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Commit 058b7552 authored by Dr.李's avatar Dr.李
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update example

parent 070d867a
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Showing with 34 additions and 525 deletions
notebooks/Example 1 - Factor IC analysis.ipynb
View file @ 058b7552
...@@ -9,7 +9,7 @@ ...@@ -9,7 +9,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 1, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -27,7 +27,7 @@ ...@@ -27,7 +27,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 2, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -61,7 +61,7 @@ ...@@ -61,7 +61,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 3, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -96,7 +96,7 @@ ...@@ -96,7 +96,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 4, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -230,7 +230,7 @@ ...@@ -230,7 +230,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 5, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -239,495 +239,9 @@ ...@@ -239,495 +239,9 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 6, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [],
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-23 09:53:21,527 - ALPHA_MIND - INFO - 2017-01-03 00:00:00: 800\n",
"2018-05-23 09:53:23,991 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:23,993 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,066 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 is finished\n",
"2018-05-23 09:53:24,074 - ALPHA_MIND - INFO - 2017-01-17 00:00:00: 800\n",
"2018-05-23 09:53:24,079 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,081 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,412 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 is finished\n",
"2018-05-23 09:53:24,422 - ALPHA_MIND - INFO - 2017-02-07 00:00:00: 800\n",
"2018-05-23 09:53:24,426 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,429 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,453 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 is finished\n",
"2018-05-23 09:53:24,461 - ALPHA_MIND - INFO - 2017-02-21 00:00:00: 799\n",
"2018-05-23 09:53:24,467 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,470 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,491 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 is finished\n",
"2018-05-23 09:53:24,498 - ALPHA_MIND - INFO - 2017-03-07 00:00:00: 800\n",
"2018-05-23 09:53:24,503 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,505 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,524 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 is finished\n",
"2018-05-23 09:53:24,532 - ALPHA_MIND - INFO - 2017-03-21 00:00:00: 800\n",
"2018-05-23 09:53:24,536 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,539 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,558 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 is finished\n",
"2018-05-23 09:53:24,566 - ALPHA_MIND - INFO - 2017-04-06 00:00:00: 800\n",
"2018-05-23 09:53:24,570 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,573 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,595 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 is finished\n",
"2018-05-23 09:53:24,601 - ALPHA_MIND - INFO - 2017-04-20 00:00:00: 800\n",
"2018-05-23 09:53:24,607 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,610 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,636 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 is finished\n",
"2018-05-23 09:53:24,643 - ALPHA_MIND - INFO - 2017-05-05 00:00:00: 800\n",
"2018-05-23 09:53:24,649 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,652 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,757 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 is finished\n",
"2018-05-23 09:53:24,764 - ALPHA_MIND - INFO - 2017-05-19 00:00:00: 800\n",
"2018-05-23 09:53:24,768 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,771 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,790 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 is finished\n",
"2018-05-23 09:53:24,798 - ALPHA_MIND - INFO - 2017-06-06 00:00:00: 800\n",
"2018-05-23 09:53:24,802 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,805 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,826 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 is finished\n",
"2018-05-23 09:53:24,834 - ALPHA_MIND - INFO - 2017-06-20 00:00:00: 800\n",
"2018-05-23 09:53:24,839 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,842 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,866 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 is finished\n",
"2018-05-23 09:53:24,873 - ALPHA_MIND - INFO - 2017-07-04 00:00:00: 800\n",
"2018-05-23 09:53:24,879 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,881 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,902 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 is finished\n",
"2018-05-23 09:53:24,908 - ALPHA_MIND - INFO - 2017-07-18 00:00:00: 800\n",
"2018-05-23 09:53:24,914 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,917 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,937 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 is finished\n",
"2018-05-23 09:53:24,944 - ALPHA_MIND - INFO - 2017-08-01 00:00:00: 800\n",
"2018-05-23 09:53:24,949 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,952 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 full re-balance\n",
"2018-05-23 09:53:24,974 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 is finished\n",
"2018-05-23 09:53:24,981 - ALPHA_MIND - INFO - 2017-08-15 00:00:00: 800\n",
