Merge pull request #7 from alpha-miner/master

merge update

alphamind/data/engines/sqlengine.py

@@ -417,8 +417,7 @@ class SqlEngine(object):
 
         df = pd.read_sql(query, self.engine)
         if universe.is_filtered:
-            codes = universe.query(self, start_date, end_date, dates)
-            df = pd.merge(df, codes, how='inner', on=['trade_date', 'code'])
+            df = pd.merge(df, universe_df, how='inner', on=['trade_date', 'code'])
 
         if external_data is not None:
             df = pd.merge(df, external_data, on=['trade_date', 'code']).dropna()
@@ -435,6 +434,55 @@ class SqlEngine(object):
         df = df.reset_index()
         return pd.merge(df, universe_df[['trade_date', 'code']], how='inner')
 
+    def fetch_factor_range_forward(self,
+                                   universe: Universe,
+                                   factors: Union[Transformer, object],
+                                   start_date: str = None,
+                                   end_date: str = None,
+                                   dates: Iterable[str] = None):
+
+        if isinstance(factors, Transformer):
+            transformer = factors
+        else:
+            transformer = Transformer(factors)
+
+        dependency = transformer.dependency
+        factor_cols = _map_factors(dependency, factor_tables)
+
+        codes = universe.query(self, start_date, end_date, dates)
+        total_codes = codes.code.unique().tolist()
+        total_dates = codes.trade_date.astype(str).unique().tolist()
+
+        big_table = Market
+        joined_tables = set()
+        joined_tables.add(Market.__table__.name)
+
+        for t in set(factor_cols.values()):
+            if t.__table__.name not in joined_tables:
+                if dates is not None:
+                    big_table = outerjoin(big_table, t, and_(Market.trade_date == t.trade_date,
+                                                             Market.code == t.code,
+                                                             Market.trade_date.in_(dates)))
+                else:
+                    big_table = outerjoin(big_table, t, and_(Market.trade_date == t.trade_date,
+                                                             Market.code == t.code,
+                                                             Market.trade_date.between(start_date, end_date)))
+                joined_tables.add(t.__table__.name)
+
+        stats = func.lag(list(factor_cols.keys())[0], -1).over(
+            partition_by=Market.code,
+            order_by=Market.trade_date).label('dx')
+
+        query = select([Market.trade_date, Market.code, stats]).select_from(big_table).where(
+            and_(
+                Market.trade_date.in_(total_dates),
+                Market.code.in_(total_codes)
+            )
+        )
+
+        df = pd.read_sql(query, self.engine).sort_values(['trade_date', 'code'])
+        return df
+
     def fetch_benchmark(self,
                         ref_date: str,
                         benchmark: int,
@@ -988,9 +1036,6 @@ if __name__ == '__main__':
     universe = Universe('', ['zz800'])
 
     codes = engine.fetch_codes(ref_date, universe)
-    dates = makeSchedule('2010-01-01', '2018-02-01', '10b', 'china.sse')
-    # df = engine.fetch_factor_range(universe, DIFF('roe_q'), dates=dates)
-
-    risk_cov, risk_exposure = engine.fetch_risk_model(ref_date, codes)
-    factor_data = engine.fetch_factor_range(universe, ['roe_q'], dates=dates)
-    risk_cov, risk_exposure = engine.fetch_risk_model_range(universe, dates=dates)
+    dates = makeSchedule('2018-01-01', '2018-02-01', '10b', 'china.sse')
+    factor_data = engine.fetch_factor_range_forward(universe, ['roe_q'], dates=dates)
+    print(factor_data)

alphamind/data/engines/utilities.py

@@ -7,6 +7,7 @@ Created on 2017-12-25
 
 from typing import Iterable
 from typing import Dict
+from alphamind.data.dbmodel.models import Market
 from alphamind.data.dbmodel.models import RiskCovDay
 from alphamind.data.dbmodel.models import RiskCovShort
 from alphamind.data.dbmodel.models import RiskCovLong
@@ -22,7 +23,7 @@ from alphamind.data.dbmodel.models import RiskExposure
 from alphamind.data.engines.industries import INDUSTRY_MAPPING
 
