def _prepare_config(self, **kwargs):
config_dict = parse_config('config.yml')
for k, v in kwargs:
if k in config_dict:
config_dict[k] = v
if isinstance(config_dict['factors'][0], str):
factors = []
for f in config_dict['factors']:
factors.append(globals()[f])
config_dict['factors'] = factors
self.config = AttrDict(config_dict)
def create_from_directory(self, src, if_exists='error'):
cwd = os.getcwd()
os.chdir(src)
strategy_config = AttrDict(
parse_config(os.path.join(src, 'config.yml')))
if self.if_exists(strategy_config.name):
if if_exists == 'error':
raise KeyError("strategy %s already exists" %
strategy_config.name)
elif if_exists == 'replace':
self.delete(name=strategy_config.name)
strategy_path = os.path.join(self._strategy_path, strategy_config.name)
# 创建策略文件夹
os.mkdir(strategy_path)
# 复制初始股票列表
stocklist_filename = strategy_config.stocklist.output
stocklist_name = stocklist_filename.replace('.csv', '')
# 策略的调仓日期
if os.path.isfile(stocklist_filename):
shutil.copy(stocklist_filename, strategy_path)
self._stocklist_manager.add_new_one(
os.path.abspath(stocklist_filename))
first_rebalance_date = self._stocklist_manager.min_rebalance_date(
stocklist_name)
latest_rebalance_date = self._stocklist_manager.max_rebalance_date(
stocklist_name)
else:
first_rebalance_date = np.nan
latest_rebalance_date = np.nan
# 复制中间数据
if os.path.isdir('temp'):
shutil.copytree('temp', os.path.join(strategy_path, 'temp'))
# 复制股票列表更新程序
if os.path.isdir('update'):
shutil.copytree('update', os.path.join(strategy_path, 'update'))
# 复制设置文件
shutil.copy("config.yml", strategy_path)
# 行业中性
industry_neutral = '是' if strategy_config.stocklist.industry_neutral else '否'
industry_class = strategy_config.stocklist.industry
# 添加新的记录
self._add_record(stocklist_name=stocklist_name,
first_rebalance_date=first_rebalance_date,
latest_rebalance_date=latest_rebalance_date,
benchmark=strategy_config.stocklist.benchmark,
industry_neutral=industry_neutral,
industry_class=industry_class,
**strategy_config.__dict__)
os.chdir(cwd)
def run(config_path):
config = parse_config(config_path)
config = AttrDict(config)
# 加载因子
print("加载因子...")
factors = load_factors(config)
factor_list = []
for factor in factors:
factor_list.append(panelFactor(*factor))
load_factor_data(factor_list, config)
print("计算...")
corr, corr_mean = cal_corr(factor_list)
auto_corr, auto_corr_mean = cal_auto_corr(factor_list)
print("存储...")
write_to_excel(corr, corr_mean, auto_corr, auto_corr_mean, config)
def run(config_path, user_config=None):
# 加载设置文件
config = parse_config(config_path)
if user_config is None:
user_config = {}
deep_update_dict(user_config, config)
config = AttrDict(config)
# 初始化运行环境
print("初始化运行环境...")
_env = Environment(config)
_env._initialize()
# 加载因子
print("加载因子...")
factors = load_factors(config)
factor_list = []
for factor in factors:
factor_list.append(panelFactor(*factor))
_env.set_factors(factor_list)
# 数据提取加工
print("正在计算...")
data_handler = FactorDataProcessModHandler()
data_handler.set_env(_env)
data_handler.mod_start()
# 计算因子收益
print("计算收益...")
performance_handler = FactorPerformanceModHandler()
performance_handler.set_env(_env)
performance_handler.mod_start()
# 因子存储
print("存储因子...")
store_handler = FactorStoreModHandler()
store_handler.set_env(_env)
store_handler.mod_start()