回测报告增加基金池

asset_pool/asset_risk.py

@@ -89,11 +89,11 @@ class CvarEwmaAssetRisk(AssetRisk):
             start_date = last_start['date'] if last_start else self.risk_start_date
             rtns = pd.DataFrame(self.get_income_return(asset_id, min_date=start_date, max_date=day))
             risk_rtns = rtns[rtns.date <= last['date']]
-            cvar_start_date = risk_rtns.loc[risk_rtns.rtn.idxmin()].date
+            cvar_start_date = risk_rtns.loc[risk_rtns.nav.idxmin()].date
             for index, row in rtns[rtns.date >= cvar_start_date].iterrows():
                 tigger = False
                 cvar_rtns = rtns[(rtns.date >= cvar_start_date) & (rtns.date <= row['date'])]
-                if row['rtn'] < rtns[rtns.date == cvar_start_date].iloc[0].rtn:
+                if row.nav < rtns[rtns.date == cvar_start_date].iloc[0].nav:
                     # 当日回报率跌破最低点, 则直接触发
                     tigger = True
                 elif row['rtn'] <= self._config['cvar']['threshold'] and len(cvar_rtns) >= self._config['cvar']['min-volume']:
@@ -136,7 +136,7 @@ class CvarEwmaAssetRisk(AssetRisk):
             fund_navs.dropna(inplace=True)
             if min_date:
                 fund_navs = fund_navs[fund_navs.nav_date >= pd.to_datetime(min_date)]
-            fund_navs.rename(columns={'nav_date': 'date'}, inplace=True)
-            fund_navs = fund_navs[['date', 'rtn']]
+            fund_navs.rename(columns={'nav_date': 'date', 'nav_cal': 'nav'}, inplace=True)
+            fund_navs = fund_navs[['date', 'nav', 'rtn']]
             return fund_navs.to_dict('records')
         return []

asset_pool/test_case.py

@@ -3,7 +3,7 @@ import unittest
 
 from py_jftech import autowired, parse_date, to_str
 
-from api import AssetPool, RoboReportor
+from api import AssetPool, RoboReportor, AssetRisk
 
 logger = logging.getLogger(__name__)
 
@@ -19,6 +19,10 @@ class AssetPoolTest(unittest.TestCase):
         result = report.load_report(max_date=parse_date('2009-12-31'))
         logger.info(to_str(result))
 
+    @autowired
+    def test_next_risk_date(self, risk: AssetRisk = None):
+        risk.build_risk_date(asset_id=46)
+
 
 if __name__ == '__main__':
     unittest.main()

config.yml

@@ -208,23 +208,24 @@ 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:navs}
+    file-name: ${EXPORT_FILENAME:asset-pool}
     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
+#      - hold-report # 持仓报告
+#      - signal-report # 信号报告
       - asset-pool-report # 基金池报告
-      - 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
-      - relative-range-report # 相对区间收益报告
+#      - 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
+#      - relative-range-report # 相对区间收益报告
 robo-executor: # 执行器相关
   use: ${ROBO_EXECUTOR:backtest} #执行哪个执行器，优先取系统环境变量ROBO_EXECUTOR的值，默认backtest
-  sync-data: ${SYNC_DATA:on}
+  sync-data: ${SYNC_DATA:off}
   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: 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
+    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
     clean-up: on
   real: # 实盘执行器
     start-date: 2022-11-01 # 实盘开始时间

robo_executor.py

@@ -30,6 +30,9 @@ class BacktestStep(Enum):
     def within(self, step: Enum):
         return self.value <= step.value
 
+    def without(self, step: Enum):
+        return self.value >= step.value
+
 
 @component(bean_name='backtest')
 class BacktestExecutor(RoboExecutor):
@@ -55,6 +58,10 @@ class BacktestExecutor(RoboExecutor):
     def start_step(self) -> BacktestStep:
         return BacktestStep(self._config['start-step'])
 
