def LoadPortfolios(self, portfolios):
""""""
self.logger.info("<{}>-Load portfolios".format(
__name__.split('.')[-1]))
self.trdDate = GetTrdDay.GetTradeDays()
self.rebalanceDate = sorted(portfolios.keys())
self.ports = portfolios
def SetRebalanceDate(self, begDate, endDate, freq, day):
""""""
self.logger.info("<{}>-Set rebalance frequency: {}".format(
__name__.split('.')[-1], freq))
self.objTradeDays = GetTrdDays.TradeDays()
self.objTradeDays.GetTradeDays()
self.rebalaceDays = self.objTradeDays.GetRebalanceDays(
begDate, endDate, freq, day)
def __init__(self, logger=None):
"""Constructor"""
if logger == None:
self.logger = LogHandler.LogOutputHandler(
"ComputeFactorsAndZScores")
else:
self.logger = logger
self.trdDays = GetTrdDay.GetTradeDays()
def __init__(self,logger=None):
"""Constructor"""
#Create log file
if logger == None:
self.logger = LogHandler.LogOutputHandler("ComputeFactorsAndZScores")
else:
self.logger = logger
dbPathProcessedData = GetPath.GetLocalDatabasePath()["EquityDataRefined"]
self.dbPathProcessedData = dbPathProcessedData
self.totalTradeDay = GetTrdDay.GetTradeDays()
def __init__(self,
dbPathFactorValues,
dbPathMarketData,
begDate,
endDate,
logger=None):
"""Constructor"""
if logger == None:
self.logger = logging.logger()
else:
self.logger = logger
dbPathRawData = GetPath.GetLocalDatabasePath()["RawEquity"]
dbPathProcessedData = GetPath.GetLocalDatabasePath()["ProcEquity"]
#价格数据录入内存数据库
self.connDbMkt = lite.connect(":memory:")
self.connDbMkt.text_factory = str
cur = self.connDbMkt.cursor()
self.logger.info(
"<{}>-Load local database into in-memory database".format(
__name__.split('.')[-1]))
_dbPathMarketData = dbPathRawData + dbPathMarketData
cur.execute("ATTACH '{}' AS MktData".format(_dbPathMarketData))
cur.execute(
"CREATE TABLE MktData AS SELECT StkCode,Date,LC,TC FROM MktData.AStockData WHERE Date>='{}'"
.format(begDate))
cur.execute("CREATE INDEX mId ON MktData (Date,StkCode)")
self.logger.info("<{}>-Done".format(__name__.split('.')[-1]))
#连接因子数据库
dbFactorValue = dbPathProcessedData + dbPathFactorValues
self.connDbFV = lite.connect(dbFactorValue)
self.connDbFV.text_factory = str
#获取交易日
self._trdDays = GetTrdDay.GetTradeDays()
self.revalueDays = []
self.trdDays = []
cur = self.connDbFV.cursor()
cur.execute("SELECT DISTINCT Date FROM FactorValues ORDER BY Date ASC")
rows = cur.fetchall()
for row in rows:
self.revalueDays.append(row[0])
for d in self._trdDays:
if d >= self.revalueDays[0] and d <= endDate and d >= begDate:
self.trdDays.append(d)
#Initialte CalculatePortfolioReturn
self.objCalcPortReturn = CalcPortRet.CalculatePortfolioReturn(
dbPathMarketData, self.connDbMkt, self.logger)
def CalcVols(self, begDate, endDate, returnHorizon):
""""""
self.trdDate = GetTrdDays.GetTradeDays()
trdDay = []
for d in self.trdDate:
if d >= begDate and d <= endDate:
trdDay.append(d)
crossSectionalVols = {}
for _index in self.constituentIndexCode:
_vols = []
for day in trdDay:
stks = self.objConstituentStocks.GetConstituentStocksAtGivenDate(
day, [_index])
numOfStks = len(stks)
histRet = []
for stk in stks:
hRet = self.objGetFactorValues.GetHistoricalReturns(
stk, day, returnHorizon)
histRet.append(hRet)
vol = numpy.nanstd(histRet)
_vols.append(vol)
crossSectionalVols[_index] = _vols
df = pd.DataFrame(crossSectionalVols, index=trdDay)
return df
def SetRebalanceDate(self, begDate, endDate, freq, day):
""""""
self.objTradeDays = GetTrdDays.TradeDays()
self.objTradeDays.GetTradeDays()
self.rebalaceDays = self.objTradeDays.GetRebalanceDays(
begDate, endDate, freq, day)