def runMod(mod, joinedData):
pred = dataAck.computePosition([
mod.makeTodayPrediction(
portfolio.prepareDataForModel(mod, joinedData))
])
print(mod.describe(), pred, joinedData.index[-1])
portfolio.storeModelPrediction(mod, pred, joinedData.index[-1])
##ENSURE POPULATED FOR CORRECT PREDICTION STYLE
i = mod.inputSeries.predictionPeriod - 1
while i > 0:
pred = dataAck.computePosition(
[mod.makeTodayPrediction(joinedData[:-i])])
print(mod.describe(), pred, joinedData[:-i].index[-1])
portfolio.storeModelPrediction(mod, pred,
joinedData[:-i].index[-1])
i -= 1
def runBackfillMP(mod, joinedData, threadsToUse, backfillDays = 30):
mpEngine = mp.get_context('fork')
i = mod.inputSeries.predictionPeriod - 1 + backfillDays
runningP = []
while i > 0:
while len(runningP) > threadsToUse:
runningP = dataAck.cycleP(runningP)
p = mpEngine.Process(target=runModPredictionBackfill, args=(mod, joinedData[:-i], backfillDays, ))
p.start()
runningP.append(p)
i -= 1
while len(runningP) > 0:
runningP = dataAck.cycleP(runningP)
print("CHECKING AGGREGATE PREDICTIONS")
##STORE AGGREGATE PREDICTIONS
i = mod.inputSeries.predictionPeriod - 1 + backfillDays
allPreds = portfolio.getPredictionsByModel(mod)
while i > 0:
lastDay = joinedData[:-i].index[-1]
todayPredictions = []
for pred in allPreds:
##CHECK IF PREDICTION STILL VALID
if len(joinedData[str(pred["lastDataDayUsed"]):lastDay]) - 1 < pred["predictionLength"] and len(joinedData[str(pred["lastDataDayUsed"]):lastDay]) > 0:##GETS TRADING DAYS SINCE LAST DATA DAY
todayPredictions.append(pred["prediction"])
##SKIP UPLOAD IF NOT ENOUGH PREDICTIONS
print(lastDay, len(todayPredictions))
if len(todayPredictions) == mod.inputSeries.predictionPeriod:
pred = dataAck.computePosition(todayPredictions)
print(mod.describe(), todayPredictions, pred)
portfolio.storeAggregateModelPrediction(mod, pred, lastDay)
i -= 1
def getAggregatePredictionForModelDaily(model, joinedData):
todayPredictions = []
for pred in getPredictionsByModel(model):
##CHECK IF PREDICTION STILL VALID
if len(joinedData[str(pred["lastDataDayUsed"]):]) - 1 < pred[
"predictionLength"]: ##GETS TRADING DAYS SINCE LAST DATA DAY
todayPredictions.append(pred["prediction"])
#print(model.describe(), todayPredictions, dataAck.computePosition(todayPredictions))
return dataAck.computePosition(todayPredictions)
def generateRawPredictions(allModels, joinedData, daysBack=False):
for mod in allModels:
pred = dataAck.computePosition([
mod.makeTodayPrediction(
portfolio.prepareDataForModel(mod, joinedData))
])
print(mod.describe(), pred, joinedData.index[-1])
portfolio.storeModelPrediction(mod, pred, joinedData.index[-1])
if daysBack == True:
##ENSURE POPULATED FOR CORRECT PREDICTION STYLE
i = mod.inputSeries.predictionPeriod - 1
while i > 0:
pred = dataAck.computePosition(
[mod.makeTodayPrediction(joinedData[:-i])])
print(mod.describe(), pred, joinedData[:-i].index[-1])
portfolio.storeModelPrediction(mod, pred,
joinedData[:-i].index[-1])
i -= 1
def runModelToday(self, dataOfInterest):
xVals, yVals, yIndex, xToday = self.generateWindows(dataOfInterest)
##GET PERTINENT PREDICTIONS
i = 0
predictionsToJoin = []
while i < self.predictionDistance:
xTarget = xVals[-i]
thisDayPrediction = self.runDay(xVals[:-i - 1], yVals[:-i - 1], xTarget, identifier=None, sharedDict=None)
predictionsToJoin.append(thisDayPrediction)
i += 1
print("PREDICTIONS TO JOIN", predictionsToJoin)
