def batch_processing(x_values, y_values, groups, group_label, batch, risk_exp,
pre_process, post_process):
train_x_buckets = {}
train_y_buckets = {}
predict_x_buckets = {}
predict_y_buckets = {}
for i, start in enumerate(groups[:-batch]):
end = groups[i + batch]
left_index = bisect.bisect_left(group_label, start)
right_index = bisect.bisect_left(group_label, end)
this_raw_x = x_values[left_index:right_index]
this_raw_y = y_values[left_index:right_index]
if risk_exp is not None:
this_risk_exp = risk_exp[left_index:right_index]
else:
this_risk_exp = None
train_x_buckets[end] = factor_processing(this_raw_x,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
train_y_buckets[end] = factor_processing(this_raw_y,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
left_index = bisect.bisect_right(group_label, start)
right_index = bisect.bisect_right(group_label, end)
sub_dates = group_label[left_index:right_index]
this_raw_x = x_values[left_index:right_index]
if risk_exp is not None:
this_risk_exp = risk_exp[left_index:right_index]
else:
this_risk_exp = None
ne_x = factor_processing(this_raw_x,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
inner_left_index = bisect.bisect_left(sub_dates, end)
inner_right_index = bisect.bisect_right(sub_dates, end)
predict_x_buckets[end] = ne_x[inner_left_index:inner_right_index]
this_raw_y = y_values[left_index:right_index]
if len(this_raw_y) > 0:
ne_y = factor_processing(this_raw_y,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
predict_y_buckets[end] = ne_y[inner_left_index:inner_right_index]
return train_x_buckets, train_y_buckets, predict_x_buckets, predict_y_buckets
def cs_impl(ref_date, factor_data, factor_name, risk_exposure, constraint_risk,
industry_matrix, dx_returns):
total_data = pd.merge(factor_data, risk_exposure, on='code')
total_data = pd.merge(total_data, industry_matrix, on='code')
total_data = total_data.replace([np.inf, -np.inf], np.nan).dropna()
if len(total_data) < 0.33 * len(factor_data):
alpha_logger.warning(
f"valid data point({len(total_data)}) "
f"is less than 33% of the total sample ({len(factor_data)}). Omit this run"
)
return np.nan, np.nan, np.nan
total_risk_exp = total_data[constraint_risk]
er = total_data[[factor_name]].values.astype(float)
er = factor_processing(er, [winsorize_normal, standardize],
total_risk_exp.values, [standardize]).flatten()
industry = total_data.industry_name.values
codes = total_data.code.tolist()
target_pos = pd.DataFrame({
'code': codes,
'weight': er,
'industry': industry
})
target_pos['weight'] = target_pos['weight'] / target_pos['weight'].abs(
).sum()
target_pos = pd.merge(target_pos, dx_returns, on=['code'])
target_pos = pd.merge(target_pos,
total_data[['code'] + constraint_risk],
on=['code'])
total_risk_exp = target_pos[constraint_risk]
activate_weight = target_pos['weight'].values
excess_return = np.exp(target_pos[['dx']].values) - 1.
excess_return = factor_processing(
excess_return, [winsorize_normal, standardize], total_risk_exp.values,
[winsorize_normal, standardize]).flatten()
port_ret = np.log(activate_weight @ excess_return + 1.)
ic = np.corrcoef(excess_return, activate_weight)[0, 1]
x = sm.add_constant(activate_weight)
results = sm.OLS(excess_return, x).fit()
t_stats = results.tvalues[1]
alpha_logger.info(
f"{ref_date} is finished with {len(target_pos)} stocks for {factor_name}"
)
alpha_logger.info(
f"{ref_date} risk_exposure: "
f"{np.sum(np.square(target_pos.weight.values @ target_pos[constraint_risk].values))}"
)
return port_ret, ic, t_stats
def test_factor_processing(self):
new_factor = factor_processing(self.raw_factor)
np.testing.assert_array_almost_equal(new_factor, self.raw_factor)
new_factor = factor_processing(self.raw_factor,
pre_process=[standardize, winsorize_normal])
np.testing.assert_array_almost_equal(new_factor, winsorize_normal(standardize(self.raw_factor)))
new_factor = factor_processing(self.raw_factor,
pre_process=[standardize, winsorize_normal],
risk_factors=self.risk_factor)
np.testing.assert_array_almost_equal(new_factor, neutralize(self.risk_factor,
winsorize_normal(standardize(self.raw_factor))))
def cs_impl(ref_date,
factor_data,
factor_name,
risk_exposure,
constraint_risk,
industry_matrix,
dx_returns):
total_data = pd.merge(factor_data, risk_exposure, on='code')
total_data = pd.merge(total_data, industry_matrix, on='code').dropna()
total_risk_exp = total_data[constraint_risk]
er = total_data[factor_name].values.astype(float)
er = factor_processing(er, [], total_risk_exp.values, []).flatten()
industry = total_data.industry_name.values
codes = total_data.code.tolist()
target_pos = pd.DataFrame({'code': codes,
'weight': er,
'industry': industry})
target_pos['weight'] = target_pos['weight'] / target_pos['weight'].abs().sum()
target_pos = pd.merge(target_pos, dx_returns, on=['code'])
target_pos = pd.merge(target_pos, total_data[['code'] + constraint_risk], on=['code'])
activate_weight = target_pos.weight.values
excess_return = np.exp(target_pos.dx.values) - 1.
