class Strategy(object):
def __init__(self,
alpha_model,
data_meta,
universe,
start_date,
end_date,
freq,
benchmark=905,
industry_cat='sw_adj',
industry_level=1,
dask_client=None):
self.alpha_model = alpha_model
self.data_meta = data_meta
self.universe = universe
self.benchmark = benchmark
self.dates = makeSchedule(start_date, end_date, freq, 'china.sse')
self.dates = [d.strftime('%Y-%m-%d') for d in self.dates]
self.industry_cat = industry_cat
self.industry_level = industry_level
self.freq = freq
self.horizon = map_freq(freq)
self.engine = SqlEngine(self.data_meta.data_source)
self.dask_client = dask_client
def prepare_backtest_data(self):
total_factors = self.engine.fetch_factor_range(
self.universe, self.alpha_model.formulas, dates=self.dates)
alpha_logger.info("alpha factor data loading finished ...")
total_industry = self.engine.fetch_industry_matrix_range(
self.universe,
dates=self.dates,
category=self.industry_cat,
level=self.industry_level)
alpha_logger.info("industry data loading finished ...")
total_benchmark = self.engine.fetch_benchmark_range(
dates=self.dates, benchmark=self.benchmark)
alpha_logger.info("benchmark data loading finished ...")
total_risk_cov, total_risk_exposure = self.engine.fetch_risk_model_range(
self.universe,
dates=self.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.universe,
dates=self.dates,
horizon=self.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).values.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)
self.index_return = self.engine.fetch_dx_return_index_range(
self.benchmark, dates=self.dates, horizon=self.horizon,
offset=1).set_index('trade_date')
self.total_data = total_data
self.total_risk_cov = total_risk_cov
def _create_lu_bounds(self, running_setting, codes, benchmark_w):
codes = np.array(codes)
if running_setting.weights_bandwidth:
lbound = np.maximum(
0., benchmark_w - running_setting.weights_bandwidth)
ubound = running_setting.weights_bandwidth + benchmark_w
lb = running_setting.lbound
ub = running_setting.ubound
if lb or ub:
if not isinstance(lb, dict):
lbound = np.ones_like(benchmark_w) * lb
else:
lbound = np.zeros_like(benchmark_w)
for c in lb:
lbound[codes == c] = lb[c]
if 'other' in lb:
for i, c in enumerate(codes):
if c not in lb:
lbound[i] = lb['other']
if not isinstance(ub, dict):
ubound = np.ones_like(benchmark_w) * ub
else:
ubound = np.ones_like(benchmark_w)
for c in ub:
ubound[codes == c] = ub[c]
if 'other' in ub:
for i, c in enumerate(codes):
if c not in ub:
ubound[i] = ub['other']
return lbound, ubound
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
@staticmethod
def _generate_sec_cov(current_data, risk_cov):
risk_exposure = current_data[all_styles].values
risk_cov = risk_cov[all_styles].values
special_risk = current_data['srisk'].values
sec_cov = risk_exposure @ risk_cov @ risk_exposure.T / 10000 + np.diag(
special_risk**2) / 10000
return sec_cov
def _calculate_pos(self, running_setting, er, data, constraints,
benchmark_w, lbound, ubound, sec_cov, current_position):
more_opts = running_setting.more_opts
target_pos, _ = er_portfolio_analysis(
er,
industry=data.industry_name.values,
dx_return=None,
constraints=constraints,
detail_analysis=False,
benchmark=benchmark_w,
method=running_setting.rebalance_method,
lbound=lbound,
ubound=ubound,
current_position=current_position,
target_vol=more_opts.get('target_vol'),
cov=sec_cov,
turn_over_target=more_opts.get('turn_over_target'))
return target_pos
class TestSqlEngine(unittest.TestCase):
def setUp(self):
self.engine = SqlEngine(DATA_ENGINE_URI)
dates_list = bizDatesList('china.sse', '2010-10-01', '2018-04-27')
self.ref_date = random.choice(dates_list).strftime('%Y-%m-%d')
alpha_logger.info("Test date: {0}".format(self.ref_date))
def test_sql_engine_fetch_codes(self):
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
query = select([UniverseTable.code]).where(
and_(UniverseTable.trade_date == ref_date,
or_(UniverseTable.zz500 == 1, UniverseTable.zz1000 == 1)))
