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robo-dividend
Commit bbbf3b86 authored by 吕先亚's avatar 吕先亚
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etf

parent 05c3b6dc
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Showing with 273 additions and 8 deletions
basic/sync.py
View file @ bbbf3b86
......@@ -251,7 +251,7 @@ class FundNavSync(JDCDataSync):
return None
querys = self._jdc_querys[datum['id']]
query_str = '&'.join([f'{x[0]}={quote(str(x[1]).encode())}' for x in querys.items()])
return f'http://jdcprod.thiztech.com/api/datas/asset-value?page={page}&size=200&startDate={format_date(start_date)}&{query_str}'
return f'http://jdcprod.thiztech.com/api/datas/index-value?page={page}&size=200&startDate={format_date(start_date)}&{query_str}'
def find_jdc_querys(self):
funds = self._datum.get_datums(type=DatumType.FUND, exclude=False)
......@@ -261,28 +261,28 @@ class FundNavSync(JDCDataSync):
} for x in funds if 'ftTicker' not in x and 'bloombergTicker' in x}
ft_tickers = {x['ftTicker']: x for x in funds if 'ftTicker' in x}
response = requests.get('http://jdcprod.thiztech.com/api/subject?busiField=TW&sourceType=TW&subjectType=FUND')
response = requests.get('http://jdcprod.thiztech.com/api/subject?sourceType=THS&subjectType=INDEX')
response = response.json()
if not response['success']:
raise CollectError(f'''find fund subject failed: {response['status']}''')
return {**urls, **{
ft_tickers[x['fundId']]['id']: {
ft_tickers[x['collectCode']]['id']: {
'subjectKeys': x['key'],
'sourceType': 'TW'
} for x in response['body']['content'] if x['fundId'] in ft_tickers
'sourceType': 'THS'
} for x in response['body']['content'] if x['collectCode'] in ft_tickers
}}
def store_date(self, datumid, datas: List[dict]):
save_navs = [{
'fund_id': datumid,
'nav_date': dt.fromtimestamp(x['date'] / 1000, tz=pytz.timezone('Asia/Shanghai')),
'av': x['originValue'],
'av': x['close'],
'div': x['dividend'] if 'dividend' in x else 0,
'split': x['split'] if 'split' in x else 1,
'accrue_split': x['totalSplit'] if 'totalSplit' in x else 1,
'av_p': x['postValue'],
'av_p': x['close'],
'div_p': x['postDividend'] if 'postDividend' in x else 0,
'nav_cal': x['calibrateValue']
'nav_cal': x['close']
} for x in datas if is_workday(dt.fromtimestamp(x['date'] / 1000, tz=pytz.timezone('Asia/Shanghai')))]
if save_navs:
rfn.batch_insert(save_navs)
......
config-etf.yml 0 → 100644
View file @ bbbf3b86
py-jftech:
logger:
version: 1
formatters:
brief:
format: "%(asctime)s - %(levelname)s - %(message)s"
simple:
format: "%(asctime)s - %(filename)s - %(levelname)s - %(message)s"
handlers:
console:
class: logging.StreamHandler
formatter: simple
level: DEBUG
stream: ext://sys.stdout
file:
class: logging.handlers.TimedRotatingFileHandler
level: INFO
formatter: brief
filename: ${LOG_FILE:logs/info.log}
interval: 1
backupCount: 30
encoding: utf8
when: D
# loggers:
# basic.sync:
# level: DEBUG
# handlers: [console]
# propagate: no
root:
level: ${LOG_LEVEL:INFO}
handlers: ${LOG_HANDLERS:[ console ]}
database:
host: ${MYSQL_HOST:192.168.68.100}
port: ${MYSQL_PORT:3306}
user: ${MYSQL_USER:root}
