Skip to content

A
alpha-mind
Commit 40967ae5 authored by Dr.李's avatar Dr.李
Browse files
Options

update example

parent 165e81c0
Show whitespace changes
Inline Side-by-side
Showing with 176 additions and 15426 deletions
notebooks/Example 1 - Factor IC analysis.ipynb
View file @ 40967ae5
......@@ -34,7 +34,7 @@
"industry_lower = 1.0\n",
"industry_upper = 1.0\n",
"method = 'risk_neutral'\n",
"neutralize_risk = ['SIZE'] + industry_styles\n",
"neutralize_risk = industry_styles\n",
"industry_name = 'sw_adj'\n",
"industry_level = 1\n",
"benchmark_total_lower = 0.8\n",
......@@ -62,7 +62,7 @@
"\"\"\"\n",
"\n",
"industry_names = industry_list(industry_name, industry_level)\n",
"constraint_risk = ['SIZE', 'SIZENL', 'BETA']\n",
"constraint_risk = ['SIZE', 'SIZENL', 'BETA'] + industry_names\n",
"total_risk_names = constraint_risk + ['benchmark', 'total']\n",
"\n",
"b_type = []\n",
......@@ -160,7 +160,7 @@
" factor_values = factor_processing(total_data[alpha_name].values,\n",
" pre_process=[winsorize_normal, standardize],\n",
" risk_factors=risk_exp,\n",
" post_process=[winsorize_normal, standardize, rank])\n",
" post_process=[winsorize_normal, standardize])\n",
"\n",
" # const linear model\n",
" er = const_model.predict(pd.DataFrame(data={alpha_name[0]: factor_values.flatten()}))\n",
......@@ -224,8 +224,18 @@
"cell_type": "code",
"execution_count": 5,
"metadata": {},
"outputs": [],
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Wall time: 8.86 s\n"
]
}
],
"source": [
"%%time\n",
"\n",
"df = engine.fetch_factor_coverage(start_date='2011-01-01',\n",
" end_date='2018-02-12',\n",
" universe=universe_name[0])\n",
......@@ -236,17 +246,9 @@
},
{
"cell_type": "code",
"execution_count": 6,
"execution_count": null,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Wall time: 1h 25min 5s\n"
]
}
],
"outputs": [],
"source": [
"%%time\n",
"\n",
......@@ -274,7 +276,7 @@
},
{
"cell_type": "code",
"execution_count": 7,
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
......@@ -287,26 +289,33 @@
},
{
"cell_type": "code",
"execution_count": 8,
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"with pd.ExcelWriter(f'{universe_name[0]}_{benchmark_code}.xlsx', engine='xlsxwriter') as writer:\n",
" factor_df.to_excel(writer, sheet_name='ret')\n",
" factor_res.to_excel(writer, sheet_name='ic')\n",
" factor_df.to_excel(writer, sheet_name='ret_stat')\n",
" ic_df.to_excel(writer, sheet_name='ic')\n",
" factor_res.to_excel(writer, sheet_name='ret_stat')\n",
" ic_res.to_excel(writer, sheet_name='ic_stat')"
]
},
{
"cell_type": "code",
"execution_count": 9,
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"client.close()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
},
{
"cell_type": "code",
"execution_count": null,
......
notebooks/Example 2 - Strategy Analysis.ipynb
View file @ 40967ae5
This source diff could not be displayed because it is too large. You can view the blob instead.
notebooks/Example 3 - Multi Weight Gap Comparison.ipynb
View file @ 40967ae5
......@@ -2,7 +2,7 @@
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"execution_count": 54,
"metadata": {},
"outputs": [],
"source": [
......@@ -21,7 +21,7 @@
},
{
"cell_type": "code",
"execution_count": 12,
"execution_count": 55,
"metadata": {},
"outputs": [],
"source": [
......@@ -30,11 +30,11 @@
"\"\"\"\n",
"\n",
"start_date = '2010-01-01'\n",
"end_date = '2018-02-24'\n",
"end_date = '2018-02-27'\n",
"\n",
"freq = '10b'\n",
"industry_lower = 1.0\n",
"industry_upper = 1.0\n",
"industry_lower = 0.5\n",
"industry_upper = 1.5\n",
"neutralized_risk = industry_styles\n",
"industry_name = 'sw_adj'\n",
"industry_level = 1\n",
......@@ -45,7 +45,7 @@
"horizon = map_freq(freq)\n",
"universe = Universe(\"custom\", ['zz800'])\n",
"data_source = 'postgres+psycopg2://postgres:A12345678!@10.63.6.220/alpha'\n",
"benchmark_code = 300\n",
"benchmark_code = 905\n",
"\n",
"executor = NaiveExecutor()\n",
"ref_dates = makeSchedule(start_date, end_date, freq, 'china.sse')\n",
......@@ -54,7 +54,7 @@
},
{
"cell_type": "code",
"execution_count": 13,
"execution_count": 56,
"metadata": {},
"outputs": [],
"source": [
......@@ -62,27 +62,50 @@
"Factor Model\n",
"\"\"\"\n",
"\n",
"# alpha_factors = {\n",
"# 'f01': LAST('ep_q'),\n",
"# 'f02': LAST('roe_q'),\n",
"# 'f03': LAST('market_confidence_75d'),\n",
"# 'f04': LAST('DivP'),\n",
"# 'f05': LAST('val_q'),\n",
"# 'f06': LAST('con_np_rolling'),\n",
"# 'f07': LAST('GREV'),\n",
"# 'f08': LAST('con_pe_rolling_order'),\n",
"# 'f09': LAST('con_pb_rolling_order')\n",
"# }\n",
"\n",
"# weights = dict(f01=1.,\n",
"# f02=0.5,\n",
"# f03=0.5,\n",
"# f04=0.5,\n",
"# f05=0.5,\n",
"# f06=0.5,\n",
"# f07=0.5,\n",
"# f08=-0.5,\n",
"# f09=-0.5)\n",
"\n",
"\n",
"alpha_factors = {\n",
" 'f01': LAST('ep_q'),\n",
" 'f02': LAST('roe_q'),\n",
" 'f03': LAST('market_confidence_25d'),\n",
" 'f04': LAST('DivP'),\n",
" 'f05': LAST('BP'),\n",
" 'f06': LAST('val_q'),\n",
" 'f07': LAST('VOL60'),\n",
" 'f04': LAST('ILLIQUIDITY'),\n",
" 'f05': LAST('cfinc1_q'),\n",
" 'f06': LAST('CFO2EV'),\n",
