mirror of
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update portfolio example
This commit is contained in:
Dong Zhou
@@ -57,10 +57,10 @@
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"output_type": "stream",
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"name": "stderr",
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"text": [
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"[35366:MainThread](2020-11-27 10:31:09,528) INFO - qlib.Initialization - [__init__.py:41] - default_conf: client.\n",
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"[35366:MainThread](2020-11-27 10:31:09,531) WARNING - qlib.Initialization - [__init__.py:57] - redis connection failed(host=127.0.0.1 port=6379), cache will not be used!\n",
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"[35366:MainThread](2020-11-27 10:31:09,531) INFO - qlib.Initialization - [__init__.py:76] - qlib successfully initialized based on client settings.\n",
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"[35366:MainThread](2020-11-27 10:31:09,532) INFO - qlib.Initialization - [__init__.py:79] - data_path=/home/dongzho/.qlib/qlib_data/cn_data\n"
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"[36502:MainThread](2020-11-27 16:26:57,240) INFO - qlib.Initialization - [__init__.py:41] - default_conf: client.\n",
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"[36502:MainThread](2020-11-27 16:26:57,242) WARNING - qlib.Initialization - [__init__.py:57] - redis connection failed(host=127.0.0.1 port=6379), cache will not be used!\n",
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"[36502:MainThread](2020-11-27 16:26:57,243) INFO - qlib.Initialization - [__init__.py:76] - qlib successfully initialized based on client settings.\n",
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"[36502:MainThread](2020-11-27 16:26:57,244) INFO - qlib.Initialization - [__init__.py:79] - data_path=/home/dongzho/.qlib/qlib_data/cn_data\n"
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]
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}
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],
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@@ -102,14 +102,14 @@
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"output_type": "stream",
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"name": "stderr",
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"text": [
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"[35366:MainThread](2020-11-27 10:31:29,731) INFO - qlib.timer - [log.py:81] - Time cost: 20.103s | Loading data Done\n",
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"[35366:MainThread](2020-11-27 10:31:30,557) INFO - qlib.timer - [log.py:81] - Time cost: 0.241s | DropnaLabel Done\n",
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"[35366:MainThread](2020-11-27 10:31:38,518) INFO - qlib.timer - [log.py:81] - Time cost: 7.960s | CSZScoreNorm Done\n",
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"[35366:MainThread](2020-11-27 10:31:38,519) INFO - qlib.timer - [log.py:81] - Time cost: 8.786s | fit & process data Done\n",
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"[35366:MainThread](2020-11-27 10:31:38,520) INFO - qlib.timer - [log.py:81] - Time cost: 28.891s | Init data Done\n",
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"[35366:MainThread](2020-11-27 10:31:38,527) INFO - qlib.workflow - [exp.py:180] - Experiment 2 starts running ...\n",
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"[35366:MainThread](2020-11-27 10:31:38,651) INFO - qlib.workflow - [recorder.py:234] - Recorder c81375e3b5474feb9c77711babd158c3 starts running under Experiment 2 ...\n",
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"[35366:MainThread](2020-11-27 10:31:38,652) INFO - qlib.workflow - [expm.py:251] - No tracking URI is provided. The default tracking URI is set as `mlruns` under the working directory.\n",
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"[36502:MainThread](2020-11-27 16:27:17,338) INFO - qlib.timer - [log.py:81] - Time cost: 19.994s | Loading data Done\n",
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"[36502:MainThread](2020-11-27 16:27:18,164) INFO - qlib.timer - [log.py:81] - Time cost: 0.245s | DropnaLabel Done\n",
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"[36502:MainThread](2020-11-27 16:27:26,086) INFO - qlib.timer - [log.py:81] - Time cost: 7.921s | CSZScoreNorm Done\n",
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"[36502:MainThread](2020-11-27 16:27:26,087) INFO - qlib.timer - [log.py:81] - Time cost: 8.747s | fit & process data Done\n",
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"[36502:MainThread](2020-11-27 16:27:26,088) INFO - qlib.timer - [log.py:81] - Time cost: 28.744s | Init data Done\n",
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"[36502:MainThread](2020-11-27 16:27:26,097) INFO - qlib.workflow - [exp.py:180] - Experiment 2 starts running ...\n",
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"[36502:MainThread](2020-11-27 16:27:26,221) INFO - qlib.workflow - [recorder.py:234] - Recorder 3fa4def1f6694119a3d336a7a06c88cb starts running under Experiment 2 ...\n",