return dataAck.computePosition(predictionsToJoin)
def runModPredictionBackfill(mod, dataToUse, backfillDays = 30):
##ENSURE POPULATED FOR CORRECT PREDICTION STYLE
pred = dataAck.computePosition([mod.makeTodayPrediction(dataToUse)])
print(mod.describe(), pred, dataToUse.index[-1])
portfolio.storeModelPrediction(mod, pred, dataToUse.index[-1])
def runModelToday(self, dataOfInterest):
return self.combinePredictions([
dataAck.computePosition([self.obj1.runModelToday(dataOfInterest)]),
dataAck.computePosition([self.obj2.runModelToday(dataOfInterest)])
])
def runModelHistorical(self, dataOfInterest):
##RAW PREDICTIONS ARE PREDS 0->1.0
returnStream, factorReturn, predictions, slippageAdjustedReturn, rawPredictions1 = self.obj1.runModelHistorical(
dataOfInterest)
returnStream, factorReturn, predictions, slippageAdjustedReturn, rawPredictions2 = self.obj2.runModelHistorical(
dataOfInterest)
print(rawPredictions1)
print(rawPredictions2)
#computePositionConfidence
rawPredictions1 = pd.DataFrame(rawPredictions1.apply(
lambda x: dataAck.computePosition(x), axis=1),
columns=["Predictions 1"]).dropna()
rawPredictions2 = pd.DataFrame(rawPredictions2.apply(
lambda x: dataAck.computePosition(x), axis=1),
columns=["Predictions 2"]).dropna()
print(rawPredictions1)
print(rawPredictions2)
rawPredictions = rawPredictions1.join(rawPredictions2).dropna()
print(rawPredictions)
#averagePredictions
predsTable = pd.DataFrame(
rawPredictions.apply(lambda x: self.combinePredictions(x),
axis=1,
raw=True))
rawPredictions = predsTable
##PREDICTIONS COMBINED AS 0, 0.5, 1 where
i = 1
tablesToJoin = []
while i < self.predictionDistance:
thisTable = predsTable.shift(i)
thisTable.columns = ["Predictions_" + str(i)]
tablesToJoin.append(thisTable)
i += 1
returnStream = None
factorReturn = None
predictions = None
slippageAdjustedReturn = None
predsTable = predsTable.join(tablesToJoin)
##AVERAGE...A LOT OF SUBTLETY IN STRENGTH OF PREDICTION
transformedPreds = pd.DataFrame(predsTable.apply(
lambda x: dataAck.computePosition(x), axis=1),
columns=["Predictions"]).dropna()
dailyFactorReturn = dataAck.getDailyFactorReturn(
self.targetTicker, dataOfInterest)
transformedPreds = transformedPreds.join(dailyFactorReturn).dropna()
returnStream = pd.DataFrame(transformedPreds.apply(
lambda x: x[0] * x[1], axis=1),
columns=["Algo Return"])
factorReturn = pd.DataFrame(transformedPreds[["Factor Return"]])
predictions = pd.DataFrame(transformedPreds[["Predictions"]])
estimatedSlippageLoss = portfolioGeneration.estimateTransactionCost(
predictions)
estimatedSlippageLoss.columns = returnStream.columns
slippageAdjustedReturn = (returnStream -
estimatedSlippageLoss).dropna()
return returnStream, factorReturn, predictions, slippageAdjustedReturn, rawPredictions
def runModelsChunksSkipMP(self, dataOfInterest, daysToCheck = None, earlyStop=False):
xVals, yVals, yIndex, xToday = self.generateWindows(dataOfInterest)
mpEngine = mp.get_context('fork')
with mpEngine.Manager() as manager:
returnDict = manager.dict()
identifiersToCheck = []
for i in range(len(xVals) - 44): ##44 is lag...should not overlap with any other predictions or will ruin validity of walkforward optimization
if i < 600:
##MIN TRAINING
continue
identifiersToCheck.append(str(i))
if daysToCheck is not None:
identifiersToCheck = identifiersToCheck[-daysToCheck:]
