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alpha-mind
Commit 070d867a authored by Dr.李's avatar Dr.李
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update strategy

parent aa7b9e86
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alphamind/strategy/strategy.py
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...@@ -87,7 +87,7 @@ class Strategy(object): ...@@ -87,7 +87,7 @@ class Strategy(object):
benchmark=self.benchmark) benchmark=self.benchmark)
alpha_logger.info("benchmark data loading finished ...") alpha_logger.info("benchmark data loading finished ...")
self.risk_models = self.engine.fetch_risk_model_range( self.risk_models, _, total_risk_exp = self.engine.fetch_risk_model_range(
self.universe, self.universe,
dates=self.dates, dates=self.dates,
risk_model=self.data_meta.risk_model, risk_model=self.data_meta.risk_model,
...@@ -105,6 +105,7 @@ class Strategy(object): ...@@ -105,6 +105,7 @@ class Strategy(object):
total_data = pd.merge(total_data, total_benchmark, on=['trade_date', 'code'], how='left') total_data = pd.merge(total_data, total_benchmark, on=['trade_date', 'code'], how='left')
total_data.fillna({'weight': 0.}, inplace=True) total_data.fillna({'weight': 0.}, inplace=True)
total_data = pd.merge(total_data, total_returns, on=['trade_date', 'code']) total_data = pd.merge(total_data, total_returns, on=['trade_date', 'code'])
total_data = pd.merge(total_data, total_risk_exp, on=['trade_date', 'code'])
is_in_benchmark = (total_data.weight > 0.).astype(float).values.reshape((-1, 1)) is_in_benchmark = (total_data.weight > 0.).astype(float).values.reshape((-1, 1))
total_data.loc[:, 'benchmark'] = is_in_benchmark total_data.loc[:, 'benchmark'] = is_in_benchmark
......
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