def download(startDt, endDt):
dt = startDt
filenames = [
os.path.join(config.LOCAL_PATH_RAW, dn + '.csv') for dn in DATA_NAMES
]
cntDt = 0
lastMon = ''
while dt <= endDt:
for dataname, filename in zip(DATA_NAMES, filenames):
if dt[:7] != lastMon:
lastMon = dt[:7]
print(lastMon)
pass
df = eval(dataname + '(dt)')
if df.shape[0] > 0:
if cntDt > 0:
fmode = 'a'
wheader = False
else:
fmode = 'w'
wheader = True
pass
df.to_csv(filename, mode=fmode, header=wheader, index=False)
cntDt += 1
pass
pass
dt = utils_common.dtAdd(dt, 1)
pass
pass
def main(modelPath, startDt, endDt, initMoney, strategy, reportPath,
testStartDt):
df = dataio.getLabelAndFeature(config.LABEL, config.FEATURE_SELECT)
turnoverFilter = dataio.getTurnoverRankFilter()
maxContinousCloseDayFilter = dataio.getMaxContinousCloseDayFilter()
secFilter = turnoverFilter & maxContinousCloseDayFilter
idxFilter = np.asarray([True if st in secFilter else False \
for st in df.index])
df = df[idxFilter]
feature = df[config.FEATURE_SELECT].values
dts = df.index.get_level_values('tradeDate')
index = df.index.values
dt = startDt
while dt <= endDt:
print(dt)
filename = 'xgb_' + dt
stdout = sys.stdout
with open(os.path.join(reportPath, filename), 'w') as fout:
sys.stdout = fout
daily_test(feature, dts, index, initMoney, testStartDt,
os.path.join(modelPath, filename), strategy)
sys.stdout = stdout
pass
dt = utils_common.dtAdd(dt, 1)
pass
def main(modelPath,startDt,endDt,initMoney,strategy,reportPath,testStartDt):
df = dataio.getLabelAndFeature(config.LABEL,config.FEATURE_SELECT);
turnoverFilter = dataio.getTurnoverRankFilter();
maxContinousCloseDayFilter = dataio.getMaxContinousCloseDayFilter();
secFilter = turnoverFilter & maxContinousCloseDayFilter;
idxFilter = np.asarray([True if st in secFilter else False \
for st in df.index]);
df = df[idxFilter]
feature = df[config.FEATURE_SELECT].values;
dts = df.index.get_level_values('tradeDate');
index = df.index.values;
dt = startDt;
while dt<=endDt:
print(dt);
filename = 'xgb_' + dt;
stdout = sys.stdout;
with open(os.path.join(reportPath,filename),'w') as fout:
sys.stdout = fout;
daily_test(feature,dts,index,initMoney,testStartDt,
os.path.join(modelPath,filename),
strategy);
sys.stdout = stdout;
pass;
dt = utils_common.dtAdd(dt,1);
pass;
def download(startDt,endDt):
dt = startDt;
filenames = [os.path.join(config.LOCAL_PATH_RAW,dn + '.csv') for dn in DATA_NAMES];
cntDt = 0;
lastMon = '';
while dt<=endDt:
for dataname,filename in zip(DATA_NAMES,filenames):
if dt[:7]!=lastMon:
lastMon = dt[:7];
print(lastMon);
pass;
df = eval(dataname + '(dt)');
if df.shape[0]>0:
if cntDt>0:
fmode = 'a';
wheader = False;
else:
fmode = 'w';
wheader = True;
pass;
df.to_csv(filename,mode=fmode,header=wheader,index=False);
cntDt+=1;
pass;
pass;
dt = utils_common.dtAdd(dt,1);
pass;
pass;
def main(dtStart,dtEnd,savePath):
label,feature,dts = loadDataReg();
dt = dtStart;
while dt<=dtEnd:
filename = 'xgb_' + dt;
print(dt);
daily_train_reg(feature,label,dts,dt,os.path.join(savePath,filename));
dt = utils_common.dtAdd(dt,1);
pass;
pass;
def main(dtStart,dtEnd,savePath):
