def tagstockfund(start_date, end_date, codes):
funddf = data.fund_value(start_date, end_date)
funddf = funddf[codes]
capindexdf = data.index_value(start_date, end_date, ['399314.SZ', '399316.SZ'])
largecapindexdf = data.index_value(start_date, end_date, ['399314.SZ'])
smallcapindexdf = data.index_value(start_date, end_date, ['399316.SZ'])
hs300indexdf = data.index_value(start_date, end_date, ['000300.SH'])
growthvalueindexdf = data.index_value(start_date, end_date, ['399372.SZ', '399373.SZ', '399376.SZ', '399377.SZ'])
positiondf = data.fund_position(start_date, end_date)
columns = set(positiondf.columns)
tmp_codes = []
for code in codes:
if code in columns:
tmp_codes.append(code)
codes = tmp_codes
positiondf = positiondf[codes]
largecapfitness_result = largecapfitness(funddf, capindexdf, 0.5)
smallcapfitness_result = smallcapfitness(funddf, capindexdf, 0.5)
risefitness_result = risefitness(funddf, hs300indexdf, 0.5)
declinefitness_result = declinefitness(funddf, hs300indexdf, 0.5)
oscillationfitness_result = oscillationfitness(funddf, hs300indexdf, 0.5)
growthfitness_result = growthfitness(funddf, growthvalueindexdf, 0.5)
valuefitness_result = valuefitness(funddf, growthvalueindexdf, 0.5)
positionprefer_result = positionprefer(positiondf, 0.5)
largecapprefer_result = largecapprefer(funddf, largecapindexdf, 0.5)
smallcapprefer_result = smallcapprefer(funddf, smallcapindexdf, 0.5)
growthcapprefer_result = growthcapprefer(funddf, growthvalueindexdf, 0.5)
valuecapprefer_result = valuecapprefer(funddf, growthvalueindexdf, 0.5)
#print 'largecap'
largecapfitness_set = set()
for k,v in largecapfitness_result:
largecapfitness_set.add(k)
#print k, v
#print
#print 'smallcap'
smallcapfitness_set = set()
for k,v in smallcapfitness_result:
smallcapfitness_set.add(k)
#print k, v
#print
#print 'rise'
risefitness_set = set()
for k,v in risefitness_result:
risefitness_set.add(k)
#print k, v
#print
declinefitness_set = set()
#print 'decline'
for k,v in declinefitness_result:
declinefitness_set.add(k)
#print k, v
#print 'oscillation'
oscillation_set = set()
for k,v in oscillationfitness_result:
oscillation_set.add(k)
#print k, v
#print
#print 'growth'
growthfitness_set = set()
for k,v in growthfitness_result:
growthfitness_set.add(k)
#print k, v
#print
#print 'value'
valuefitness_set = set()
for k,v in valuefitness_result:
valuefitness_set.add(k)
#print k, v
#print
#print 'positionprefer'
positionprefer_set = set()
for k,v in positionprefer_result:
positionprefer_set.add(k)
#print k, v
#print
#print 'largecapprefer'
largecapprefer_set = set()
for k, v in largecapprefer_result:
largecapprefer_set.add(k)
#print k, v
#print
#print 'smallcapprefer'
smallcapprefer_set = set()
for k, v in smallcapprefer_result:
smallcapprefer_set.add(k)
#print k, v
#print largecapfitness
#print
#print 'grwothcapprefer'
growthcapprefer_set = set()
for k, v in growthcapprefer_result:
growthcapprefer_set.add(k)
#print k, v
#print
#print 'valuecapprefer'
valuecapprefer_set = set()
for k, v in valuecapprefer_result:
valuecapprefer_set.add(k)
#print k, v
final_codes = set()
#print
#print 'rise'
for code in positionprefer_set:
if code in risefitness_set:
#print code
final_codes.add(code)
#print
#print 'largecap'
for code in largecapprefer_set:
if code in largecapfitness_set:
#print code
final_codes.add(code)
#print
#print 'smallcap'