 
-factor_tables = [RiskExposure, Uqer, Gogoal, Experimental, LegacyFactor, Tiny]
+factor_tables = [Market, RiskExposure, Uqer, Gogoal, Experimental, LegacyFactor, Tiny]
 
 
 def _map_risk_model_table(risk_model: str) -> tuple:
@@ -44,13 +45,17 @@ def _map_factors(factors: Iterable[str], used_factor_tables) -> Dict:
             if f not in excluded and f in t.__table__.columns:
                 factor_cols[t.__table__.columns[f]] = t
                 break
+
+    if not factor_cols:
+        raise ValueError(f"some factors in <{factors}> can't be find")
+
     return factor_cols
 
 
 def _map_industry_category(category: str) -> str:
     if category == 'sw':
         return '申万行业分类'
-    if category == 'sw_adj':
+    elif category == 'sw_adj':
         return '申万行业分类修订'
     elif category == 'zz':
         return '中证行业分类'

alphamind/execution/targetvolexecutor.py

@@ -16,8 +16,8 @@ class TargetVolExecutor(ExecutorBase):
 
     def __init__(self, window=30, target_vol=0.01):
         super().__init__()
-        self.m_vol = MovingStandardDeviation(window=window, dependency='return')
-        self.m_leverage = MovingAverage(window=window, dependency='leverage')
+        self.m_vol = MovingStandardDeviation(window, 'return')
+        self.m_leverage = MovingAverage(window, 'leverage')
         self.target_vol = target_vol
         self.multiplier = 1.
 

alphamind/model/composer.py

@@ -116,7 +116,8 @@ class DataMeta(object):
                                  self.risk_model,
                                  self.pre_process,
                                  self.post_process,
-                                 self.warm_start)
+                                 self.warm_start,
+                                 fit_target=alpha_model.fit_target)
 
     def fetch_predict_data(self,
                            ref_date: str,

alphamind/model/data_preparing.py

@@ -60,7 +60,8 @@ def prepare_data(engine: SqlEngine,
                  frequency: str,
                  universe: Universe,
                  benchmark: int,
-                 warm_start: int = 0):
+                 warm_start: int = 0,
+                 fit_target: Union[Transformer, object]=None):
     if warm_start > 0:
         p = Period(frequency)
         p = Period(length=-warm_start * p.length(), units=p.units())
@@ -86,14 +87,22 @@ def prepare_data(engine: SqlEngine,
                                           factors=transformer,
                                           dates=dates).sort_values(['trade_date', 'code'])
     alpha_logger.info("factor data loading finished")
-    return_df = engine.fetch_dx_return_range(universe, dates=dates, horizon=horizon)
-    alpha_logger.info("return data loading finished")
+
+    if fit_target is None:
+        target_df = engine.fetch_dx_return_range(universe, dates=dates, horizon=horizon)
+    else:
+        one_more_date = advanceDateByCalendar('china.sse', dates[-1], frequency)
+        target_df = engine.fetch_factor_range_forward(universe, factors=fit_target, dates=dates + [one_more_date])
+        target_df = target_df[target_df.trade_date.isin(dates)]
+        target_df = target_df.groupby('code').apply(lambda x: x.fillna(method='pad'))
+    alpha_logger.info("fit target data loading finished")
+
     industry_df = engine.fetch_industry_range(universe, dates=dates)
     alpha_logger.info("industry data loading finished")
     benchmark_df = engine.fetch_benchmark_range(benchmark, dates=dates)
     alpha_logger.info("benchmark data loading finished")
 
-    df = pd.merge(factor_df, return_df, on=['trade_date', 'code']).dropna()
+    df = pd.merge(factor_df, target_df, on=['trade_date', 'code']).dropna()
     df = pd.merge(df, benchmark_df, on=['trade_date', 'code'], how='left')
     df = pd.merge(df, industry_df, on=['trade_date', 'code'])
     df['weight'] = df['weight'].fillna(0.)
@@ -261,7 +270,8 @@ def fetch_train_phase(engine,
                       risk_model: str = 'short',
                       pre_process: Iterable[object] = None,
                       post_process: Iterable[object] = None,
-                      warm_start: int = 0) -> dict:
+                      warm_start: int = 0,
+                      fit_target: Union[Transformer, object] = None) -> dict:
     if isinstance(alpha_factors, Transformer):
         transformer = alpha_factors
     else:
@@ -281,7 +291,13 @@ def fetch_train_phase(engine,
     horizon = map_freq(frequency)
 
     factor_df = engine.fetch_factor_range(universe, factors=transformer, dates=dates)
+    if fit_target is None:
         target_df = engine.fetch_dx_return_range(universe, dates=dates, horizon=horizon)
+    else:
+        one_more_date = advanceDateByCalendar('china.sse', dates[-1], frequency)
+        target_df = engine.fetch_factor_range_forward(universe, factors=fit_target, dates=dates + [one_more_date])
+        target_df = target_df[target_df.trade_date.isin(dates)]
+        target_df = target_df.groupby('code').apply(lambda x: x.fillna(method='pad'))
 
     df = pd.merge(factor_df, target_df, on=['trade_date', 'code']).dropna()
 
