added strategy module

alphamind/data/__init__.py

@@ -4,3 +4,12 @@ Created on 2017-4-25
 
 @author: cheng.li
 """
+
+from alphamind.data.standardize import standardize
+from alphamind.data.winsorize import winsorize_normal as winsorize
+from alphamind.data.neutralize import neutralize
+
+
+__all__ = ['standardize',
+           'winsorize',
+           'neutralize']

alphamind/data/transformer.py

@@ -61,11 +61,8 @@ class Transformer(object):
             factor_translator(expressions)
 
         if expression_dict:
-
-            res = list(zip(*list(expression_dict.items())))
-
-            self.names = list(res[0])
-            self.expressions = list(res[1])
+            self.names = sorted(expression_dict.keys())
+            self.expressions = [expression_dict[n] for n in self.names]
             self.dependency = expression_dependency
         else:
             self.names = []

alphamind/model/__init__.py

@@ -3,4 +3,11 @@
 Created on 2017-5-2
 
 @author: cheng.li
-"""
\ No newline at end of file
+"""
+
+from alphamind.model.linearmodel import LinearRegression
+from alphamind.model.linearmodel import ConstLinearModel
+
+
+__all__ = ['LinearRegression',
+           'ConstLinearModel']
\ No newline at end of file

alphamind/strategy/sample_strategy.json

+{
+  "strategy_name": "sample_strategy",
+
+  "data_process":
+  {
+    "pre_process": ["winsorize", "standardize"],
+    "neutralize_risk": ["SIZE"],
+    "post_process": ["winsorize", "standardize"]
+  },
+
+  "risk_model": "short",
+  "model": "LinearRegression",
+  "features": ["EPS", "ROEDiluted"],
+
+  "parameters":
+  {
+    "fit_intercept": false
+  },
+
+  "freq": "2w",
+  "batch": 4,
+  "warm_start": 0,
+  "universe": ["zz500", ["zz500"]],
+  "benchmark": 905
+}
\ No newline at end of file

