restructure

alphamind/benchmarks/benchmarks.py

@@ -5,11 +5,11 @@ Created on 2017-4-25
 @author: cheng.li
 """
 
-from alphamind.benchmarks.neutralize import benchmark_neutralize
-from alphamind.benchmarks.standardize import benchmark_standardize
-from alphamind.benchmarks.standardize import benchmark_standardize_with_group
-from alphamind.benchmarks.winsorize import benchmark_winsorize_normal
-from alphamind.benchmarks.winsorize import benchmark_winsorize_normal_with_group
+from alphamind.benchmarks.data.neutralize import benchmark_neutralize
+from alphamind.benchmarks.data.standardize import benchmark_standardize
+from alphamind.benchmarks.data.standardize import benchmark_standardize_with_group
+from alphamind.benchmarks.data.winsorize import benchmark_winsorize_normal
+from alphamind.benchmarks.data.winsorize import benchmark_winsorize_normal_with_group
 
 
 if __name__ == '__main__':

alphamind/portfolio/rankbuilder.py

@@ -8,13 +8,35 @@ Created on 2017-4-26
 import numpy as np
 
 
-def rank_build(er: np.ndarray, use_rank: int, groups: np.ndarray=None):
+def rank_build(er: np.ndarray, use_rank: int, groups: np.ndarray=None) -> np.ndarray:
+    neg_er = -er
+    masks = np.zeros(len(er), dtype=bool)
+    ordering = neg_er.argsort()
 
     if groups is not None:
-        pass
+        max_g = np.max(groups)
+
+        for i in range(max_g + 1):
+            current_mask = groups == i
+            current_ordering = ordering[current_mask]
+            masks[current_ordering[:use_rank]] = True
     else:
-        ordering = np.argsort(er)
+        masks[ordering[:use_rank]] = True
+
+    weights = np.zeros(len(er))
+    weights[masks] = 1. / np.sum(masks)
+    return weights
 
 
 if __name__ == '__main__':
+
+    import datetime as dt
+
     x = np.random.randn(3000)
+    groups = np.random.randint(20, 50, size=3000)
+
+    start = dt.datetime.now()
+    for i in range(10000):
+        weights = rank_build(x, 20, groups)
+    print(dt.datetime.now() - start)
+    #print(x, '\n', weights)

alphamind/tests/test_suite.py

@@ -9,9 +9,9 @@ from alphamind.utilities import add_parent_path
 
 add_parent_path(__file__, 3)
 
-from alphamind.tests.test_neutralize import TestNeutralize
-from alphamind.tests.test_standardize import TestStandardize
-from alphamind.tests.test_winsorize import TestWinsorize
+from alphamind.tests.data.test_neutralize import TestNeutralize
+from alphamind.tests.data.test_standardize import TestStandardize
+from alphamind.tests.data.test_winsorize import TestWinsorize
 from alphamind.utilities import alpha_logger
 from alphamind.utilities import TestRunner