" 'f07': LAST('IVR'),\n",
" 'f08': LAST('con_pe_rolling_order'),\n",
" 'f09': LAST('con_pb_rolling_order')\n",
" 'f09': LAST('con_pb_rolling_order'),\n",
"}\n",
"\n",
"weights = dict(f01=1.,\n",
" f02=1.,\n",
" f03=0.25,\n",
" f04=0.25,\n",
" f05=0.25,\n",
" f06=0.25,\n",
" f07=-0.25,\n",
" f08=-0.25,\n",
" f09=-0.25)\n",
" f02=0.5,\n",
" f03=0.5,\n",
" f04=0.5,\n",
" f05=0.5,\n",
" f06=0.5,\n",
" f07=0.5,\n",
" f08=-0.5,\n",
" f09=-0.5)\n",
"\n",
"alpha_model = ConstLinearModel(features=alpha_factors, weights=weights)\n",
"\n",
......@@ -103,7 +126,7 @@
},
{
"cell_type": "code",
"execution_count": 14,
"execution_count": 57,
"metadata": {},
"outputs": [
{
......@@ -126,14 +149,14 @@
},
{
"cell_type": "code",
"execution_count": 15,
"execution_count": 58,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Wall time: 8.42 s\n"
"Wall time: 6.91 s\n"
]
}
],
......@@ -145,15 +168,16 @@
"\"\"\"\n",
"\n",
"from dask.distributed import Client\n",
"client = Client('10.63.6.13:8786')\n",
"client = Client('10.63.6.176:8786')\n",
"\n",
"tasks = client.map(predict_worker, [(d.strftime('%Y-%m-%d'), alpha_model) for d in ref_dates], pure=False)\n",
"predicts = client.gather(tasks)"
"predicts = client.gather(tasks)\n",
"client.close()"
]
},
{
"cell_type": "code",
"execution_count": 16,
"execution_count": 59,
"metadata": {},
"outputs": [],
"source": [
......@@ -174,6 +198,10 @@
" b_type.append(BoundaryType.RELATIVE)\n",
" l_val.append(benchmark_total_lower)\n",
" u_val.append(benchmark_total_upper)\n",
" if name == 'total':\n",
" b_type.append(BoundaryType.RELATIVE)\n",
" l_val.append(1.0)\n",
" u_val.append(1.0)\n",
" elif name in {'SIZE', 'SIZENL', 'BETA'}:\n",
" b_type.append(BoundaryType.ABSOLUTE)\n",
" l_val.append(0.0)\n",
......@@ -192,7 +220,7 @@
},
{
"cell_type": "code",
"execution_count": 17,
"execution_count": 60,
"metadata": {},
"outputs": [],
"source": [
......@@ -298,7 +326,7 @@
},
{
"cell_type": "code",
"execution_count": 18,
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
......@@ -332,7 +360,7 @@
},
{
"cell_type": "code",
"execution_count": 19,
"execution_count": null,
"metadata": {},
"outputs": [
{
......@@ -345,10 +373,7 @@
"\n",
"See the documentation here:\n",
"http://pandas.pydata.org/pandas-docs/stable/indexing.html#deprecate-loc-reindex-listlike\n",
"2018-02-27 15:42:15,597 - ALPHA_MIND - INFO - 0.005 finished\n",
"2018-02-27 15:43:09,157 - ALPHA_MIND - INFO - 0.01 finished\n",
"2018-02-27 15:44:02,819 - ALPHA_MIND - INFO - 0.015 finished\n",
"2018-02-27 15:44:56,827 - ALPHA_MIND - INFO - 0.02 finished\n"
"2018-03-02 18:18:22,979 - ALPHA_MIND - INFO - 0.005 finished\n"
]
}
],
......@@ -365,1354 +390,22 @@
},
{
"cell_type": "code",
"execution_count": 20,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>daily_return</th>\n",
" <th>cum_ret</th>\n",
" <th>sharp</th>\n",
" <th>drawdown</th>\n",
" <th>max_drawn</th>\n",
" <th>leverage</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2010-01-04</th>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.00000</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-01-18</th>\n",
" <td>0.002456</td>\n",
" <td>0.002456</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.98210</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-01</th>\n",
" <td>-0.003691</td>\n",
" <td>-0.001234</td>\n",
" <td>0.000000</td>\n",
" <td>-0.003691</td>\n",
" <td>-0.003691</td>\n",
" <td>0.98080</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-22</th>\n",
" <td>-0.001398</td>\n",
" <td>-0.002632</td>\n",
" <td>0.000000</td>\n",
" <td>-0.005088</td>\n",
" <td>-0.005088</td>\n",
" <td>0.99880</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-08</th>\n",
" <td>0.001219</td>\n",
" <td>-0.001413</td>\n",
" <td>0.000000</td>\n",
" <td>-0.005088</td>\n",
" <td>-0.005088</td>\n",
" <td>1.00070</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-22</th>\n",
" <td>-0.003154</td>\n",
" <td>-0.004567</td>\n",
" <td>-1.564942</td>\n",
" <td>-0.007023</td>\n",
" <td>-0.007023</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-06</th>\n",
" <td>0.005331</td>\n",
" <td>0.000764</td>\n",
" <td>0.170609</td>\n",
" <td>-0.007023</td>\n",
" <td>-0.007023</td>\n",
" <td>1.00030</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-20</th>\n",
" <td>-0.011791</td>\n",
" <td>-0.011027</td>\n",
" <td>-1.339591</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>1.00090</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-05</th>\n",
" <td>0.000307</td>\n",
" <td>-0.010720</td>\n",
" <td>-1.229194</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>0.99920</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-19</th>\n",
" <td>0.007962</td>\n",
" <td>-0.002758</td>\n",
" <td>-0.255024</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>0.99890</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-02</th>\n",
" <td>-0.007907</td>\n",
" <td>-0.010665</td>\n",
" <td>-0.862161</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>0.99980</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-21</th>\n",