label,feature,dts = daily_train.loadData();
dt = dtStart;
while dt<=dtEnd:
filename = 'xgb_' + dt;
print(dt);
daily_train.daily_train(feature,label,dts,dt,os.path.join(savePath,filename));
dt = utils_common.dtAdd(dt,1);
pass;
pass;
def main(dtStart, dtEnd, savePath):
label, feature, dts = loadDataReg()
dt = dtStart
while dt <= dtEnd:
filename = 'xgb_' + dt
print(dt)
daily_train_reg(feature, label, dts, dt,
os.path.join(savePath, filename))
dt = utils_common.dtAdd(dt, 1)
pass
pass
def getDecFactors(dtStart,dtEnd):
ret = dict();
decFactors = dict();
dt = utils_common.dtAdd(dtStart,-7);
while dt<=dtEnd:
decFactor = getDecFactorSingle(dt);
if decFactor is not None:
decFactors[dt] = decFactor;
pass;
dt = utils_common.dtAdd(dt,1);
pass;
# shift dt
sortedDt = sorted(list(decFactors.keys()));
mapDt = {sortedDt[i]:sortedDt[i+1] for i in range(len(sortedDt)-1)};
for k,v in mapDt.items():
ret[v] = decFactors[k];
pass;
return ret;
def getDecFactors(dtStart, dtEnd):
ret = dict()
decFactors = dict()
dt = utils_common.dtAdd(dtStart, -7)
while dt <= dtEnd:
decFactor = getDecFactorSingle(dt)
if decFactor is not None:
decFactors[dt] = decFactor
pass
dt = utils_common.dtAdd(dt, 1)
pass
# shift dt
sortedDt = sorted(list(decFactors.keys()))
mapDt = {sortedDt[i]: sortedDt[i + 1]
for i in range(len(sortedDt) - 1)}
for k, v in mapDt.items():
ret[v] = decFactors[k]
pass
return ret
def daily_train(feature,label,dts,dtEnd,savePath):
idx = (dts<dtEnd) & (dts>=utils_common.dtAdd(dtEnd,-config.TRAINING_DAYS));
feature = feature[idx];
label = label[idx];
weight = utils_common.getWeight(dts[idx],config.WEIGHTER);
cls = xgb.XGBClassifier(max_depth=4,learning_rate=0.1,n_estimators=500);
print('training sample: {0}'.format(feature.shape));
print(weight.shape);
cls.fit(feature,label,sample_weight=weight);
print('train end');
pickle.dump(cls,open(savePath,'w'));
pass;
def daily_train_reg(feature, label, dts, dtEnd, savePath):
idx = (dts < dtEnd) & (dts >= utils_common.dtAdd(dtEnd,
-config.TRAINING_DAYS))
feature = feature[idx]
label = label[idx]
weight = utils_common.getWeight(dts[idx], config.WEIGHTER)
cls = xgb.XGBRegressor(max_depth=11, learning_rate=0.04, n_estimators=200)
print('training sample: {0}'.format(feature.shape))
print(weight.shape)
cls.fit(feature, label, sample_weight=weight)
print('train end')
pickle.dump(cls, open(savePath, 'w'))
pass
def completeFundETFConsGet():
df = getdf('FundETFConsGet');
dfMarket = getdf('MktEqudAdjAfGet');
secIDs = df.index.get_level_values('secID').values;
tradeDates = df.index.get_level_values('tradeDate').values;
usecs = np.unique(secIDs);
udtMarket = np.unique(dfMarket.index.get_level_values('tradeDate').values);
dfComp = df.copy();
for secID in usecs:
idx = secIDs==secID;
dts = tradeDates[idx];
minDt = np.min(dts);
missDt = {dt for dt in udtMarket if dt not in dts and dt>=minDt};
print('{0}:{1}'.format(secID,json.dumps(list(missDt))));
for dt in missDt:
for i in range(20):
preDt = utils_common.dtAdd(dt,-i);
if preDt in dts:
break;
pass;
if preDt not in dts:
print('cannot find previous date, sec: {0}'.format(secID));
break;
addDf = df[idx & (tradeDates==preDt)];
addDf.reset_index(inplace=True);
addDf.loc[:,'tradeDate'] = dt;
addDf.set_index(config.DATA_NAMES['FundETFConsGet'],inplace=True);
dfComp = dfComp.append(addDf);
pass;
pass;
dfComp.to_csv(os.path.join(getdb(),'FundETFConsGet'));
pass;
def backtest(initMoney,dtStart,dtEnd,strategy,decFactor, outputfile=None):
print('dt start: ' + dtStart + ', dt end:' + dtEnd);
totals = [];
gains = [];
tReturns = [];
trader = BacktestTrader(initMoney);
totals.append(trader.getMarketValue());
numDt = 0;
dt = dtStart;
dts = decFactor.keys();
if '9999-99-99' in dts:
dts.remove('9999-99-99');
pass;
maxDt = max(dts);
dtEnd = min(dtEnd,maxDt);
dt = max(dt,min(dts));
if outputfile is not None:
outputfile = open(outputfile,'w')
pass
while dt<=dtEnd:
if not trader.isTradingDay(dt):
dt = utils_common.dtAdd(dt,1);
continue;
decFactorDt = decFactor[dt] if dt in decFactor else None;
trader.setTime(dt,'open');
strategy.handle(dt,'open',trader,decFactorDt);
#print(decFactorDt.shape);
#print('open: ' + str(len(trader.getPositions())) + ', cache: ' + str(trader.cache_));
trader.setTime(dt,'close');
strategy.handle(dt,'close',trader,decFactorDt);
#print('close: ' + str(len([pos['secID'] for pos in trader.position_])) + ', cache: ' + str(trader.cache_));
#print('close: ' + str(trader.getPositions()) + ', cache: ' + str(trader.cache_));
totals.append(trader.getMarketValue());
gains.append((totals[-1]-totals[-2])/totals[-2]);
tReturns.append((totals[-1]-totals[0])/totals[0]);
print('dt: {0}, value: {1}, gains: {2}, sharp: {3}'.format(dt,totals[-1],gains[-1],
utils_common.sharpRatio(tReturns,0.1/200)));
if outputfile is not None:
outputfile.write('{0},{1}\n'.format(dt, totals[-1]));
pass
dt = utils_common.dtAdd(dt,1);
numDt+=1;
pass;
print('total value: ' + str(totals[-1]));
print('max loss: ' + str(utils_common.minSumSubList(gains)));
posDays = len([i for i in gains if i>0]);
totalDays = numDt;
print('posive days: {0}/{1}'.format(float(posDays)/totalDays,totalDays));
print('sharp ratio : {0}'.format(utils_common.sharpRatio(tReturns,0.1/200)));
print(totalDays);
if outputfile is not None:
outputfile.close();
pass;
pass;
def backtest(initMoney, dtStart, dtEnd, strategy, decFactor, outputfile=None):
print('dt start: ' + dtStart + ', dt end:' + dtEnd)
totals = []
gains = []
tReturns = []
trader = BacktestTrader(initMoney)
totals.append(trader.getMarketValue())
numDt = 0
dt = dtStart
dts = decFactor.keys()
if '9999-99-99' in dts:
dts.remove('9999-99-99')
pass
maxDt = max(dts)
dtEnd = min(dtEnd, maxDt)
dt = max(dt, min(dts))
if outputfile is not None:
outputfile = open(outputfile, 'w')
pass
while dt <= dtEnd:
if not trader.isTradingDay(dt):
dt = utils_common.dtAdd(dt, 1)
continue
decFactorDt = decFactor[dt] if dt in decFactor else None
trader.setTime(dt, 'open')
strategy.handle(dt, 'open', trader, decFactorDt)
#print(decFactorDt.shape);
#print('open: ' + str(len(trader.getPositions())) + ', cache: ' + str(trader.cache_));
trader.setTime(dt, 'close')
strategy.handle(dt, 'close', trader, decFactorDt)
#print('close: ' + str(len([pos['secID'] for pos in trader.position_])) + ', cache: ' + str(trader.cache_));
#print('close: ' + str(trader.getPositions()) + ', cache: ' + str(trader.cache_));
totals.append(trader.getMarketValue())
gains.append((totals[-1] - totals[-2]) / totals[-2])
tReturns.append((totals[-1] - totals[0]) / totals[0])
print('dt: {0}, value: {1}, gains: {2}, sharp: {3}'.format(
dt, totals[-1], gains[-1],
utils_common.sharpRatio(tReturns, 0.1 / 200)))
if outputfile is not None:
outputfile.write('{0},{1}\n'.format(dt, totals[-1]))
pass
dt = utils_common.dtAdd(dt, 1)
numDt += 1
pass
print('total value: ' + str(totals[-1]))
print('max loss: ' + str(utils_common.minSumSubList(gains)))
posDays = len([i for i in gains if i > 0])
totalDays = numDt
print('posive days: {0}/{1}'.format(float(posDays) / totalDays, totalDays))
print('sharp ratio : {0}'.format(
utils_common.sharpRatio(tReturns, 0.1 / 200)))
print(totalDays)
if outputfile is not None:
outputfile.close()
pass
pass
#turnoverFilter = dataio.getHS300Filter();
print(df.shape[0])
print('prepare...')
dt = df.index.get_level_values('tradeDate')
label = np.squeeze(df[[LABEL]].values)
feature = df[FEATURE_SELECT].values
idxFilter = np.asarray([True if st in secFilter else False \
for st in df.index])
print('begin')
for iy, year in enumerate(YEARS[:-1]):
if len(year) < 10:
dtTrainStart = utils_common.dtAdd(year + '-01-01',
-config.TRAINING_DAYS)
else:
dtTrainStart = utils_common.dtAdd(year, -config.TRAINING_DAYS)
pass
idxTrain = (dt < year) & (dt >= dtTrainStart) #&idxFilter;
idxTest = (dt >= year) & (dt < YEARS[iy + 1]) #&idxFilter;
labelTrain = label[idxTrain]
labelTest = label[idxTest]
featureTrain = feature[idxTrain]
featureTest = feature[idxTest]
dtTest = dt[idxTest]
dtTrain = dt[idxTrain]
weightTrain = getWeight(dtTrain)
validate(labelTrain, labelTest, featureTrain, featureTest, dtTest,
weightTrain)
def extract(self):
df = dataio.getLabelAndFeature(self.labelName_, config.FEATURE_SELECT)
df = df[df[self.labelName_] > -1]
df = dataio.joinTurnoverRank(df)
dt = '2014-01-01'
dts = df.index.get_level_values('tradeDate')
indices = df.index.values
label = np.squeeze(df[[self.labelName_]].values)
feature = df[config.FEATURE_SELECT].values
#dtMax = '2016-01-01';
dtMax = np.max(dts.values)
prs = []
while dt <= dtMax:
dtStart = dt
dtEnd = utils_common.dtAdd(dtStart, self.iterval_)
print('start: {0}, end: {1}'.format(dtStart, dtEnd))
idxTrain = (dts < dtStart) & (dts >= utils_common.dtAdd(
dtStart, -config.TRAINING_DAYS))
idxTest = (dts >= dtStart) & (dts <= dtEnd)
labelTrain = label[idxTrain]
featureTrain = feature[idxTrain]
featureTest = feature[idxTest]
weight = utils_common.getWeight(dts[idxTrain], config.WEIGHTER)
pred = self.trainTestReg(labelTrain, featureTrain, featureTest,
weight)
#print(utils_common.topNPosRate(dts[idxTest],label[idxTest],pred,5));
df = pd.DataFrame(pred,
index=pd.MultiIndex.from_tuples(
indices[idxTest],
names=['secID', 'tradeDate']),
columns=[self.__class__.__name__])
prs.append(df)
dt = utils_common.dtAdd(dtEnd, 1)
df = pd.concat(prs)
