def __init__(self):
self.needFields = None
self.needTableFields = None
self.factorName = None
self.neutral = False
self.isRiskFactor = False
self.scoreObj = FactorScores()
self.testsObj = FactorTests()
if FactorBase.factorIO is None:
FactorBase.factorIO = FactorIO(fctDataPath=update.fctDataPath)
if FactorBase.dataReader is None:
FactorBase.dataReader = DataReaderMat()
if FactorBase.factorRisk is None:
FactorBase.factorRisk = FactorRisks(
fctDataPath=update.fctDataPath,
riskFctPath=update.riskDataPath)
self.headDate = self.dataReader.calendar._calibrate_date(
currDate=20070630, currSide='right')
# self.headDate = self.dataReader.calendar._calibrate_date(currDate=20180101, currSide='right')
self.tailDate = self.dataReader.calendar._tradeDates[-1]
self.calculator = Calculator()
def corr15(x, y):
return Calculator().Corr(x, y, 15)
def diff20(x):
return Calculator().Diff(x, 20)
def diff9(x):
return Calculator().Diff(x, 9)
def diff7(x):
return Calculator().Diff(x, 7)
def diff5(x):
return Calculator().Diff(x, 5)
def diff3(x):
return Calculator().Diff(x, 3)
def delay9(x):
return Calculator().Delay(x, 9)
def regalpha20(x, y):
return Calculator().RegAlpha(x, y, 20)
def regalpha15(x, y):
return Calculator().RegAlpha(x, y, 15)
def corr60(x, y):
return Calculator().Corr(x, y, 60)
def delay5(x):
return Calculator().Delay(x, 5)
def corr30(x, y):
return Calculator().Corr(x, y, 30)
def corr25(x, y):
return Calculator().Corr(x, y, 25)
def corr20(x, y):
return Calculator().Corr(x, y, 20)
def delay7(x):
return Calculator().Delay(x, 7)
def delay8(x):
return Calculator().Delay(x, 8)
def regalpha30(x, y):
return Calculator().RegAlpha(x, y, 30)
def delay10(x):
return Calculator().Delay(x, 10)
def regalpha60(x, y):
return Calculator().RegAlpha(x, y, 60)
def diff4(x):
return Calculator().Diff(x, 4)
def regbeta15(x, y):
return Calculator().RegBeta(x, y, 15)
def diff6(x):
return Calculator().Diff(x, 6)
def delay6(x):
return Calculator().Delay(x, 6)
def diff8(x):
return Calculator().Diff(x, 8)
def regbeta20(x, y):
return Calculator().RegBeta(x, y, 20)
def diff10(x):
return Calculator().Diff(x, 10)
def regbeta30(x, y):
return Calculator().RegBeta(x, y, 30)
def max5(x):
return Calculator().Max(x, 5)
def regbeta60(x, y):
return Calculator().RegBeta(x, y, 60)