" <td>0.007624</td>\n",
" <td>-0.003041</td>\n",
" <td>-0.214491</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-05</th>\n",
" <td>0.008193</td>\n",
" <td>0.005152</td>\n",
" <td>0.323698</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-19</th>\n",
" <td>0.001580</td>\n",
" <td>0.006732</td>\n",
" <td>0.408208</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>0.97430</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-02</th>\n",
" <td>0.005666</td>\n",
" <td>0.012399</td>\n",
" <td>0.708708</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>0.97470</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-16</th>\n",
" <td>-0.013279</td>\n",
" <td>-0.000880</td>\n",
" <td>-0.041376</td>\n",
" <td>-0.013484</td>\n",
" <td>-0.013484</td>\n",
" <td>1.00010</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-30</th>\n",
" <td>-0.002519</td>\n",
" <td>-0.003399</td>\n",
" <td>-0.154688</td>\n",
" <td>-0.015798</td>\n",
" <td>-0.015798</td>\n",
" <td>0.99900</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-13</th>\n",
" <td>-0.012298</td>\n",
" <td>-0.015698</td>\n",
" <td>-0.633037</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-30</th>\n",
" <td>0.003504</td>\n",
" <td>-0.012194</td>\n",
" <td>-0.474059</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99970</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-10-21</th>\n",
" <td>0.032270</td>\n",
" <td>0.020077</td>\n",
" <td>0.508137</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99950</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-04</th>\n",
" <td>-0.001903</td>\n",
" <td>0.018173</td>\n",
" <td>0.448466</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-18</th>\n",
" <td>0.004564</td>\n",
" <td>0.022737</td>\n",
" <td>0.546899</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99980</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-02</th>\n",
" <td>0.005751</td>\n",
" <td>0.028489</td>\n",
" <td>0.667092</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99970</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-16</th>\n",
" <td>-0.001650</td>\n",
" <td>0.026839</td>\n",
" <td>0.614522</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99950</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-30</th>\n",
" <td>0.007329</td>\n",
" <td>0.034168</td>\n",
" <td>0.759830</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-14</th>\n",
" <td>0.013885</td>\n",
" <td>0.048052</td>\n",
" <td>1.030272</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99960</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-28</th>\n",
" <td>0.010359</td>\n",
" <td>0.058411</td>\n",
" <td>1.180538</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.95740</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-02-18</th>\n",
" <td>0.001031</td>\n",
" <td>0.059442</td>\n",
" <td>1.290546</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.95720</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-04</th>\n",
" <td>0.001280</td>\n",
" <td>0.060722</td>\n",
" <td>1.351831</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99890</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-18</th>\n",
" <td>0.018729</td>\n",
" <td>0.079451</td>\n",
" <td>1.632026</td>\n",
" <td>-0.028096</td>\n",
" <td>-0.028096</td>\n",
" <td>0.99900</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-12-19</th>\n",
" <td>0.001795</td>\n",
" <td>0.619046</td>\n",
" <td>1.928640</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-03</th>\n",
" <td>0.006513</td>\n",
" <td>0.625559</td>\n",
" <td>1.833167</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-17</th>\n",
" <td>0.006098</td>\n",
" <td>0.631657</td>\n",
" <td>1.732021</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-07</th>\n",
" <td>0.003424</td>\n",
" <td>0.635081</td>\n",
" <td>2.190087</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-21</th>\n",
" <td>0.010451</td>\n",
" <td>0.645533</td>\n",
" <td>2.439619</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99996</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-07</th>\n",
" <td>-0.001086</td>\n",
" <td>0.644447</td>\n",
" <td>2.149152</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99798</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-21</th>\n",
" <td>0.016426</td>\n",
" <td>0.660873</td>\n",
" <td>2.235613</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-06</th>\n",
" <td>-0.001144</td>\n",
" <td>0.659729</td>\n",
" <td>2.356093</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-20</th>\n",
" <td>0.007881</td>\n",
" <td>0.667610</td>\n",
" <td>2.448745</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-05</th>\n",
" <td>-0.008892</td>\n",
" <td>0.658717</td>\n",
" <td>2.227092</td>\n",
" <td>-0.013104</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-19</th>\n",
" <td>-0.002924</td>\n",
" <td>0.655793</td>\n",
" <td>2.487909</td>\n",
" <td>-0.012972</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-06</th>\n",
" <td>0.003434</td>\n",
