added evolver

alphamind/examples/formula_expression.py

@@ -35,7 +35,7 @@ n_bins = 5
 horizon = map_freq(freq)
 
 start_date = '2012-01-01'
-end_date = '2017-11-20'
+end_date = '2017-11-21'
 
 dates = makeSchedule(start_date,
                      end_date,

alphamind/portfolio/evolver.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-11-23
+
+@author: cheng.li
+"""
+
+import numpy as np
+
+
+def evolve_positions(positions: np.ndarray, dx_ret: np.ndarray) -> np.ndarray:
+
+    # assume return is log return
+
+    simple_return = np.exp(dx_ret)
+    evolved_positions = positions * simple_return
+    leverage = np.abs(positions).sum()
+    evolved_positions = evolved_positions * leverage / np.abs(evolved_positions).sum()
+    return evolved_positions

alphamind/tests/portfolio/test_evolver.py

+# -*- coding: utf-8 -*-
+"""
+Created on 2017-11-23
+
+@author: cheng.li
+"""
+
+import unittest
+import numpy as np
+from alphamind.portfolio.evolver import evolve_positions
+
+
+class TestEvolver(unittest.TestCase):
+
+    def test_evolve_positions_with_all_positive_position(self):
+        positions = np.array([0.2, 0.2, 0.8])
+        dx_returns = np.array([0.06, 0.04, -0.10])
+
+        simple_return = np.exp(dx_returns)
+        curr_pos = positions * simple_return
+        expected_pos = curr_pos / curr_pos.sum() * positions.sum()
+
+        calculated_pos = evolve_positions(positions, dx_returns)
+
+        np.testing.assert_array_almost_equal(expected_pos, calculated_pos)
+
+    def test_evolve_positions_with_negative_position(self):
+        positions = np.array([0.2, 0.3, -0.8])
+        dx_returns = np.array([0.06, 0.04, -0.10])
+
+        simple_return = np.exp(dx_returns)
+        curr_pos = positions * simple_return
+        expected_pos = curr_pos / np.abs(curr_pos).sum() * np.abs(positions).sum()
+
+        calculated_pos = evolve_positions(positions, dx_returns)
+
+        np.testing.assert_array_almost_equal(expected_pos, calculated_pos)
\ No newline at end of file

alphamind/tests/test_suite.py

@@ -16,6 +16,7 @@ from alphamind.tests.data.test_standardize import TestStandardize
 from alphamind.tests.data.test_winsorize import TestWinsorize
 from alphamind.tests.data.test_quantile import TestQuantile
 from alphamind.tests.portfolio.test_constraints import TestConstraints
+from alphamind.tests.portfolio.test_evolver import TestEvolver
 from alphamind.tests.portfolio.test_longshortbuild import TestLongShortBuild
 from alphamind.tests.portfolio.test_rankbuild import TestRankBuild
 from alphamind.tests.portfolio.test_percentbuild import TestPercentBuild
@@ -41,6 +42,7 @@ if __name__ == '__main__':
                          TestWinsorize,
                          TestQuantile,
                          TestConstraints,
+                         TestEvolver,
                          TestLongShortBuild,
                          TestRankBuild,
                          TestPercentBuild,