周期参数1
# best_param_dic={'adjust_day_limit': 43, 'back_day_limit': 7, 'max_index_loss_limit': 1.0588023004774523, 'poc_value_limit': 0.6781040531662471} #场内长周期adjust!=back，长周期参数2
best_param_dic = {
'adjust_day_limit': 9,
'back_day_limit': 6,
'max_index_loss_limit': 1.003732683071061,
'poc_value_limit': 0.8918295289003106
} # 场内短周期最优参数
# best_param_dic={'adjust_day_limit': 33, 'back_day_limit': 17, 'max_index_loss_limit': 1.0087987474146602, 'poc_value_limit': 0.402127727489241}#场外最优参数
fundPortfolioDemo = fundPortfolio(startDate='2015-09-01',
file_path=param_str)
fundPortfolioDemo.setMain(method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
product_name_dic=product_name_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc, param_str=param_str)
def fix_portfolio_best_param(self):
# param_str = "组合31号" # 大类资产轮动
# param_str='组合32号' #风格轮动
# param_str = '行业'
# param_str='主题'
param_str = '行业主题'
fund_type = 'ETF'
# fund_type = 'OTC'
file_str = param_str + fund_type
total_df = pd.read_excel("组合明细.xlsx", index_col=0)
if fund_type == 'ETF':
if param_str == "组合32号":
best_param_dic = {
'adjust_day_limit': 9,
'back_day_limit': 7,
'max_index_loss_limit': 1.0336336758278335,
'poc_value_limit': 0.4002284797771605
} # 组合32号短周期场内
elif param_str == "组合31号":
best_param_dic = {
'adjust_day_limit': 6,
'max_index_loss_limit': 1.0427257786765352,
'poc_value_limit': 0.5181759212161646
}
elif param_str in ['行业', '主题', '行业主题']:
if param_str == '行业':
best_param_dic = {
'adjust_day_limit': 9,
'back_day_limit': 6,
'max_index_loss_limit': 1.003732683071061,
'poc_value_limit': 0.8918295289003106
} # 场内短周期最优参数
# best_param_dic = {'adjust_day_limit': 5, 'back_day_limit': 7, 'max_index_loss_limit': 1.0438246646746496,
# 'poc_value_limit': 0.8998182356292519}
elif param_str == '主题':
best_param_dic = {
'adjust_day_limit': 11,
'back_day_limit': 10,
'max_index_loss_limit': 1.0981107733412536,
'poc_value_limit': 0.8809468667158603
}
else:
best_param_dic = {
'adjust_day_limit': 11,
'adjust_maxdown': 0.06745476221138974,
'back_day_limit': 7,
'poc_value_limit': 0.7115231344778375,
} # 投顾产品
best_param_dic = {
'back_day_limit': 6,
'corr_limit': 0.9871519191133329,
'max_loss_limit': 0.07901894294893107
} # 新止损优化
# best_param_dic = {'back_day_limit': 9, 'corr_limit': 0.9860977873659047, 'max_loss_limit': 0.06353494612453964}
# best_param_dic={'adjust_day_limit': 6, 'back_day_limit': 7, 'poc_num': 3}
best_param_dic = {
'back_day_limit': 14,
'corr_limit': 0.8327902772212527,
'down_max_num': 0.447583290105109,
'judge_market': 52,
'max_loss_limit': 0.057219432873010984,
'up_day_num': 0.8399154687488591,
'up_max': 0.2705637796307785,
'vol_rate': 0.7675222487190907
}
best_param_dic = {
'back_day_limit': 14,
'conti_up_day': 0.4490201635500951,
'corr_limit': 0.9177608537272707,
'down_max_num': 0.7910721185996274,
'judge_market': 42,
'max_loss_limit': 0.1305479472011245,
'up_day_num': 0.568715917676664,
'up_max': 0.4146799716429238,
'vol_rate': 0.45970281879809183
}
method = 'industry_recyle'
# method='industry_recyle_equ'
IndustryRecyleDemo = IndustryRecyle()
# industry_index_name_dic, product_name_dic = IndustryRecyleDemo.get_ZZmain(fund_type=fund_type)
industry_index_name_dic, product_name_dic = IndustryRecyleDemo.get_fund_index(
fund_type=fund_type, style_flag=param_str)
asset_index = {
'stock': industry_index_name_dic,
'bond': {
'H00140.SH': u'上证五年期国债指数'
}
}
if 'H00140.SH' not in product_name_dic:
product_name_dic['H00140.SH'] = {'511880.SH': "银华日利ETF "}
fundPortfolioDemo = fundPortfolio(startDate='2015-09-01',
file_path=param_str)
# fundPortfolioDemo = fundPortfolio(startDate='2019-01-01', file_path=param_str)
fundPortfolioDemo.setMain(method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
product_name_dic=product_name_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc,
param_str=file_str)
