single-factor-model 0.0.4

factor model

#---------- single sample:

from single_factor_model.single import preprocessing,back_testing,ic_measurement,ic_measure_summary,back_test_summary,bt_figure

parms={'factor_path':r'..\alpha_gen_factor'
,'ind_path':r'..\Industry'
,'ind_level':'level_name'
,'price_path':r'..\MktPrice'
,'cap_path':r'..\Cap'
,'index_weight_path':r'..\ZZ800_weight'
,'start_time':20170101
,'end_time':20180101
,'sub_factor':None
,'flag':'monthly'
,'day_lag':1
,'ind_mapping_flag':False
}
parms2={'n':5
,'silent':True # whether to output detail
}
parms3={'window':3
,'half_decay':200
}
P=preprocessing()
D=P(**parms)
T=back_testing(D)
B=T(**parms2)
T2=ic_measurement(D)
M=T2(**parms3)

Table0=ic_measure_summary(M)
Dict1,Table2,Dict3=back_test_summary(B)
Dict4=bt_figure(B,show_plot=True)

Table0.to_csv(r'E:\table0.csv')

from RNWS import write
write.write_dict(Dict1,path='E:',file_pattern='dict1')

#---------- multi sample:

from single_factor_model.multi import preprocessing,back_testing,ic_measurement,ic_measure_summary,back_test_summary,bt_figure


parms={'factor_path':r'..\alpha_gen_factor'
,'ind_path':r'..\Industry_num'
,'ind_level':'level_name'
,'price_path':r'..\MktPrice'
,'cap_path':r'..\Cap'
,'index_weight_path':r'..\ZZ800_weight'
,'start_time':20170101
,'end_time':20180101
,'sub_factor':None
,'day_lag':1
,'flag':'monthly'
,'processors':3
,'ind_mapping_flag':False
}
parms2={'n':5
,'silent':True
,'processors':3
}
parms3={'window':3
,'half_decay':200
,'processors':3
}
if __name__=='__main__':
P=preprocessing()
D=P(**parms)
T=back_testing(D)
B=T(**parms2)
T2=ic_measurement(D)
M=T2(**parms3)
Table0=ic_measure_summary(M)
Dict1,Table2,Dict3=back_test_summary(B)
Dict4=bt_figure(B,show_plot=True)

Table0.to_csv(r'E:\table0.csv')
from RNWS import write
write.write_dict(Dict1,path='E:',file_pattern='dict1')