password: ${MYSQL_PWD:12345678}
dbname: ${MYSQL_DBNAME:jf_etf} # mdis_prr3
injectable:
names:
backtest: robo_executor.BacktestExecutor
datum: basic.datum.DefaultDatum
hold-report: portfolios.holder.DivHoldReportor
mpt: portfolios.builder.PoemARCPortfoliosBuilder # RiskParityARCPortfoliosBuilder/PoemARCPortfoliosBuilder
dividend-holder: portfolios.holder.InvTrustPortfoliosHolder
navs-sync: basic.sync.FundNavSync
email:
server: smtphz.qiye.163.com
user: jft-ra@thizgroup.com
password: 5dbb#30ec6d3
mulit-process:
max-workers: ${MAX_PROCESS:1}
basic: # 基础信息模块
sync:
start-date: 1990-01-01 # 同步数据开始日期
datum: # 资料模块
change:
date: ${DATUM_CHANGE_DATE}
file: ${DATUM_CHANGE_FILE}
excludes: # 排除的资料彭博ticker
backtest:
- 'FRSTAMP LX Equity' # 富蘭克林坦伯頓全球投資系列-精選收益基金 美元A(Mdis-pc)股
# - 'TEMFHYI LX Equity' # 富蘭克林坦伯頓全球投資系列-公司債基金 美元A(Mdis)股 -> 20240722起可一般申购
real:
- 'FRSTAMP LX Equity' # 富蘭克林坦伯頓全球投資系列-精選收益基金 美元A(Mdis-pc)股
# - 'FTSIADU LX Equity' # 富蘭克林坦伯頓全球投資系列-精選收益基金 美元A(Mdis)股
navs: # 净值模块
exrate: # 汇率，如果不开启，整个这块注释掉
- from: EUR # 需要转换的货币类型
ticker: EURUSD BGN Curncy # 汇率值的彭博ticker
asset-pool: # 资产池模块
asset-optimize: # 资产优选模块
sortino-weight: # sortino计算需要的权重，下面每一条为一次计算，e.g. months: 3, weight: 0.5 表示 3个月数据使用权重0.5来计算分值
- months: 3
weight: 0.5
- months: 6
weight: 0.3
- years: 1
weight: 0.2
asset-include: {'customType':[1,2,3,4]}
optimize-count: 3 #基金优选个数
annual-volatility-filter: #1各资产年化波动率末exclude位 2各资产年化波动率大于volatility
# - customType: 1
# min-retain: 2
# exclude: 1
# volatility: 1000
- customType: 2
min-retain: 2
exclude: 5
# volatility: 1000
# - customType: 3
# exclude: 0
# volatility: 1000
- customType: 4
min-retain: 1
exclude: 2
# volatility: 1000
annual-volatility-section: # 波动率时间区间
- years: 1
portfolios: # 投组模块
holder: # 持仓投组相关
init-nav: 100 # 初始金额
min-interval-days: 10 # 两次实际调仓最小间隔期，单位交易日
dividend-rate: 0.0 #设定年化配息率
dividend-date: 15 #配息日，每月15号
dividend-adjust-day: [1,4,7,10] #每年的首个季度调整配息
warehouse-frequency: 1 #每隔1个月调一次仓
warehouse-transfer-date: 1 #调仓日
redeem-list: [ 'TEUSAAU LX Equity', 'LIGTRAA ID Equity', 'TEMFHAC LX Equity', 'LUSHUAA ID Equity' ] #从持仓中的低风险资产“直接”按序赎回
solver: # 解算器相关
model: prr # 结算模型 ARC ,PRR, ~ 标准解算器
arc: on #是否开启ARC
brr: 0.0 #误差补偿值
trr: 3
tol: 1E-10 # 误差满足条件
navs: # 净值要求
range: # 需要净值数据的区间, days: 90 表示90自然日，months: 3 表示3个自然月
days: 90
max-nan: # 最大缺失净值条件
asset: 8 # 单一资产最多缺少多少交易日数据，则踢出资产池
day: 0.5 # 单一交易日最多缺少百分之多少净值，则删除该交易日
risk: [] # 资产风险等级要求，可分开写也可以合并写，e.g. risk：[ 2, 3 ] 则表示 所有投组资产风险等级都是 2 或 3
LARC: [0.35, 0.10, 0.05, 0.00] #低阈值
UARC: [0.70, 0.70, 0.70, 0.35] #高阈值
matrix-rtn-days: 20 # 计算回报率矩阵时，回报率滚动天数
asset-count: [5,5] # 投组资产个数。e.g. count 或 [min, max] 分别表示 最大最小都为count 或 最小为min 最大为max，另外这里也可以类似上面给不同风险等级分别配置
mpt: # mpt计算相关
cvar-beta: 0.2 # 计算Kbeta 需要用到
quantile: 0.9 # 分位点，也可以给不同风险等级分别配置
low-weight: 0.05 # 最低权重
high-weight: [ 0.35 ] # 最高权重比例，可给一个值，也可以给多个值，当多个值时，第一个表示只有一个资产时权重，第二个表示只有两个资产时权重，以此类推，最后一个表示其他资产个数时的权重
poem: # poem相关
cvar-scale-factor: 0.1 # 计算时用到的系数
checker: #投组检测模块
switch: on #是否开启检查
custom-type-priority: [3,2,1,4] # 检测优先级
month-fund-filter: {4:['XXX ID Equity']} # 'LMAOMPU ID Equity' 根据月份删除某几档基金,51勞動節:美盛西方資產亞洲機會債券基金 A 增益配息 (M) 美元
reports: # 报告模块相关
