print(reg.rsquared_adj)
# a_beta = reg.params['BETA_F']
# a_smb = reg.params['SMB_F']
# a_hc = reg.params['HC_F']
a_beta = 0.744710
a_smb = 0.399662
a_hc = 0.244484
init_stock = Util.BILLION / 100
data_hedge = data.iloc[1:,:].copy()
# data_hedge = data_hedge[['index_top5', '000300.SH', '000905.SH', '000016.SH', 'HC.SHF']]
data_hedge = data_hedge[['index_top5', 'IF.CFE', 'IC.CFE', 'IH.CFE', 'HC.SHF']]
init_closes = np.array(data_hedge.iloc[0])
weights = np.array([1, -a_beta, -a_smb, a_smb, -a_hc])
init_mktvalues = weights*init_stock
init_capital = sum(np.array([1, a_beta*0.2, a_smb*0.2, a_smb*0.2, a_hc*0.2])*init_stock) # 五倍杠杆
units = init_mktvalues/init_closes
print(units)
print(np.array(data_hedge.iloc[0]))
print(np.array(data_hedge.iloc[1]))
data_hedge['hedged_mkv'] = data_hedge.apply(lambda x:sum(x*units),axis=1)
data_hedge['pnl'] = data_hedge['hedged_mkv'] -data_hedge.iloc[0]['hedged_mkv']
data_hedge['NPV'] = (data_hedge['pnl']+init_capital)/init_capital
account = BaseAccount(init_capital,rf=0.0)
res = account.get_netvalue_analysis(data_hedge['NPV'])
print(res)
data_hedge.to_csv('data/result_hedged_port.csv')
) * delta_call + unit_p * atm_put.multiplier() * delta_put
hedge_unit = hedging.get_hedge_rebalancing_unit(
options_delta, buy_write)
hedging.synthetic_unit += -hedge_unit
if hedge_unit > 0:
long_short = c.LongShort.LONG
else:
long_short = c.LongShort.SHORT
order_u = account.create_trade_order(hedging, long_short, hedge_unit)
record_u = hedging.execute_order(order_u, slippage=slippage)
account.add_record(record_u, hedging)
account.daily_accounting(optionset.eval_date)
total_liquid_asset = account.cash + account.get_portfolio_margin_capital()
print(optionset.eval_date, hedging.eval_date,
account.account.loc[optionset.eval_date, c.Util.PORTFOLIO_NPV],
int(account.cash), int(total_liquid_asset))
if not optionset.has_next(): break
optionset.next()
hedging.next()
account.account.to_csv('account.csv')
df_records = pd.DataFrame(account.list_records)
df_records.to_csv('df_records.csv')
res = account.get_netvalue_analysis(account.account[c.Util.PORTFOLIO_NPV])
print(res)
dates = list(account.account.index)
npv = list(account.account[c.Util.PORTFOLIO_NPV])
pu.plot_line_chart(dates, [npv], ['npv'])
plt.show()
execute_type=c.ExecuteType.EXECUTE_ALL_UNITS)
account.add_record(execution_record,
account.dict_holding[order.id_instrument])
maturity1 = optionset.select_maturity_date(
nbr_maturity=nbr_maturity, min_holding=min_holding)
atm_put, premium = buy_put(moneyness, maturity1)
total_premium += premium + execution_record[
c.Util.TRADE_BOOK_VALUE]
account.daily_accounting(optionset.eval_date)
optionset.next()
underlying.next()
# series_npv = account.account[c.Util.PORTFOLIO_NPV]
# series_npv.iloc[-1] = series_npv.iloc[-1] * (1+alpha) # plus alpha
analysis = account.get_netvalue_analysis(
account.account[c.Util.PORTFOLIO_NPV])
analysis['权利金占比'] = total_premium / init_fund
df_underlying_with_alpha.loc[:,
'npv_50etf'] = df_underlying_with_alpha.loc[:, 'etf_close'] / df_underlying_with_alpha.loc[
0, 'etf_close']
analysis_50ETF = account.get_netvalue_analysis(
df_underlying_with_alpha['npv_50etf'])
df_underlying_with_alpha.loc[:,
'npv_50etf_alpha'] = df_underlying_with_alpha.loc[:, c.Util.AMT_CLOSE] / df_underlying_with_alpha.loc[
0, c.Util.AMT_CLOSE]
analysis_50ETF_alpha = account.get_netvalue_analysis(
df_underlying_with_alpha['npv_50etf_alpha'])
df[str(d1) + ':hedged'] = analysis
df[str(d1) + ':etf'] = analysis_50ETF
df[str(d1) + ':etf_alpha'] = analysis_50ETF_alpha