加入risk_parity

api.py

@@ -51,6 +51,7 @@ class SolveType(Enum):
     INFEASIBLE = 0
     MPT = 1
     POEM = 2
+    RISK_PARITY = 3
 
 
 @unique
@@ -365,6 +366,15 @@ class Solver(ABC):
         '''
         pass
 
+
+    @abstractmethod
+    def solve_risk_parity(self):
+        '''
+        risk_parity计算
+        :return: 投组
+        '''
+        pass
+
     @abstractmethod
     def reset_navs(self, day):
         '''

config-svrobo_Mdiv_PRR3.yml

@@ -40,7 +40,7 @@ py-jftech:
       backtest: robo_executor.BacktestExecutor
       datum: basic.datum.DefaultDatum
       hold-report: portfolios.holder.DivHoldReportor
-      mpt: portfolios.builder.PoemARCPortfoliosBuilder
+      mpt: portfolios.builder.RiskParityARCPortfoliosBuilder
       dividend-holder: portfolios.holder.InvTrustPortfoliosHolder
       navs-sync: basic.sync.FundNavSync
   email:
@@ -115,7 +115,7 @@ portfolios: # 投组模块
   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: {2:['TEMSCFA LX Equity'],12:['TEMHYAD LX Equity','TEMFIAI LX Equity']} # 根据月份删除某几档基金
+    month-fund-filter: {} # 根据月份删除某几档基金
 reports: # 报告模块相关
   navs:
     type: FUND
@@ -243,7 +243,7 @@ robo-executor: # 执行器相关
     start-date: 2023-01-02 # 回测起始日期
     end-date: 2023-10-31 # 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
+    start-step: ${BACKTEST_START_STEP:2} # 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: on
   real: # 实盘执行器

portfolios/builder.py

@@ -121,7 +121,7 @@ class MptARCPortfoliosBuilder(MptPortfoliosBuilder):
         try:
             portfolio = rmp.get_one(day, type, risk)
             if not portfolio:
-                result, detail = self.build_portfolio(day, type)
+                result = self.build_portfolio(day, type)
                 for build_risk, datas in result.items():
                     datas['portfolio'] = self._checker.check(day, json.loads(datas['portfolio']))
                     try:
@@ -141,7 +141,9 @@ class MptARCPortfoliosBuilder(MptPortfoliosBuilder):
                 return {int(x[0]): x[1] for x in result.items()}
             return None
         except Exception as e:
-            logger.exception(f"build protfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}] failure.", exc_info=e)
+            logger.exception(
+                f"build protfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}] failure.",
+                exc_info=e)
             raise e
 
     def build_portfolio(self, day, type: PortfoliosType):
@@ -180,6 +182,7 @@ class MptARCPortfoliosBuilder(MptPortfoliosBuilder):
 
 @component(bean_name='mpt')
 class PoemARCPortfoliosBuilder(MptARCPortfoliosBuilder):
+
     def build_portfolio(self, day, type: PortfoliosType):
         result, detail = super(PoemARCPortfoliosBuilder, self).build_portfolio(day, type)
         risk = PortfoliosRisk.FT3
@@ -200,3 +203,24 @@ class PoemARCPortfoliosBuilder(MptARCPortfoliosBuilder):
             }
             detail[risk]['mpt_cvar'] = mpt_cvar
         return result, detail
+
+
+@component(bean_name='mpt')
+class RiskParityARCPortfoliosBuilder(MptPortfoliosBuilder):
+    def build_portfolio(self, day, type: PortfoliosType):
+        result = {}
+        risk = PortfoliosRisk.FT3
+        logger.info(
+            f"start to build protfolio of type[{type.name}] and risk[{risk.name}] with date[{format_date(day)}]")
+        solver = self._factory.create_solver(risk, type)
+        solver.reset_navs(day)
+        portfolio = solver.solve_risk_parity()
+        result[risk] = {
+            'solve': SolveType.RISK_PARITY,
+            'portfolio': json.dumps(portfolio),
+        } if portfolio else {
+            'solve': SolveType.INFEASIBLE
+        }
+        return result
+
+

portfolios/solver.py

@@ -81,6 +81,10 @@ class DefaultSolver(Solver):
         rtn = (self.navs / self.navs.shift(1) - 1)[1:]
         return rtn.cov() * 252
 
+    @property
+    def risk_parity_sigma(self):
+        return self.navs.cov()
+
     @property
     def rtn_history(self):
         result = self.rtn_matrix * 12
@@ -188,6 +192,14 @@ class DefaultSolver(Solver):
         self.debug_solve_result(model)
         return self.calc_port_weight(model), self.calc_port_cvar(model)
 
+    def solve_risk_parity(self):
+        model = self.create_model()
+        model.objective = Objective(expr=sum(
+            [(model.z[i] * model.w[i] * (self.risk_parity_sigma.iloc[i] @ model.w) - model.z[j] * model.w[j] * (self.risk_parity_sigma.iloc[j] @ model.w)) ** 2
+             for i in model.indices for j in model.indices]), sense=minimize)
+        self._solver.solve(model)
+        return self.calc_port_weight(model)
+
     def calc_port_weight(self, model):
         id_list = self.navs.columns
         weight_list = []