"2018-05-23 09:53:24,986 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:24,990 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,010 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 is finished\n",
"2018-05-23 09:53:25,019 - ALPHA_MIND - INFO - 2017-08-29 00:00:00: 800\n",
"2018-05-23 09:53:25,025 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,030 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,056 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 is finished\n",
"2018-05-23 09:53:25,064 - ALPHA_MIND - INFO - 2017-09-12 00:00:00: 800\n",
"2018-05-23 09:53:25,070 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,073 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,097 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 is finished\n",
"2018-05-23 09:53:25,105 - ALPHA_MIND - INFO - 2017-09-26 00:00:00: 800\n",
"2018-05-23 09:53:25,114 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,116 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,142 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 is finished\n",
"2018-05-23 09:53:25,151 - ALPHA_MIND - INFO - 2017-10-17 00:00:00: 800\n",
"2018-05-23 09:53:25,156 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,159 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,181 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 is finished\n",
"2018-05-23 09:53:25,190 - ALPHA_MIND - INFO - 2017-10-31 00:00:00: 800\n",
"2018-05-23 09:53:25,195 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,197 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,222 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 is finished\n",
"2018-05-23 09:53:25,230 - ALPHA_MIND - INFO - 2017-11-14 00:00:00: 800\n",
"2018-05-23 09:53:25,235 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,238 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,260 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 is finished\n",
"2018-05-23 09:53:25,269 - ALPHA_MIND - INFO - 2017-11-28 00:00:00: 800\n",
"2018-05-23 09:53:25,275 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,278 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,306 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 is finished\n",
"2018-05-23 09:53:25,316 - ALPHA_MIND - INFO - 2017-12-12 00:00:00: 800\n",
"2018-05-23 09:53:25,324 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,327 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,359 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 is finished\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-23 09:53:25,369 - ALPHA_MIND - INFO - 2017-12-26 00:00:00: 800\n",
"2018-05-23 09:53:25,377 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,380 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,404 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 is finished\n",
"2018-05-23 09:53:25,412 - ALPHA_MIND - INFO - 2018-01-10 00:00:00: 800\n",
"2018-05-23 09:53:25,418 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,421 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,444 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 is finished\n",
"2018-05-23 09:53:25,452 - ALPHA_MIND - INFO - 2018-01-24 00:00:00: 800\n",
"2018-05-23 09:53:25,456 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,459 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,479 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 is finished\n",
"2018-05-23 09:53:25,488 - ALPHA_MIND - INFO - 2018-02-07 00:00:00: 800\n",
"2018-05-23 09:53:25,494 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:25,498 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:25,521 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 is finished\n",
"2018-05-23 09:53:30,146 - ALPHA_MIND - INFO - 2017-01-03 00:00:00: 800\n",
"2018-05-23 09:53:30,151 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,154 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,178 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 is finished\n",
"2018-05-23 09:53:30,187 - ALPHA_MIND - INFO - 2017-01-17 00:00:00: 800\n",
"2018-05-23 09:53:30,193 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,195 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,221 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 is finished\n",
"2018-05-23 09:53:30,227 - ALPHA_MIND - INFO - 2017-02-07 00:00:00: 800\n",
"2018-05-23 09:53:30,233 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,236 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,261 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 is finished\n",
"2018-05-23 09:53:30,267 - ALPHA_MIND - INFO - 2017-02-21 00:00:00: 799\n",
"2018-05-23 09:53:30,273 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,276 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,299 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 is finished\n",
"2018-05-23 09:53:30,307 - ALPHA_MIND - INFO - 2017-03-07 00:00:00: 800\n",
"2018-05-23 09:53:30,313 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,315 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,337 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 is finished\n",
"2018-05-23 09:53:30,345 - ALPHA_MIND - INFO - 2017-03-21 00:00:00: 800\n",
"2018-05-23 09:53:30,350 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,353 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,376 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 is finished\n",
"2018-05-23 09:53:30,384 - ALPHA_MIND - INFO - 2017-04-06 00:00:00: 800\n",
"2018-05-23 09:53:30,388 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,391 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,411 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 is finished\n",