##FIRST CHECK FIRST 500 IDENTIFIERS AND THEN IF GOOD CONTINUE
identifierWindows = [identifiersToCheck[:252], identifiersToCheck[252:600], identifiersToCheck[600:900], identifiersToCheck[900:1200], identifiersToCheck[1200:]] ##EXACTLY TWO YEARS
if earlyStop == False:
identifierWindows = [identifiersToCheck]
returnStream = None
factorReturn = None
predictions = None
slippageAdjustedReturn = None
rawPredictions = None
shortSeen = 0 if earlyStop == True else -1
for clippedIdentifiers in identifierWindows:
splitIdentifiers = np.array_split(np.array(clippedIdentifiers), 4)
runningP = []
k = 0
for identifiers in splitIdentifiers:
p = mpEngine.Process(target=CurvePredictor.runDayChunking, args=(self, xVals, yVals, identifiers, returnDict,k))
p.start()
runningP.append(p)
k += 1
while len(runningP) > 0:
newP = []
for p in runningP:
if p.is_alive() == True:
newP.append(p)
else:
p.join()
runningP = newP
preds = []
actuals = []
days = []
for i in clippedIdentifiers:
preds.append(returnDict[i])
actuals.append(yVals[int(i) + 44])
days.append(yIndex[int(i) + 44])
##CREATE ACCURATE BLENDING ACROSS DAYS
predsTable = pd.DataFrame(preds, index=days, columns=["Predictions"])
i = 1
tablesToJoin = []
while i < self.predictionDistance:
thisTable = predsTable.shift(i)
thisTable.columns = ["Predictions_" + str(i)]
tablesToJoin.append(thisTable)
i += 1
predsTable = predsTable.join(tablesToJoin)
transformedPreds = pd.DataFrame(predsTable.apply(lambda x:dataAck.computePosition(x), axis=1), columns=["Predictions"]).dropna()
dailyFactorReturn = dataAck.getDailyFactorReturn(self.targetTicker, dataOfInterest)
transformedPreds = transformedPreds.join(dailyFactorReturn).dropna()
returnStream = pd.DataFrame(transformedPreds.apply(lambda x:x[0] * x[1], axis=1), columns=["Algo Return"]) if returnStream is None else pd.concat([returnStream, pd.DataFrame(transformedPreds.apply(lambda x:x[0] * x[1], axis=1), columns=["Algo Return"])])
factorReturn = pd.DataFrame(transformedPreds[["Factor Return"]]) if factorReturn is None else pd.concat([factorReturn, pd.DataFrame(transformedPreds[["Factor Return"]])])
predictions = pd.DataFrame(transformedPreds[["Predictions"]]) if predictions is None else pd.concat([predictions, pd.DataFrame(transformedPreds[["Predictions"]])])
rawPredictions = pd.DataFrame(preds, index=days, columns=["Predictions"]) if rawPredictions is None else pd.concat([rawPredictions, pd.DataFrame(preds, index=days, columns=["Predictions"])])
alpha, beta = empyrical.alpha_beta(returnStream, factorReturn)
activity = np.count_nonzero(returnStream)/float(len(returnStream))
rawBeta = abs(empyrical.alpha_beta(returnStream.apply(lambda x:dataAck.applyBinary(x), axis=0), factorReturn.apply(lambda x:dataAck.applyBinary(x), axis=0))[1])
shortSharpe = empyrical.sharpe_ratio(returnStream)
activity = np.count_nonzero(returnStream)/float(len(returnStream))
algoAnnualReturn = empyrical.annual_return(returnStream.values)[0]
algoVol = empyrical.annual_volatility(returnStream.values)
factorAnnualReturn = empyrical.annual_return(factorReturn.values)[0]
factorVol = empyrical.annual_volatility(factorReturn.values)
treynor = ((empyrical.annual_return(returnStream.values)[0] - empyrical.annual_return(factorReturn.values)[0]) \
/ abs(empyrical.beta(returnStream, factorReturn)))
sharpeDiff = empyrical.sharpe_ratio(returnStream) - empyrical.sharpe_ratio(factorReturn)
