fixed linear builder when bm sum not to 1

alphamind/analysis/brisonanalysis.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-5-17
+
+@author: cheng.li
+"""

alphamind/analysis/calculators.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-5-18
+
+@author: cheng.li
+"""
+
+import pandas as pd
+
+
+def calculate_turn_over(pos_table):
+    turn_over_table = {}
+    total_factors = pos_table.columns.difference(['Code'])
+    pos_table.reset_index()
+
+    for name in total_factors:
+        pivot_position = pos_table.pivot(values=name, columns='Code').fillna(0.)
+        turn_over_series = pivot_position.diff().abs().sum(axis=1)
+        turn_over_table[name] = turn_over_series.values
+
+    turn_over_table = pd.DataFrame(turn_over_table, index=pos_table.Date.unique())
+    return turn_over_table[total_factors]

alphamind/examples/single_day_portfolio.py

@@ -82,7 +82,7 @@ else:
                               'industry': total_data['申万一级行业'].values,
                               'zz500': total_data[index_components].values}, index=total_data.Code)
 
-    portfolio.to_csv(r'\\10.63.6.71\sharespace\personal\licheng\portfolio\{0}.csv'.format(ref_date))
+    portfolio.to_csv(r'\\10.63.6.71\sharespace\personal\licheng\portfolio\zz500\{0}.csv'.format(ref_date))
 
 
 

alphamind/portfolio/linearbuilder.py

@@ -34,13 +34,13 @@ def linear_build(er: np.ndarray,
         constraints = [w >= lbound,
                        w <= ubound,
                        curr_risk_exposure == risk_eq_target,
-                       cvxpy.sum_entries(w) == 1.]
+                       cvxpy.sum_entries(w) == bm.sum()]
     else:
         constraints = [w >= lbound,
                        w <= ubound,
                        curr_risk_exposure >= risk_target[0] * np.abs(risk_exposure.T @ bm),
                        curr_risk_exposure <= risk_target[1] * np.abs(risk_exposure.T @ bm),
-                       cvxpy.sum_entries(w) == 1.]
+                       cvxpy.sum_entries(w) == bm.sum()]
 
     if exchange_flag is not None:
         constraints.append(exchange_flag @ w <= exchange_limit[1])