" <td>0.659228</td>\n",
" <td>2.593745</td>\n",
" <td>-0.012802</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-20</th>\n",
" <td>0.011297</td>\n",
" <td>0.670525</td>\n",
" <td>2.860042</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-04</th>\n",
" <td>0.009526</td>\n",
" <td>0.680050</td>\n",
" <td>3.041796</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-18</th>\n",
" <td>0.016175</td>\n",
" <td>0.696225</td>\n",
" <td>3.055025</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-01</th>\n",
" <td>0.002968</td>\n",
" <td>0.699193</td>\n",
" <td>2.857844</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99999</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-15</th>\n",
" <td>-0.007531</td>\n",
" <td>0.691662</td>\n",
" <td>2.289452</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-29</th>\n",
" <td>0.001026</td>\n",
" <td>0.692688</td>\n",
" <td>2.742168</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-12</th>\n",
" <td>0.000855</td>\n",
" <td>0.693543</td>\n",
" <td>2.830931</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-26</th>\n",
" <td>-0.000392</td>\n",
" <td>0.693151</td>\n",
" <td>2.633798</td>\n",
" <td>-0.011817</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99997</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-17</th>\n",
" <td>-0.006175</td>\n",
" <td>0.686976</td>\n",
" <td>2.390601</td>\n",
" <td>-0.012217</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99997</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-31</th>\n",
" <td>-0.004647</td>\n",
" <td>0.682329</td>\n",
" <td>2.037490</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00002</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-14</th>\n",
" <td>0.005732</td>\n",
" <td>0.688061</td>\n",
" <td>2.259706</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00011</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-28</th>\n",
" <td>0.014009</td>\n",
" <td>0.702070</td>\n",
" <td>2.700705</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00011</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-12</th>\n",
" <td>0.000715</td>\n",
" <td>0.702786</td>\n",
" <td>2.437891</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99994</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-26</th>\n",
" <td>0.003241</td>\n",
" <td>0.706027</td>\n",
" <td>2.481936</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99996</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-10</th>\n",
" <td>0.009375</td>\n",
" <td>0.715401</td>\n",
" <td>2.536598</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>1.00008</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-24</th>\n",
" <td>0.001758</td>\n",
" <td>0.717159</td>\n",
" <td>2.417740</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99998</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-07</th>\n",
" <td>0.003852</td>\n",
" <td>0.721011</td>\n",
" <td>2.429653</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99993</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-28</th>\n",
" <td>0.000391</td>\n",
" <td>0.721402</td>\n",
" <td>2.185579</td>\n",
" <td>-0.016864</td>\n",
" <td>-0.035754</td>\n",
" <td>0.99994</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>199 rows × 6 columns</p>\n",
"</div>"
],
"text/plain": [
" daily_return cum_ret sharp drawdown max_drawn leverage\n",
"2010-01-04 0.000000 0.000000 0.000000 0.000000 0.000000 0.00000\n",
"2010-01-18 0.002456 0.002456 0.000000 0.000000 0.000000 0.98210\n",
"2010-02-01 -0.003691 -0.001234 0.000000 -0.003691 -0.003691 0.98080\n",
"2010-02-22 -0.001398 -0.002632 0.000000 -0.005088 -0.005088 0.99880\n",
"2010-03-08 0.001219 -0.001413 0.000000 -0.005088 -0.005088 1.00070\n",
"2010-03-22 -0.003154 -0.004567 -1.564942 -0.007023 -0.007023 0.99990\n",
"2010-04-06 0.005331 0.000764 0.170609 -0.007023 -0.007023 1.00030\n",
"2010-04-20 -0.011791 -0.011027 -1.339591 -0.013484 -0.013484 1.00090\n",
"2010-05-05 0.000307 -0.010720 -1.229194 -0.013484 -0.013484 0.99920\n",
"2010-05-19 0.007962 -0.002758 -0.255024 -0.013484 -0.013484 0.99890\n",
"2010-06-02 -0.007907 -0.010665 -0.862161 -0.013484 -0.013484 0.99980\n",
"2010-06-21 0.007624 -0.003041 -0.214491 -0.013484 -0.013484 0.99990\n",
"2010-07-05 0.008193 0.005152 0.323698 -0.013484 -0.013484 0.99960\n",
"2010-07-19 0.001580 0.006732 0.408208 -0.013484 -0.013484 0.97430\n",
"2010-08-02 0.005666 0.012399 0.708708 -0.013484 -0.013484 0.97470\n",
"2010-08-16 -0.013279 -0.000880 -0.041376 -0.013484 -0.013484 1.00010\n",
"2010-08-30 -0.002519 -0.003399 -0.154688 -0.015798 -0.015798 0.99900\n",
"2010-09-13 -0.012298 -0.015698 -0.633037 -0.028096 -0.028096 0.99960\n",
"2010-09-30 0.003504 -0.012194 -0.474059 -0.028096 -0.028096 0.99970\n",
"2010-10-21 0.032270 0.020077 0.508137 -0.028096 -0.028096 0.99950\n",
"2010-11-04 -0.001903 0.018173 0.448466 -0.028096 -0.028096 0.99990\n",
"2010-11-18 0.004564 0.022737 0.546899 -0.028096 -0.028096 0.99980\n",
"2010-12-02 0.005751 0.028489 0.667092 -0.028096 -0.028096 0.99970\n",