port_ret = np.log(activate_weight @ excess_return + 1.)
ic = np.corrcoef(excess_return, activate_weight)[0, 1]
x = sm.add_constant(activate_weight)
results = sm.OLS(excess_return, x).fit()
t_stats = results.tvalues[1]
alpha_logger.info(f"{ref_date} is finished with {len(target_pos)} stocks for {factor_name}")
alpha_logger.info(f"{ref_date} risk_exposure: "
f"{np.sum(np.square(target_pos.weight.values @ target_pos[constraint_risk].values))}")
return port_ret, ic, t_stats
def factor_analysis(factors: pd.DataFrame,
factor_weights: np.ndarray,
industry: np.ndarray,
d1returns: np.ndarray = None,
detail_analysis=True,
benchmark: Optional[np.ndarray] = None,
risk_exp: Optional[np.ndarray] = None,
is_tradable: Optional[np.ndarray] = None,
constraints: Optional[Constraints] = None,
method='risk_neutral',
**kwargs) -> Tuple[pd.DataFrame, Optional[pd.DataFrame]]:
if 'pre_process' in kwargs:
pre_process = kwargs['pre_process']
del kwargs['pre_process']
else:
pre_process = [winsorize_normal, standardize]
if 'post_process' in kwargs:
post_process = kwargs['post_process']
del kwargs['post_process']
else:
post_process = [winsorize_normal, standardize]
er = factor_processing(factors.values, pre_process, risk_exp,
post_process) @ factor_weights
return er_portfolio_analysis(er, industry, d1returns, constraints,
detail_analysis, benchmark, is_tradable,
method, **kwargs)
def websim_weighted(factor_df, factor_list):
total_data = factor_df.copy()
risk_data = total_data[['code', 'trade_date'] + industry_styles + ['SIZE']]
forward_returns = total_data[['code', 'trade_date', 'ret']]
factor_data = total_data[factor_list]
#等权合成
ndiff_field = [
i for i in list(set(total_data.columns)) if i not in factor_list
]
#合成前数据预处理
alpha_res = []
grouped = total_data.groupby(['trade_date'])
for k, g in grouped:
ret_preprocess = factor_processing(
g[factor_list].fillna(0).values,
pre_process=[winsorize_normal, standardize])
f = pd.DataFrame(ret_preprocess, columns=factor_list)
for k in ndiff_field:
f[k] = g[k].values
alpha_res.append(f)
alpha_data = pd.concat(alpha_res)
alpha_data['conmbine'] = alpha_data[factor_list].mean(axis=1).values
weight = Weighted()
stats = weight.run(alpha_data, risk_data, forward_returns, 'conmbine')
if abs(stats['fitness']) > 0.554246 and stats['sharpe'] > 1.243449:
score = abs(stats['fitness'])
else:
score = abs(stats['fitness']) / 100
return abs(score)
def prc_win_std(params):
df = params[0]
factor_name = params[1]
ret_preprocess = factor_processing(
df[[factor_name]].values,
pre_process=[winsorize_normal, standardize],
)
df["prc_factor"] = ret_preprocess
return df
def fetch_dx_return(self,
ref_date: str,
codes: Iterable[int],
expiry_date: str = None,
horizon: int = 0,
offset: int = 0,
neutralized_risks: list = None,
pre_process=None,
post_process=None,
benchmark: int = None) -> pd.DataFrame:
start_date = ref_date
if not expiry_date:
end_date = advanceDateByCalendar(
'china.sse', ref_date,
str(1 + horizon + offset + DAILY_RETURN_OFFSET) +
'b').strftime('%Y-%m-%d')
else:
end_date = expiry_date
query = select([
Market.trade_date,
Market.code.label("code"),
Market.chgPct.label("chgPct")
]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(codes),
Market.flag == 1)).order_by(Market.trade_date, Market.code)
df = pd.read_sql(query, self.session.bind).dropna()
df = self._create_stats(df, horizon, offset)
df = df[df.trade_date == ref_date]
if benchmark:
benchmark = _map_index_codes[benchmark]
query = select(
[IndexMarket.trade_date,
IndexMarket.chgPct.label("chgPct")]).where(
and_(IndexMarket.trade_date.between(start_date, end_date),
IndexMarket.indexCode == benchmark,
IndexMarket.flag == 1))
df2 = pd.read_sql(query, self.session.bind).dropna()
df2 = self._create_stats(df2, horizon, offset, no_code=True)
ind_ret = df2[df2.trade_date == ref_date]['dx'].values[0]