df = pd.read_sql(query, con=self.engine.engine).sort_values('code')
self.assertListEqual(codes, list(df.code.values))
def test_sql_engine_fetch_codes_range(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', self.ref_date, '-6m'),
self.ref_date, '60b', 'china.sse')
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes_range(universe, dates=ref_dates)
query = select([UniverseTable.trade_date, UniverseTable.code]).where(
and_(UniverseTable.trade_date.in_(ref_dates),
or_(UniverseTable.zz500 == 1, UniverseTable.zz1000 == 1)))
df = pd.read_sql(query, con=self.engine.engine).sort_values('code')
for ref_date in ref_dates:
calculated_codes = list(
sorted(codes[codes.trade_date == ref_date].code.values))
expected_codes = list(
sorted(df[df.trade_date == ref_date].code.values))
self.assertListEqual(calculated_codes, expected_codes)
def test_sdl_engine_fetch_codes_with_exclude_universe(self):
ref_date = self.ref_date
universe = Universe('zz500') - Universe('cyb')
codes = self.engine.fetch_codes(ref_date, universe)
query = select([UniverseTable.code]).where(
and_(UniverseTable.trade_date == ref_date,
UniverseTable.zz500 == 1, UniverseTable.cyb == 0))
df = pd.read_sql(query, con=self.engine.engine).sort_values('code')
self.assertListEqual(codes, list(df.code.values))
def test_sql_engine_fetch_dx_return(self):
horizon = 4
offset = 1
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
dx_return = self.engine.fetch_dx_return(ref_date,
codes,
horizon=horizon,
offset=offset)
start_date = advanceDateByCalendar('china.sse', ref_date, '2b')
end_date = advanceDateByCalendar('china.sse', ref_date, '6b')
query = select([Market.code, Market.chgPct]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(dx_return.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
np.testing.assert_array_almost_equal(dx_return.dx.values,
res.chgPct.values)
horizon = 4
offset = 0
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
dx_return = self.engine.fetch_dx_return(ref_date,
codes,
horizon=horizon,
offset=offset)
start_date = advanceDateByCalendar('china.sse', ref_date, '1b')
end_date = advanceDateByCalendar('china.sse', ref_date, '5b')
query = select([Market.code, Market.chgPct]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(dx_return.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
np.testing.assert_array_almost_equal(dx_return.dx.values,
res.chgPct.values)
def test_sql_engine_fetch_dx_return_with_benchmark(self):
horizon = 4
offset = 1
benchmark = 300
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
dx_return = self.engine.fetch_dx_return(ref_date,
codes,
horizon=horizon,
offset=offset,
benchmark=benchmark)
start_date = advanceDateByCalendar('china.sse', ref_date, '2b')
end_date = advanceDateByCalendar('china.sse', ref_date, '6b')
query = select([Market.code, Market.chgPct]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(dx_return.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
query = select(
[IndexMarket.indexCode.label('code'), IndexMarket.chgPct]).where(
and_(IndexMarket.trade_date.between(start_date, end_date),
IndexMarket.indexCode == benchmark))
df = pd.read_sql(query, con=self.engine.engine)
b_res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
np.testing.assert_array_almost_equal(
dx_return.dx.values, res.chgPct.values - b_res.chgPct.values)
horizon = 4
offset = 0
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
dx_return = self.engine.fetch_dx_return(ref_date,
codes,
horizon=horizon,
offset=offset,
benchmark=benchmark)
start_date = advanceDateByCalendar('china.sse', ref_date, '1b')
end_date = advanceDateByCalendar('china.sse', ref_date, '5b')
query = select([Market.code, Market.chgPct]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(dx_return.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
query = select(
[IndexMarket.indexCode.label('code'), IndexMarket.chgPct]).where(
and_(IndexMarket.trade_date.between(start_date, end_date),
IndexMarket.indexCode == benchmark))