relativeSharpe = sharpeDiff / empyrical.sharpe_ratio(factorReturn) * (empyrical.sharpe_ratio(factorReturn)/abs(empyrical.sharpe_ratio(factorReturn)))
stability = empyrical.stability_of_timeseries(returnStream)
##CALCULATE SHARPE WITH SLIPPAGE
estimatedSlippageLoss = portfolioGeneration.estimateTransactionCost(predictions)
estimatedSlippageLoss.columns = returnStream.columns
slippageAdjustedReturn = (returnStream - estimatedSlippageLoss).dropna()
slippageSharpe = empyrical.sharpe_ratio(slippageAdjustedReturn)
sharpeDiffSlippage = empyrical.sharpe_ratio(slippageAdjustedReturn) - empyrical.sharpe_ratio(factorReturn)
relativeSharpeSlippage = sharpeDiffSlippage / empyrical.sharpe_ratio(factorReturn) * (empyrical.sharpe_ratio(factorReturn)/abs(empyrical.sharpe_ratio(factorReturn)))
profitability = len((returnStream.values)[returnStream.values > 0])/len(returnStream.values)
rollingProfitability = returnStream.rolling(45, min_periods=45).apply(lambda x:len((x)[x > 0])/len(x)).dropna().values
minRollingProfitability = np.percentile(rollingProfitability, 1)
twentyFifthPercentileRollingProfitablity = np.percentile(rollingProfitability, 25)
if np.isnan(shortSharpe) == True:
return None, {"sharpe":shortSharpe}, None, None, None
elif (profitability < 0.4 or activity < 0.3 or abs(rawBeta) > 0.4 or stability < 0.3) and shortSeen == 0:
return None, {
"sharpe":shortSharpe, ##OVERLOADED IN FAIL
"activity":activity,
"factorSharpe":empyrical.sharpe_ratio(factorReturn),
"sharpeSlippage":slippageSharpe,
"beta":abs(beta),
"alpha":alpha,
"activity":activity,
"treynor":treynor,
"period":"first 252 days",
"algoReturn":algoAnnualReturn,
"algoVol":algoVol,
"factorReturn":factorAnnualReturn,
"factorVol":factorVol,
"sharpeDiff":sharpeDiff,
"relativeSharpe":relativeSharpe,
"sharpeDiffSlippage":sharpeDiffSlippage,
"relativeSharpeSlippage":relativeSharpeSlippage,
"rawBeta":rawBeta,
"minRollingProfitability":minRollingProfitability,
"stability":stability,
"twentyFifthPercentileRollingProfitablity":twentyFifthPercentileRollingProfitablity,
"profitability":profitability
}, None, None, None
elif abs(rawBeta) > 0.33 or activity < 0.3 or stability < 0.4 or twentyFifthPercentileRollingProfitablity < 0.41 \
or minRollingProfitability < 0.3 or profitability < 0.46:
periodName = "first 600 days"
if shortSeen == 2:
periodName = "first 900 days"
elif shortSeen == 3:
periodName = "first 1200 days"
return None, {
"sharpe":shortSharpe, ##OVERLOADED IN FAIL
"activity":activity,
"factorSharpe":empyrical.sharpe_ratio(factorReturn),
"sharpeSlippage":slippageSharpe,
"alpha":alpha,
"beta":abs(beta),
"activity":activity,
"treynor":treynor,
"period":periodName,
"algoReturn":algoAnnualReturn,
"algoVol":algoVol,
"factorReturn":factorAnnualReturn,
"factorVol":factorVol,
"minRollingProfitability":minRollingProfitability,
"sharpeDiff":sharpeDiff,
"relativeSharpe":relativeSharpe,
"sharpeDiffSlippage":sharpeDiffSlippage,
"relativeSharpeSlippage":relativeSharpeSlippage,
"rawBeta":rawBeta,
"stability":stability,
"twentyFifthPercentileRollingProfitablity":twentyFifthPercentileRollingProfitablity,
"profitability":profitability
}, None, None, None
elif shortSeen < 4:
print("CONTINUING", "SHARPE:", shortSharpe, "SHARPE DIFF:", sharpeDiff, "RAW BETA:", rawBeta, "TREYNOR:", treynor)
shortSeen += 1
return returnStream, factorReturn, predictions, slippageAdjustedReturn, rawPredictions