df['dx'] = df['dx'] - ind_ret
if neutralized_risks:
_, risk_exp = self.fetch_risk_model(ref_date, codes)
df = pd.merge(df, risk_exp, on='code').dropna()
df[['dx']] = factor_processing(
df[['dx']].values,
pre_process=pre_process,
risk_factors=df[neutralized_risks].values,
post_process=post_process)
return df[['code', 'dx']]
def test_quantile_analysis_with_factor_processing(self):
f_df = pd.DataFrame(self.x)
calculated = quantile_analysis(f_df,
self.x_w,
self.r,
n_bins=self.n_bins,
risk_exp=self.risk_exp,
pre_process=[winsorize_normal, standardize],
post_process=[standardize])
er = self.x_w @ factor_processing(self.x,
[winsorize_normal, standardize],
self.risk_exp,
[standardize]).T
expected = er_quantile_analysis(er, self.n_bins, self.r)
np.testing.assert_array_almost_equal(calculated, expected)
def test_quantile_analysis_with_benchmark(self):
f_df = pd.DataFrame(self.x)
calculated = quantile_analysis(f_df,
self.x_w,
self.r,
n_bins=self.n_bins,
do_neutralize=True,
benchmark=self.b_w,
risk_exp=self.risk_exp,
pre_process=[winsorize_normal, standardize],
post_process=[standardize])
er = self.x_w @ factor_processing(self.x,
[winsorize_normal, standardize],
self.risk_exp,
[standardize]).T
raw_er = er_quantile_analysis(er, self.n_bins, self.r)
expected = raw_er * self.b_w.sum() - np.dot(self.b_w, self.r)
np.testing.assert_array_almost_equal(calculated, expected)
def quantile_analysis(factors: pd.DataFrame,
factor_weights: np.ndarray,
dx_return: np.ndarray,
n_bins: int = 5,
risk_exp: Optional[np.ndarray] = None,
**kwargs):
if 'pre_process' in kwargs:
pre_process = kwargs['pre_process']
del kwargs['pre_process']
else:
pre_process = [winsorize_normal, standardize]
if 'post_process' in kwargs:
post_process = kwargs['post_process']
del kwargs['post_process']
else:
post_process = [standardize]
er = factor_processing(factors.values, pre_process, risk_exp, post_process) @ factor_weights
return er_quantile_analysis(er, n_bins, dx_return, **kwargs)
def fetch_dx_return(self,
ref_date: str,
codes: Iterable[int],
expiry_date: str = None,
horizon: int = 0,
offset: int = 0,
neutralized_risks: list = None,
pre_process=None,
post_process=None) -> pd.DataFrame:
start_date = ref_date
if not expiry_date:
end_date = advanceDateByCalendar('china.sse', ref_date,
str(1 + horizon + offset + DAILY_RETURN_OFFSET) + 'b').strftime('%Y%m%d')
else:
end_date = expiry_date
stats = self._create_stats(Market, horizon, offset)
query = select([Market.trade_date, Market.code, stats]).where(
and_(
Market.trade_date.between(start_date, end_date),
Market.code.in_(codes)
)
)
df = pd.read_sql(query, self.session.bind).dropna()
df = df[df.trade_date == ref_date]
if neutralized_risks:
_, risk_exp = self.fetch_risk_model(ref_date, codes)
df = pd.merge(df, risk_exp, on='code').dropna()
df[['dx']] = factor_processing(df[['dx']].values,
pre_process=pre_process,
risk_factors=df[neutralized_risks].values,
post_process=post_process)
return df[['code', 'dx']].drop_duplicates(['code'])
def equal_combine(factor_df, factor_list):
factor_df = factor_df.copy()
ndiff_field = [
i for i in list(set(factor_df.columns)) if i not in factor_list
]
#合成前数据预处理
alpha_res = []
grouped = factor_df.groupby(['trade_date'])
for k, g in grouped:
ret_preprocess = factor_processing(
g[factor_list].fillna(0).values,
pre_process=[winsorize_normal, standardize])
f = pd.DataFrame(ret_preprocess, columns=factor_list)
for k in ndiff_field:
f[k] = g[k].values
alpha_res.append(f)
total_data = pd.concat(alpha_res)
total_data = factor_df
total_data['conmbine'] = total_data[factor_list].mean(axis=1).values
score = np.corrcoef(total_data['conmbine'].fillna(0).values,
total_data['ret'].fillna(0).values)[0, 1]
#score = abs(total_data['conmbine'].mean()) / 100
return abs(score)
def run(self, running_setting):
alpha_logger.info("starting backting ...")