for code in smallcapprefer_set:
if code in smallcapfitness_set:
#print code
final_codes.add(code)
#print
#print 'growth'
for code in growthcapprefer_set:
if code in growthfitness_set:
#print code
final_codes.add(code)
#print
#print 'value'
for code in valuecapprefer_set:
if code in valuefitness_set:
#print code
final_codes.add(code)
#print
#print len(final_codes)
#print final_codes
funddf = funddf[list(final_codes)]
#print
#print 'tm'
#print tmmeasure(funddf, hs300indexdf)
#print
#print 'hm'
#print hmmeasure(funddf, hs300indexdf)
codes = list(final_codes)
funddf = funddf[codes]
#funddf = data.fund_value(start_date, end_date)
#funddf = funddf[codes]
#funds = set()
fund_tags = {}
#print 'large'
codes = []
for code in largecapfitness_set:
if code in final_codes:
codes.append(code)
fund_tags['largecap'] = codes
codes = []
for code in smallcapfitness_set:
if code in final_codes:
codes.append(code)
fund_tags['smallcap'] = codes
codes = []
for code in risefitness_set:
if code in final_codes:
codes.append(code)
fund_tags['risefitness'] = codes
codes = []
for code in declinefitness_set:
if code in final_codes:
codes.append(code)
fund_tags['declinefitness'] = codes
codes = []
for code in oscillation_set:
if code in final_codes:
codes.append(code)
fund_tags['oscillationfitness'] = codes
codes = []
for code in growthfitness_set:
if code in final_codes:
codes.append(code)
fund_tags['growthfitness'] = codes
codes = []
for code in valuefitness_set:
if code in final_codes:
codes.append(code)
fund_tags['valuefitness'] = codes
return list(final_codes) , fund_tags
def fundfilter(start_date, end_date):
funddf = data.fund_value(start_date, end_date)
indexdf = data.index_value(start_date, end_date, '000300.SH')
#按照规模过滤
scale_data = sf.scalefilter(2.0 / 3)
#按照基金创立时间过滤
setuptime_data = sf.fundsetuptimefilter(funddf.columns, start_date, data.establish_data())
#按照jensen测度过滤
jensen_data = sf.jensenfilter(funddf, indexdf, rf, 0.5)
#按照索提诺比率过滤
sortino_data = sf.sortinofilter(funddf, rf, 0.5)
#按照ppw测度过滤
ppw_data = sf.ppwfilter(funddf, indexdf, rf, 0.5)
#print ppw_data
stability_data = sf.stabilityfilter(funddf, 2.0 / 3)
#print stability_data
#print 'jensen'
jensen_dict = {}
for k,v in jensen_data:
jensen_dict[k] = v
#print k, v
#print
#print 'sortino'
sortino_dict = {}
for k,v in sortino_data:
sortino_dict[k] = v
#print k,v
#print
#print 'ppw'
ppw_dict = {}
for k,v in ppw_data:
ppw_dict[k] = v
#print k,v
#print
#print 'statbility'
stability_dict = {}
for k,v in stability_data:
stability_dict[k] = v
#print k,v
'''
codes = list(jensen_dict.keys())
codes.sort()
jensen_array = []
sortino_array = []
ppw_array = []
stability_array = []
for code in codes:
jensen_array.append(jensen_dict[code] if jensen_dict.has_key(code) else 0)
sortino_array.append(sortino_dict[code] if sortino_dict.has_key(code) else 0)
ppw_array.append(ppw_dict[code] if ppw_dict.has_key(code) else 0)
stability_array.append(stability_dict[code] if stability_dict.has_key(code) else 0)
indicators = {'code':codes, 'jensen':jensen_array, 'sortino':sortino_array, 'ppw':ppw_array,'stability':stability_array}
frame = pd.DataFrame(indicators)
frame.to_csv('./wind/fund_indicator.csv')
'''
scale_set = set()
for k, v in scale_data:
scale_set.add(k)
setuptime_set = set(setuptime_data)
jensen_set = set()
for k, v in jensen_data:
jensen_set.add(k)
sortino_set = set()
for k, v in sortino_data:
sortino_set.add(k)
ppw_set = set()
for k, v in ppw_data:
ppw_set.add(k)
stability_set = set()
for k, v in stability_data:
stability_set.add(k)
codes = []
for code in scale_set:
if (code in setuptime_set) and (code in jensen_set) and (code in sortino_set) and (code in ppw_set) and (code in stability_set):
codes.append(code)
#按照业绩持续性过滤
#stability_data = sf.stabilityfilter(funddf[codes], 2.0 / 3)
#print stability_data
#codes = []
#for k, v in stability_data:
# codes.append(k)
return codes
def stockfundfilter(start_date, end_date):
indicator = {}
funddf = data.fund_value(start_date, end_date)
#print 'hehe'
#print funddf['000457.OF']
#print funddf['163001.OF'].to_csv('./tmp/163001.csv')
indexdf = data.index_value(start_date, end_date, '000300.SH')
#按照规模过滤
scale_data = scalefilter(2.0 / 3)
#scale_data = sf.scalefilter(1.0)
#print scale_data
#按照基金创立时间过滤
setuptime_data = fundsetuptimefilter(funddf.columns, start_date, data.establish_data())
#print setuptime_data
#按照jensen测度过滤
jensen_data = jensenfilter(funddf, indexdf, rf, 0.5)
#jensen_data = sf.jensenfilter(funddf, indexdf, rf, 1.0)
#按照索提诺比率过滤
sortino_data = sortinofilter(funddf, rf, 0.5)
#sortino_data = sf.sortinofilter(funddf, rf, 1.0)
#按照ppw测度过滤
ppw_data = ppwfilter(funddf, indexdf, rf, 0.5)
#ppw_data = sf.ppwfilter(funddf, indexdf, rf, 1.0)
#print ppw_data
stability_data = stabilityfilter(funddf, 2.0 / 3)
#stability_data = sf.stabilityfilter(funddf, 1.0)
sharpe_data = fi.fund_sharp_annual(funddf)
#print stability_data
#print 'jensen'
jensen_dict = {}
for k,v in jensen_data:
jensen_dict[k] = v
#print k, v
#print
#print 'sortino'
sortino_dict = {}
for k,v in sortino_data:
sortino_dict[k] = v
#print k,v
#print
#print 'ppw'
ppw_dict = {}
for k,v in ppw_data:
ppw_dict[k] = v
#print k,v
#print
#print 'statbility'
stability_dict = {}
for k,v in stability_data:
stability_dict[k] = v
#print k,v
sharpe_dict = {}
for k,v in sharpe_data:
sharpe_dict[k] = v
scale_set = set()
for k, v in scale_data:
scale_set.add(k)
setuptime_set = set(setuptime_data)
jensen_set = set()
for k, v in jensen_data:
jensen_set.add(k)
sortino_set = set()
for k, v in sortino_data:
sortino_set.add(k)
ppw_set = set()
for k, v in ppw_data:
ppw_set.add(k)
stability_set = set()
for k, v in stability_data:
stability_set.add(k)
codes = []
for code in scale_set:
if (code in setuptime_set) and (code in jensen_set) and (code in sortino_set) and (code in ppw_set) and (code in stability_set):
codes.append(code)
for code in codes:
ind = indicator.setdefault(code, {})
ind['sharpe'] = sharpe_dict[code]
ind['jensen'] = jensen_dict[code]
ind['sortino'] = sortino_dict[code]
ind['ppw'] = ppw_dict[code]
ind['stability'] = stability_dict[code]
indicator_codes = []
indicator_datas = []
indicator_set = set()
for code in scale_set:
if code in setuptime_set:
indicator_set.add(code)
for code in indicator_set:
indicator_codes.append(code)
indicator_datas.append([sharpe_dict.setdefault(code, None), jensen_dict.setdefault(code, None), sortino_dict.setdefault(code, None), ppw_dict.setdefault(code, None), stability_dict.setdefault(code, None)])
indicator_df = pd.DataFrame(indicator_datas, index = indicator_codes, columns=['sharpe', 'jensen', 'sortino', 'ppw', 'stability'])
indicator_df.to_csv('./tmp/stock_indicator_' + end_date + '.csv')
f = open('./tmp/stockfilter_codes_' + end_date + '.csv','w')
for code in codes:
f.write(str(code) + '\n')
f.flush()
f.close()
return codes, indicator
def asset_allocation(start_date, end_date, largecap_fund, smallcap_fund, P, Q):
#########################################################################
delta = 2.5
tau = 0.05
ps = []
for p in P:
ps.append(np.array(p))
P = np.array(ps)
qs = []
for q in Q:
qs.append(np.array(q))
Q = np.array(qs)
indexdf = data.index_value(start_date, end_date,
[const.largecap_code, const.smallcap_code])
indexdfr = indexdf.pct_change().fillna(0.0)
indexrs = []
for code in indexdfr.columns:
indexrs.append(indexdfr[code].values)
#print indexdfr
sigma = np.cov(indexrs)
#print type(sigma)
#print sigma
#print np.cov(indexrs)
#print indexdfr
weq = np.array([0.5, 0.5])
tauV = tau * sigma
Omega = np.dot(np.dot(P, tauV), P.T) * np.eye(Q.shape[0])
er, ws, lmbda = fin.black_litterman(delta, weq, sigma, tau, P, Q, Omega)
sum = 0
for w in ws:
sum = sum + w
for i in range(0, len(ws)):
ws[i] = 1.0 * ws[i] / sum
#print er
indexws = ws
#print indexws
#largecap_fund, smallcap_fund = largesmallcapfunds(fund_tags)
#print largecap_fund
#risk, returns, ws, sharp = markowitz(
#print smallcap_fund
funddf = data.fund_value(start_date, end_date)
bounds = boundlimit(len(largecap_fund))
risk, returns, ws, sharp = markowitz(funddf[largecap_fund], bounds)
largecap_fund_w = {}
for i in range(0, len(largecap_fund)):
code = largecap_fund[i]
largecap_fund_w[code] = ws[i] * indexws[0]
bounds = boundlimit(len(smallcap_fund))
risk, returns, ws, sharp = markowitz(funddf[smallcap_fund], bounds)
smallcap_fund_w = {}
for i in range(0, len(smallcap_fund)):
code = smallcap_fund[i]
smallcap_fund_w[code] = ws[i] * indexws[1]
'''
#平均分配
largecap_fund_w = {}
for code in largecap_fund:
largecap_fund_w[code] = 1.0 / len(largecap_fund) * indexws[0]
smallcap_fund_w = {}
for code in smallcap_fund:
smallcap_fund_w[code] = 1.0 / len(smallcap_fund) * indexws[1]
'''
fundws = {}
for code in largecap_fund:
w = fundws.setdefault(code, 0)
fundws[code] = w + largecap_fund_w[code]
for code in smallcap_fund:
w = fundws.setdefault(code, 0)
fundws[code] = w + smallcap_fund_w[code]
#######################################################################
#print largecap
#print smallcap
#print risefitness
#print declinefitness
#print oscillafitness
#print growthfitness
#print valuefitness
#print
fund_codes = []
ws = []
for k, v in fundws.items():
fund_codes.append(k)
ws.append(v)
#for code in largecap:
return fund_codes, ws
result_df = pd.DataFrame(result_datas,
index=result_dates,
columns=['SP500.SPI', 'SPGSGCTR.SPI', 'HSCI.HI'])
result_df.to_csv('./tmp/otherlabelasset.csv')
return result_df
if __name__ == '__main__':
start_date = '2007-01-05'
end_date = '2016-04-22'
indexdf = data.index_value(start_date, end_date, '000300.SH')
dates = indexdf.pct_change().index
allfunddf = data.funds()
his_week = 156
interval = 13
stock_df = stockLabelAsset(dates, interval, allfunddf, indexdf)
bondindexdf = data.bond_index_value(start_date, end_date,
const.csibondindex_code)
allbonddf = data.bonds()
bond_df = bondLabelAsset(dates, interval, allbonddf, bondindexdf)
allmoneydf = data.moneys()
def fundfilter(start_date, end_date):
indicator = {}
funddf = data.fund_value(start_date, end_date)
#print 'hehe'
#print funddf['000457.OF']
#print funddf['163001.OF'].to_csv('./tmp/163001.csv')
indexdf = data.index_value(start_date, end_date, '000300.SH')
#按照规模过滤
scale_data = sf.scalefilter(2.0 / 3)
#scale_data = sf.scalefilter(1.0)
#print scale_data
#按照基金创立时间过滤
setuptime_data = sf.fundsetuptimefilter(funddf.columns, start_date, data.establish_data())
#print setuptime_data
#按照jensen测度过滤
jensen_data = sf.jensenfilter(funddf, indexdf, rf, 0.5)
#jensen_data = sf.jensenfilter(funddf, indexdf, rf, 1.0)
#按照索提诺比率过滤
sortino_data = sf.sortinofilter(funddf, rf, 0.5)
#sortino_data = sf.sortinofilter(funddf, rf, 1.0)
#按照ppw测度过滤
ppw_data = sf.ppwfilter(funddf, indexdf, rf, 0.5)
#ppw_data = sf.ppwfilter(funddf, indexdf, rf, 1.0)
#print ppw_data
stability_data = sf.stabilityfilter(funddf, 2.0 / 3)
#stability_data = sf.stabilityfilter(funddf, 1.0)
sharpe_data = fi.fund_sharp_annual(funddf)
#print stability_data
#print 'jensen'
jensen_dict = {}
for k,v in jensen_data:
jensen_dict[k] = v
#print k, v
#print
#print 'sortino'
sortino_dict = {}
for k,v in sortino_data:
sortino_dict[k] = v
#print k,v
#print
#print 'ppw'
ppw_dict = {}
for k,v in ppw_data:
ppw_dict[k] = v
#print k,v
#print
#print 'statbility'
stability_dict = {}
for k,v in stability_data:
stability_dict[k] = v
#print k,v
sharpe_dict = {}
for k,v in sharpe_data:
sharpe_dict[k] = v
'''
codes = list(jensen_dict.keys())
codes.sort()
jensen_array = []
sortino_array = []
ppw_array = []
stability_array = []
for code in codes:
jensen_array.append(jensen_dict[code] if jensen_dict.has_key(code) else 0)
sortino_array.append(sortino_dict[code] if sortino_dict.has_key(code) else 0)
ppw_array.append(ppw_dict[code] if ppw_dict.has_key(code) else 0)
stability_array.append(stability_dict[code] if stability_dict.has_key(code) else 0)
indicators = {'code':codes, 'jensen':jensen_array, 'sortino':sortino_array, 'ppw':ppw_array,'stability':stability_array}
frame = pd.DataFrame(indicators)
frame.to_csv('./wind/fund_indicator.csv')
'''
scale_set = set()
for k, v in scale_data:
scale_set.add(k)
setuptime_set = set(setuptime_data)
jensen_set = set()
for k, v in jensen_data:
jensen_set.add(k)
sortino_set = set()
for k, v in sortino_data:
sortino_set.add(k)
ppw_set = set()
for k, v in ppw_data:
ppw_set.add(k)
stability_set = set()
for k, v in stability_data:
stability_set.add(k)
#print 'jensen', '000457.OF' in jensen_set
#print 'sortino', '000457.OF' in sortino_set
#print 'ppw', '000457.OF' in ppw_set
#print 'stability', '000457.OF' in stability_set
codes = []
for code in scale_set:
if (code in setuptime_set) and (code in jensen_set) and (code in sortino_set) and (code in ppw_set) and (code in stability_set):
codes.append(code)
for code in codes:
ind = indicator.setdefault(code, {})
ind['sharpe'] = sharpe_dict[code]
ind['jensen'] = jensen_dict[code]
ind['sortino'] = sortino_dict[code]
ind['ppw'] = ppw_dict[code]
ind['stability'] = stability_dict[code]
'''
indicator_str = "%s,%f,%f,%f,%f,%f\n"
f = open('./tmp/indicator.csv','w')
f.write("code,sharpe,jensen,sortino,ppw,stability\n")
for code in codes:
f.write(indicator_str % (code, sharpe_dict[code],jensen_dict[code], sortino_dict[code], ppw_dict[code], stability_dict[code]))
#print code,jensen_dict[code], sortino_dict[code], ppw_dict[code], stability_dict[code]
f.flush()
f.close()
'''
#按照业绩持续性过滤
#stability_data = sf.stabilityfilter(funddf[codes], 2.0 / 3)
#print stability_data
#codes = []
#for k, v in stability_data:
# codes.append(k)
return codes, indicator