"2018-05-23 09:53:30,420 - ALPHA_MIND - INFO - 2017-04-20 00:00:00: 800\n",
"2018-05-23 09:53:30,425 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,428 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,451 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 is finished\n",
"2018-05-23 09:53:30,460 - ALPHA_MIND - INFO - 2017-05-05 00:00:00: 800\n",
"2018-05-23 09:53:30,466 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,469 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,490 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 is finished\n",
"2018-05-23 09:53:30,498 - ALPHA_MIND - INFO - 2017-05-19 00:00:00: 800\n",
"2018-05-23 09:53:30,502 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,505 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,525 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 is finished\n",
"2018-05-23 09:53:30,534 - ALPHA_MIND - INFO - 2017-06-06 00:00:00: 800\n",
"2018-05-23 09:53:30,538 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,541 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,565 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 is finished\n",
"2018-05-23 09:53:30,571 - ALPHA_MIND - INFO - 2017-06-20 00:00:00: 800\n",
"2018-05-23 09:53:30,577 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,579 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,601 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 is finished\n",
"2018-05-23 09:53:30,610 - ALPHA_MIND - INFO - 2017-07-04 00:00:00: 800\n",
"2018-05-23 09:53:30,616 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,619 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,644 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 is finished\n",
"2018-05-23 09:53:30,654 - ALPHA_MIND - INFO - 2017-07-18 00:00:00: 800\n",
"2018-05-23 09:53:30,659 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,663 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,683 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 is finished\n",
"2018-05-23 09:53:30,696 - ALPHA_MIND - INFO - 2017-08-01 00:00:00: 800\n",
"2018-05-23 09:53:30,701 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,704 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,725 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 is finished\n",
"2018-05-23 09:53:30,733 - ALPHA_MIND - INFO - 2017-08-15 00:00:00: 800\n",
"2018-05-23 09:53:30,737 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,740 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,762 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 is finished\n",
"2018-05-23 09:53:30,770 - ALPHA_MIND - INFO - 2017-08-29 00:00:00: 800\n",
"2018-05-23 09:53:30,775 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,777 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,799 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 is finished\n",
"2018-05-23 09:53:30,806 - ALPHA_MIND - INFO - 2017-09-12 00:00:00: 800\n",
"2018-05-23 09:53:30,814 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,816 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,844 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 is finished\n",
"2018-05-23 09:53:30,854 - ALPHA_MIND - INFO - 2017-09-26 00:00:00: 800\n",
"2018-05-23 09:53:30,859 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,862 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,886 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 is finished\n",
"2018-05-23 09:53:30,894 - ALPHA_MIND - INFO - 2017-10-17 00:00:00: 800\n",
"2018-05-23 09:53:30,900 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,903 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 full re-balance\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-23 09:53:30,926 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 is finished\n",
"2018-05-23 09:53:30,935 - ALPHA_MIND - INFO - 2017-10-31 00:00:00: 800\n",
"2018-05-23 09:53:30,940 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,942 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 full re-balance\n",
"2018-05-23 09:53:30,965 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 is finished\n",
"2018-05-23 09:53:30,973 - ALPHA_MIND - INFO - 2017-11-14 00:00:00: 800\n",
"2018-05-23 09:53:30,977 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:30,980 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 full re-balance\n",
"2018-05-23 09:53:31,000 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 is finished\n",
"2018-05-23 09:53:31,009 - ALPHA_MIND - INFO - 2017-11-28 00:00:00: 800\n",
"2018-05-23 09:53:31,014 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:31,017 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 full re-balance\n",
"2018-05-23 09:53:31,040 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 is finished\n",
"2018-05-23 09:53:31,050 - ALPHA_MIND - INFO - 2017-12-12 00:00:00: 799\n",
"2018-05-23 09:53:31,056 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:31,059 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:31,080 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 is finished\n",
"2018-05-23 09:53:31,087 - ALPHA_MIND - INFO - 2017-12-26 00:00:00: 799\n",
"2018-05-23 09:53:31,093 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:31,096 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:31,119 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 is finished\n",
"2018-05-23 09:53:31,128 - ALPHA_MIND - INFO - 2018-01-10 00:00:00: 799\n",
"2018-05-23 09:53:31,132 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:31,135 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 full re-balance\n",
"2018-05-23 09:53:31,156 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 is finished\n",