df = pd.read_sql(query, con=self.engine.engine)
b_res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
np.testing.assert_array_almost_equal(
dx_return.dx.values, res.chgPct.values - b_res.chgPct.values)
def test_sql_engine_fetch_dx_return_range(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', self.ref_date, '-6m'),
self.ref_date, '60b', 'china.sse')
universe = Universe('zz500') + Universe('zz1000')
dx_return = self.engine.fetch_dx_return_range(universe,
dates=ref_dates,
horizon=4,
offset=1)
codes = self.engine.fetch_codes_range(universe, dates=ref_dates)
groups = codes.groupby('trade_date')
for ref_date, g in groups:
start_date = advanceDateByCalendar('china.sse', ref_date, '2b')
end_date = advanceDateByCalendar('china.sse', ref_date, '6b')
query = select([Market.code, Market.chgPct]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(g.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
calculated_return = dx_return[dx_return.trade_date == ref_date]
np.testing.assert_array_almost_equal(calculated_return.dx.values,
res.chgPct.values)
def test_sql_engine_fetch_dx_return_range_with_benchmark(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', self.ref_date, '-6m'),
self.ref_date, '60b', 'china.sse')
universe = Universe('zz500') + Universe('zz1000')
benchmark = 300
dx_return = self.engine.fetch_dx_return_range(universe,
dates=ref_dates,
horizon=4,
offset=1,
benchmark=benchmark)
codes = self.engine.fetch_codes_range(universe, dates=ref_dates)
groups = codes.groupby('trade_date')
for ref_date, g in groups:
start_date = advanceDateByCalendar('china.sse', ref_date, '2b')
end_date = advanceDateByCalendar('china.sse', ref_date, '6b')
query = select([Market.code, Market.chgPct]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(g.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
query = select(
[IndexMarket.indexCode.label('code'),
IndexMarket.chgPct]).where(
and_(IndexMarket.trade_date.between(start_date, end_date),
IndexMarket.indexCode == benchmark))
df = pd.read_sql(query, con=self.engine.engine)
b_res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
calculated_return = dx_return[dx_return.trade_date == ref_date]
np.testing.assert_array_almost_equal(
calculated_return.dx.values,
res.chgPct.values - b_res.chgPct.values)
def test_sql_engine_fetch_dx_return_with_universe_adjustment(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', '2017-01-26', '-6m'),
'2017-01-26', '60b', 'china.sse')
universe = Universe('zz500')
dx_return = self.engine.fetch_dx_return_range(universe,
dates=ref_dates,
horizon=4,
offset=1)
codes = self.engine.fetch_codes_range(universe, dates=ref_dates)
groups = codes.groupby('trade_date')
for ref_date, g in groups:
start_date = advanceDateByCalendar('china.sse', ref_date, '2b')
end_date = advanceDateByCalendar('china.sse', ref_date, '6b')
query = select([Market.code, Market.chgPct]).where(
and_(Market.trade_date.between(start_date, end_date),
Market.code.in_(g.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('code').apply(lambda x: np.log(1. + x).sum())
calculated_return = dx_return[dx_return.trade_date == ref_date]
np.testing.assert_array_almost_equal(calculated_return.dx.values,
res.chgPct.values)
def test_sql_engine_fetch_dx_return_index(self):
horizon = 4
offset = 1
ref_date = self.ref_date
dx_return = self.engine.fetch_dx_return_index(ref_date,
905,
horizon=horizon,
offset=offset)
start_date = advanceDateByCalendar('china.sse', ref_date, '2b')
end_date = advanceDateByCalendar('china.sse', ref_date, '6b')
query = select([IndexMarket.indexCode, IndexMarket.chgPct]).where(
and_(IndexMarket.trade_date.between(start_date, end_date),
IndexMarket.indexCode == 905))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('indexCode').apply(lambda x: np.log(1. + x).sum())
np.testing.assert_array_almost_equal(dx_return.dx.values,
res.chgPct.values)
def test_sql_engine_fetch_dx_return_index_range(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', self.ref_date, '-6m'),