total_data_groups = self.total_data.groupby('trade_date')
rets = []
turn_overs = []
leverags = []
previous_pos = pd.DataFrame()
executor = copy.deepcopy(running_setting.executor)
positions = pd.DataFrame()
if self.dask_client is None:
models = {}
for ref_date, _ in total_data_groups:
models[ref_date] = train_model(ref_date.strftime('%Y-%m-%d'),
self.alpha_model,
self.data_meta)
else:
def worker(parameters):
new_model = train_model(parameters[0].strftime('%Y-%m-%d'),
parameters[1], parameters[2])
return parameters[0], new_model
l = self.dask_client.map(worker,
[(d[0], self.alpha_model, self.data_meta)
for d in total_data_groups])
results = self.dask_client.gather(l)
models = dict(results)
for ref_date, this_data in total_data_groups:
new_model = models[ref_date]
codes = this_data.code.values.tolist()
if previous_pos.empty:
current_position = None
else:
previous_pos.set_index('code', inplace=True)
remained_pos = previous_pos.loc[codes]
remained_pos.fillna(0., inplace=True)
current_position = remained_pos.weight.values
if running_setting.rebalance_method == 'tv':
risk_cov = self.total_risk_cov[self.total_risk_cov.trade_date
== ref_date]
sec_cov = self._generate_sec_cov(this_data, risk_cov)
else:
sec_cov = None
benchmark_w = this_data.weight.values
constraints = LinearConstraints(running_setting.bounds, this_data,
benchmark_w)
lbound, ubound = self._create_lu_bounds(running_setting, codes,
benchmark_w)
features = new_model.features
dfs = []
for name in features:
data_cleaned = this_data.dropna(subset=[name])
raw_factors = data_cleaned[[name]].values
new_factors = factor_processing(
raw_factors,
pre_process=self.data_meta.pre_process,
risk_factors=data_cleaned[
self.data_meta.neutralized_risk].values.astype(float)
if self.data_meta.neutralized_risk else None,
post_process=self.data_meta.post_process)
df = pd.DataFrame(new_factors,
columns=[name],
index=data_cleaned.code)
dfs.append(df)
new_factors = pd.concat(dfs, axis=1)
new_factors = new_factors.loc[codes].fillna(new_factors.median())
er = new_model.predict(new_factors).astype(float)
alpha_logger.info('{0} re-balance: {1} codes'.format(
ref_date, len(er)))
target_pos = self._calculate_pos(running_setting,
er,
this_data,
constraints,
benchmark_w,
lbound,
ubound,
sec_cov=sec_cov,
current_position=current_position)
target_pos['code'] = codes
target_pos['trade_date'] = ref_date
turn_over, executed_pos = executor.execute(target_pos=target_pos)
leverage = executed_pos.weight.abs().sum()
ret = executed_pos.weight.values @ (np.exp(this_data.dx.values) -
1.)
rets.append(np.log(1. + ret))
executor.set_current(executed_pos)
turn_overs.append(turn_over)
leverags.append(leverage)
positions = positions.append(executed_pos)
previous_pos = executed_pos
positions['benchmark_weight'] = self.total_data['weight'].values
positions['dx'] = self.total_data.dx.values
trade_dates = positions.trade_date.unique()
ret_df = pd.DataFrame(
{
'returns': rets,
'turn_over': turn_overs,
'leverage': leverags
},
index=trade_dates)
ret_df['benchmark_returns'] = self.index_return['dx']
ret_df.loc[advanceDateByCalendar('china.sse', ret_df.index[-1],
self.freq)] = 0.
ret_df = ret_df.shift(1)
ret_df.iloc[0] = 0.
ret_df['excess_return'] = ret_df[
'returns'] - ret_df['benchmark_returns'] * ret_df['leverage']
return ret_df, positions
def fetch_train_phase(engine,
alpha_factors: Iterable[object],
ref_date,
frequency,
universe,
batch,
neutralized_risk: Iterable[str] = None,
risk_model: str = 'short',
pre_process: Iterable[object] = None,
post_process: Iterable[object] = None,
warm_start: int = 0) -> dict:
transformer = Transformer(alpha_factors)
p = Period(frequency)
p = Period(length=-(warm_start + batch + 1) * p.length(), units=p.units())
start_date = advanceDateByCalendar('china.sse', ref_date, p,
BizDayConventions.Following)
dates = makeSchedule(start_date,
ref_date,
frequency,
calendar='china.sse',
dateRule=BizDayConventions.Following,
dateGenerationRule=DateGeneration.Backward)
horizon = _map_horizon(frequency)
factor_df = engine.fetch_factor_range(universe,
factors=transformer,
dates=dates)
return_df = engine.fetch_dx_return_range(universe,
dates=dates,
horizon=horizon)
df = pd.merge(factor_df, return_df, on=['trade_date', 'code']).dropna()
return_df, factor_df = df[['trade_date', 'code',
'dx']], df[['trade_date', 'code', 'isOpen'] +
transformer.names]
return_df, dates, date_label, risk_exp, x_values, y_values, _, _ = \
_merge_df(engine, transformer.names, factor_df, return_df, universe, dates, risk_model, neutralized_risk)
if dates[-1] == dt.datetime.strptime(ref_date, '%Y-%m-%d'):
end = dates[-2]
start = dates[-batch - 1]
else:
end = dates[-1]
start = dates[-batch]
index = (date_label >= start) & (date_label <= end)
this_raw_x = x_values[index]
this_raw_y = y_values[index]
if risk_exp is not None:
this_risk_exp = risk_exp[index]
else:
this_risk_exp = None
