added tests for target vol executor

alphamind/execution/baseexecutor.py

@@ -30,3 +30,6 @@ class ExecutorBase(metaclass=abc.ABCMeta):
 
     def set_current(self, current_pos: pd.DataFrame):
         self.current_pos = current_pos.copy()
+
+    def update(self, data_dict: dict):
+        pass

alphamind/execution/naiveexecutor.py

@@ -17,7 +17,7 @@ class NaiveExecutor(ExecutorBase):
 
     def execute(self, target_pos: pd.DataFrame) -> Tuple[float, pd.DataFrame]:
         if self.current_pos.empty:
-            turn_over = target_pos.weight.sum()
+            turn_over = target_pos.weight.abs().sum()
         else:
             turn_over = self.calc_turn_over(target_pos, self.current_pos)
         self.current_pos = target_pos.copy()

alphamind/execution/targetvolexecutor.py

@@ -21,12 +21,18 @@ class TargetVolExecutor(ExecutorBase):
 
     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)
+            if self.current_pos.empty:
+                turn_over = target_pos.abs().weight.sum()
+            else:
+                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
+            candidate_pos['weight'] = candidate_pos.weight.values / self.multiplier
             turn_over = self.calc_turn_over(candidate_pos, self.current_pos)
             return turn_over, candidate_pos
+
+    def update(self, data_dict: dict):
+        self.m_vol.push(data_dict)

alphamind/execution/thresholdexecutor.py

@@ -19,7 +19,7 @@ class ThresholdExecutor(ExecutorBase):
     def execute(self, target_pos: pd.DataFrame) -> Tuple[float, pd.DataFrame]:
 
         if self.current_pos.empty:
-            return target_pos.weight.sum(), target_pos
+            return target_pos.weight.abs().sum(), target_pos
         else:
             turn_over = self.calc_turn_over(target_pos, self.current_pos)
 

alphamind/tests/execution/test_targetvolexecutor.py

@@ -6,13 +6,45 @@ Created on 2017-9-22
 """
 
 import unittest
+from collections import deque
+import numpy as np
+import pandas as pd
 from alphamind.execution.targetvolexecutor import TargetVolExecutor
 
 
 class TestTargetVolExecutor(unittest.TestCase):
 
     def test_target_vol_executor(self):
+        n = 100
+        window = 30
+        target_vol = 0.01
 
+        executor = TargetVolExecutor(window=window, target_vol=target_vol)
+
+        return_1 = np.random.randn(2000, n) * 0.05
+        return_2 = np.random.randn(2000, n) * 0.2
+        return_total = np.concatenate((return_1, return_2))
+
+        weigths = np.ones(n) / n
+        codes = np.array(list(range(n)))
+
+        ret_deq = deque(maxlen=window)
+
+        for i, row in enumerate(return_total):
+            pos = pd.DataFrame({'code': codes, 'weight': weigths})
+            turn_over, executed_pos = executor.execute(pos)
+
+            if i >= window:
+                c_vol = np.std(ret_deq, ddof=1)
+                executed_pos.equals(pos * target_vol / c_vol)
+            else:
+                executed_pos.equals(pos)
+
+            executor.set_current(executed_pos)
+            daily_return = row @ weigths
+            data_dict = {'return': daily_return}
+            executor.update(data_dict=data_dict)
+            ret_deq.append(daily_return)
 
 
 if __name__ == '__main__':

alphamind/tests/test_suite.py

@@ -30,6 +30,7 @@ from alphamind.tests.model.test_linearmodel import TestLinearModel
 from alphamind.tests.model.test_loader import TestLoader
 from alphamind.tests.execution.test_naiveexecutor import TestNaiveExecutor
 from alphamind.tests.execution.test_thresholdexecutor import TestThresholdExecutor
+from alphamind.tests.execution.test_targetvolexecutor import TestTargetVolExecutor
 
 
 if __name__ == '__main__':
@@ -51,6 +52,7 @@ if __name__ == '__main__':
                          TestLinearModel,
                          TestLoader,
                          TestNaiveExecutor,
-                         TestThresholdExecutor],
+                         TestThresholdExecutor,
+                         TestTargetVolExecutor],
                         alpha_logger)
     runner.run()

scripts/create_view.sql

@@ -42,4 +42,4 @@ u."AccountsPayablesTDays",u."AccountsPayablesTRate",u."AdminiExpenseRate",u."ART
  left join tiny as t on m.trade_date = t.trade_date and m.code = t.code
  left join experimental as e on m.trade_date = e.trade_date and m.code = e.code;
 
-create UNIQUE index on full_factor_view (trade_date, code)
\ No newline at end of file
+create UNIQUE index on full_factor_view (trade_date, code);
\ No newline at end of file