@@ -336,7 +352,7 @@ def fetch_predict_phase(engine,
                         pre_process: Iterable[object] = None,
                         post_process: Iterable[object] = None,
                         warm_start: int = 0,
-                        fillna: str=None):
+                        fillna: str = None):
     if isinstance(alpha_factors, Transformer):
         transformer = alpha_factors
     else:
@@ -356,7 +372,8 @@ def fetch_predict_phase(engine,
     factor_df = engine.fetch_factor_range(universe, factors=transformer, dates=dates)
 
     if fillna:
-        factor_df = factor_df.groupby('trade_date').apply(lambda x: x.fillna(x.median())).reset_index(drop=True).dropna()
+        factor_df = factor_df.groupby('trade_date').apply(lambda x: x.fillna(x.median())).reset_index(
+            drop=True).dropna()
     else:
         factor_df = factor_df.dropna()
 
@@ -416,13 +433,16 @@ def fetch_predict_phase(engine,
 
 
 if __name__ == '__main__':
-    engine = SqlEngine('postgresql+psycopg2://postgres:A12345678!@10.63.6.220/alpha')
+    from alphamind.api import risk_styles, industry_styles, standardize
+    engine = SqlEngine('postgresql+psycopg2://postgres:we083826@localhost/alpha')
     universe = Universe('zz500', ['hs300', 'zz500'])
-    neutralized_risk = ['SIZE']
+    neutralized_risk = risk_styles + industry_styles
     res = fetch_train_phase(engine, ['ep_q'],
                             '2012-01-05',
                             '5b',
                             universe,
                             16,
-                              neutralized_risk=neutralized_risk)
+                            neutralized_risk=neutralized_risk,
+                            post_process=[standardize],
+                            fit_target='closePrice')
     print(res)

alphamind/model/linearmodel.py

@@ -32,8 +32,9 @@ class ConstLinearModel(ModelBase):
 
     def __init__(self,
                  features=None,
-                 weights: dict = None):
-        super().__init__(features)
+                 weights: dict = None,
+                 fit_target=None):
+        super().__init__(features=features, fit_target=fit_target)
         if features is not None and weights is not None:
             pyFinAssert(len(features) == len(weights),
                         ValueError,
@@ -57,8 +58,8 @@ class ConstLinearModel(ModelBase):
 
 class LinearRegression(ModelBase):
 
-    def __init__(self, features=None, fit_intercept: bool = False, **kwargs):
-        super().__init__(features)
+    def __init__(self, features=None, fit_intercept: bool = False, fit_target=None, **kwargs):
+        super().__init__(features=features, fit_target=fit_target)
         self.impl = LinearRegressionImpl(fit_intercept=fit_intercept, **kwargs)
 
     def save(self) -> dict:
@@ -84,8 +85,8 @@ class LinearRegression(ModelBase):
 
 class LassoRegression(ModelBase):
 
-    def __init__(self, alpha=0.01, features=None, fit_intercept: bool = False, **kwargs):
-        super().__init__(features)
+    def __init__(self, alpha=0.01, features=None, fit_intercept: bool = False, fit_target=None, **kwargs):
+        super().__init__(features=features, fit_target=fit_target)
         self.impl = Lasso(alpha=alpha, fit_intercept=fit_intercept, **kwargs)
 
     def save(self) -> dict:
@@ -111,8 +112,8 @@ class LassoRegression(ModelBase):
 
 class LogisticRegression(ModelBase):
 
-    def __init__(self, features=None, fit_intercept: bool = False, **kwargs):
-        super().__init__(features)
+    def __init__(self, features=None, fit_intercept: bool = False, fit_target=None, **kwargs):
+        super().__init__(features=features, fit_target=fit_target)
         self.impl = LogisticRegressionImpl(fit_intercept=fit_intercept, **kwargs)
 
     def save(self) -> dict:

alphamind/model/modelbase.py

@@ -18,12 +18,17 @@ from alphamind.data.transformer import Transformer
 
 class ModelBase(metaclass=abc.ABCMeta):
 