ne_x = factor_processing(this_raw_x,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
ne_y = factor_processing(this_raw_y,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
ret = dict()
ret['x_names'] = transformer.names
ret['train'] = {'x': ne_x, 'y': ne_y}
return ret
def fetch_predict_phase(engine,
alpha_factors: Iterable[object],
ref_date,
frequency,
universe,
batch,
neutralized_risk: Iterable[str] = None,
risk_model: str = 'short',
pre_process: Iterable[object] = None,
post_process: Iterable[object] = None,
warm_start: int = 0):
transformer = Transformer(alpha_factors)
p = Period(frequency)
p = Period(length=-(warm_start + batch) * p.length(), units=p.units())
start_date = advanceDateByCalendar('china.sse', ref_date, p,
BizDayConventions.Following)
dates = makeSchedule(start_date,
ref_date,
frequency,
calendar='china.sse',
dateRule=BizDayConventions.Following,
dateGenerationRule=DateGeneration.Backward)
factor_df = engine.fetch_factor_range(universe,
factors=transformer,
dates=dates).dropna()
names = transformer.names
if neutralized_risk:
risk_df = engine.fetch_risk_model_range(universe,
dates=dates,
risk_model=risk_model)[1]
used_neutralized_risk = list(set(neutralized_risk).difference(names))
risk_df = risk_df[['trade_date', 'code'] +
used_neutralized_risk].dropna()
train_x = pd.merge(factor_df, risk_df, on=['trade_date', 'code'])
risk_exp = train_x[neutralized_risk].values.astype(float)
x_values = train_x[names].values.astype(float)
else:
train_x = factor_df.copy()
risk_exp = None
date_label = pd.DatetimeIndex(factor_df.trade_date).to_pydatetime()
dates = np.unique(date_label)
if dates[-1] == dt.datetime.strptime(ref_date, '%Y-%m-%d'):
end = dates[-1]
start = dates[-batch]
# index = (date_label >= start) & (date_label <= end)
left_index = bisect.bisect_left(date_label, start)
right_index = bisect.bisect_right(date_label, end)
this_raw_x = x_values[left_index:right_index]
sub_dates = date_label[left_index:right_index]
if risk_exp is not None:
this_risk_exp = risk_exp[left_index:right_index]
else:
this_risk_exp = None
ne_x = factor_processing(this_raw_x,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
inner_left_index = bisect.bisect_left(sub_dates, end)
inner_right_index = bisect.bisect_right(sub_dates, end)
ne_x = ne_x[inner_left_index:inner_right_index]
left_index = bisect.bisect_left(date_label, end)
right_index = bisect.bisect_right(date_label, end)
codes = train_x.code.values[left_index:right_index]
else:
ne_x = None
codes = None
ret = dict()
ret['x_names'] = transformer.names
ret['predict'] = {'x': ne_x, 'code': codes}
return ret
total_data = pickle.load(file2)
total_data = total_data.sort_values(by=['trade_date', 'code'], ascending=True)
diff_filed = ['trade_date', 'code', 'ret']
factor_columns = [
i for i in list(set(total_data.columns))
if i not in ['trade_date', 'code', 'ret']
]
#所有因子数据做去极值和标准化处理
alpha_res = []
grouped = total_data.groupby(['trade_date'])
for k, g in grouped:
ret_preprocess = factor_processing(
g[factor_columns].fillna(0).values,
pre_process=[winsorize_normal, standardize])
f = pd.DataFrame(ret_preprocess, columns=factor_columns)
for k in diff_filed:
f[k] = g[k].values
alpha_res.append(f)
total_data = pd.concat(alpha_res)
point = int(np.random.uniform(0, len(factor_columns)) / 2)
ori_field = factor_columns[:point]
add_field = factor_columns[point:]
#best_code, best_field
best_code, best_field = mutation_factors.genetic_run(total_data,
diff_filed=diff_filed,
strong_field=ori_field,
def fetch_predict_phase(engine,
alpha_factors: Union[Transformer, Iterable[object]],
ref_date,
frequency,
universe,
batch=1,
neutralized_risk: Iterable[str] = None,
risk_model: str = 'short',
pre_process: Iterable[object] = None,
post_process: Iterable[object] = None,
warm_start: int = 0,
fillna: str = None,
fit_target: Union[Transformer, object] = None):
if isinstance(alpha_factors, Transformer):
transformer = alpha_factors
else:
transformer = Transformer(alpha_factors)
p = Period(frequency)
p = Period(length=-(warm_start + batch - 1) * p.length(), units=p.units())
start_date = advanceDateByCalendar('china.sse', ref_date, p,
BizDayConventions.Following)
dates = makeSchedule(start_date,
ref_date,
frequency,
calendar='china.sse',
dateRule=BizDayConventions.Following,
dateGenerationRule=DateGeneration.Backward)
horizon = map_freq(frequency)
factor_df = engine.fetch_factor_range(universe,
factors=transformer,
dates=dates)
if fillna:
factor_df = factor_df.groupby('trade_date').apply(
lambda x: x.fillna(x.median())).reset_index(drop=True).dropna()
else:
factor_df = factor_df.dropna()
if fit_target is None:
target_df = engine.fetch_dx_return_range(universe,
dates=dates,
horizon=horizon)
else:
one_more_date = advanceDateByCalendar('china.sse', dates[-1],
frequency)
target_df = engine.fetch_factor_range_forward(universe,
factors=fit_target,
dates=dates +
[one_more_date])