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"[36502:MainThread](2020-11-27 16:27:26,223) INFO - qlib.workflow - [expm.py:251] - No tracking URI is provided. The default tracking URI is set as `mlruns` under the working directory.\n",
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"Training until validation scores don't improve for 50 rounds\n",
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"[20]\ttrain's l2: 0.990559\tvalid's l2: 0.994332\n",
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"[40]\ttrain's l2: 0.98687\tvalid's l2: 0.993702\n",
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@@ -164,7 +164,7 @@
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" \"segments\": {\n",
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" \"train\": (\"2008-01-01\", \"2014-12-31\"),\n",
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" \"valid\": (\"2015-01-01\", \"2016-12-31\"),\n",
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" \"test\": (\"2017-01-01\", \"2020-08-01\"),\n",
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" \"test\": (\"2017-01-01\", \"2017-12-31\"), # NOTE: use a shorter time range\n",
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" },\n",
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" },\n",
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" },\n",
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@@ -271,22 +271,19 @@
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" )\n",
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"\n",
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" # optimize target portfolio\n",
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" if init_weight.sum() > 0:\n",
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" target_weight = self.optimizer(cov, score_series, init_weight)\n",
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" else:\n",
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" target_weight = self.optimizer(cov, score_series)\n",
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" target_weight = target_weight[target_weight > 1e-6]\n",
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" for stock_id, weight in target_weight.items():\n",
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" try:\n",
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" try:\n",
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" if init_weight.sum() > 0:\n",
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" target_weight = self.optimizer(cov, score_series, init_weight)\n",
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" else:\n",
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" target_weight = self.optimizer(cov, score_series)\n",
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" target_weight = target_weight[target_weight > 1e-6]\n",
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" for stock_id, weight in target_weight.items():\n",
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" target_position[stock_id] = int(traded_value * weight / trade_exchange.get_close(stock_id, pred_date))\n",
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" except Exception as e:\n",
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" # TODO: unknown exception\n",
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" print('Exception:', e)\n",
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"\n",
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" # for debug\n",
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" print('trade date:', trade_date)\n",
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" print('target weight:', target_weight.to_dict())\n",
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" print('target position:', target_position)\n",
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" except Exception as e:\n",
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" print('Unknown exception:', trade_date, e)\n",
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" for stock_id in score_series.index:\n",
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" if stock_id in current_position:\n",
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" target_position[stock_id] = current_position[stock_id]\n",
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"\n",
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" # generate order list\n",
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" order_list = trade_exchange.generate_order_for_target_amount_position(\n",
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@@ -319,8 +316,8 @@
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"output_type": "stream",
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"name": "stderr",
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"text": [
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"[35366:MainThread](2020-11-27 10:31:56,951) INFO - qlib.timer - [log.py:81] - Time cost: 6.763s | Loading data Done\n",
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"[35366:MainThread](2020-11-27 10:31:56,953) INFO - qlib.timer - [log.py:81] - Time cost: 6.766s | Init data Done\n"
