added factor analysis module

alphamind/analysis/factoranalysis.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-5-25
+
+@author: cheng.li
+"""
+
+import numpy as np
+from typing import Optional
+from typing import List
+from alphamind.data.neutralize import neutralize
+
+
+def factor_processing(raw_factor: np.ndarray,
+                      pre_process: Optional[List]=None,
+                      risk_factors: Optional[np.ndarray]=None):
+
+    new_factor = raw_factor
+
+    if pre_process:
+        for p in pre_process:
+            new_factor = p(new_factor)
+
+    if risk_factors is not None:
+        new_factor = neutralize(risk_factors, new_factor)
+
+    return new_factor
+
+
+if __name__ == '__main__':
+
+    from alphamind.data.standardize import standardize
+    from alphamind.data.winsorize import winsorize_normal
+
+    raw_factor = np.random.randn(1000, 1)
+    pre_process = [winsorize_normal, standardize]
+
+    risk_factors = np.ones((1000, 1))
+
+    new_factor = factor_processing(raw_factor,
+                                   pre_process,
+                                   risk_factors)
+
+    print(new_factor.sum())
\ No newline at end of file

alphamind/tests/analysis/test_factoranalysis.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-5-25
+
+@author: cheng.li
+"""
+
+
+import unittest
+import numpy as np
+from alphamind.data.winsorize import winsorize_normal
+from alphamind.data.standardize import standardize
+from alphamind.data.neutralize import neutralize
+from alphamind.analysis.factoranalysis import factor_processing
+
+
+class TestFactorAnalysis(unittest.TestCase):
+
+    def setUp(self):
+        self.raw_factor = np.random.randn(1000, 1)
+        self.risk_factor = np.random.randn(1000, 3)
+
+    def test_factor_processing(self):
+        new_factor = factor_processing(self.raw_factor)
+        np.testing.assert_array_almost_equal(new_factor, self.raw_factor)
+
+        new_factor = factor_processing(self.raw_factor,
+                                       pre_process=[standardize, winsorize_normal])
+
+        np.testing.assert_array_almost_equal(new_factor, winsorize_normal(standardize(self.raw_factor)))
+
+        new_factor = factor_processing(self.raw_factor,
+                                       pre_process=[standardize, winsorize_normal],
+                                       risk_factors=self.risk_factor)
+
+        np.testing.assert_array_almost_equal(new_factor, neutralize(self.risk_factor,
+                                                                    winsorize_normal(standardize(self.raw_factor))))
+
+
+if __name__ == '__main__':
+    unittest.main()
\ No newline at end of file

alphamind/tests/test_suite.py

@@ -21,6 +21,7 @@ from alphamind.tests.portfolio.test_linearbuild import TestLinearBuild
 from alphamind.tests.settlement.test_simplesettle import TestSimpleSettle
 from alphamind.tests.analysis.test_riskanalysis import TestRiskAnalysis
 from alphamind.tests.analysis.test_perfanalysis import TestPerformanceAnalysis
+from alphamind.tests.analysis.test_factoranalysis import TestFactorAnalysis
 
 
 if __name__ == '__main__':
@@ -33,6 +34,7 @@ if __name__ == '__main__':
                          TestLinearBuild,
                          TestSimpleSettle,
                          TestRiskAnalysis,
-                         TestPerformanceAnalysis],
+                         TestPerformanceAnalysis,
+                         TestFactorAnalysis],
                         alpha_logger)
     runner.run()