"2010-12-16 -0.001650 0.026839 0.614522 -0.028096 -0.028096 0.99950\n",
"2010-12-30 0.007329 0.034168 0.759830 -0.028096 -0.028096 0.99960\n",
"2011-01-14 0.013885 0.048052 1.030272 -0.028096 -0.028096 0.99960\n",
"2011-01-28 0.010359 0.058411 1.180538 -0.028096 -0.028096 0.95740\n",
"2011-02-18 0.001031 0.059442 1.290546 -0.028096 -0.028096 0.95720\n",
"2011-03-04 0.001280 0.060722 1.351831 -0.028096 -0.028096 0.99890\n",
"2011-03-18 0.018729 0.079451 1.632026 -0.028096 -0.028096 0.99900\n",
"... ... ... ... ... ... ...\n",
"2016-12-19 0.001795 0.619046 1.928640 -0.013104 -0.035754 0.99999\n",
"2017-01-03 0.006513 0.625559 1.833167 -0.013104 -0.035754 0.99999\n",
"2017-01-17 0.006098 0.631657 1.732021 -0.013104 -0.035754 1.00003\n",
"2017-02-07 0.003424 0.635081 2.190087 -0.013104 -0.035754 1.00003\n",
"2017-02-21 0.010451 0.645533 2.439619 -0.013104 -0.035754 0.99996\n",
"2017-03-07 -0.001086 0.644447 2.149152 -0.013104 -0.035754 0.99798\n",
"2017-03-21 0.016426 0.660873 2.235613 -0.013104 -0.035754 1.00003\n",
"2017-04-06 -0.001144 0.659729 2.356093 -0.013104 -0.035754 1.00003\n",
"2017-04-20 0.007881 0.667610 2.448745 -0.013104 -0.035754 1.00004\n",
"2017-05-05 -0.008892 0.658717 2.227092 -0.013104 -0.035754 1.00004\n",
"2017-05-19 -0.002924 0.655793 2.487909 -0.012972 -0.035754 0.99990\n",
"2017-06-06 0.003434 0.659228 2.593745 -0.012802 -0.035754 0.99990\n",
"2017-06-20 0.011297 0.670525 2.860042 -0.011817 -0.035754 1.00004\n",
"2017-07-04 0.009526 0.680050 3.041796 -0.011817 -0.035754 1.00004\n",
"2017-07-18 0.016175 0.696225 3.055025 -0.011817 -0.035754 0.99999\n",
"2017-08-01 0.002968 0.699193 2.857844 -0.011817 -0.035754 0.99999\n",
"2017-08-15 -0.007531 0.691662 2.289452 -0.011817 -0.035754 1.00004\n",
"2017-08-29 0.001026 0.692688 2.742168 -0.011817 -0.035754 1.00004\n",
"2017-09-12 0.000855 0.693543 2.830931 -0.011817 -0.035754 1.00004\n",
"2017-09-26 -0.000392 0.693151 2.633798 -0.011817 -0.035754 0.99997\n",
"2017-10-17 -0.006175 0.686976 2.390601 -0.012217 -0.035754 0.99997\n",
"2017-10-31 -0.004647 0.682329 2.037490 -0.016864 -0.035754 1.00002\n",
"2017-11-14 0.005732 0.688061 2.259706 -0.016864 -0.035754 1.00011\n",
"2017-11-28 0.014009 0.702070 2.700705 -0.016864 -0.035754 1.00011\n",
"2017-12-12 0.000715 0.702786 2.437891 -0.016864 -0.035754 0.99994\n",
"2017-12-26 0.003241 0.706027 2.481936 -0.016864 -0.035754 0.99996\n",
"2018-01-10 0.009375 0.715401 2.536598 -0.016864 -0.035754 1.00008\n",
"2018-01-24 0.001758 0.717159 2.417740 -0.016864 -0.035754 0.99998\n",
"2018-02-07 0.003852 0.721011 2.429653 -0.016864 -0.035754 0.99993\n",
"2018-02-28 0.000391 0.721402 2.185579 -0.016864 -0.035754 0.99994\n",
"\n",
"[199 rows x 6 columns]"
]
},
"execution_count": 20,
"execution_count": null,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"res_df"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>leverage</th>\n",
" <th>returns</th>\n",
" <th>turn_over</th>\n",
" <th>index</th>\n",
" <th>tc_cost</th>\n",
" <th>ret_after_tc</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2010-01-04</th>\n",
" <td>0.00000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-01-18</th>\n",
" <td>1.00000</td>\n",
" <td>0.053401</td>\n",
" <td>1.824820</td>\n",
" <td>0.058077</td>\n",
" <td>0.003650</td>\n",
" <td>-0.008325</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-01</th>\n",
" <td>1.00000</td>\n",
" <td>-0.119192</td>\n",
" <td>0.294016</td>\n",
" <td>-0.115825</td>\n",
" <td>0.000588</td>\n",
" <td>-0.003955</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-22</th>\n",
" <td>0.99839</td>\n",
" <td>0.030674</td>\n",
" <td>0.416928</td>\n",
" <td>0.035925</td>\n",
" <td>0.000834</td>\n",
" <td>-0.006026</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-08</th>\n",
" <td>0.99537</td>\n",
" <td>0.055301</td>\n",
" <td>0.400000</td>\n",
" <td>0.044084</td>\n",
" <td>0.000800</td>\n",
" <td>0.010621</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-22</th>\n",
" <td>0.99846</td>\n",
" <td>-0.005239</td>\n",
" <td>0.400000</td>\n",
" <td>-0.000303</td>\n",
" <td>0.000800</td>\n",
" <td>-0.005736</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-06</th>\n",
" <td>0.99846</td>\n",
" <td>0.041815</td>\n",
" <td>0.400000</td>\n",
" <td>0.043072</td>\n",
" <td>0.000800</td>\n",
" <td>-0.001990</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-20</th>\n",
" <td>0.99837</td>\n",
" <td>0.007571</td>\n",
" <td>0.400000</td>\n",
" <td>0.006209</td>\n",
" <td>0.000800</td>\n",
" <td>0.000573</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-05</th>\n",
" <td>0.99837</td>\n",
" <td>-0.086619</td>\n",
" <td>0.400000</td>\n",
" <td>-0.101913</td>\n",
" <td>0.000800</td>\n",
" <td>0.014328</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-19</th>\n",
" <td>0.99857</td>\n",
" <td>-0.120487</td>\n",
" <td>0.400000</td>\n",
" <td>-0.124804</td>\n",
" <td>0.000800</td>\n",
" <td>0.003338</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-02</th>\n",
" <td>0.99857</td>\n",
" <td>0.038966</td>\n",
