def __init__(self, port_name):
Data.__init__(self)
self.wind_port_path = WindPortUpLoad().path
self.data_weight_path = Index().data_path_weight
self.data_factor_path = Index().data_data_factor
self.port_name = '天风股票基金'
def __init__(self,
fund_pool_name="指数+主动股票+灵活配置60基金",
benchmark_name="基金持仓基准基金池",
alpha_len=750,
alpha_column="RegressAlphaIR",
port_name="股票型基金优选750AlphaIR",
style_deviate=0.10,
position_deviate=0.02,
fund_up_ratio=0.15,
turnover=0.30
):
Data.__init__(self)
self.sub_data_path = r'fund_data\nice_stock_fund'
self.port_name = port_name
self.fund_pool_name = fund_pool_name
self.benchmark_name = benchmark_name
self.alpha_len = alpha_len
self.setup_date_len = self.alpha_len + 50
self.style_deviate = style_deviate
self.position_deviate = position_deviate
self.fund_up_ratio = fund_up_ratio
self.turnover = turnover # double
self.alpha_column = alpha_column
self.data_path = os.path.join(self.primary_data_path, self.sub_data_path, self.port_name)
self.port_path = os.path.join(WindPortUpLoad().path, self.port_name)
if not os.path.exists(self.port_path):
os.makedirs(self.port_path)
if not os.path.exists(self.data_path):
os.makedirs(self.data_path)
def __init__(self):
""" 宏观数据的下载 和获取 """
Data.__init__(self)
self.sub_data_path = r'macro_data\data'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
def __init__(self):
Data.__init__(self)
self.sub_data_path = r'barra_data'
self.load_from_path = "\\\\10.3.12.202\\fe\\risk_model\\"
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
def __init__(self):
"""
优化函数母类
主要是共同的取数据函数
"""
Data.__init__(self)
self.port_name = ""
self.benchmark_code = ""
self.stock_pool_name = ""
self.industry_deviate = ""
self.style_deviate = ""
self.stock_deviate = ""
self.double_turnover = ""
self.min_tor = 0.001 # 权重最小容忍值
self.style_columns = []
self.weight_sum = 0.95
self.track_error = 0.05
self.free_mv = None
self.trading_status = None
self.alpha_data = None
self.date_series = None
self.wind_port_path = WindPortUpLoad().path
def __init__(self, folder_name="SizeIndex", index_code_list=None):
""" 可以修改回归的指数列表 和文件夹的名称 """
Data.__init__(self)
self.folder_name = folder_name
self.sub_data_path = r'fund_data\fund_exposure\fund_regression_exposure_index'
self.file_prefix = "IndexExposure"
self.index_exposure_path = os.path.join(self.primary_data_path,
self.sub_data_path,
self.folder_name)
if not os.path.exists(self.index_exposure_path):
os.makedirs(self.index_exposure_path)
if index_code_list is None:
self.index_code_list = [
"885062.WI", "885008.WI", "801853.SI", "000300.SH",
"000905.SH", "000852.SH", "399006.SZ", "399005.SZ"
]
else:
self.index_code_list = index_code_list
# 默认参数
self.regression_period = 20
self.regression_period_min = 15
self.turnover = 0.03
self.asset_pct = ""
def __init__(self):
Data.__init__(self)
self.sub_data_path = r'stock_data\risk_model\model'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.model_performance_path = os.path.join(
self.primary_data_path, r'stock_data\risk_model\model_performance')
self.model_path = ""
self.risk_model_name = ""
self.exposure_path = ""
self.factor_return_path = ""
self.res_return_path = ""
self.factor_cov_path = ""
self.stock_res_cov_path = ""
self.stock_cov_path = ""
self.pct_chg = None
self.free_mv_data = None
self.trade_status = None
self.industry = None
self.style_factor_name = None
self.change_style_factor_name = None
self.style_factor_data = None
self.industry_factor_name = None
self.date_series = None
def __init__(self):
Data.__init__(self)
self.sub_data_path = r'mfcteda_data\fund_report\quarter_report'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.network_path = r'\\10.1.0.7\rd\※※金融工程部数据产品※※\# 基金季报月报\基金季报'