target_df = target_df[target_df.trade_date.isin(dates)]
target_df = target_df.groupby('code').apply(
lambda x: x.fillna(method='pad'))
names = transformer.names
if neutralized_risk:
risk_df = engine.fetch_risk_model_range(universe,
dates=dates,
risk_model=risk_model)[1]
used_neutralized_risk = list(set(neutralized_risk).difference(names))
risk_df = risk_df[['trade_date', 'code'] +
used_neutralized_risk].dropna()
train_x = pd.merge(factor_df, risk_df, on=['trade_date', 'code'])
train_x = pd.merge(train_x,
target_df,
on=['trade_date', 'code'],
how='left')
risk_exp = train_x[neutralized_risk].values.astype(float)
else:
train_x = pd.merge(factor_df,
target_df,
on=['trade_date', 'code'],
how='left')
risk_exp = None
train_x.dropna(inplace=True, subset=train_x.columns[:-1])
x_values = train_x[names].values.astype(float)
y_values = train_x[['dx']].values.astype(float)
date_label = pd.DatetimeIndex(train_x.trade_date).to_pydatetime()
dates = np.unique(date_label)
if dates[-1] == dt.datetime.strptime(ref_date, '%Y-%m-%d'):
end = dates[-1]
start = dates[-batch] if batch <= len(dates) else dates[0]
left_index = bisect.bisect_left(date_label, start)
right_index = bisect.bisect_right(date_label, end)
this_raw_x = x_values[left_index:right_index]
this_raw_y = y_values[left_index:right_index]
sub_dates = date_label[left_index:right_index]
if risk_exp is not None:
this_risk_exp = risk_exp[left_index:right_index]
else:
this_risk_exp = None
ne_x = factor_processing(this_raw_x,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
ne_y = factor_processing(this_raw_y,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
inner_left_index = bisect.bisect_left(sub_dates, end)
inner_right_index = bisect.bisect_right(sub_dates, end)
ne_x = ne_x[inner_left_index:inner_right_index]
ne_y = ne_y[inner_left_index:inner_right_index]
left_index = bisect.bisect_left(date_label, end)
right_index = bisect.bisect_right(date_label, end)
codes = train_x.code.values[left_index:right_index]
else:
ne_x = None
ne_y = None
codes = None
ret = dict()
ret['x_names'] = transformer.names
ret['predict'] = {
'x': pd.DataFrame(ne_x, columns=transformer.names),
'code': codes,
'y': ne_y.flatten()
}
return ret
def fetch_train_phase(engine,
alpha_factors: Union[Transformer, Iterable[object]],
ref_date,
frequency,
universe,
batch=1,
neutralized_risk: Iterable[str] = None,
risk_model: str = 'short',
pre_process: Iterable[object] = None,
post_process: Iterable[object] = None,
warm_start: int = 0,
fit_target: Union[Transformer, object] = None) -> dict:
if isinstance(alpha_factors, Transformer):
transformer = alpha_factors
else:
transformer = Transformer(alpha_factors)
p = Period(frequency)
p = Period(length=-(warm_start + batch) * p.length(), units=p.units())
start_date = advanceDateByCalendar('china.sse', ref_date, p,
BizDayConventions.Following)
dates = makeSchedule(start_date,
ref_date,
frequency,
calendar='china.sse',
dateRule=BizDayConventions.Following,
dateGenerationRule=DateGeneration.Backward)
horizon = map_freq(frequency)
factor_df = engine.fetch_factor_range(universe,
factors=transformer,
dates=dates)
if fit_target is None:
target_df = engine.fetch_dx_return_range(universe,
dates=dates,
horizon=horizon)
else:
one_more_date = advanceDateByCalendar('china.sse', dates[-1],
frequency)
target_df = engine.fetch_factor_range_forward(universe,
factors=fit_target,
dates=dates +
[one_more_date])
target_df = target_df[target_df.trade_date.isin(dates)]
target_df = target_df.groupby('code').apply(
lambda x: x.fillna(method='pad'))
df = pd.merge(factor_df, target_df, on=['trade_date', 'code']).dropna()
target_df, factor_df = df[['trade_date', 'code',
'dx']], df[['trade_date', 'code'] +
transformer.names]
target_df, dates, date_label, risk_exp, x_values, y_values, _, _, codes = \
_merge_df(engine, transformer.names, factor_df, target_df, universe, dates, risk_model,
neutralized_risk)
if dates[-1] == dt.datetime.strptime(ref_date, '%Y-%m-%d'):
pyFinAssert(
len(dates) >= 2, ValueError,
"No previous data for training for the date {0}".format(ref_date))
end = dates[-2]
start = dates[-batch - 1] if batch <= len(dates) - 1 else dates[0]
else:
end = dates[-1]
start = dates[-batch] if batch <= len(dates) else dates[0]
index = (date_label >= start) & (date_label <= end)
this_raw_x = x_values[index]
this_raw_y = y_values[index]
this_code = codes[index]
if risk_exp is not None:
this_risk_exp = risk_exp[index]
else:
this_risk_exp = None
ne_x = factor_processing(this_raw_x,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
ne_y = factor_processing(this_raw_y,
pre_process=pre_process,
risk_factors=this_risk_exp,
post_process=post_process)
ret = dict()
ret['x_names'] = transformer.names
ret['train'] = {
'x': pd.DataFrame(ne_x, columns=transformer.names),
'y': ne_y,
'code': this_code
}
return ret
def run(self, running_setting):
alpha_logger.info("starting backting ...")
total_data_groups = self.total_data.groupby('trade_date')
rets = []
turn_overs = []
leverags = []
previous_pos = pd.DataFrame()
executor = copy.deepcopy(running_setting.executor)
positions = pd.DataFrame()
if self.alpha_models is None:
self.prepare_backtest_models()
for ref_date, this_data in total_data_groups:
risk_model = self.risk_models[ref_date]
new_model = self.alpha_models[ref_date]
codes = this_data.code.values.tolist()
if previous_pos.empty:
current_position = None
else:
previous_pos.set_index('code', inplace=True)
remained_pos = previous_pos.reindex(codes)
remained_pos.fillna(0., inplace=True)
current_position = remained_pos.weight.values
benchmark_w = this_data.weight.values
constraints = LinearConstraints(running_setting.bounds, this_data,
benchmark_w)
lbound, ubound = self._create_lu_bounds(running_setting, codes,
benchmark_w)
this_data.fillna(0, inplace=True)
new_factors = factor_processing(
this_data[new_model.features].values,
pre_process=self.data_meta.pre_process,
risk_factors=this_data[self.data_meta.neutralized_risk].values.
astype(float) if self.data_meta.neutralized_risk else None,
post_process=self.data_meta.post_process)
new_factors = pd.DataFrame(new_factors,
columns=new_model.features,
index=codes)
er = new_model.predict(new_factors).astype(float)
alpha_logger.info('{0} re-balance: {1} codes'.format(
ref_date, len(er)))
target_pos = self._calculate_pos(
running_setting,
er,
this_data,
constraints,
benchmark_w,
lbound,
ubound,
risk_model=risk_model.get_risk_profile(codes),
current_position=current_position)
target_pos['code'] = codes
target_pos['trade_date'] = ref_date
turn_over, executed_pos = executor.execute(target_pos=target_pos)
leverage = executed_pos.weight.abs().sum()
ret = executed_pos.weight.values @ (np.exp(this_data.dx.values) -
1.)
rets.append(np.log(1. + ret))
executor.set_current(executed_pos)
turn_overs.append(turn_over)
leverags.append(leverage)
positions = positions.append(executed_pos)
previous_pos = executed_pos
positions['benchmark_weight'] = self.total_data['weight'].values
positions['dx'] = self.total_data.dx.values
trade_dates = positions.trade_date.unique()
ret_df = pd.DataFrame(
{
'returns': rets,
'turn_over': turn_overs,
'leverage': leverags
},
index=trade_dates)
ret_df['benchmark_returns'] = self.index_return['dx']
ret_df.loc[advanceDateByCalendar('china.sse', ret_df.index[-1],
self.freq)] = 0.
ret_df = ret_df.shift(1)
ret_df.iloc[0] = 0.
ret_df['excess_return'] = ret_df[
'returns'] - ret_df['benchmark_returns'] * ret_df['leverage']
return ret_df, positions
def run(self):
alpha_logger.info("starting backting ...")
total_factors = self.engine.fetch_factor_range(
self.running_setting.universe,
self.alpha_model.formulas,
dates=self.running_setting.dates)
alpha_logger.info("alpha factor data loading finished ...")
total_industry = self.engine.fetch_industry_matrix_range(
self.running_setting.universe,
dates=self.running_setting.dates,
category=self.running_setting.industry_cat,
level=self.running_setting.industry_level)
alpha_logger.info("industry data loading finished ...")
total_benchmark = self.engine.fetch_benchmark_range(
dates=self.running_setting.dates,
benchmark=self.running_setting.benchmark)
alpha_logger.info("benchmark data loading finished ...")