" <td>0.400000</td>\n",
" <td>0.038406</td>\n",
" <td>0.000800</td>\n",
" <td>-0.000185</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-21</th>\n",
" <td>0.99856</td>\n",
" <td>0.027008</td>\n",
" <td>0.400000</td>\n",
" <td>0.016080</td>\n",
" <td>0.000800</td>\n",
" <td>0.010152</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-05</th>\n",
" <td>0.99856</td>\n",
" <td>-0.101685</td>\n",
" <td>0.400000</td>\n",
" <td>-0.116871</td>\n",
" <td>0.000800</td>\n",
" <td>0.014218</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-19</th>\n",
" <td>0.99864</td>\n",
" <td>0.090080</td>\n",
" <td>0.357899</td>\n",
" <td>0.075146</td>\n",
" <td>0.000716</td>\n",
" <td>0.014320</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-02</th>\n",
" <td>0.99864</td>\n",
" <td>0.065057</td>\n",
" <td>0.400000</td>\n",
" <td>0.059507</td>\n",
" <td>0.000800</td>\n",
" <td>0.004831</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-16</th>\n",
" <td>0.99857</td>\n",
" <td>0.060243</td>\n",
" <td>0.442552</td>\n",
" <td>0.061077</td>\n",
" <td>0.000885</td>\n",
" <td>-0.001633</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-30</th>\n",
" <td>0.99857</td>\n",
" <td>0.020421</td>\n",
" <td>0.400000</td>\n",
" <td>0.029092</td>\n",
" <td>0.000800</td>\n",
" <td>-0.009430</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-13</th>\n",
" <td>0.99857</td>\n",
" <td>0.038996</td>\n",
" <td>0.400000</td>\n",
" <td>0.046005</td>\n",
" <td>0.000800</td>\n",
" <td>-0.007743</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-30</th>\n",
" <td>0.99870</td>\n",
" <td>0.017004</td>\n",
" <td>0.400000</td>\n",
" <td>-0.007814</td>\n",
" <td>0.000800</td>\n",
" <td>0.024007</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-10-21</th>\n",
" <td>0.99882</td>\n",
" <td>0.060105</td>\n",
" <td>0.400000</td>\n",
" <td>0.022792</td>\n",
" <td>0.000800</td>\n",
" <td>0.036541</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-04</th>\n",
" <td>0.99882</td>\n",
" <td>0.091060</td>\n",
" <td>0.400000</td>\n",
" <td>0.085199</td>\n",
" <td>0.000800</td>\n",
" <td>0.005161</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-18</th>\n",
" <td>0.99871</td>\n",
" <td>-0.033025</td>\n",
" <td>0.400000</td>\n",
" <td>-0.044425</td>\n",
" <td>0.000800</td>\n",
" <td>0.010543</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-02</th>\n",
" <td>0.99871</td>\n",
" <td>0.011059</td>\n",
" <td>0.400000</td>\n",
" <td>0.003812</td>\n",
" <td>0.000800</td>\n",
" <td>0.006452</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-16</th>\n",
" <td>0.99889</td>\n",
" <td>0.037539</td>\n",
" <td>0.342705</td>\n",
" <td>0.024784</td>\n",
" <td>0.000685</td>\n",
" <td>0.012097</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-30</th>\n",
" <td>0.99889</td>\n",
" <td>-0.051308</td>\n",
" <td>0.400000</td>\n",
" <td>-0.057394</td>\n",
" <td>0.000800</td>\n",
" <td>0.005223</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-14</th>\n",
" <td>0.99889</td>\n",
" <td>-0.067475</td>\n",
" <td>0.320836</td>\n",
" <td>-0.088210</td>\n",
" <td>0.000642</td>\n",
" <td>0.019996</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-28</th>\n",
" <td>0.99886</td>\n",
" <td>0.032970</td>\n",
" <td>0.400000</td>\n",
" <td>0.019919</td>\n",
" <td>0.000800</td>\n",
" <td>0.012274</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-02-18</th>\n",
" <td>0.99886</td>\n",
" <td>0.096319</td>\n",
" <td>0.400000</td>\n",
" <td>0.089584</td>\n",
" <td>0.000800</td>\n",
" <td>0.006037</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-04</th>\n",
" <td>0.99669</td>\n",
" <td>0.027365</td>\n",
" <td>0.445334</td>\n",
" <td>0.018727</td>\n",
" <td>0.000891</td>\n",
" <td>0.007809</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-18</th>\n",
" <td>0.99883</td>\n",
" <td>-0.007476</td>\n",
" <td>0.400000</td>\n",
" <td>-0.010187</td>\n",
" <td>0.000800</td>\n",
" <td>0.001899</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-12-19</th>\n",
" <td>0.99999</td>\n",
" <td>-0.033943</td>\n",
" <td>0.400000</td>\n",
" <td>-0.029751</td>\n",
" <td>0.000800</td>\n",
" <td>-0.004993</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-03</th>\n",
" <td>0.99999</td>\n",
" <td>0.017296</td>\n",
" <td>0.400000</td>\n",
" <td>0.014796</td>\n",
" <td>0.000800</td>\n",
" <td>0.001700</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-17</th>\n",
" <td>1.00015</td>\n",
" <td>-0.052533</td>\n",
" <td>0.495767</td>\n",
" <td>-0.052350</td>\n",
" <td>0.000992</td>\n",
" <td>-0.001166</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-07</th>\n",
" <td>1.00015</td>\n",
" <td>0.043140</td>\n",
" <td>0.400000</td>\n",
" <td>0.036071</td>\n",
" <td>0.000800</td>\n",
" <td>0.006263</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-21</th>\n",
" <td>0.99995</td>\n",
" <td>0.037631</td>\n",
" <td>0.298597</td>\n",
" <td>0.028620</td>\n",
" <td>0.000597</td>\n",
" <td>0.008415</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-07</th>\n",
" <td>0.99995</td>\n",