self.ref_date, '60b', 'china.sse')
index_code = 906
dx_return = self.engine.fetch_dx_return_index_range(index_code,
dates=ref_dates,
horizon=4,
offset=1)
for ref_date in ref_dates:
start_date = advanceDateByCalendar('china.sse', ref_date, '2b')
end_date = advanceDateByCalendar('china.sse', ref_date, '6b')
query = select([IndexMarket.indexCode, IndexMarket.chgPct]).where(
and_(IndexMarket.trade_date.between(start_date, end_date),
IndexMarket.indexCode == index_code))
df = pd.read_sql(query, con=self.engine.engine)
res = df.groupby('indexCode').apply(lambda x: np.log(1. + x).sum())
calculated_return = dx_return[dx_return.trade_date == ref_date]
np.testing.assert_array_almost_equal(calculated_return.dx.values,
res.chgPct.values)
def test_sql_engine_fetch_factor(self):
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
factor = 'ROE'
factor_data = self.engine.fetch_factor(ref_date, factor, codes)
query = select([Uqer.code, Uqer.ROE]).where(
and_(Uqer.trade_date == ref_date, Uqer.code.in_(codes)))
df = pd.read_sql(query, con=self.engine.engine).sort_values('code')
np.testing.assert_array_almost_equal(factor_data.ROE.values,
df.ROE.values)
def test_sql_engine_fetch_factor_range(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', self.ref_date, '-6m'),
self.ref_date, '60b', 'china.sse')
universe = Universe('zz500') + Universe('zz1000')
factor = 'ROE'
factor_data = self.engine.fetch_factor_range(universe,
factor,
dates=ref_dates)
codes = self.engine.fetch_codes_range(universe, dates=ref_dates)
groups = codes.groupby('trade_date')
for ref_date, g in groups:
query = select([Uqer.code, Uqer.ROE]).where(
and_(Uqer.trade_date == ref_date,
Uqer.code.in_(g.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
calculated_factor = factor_data[factor_data.trade_date == ref_date]
np.testing.assert_array_almost_equal(calculated_factor.ROE.values,
df.ROE.values)
def test_sql_engine_fetch_factor_range_forward(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', self.ref_date, '-6m'),
self.ref_date, '60b', 'china.sse')
ref_dates = ref_dates + [
advanceDateByCalendar('china.sse', ref_dates[-1],
'60b').strftime('%Y-%m-%d')
]
universe = Universe('zz500') + Universe('zz1000')
factor = 'ROE'
factor_data = self.engine.fetch_factor_range_forward(universe,
factor,
dates=ref_dates)
codes = self.engine.fetch_codes_range(universe, dates=ref_dates[:-1])
groups = codes.groupby('trade_date')
for ref_date, g in groups:
forward_ref_date = advanceDateByCalendar(
'china.sse', ref_date, '60b').strftime('%Y-%m-%d')
query = select([Uqer.code, Uqer.ROE]).where(
and_(Uqer.trade_date == forward_ref_date,
Uqer.code.in_(g.code.unique().tolist())))
df = pd.read_sql(query, con=self.engine.engine)
calculated_factor = factor_data[factor_data.trade_date == ref_date]
calculated_factor.set_index('code', inplace=True)
calculated_factor = calculated_factor.loc[df.code]
np.testing.assert_array_almost_equal(calculated_factor.dx.values,
df.ROE.values)
def test_sql_engine_fetch_benchmark(self):
ref_date = self.ref_date
benchmark = 906
index_data = self.engine.fetch_benchmark(ref_date, benchmark)
query = select([
IndexComponent.code, (IndexComponent.weight / 100.).label('weight')
]).where(
and_(IndexComponent.trade_date == ref_date,
IndexComponent.indexCode == benchmark))
df = pd.read_sql(query, con=self.engine.engine)
np.testing.assert_array_almost_equal(df.weight.values,
index_data.weight.values)
def test_sql_engine_fetch_benchmark_range(self):
ref_dates = makeSchedule(
advanceDateByCalendar('china.sse', self.ref_date, '-9m'),
self.ref_date, '60b', 'china.sse')
benchmark = 906
index_data = self.engine.fetch_benchmark_range(benchmark,
dates=ref_dates)
query = select([
IndexComponent.trade_date, IndexComponent.code,
(IndexComponent.weight / 100.).label('weight')
]).where(
and_(IndexComponent.trade_date.in_(ref_dates),
IndexComponent.indexCode == benchmark))
df = pd.read_sql(query, con=self.engine.engine)
