def test_model():
model.StockSelector()
model.SimpleCostModel()
model.AlphaContext()
model.FactorRiskModel()
model.FactorSignalModel()
def test_alpha_strategy_dataview():
save_dataview()
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
props = {
"start_date": dv.start_date,
"end_date": dv.end_date,
"period": "week",
"days_delay": 0,
"init_balance": 1e8,
"position_ratio": 0.7,
'commission_rate': 0.0
}
trade_api = AlphaTradeApi()
bt = AlphaBacktestInstance()
risk_model = model.FactorRiskModel()
signal_model = model.FactorSignalModel()
cost_model = model.SimpleCostModel()
stock_selector = model.StockSelector()
signal_model.add_signal(name='my_factor', func=my_factor)
cost_model.consider_cost(name='my_commission',
func=my_commission,
options={'myrate': 1e-2})
stock_selector.add_filter(name='total_profit_growth', func=my_selector)
stock_selector.add_filter(name='no_new_stocks',
func=my_selector_no_new_stocks)
strategy = AlphaStrategy(signal_model=signal_model,
stock_selector=stock_selector,
cost_model=cost_model,
risk_model=risk_model,
pc_method='factor_value_weight')
pm = PortfolioManager()
# strategy = AlphaStrategy(signal_model=signal_model, pc_method='factor_value_weight')
# strategy = AlphaStrategy(stock_selector=stock_selector, pc_method='market_value_weight')
# strategy = AlphaStrategy()
context = model.AlphaContext(dataview=dv,
trade_api=trade_api,
instance=bt,
strategy=strategy,
pm=pm)
for mdl in [risk_model, signal_model, cost_model, stock_selector]:
mdl.register_context(context)
bt.init_from_config(props)
bt.run_alpha()
bt.save_results(folder_path=backtest_result_dir_path)
def test_alpha_strategy_dataview():
dv_subfolder_name = 'test_dataview'
save_dataview(sub_folder=dv_subfolder_name)
dv = DataView()
fullpath = fileio.join_relative_path('../output/prepared',
dv_subfolder_name)
dv.load_dataview(folder=fullpath)
props = {
"benchmark": "000300.SH",
# "symbol": ','.join(dv.symbol),
"universe": ','.join(dv.symbol),
"start_date": dv.start_date,
"end_date": dv.end_date,
"period": "month",
"days_delay": 0,
"init_balance": 1e9,
"position_ratio": 0.7,
}
gateway = DailyStockSimGateway()
gateway.init_from_config(props)
context = model.Context()
context.register_gateway(gateway)
context.register_trade_api(gateway)
context.register_dataview(dv)
risk_model = model.FactorRiskModel()
signal_model = model.FactorRevenueModel_dv()
cost_model = model.SimpleCostModel()
risk_model.register_context(context)
signal_model.register_context(context)
cost_model.register_context(context)
signal_model.register_func('my_factor', my_factor)
signal_model.activate_func({'my_factor': {}})
cost_model.register_func('my_commission', my_commission)
cost_model.activate_func({'my_commission': {'myrate': 1e-2}})
strategy = DemoAlphaStrategy(risk_model, signal_model, cost_model)
# strategy.active_pc_method = 'equal_weight'
# strategy.active_pc_method = 'mc'
strategy.active_pc_method = 'factor_value_weight'
bt = AlphaBacktestInstance_dv()
bt.init_from_config(props, strategy, context=context)
bt.run_alpha()
bt.save_results(fileio.join_relative_path('../output/'))