udt = np.sort(np.unique(df.index.get_level_values('tradeDate').values))
dtMap = {udt[i]: udt[i + 1]
for i in range(udt.shape[0] - 1)}
maxDt = np.max(udt)
df.reset_index(inplace=True)
arr = df.values
idxDt = df.columns.get_loc('tradeDate')
print(df.shape)
for i in range(df.shape[0]):
dt = arr[i, idxDt]
if dt == maxDt:
arr[i, idxDt] = '9999-99-99'
else:
arr[i, idxDt] = dtMap[dt]
pass
pass
df = pd.DataFrame(arr, columns=df.columns)
df.set_index(['secID', 'tradeDate'], inplace=True)
return df
def extract(self):
df = dataio.getLabelAndFeature(self.labelName_,config.FEATURE_SELECT);
df = df[df[self.labelName_]>-1];
df = dataio.joinTurnoverRank(df);
dt = '2014-01-01';
dts = df.index.get_level_values('tradeDate');
indices = df.index.values;
label = np.squeeze(df[[self.labelName_]].values);
feature = df[config.FEATURE_SELECT].values;
#dtMax = '2016-01-01';
dtMax = np.max(dts.values);
prs = [];
while dt<=dtMax:
dtStart = dt;
dtEnd = utils_common.dtAdd(dtStart,self.iterval_);
print('start: {0}, end: {1}'.format(dtStart,dtEnd));
idxTrain = (dts<dtStart) & (dts>=utils_common.dtAdd(dtStart,-config.TRAINING_DAYS));
idxTest = (dts>=dtStart) & (dts<=dtEnd);
labelTrain = label[idxTrain];
featureTrain = feature[idxTrain];
featureTest = feature[idxTest];
weight = utils_common.getWeight(dts[idxTrain],config.WEIGHTER);
pred = self.trainTestReg(labelTrain,featureTrain,featureTest,weight);
#print(utils_common.topNPosRate(dts[idxTest],label[idxTest],pred,5));
df = pd.DataFrame(pred,
index=pd.MultiIndex.from_tuples(indices[idxTest],
names=['secID','tradeDate']),
columns=[self.__class__.__name__]
);
prs.append(df);
dt = utils_common.dtAdd(dtEnd,1);
df = pd.concat(prs);
udt = np.sort(np.unique(df.index.get_level_values('tradeDate').values));
dtMap = {udt[i]:udt[i+1] for i in range(udt.shape[0]-1)};
maxDt = np.max(udt);
df.reset_index(inplace=True);
arr = df.values;
idxDt = df.columns.get_loc('tradeDate');
print(df.shape);
for i in range(df.shape[0]):
dt = arr[i,idxDt];
if dt==maxDt:
arr[i,idxDt] = '9999-99-99'
else:
arr[i,idxDt] = dtMap[dt];
pass;
pass;
df = pd.DataFrame(arr,columns=df.columns);
df.set_index(['secID','tradeDate'],inplace=True);
return df;
#turnoverFilter = dataio.getHS300Filter();
print(df.shape[0]);
print('prepare...');
dt = df.index.get_level_values('tradeDate');
label = np.squeeze(df[[LABEL]].values);
feature = df[FEATURE_SELECT].values;
idxFilter = np.asarray([True if st in secFilter else False \
for st in df.index]);
print('begin');
for iy,year in enumerate(YEARS[:-1]):
if len(year)<10:
dtTrainStart = utils_common.dtAdd(year+'-01-01',-config.TRAINING_DAYS);
else:
dtTrainStart = utils_common.dtAdd(year,-config.TRAINING_DAYS);
pass
idxTrain = (dt<year)&(dt>=dtTrainStart)#&idxFilter;
idxTest = (dt>=year)&(dt<YEARS[iy+1])#&idxFilter;
labelTrain = label[idxTrain];
labelTest = label[idxTest];
featureTrain = feature[idxTrain];
featureTest = feature[idxTest];
dtTest = dt[idxTest];
dtTrain = dt[idxTrain];
weightTrain = getWeight(dtTrain);
validate(labelTrain,labelTest,featureTrain,featureTest,dtTest,weightTrain);
pass;
