115 lines
4.9 KiB
Python
115 lines
4.9 KiB
Python
# -*- encoding:utf-8 -*-
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"""
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基准模块，基准的作用在于交易时间范围确定，交易时间序列对齐，
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抛弃异常时间序列，交易市场范围限制，以及对比与策略的度量结果等作用
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"""
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from __future__ import print_function
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from __future__ import absolute_import
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from __future__ import division
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from ..CoreBu.ABuEnv import EMarketDataSplitMode, EMarketTargetType
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from ..MarketBu import ABuSymbolPd
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from ..MarketBu.ABuSymbol import IndexSymbol, Symbol
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from ..CoreBu import ABuEnv
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from ..CoreBu.ABuBase import PickleStateMixin
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from ..CoreBu.ABuFixes import six
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__author__ = '阿布'
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__weixin__ = 'abu_quant'
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class AbuBenchmark(PickleStateMixin):
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"""基准类，混入PickleStateMixin，因为在abu.store_abu_result_tuple会进行对象本地序列化"""
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def __init__(self, benchmark=None, start=None, end=None, n_folds=2, rs=True, benchmark_kl_pd=None):
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if benchmark_kl_pd is not None and hasattr(benchmark_kl_pd, 'name'):
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"""从金融时间序列直接构建"""
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self.benchmark = benchmark_kl_pd.name
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self.start = benchmark_kl_pd.iloc[0].date
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self.end = benchmark_kl_pd.iloc[-1].date
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self.n_folds = n_folds
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self.kl_pd = benchmark_kl_pd
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return
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if benchmark is None:
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if ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_US:
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# 美股
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benchmark = IndexSymbol.IXIC
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elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_HK:
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# 港股
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benchmark = IndexSymbol.HSI
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elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_CN:
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# a股
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benchmark = IndexSymbol.SH
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elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_FUTURES_CN:
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# 国内期货
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benchmark = IndexSymbol.BM_FUTURES_CN
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elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_TC:
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# 币类市场
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benchmark = IndexSymbol.TC_INX
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elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_OPTIONS_US:
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# 美股期权暂时也以IXIC做为标尺，最好是外部参数中的benchmark设置
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benchmark = IndexSymbol.IXIC
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elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL:
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# 国际期货暂时也以BM_FUTURES_GB做为标尺
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benchmark = IndexSymbol.BM_FUTURES_GB
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else:
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raise TypeError('benchmark is None AND g_market_target ERROR!')
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self.benchmark = benchmark
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self.start = start
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self.end = end
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self.n_folds = n_folds
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# 基准获取数据使用data_mode=EMarketDataSplitMode.E_DATA_SPLIT_SE，即不需要对齐其它，只需要按照时间切割
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self.kl_pd = ABuSymbolPd.make_kl_df(benchmark, data_mode=EMarketDataSplitMode.E_DATA_SPLIT_SE,
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n_folds=n_folds,
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start=start, end=end)
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if rs and self.kl_pd is None:
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# 如果基准时间序列都是none，就不要再向下运行了
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raise ValueError('CapitalClass init benchmark kl_pd is None')
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def unpick_extend_work(self, state):
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"""完成 PickleStateMixin中__setstate__结束之前的工作，为kl_pd.name赋予准确的benchmark"""
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if isinstance(self.benchmark, Symbol):
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self.kl_pd.name = self.benchmark.value
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elif isinstance(self.benchmark, six.string_types):
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self.kl_pd.name = self.benchmark
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def __str__(self):
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"""打印对象显示：benchmark n_folds"""
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return 'benchmark is {}, n_folds = {}'.format(self.kl_pd.name, self.n_folds)
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__repr__ = __str__
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"""
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# 如果需要本地序列化很多，需要考虑存贮空间可使用LazyFunc.
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from ..UtilBu.ABuLazyUtil import LazyFunc
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class AbuBenchmark(object):
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def __init__(self, benchmark=None, start=None, end=None, n_folds=2):
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if benchmark is None:
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if ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_US:
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benchmark = IndexSymbol.IXIC
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elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_HK:
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benchmark = IndexSymbol.HSI
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else:
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benchmark = IndexSymbol.SH
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self.benchmark = benchmark
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self.n_folds = n_folds
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self.start = start
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self.end = end
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@LazyFunc
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def kl_pd(self):
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kl_pd = ABuSymbolPd.make_kl_df(self.benchmark, data_mode=EMarketDataSplitMode.E_DATA_SPLIT_SE,
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n_folds=self.n_folds,
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start=self.start, end=self.end)
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if kl_pd is None:
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raise ValueError('CapitalClass init benchmark kl_pd is None')
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return kl_pd
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"""
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