alphamind/strategy/strategy.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-9-14
+
+@author: cheng.li
+"""
+
+import datetime as dt
+import pandas as pd
+import alphamind.data as data_module
+import alphamind.model as model_module
+from alphamind.data.engines.universe import Universe
+from alphamind.model.modelbase import ModelBase
+from alphamind.data.engines.sqlengine import industry_styles
+from alphamind.data.engines.sqlengine import risk_styles
+from alphamind.model.data_preparing import fetch_data_package
+from alphamind.model.data_preparing import fetch_predict_phase
+from alphamind.model.data_preparing import fetch_train_phase
+
+
+def load_process(names: list) -> list:
+
+    return [getattr(data_module, name) for name in names]
+
+
+def load_neutralize_risks(names: list) -> list:
+
+    risks = []
+
+    for name in names:
+        if name == 'industry_styles':
+            risks.extend(industry_styles)
+        elif name == 'risk_styles':
+            risks.extend(risk_styles)
+        else:
+            risks.append(name)
+
+    return risks
+
+
+def load_model_meta(name: str) -> ModelBase:
+    return getattr(model_module, name)
+
+
+def load_universe(universe: list) -> Universe:
+    return Universe(universe[0], universe[1])
+
+
+class Strategy(object):
+
+    def __init__(self,
+                 data_source,
+                 strategy_desc: dict,
+                 cache_start_date=None,
+                 cache_end_date=None):
+        self.data_source = data_source
+        self.strategy_name = strategy_desc['strategy_name']
+        self.pre_process = load_process(strategy_desc['data_process']['pre_process'])
+        self.post_process = load_process(strategy_desc['data_process']['pre_process'])
+        self.neutralize_risk = load_neutralize_risks(strategy_desc['data_process']['neutralize_risk'])
+        self.risk_model = strategy_desc['risk_model']
+
+        self.model_type = load_model_meta(strategy_desc['model'])
+        self.parameters = strategy_desc['parameters']
+        self.features = strategy_desc['features']
+        self.model = self.model_type(features=self.features, **self.parameters)
+
+        self.is_const_model = isinstance(self.model, model_module.ConstLinearModel)
+
+        if self.is_const_model:
+            self.weights = strategy_desc['weights']
+
+        self.freq = strategy_desc['freq']
+        self.universe = load_universe(strategy_desc['universe'])
+        self.benchmark = strategy_desc['benchmark']
+
+        self.batch = strategy_desc['batch']
+        self.warm_start = strategy_desc['warm_start']
+
+        if cache_start_date and cache_end_date:
+            self.cached_data = fetch_data_package(self.data_source,
+                                                  self.features,
+                                                  cache_start_date,
+                                                  cache_end_date,
+                                                  self.freq,
+                                                  self.universe,
+                                                  self.benchmark,
+                                                  self.warm_start,
+                                                  self.batch,
+                                                  self.neutralize_risk,
+                                                  self.risk_model,
+                                                  self.pre_process,
+                                                  self.post_process)
+            self.scheduled_dates = set(k.strftime('%Y-%m-%d') for k in self.cached_data['train']['x'].keys())
+        else:
+            self.cached_data = None
+            self.scheduled_dates = None
+
+    def cached_dates(self):
+        return sorted(self.scheduled_dates)
+
+    def model_train(self, ref_date: str):
+
+        if not self.is_const_model:
+            if self.cached_data and ref_date in self.scheduled_dates:
+                ref_date = dt.datetime.strptime(ref_date, '%Y-%m-%d')
+                ne_x = self.cached_data['train']['x'][ref_date]
+                ne_y = self.cached_data['train']['y'][ref_date]
+            else:
+                data = fetch_train_phase(self.data_source,
+                                         self.features,
+                                         ref_date,
+                                         self.freq,
+                                         self.universe,
+                                         self.batch,
+                                         self.neutralize_risk,
+                                         self.risk_model,
+                                         self.pre_process,
+                                         self.post_process,
+                                         self.warm_start)
+
+                ne_x = data['train']['x']
+                ne_y = data['train']['y']
+            self.model.fit(ne_x, ne_y)
+
+    def model_predict(self, ref_date: str) -> pd.DataFrame:
+        if self.cached_data and ref_date in self.scheduled_dates:
+            ref_date = dt.datetime.strptime(ref_date, '%Y-%m-%d')
+            ne_x = self.cached_data['predict']['x'][ref_date]
+            settlement_data = self.cached_data['settlement']
+            codes = settlement_data.loc[settlement_data.trade_date == ref_date, 'code'].values
+        else:
+            data = fetch_predict_phase(self.data_source,
+                                       self.features,
+                                       ref_date,
+                                       self.freq,
+                                       self.universe,
+                                       self.batch,
+                                       self.neutralize_risk,
+                                       self.risk_model,
+                                       self.pre_process,
+                                       self.post_process,
+                                       self.warm_start)
+
+            ne_x = data['predict']['x']
+            codes = data['predict']['code']
+
+        prediction = self.model.predict(ne_x).flatten()
+        return pd.DataFrame({'prediction': prediction,
+                             'code': codes})
+
+
+if __name__ == '__main__':
+    import json
+    import pprint
+    from alphamind.data.engines.sqlengine import SqlEngine
+    from PyFin.api import makeSchedule
+
+    engine = SqlEngine()
+
+    start_date = '2012-01-01'
+    end_date = '2017-09-14'
+
+    with open("sample_strategy.json", 'r') as fp:
+        strategy_desc = json.load(fp)
+        strategy = Strategy(engine, strategy_desc, start_date, end_date)
+
+        dates = strategy.cached_dates()
+        print(dates)
+
+        for date in dates:
+            strategy.model_train(date)
+            prediction = strategy.model_predict(date)
+            print(date)