def __init__(self):
""" 初始化 """
Data.__init__(self)
self.sub_data_path = r'mfcteda_data\attribution'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.double_fee_ratio = 0.001 + 0.0008 * 2 # 印花税 + 交易佣金
self.mg_fee_ratio = (1.2 / 100 + 0.2 / 100) / 250.0 # 管理费
self.index_code_ratio = 0.95
self.index_code = ""
self.fund_code = ""
self.fund_name = ""
self.type = ""
self.beg_date = ""
self.end_date = ""
self.beg_date_pre = ""
self.period_name = ""
self.close_unadjust = None
self.adjust_factor = None
self.data = None
self.ipo_days = 40
self.ipo_data = Stock().get_ipo_date()
self.ipo_data.columns = ['IpoDate', 'DeListDate']
self.ipo_data = pd.DataFrame(self.ipo_data['IpoDate'])
def __init__(self):
""" 数据存储位置 """
Data.__init__(self)
self.sub_data_path = r"index_data\timing"
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
def __init__(self,
regress_length=25,
regress_length_min=20,
stock_ratio_up=0.95,
stock_ratio_low=0.60,
turnover_daily=0.035,
index_code_list=None):
Data.__init__(self)
self.data_path = os.path.join(self.primary_data_path,
r'fund_data\fund_stock_style_ratio')
index_close = Index().get_index_cross_factor(factor_name='CLOSE')
index_pct = index_close.pct_change() * 100
fund_return = FundFactor().get_fund_factor("Repair_Nav_Pct")
self.data_return = pd.concat([index_pct, fund_return], axis=1)
self.regress_length = regress_length
self.regress_length_min = regress_length_min
self.stock_ratio_up = stock_ratio_up
self.stock_ratio_low = stock_ratio_low
self.turnover_daily = turnover_daily
if index_code_list is None:
# 需要有债券指数 来测量股债仓位
self.index_code_list = [
"885062.WI", "801853.SI", "000300.SH", "000905.SH",
"000852.SH", "399006.SZ"
]
self.index_name_list = [
'短期纯债基金', '绩优股指数', '沪深300', '中证500', '中证1000', '创业板指'
]
else:
self.index_code_list = index_code_list
def __init__(self):
Data.__init__(self)
self.sub_data_path = r'mfcteda_data'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.ftp_path = r'\holdingdata'
self.network_path = r'\\10.1.0.7\内外网文档交换\内网转外网\金融工程部\窦福成\holdingdata'
def __init__(self):
""" 数据存储位置 """
Data.__init__(self)
self.port_name = "ZZ500_3Factor"
self.wind_port_path = WindPortUpLoad().path
self.data_weight_path = Index().data_path_weight
self.data_factor_path = Index().data_data_factor
self.beg_date = "20170301"
def __init__(self):
Data.__init__(self)
self.wind_port_path = WindPortUpLoad().path
self.data_weight_path = Index().data_path_weight
self.data_factor_path = Index().data_data_factor
self.port_name = '天风股票基金'
self.fund_index_code = "885000.WI"
def __init__(self):
Data.__init__(self)
self.sub_data_path = r'fund_data\nice_index_fund'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.data_min_length = 200 # 最短有效数据长度
self.data_length = 250
def __init__(self):
Data.__init__(self)
self.sub_data_path = r'fund_data\fund_holding_data\fund_holding_quarter_simulation'
self.data_path_holder_simulate = os.path.join(self.primary_data_path,
self.sub_data_path)
self.industry_data = None
self.stock_data = None
def __init__(self):
# 和FundFactor的路径一样 读取也利用FundFactor
Data.__init__(self)
self.sub_data_path = r'fund_data\fund_factor_data'
self.data_path_holder_factor = os.path.join(self.primary_data_path,
self.sub_data_path)
def __init__(self):
""" 初始化数据存储位置和参数 """
Data.__init__(self)
self.sub_data_path = 'mfcteda_data\cal_ipo_sell'
self.ftp_path = "\\ipo_stock_sell\\"
self.data_path = os.path.join(self.primary_data_path, self.sub_data_path)
self.new_days = 60 # 60自然日
def __init__(self, fund_code):
Data.__init__(self)
self.port_name = "半年报%s" % fund_code
self.fund_code = fund_code
self.wind_port_path = WindPortUpLoad().path
self.data_weight_path = Index().data_path_weight
self.data_factor_path = Index().data_data_factor
def __init__(self):
""" 初始化数据存储位置和参数 """
Data.__init__(self)
self.sub_data_path = 'mfcteda_data\cal_ipo_buy'
self.network_path = r'\\10.1.0.7\rd\※※金融工程部数据产品※※\新股申购文件'
self.ftp_path = "\\ipo_stock_buy\\"
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
def __init__(self):
Data.__init__(self)
self.regression_exposure_name = 'Fund_Regression_Exposure_Style'
self.regression_period = 60
self.regression_period_min = 40
self.sub_data_path = r'fund_data\fund_exposure'
self.data_path_exposure = os.path.join(self.primary_data_path,
self.sub_data_path)
def __init__(self):
Data.__init__(self)
self.port_name = "主动股票基金month"
self.wind_port_path = WindPortUpLoad().path
self.data_weight_path = Index().data_path_weight
self.data_factor_path = Index().data_data_factor
self.stock_ratio = None
def __init__(self):
Data.__init__(self)
self.data_path = os.path.join(
self.primary_data_path,
r"fund_data\fund_holding_data\fund_holding_benchmark")
# 全部股票权重下限和前10大重仓权重下限
self.sum_weight_low = 60
self.top10_weight_low = 30
def __init__(self):
Data.__init__(self)
self.port_name = "普通股票型基金_等权季报_报告日"
self.wind_port_path = WindPortUpLoad().path
self.data_weight_path = Index().data_path_weight
self.data_factor_path = Index().data_data_factor
self.stock_ratio = None
def __init__(self):
self.regression_exposure_name = 'Fund_Regression_Risk_Alpha_Style'
self.index_code_list = [
"885062.WI", "885008.WI", "801853.SI", "000300.SH", "000905.SH",
"000852.SH", "399006.SZ", "399005.SZ"
]
Data.__init__(self)
self.sub_data_path = r'fund_data\fund_barra_exposure'
self.data_path_exposure = os.path.join(self.primary_data_path,
self.sub_data_path)
def __init__(self, today=datetime.today().strftime("%Y%m%d")):
""" 初始化 """
Data.__init__(self)
self.sub_data_path = r'mfcteda_data\mail_holding'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.today = Date().change_to_str(today)
self.index_code_list = [
"000300.SH", "000905.SH", "000016.SH", "881001.WI", '399101.SZ',
'399102.SZ'
]
def __init__(self):
""" 数据存储位置 """
Data.__init__(self)
self.sub_data_path = r'stock_data\alpha_model'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.exposure_hdf_path = os.path.join(self.data_path, r'factor\hdf')
self.exposure_csv_path = os.path.join(self.data_path, r'factor\csv')
self.factor_performance_path = os.path.join(self.data_path,
r'factor_performance')
def __init__(self):
""" 数据存储位置 """
Data.__init__(self)
self.sub_data_path = r'stock_data\stock_factor'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.exposure_hdf_path = os.path.join(self.data_path,
r'primary_factor\hdf')
self.exposure_csv_path = os.path.join(self.data_path,
r'primary_factor\csv')
def __init__(self):
Data.__init__(self)
self.sub_data_path = r'mfcteda_data\fund_report\advertise_report'
self.data_path = os.path.join(self.primary_data_path,
self.sub_data_path)
self.web_path = r'\\10.1.0.7\rd\※※金融工程部数据产品※※\# 基金季报月报\基金宣传单页'
self.param_file = os.path.join(self.data_path, r"参数", '宣传单页参数表.xlsx')
self.web_param_file = os.path.join(self.web_path, r"参数",
'宣传单页参数表.xlsx')
print(self.param_file)
print(self.web_param_file)
def __init__(self):
Data.__init__(self)
self.port_name = "普通股票型基金跟随"
self.wind_port_path = WindPortUpLoad().path
self.data_weight_path = Index().data_path_weight
self.data_factor_path = Index().data_data_factor
self.stock_ratio = None
self.free_mv = None
self.pct = None
self.group = 5