navs:
type: FUND
tickers:
- TEMTECI LX Equity
- TEPLX US Equity
- FRDPX US Equity
- FKRCX US Equity
- FTNRACU LX Equity
benchmark: # benchmark报告
ft:
init-amount: 100 # 初始金额
stock-rate: # stock型基金比例
RR3: 0.3
RR4: 0.5
RR5: 0.7
fixed-range: # 固定区间收益率
range-dates: # 固定起始截止日期
- start: 2008-01-01
end: 2008-10-27
- start: 2011-05-02
end: 2011-10-04
- start: 2013-05-08
end: 2013-06-24
- start: 2014-09-03
end: 2014-12-16
- start: 2015-05-21
end: 2016-02-11
- start: 2018-09-20
end: 2018-12-24
- start: 2020-02-19
end: 2020-03-23
- start: 2022-01-03
end: 2022-10-12
relative-range: # 相对区间收益率
range-dates: # 相对时间周期
- days: 1
name: '一天'
- weeks: 1
name: '一周'
- months: 1
name: '一月'
- months: 3
name: '三月'
- months: 6
name: '六月'
- years: 1
name: '一年'
- years: 2
name: '两年'
- years: 3
name: '三年'
- years: 5
name: '五年'
- years: 10
name: '十年'
- dates: ~
name: '成立以来'
exports:
backtest: # 回测导出曹策略
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:real} # 导出报告的文件名
save-config: ${EXPORT_CONFIG:on} # 是否保存配置文件
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
# - funds-report # 基金资料
# - navs-report # 净值报告
- hold-report # 持仓报告
- signal-report # 信号报告
# - benckmark-report # benckmark报告
# - combo-report # 持仓对比
- 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
- year-range-report # 单年区间业绩报告
# - month-div-rate-report # 月度配息率比较
# - year-div-rate-report # 年度配息率比较
real-daily:
file-name: MdisFopF_rr3(實盤)-每月投組推薦
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
include-report:
# - daily-hold-report
- daily-signal-report
# - daily-mpt-report
email:
receives: ${REAL_EMAIL_RECEIVES:['wenwen.tang@thizgroup.com']}
copies: ${REAL_EMAIL_COPIES:['wenwen.tang@thizgroup.com']}
subject:
# default: "MdisFoF_prr3(實盤)-每日投組推薦_{today}"
rebalance: "MdisFoF_prr3(實盤)-每月投組推薦_{today}"
content:
# default: "Dear All: 附件是今天生成的推薦組合，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 brody_wu@chifufund.com"
rebalance: "Dear All: 附檔為每月投資組合推薦，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 brody_wu@chifufund.com"
daily-monitor:
file-name: MdisFopF_rr3
save-path: ${EXPORT_PATH:excels}
include-report:
- name: daily-mpt-report # 相对区间收益报告
min-date: ~
- name: fund-selection-process-report
min-date: ~
- name: sigma-report
min-date: ~
email:
receives:
- wenwen.tang@thizgroup.com
copies: ${MONITOR_EMAIL_COPIES}
subject: "MdisFopF_rr3-实盘版-每日监测_{today}"
content: "Dear All: 附件是今天生成的监测数据，請驗收，謝謝！ 注>：該郵件為自動發送，如有問題請聯繫矽谷團隊 telan_qian@chifufund.com"
robo-executor: # 执行器相关
use: ${ROBO_EXECUTOR:real} # 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} # 是否开启同步资料数据
backtest: # 回测执行器相关
start-date: 2013-01-02 # 回测起始日期
end-date: 2024-10-01 # 回测截止日期
sealing-period: 10 #调仓封闭期
start-step: ${BACKTEST_START_STEP:1} # 回测从哪一步开始执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组
end-step: ${BACKTEST_END_STEP:3} # 回测从哪一步执行完成后结束执行 1:计算资产池；2:计算最优投组：3:计算再平衡信号以及持仓投组
clean-up: off
real: # 实盘执行器
export: ${EXPORT_ENABLE:on} # 是否开启报告
start-date: 2023-05-08 # 实盘开始时间
include-date: []
web:
guid: AB088E61-FAB1-4466-B6AD-6E8AE253391E
port: 8080
save-path: ${EXPORT_PATH:json}
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