" <td>0.008797</td>\n",
" <td>0.392917</td>\n",
" <td>0.003521</td>\n",
" <td>0.000786</td>\n",
" <td>0.004491</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-21</th>\n",
" <td>0.99992</td>\n",
" <td>0.013840</td>\n",
" <td>0.400000</td>\n",
" <td>0.000433</td>\n",
" <td>0.000800</td>\n",
" <td>0.012607</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-06</th>\n",
" <td>0.99992</td>\n",
" <td>0.018937</td>\n",
" <td>0.400000</td>\n",
" <td>0.012087</td>\n",
" <td>0.000800</td>\n",
" <td>0.006052</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-20</th>\n",
" <td>1.00001</td>\n",
" <td>-0.025861</td>\n",
" <td>0.400000</td>\n",
" <td>-0.043176</td>\n",
" <td>0.000800</td>\n",
" <td>0.016516</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-05</th>\n",
" <td>1.00001</td>\n",
" <td>-0.064204</td>\n",
" <td>0.400000</td>\n",
" <td>-0.052973</td>\n",
" <td>0.000800</td>\n",
" <td>-0.012030</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-19</th>\n",
" <td>1.00002</td>\n",
" <td>-0.017313</td>\n",
" <td>0.400000</td>\n",
" <td>-0.014611</td>\n",
" <td>0.000800</td>\n",
" <td>-0.003502</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-06</th>\n",
" <td>1.00002</td>\n",
" <td>0.021499</td>\n",
" <td>0.400000</td>\n",
" <td>0.011175</td>\n",
" <td>0.000800</td>\n",
" <td>0.009524</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-20</th>\n",
" <td>1.00001</td>\n",
" <td>0.026088</td>\n",
" <td>0.400000</td>\n",
" <td>0.020476</td>\n",
" <td>0.000800</td>\n",
" <td>0.004812</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-04</th>\n",
" <td>1.00001</td>\n",
" <td>0.036755</td>\n",
" <td>0.400000</td>\n",
" <td>0.018864</td>\n",
" <td>0.000800</td>\n",
" <td>0.017091</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-18</th>\n",
" <td>1.00009</td>\n",
" <td>-0.002142</td>\n",
" <td>0.497130</td>\n",
" <td>-0.021973</td>\n",
" <td>0.000994</td>\n",
" <td>0.018838</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-01</th>\n",
" <td>1.00009</td>\n",
" <td>0.044924</td>\n",
" <td>0.400000</td>\n",
" <td>0.031278</td>\n",
" <td>0.000800</td>\n",
" <td>0.012844</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-15</th>\n",
" <td>1.00001</td>\n",
" <td>0.015946</td>\n",
" <td>0.400000</td>\n",
" <td>0.010663</td>\n",
" <td>0.000800</td>\n",
" <td>0.004483</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-29</th>\n",
" <td>1.00001</td>\n",
" <td>0.023096</td>\n",
" <td>0.400000</td>\n",
" <td>0.021099</td>\n",
" <td>0.000800</td>\n",
" <td>0.001197</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-12</th>\n",
" <td>1.00001</td>\n",
" <td>0.042608</td>\n",
" <td>0.400000</td>\n",
" <td>0.035183</td>\n",
" <td>0.000800</td>\n",
" <td>0.006625</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-26</th>\n",
" <td>1.00006</td>\n",
" <td>-0.014834</td>\n",
" <td>0.400000</td>\n",
" <td>-0.015251</td>\n",
" <td>0.000800</td>\n",
" <td>-0.000382</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-17</th>\n",
" <td>1.00006</td>\n",
" <td>-0.002885</td>\n",
" <td>0.400000</td>\n",
" <td>-0.002997</td>\n",
" <td>0.000800</td>\n",
" <td>-0.000688</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-31</th>\n",
" <td>1.00001</td>\n",
" <td>0.003111</td>\n",
" <td>0.372023</td>\n",
" <td>-0.001593</td>\n",
" <td>0.000744</td>\n",
" <td>0.003961</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-14</th>\n",
" <td>1.00002</td>\n",
" <td>-0.002265</td>\n",
" <td>0.400000</td>\n",
" <td>-0.002333</td>\n",
" <td>0.000800</td>\n",
" <td>-0.000731</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-28</th>\n",
" <td>1.00002</td>\n",
" <td>-0.026042</td>\n",
" <td>0.400000</td>\n",
" <td>-0.034113</td>\n",
" <td>0.000800</td>\n",
" <td>0.007272</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-12</th>\n",
" <td>0.99995</td>\n",
" <td>-0.004642</td>\n",
" <td>0.400000</td>\n",
" <td>-0.006497</td>\n",
" <td>0.000800</td>\n",
" <td>0.001054</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-26</th>\n",
" <td>0.99995</td>\n",
" <td>-0.014361</td>\n",
" <td>0.515549</td>\n",
" <td>-0.016749</td>\n",
" <td>0.001031</td>\n",
" <td>0.001356</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-10</th>\n",
" <td>0.99999</td>\n",
" <td>0.070323</td>\n",
" <td>0.400000</td>\n",
" <td>0.040133</td>\n",
" <td>0.000800</td>\n",
" <td>0.029391</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-24</th>\n",
" <td>1.00011</td>\n",
" <td>0.004529</td>\n",
" <td>0.400000</td>\n",
" <td>-0.006750</td>\n",
" <td>0.000800</td>\n",
" <td>0.010480</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-07</th>\n",
" <td>1.00004</td>\n",
" <td>-0.080637</td>\n",
" <td>0.400000</td>\n",
" <td>-0.101533</td>\n",
" <td>0.000800</td>\n",
" <td>0.020100</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-28</th>\n",
" <td>0.99994</td>\n",
" <td>0.031790</td>\n",
" <td>0.400000</td>\n",
" <td>0.044632</td>\n",
" <td>0.000800</td>\n",
" <td>-0.013639</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>199 rows × 6 columns</p>\n",
