def setUp(self) -> None:
set_global_config('config.json')
self.target = ContinuousFactor('自合成指数', '收益率')
self.target.bind_params(ids='ST.IND')
self.benchmark = ContinuousFactor('自合成指数', '收益率')
self.benchmark.bind_params(ids='全市场.IND')
self.start = dt.datetime(2012, 1, 1)
self.end = dt.datetime(2020, 1, 1)
def test_plot_index(self):
index_factor = ContinuousFactor('自合成指数', '收益率')
index_factor.bind_params(ids='ST.IND')
benchmark_factor = ContinuousFactor('自合成指数', '收益率')
benchmark_factor.bind_params(ids='全市场.IND')
start_date = None
end_date = None
ids = 'ST.IND'
plot_index(index_factor)
plot_index(index_factor, benchmark_factor=benchmark_factor)
def __init__(self,
date: dt.datetime = None,
db_interface: DBInterface = None):
self.db_interface = db_interface if db_interface else get_db_interface(
)
self.calendar = TradingCalendar(self.db_interface)
if date is None:
date = dt.datetime.combine(dt.date.today(), dt.time())
self.date = date
records = utils.load_excel('自编指数配置.xlsx')
self.tickers = [it['ticker'] for it in records]
self.tbd_indexes = list(
set(self.tickers) - set(self.must_keep_indexes))
start_date = self.calendar.offset(date, -22)
index_factor = ContinuousFactor('自合成指数',
'收益率',
db_interface=self.db_interface)
self.cache = index_factor.get_data(start_date=start_date,
end_date=date).unstack()
self.industry_cache = []
class MyTestCase(unittest.TestCase):
def setUp(self) -> None:
set_global_config('config.json')
self.target = ContinuousFactor('自合成指数', '收益率')
self.target.bind_params(ids='ST.IND')
self.benchmark = ContinuousFactor('自合成指数', '收益率')
self.benchmark.bind_params(ids='全市场.IND')
self.start = dt.datetime(2012, 1, 1)
self.end = dt.datetime(2020, 1, 1)
def test_max_drawdown(self):
returns = self.target.get_data(start_date=self.start, end_date=self.end).unstack().iloc[:, 0]
print(locate_max_drawdown(returns))
returns = self.benchmark.get_data().unstack().iloc[:, 0]
print(locate_max_drawdown(returns))
def test_aggregate_return(self):
print(aggregate_returns(target=self.target, convert_to='monthly', benchmark_factor=self.benchmark))
class MyTestCase(unittest.TestCase):
def setUp(self) -> None:
set_global_config('config.json')
self.target = ContinuousFactor('自合成指数', '收益率')
self.target.bind_params(ids='ST.IND')
self.benchmark = ContinuousFactor('自合成指数', '收益率')
self.benchmark.bind_params(ids='全市场.IND')
self.start = dt.datetime(2012, 1, 1)
self.end = dt.datetime(2020, 1, 1)
def test_max_drawdown(self):
returns = self.target.get_data(start_date=self.start,
end_date=self.end).unstack().iloc[:, 0]
print(locate_max_drawdown(returns))
returns = self.benchmark.get_data().unstack().iloc[:, 0]
print(locate_max_drawdown(returns))
def test_aggregate_return(self):
print(
aggregate_returns(target=self.target,
convert_to='monthly',
benchmark_factor=self.benchmark))
@staticmethod
def test_holding():
h = FundHolding()
date = dt.datetime(2021, 3, 8)
print(h.get_holding(date))
print(h.get_holding(date, fund='指增1号 - 东财 - 普通户'))
print(h.get_holding(date, fund='ALL'))
def test_fund_nav_analysis(self):
fund_nav_analysis = FundNAVAnalysis('110011.OF')
fund_nav_analysis.compute_correlation('399006.SZ')
model = FamaFrench3FactorModel()
fund_nav_analysis.compute_exposure(model)
fund_nav_analysis.get_latest_published_portfolio_holding()
def test_public_fund_holding(self):
ticker = '000001.SZ'
date = dt.datetime(2020, 12, 31)
rec = PublicFundHoldingRecords(ticker, date)
self = rec