-    def __init__(self, features=None):
+    def __init__(self, features=None, fit_target=None):
         if features is not None:
             self.formulas = Transformer(features)
             self.features = self.formulas.names
         else:
             self.features = None
+
+        if fit_target is not None:
+            self.fit_target = Transformer(fit_target)
+        else:
+            self.fit_target = None
         self.impl = None
         self.trained_time = None
 
@@ -31,7 +36,8 @@ class ModelBase(metaclass=abc.ABCMeta):
         return encode(self.impl) == encode(rhs.impl) \
                and self.trained_time == rhs.trained_time \
                and list_eq(self.features, rhs.features) \
-               and encode(self.formulas) == encode(rhs.formulas)
+               and encode(self.formulas) == encode(rhs.formulas) \
+               and encode(self.fit_target) == encode(rhs.fit_target)
 
     def fit(self, x: pd.DataFrame, y: np.ndarray):
         self.impl.fit(x[self.features].values, y.flatten())
@@ -56,15 +62,21 @@ class ModelBase(metaclass=abc.ABCMeta):
                           trained_time=self.trained_time,
                           desc=encode(self.impl),
                           formulas=encode(self.formulas),
+                          fit_target=encode(self.fit_target),
                           internal_model=self.impl.__class__.__module__ + "." + self.impl.__class__.__name__)
         return model_desc
 
-    @abc.abstractclassmethod
+    @classmethod
+    @abc.abstractmethod
     def load(cls, model_desc: dict):
         obj_layout = cls()
         obj_layout.features = model_desc['features']
         obj_layout.formulas = decode(model_desc['formulas'])
         obj_layout.trained_time = model_desc['trained_time']
         obj_layout.impl = decode(model_desc['desc'])
+        if 'fit_target' in model_desc:
+            obj_layout.fit_target = decode(model_desc['fit_target'])
+        else:
+            obj_layout.fit_target = None
         return obj_layout
 

alphamind/model/treemodel.py

@@ -27,8 +27,9 @@ class RandomForestRegressor(ModelBase):
                  n_estimators: int=100,
                  max_features: str='auto',
                  features=None,
+                 fit_target=None,
                  **kwargs):
-        super().__init__(features)
+        super().__init__(features=features, fit_target=fit_target)
         self.impl = RandomForestRegressorImpl(n_estimators=n_estimators,
                                               max_features=max_features,
                                               **kwargs)
@@ -59,8 +60,9 @@ class RandomForestClassifier(ModelBase):
                  n_estimators: int=100,
                  max_features: str='auto',
                  features=None,
+                 fit_target=None,
                  **kwargs):
-        super().__init__(features)
+        super().__init__(features=features, fit_target=fit_target)
         self.impl = RandomForestClassifierImpl(n_estimators=n_estimators,
                                                max_features=max_features,
                                                **kwargs)
@@ -92,9 +94,10 @@ class XGBRegressor(ModelBase):
                  learning_rate: float=0.1,
                  max_depth: int=3,
                  features=None,
+                 fit_target=None,
                  n_jobs: int=1,
                  **kwargs):
-        super().__init__(features)
+        super().__init__(features=features, fit_target=fit_target)
         self.impl = XGBRegressorImpl(n_estimators=n_estimators,
                                      learning_rate=learning_rate,
                                      max_depth=max_depth,
@@ -128,9 +131,10 @@ class XGBClassifier(ModelBase):
                  learning_rate: float=0.1,
                  max_depth: int=3,
                  features=None,
+                 fit_target=None,
                  n_jobs: int=1,
                  **kwargs):
-        super().__init__(features)
+        super().__init__(features=features, fit_target=fit_target)
         self.impl = XGBClassifierImpl(n_estimators=n_estimators,
                                       learning_rate=learning_rate,
                                       max_depth=max_depth,
@@ -171,10 +175,11 @@ class XGBTrainer(ModelBase):
                  subsample=1.,
                  colsample_bytree=1.,
                  features=None,
+                 fit_target=None,
                  random_state: int=0,
                  n_jobs: int=1,
                  **kwargs):
-        super().__init__(features)
+        super().__init__(features=features, fit_target=fit_target)
         self.params = {
             'silent': 1,
             'objective': objective,