return
else:
if param_str == '组合31号':
best_param_dic = {
'adjust_day_limit': 54,
'back_day_limit': 29,
'max_index_loss_limit': 1.1330075022050305,
'poc_value_limit': 0.8914724483780754
}
elif param_str == '组合32号':
best_param_dic = {
'adjust_day_limit': 9,
'back_day_limit': 7,
'max_index_loss_limit': 1.0336336758278335,
'poc_value_limit': 0.4002284797771605
} # 组合32号短周期场内
elif param_str in ['行业', '主题', '行业主题']:
# method = 'industry_recyle'
# method = 'industry_recyle_stock'
method = 'industry_recyle_mean_var_stock'
if method == 'industry_recyle_stock':
best_param_dic = {
'adjust_day_limit': 42,
'back_day_limit': 29
}
elif method == 'industry_recyle':
best_param_dic = {
'adjust_day_limit': 33,
'back_day_limit': 17,
'max_index_loss_limit': 1.0087987474146602,
'poc_value_limit': 0.402127727489241
} # 场外最优参数
elif method == 'industry_recyle_mean_var_stock':
# best_param_dic = {'adjust_day_limit': 49, 'back_day_limit': 114}
# best_param_dic = {'adjust_day_limit': 18, 'back_day_limit': 40}
# best_param_dic = {'adjust_day_limit': 39, 'back_day_limit': 34} # 行业
best_param_dic = {
'adjust_day_limit': 24,
'back_day_limit': 30
} # 主题
IndustryRecyleDemo = IndustryRecyle()
industry_index_name_dic, product_name_dic = IndustryRecyleDemo.get_fund_index(
fund_type=fund_type, style_flag=param_str)
if method not in [
'industry_recyle_stock',
'industry_recyle_mean_var_stock'
]:
asset_index = {
'stock': industry_index_name_dic,
'bond': {
'H00140.SH': u'上证五年期国债指数'
}
}
if 'H00140.SH' not in product_name_dic:
product_name_dic['H00140.SH'] = {
'000088.OF': "嘉实中期国债ETF联接C "
}
else:
asset_index = {
'stock': industry_index_name_dic,
}
fundPortfolioDemo = fundPortfolio(startDate='2013-09-01',
file_path=param_str)
fundPortfolioDemo.setMain(method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
product_name_dic=product_name_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc,
param_str=file_str)
return
asset_index = eval(total_df.loc[param_str]['模型参数'])
method = total_df.loc[param_str]['配置模型']
self.logger.info("----------------------best_param----------------->")
fundPortfolioDemo = fundPortfolio(startDate='2015-09-01',
file_path=param_str)
fundPortfolioDemo.setMain(method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc, param_str=file_str)
return
def fix_portfolio_best_param(self):
# param_str = "组合31号" # 大类资产轮动
# param_str='组合32号' #风格轮动
# param_str = '行业'
# param_str='主题'
param_str = '行业主题'
fund_type = 'ETF'
# fund_type = 'OTC'
file_str = param_str + fund_type
total_df = pd.read_excel("组合明细.xlsx", index_col=0)
if fund_type == 'ETF':
if param_str == "组合32号":
best_param_dic = {
'adjust_day_limit': 9,
'back_day_limit': 7,
'max_index_loss_limit': 1.0336336758278335,
'poc_value_limit': 0.4002284797771605
} # 组合32号短周期场内
elif param_str == "组合31号":
best_param_dic = {
'adjust_day_limit': 6,
'max_index_loss_limit': 1.0427257786765352,
'poc_value_limit': 0.5181759212161646
}
elif param_str in ['行业', '主题', '行业主题']:
if param_str == '行业':
best_param_dic = {
'adjust_day_limit': 9,
'back_day_limit': 6,
'max_index_loss_limit': 1.003732683071061,
'poc_value_limit': 0.8918295289003106
} # 场内短周期最优参数
elif param_str == '主题':
best_param_dic = {
'adjust_day_limit': 11,
'back_day_limit': 10,
'max_index_loss_limit': 1.0981107733412536,
'poc_value_limit': 0.8809468667158603
}
else:
# best_param_dic = {'adjust_day_limit': 11, 'adjust_maxdown': 0.06745476221138974,
# 'back_day_limit': 7, 'poc_value_limit': 0.7115231344778375,
# } # 投顾产品
# best_param_dic = {'back_day_limit': 6, 'corr_limit': 0.9871519191133329,
# 'max_loss_limit': 0.07901894294893107} # 新止损优化
# best_param_dic = {'back_day_limit': 9, 'corr_limit': 0.9860977873659047, 'max_loss_limit': 0.06353494612453964}
# best_param_dic={'adjust_day_limit': 6, 'back_day_limit': 7, 'poc_num': 3}
best_param_dic = {
'back_day_limit': 15,
'conti_up_day': 0.226022464737267,