+    @property
+    def end_step(self) -> BacktestStep:
+        return BacktestStep(self._config['end-step']) if 'end-step' in self._config else BacktestStep.HOLD_PORTFOLIO
+
     @property
     def is_sync_data(self):
         return get_config(__name__)['sync-data']
@@ -68,16 +75,16 @@ class BacktestExecutor(RoboExecutor):
         return self._config['clean-up'] if 'clean-up' in self._config else True
 
     def clear_datas(self):
-        if self.start_step.within(BacktestStep.EWMA_VALUE):
+        if self.start_step.within(BacktestStep.EWMA_VALUE) and self.end_step.without(BacktestStep.EWMA_VALUE):
             logger.info('start to clear fund ewma value'.center(50, '-'))
             self._risk.clear()
-        if self.start_step.within(BacktestStep.ASSET_POOL):
+        if self.start_step.within(BacktestStep.ASSET_POOL) and self.end_step.without(BacktestStep.ASSET_POOL):
             logger.info('start to clear asset pool'.center(50, '-'))
             self._pool.clear()
-        if self.start_step.within(BacktestStep.NORMAL_PORTFOLIO):
+        if self.start_step.within(BacktestStep.NORMAL_PORTFOLIO) and self.end_step.without(BacktestStep.NORMAL_PORTFOLIO):
             logger.info('start to clear normal portfolios'.center(50, '-'))
             self._builder.clear()
-        if self.start_step.within(BacktestStep.HOLD_PORTFOLIO):
+        if self.start_step.within(BacktestStep.HOLD_PORTFOLIO) and self.end_step.without(BacktestStep.HOLD_PORTFOLIO):
             logger.info('start to clear hold portfolios'.center(50, '-'))
             self._hold.clear()
             self._rule.clear_signal()
@@ -88,12 +95,12 @@ class BacktestExecutor(RoboExecutor):
                 sync.do_sync()
         if self.is_clean_up:
             self.clear_datas()
-        if self.start_step.within(BacktestStep.EWMA_VALUE):
+        if self.start_step.within(BacktestStep.EWMA_VALUE) and self.end_step.without(BacktestStep.EWMA_VALUE):
             logger.info("start to build fund ewma value.".center(50, '-'))
             now = dt.now()
             wait([self.async_build_risk_date(x['id']) for x in self._datum.get_datums(type=DatumType.FUND, risk=(3, 4, 5))])
             logger.info(f"build fund ewma value success, use[{(dt.now() - now).seconds}s]")
-        if self.start_step.within(BacktestStep.ASSET_POOL):
+        if self.start_step.within(BacktestStep.ASSET_POOL) and self.end_step.without(BacktestStep.ASSET_POOL):
             logger.info("start to build asset pool".center(50, '-'))
             now = dt.now()
             workdays = workday_range(self.start_date, self.end_date)
@@ -102,12 +109,12 @@ class BacktestExecutor(RoboExecutor):
             for date in workdays:
                 self._pool.get_pool(date)
             logger.info(f"build asset pool success, use[{(dt.now() - now).seconds}s]")
-        if self.start_step.within(BacktestStep.NORMAL_PORTFOLIO):
+        if self.start_step.within(BacktestStep.NORMAL_PORTFOLIO) and self.end_step.without(BacktestStep.NORMAL_PORTFOLIO):
             logger.info("start to build normal portfolios".center(50, '-'))
             now = dt.now()
             wait([self.async_build_portfolios(day, risk) for risk in PortfoliosRisk for day in workday_range(self.start_date, self.end_date)])
             logger.info(f"build normal portfolios success, use[{(dt.now() - now).seconds}s]")
-        if self.start_step.within(BacktestStep.HOLD_PORTFOLIO):
+        if self.start_step.within(BacktestStep.HOLD_PORTFOLIO) and self.end_step.without(BacktestStep.HOLD_PORTFOLIO):
             logger.info("start to build hold portfolios".center(50, '-'))
             now = dt.now()
             wait([self.async_build_hold(x) for x in PortfoliosRisk])