Merge branch 'master' of https://github.com/wegamekinglc/alpha-mind

alphamind/execution/baseexecutor.py

@@ -27,3 +27,6 @@ class ExecutorBase(metaclass=abc.ABCMeta):
         pos_merged.fillna(0, inplace=True)
         turn_over = np.abs(pos_merged.weight_x - pos_merged.weight_y).sum()
         return turn_over
+
+    def set_current(self, current_pos: pd.DataFrame):
+        self.current_pos = current_pos.copy()

alphamind/execution/naiveexecutor.py

@@ -21,4 +21,4 @@ class NaiveExecutor(ExecutorBase):
         else:
             turn_over = self.calc_turn_over(target_pos, self.current_pos)
         self.current_pos = target_pos.copy()
-        return turn_over, target_pos.copy()
+        return turn_over, target_pos

alphamind/execution/targetvolexecutor.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-22
+
+@author: cheng.li
+"""
+
+from typing import Tuple
+import pandas as pd
+from PyFin.Math.Accumulators import MovingStandardDeviation
+from alphamind.execution.baseexecutor import ExecutorBase
+
+
+class TargetVolExecutor(ExecutorBase):
+
+    def __init__(self, window=30, target_vol=0.01):
+        super().__init__()
+        self.m_vol = MovingStandardDeviation(window=window, dependency='return')
+        self.target_vol = target_vol
+        self.multiplier = 1.
+
+    def execute(self, target_pos: pd.DataFrame) -> Tuple[float, pd.DataFrame]:
+        if not self.m_vol.isFull():
+            turn_over = self.calc_turn_over(target_pos, self.current_pos)
+            return turn_over, target_pos
+        else:
+            c_vol = self.m_vol.result()
+            self.multiplier = c_vol / self.target_vol
+            candidate_pos = target_pos.copy()
+            candidate_pos['weight'] = candidate_pos.weight * self.multiplier
+            turn_over = self.calc_turn_over(candidate_pos, self.current_pos)
+            return turn_over, candidate_pos

alphamind/execution/thresholdexecutor.py

@@ -15,18 +15,15 @@ class ThresholdExecutor(ExecutorBase):
     def __init__(self, turn_over_threshold: float):
         super().__init__()
         self.threshold = turn_over_threshold
-        self.current_pos = pd.DataFrame()
 
     def execute(self, target_pos: pd.DataFrame) -> Tuple[float, pd.DataFrame]:
 
         if self.current_pos.empty:
-            self.current_pos = target_pos.copy()
-            return target_pos.weight.sum(), target_pos.copy()
+            return target_pos.weight.sum(), target_pos
         else:
             turn_over = self.calc_turn_over(target_pos, self.current_pos)
 
             if turn_over >= self.threshold * self.current_pos.weight.sum():
-                self.current_pos = target_pos.copy()
-                return turn_over, self.current_pos.copy()
+                return turn_over, target_pos
             else:
                 return 0., self.current_pos.copy()

alphamind/tests/execution/test_naiveexecutor.py

@@ -20,6 +20,7 @@ class TestNaiveExecutor(unittest.TestCase):
         # 1st round
         executor = NaiveExecutor()
         turn_over, executed_pos = executor.execute(target_pos)
+        executor.set_current(executed_pos)
         self.assertAlmostEqual(turn_over, 1.0)
 
         # 2nd round
@@ -28,6 +29,7 @@ class TestNaiveExecutor(unittest.TestCase):
                                    'industry': ['a', 'b', 'd']})
 
         turn_over, executed_pos = executor.execute(target_pos)
+        executor.set_current(executed_pos)
         self.assertAlmostEqual(turn_over, 1.2)
 
         # 3rd round
@@ -35,6 +37,7 @@ class TestNaiveExecutor(unittest.TestCase):
                                    'weight': [0.3, 0.2, 0.5],
                                    'industry': ['a', 'c', 'd']})
         turn_over, executed_pos = executor.execute(target_pos)
+        executor.set_current(executed_pos)
         self.assertAlmostEqual(turn_over, 0.4)
 
 

alphamind/tests/execution/test_targetvolexecutor.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-22
+
+@author: cheng.li
+"""
+
+import unittest
+from alphamind.execution.targetvolexecutor import TargetVolExecutor
+
+
+class TestTargetVolExecutor(unittest.TestCase):
+
+    def test_target_vol_executor(self):
+
+
+
+if __name__ == '__main__':
+    unittest.main()
\ No newline at end of file

alphamind/tests/execution/test_thresholdexecutor.py

@@ -21,6 +21,7 @@ class TestThresholdExecutor(unittest.TestCase):
 
         # 1st round
         turn_over, executed_pos = executor.execute(target_pos)
+        executor.set_current(executed_pos)
         self.assertTrue(target_pos.equals(executed_pos))
         self.assertAlmostEqual(turn_over, target_pos.weight.sum())
 
@@ -30,6 +31,7 @@ class TestThresholdExecutor(unittest.TestCase):
                                    'industry': ['a', 'b', 'd']})
 
         turn_over, executed_pos = executor.execute(target_pos)
+        executor.set_current(executed_pos)
         self.assertTrue(target_pos.equals(executed_pos))
         self.assertTrue(executed_pos.equals(executor.current_pos))
         self.assertAlmostEqual(turn_over, 1.2)
@@ -39,6 +41,7 @@ class TestThresholdExecutor(unittest.TestCase):
                                    'weight': [0.3, 0.2, 0.5],
                                    'industry': ['a', 'c', 'd']})
         turn_over, executed_pos2 = executor.execute(target_pos)
+        executor.set_current(executed_pos2)
         self.assertTrue(executed_pos.equals(executed_pos2))
         self.assertAlmostEqual(turn_over, 0.)