回测报告增加基金池

config.yml

@@ -208,12 +208,13 @@ reports: # 报告模块相关
   backtest: # 回测导出曹策略
     exist-build: on # 如果报告文件存在，是否重新构建文件
     save-path: ${EXPORT_PATH:excels} # 导出报告文件存放路径，如果以./或者../开头，则会以执行python文件为根目录，如果以/开头，则为系统绝对路径，否则，以项目目录为根目录
-    file-name: ${EXPORT_FILENAME:asset-pool}
+    file-name: ${EXPORT_FILENAME:asset-pool-mpt}
     include-report: # 需要导出的报告类型列表，下面的顺序，也代表了excel中sheet的顺序
 #      - navs-report # 净值报告
 #      - hold-report # 持仓报告
 #      - signal-report # 信号报告
       - asset-pool-report # 基金池报告
+      - mpt-report # 最优投组报告
 #      - benckmark-report # benckmark报告
 #      - indicators-report # 各种特殊指标报告
 #      - fixed-range-report # 固定区间收益报告
@@ -224,8 +225,8 @@ robo-executor: # 执行器相关
   backtest: # 回测执行器相关
     start-date: 2008-01-02 # 回测起始日期
     end-date: 2022-11-01 # 回测截止日期
-    start-step: 1 # 回测从哪一步开始执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
-    end-step: 2 # 回测从哪一步执行完成后结束执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
+    start-step: 4 # 回测从哪一步开始执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
+    end-step: 4 # 回测从哪一步执行完成后结束执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
     clean-up: on
   real: # 实盘执行器
     start-date: 2022-11-01 # 实盘开始时间

portfolios/builder.py

 import json
 import logging
+from datetime import datetime as dt
+from typing import List
 
 from py_jftech import component, autowired, format_date
 from pymysql import IntegrityError, constants
 
-from api import PortfoliosBuilder, PortfoliosRisk, AssetPool, Navs, PortfoliosType, Datum, SolveType, SolverFactory
+from api import PortfoliosBuilder, PortfoliosRisk, AssetPool, Navs, PortfoliosType, Datum, SolveType, SolverFactory, RoboReportor, DatumType
 from portfolios.dao import robo_mpt_portfolios as rmp
 
 logger = logging.getLogger(__name__)
@@ -106,3 +108,43 @@ class PoemPortfoliosBuilder(MptPortfoliosBuilder):
                 }
                 detail[risk]['mpt_cvar'] = mpt_cvar
         return result, detail
+
+
+@component(bean_name='mpt-report')
+class MptReportor(RoboReportor):
+
+    @autowired
+    def __init__(self, datum: Datum = None):
+        self._datum = datum
+
+    @property
+    def report_name(self) -> str:
+        return '最优投组'
+
+    def load_report(self, max_date=dt.today(), min_date=None) -> List[dict]:
+        results = []
+        datums = {x['id']: x for x in self._datum.get_datums(type=DatumType.FUND)}
+        for portfolio in rmp.get_list(max_date=max_date, min_date=min_date):
+            solve_type = SolveType(portfolio['solve'])
+            datas = {
+                'date': portfolio['date'],
+                'risk': PortfoliosRisk(portfolio['risk']).name,
+                'type': PortfoliosType(portfolio['type']).name,
+                'solve': solve_type.name,
+                'cvar': portfolio['cvar']
+            }
+            if solve_type is not SolveType.INFEASIBLE:
+                for asset_id, weight in json.loads(portfolio['portfolio']).items():
+                    datum = datums[int(asset_id)]
+                    results.append({
+                        **datas,
+                        'ft_ticker': datum['ftTicker'],
+                        'lipper_id': datum['lipperKey'],
+                        'bloomberg_ticker': datum['bloombergTicker'],
+                        'name': datum['chineseName'],
+                        'weight': weight,
+                    })
+            else:
+                results.append(datas)
+        return results
+

portfolios/dao/robo_mpt_portfolios.py

@@ -37,3 +37,16 @@ def get_one(day, type: PortfoliosType, risk: PortfoliosRisk):
     select {','.join([f"{x[0]} as {x[1]}" for x in __COLUMNS__.items()])} from robo_mpt_portfolios
     {where(rmp_date=day, rmp_risk=risk, rmp_type=type)} 
     '''
+
+
+@read
+def get_list(max_date=None, min_date=None, type: PortfoliosType = None, risk: PortfoliosRisk = None):
+    sqls = []
+    if max_date:
+        sqls.append(f"rmp_date <= '{format_date(max_date)}'")
+    if min_date:
+        sqls.append(f"rmp_date >= '{format_date(min_date)}'")
+    return f'''
+    select {','.join([f"{x[0]} as {x[1]}" for x in __COLUMNS__.items()])} from robo_mpt_portfolios
+    {where(*sqls, rmp_risk=risk, rmp_type=type)}
+    '''

rebalance/test_case.py

@@ -23,7 +23,7 @@ class RebalanceTest(unittest.TestCase):
 
     @autowired(names={'builder': 'crisis_two'})
     def test_crisis_two(self, builder: RebalanceSignal = None):
-        start = parse_date('2018-07-06')
+        start = parse_date('2008-01-02')
         end = start + relativedelta(years=3)
         while start < end:
             signal = builder.is_trigger(start, PortfoliosRisk.FT9)

reports/test_case.py

@@ -31,7 +31,7 @@ class ReportTest(unittest.TestCase):
 
     @autowired(names={'reportor': 'backtest-export'})
     def test_backtest_export(self, exportor: RoboExportor = None):
-        path = exportor.export(max_date=parse_date('2022-06-01'))
+        path = exportor.export(max_date=parse_date('2022-11-01'))
         logger.info(path)