total_risk_cov, total_risk_exposure = self.engine.fetch_risk_model_range(
self.running_setting.universe,
dates=self.running_setting.dates,
risk_model=self.data_meta.risk_model)
alpha_logger.info("risk_model data loading finished ...")
total_returns = self.engine.fetch_dx_return_range(
self.running_setting.universe,
dates=self.running_setting.dates,
horizon=self.running_setting.horizon,
offset=1)
alpha_logger.info("returns data loading finished ...")
total_data = pd.merge(total_factors,
total_industry,
on=['trade_date', 'code'])
total_data = pd.merge(total_data,
total_benchmark,
on=['trade_date', 'code'],
how='left')
total_data.fillna({'weight': 0.}, inplace=True)
total_data = pd.merge(total_data,
total_returns,
on=['trade_date', 'code'])
total_data = pd.merge(total_data,
total_risk_exposure,
on=['trade_date', 'code'])
is_in_benchmark = (total_data.weight > 0.).astype(float).reshape(
(-1, 1))
total_data.loc[:, 'benchmark'] = is_in_benchmark
total_data.loc[:, 'total'] = np.ones_like(is_in_benchmark)
total_data.sort_values(['trade_date', 'code'], inplace=True)
total_data_groups = total_data.groupby('trade_date')
rets = []
turn_overs = []
leverags = []
previous_pos = pd.DataFrame()
executor = copy.deepcopy(self.running_setting.executor)
positions = pd.DataFrame()
if self.dask_client is None:
models = {}
for ref_date, _ in total_data_groups:
models[ref_date] = train_model(ref_date.strftime('%Y-%m-%d'),
self.alpha_model,
self.data_meta)
else:
def worker(parameters):
new_model = train_model(parameters[0].strftime('%Y-%m-%d'),
parameters[1], parameters[2])
return parameters[0], new_model
l = self.dask_client.map(worker,
[(d[0], self.alpha_model, self.data_meta)
for d in total_data_groups])
results = self.dask_client.gather(l)
models = dict(results)
for ref_date, this_data in total_data_groups:
new_model = models[ref_date]
this_data = this_data.fillna(
this_data[new_model.features].median())
codes = this_data.code.values.tolist()
if self.running_setting.rebalance_method == 'tv':
risk_cov = total_risk_cov[total_risk_cov.trade_date ==
ref_date]
sec_cov = self._generate_sec_cov(this_data, risk_cov)
else:
sec_cov = None
benchmark_w = this_data.weight.values
constraints = LinearConstraints(self.running_setting.bounds,
this_data, benchmark_w)
lbound = np.maximum(
0., benchmark_w - self.running_setting.weights_bandwidth)
ubound = self.running_setting.weights_bandwidth + benchmark_w
if previous_pos.empty:
current_position = None
else:
previous_pos.set_index('code', inplace=True)
remained_pos = previous_pos.loc[codes]
remained_pos.fillna(0., inplace=True)
current_position = remained_pos.weight.values
features = new_model.features
raw_factors = this_data[features].values
new_factors = factor_processing(
raw_factors,
pre_process=self.data_meta.pre_process,
risk_factors=this_data[self.data_meta.neutralized_risk].values.
astype(float) if self.data_meta.neutralized_risk else None,
post_process=self.data_meta.post_process)
er = new_model.predict(pd.DataFrame(
new_factors, columns=features)).astype(float)
alpha_logger.info('{0} re-balance: {1} codes'.format(
ref_date, len(er)))
target_pos = self._calculate_pos(er,
this_data,
constraints,
benchmark_w,
lbound,
ubound,
sec_cov=sec_cov,
current_position=current_position,
**self.running_setting.more_opts)
target_pos['code'] = codes
target_pos['trade_date'] = ref_date
turn_over, executed_pos = executor.execute(target_pos=target_pos)
leverage = executed_pos.weight.abs().sum()
ret = executed_pos.weight.values @ (np.exp(this_data.dx.values) -
1.)
rets.append(np.log(1. + ret))
executor.set_current(executed_pos)
turn_overs.append(turn_over)
leverags.append(leverage)
positions = positions.append(executed_pos)
previous_pos = executed_pos
positions['benchmark_weight'] = total_data['weight'].values
positions['dx'] = total_data.dx.values
trade_dates = positions.trade_date.unique()
ret_df = pd.DataFrame(
{
'returns': rets,
'turn_over': turn_overs,
'leverage': leverags
},
index=trade_dates)
index_return = self.engine.fetch_dx_return_index_range(
self.running_setting.benchmark,
dates=self.running_setting.dates,
horizon=self.running_setting.horizon,
offset=1).set_index('trade_date')
ret_df['benchmark_returns'] = index_return['dx']
ret_df.loc[advanceDateByCalendar('china.sse', ret_df.index[-1],
self.running_setting.freq)] = 0.
ret_df = ret_df.shift(1)
ret_df.iloc[0] = 0.
ret_df['excess_return'] = ret_df[
'returns'] - ret_df['benchmark_returns'] * ret_df['leverage']
return ret_df, positions
