def tagbondfund(start_date, end_date, codes):
funddf = data.bond_value(start_date, end_date)
funddf = funddf[codes]
csibondindexdf = data.bond_index_value(start_date, end_date, const.csibondindex_code)
ratebondindexdf = data.bond_index_value(start_date, end_date, const.ratebondindex_code)
creditbondindexdf = data.bond_index_value(start_date, end_date, const.credictbondindex_code)
convertiblebondindexdf = data.bond_index_value(start_date, end_date, const.convertiblebondindex_code)
risefitness_result = risefitness(funddf, csibondindexdf, 0.5)
declinefitness_result = declinefitness(funddf, csibondindexdf, 0.5)
oscillationfitness_result = oscillationfitness(funddf, csibondindexdf, 0.5)
ratebondprefer_result = ratebondprefer(funddf, ratebondindexdf,0.5)
creditbondprefer_result = creditbondprefer(funddf, creditbondindexdf, 0.5)
convertiblebondprefer_result= convertiblebondprefer(funddf, convertiblebondindexdf, 0.5)
#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
#print 'oscillation'
oscillationfitness_set = set()
for k,v in oscillationfitness_result:
oscillationfitness_set.add(k)
#print k, v
#print
#print 'ratebondprefer'
ratebondprefer_set = set()
for k,v in ratebondprefer_result:
ratebondprefer_set.add(k)
#print 'ratebondprefer'
creditbondprefer_set = set()
for k,v in creditbondprefer_result:
creditbondprefer_set.add(k)
convertiblebondprefer_set = set()
for k,v in convertiblebondprefer_result:
convertiblebondprefer_set.add(k)
def bondfundfilter(start_date, end_date):
indicator = {}
funddf = data.bond_value(start_date, end_date)
indexdf = data.bond_index_value(start_date, end_date, 'H11001.CSI')
#按照基金创立时间过滤
setuptime_data = fundsetuptimefilter(funddf.columns, start_date, data.bond_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
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 setuptime_set:
if (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_set = set()
for code in setuptime_set:
indicator_set.add(code)
indicator_codes = []
indicator_datas = []
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/bond_indicator_' + end_date + '.csv')
f = open('./tmp/bondfilter_codes_' + end_date + '.csv','w')
for code in codes:
f.write(str(code) + '\n')
f.flush()
f.close()
return codes, indicator
moneydf = data.bonds()
moneydfr = moneydf.pct_change().fillna(0.0)
dates = moneydf.index
tag = {}
for i in range(156, len(dates)):
if (i - 156) % 13 == 0:
start_date = dates[i - 52].strftime('%Y-%m-%d')
allocation_start_date = dates[i - 13].strftime('%Y-%m-%d')
end_date = dates[i].strftime('%Y-%m-%d')
allocation_funddf = data.bond_value(allocation_start_date,
end_date)
fund_codes, tag = fs.select_money(allocation_funddf)
#print tag
#print tag
# print fund_codes
d = dates[i]
print d.strftime('%Y-%m-%d'), ',', moneydfr.loc[
d, tag['sharpe1']], ',', moneydfr.loc[d, tag['sharpe2']]
# print tag
# allocation_funddf = allocation_funddf[fund_codes]
def bondfilter(start_date, end_date):
funddf = data.bond_value(start_date, end_date)
indexdf = data.bond_index_value(start_date, end_date, 'H11001.CSI')
#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.bond_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
'''
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 setuptime_set:
if (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 bondLabelAsset(dates, interval, funddf, indexdf):
df = data.bonds()
dfr = df.pct_change().fillna(0.0)
funddfr = funddf.pct_change().fillna(0.0)
indexdfr = indexdf.pct_change().fillna(0.0)
pre_ratebond = ''
pre_creditbond = ''
pre_convertiblebond = ''
tag = {}
result_dates = []
columns = []
result_datas = []
select_datas = []
allcodes = []
filtercodes = []
poolcodes = []
selectcodes = []
for i in range(interval + 156, len(dates)):
if (i - 156) % interval == 0:
start_date = dates[i - 52].strftime('%Y-%m-%d')
end_date = dates[i].strftime('%Y-%m-%d')
allocation_start_date = dates[i - interval].strftime('%Y-%m-%d')
allocationdf = data.bond_value(allocation_start_date, end_date)
alldf = data.bond_value(start_date, end_date)
codes, indicator = FundFilter.bondfundfilter(start_date, end_date)
fund_pool, fund_tags = st.tagbondfund(start_date, end_date, codes)
allocationdf = allocationdf[fund_pool]
fund_code, tag = fund_selector.select_bond(allocationdf, fund_tags)
allcodes = alldf.columns
filtercodes = codes
poolcodes = fund_pool
selectcodes = fund_code
if not tag.has_key('ratebond'):
tag['ratebond'] = pre_ratebond
else:
pre_ratebond = tag['ratebond']
if not tag.has_key('creditbond'):
tag['creditbond'] = pre_creditbond
else:
pre_creditbond = tag['creditbond']
if not tag.has_key('convertiblebond'):
tag['convertiblebond'] = pre_convertiblebond
else:
pre_convertiblebond = tag['convertiblebond']
print tag
# print tag['largecap'] , tag['smallcap'], tag['rise'], tag['oscillation'], tag['decline'], tag['growth'], tag['value']
d = dates[i]
result_dates.append(d)
result_datas.append([
funddfr.loc[d, tag['ratebond']], funddfr.loc[d, tag['creditbond']],
funddfr.loc[d, tag['convertiblebond']]
])
print d.strftime('%Y-%m-%d'), funddfr.loc[
d, tag['ratebond']], funddfr.loc[
d, tag['creditbond']], funddfr.loc[d, tag['convertiblebond']]
allcode_r = 0
for code in allcodes:
allcode_r = allcode_r + 1.0 / len(allcodes) * dfr.loc[d, code]
filtercode_r = 0
for code in filtercodes:
filtercode_r = filtercode_r + 1.0 / len(filtercodes) * dfr.loc[
d, code]
poolcode_r = 0
for code in poolcodes:
poolcode_r = poolcode_r + 1.0 / len(poolcodes) * dfr.loc[d, code]
selectcode_r = 0
for code in selectcodes:
selectcode_r = selectcode_r + 1.0 / len(selectcodes) * dfr.loc[
d, code]
select_datas.append(
[allcode_r, filtercode_r, poolcode_r, selectcode_r])
result_df = pd.DataFrame(
result_datas,
index=result_dates,
columns=['ratebond', 'creditbond', 'convertiblebond'])
result_df.to_csv('./tmp/bondlabelasset.csv')
select_df = pd.DataFrame(
select_datas,
index=result_dates,
columns=['allcodes', 'filtercodes', 'poolcode', 'selectcode'])
select_df.to_csv('./tmp/bondselectasset.csv')
return result_df
#for i in range(0 ,len(train_start_date)):
for i in range(5, 6):
#####################################################
#训练和评测数据时间
train_start = train_start_date[i]
train_end = train_end_date[i]
test_start = test_start_date[i]
test_end = test_end_date[i]
####################################################
###################################################
#评测数据
funddf = data.bond_value(train_start, test_end)
codes = funddf.columns
evaluationdf = data.bond_value(test_start, test_end)
evaluationdf = evaluationdf[codes]
###################################################
####################################################################
#筛选基金池，基金打标签
codes = bondfilter(train_start, train_end)
fund_codes, bondtags = st.tagbonds(train_start, train_end, codes)
####################################################################
#####################################################################################
#blacklitterman 资产配置
'''
P = [[-1, 1]]