"2018-05-23 09:53:31,165 - ALPHA_MIND - INFO - 2018-01-24 00:00:00: 799\n",
"2018-05-23 09:53:31,171 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:31,174 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 full re-balance\n",
"2018-05-23 09:53:31,192 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 is finished\n",
"2018-05-23 09:53:31,200 - ALPHA_MIND - INFO - 2018-02-07 00:00:00: 799\n",
"2018-05-23 09:53:31,204 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:31,206 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:31,227 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 is finished\n",
"2018-05-23 09:53:35,946 - ALPHA_MIND - INFO - 2017-01-03 00:00:00: 800\n",
"2018-05-23 09:53:35,951 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:35,954 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 full re-balance\n",
"2018-05-23 09:53:35,979 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 is finished\n",
"2018-05-23 09:53:35,986 - ALPHA_MIND - INFO - 2017-01-17 00:00:00: 800\n",
"2018-05-23 09:53:35,991 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:35,994 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,016 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 is finished\n",
"2018-05-23 09:53:36,024 - ALPHA_MIND - INFO - 2017-02-07 00:00:00: 800\n",
"2018-05-23 09:53:36,029 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,031 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,051 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 is finished\n",
"2018-05-23 09:53:36,059 - ALPHA_MIND - INFO - 2017-02-21 00:00:00: 799\n",
"2018-05-23 09:53:36,063 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,065 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,085 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 is finished\n",
"2018-05-23 09:53:36,093 - ALPHA_MIND - INFO - 2017-03-07 00:00:00: 800\n",
"2018-05-23 09:53:36,098 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,100 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,123 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 is finished\n",
"2018-05-23 09:53:36,131 - ALPHA_MIND - INFO - 2017-03-21 00:00:00: 800\n",
"2018-05-23 09:53:36,137 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,140 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,160 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 is finished\n",
"2018-05-23 09:53:36,168 - ALPHA_MIND - INFO - 2017-04-06 00:00:00: 800\n",
"2018-05-23 09:53:36,174 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,177 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,200 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 is finished\n",
"2018-05-23 09:53:36,208 - ALPHA_MIND - INFO - 2017-04-20 00:00:00: 800\n",
"2018-05-23 09:53:36,213 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,216 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,236 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 is finished\n",
"2018-05-23 09:53:36,245 - ALPHA_MIND - INFO - 2017-05-05 00:00:00: 800\n",
"2018-05-23 09:53:36,251 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,254 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,275 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 is finished\n",
"2018-05-23 09:53:36,284 - ALPHA_MIND - INFO - 2017-05-19 00:00:00: 800\n",
"2018-05-23 09:53:36,289 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,292 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,316 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 is finished\n",
"2018-05-23 09:53:36,324 - ALPHA_MIND - INFO - 2017-06-06 00:00:00: 800\n",
"2018-05-23 09:53:36,329 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,331 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,353 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 is finished\n",
"2018-05-23 09:53:36,360 - ALPHA_MIND - INFO - 2017-06-20 00:00:00: 800\n",
"2018-05-23 09:53:36,365 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,367 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,392 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 is finished\n",
"2018-05-23 09:53:36,400 - ALPHA_MIND - INFO - 2017-07-04 00:00:00: 800\n",
"2018-05-23 09:53:36,405 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,408 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,432 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 is finished\n",
"2018-05-23 09:53:36,440 - ALPHA_MIND - INFO - 2017-07-18 00:00:00: 800\n",
"2018-05-23 09:53:36,445 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,448 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,470 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 is finished\n",
"2018-05-23 09:53:36,478 - ALPHA_MIND - INFO - 2017-08-01 00:00:00: 800\n",
"2018-05-23 09:53:36,484 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,486 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,506 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 is finished\n",
"2018-05-23 09:53:36,514 - ALPHA_MIND - INFO - 2017-08-15 00:00:00: 800\n",
"2018-05-23 09:53:36,520 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,523 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 full re-balance\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-23 09:53:36,543 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 is finished\n",
"2018-05-23 09:53:36,551 - ALPHA_MIND - INFO - 2017-08-29 00:00:00: 800\n",
"2018-05-23 09:53:36,556 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,558 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,579 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 is finished\n",
"2018-05-23 09:53:36,587 - ALPHA_MIND - INFO - 2017-09-12 00:00:00: 800\n",
"2018-05-23 09:53:36,592 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,594 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,615 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 is finished\n",
"2018-05-23 09:53:36,624 - ALPHA_MIND - INFO - 2017-09-26 00:00:00: 800\n",
"2018-05-23 09:53:36,629 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,632 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,652 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 is finished\n",
"2018-05-23 09:53:36,660 - ALPHA_MIND - INFO - 2017-10-17 00:00:00: 800\n",
"2018-05-23 09:53:36,665 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,668 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,691 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 is finished\n",
"2018-05-23 09:53:36,698 - ALPHA_MIND - INFO - 2017-10-31 00:00:00: 800\n",
"2018-05-23 09:53:36,704 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,707 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,726 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 is finished\n",
"2018-05-23 09:53:36,735 - ALPHA_MIND - INFO - 2017-11-14 00:00:00: 800\n",
"2018-05-23 09:53:36,740 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,743 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,765 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 is finished\n",
"2018-05-23 09:53:36,772 - ALPHA_MIND - INFO - 2017-11-28 00:00:00: 800\n",
"2018-05-23 09:53:36,778 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,780 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,799 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 is finished\n",
"2018-05-23 09:53:36,808 - ALPHA_MIND - INFO - 2017-12-12 00:00:00: 800\n",
"2018-05-23 09:53:36,812 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,815 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,835 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 is finished\n",
"2018-05-23 09:53:36,843 - ALPHA_MIND - INFO - 2017-12-26 00:00:00: 800\n",
"2018-05-23 09:53:36,847 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,850 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,870 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 is finished\n",
"2018-05-23 09:53:36,878 - ALPHA_MIND - INFO - 2018-01-10 00:00:00: 800\n",
"2018-05-23 09:53:36,883 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,885 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,911 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 is finished\n",
"2018-05-23 09:53:36,919 - ALPHA_MIND - INFO - 2018-01-24 00:00:00: 800\n",
"2018-05-23 09:53:36,924 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,927 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,948 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 is finished\n",
"2018-05-23 09:53:36,957 - ALPHA_MIND - INFO - 2018-02-07 00:00:00: 800\n",
"2018-05-23 09:53:36,961 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:36,964 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:36,985 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 is finished\n",
"2018-05-23 09:53:41,569 - ALPHA_MIND - INFO - 2017-01-03 00:00:00: 800\n",
"2018-05-23 09:53:41,574 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,576 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,597 - ALPHA_MIND - INFO - 2017-01-03 00:00:00 is finished\n",
"2018-05-23 09:53:41,605 - ALPHA_MIND - INFO - 2017-01-17 00:00:00: 800\n",
"2018-05-23 09:53:41,611 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,614 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,634 - ALPHA_MIND - INFO - 2017-01-17 00:00:00 is finished\n",
"2018-05-23 09:53:41,642 - ALPHA_MIND - INFO - 2017-02-07 00:00:00: 800\n",
"2018-05-23 09:53:41,646 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,649 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,673 - ALPHA_MIND - INFO - 2017-02-07 00:00:00 is finished\n",
"2018-05-23 09:53:41,681 - ALPHA_MIND - INFO - 2017-02-21 00:00:00: 799\n",
"2018-05-23 09:53:41,686 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,689 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,710 - ALPHA_MIND - INFO - 2017-02-21 00:00:00 is finished\n",
"2018-05-23 09:53:41,719 - ALPHA_MIND - INFO - 2017-03-07 00:00:00: 800\n",
"2018-05-23 09:53:41,724 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,727 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,749 - ALPHA_MIND - INFO - 2017-03-07 00:00:00 is finished\n",
"2018-05-23 09:53:41,758 - ALPHA_MIND - INFO - 2017-03-21 00:00:00: 800\n",
"2018-05-23 09:53:41,764 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,766 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,787 - ALPHA_MIND - INFO - 2017-03-21 00:00:00 is finished\n",
"2018-05-23 09:53:41,795 - ALPHA_MIND - INFO - 2017-04-06 00:00:00: 800\n",
"2018-05-23 09:53:41,800 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,802 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,822 - ALPHA_MIND - INFO - 2017-04-06 00:00:00 is finished\n",
"2018-05-23 09:53:41,830 - ALPHA_MIND - INFO - 2017-04-20 00:00:00: 800\n",
"2018-05-23 09:53:41,834 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,836 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,859 - ALPHA_MIND - INFO - 2017-04-20 00:00:00 is finished\n",
"2018-05-23 09:53:41,867 - ALPHA_MIND - INFO - 2017-05-05 00:00:00: 800\n",
"2018-05-23 09:53:41,872 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,876 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,901 - ALPHA_MIND - INFO - 2017-05-05 00:00:00 is finished\n",
"2018-05-23 09:53:41,910 - ALPHA_MIND - INFO - 2017-05-19 00:00:00: 800\n",
"2018-05-23 09:53:41,915 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,917 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,939 - ALPHA_MIND - INFO - 2017-05-19 00:00:00 is finished\n",
"2018-05-23 09:53:41,948 - ALPHA_MIND - INFO - 2017-06-06 00:00:00: 800\n",
"2018-05-23 09:53:41,953 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,956 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 full re-balance\n",
"2018-05-23 09:53:41,979 - ALPHA_MIND - INFO - 2017-06-06 00:00:00 is finished\n",
"2018-05-23 09:53:41,986 - ALPHA_MIND - INFO - 2017-06-20 00:00:00: 800\n",
"2018-05-23 09:53:41,991 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:41,995 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 full re-balance\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-05-23 09:53:42,017 - ALPHA_MIND - INFO - 2017-06-20 00:00:00 is finished\n",
"2018-05-23 09:53:42,025 - ALPHA_MIND - INFO - 2017-07-04 00:00:00: 800\n",
"2018-05-23 09:53:42,030 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,033 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,053 - ALPHA_MIND - INFO - 2017-07-04 00:00:00 is finished\n",
"2018-05-23 09:53:42,060 - ALPHA_MIND - INFO - 2017-07-18 00:00:00: 800\n",
"2018-05-23 09:53:42,065 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,067 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,088 - ALPHA_MIND - INFO - 2017-07-18 00:00:00 is finished\n",
"2018-05-23 09:53:42,099 - ALPHA_MIND - INFO - 2017-08-01 00:00:00: 800\n",
"2018-05-23 09:53:42,105 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,109 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,130 - ALPHA_MIND - INFO - 2017-08-01 00:00:00 is finished\n",
"2018-05-23 09:53:42,139 - ALPHA_MIND - INFO - 2017-08-15 00:00:00: 800\n",
"2018-05-23 09:53:42,144 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,146 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,167 - ALPHA_MIND - INFO - 2017-08-15 00:00:00 is finished\n",
"2018-05-23 09:53:42,175 - ALPHA_MIND - INFO - 2017-08-29 00:00:00: 800\n",
"2018-05-23 09:53:42,179 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,182 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,203 - ALPHA_MIND - INFO - 2017-08-29 00:00:00 is finished\n",
"2018-05-23 09:53:42,211 - ALPHA_MIND - INFO - 2017-09-12 00:00:00: 800\n",
"2018-05-23 09:53:42,217 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,219 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,241 - ALPHA_MIND - INFO - 2017-09-12 00:00:00 is finished\n",
"2018-05-23 09:53:42,249 - ALPHA_MIND - INFO - 2017-09-26 00:00:00: 800\n",
"2018-05-23 09:53:42,253 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,257 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,276 - ALPHA_MIND - INFO - 2017-09-26 00:00:00 is finished\n",
"2018-05-23 09:53:42,283 - ALPHA_MIND - INFO - 2017-10-17 00:00:00: 800\n",
"2018-05-23 09:53:42,288 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,290 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,312 - ALPHA_MIND - INFO - 2017-10-17 00:00:00 is finished\n",
"2018-05-23 09:53:42,319 - ALPHA_MIND - INFO - 2017-10-31 00:00:00: 800\n",
"2018-05-23 09:53:42,324 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,327 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,348 - ALPHA_MIND - INFO - 2017-10-31 00:00:00 is finished\n",
"2018-05-23 09:53:42,356 - ALPHA_MIND - INFO - 2017-11-14 00:00:00: 800\n",
"2018-05-23 09:53:42,362 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,364 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,385 - ALPHA_MIND - INFO - 2017-11-14 00:00:00 is finished\n",
"2018-05-23 09:53:42,395 - ALPHA_MIND - INFO - 2017-11-28 00:00:00: 800\n",
"2018-05-23 09:53:42,400 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,403 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,423 - ALPHA_MIND - INFO - 2017-11-28 00:00:00 is finished\n",
"2018-05-23 09:53:42,432 - ALPHA_MIND - INFO - 2017-12-12 00:00:00: 799\n",
"2018-05-23 09:53:42,437 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,439 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,462 - ALPHA_MIND - INFO - 2017-12-12 00:00:00 is finished\n",
"2018-05-23 09:53:42,470 - ALPHA_MIND - INFO - 2017-12-26 00:00:00: 799\n",
"2018-05-23 09:53:42,474 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,496 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,520 - ALPHA_MIND - INFO - 2017-12-26 00:00:00 is finished\n",
"2018-05-23 09:53:42,529 - ALPHA_MIND - INFO - 2018-01-10 00:00:00: 799\n",
"2018-05-23 09:53:42,533 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,536 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,559 - ALPHA_MIND - INFO - 2018-01-10 00:00:00 is finished\n",
"2018-05-23 09:53:42,568 - ALPHA_MIND - INFO - 2018-01-24 00:00:00: 799\n",
"2018-05-23 09:53:42,574 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,578 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,600 - ALPHA_MIND - INFO - 2018-01-24 00:00:00 is finished\n",
"2018-05-23 09:53:42,610 - ALPHA_MIND - INFO - 2018-02-07 00:00:00: 799\n",
"2018-05-23 09:53:42,615 - ALPHA_MIND - WARNING - winsorize_normal normally should not be done after neutralize\n",
"2018-05-23 09:53:42,617 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 full re-balance\n",
"2018-05-23 09:53:42,642 - ALPHA_MIND - INFO - 2018-02-07 00:00:00 is finished\n"
]
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"Wall time: 57.7 s\n"
]
}
],
"source": [ "source": [
"%%time\n", "%%time\n",
"\n", "\n",
...@@ -748,7 +262,7 @@ ...@@ -748,7 +262,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 7, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -761,7 +275,7 @@ ...@@ -761,7 +275,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 8, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
......
notebooks/Example 5 - Style Factor Analysis.ipynb
View file @ 058b7552
...@@ -118,13 +118,6 @@ ...@@ -118,13 +118,6 @@
"df[['factor', 'abs t.']].groupby('factor').mean().sort_values('abs t.', ascending=False).head()" "df[['factor', 'abs t.']].groupby('factor').mean().sort_values('abs t.', ascending=False).head()"
] ]
}, },
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
},
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": null,
......
notebooks/Example 6 - Target Volatility Builder.ipynb
View file @ 058b7552
...@@ -9,7 +9,7 @@ ...@@ -9,7 +9,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 1,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -36,7 +36,7 @@ ...@@ -36,7 +36,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 2,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -47,7 +47,7 @@ ...@@ -47,7 +47,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 3,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -58,7 +58,7 @@ ...@@ -58,7 +58,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 4,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -68,17 +68,6 @@ ...@@ -68,17 +68,6 @@
"special_risk = factor['srisk'].values" "special_risk = factor['srisk'].values"
] ]
}, },
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"sec_cov = risk_exposure @ risk_cov @ risk_exposure.T / 10000 + np.diag(special_risk ** 2) / 10000\n",
"sec_cov_df = pd.DataFrame(sec_cov, index=codes, columns=codes)\n",
"sec_cov_df.iloc[:5, :5]"
]
},
{ {
"cell_type": "markdown", "cell_type": "markdown",
"metadata": {}, "metadata": {},
...@@ -92,7 +81,7 @@ ...@@ -92,7 +81,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 5,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -103,16 +92,29 @@ ...@@ -103,16 +92,29 @@
"cons_mat = np.ones((len(er), 1))\n", "cons_mat = np.ones((len(er), 1))\n",
"risk_targets = (bm.sum(), bm.sum())\n", "risk_targets = (bm.sum(), bm.sum())\n",
"target_vol = 0.025\n", "target_vol = 0.025\n",
"risk_model = dict(cov=None, factor_cov=risk_cov/10000, factor_loading=risk_exposure, idsync=special_risk ** 2 / 10000.)\n",
"\n", "\n",
"status, p_er, p_weight = \\\n", "status, p_er, p_weight = \\\n",
" target_vol_builder(er, sec_cov, bm, lbound, ubound, cons_mat, risk_targets, target_vol, target_vol)" " target_vol_builder(er, risk_model, bm, lbound, ubound, cons_mat, risk_targets, target_vol)\n",
" \n",
"sec_cov = risk_exposure @ risk_cov @ risk_exposure.T / 10000. + np.diag(special_risk ** 2) / 10000"
] ]
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 6,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"total weight is 1.0000\n",
"portfolio activate weight forecasting vol is 0.0250\n",
"portfolio er: 2.2232 comparing with benchmark er: 1.2359\n"
]
}
],
"source": [ "source": [
"# check the result\n", "# check the result\n",
"print(f\"total weight is {p_weight.sum(): .4f}\")\n", "print(f\"total weight is {p_weight.sum(): .4f}\")\n",
...@@ -130,7 +132,7 @@ ...@@ -130,7 +132,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 7,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -157,7 +159,7 @@ ...@@ -157,7 +159,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 8,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -182,7 +184,7 @@ ...@@ -182,7 +184,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 9,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
...@@ -217,7 +219,7 @@ ...@@ -217,7 +219,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": null, "execution_count": 10,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
......
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