for ref_date in ref_dates:
calculated_data = index_data[index_data.trade_date == ref_date]
expected_data = df[df.trade_date == ref_date]
np.testing.assert_array_almost_equal(calculated_data.weight.values,
expected_data.weight.values)
def test_sql_engine_fetch_risk_model(self):
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
risk_cov, risk_exp = self.engine.fetch_risk_model(ref_date,
codes,
risk_model='short')
self.assertListEqual(risk_cov.Factor.tolist(),
risk_cov.columns[2:].tolist())
query = select([RiskCovShort
]).where(RiskCovShort.trade_date == ref_date)
cov_df = pd.read_sql(query,
con=self.engine.engine).sort_values('FactorID')
factors = cov_df.Factor.tolist()
np.testing.assert_array_almost_equal(risk_cov[factors].values,
cov_df[factors].values)
query = select([RiskExposure]).where(
and_(RiskExposure.trade_date == ref_date,
RiskExposure.code.in_(codes)))
exp_df = pd.read_sql(query, con=self.engine.engine)
np.testing.assert_array_almost_equal(exp_df[factors].values,
risk_exp[factors].values)
def test_sql_engine_fetch_industry_matrix(self):
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
ind_matrix = self.engine.fetch_industry_matrix(ref_date, codes, 'sw',
1)
query = select([Industry.code, Industry.industryName1]).where(
and_(Industry.trade_date == ref_date,
Industry.industry == '申万行业分类', Industry.code.in_(codes)))
df = pd.read_sql(query, con=self.engine.engine)
df = pd.get_dummies(df, prefix="", prefix_sep="")
self.assertEqual(len(ind_matrix), len(df))
np.testing.assert_array_almost_equal(df[ind_matrix.columns[2:]].values,
ind_matrix.iloc[:, 2:].values)
def test_sql_engine_fetch_factor_by_categories(self):
ref_date = self.ref_date
universe = Universe('zz500') + Universe('zz1000')
codes = self.engine.fetch_codes(ref_date, universe)
factor1 = {'f': CSRank('ROE', groups='sw1')}
factor2 = {'f': CSQuantiles('ROE', groups='sw1')}
raw_factor = 'ROE'
df1 = self.engine.fetch_factor(ref_date, factor1, codes)
df2 = self.engine.fetch_factor(ref_date, factor2, codes)
df3 = self.engine.fetch_factor(ref_date, raw_factor, codes)
ind_matrix = self.engine.fetch_industry_matrix(ref_date, codes, 'sw',
1)
cols = sorted(ind_matrix.columns[2:].tolist())
series = (ind_matrix[cols] *
np.array(range(1,
len(cols) + 1))).sum(axis=1)
df3['cat'] = series.values
expected_rank = df3[[
'ROE', 'cat'
]].groupby('cat').transform(lambda x: rankdata(x.values))
expected_rank[np.isnan(df3.ROE)] = np.nan
df3['rank'] = expected_rank['ROE'].values
np.testing.assert_array_almost_equal(df3['rank'].values,
df1['f'].values)
expected_quantile = df3[['ROE', 'cat']].groupby('cat').transform(
lambda x: rankdata(x.values) / (len(x) + 1))
expected_quantile[np.isnan(df3.ROE)] = np.nan
df3['quantile'] = expected_quantile['ROE'].values
np.testing.assert_array_almost_equal(df3['quantile'].values,
df2['f'].values)
class Strategy(object):
def __init__(self,
alpha_model,
data_meta,
running_setting,
dask_client=None):
self.alpha_model = alpha_model
self.data_meta = data_meta
self.running_setting = running_setting
self.engine = SqlEngine(self.data_meta.data_source)
self.dask_client = dask_client
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
@staticmethod
def _generate_sec_cov(current_data, risk_cov):
risk_exposure = current_data[all_styles].values
risk_cov = risk_cov[all_styles].values
special_risk = current_data['srisk'].values
sec_cov = risk_exposure @ risk_cov @ risk_exposure.T / 10000 + np.diag(
special_risk**2) / 10000
return sec_cov
def _calculate_pos(self, er, data, constraints, benchmark_w, lbound,
ubound, **kwargs):
target_pos, _ = er_portfolio_analysis(
er,
industry=data.industry_name.values,
dx_return=None,
constraints=constraints,
detail_analysis=False,
benchmark=benchmark_w,
method=self.running_setting.rebalance_method,
lbound=lbound,
ubound=ubound,
current_position=kwargs.get('current_position'),
target_vol=kwargs.get('target_vol'),
cov=kwargs.get('sec_cov'),
turn_over_target=kwargs.get('turn_over_target'))
return target_pos
