FEATURE: use global statistics

alphamind/data/engines/sqlengine_rl.py

@@ -62,6 +62,12 @@ class SqlEngine:
         db_session = orm.sessionmaker(bind=self._engine)
         return db_session()
 
+    def _create_stats(self, df, horizon, offset):
+        df.set_index("trade_date", inplace=True)
+        df["dx"] = np.log(1. + df["chgPct"])
+        df = df.groupby("code").rolling(window=horizon + 1)['dx'].sum().shift(-(offset + 1)).dropna().reset_index()
+        return df
+
     def fetch_dx_return(self,
                         ref_date: str,
                         codes: Iterable[int],
@@ -81,7 +87,6 @@ class SqlEngine:
         else:
             end_date = expiry_date
 
-
         query = select([Market.trade_date, Market.code.label("code"), Market.chgPct.label("chgPct")]).where(
             and_(
                 Market.trade_date.between(start_date, end_date),
@@ -91,9 +96,7 @@ class SqlEngine:
         ).order_by(Market.trade_date, Market.code)
 
         df = pd.read_sql(query, self.session.bind).dropna()
-        df.set_index("trade_date", inplace=True)
-        df["dx"] = np.log(1. + df["chgPct"])
-        df = df.groupby("code").rolling(window=horizon+1)['dx'].sum().shift(-(offset+1)).dropna().reset_index()
+        df = self._create_stats(df, horizon, offset)
         df = df[df.trade_date == ref_date]
 
         if neutralized_risks:
@@ -121,6 +124,6 @@ if __name__ == "__main__":
     db_url = "mysql+mysqldb://reader:Reader#2020@121.37.138.1:13317/vision?charset=utf8"
 
     sql_engine = SqlEngine(db_url=db_url)
-    df = sql_engine.fetch_codes_range(start_date='2020-09-29', end_date='2020-10-10', universe=Universe("hs300"))
-    # df = sql_engine.fetch_dx_return("2020-09-25", codes=["2010000001"])
+    # df = sql_engine.fetch_codes_range(start_date='2020-09-29', end_date='2020-10-10', universe=Universe("hs300"))
+    df = sql_engine.fetch_dx_return("2020-09-10", codes=["2010000001"])
     print(df)