"</div>"
],
"text/plain": [
" leverage returns turn_over index tc_cost ret_after_tc\n",
"2010-01-04 0.00000 0.000000 0.000000 0.000000 0.000000 0.000000\n",
"2010-01-18 1.00000 0.053401 1.824820 0.058077 0.003650 -0.008325\n",
"2010-02-01 1.00000 -0.119192 0.294016 -0.115825 0.000588 -0.003955\n",
"2010-02-22 0.99839 0.030674 0.416928 0.035925 0.000834 -0.006026\n",
"2010-03-08 0.99537 0.055301 0.400000 0.044084 0.000800 0.010621\n",
"2010-03-22 0.99846 -0.005239 0.400000 -0.000303 0.000800 -0.005736\n",
"2010-04-06 0.99846 0.041815 0.400000 0.043072 0.000800 -0.001990\n",
"2010-04-20 0.99837 0.007571 0.400000 0.006209 0.000800 0.000573\n",
"2010-05-05 0.99837 -0.086619 0.400000 -0.101913 0.000800 0.014328\n",
"2010-05-19 0.99857 -0.120487 0.400000 -0.124804 0.000800 0.003338\n",
"2010-06-02 0.99857 0.038966 0.400000 0.038406 0.000800 -0.000185\n",
"2010-06-21 0.99856 0.027008 0.400000 0.016080 0.000800 0.010152\n",
"2010-07-05 0.99856 -0.101685 0.400000 -0.116871 0.000800 0.014218\n",
"2010-07-19 0.99864 0.090080 0.357899 0.075146 0.000716 0.014320\n",
"2010-08-02 0.99864 0.065057 0.400000 0.059507 0.000800 0.004831\n",
"2010-08-16 0.99857 0.060243 0.442552 0.061077 0.000885 -0.001633\n",
"2010-08-30 0.99857 0.020421 0.400000 0.029092 0.000800 -0.009430\n",
"2010-09-13 0.99857 0.038996 0.400000 0.046005 0.000800 -0.007743\n",
"2010-09-30 0.99870 0.017004 0.400000 -0.007814 0.000800 0.024007\n",
"2010-10-21 0.99882 0.060105 0.400000 0.022792 0.000800 0.036541\n",
"2010-11-04 0.99882 0.091060 0.400000 0.085199 0.000800 0.005161\n",
"2010-11-18 0.99871 -0.033025 0.400000 -0.044425 0.000800 0.010543\n",
"2010-12-02 0.99871 0.011059 0.400000 0.003812 0.000800 0.006452\n",
"2010-12-16 0.99889 0.037539 0.342705 0.024784 0.000685 0.012097\n",
"2010-12-30 0.99889 -0.051308 0.400000 -0.057394 0.000800 0.005223\n",
"2011-01-14 0.99889 -0.067475 0.320836 -0.088210 0.000642 0.019996\n",
"2011-01-28 0.99886 0.032970 0.400000 0.019919 0.000800 0.012274\n",
"2011-02-18 0.99886 0.096319 0.400000 0.089584 0.000800 0.006037\n",
"2011-03-04 0.99669 0.027365 0.445334 0.018727 0.000891 0.007809\n",
"2011-03-18 0.99883 -0.007476 0.400000 -0.010187 0.000800 0.001899\n",
"... ... ... ... ... ... ...\n",
"2016-12-19 0.99999 -0.033943 0.400000 -0.029751 0.000800 -0.004993\n",
"2017-01-03 0.99999 0.017296 0.400000 0.014796 0.000800 0.001700\n",
"2017-01-17 1.00015 -0.052533 0.495767 -0.052350 0.000992 -0.001166\n",
"2017-02-07 1.00015 0.043140 0.400000 0.036071 0.000800 0.006263\n",
"2017-02-21 0.99995 0.037631 0.298597 0.028620 0.000597 0.008415\n",
"2017-03-07 0.99995 0.008797 0.392917 0.003521 0.000786 0.004491\n",
"2017-03-21 0.99992 0.013840 0.400000 0.000433 0.000800 0.012607\n",
"2017-04-06 0.99992 0.018937 0.400000 0.012087 0.000800 0.006052\n",
"2017-04-20 1.00001 -0.025861 0.400000 -0.043176 0.000800 0.016516\n",
"2017-05-05 1.00001 -0.064204 0.400000 -0.052973 0.000800 -0.012030\n",
"2017-05-19 1.00002 -0.017313 0.400000 -0.014611 0.000800 -0.003502\n",
"2017-06-06 1.00002 0.021499 0.400000 0.011175 0.000800 0.009524\n",
"2017-06-20 1.00001 0.026088 0.400000 0.020476 0.000800 0.004812\n",
"2017-07-04 1.00001 0.036755 0.400000 0.018864 0.000800 0.017091\n",
"2017-07-18 1.00009 -0.002142 0.497130 -0.021973 0.000994 0.018838\n",
"2017-08-01 1.00009 0.044924 0.400000 0.031278 0.000800 0.012844\n",
"2017-08-15 1.00001 0.015946 0.400000 0.010663 0.000800 0.004483\n",
"2017-08-29 1.00001 0.023096 0.400000 0.021099 0.000800 0.001197\n",
"2017-09-12 1.00001 0.042608 0.400000 0.035183 0.000800 0.006625\n",
"2017-09-26 1.00006 -0.014834 0.400000 -0.015251 0.000800 -0.000382\n",
"2017-10-17 1.00006 -0.002885 0.400000 -0.002997 0.000800 -0.000688\n",
"2017-10-31 1.00001 0.003111 0.372023 -0.001593 0.000744 0.003961\n",
"2017-11-14 1.00002 -0.002265 0.400000 -0.002333 0.000800 -0.000731\n",
"2017-11-28 1.00002 -0.026042 0.400000 -0.034113 0.000800 0.007272\n",
"2017-12-12 0.99995 -0.004642 0.400000 -0.006497 0.000800 0.001054\n",
"2017-12-26 0.99995 -0.014361 0.515549 -0.016749 0.001031 0.001356\n",
"2018-01-10 0.99999 0.070323 0.400000 0.040133 0.000800 0.029391\n",
"2018-01-24 1.00011 0.004529 0.400000 -0.006750 0.000800 0.010480\n",
"2018-02-07 1.00004 -0.080637 0.400000 -0.101533 0.000800 0.020100\n",
"2018-02-28 0.99994 0.031790 0.400000 0.044632 0.000800 -0.013639\n",
"\n",
"[199 rows x 6 columns]"
]
},
"execution_count": 11,
"execution_count": null,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"ret_df"
]
},
{
"cell_type": "code",
"execution_count": 46,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"'zz800'"
]
},
"execution_count": 46,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"universe.base_universe[0]"
]
},
{
"cell_type": "code",
"execution_count": null,
......
notebooks/Example 4 - Single Factor Analysis.ipynb
View file @ 40967ae5
This source diff could not be displayed because it is too large. You can view the blob instead.
Markdown is supported
0% or
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment