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Commit cb04899a authored by Dr.李's avatar Dr.李
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update example 5

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notebooks/Example 5 - Style Factor Analysis.ipynb
View file @ cb04899a
......@@ -9,9 +9,18 @@
},
{
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"execution_count": null,
"execution_count": 1,
"metadata": {},
"outputs": [],
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"/home/python/anaconda3/envs/py36/lib/python3.6/site-packages/statsmodels/compat/pandas.py:56: FutureWarning: The pandas.core.datetools module is deprecated and will be removed in a future version. Please use the pandas.tseries module instead.\n",
" from pandas.core import datetools\n"
]
}
],
"source": [
"%matplotlib inline\n",
"\n",
......@@ -28,7 +37,7 @@
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
......@@ -36,21 +45,20 @@
"Back test parameter settings\n",
"\"\"\"\n",
"\n",
"start_date = '2010-01-01'\n",
"start_date = '2016-01-01'\n",
"end_date = '2018-02-28'\n",
"category = 'sw_adj'\n",
"category = 'sw'\n",
"level = 1\n",
"freq = '20b'\n",
"universe = Universe('custom', ['ashare_ex'])\n",
"\n",
"\n",
"horizon = map_freq(freq)\n",
"ref_dates = makeSchedule(start_date, end_date, freq, 'china.sse')"
]
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 3,
"metadata": {},
"outputs": [],
"source": [
......@@ -76,29 +84,155 @@
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 4,
"metadata": {},
"outputs": [],
"source": [
"candidates_factors = risk_styles + industry_styles"
"candidates_factors = ['BETA', 'SIZE']"
]
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 5,
"metadata": {},
"outputs": [],
"outputs": [
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-03-22 17:13:42,256 - ALPHA_MIND - INFO - 2016-01-04 00:00:00 is finished with 2772 stocks for BETA\n",
"2018-03-22 17:13:42,271 - ALPHA_MIND - INFO - 2016-01-04 00:00:00 risk_exposure: 1.6086128191581534e-30\n",
"2018-03-22 17:13:47,661 - ALPHA_MIND - INFO - 2016-02-01 00:00:00 is finished with 2773 stocks for BETA\n",
"2018-03-22 17:13:47,667 - ALPHA_MIND - INFO - 2016-02-01 00:00:00 risk_exposure: 7.456405071367582e-31\n",
"2018-03-22 17:13:52,918 - ALPHA_MIND - INFO - 2016-03-07 00:00:00 is finished with 2774 stocks for BETA\n",
"2018-03-22 17:13:52,924 - ALPHA_MIND - INFO - 2016-03-07 00:00:00 risk_exposure: 1.2197868346978973e-30\n",
"2018-03-22 17:13:54,671 - ALPHA_MIND - INFO - 2016-04-05 00:00:00 is finished with 2802 stocks for BETA\n",
"2018-03-22 17:13:54,677 - ALPHA_MIND - INFO - 2016-04-05 00:00:00 risk_exposure: 7.242098556410275e-30\n",
"2018-03-22 17:13:56,554 - ALPHA_MIND - INFO - 2016-05-04 00:00:00 is finished with 2806 stocks for BETA\n",
"2018-03-22 17:13:56,560 - ALPHA_MIND - INFO - 2016-05-04 00:00:00 risk_exposure: 3.847254043586179e-30\n",
"2018-03-22 17:13:58,371 - ALPHA_MIND - INFO - 2016-06-01 00:00:00 is finished with 2809 stocks for BETA\n",
"2018-03-22 17:13:58,377 - ALPHA_MIND - INFO - 2016-06-01 00:00:00 risk_exposure: 5.6789307501760295e-30\n",
"2018-03-22 17:14:04,016 - ALPHA_MIND - INFO - 2016-07-01 00:00:00 is finished with 2825 stocks for BETA\n",
"2018-03-22 17:14:04,022 - ALPHA_MIND - INFO - 2016-07-01 00:00:00 risk_exposure: 5.9479827277393326e-30\n",
"2018-03-22 17:14:09,675 - ALPHA_MIND - INFO - 2016-07-29 00:00:00 is finished with 2836 stocks for BETA\n",
"2018-03-22 17:14:09,683 - ALPHA_MIND - INFO - 2016-07-29 00:00:00 risk_exposure: 1.4491897594845847e-29\n",
"2018-03-22 17:14:11,734 - ALPHA_MIND - INFO - 2016-08-26 00:00:00 is finished with 2847 stocks for BETA\n",
"2018-03-22 17:14:11,740 - ALPHA_MIND - INFO - 2016-08-26 00:00:00 risk_exposure: 2.109312425987064e-30\n",
"2018-03-22 17:14:13,664 - ALPHA_MIND - INFO - 2016-09-27 00:00:00 is finished with 2859 stocks for BETA\n",
"2018-03-22 17:14:13,669 - ALPHA_MIND - INFO - 2016-09-27 00:00:00 risk_exposure: 4.7710125973915175e-30\n",
"2018-03-22 17:14:15,585 - ALPHA_MIND - INFO - 2016-11-01 00:00:00 is finished with 2876 stocks for BETA\n",
"2018-03-22 17:14:15,592 - ALPHA_MIND - INFO - 2016-11-01 00:00:00 risk_exposure: 1.4354426896104443e-30\n",
"2018-03-22 17:14:17,401 - ALPHA_MIND - INFO - 2016-11-29 00:00:00 is finished with 2902 stocks for BETA\n",
"2018-03-22 17:14:17,407 - ALPHA_MIND - INFO - 2016-11-29 00:00:00 risk_exposure: 7.961468511471374e-30\n",
"2018-03-22 17:14:19,424 - ALPHA_MIND - INFO - 2016-12-27 00:00:00 is finished with 2921 stocks for BETA\n",
"2018-03-22 17:14:19,430 - ALPHA_MIND - INFO - 2016-12-27 00:00:00 risk_exposure: 2.1259429060221634e-30\n",
"2018-03-22 17:14:21,562 - ALPHA_MIND - INFO - 2017-01-25 00:00:00 is finished with 2944 stocks for BETA\n",
"2018-03-22 17:14:21,568 - ALPHA_MIND - INFO - 2017-01-25 00:00:00 risk_exposure: 5.545706705509228e-30\n",
"2018-03-22 17:14:23,640 - ALPHA_MIND - INFO - 2017-03-01 00:00:00 is finished with 2983 stocks for BETA\n",
"2018-03-22 17:14:23,645 - ALPHA_MIND - INFO - 2017-03-01 00:00:00 risk_exposure: 3.454424467241384e-30\n",
"2018-03-22 17:14:25,652 - ALPHA_MIND - INFO - 2017-03-29 00:00:00 is finished with 3024 stocks for BETA\n",
"2018-03-22 17:14:25,658 - ALPHA_MIND - INFO - 2017-03-29 00:00:00 risk_exposure: 9.500238505602917e-31\n",
"2018-03-22 17:14:27,797 - ALPHA_MIND - INFO - 2017-04-28 00:00:00 is finished with 3080 stocks for BETA\n",
"2018-03-22 17:14:27,803 - ALPHA_MIND - INFO - 2017-04-28 00:00:00 risk_exposure: 5.211260892494718e-30\n",
"2018-03-22 17:14:29,789 - ALPHA_MIND - INFO - 2017-05-31 00:00:00 is finished with 3113 stocks for BETA\n",
"2018-03-22 17:14:29,795 - ALPHA_MIND - INFO - 2017-05-31 00:00:00 risk_exposure: 1.887162282491123e-30\n",
"2018-03-22 17:14:31,821 - ALPHA_MIND - INFO - 2017-06-28 00:00:00 is finished with 3155 stocks for BETA\n",
"2018-03-22 17:14:31,827 - ALPHA_MIND - INFO - 2017-06-28 00:00:00 risk_exposure: 3.6391046198045084e-30\n",
"2018-03-22 17:14:33,744 - ALPHA_MIND - INFO - 2017-07-26 00:00:00 is finished with 3196 stocks for BETA\n",
"2018-03-22 17:14:33,750 - ALPHA_MIND - INFO - 2017-07-26 00:00:00 risk_exposure: 1.117040127407821e-30\n",
"2018-03-22 17:14:35,768 - ALPHA_MIND - INFO - 2017-08-23 00:00:00 is finished with 3231 stocks for BETA\n",
"2018-03-22 17:14:35,774 - ALPHA_MIND - INFO - 2017-08-23 00:00:00 risk_exposure: 2.5968630684448953e-30\n",
"2018-03-22 17:14:37,952 - ALPHA_MIND - INFO - 2017-09-20 00:00:00 is finished with 3260 stocks for BETA\n",
"2018-03-22 17:14:37,958 - ALPHA_MIND - INFO - 2017-09-20 00:00:00 risk_exposure: 1.5511722522567208e-30\n",
"2018-03-22 17:14:39,998 - ALPHA_MIND - INFO - 2017-10-25 00:00:00 is finished with 3295 stocks for BETA\n",
"2018-03-22 17:14:40,004 - ALPHA_MIND - INFO - 2017-10-25 00:00:00 risk_exposure: 2.1109629697015596e-30\n",
"2018-03-22 17:14:42,115 - ALPHA_MIND - INFO - 2017-11-22 00:00:00 is finished with 3332 stocks for BETA\n",
"2018-03-22 17:14:42,121 - ALPHA_MIND - INFO - 2017-11-22 00:00:00 risk_exposure: 2.544620987373059e-31\n",
"2018-03-22 17:14:44,248 - ALPHA_MIND - INFO - 2017-12-20 00:00:00 is finished with 3362 stocks for BETA\n",
"2018-03-22 17:14:44,254 - ALPHA_MIND - INFO - 2017-12-20 00:00:00 risk_exposure: 4.73559073771931e-31\n",
"2018-03-22 17:14:46,522 - ALPHA_MIND - INFO - 2018-01-18 00:00:00 is finished with 3386 stocks for BETA\n",
"2018-03-22 17:14:46,528 - ALPHA_MIND - INFO - 2018-01-18 00:00:00 risk_exposure: 1.7053704060570062e-30\n",
"2018-03-22 17:14:48,647 - ALPHA_MIND - INFO - 2018-02-22 00:00:00 is finished with 3433 stocks for BETA\n",
"2018-03-22 17:14:48,654 - ALPHA_MIND - INFO - 2018-02-22 00:00:00 risk_exposure: 3.792625694055929e-06\n",
"2018-03-22 17:14:50,389 - ALPHA_MIND - INFO - 2016-01-04 00:00:00 is finished with 2772 stocks for SIZE\n",
"2018-03-22 17:14:50,394 - ALPHA_MIND - INFO - 2016-01-04 00:00:00 risk_exposure: 1.1278691974191277e-29\n",
"2018-03-22 17:14:52,169 - ALPHA_MIND - INFO - 2016-02-01 00:00:00 is finished with 2773 stocks for SIZE\n",
"2018-03-22 17:14:52,175 - ALPHA_MIND - INFO - 2016-02-01 00:00:00 risk_exposure: 8.594106895765079e-30\n",
"2018-03-22 17:14:53,918 - ALPHA_MIND - INFO - 2016-03-07 00:00:00 is finished with 2774 stocks for SIZE\n",
"2018-03-22 17:14:53,924 - ALPHA_MIND - INFO - 2016-03-07 00:00:00 risk_exposure: 4.210084377205933e-30\n",
"2018-03-22 17:14:55,653 - ALPHA_MIND - INFO - 2016-04-05 00:00:00 is finished with 2802 stocks for SIZE\n",
"2018-03-22 17:14:55,659 - ALPHA_MIND - INFO - 2016-04-05 00:00:00 risk_exposure: 1.1562225990728833e-29\n",
"2018-03-22 17:14:57,421 - ALPHA_MIND - INFO - 2016-05-04 00:00:00 is finished with 2806 stocks for SIZE\n",
"2018-03-22 17:14:57,426 - ALPHA_MIND - INFO - 2016-05-04 00:00:00 risk_exposure: 1.6441828230801868e-30\n",
"2018-03-22 17:14:59,169 - ALPHA_MIND - INFO - 2016-06-01 00:00:00 is finished with 2809 stocks for SIZE\n",
"2018-03-22 17:14:59,174 - ALPHA_MIND - INFO - 2016-06-01 00:00:00 risk_exposure: 5.509209167854315e-30\n",
"2018-03-22 17:15:00,924 - ALPHA_MIND - INFO - 2016-07-01 00:00:00 is finished with 2825 stocks for SIZE\n",
"2018-03-22 17:15:00,930 - ALPHA_MIND - INFO - 2016-07-01 00:00:00 risk_exposure: 1.3347445942020468e-29\n",
"2018-03-22 17:15:02,720 - ALPHA_MIND - INFO - 2016-07-29 00:00:00 is finished with 2836 stocks for SIZE\n",
"2018-03-22 17:15:02,726 - ALPHA_MIND - INFO - 2016-07-29 00:00:00 risk_exposure: 3.5653171071655307e-29\n",
"2018-03-22 17:15:04,396 - ALPHA_MIND - INFO - 2016-08-26 00:00:00 is finished with 2847 stocks for SIZE\n",
"2018-03-22 17:15:04,402 - ALPHA_MIND - INFO - 2016-08-26 00:00:00 risk_exposure: 6.1151045463471505e-30\n",
"2018-03-23 00:45:45,442 - ALPHA_MIND - INFO - 2016-09-27 00:00:00 is finished with 2859 stocks for SIZE\n",
"2018-03-23 00:45:45,448 - ALPHA_MIND - INFO - 2016-09-27 00:00:00 risk_exposure: 6.909199044087559e-30\n",
"2018-03-22 17:15:08,029 - ALPHA_MIND - INFO - 2016-11-01 00:00:00 is finished with 2876 stocks for SIZE\n",
"2018-03-22 17:15:08,035 - ALPHA_MIND - INFO - 2016-11-01 00:00:00 risk_exposure: 4.413606328884348e-30\n",
"2018-03-22 17:15:09,854 - ALPHA_MIND - INFO - 2016-11-29 00:00:00 is finished with 2902 stocks for SIZE\n",
"2018-03-22 17:15:09,860 - ALPHA_MIND - INFO - 2016-11-29 00:00:00 risk_exposure: 9.523316225794703e-30\n",
"2018-03-22 17:15:11,727 - ALPHA_MIND - INFO - 2016-12-27 00:00:00 is finished with 2921 stocks for SIZE\n"
]
},
{
"name": "stderr",
"output_type": "stream",
"text": [
"2018-03-22 17:15:11,733 - ALPHA_MIND - INFO - 2016-12-27 00:00:00 risk_exposure: 3.655672915132341e-30\n",
"2018-03-22 17:15:13,656 - ALPHA_MIND - INFO - 2017-01-25 00:00:00 is finished with 2944 stocks for SIZE\n",
"2018-03-22 17:15:13,661 - ALPHA_MIND - INFO - 2017-01-25 00:00:00 risk_exposure: 2.168764196857329e-29\n",
"2018-03-22 17:15:15,524 - ALPHA_MIND - INFO - 2017-03-01 00:00:00 is finished with 2983 stocks for SIZE\n",
"2018-03-22 17:15:15,529 - ALPHA_MIND - INFO - 2017-03-01 00:00:00 risk_exposure: 1.375407667858211e-29\n",
"2018-03-22 17:15:17,402 - ALPHA_MIND - INFO - 2017-03-29 00:00:00 is finished with 3024 stocks for SIZE\n",
"2018-03-22 17:15:17,408 - ALPHA_MIND - INFO - 2017-03-29 00:00:00 risk_exposure: 3.9636580002788475e-30\n",
"2018-03-22 17:15:19,200 - ALPHA_MIND - INFO - 2017-04-28 00:00:00 is finished with 3080 stocks for SIZE\n",
"2018-03-22 17:15:19,206 - ALPHA_MIND - INFO - 2017-04-28 00:00:00 risk_exposure: 1.6109649432771383e-29\n",
"2018-03-22 17:15:21,166 - ALPHA_MIND - INFO - 2017-05-31 00:00:00 is finished with 3113 stocks for SIZE\n",
"2018-03-22 17:15:21,172 - ALPHA_MIND - INFO - 2017-05-31 00:00:00 risk_exposure: 8.98807921396236e-30\n",
"2018-03-22 17:15:23,189 - ALPHA_MIND - INFO - 2017-06-28 00:00:00 is finished with 3155 stocks for SIZE\n",
"2018-03-22 17:15:23,195 - ALPHA_MIND - INFO - 2017-06-28 00:00:00 risk_exposure: 2.619755747973041e-29\n",
"2018-03-22 17:15:25,309 - ALPHA_MIND - INFO - 2017-07-26 00:00:00 is finished with 3196 stocks for SIZE\n",
