指数增强模型.py

# -*- coding: utf-8 -*-
"""
阿尔法收割者

Project: alphasickle
Author: Moses
E-mail: 8342537@qq.com
"""
import os
import warnings
warnings.filterwarnings('ignore')  #将运行中的警告信息设置为“忽略”，从而不在控制台显示
from index_enhance import *

#工作目录，存放代码
work_dir = os.path.dirname(os.path.dirname(__file__))

def main(method):
    if method == 's': #分层抽样法
        method_name = 'stratified_sample'
    elif method == 'l': #线性规划法
        method_name = 'linear_programming'
    #要进行大类因子合成的因子
    factors_to_concat = {
            'mom': ['exp_wgt_return_1m', 'exp_wgt_return_3m', 'exp_wgt_return_6m', 'exp_wgt_return_12m'],
            'liq_barra': ['STOA_barra', 'STOM_barra', 'STOQ_barra'],
            'vol': ['std_1m', 'std_3m', 'std_6m', 'std_12m'],
            'growth': ['Profit_G_q', 'Sales_G_q', 'ROE_G_q', 'OCF_G_q'],
            #'lev': ['BLEV_barra', 'DTOA_barra', 'MLEV_barra'],
            }
    #要进行正交的因子
    factors_ortho = {
            'vol_con_equal':['mom_con_equal', 'liq_barra_con_equal'],
            #'ROE_q': ['EP'],
            }
    methods = {
          'linear_programming': 
                {'factors': ['BP', 'mom_con_equal_ortho', 'liq_barra_con_equal_ortho', 'growth_con_equal'], #阿尔法因子
                 'risk_factors': ['LNCAP_barra'], #风险因子
                 'window': 24,
                 'half_life': 1},
           'stratified_sample': 
                {'factors': ['BP', 'mom_con_equal_ortho', 'liq_barra_con_equal_ortho'],
                 'risk_factors': None,
                 'window': 24,
                 'half_life': 1},
            }

    start_date = '2014-01-30'
    end_date = '2019-12-31'
    benchmark = '000300.SH'
    factors = methods[method_name]['factors']
    risk_factors = methods[method_name]['risk_factors']
    print('开始运行模型...')
    print('*'*80)
    pctchgnm = get_factor(['PCT_CHG_NM'])['PCT_CHG_NM']
    index_wt = get_stock_wt_in_index(benchmark)
    mut_codes = index_wt.index.intersection(pctchgnm.index)
    print('开始进行因子合成与正交处理...')
    factor_process(method, factors_to_concat, factors_ortho, index_wt, mut_codes, factors, risk_factors)
    print('因子处理完成！')
    print('*'*80)
    print('开始运行指数增强模型...')
    index_enhance_model(method, benchmark, start_date, end_date, methods)

if __name__ == '__main__':
    method = input("请选择指数增强模型方法（'l'-线性规划; 's'-分层抽样）: ")
    if method not in ('l', 's'):
        raise TypeError(f"暂不支持的方法：{method}, 请重新运行并输入")
    main(method)