'corr_limit': 0.845795176222653,
'down_max_num': 0.241858070432695,
'judge_market': 43,
'max_loss_limit': 0.062941738243683,
'up_day_num': 0.138838063975115,
'up_max': 0.268757678425416,
'vol_rate': 0.121065600027675
}
# best_param_dic = {'back_day_limit': 12, 'conti_up_day': 0.8034284902193588,
# 'corr_limit': 0.9334124090808452, 'down_max_num': 0.5627057548392841,
# 'judge_market': 43, 'max_loss_limit': 0.0963097290973298,
# 'up_day_num': 0.4768294352965751, 'up_max': 0.5870445113408896,
# 'vol_rate': 0.8126182559511609} # 最优
method = 'industry_recyle'
# method='industry_recyle_equ'
IndustryRecyleDemo = IndustryRecyle()
# industry_index_name_dic, product_name_dic = IndustryRecyleDemo.get_ZZmain(fund_type=fund_type)
industry_index_name_dic, product_name_dic = IndustryRecyleDemo.get_fund_index(
fund_type=fund_type, style_flag=param_str)
asset_index = {
'stock': industry_index_name_dic,
'bond': {
'H00140.SH': u'上证五年期国债指数'
}
}
if 'H00140.SH' not in product_name_dic:
product_name_dic['H00140.SH'] = {
'511880.SH': "银华日利ETF "
}
# fundPortfolioDemo = fundPortfolio(startDate='2015-09-01', file_path=param_str)
fundPortfolioDemo = fundPortfolio(startDate='2018-01-01',
file_path=param_str)
fundPortfolioDemo.setMain(
method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
product_name_dic=product_name_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc,
param_str=file_str)
return
else:
if param_str == '组合31号':
best_param_dic = {
'adjust_day_limit': 54,
'back_day_limit': 29,
'max_index_loss_limit': 1.1330075022050305,
'poc_value_limit': 0.8914724483780754
}
elif param_str == '组合32号':
best_param_dic = {
'adjust_day_limit': 9,
'back_day_limit': 7,
'max_index_loss_limit': 1.0336336758278335,
'poc_value_limit': 0.4002284797771605
} # 组合32号短周期场内
elif param_str in ['行业', '主题', '行业主题']:
# method = 'industry_recyle'
# method = 'industry_recyle_stock'
method = 'industry_recyle_mean_var_stock'
if method == 'industry_recyle_stock':
best_param_dic = {
'adjust_day_limit': 42,
'back_day_limit': 29
}
elif method == 'industry_recyle':
best_param_dic = {
'adjust_day_limit': 33,
'back_day_limit': 17,
'max_index_loss_limit': 1.0087987474146602,
'poc_value_limit': 0.402127727489241
} # 场外最优参数
elif method == 'industry_recyle_mean_var_stock':
# best_param_dic = {'adjust_day_limit': 49, 'back_day_limit': 114}
# best_param_dic = {'adjust_day_limit': 18, 'back_day_limit': 40}
# best_param_dic = {'adjust_day_limit': 39, 'back_day_limit': 34} # 行业
best_param_dic = {
'adjust_day_limit': 24,
'back_day_limit': 30
} # 主题
IndustryRecyleDemo = IndustryRecyle()
industry_index_name_dic, product_name_dic = IndustryRecyleDemo.get_fund_index(
fund_type=fund_type, style_flag=param_str)
if method not in [
'industry_recyle_stock',
'industry_recyle_mean_var_stock'
]:
asset_index = {
'stock': industry_index_name_dic,
'bond': {
'H00140.SH': u'上证五年期国债指数'
}
}
if 'H00140.SH' not in product_name_dic:
product_name_dic['H00140.SH'] = {
'000088.OF': "嘉实中期国债ETF联接C "
}
else:
asset_index = {
'stock': industry_index_name_dic,
}
fundPortfolioDemo = fundPortfolio(startDate='2015-09-01',
file_path=param_str)
fundPortfolioDemo.setMain(method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
product_name_dic=product_name_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc,
param_str=file_str)
return
asset_index = eval(total_df.loc[param_str]['模型参数'])
method = total_df.loc[param_str]['配置模型']
self.logger.info("----------------------best_param----------------->")
fundPortfolioDemo = fundPortfolio(startDate='2015-09-01',
file_path=param_str)
fundPortfolioDemo.setMain(method=method,
productFlag=True,
asset_index=asset_index,
best_param_dic=best_param_dic,
fund_type=fund_type)
reslut_file_loc = fundPortfolioDemo.PathFolder + method + '\\'
self.get_PMS_format(file_path=reslut_file_loc, param_str=file_str)
return