"2018-03-22 17:15:25,315 - ALPHA_MIND - INFO - 2017-07-26 00:00:00 risk_exposure: 7.442825891859807e-30\n",
"2018-03-22 17:15:27,332 - ALPHA_MIND - INFO - 2017-08-23 00:00:00 is finished with 3231 stocks for SIZE\n",
"2018-03-22 17:15:27,338 - ALPHA_MIND - INFO - 2017-08-23 00:00:00 risk_exposure: 2.094090575050461e-29\n",
"2018-03-22 17:15:29,674 - ALPHA_MIND - INFO - 2017-09-20 00:00:00 is finished with 3260 stocks for SIZE\n",
"2018-03-22 17:15:29,679 - ALPHA_MIND - INFO - 2017-09-20 00:00:00 risk_exposure: 1.379968572880394e-29\n",
"2018-03-22 17:15:31,588 - ALPHA_MIND - INFO - 2017-10-25 00:00:00 is finished with 3295 stocks for SIZE\n",
"2018-03-22 17:15:31,595 - ALPHA_MIND - INFO - 2017-10-25 00:00:00 risk_exposure: 1.298369149708692e-29\n",
"2018-03-22 17:15:33,877 - ALPHA_MIND - INFO - 2017-11-22 00:00:00 is finished with 3332 stocks for SIZE\n",
"2018-03-22 17:15:33,883 - ALPHA_MIND - INFO - 2017-11-22 00:00:00 risk_exposure: 2.5394162299504933e-29\n",
"2018-03-22 17:15:35,929 - ALPHA_MIND - INFO - 2017-12-20 00:00:00 is finished with 3362 stocks for SIZE\n",
"2018-03-22 17:15:35,934 - ALPHA_MIND - INFO - 2017-12-20 00:00:00 risk_exposure: 8.917816446747243e-30\n",
"2018-03-22 17:15:38,229 - ALPHA_MIND - INFO - 2018-01-18 00:00:00 is finished with 3386 stocks for SIZE\n",
"2018-03-22 17:15:38,238 - ALPHA_MIND - INFO - 2018-01-18 00:00:00 risk_exposure: 1.2273008204302055e-29\n",
"2018-03-22 17:15:40,428 - ALPHA_MIND - INFO - 2018-02-22 00:00:00 is finished with 3433 stocks for SIZE\n",
"2018-03-22 17:15:40,434 - ALPHA_MIND - INFO - 2018-02-22 00:00:00 risk_exposure: 3.984103419085592e-07\n"
]
},
{
"name": "stdout",
"output_type": "stream",
"text": [
"CPU times: user 1min 39s, sys: 47.4 s, total: 2min 26s\n",
"Wall time: 2min 5s\n"
]
}
],
"source": [
"from dask.distributed import Client\n",
"\n",
"with Client('10.63.6.176:8786') as client:\n",
" tasks = client.map(risk_factor_analysis, candidates_factors, pure=False)\n",
" res = client.gather(tasks)"
"%%time\n",
"res = [risk_factor_analysis(factor) for factor in candidates_factors]"
]
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 6,
"metadata": {},
"outputs": [],
"source": [
......@@ -111,13 +245,73 @@
},
{
"cell_type": "code",
"execution_count": null,
"execution_count": 7,
"metadata": {},
"outputs": [],
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>abs t.</th>\n",
" </tr>\n",
" <tr>\n",
" <th>factor</th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>SIZE</th>\n",
" <td>4.065686</td>\n",
" </tr>\n",
" <tr>\n",
" <th>BETA</th>\n",
" <td>2.339300</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" abs t.\n",
"factor \n",
"SIZE 4.065686\n",
"BETA 2.339300"
]
},
"execution_count": 7,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df['abs t.'] = np.abs(df['t.'])\n",
"df[['factor', 'abs t.']].groupby('factor').mean().sort_values('abs t.', ascending=False).head()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
......
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