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"[36502:MainThread](2020-11-27 16:27:43,722) INFO - qlib.timer - [log.py:81] - Time cost: 6.369s | Loading data Done\n",
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"[36502:MainThread](2020-11-27 16:27:43,724) INFO - qlib.timer - [log.py:81] - Time cost: 6.371s | Init data Done\n"
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]
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}
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],
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@@ -334,7 +331,7 @@
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},
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{
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"cell_type": "code",
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"execution_count": 49,
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"execution_count": 8,
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"metadata": {
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"tags": []
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},
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@@ -343,60 +340,54 @@
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"output_type": "stream",
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"name": "stderr",
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"text": [
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"1': 0.08936553334387595, 'SH601800': 0.011014844457113308, 'SH601939': 0.013378001170219945, 'SH603993': 0.013820193926861863, 'SZ000338': 0.002455991798001457, 'SZ000423': 0.004893338273543826, 'SZ000538': 0.010686211189620477, 'SZ002065': 0.09095125419435357, 'SZ002074': 0.010299013738522475, 'SZ002085': 0.19844965949420615, 'SZ002236': 0.09210003831704765, 'SZ002310': 0.05664352912360013, 'SZ300017': 0.0197442255539771}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 272224, 'SH600009': 604839, 'SH600018': 3097398, 'SH600028': 335726, 'SH600196': 23243, 'SH600276': 71634, 'SH600519': 17354, 'SH600585': 269686, 'SH600900': 2501521, 'SH601111': 2400659, 'SH601800': 334062, 'SH601939': 1283164, 'SH603993': 742901, 'SZ000338': 95285, 'SZ000423': 21697, 'SZ000538': 14518, 'SZ002065': 498253, 'SZ002074': 111674, 'SZ002085': 591507, 'SZ002236': 394197, 'SZ002310': 2202674, 'SZ300017': 206128}\n",
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"target weight: {'SH600000': 0.02310668460556249, 'SH600009': 0.06170206213753432, 'SH600018': 0.027608180837257277, 'SH600028': 0.00971532319525714, 'SH600196': 0.0036133308423111116, 'SH600276': 0.093195014492093, 'SH600519': 0.013476706174774766, 'SH600585': 0.036024919027310476, 'SH600660': 0.04512159672692613, 'SH600900': 0.12506534473579556, 'SH601939': 0.013494851810297546, 'SH603993': 0.07619418669734077, 'SZ000338': 0.0024673392047414363, 'SZ000423': 0.00485981529404862, 'SZ000538': 0.010602880875660015, 'SZ002065': 0.09064325205359221, 'SZ002074': 0.0011889996597580427, 'SZ002085': 0.1982091371262038, 'SZ002236': 0.09254320484936242, 'SZ002310': 0.05152917909181458, 'SZ002466': 0.00014732765084648903, 'SZ300017': 0.019490662910321074}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 272079, 'SH600009': 604359, 'SH600018': 3095205, 'SH600028': 335471, 'SH600196': 23407, 'SH600276': 71567, 'SH600519': 17345, 'SH600585': 269447, 'SH600660': 129265, 'SH600900': 2499305, 'SH601939': 1282317, 'SH603993': 4058172, 'SZ000338': 95223, 'SZ000423': 21703, 'SZ000538': 14509, 'SZ002065': 497821, 'SZ002074': 12787, 'SZ002085': 590955, 'SZ002236': 393895, 'SZ002310': 2190685, 'SZ002466': 4483, 'SZ300017': 205994}\n",
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"target weight: {'SH600000': 0.0014042138463464568, 'SH600009': 0.11511740651805806, 'SH600018': 0.026968513725965638, 'SH600028': 0.009566603496832042, 'SH600150': 0.016339328084607228, 'SH600276': 0.09374974543357856, 'SH600489': 0.021876512936684123, 'SH600585': 0.035840818294258524, 'SH600900': 0.12414161958870683, 'SH601888': 0.005682635273269834, 'SH601939': 0.013289788356428228, 'SH603993': 0.07491407610535435, 'SZ000338': 0.002426716760042838, 'SZ000423': 0.00492071038737461, 'SZ000503': 0.005617017904986693, 'SZ000538': 0.010859006699485451, 'SZ002065': 0.08924691553942904, 'SZ002085': 0.19757848255238786, 'SZ002236': 0.09381012783787722, 'SZ002310': 0.03737359938389514, 'SZ300017': 0.01927616131502695}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16809, 'SH600009': 1075516, 'SH600018': 3091248, 'SH600028': 335128, 'SH600150': 114804, 'SH600276': 71473, 'SH600489': 66586, 'SH600585': 268644, 'SH600900': 2496175, 'SH601888': 173824, 'SH601939': 1281108, 'SH603993': 4052802, 'SZ000338': 95107, 'SZ000423': 21684, 'SZ000503': 80461, 'SZ000538': 14507, 'SZ002065': 497197, 'SZ002085': 590211, 'SZ002236': 393412, 'SZ002310': 1573728, 'SZ300017': 205818}\n",
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"target weight: {'SH600000': 0.0013962189421662084, 'SH600009': 0.09330267135244051, 'SH600018': 0.026443154116291615, 'SH600028': 0.009581412428525829, 'SH600150': 0.016443917649559808, 'SH600276': 0.09378402212481758, 'SH600703': 0.0005233118350013756, 'SH600741': 0.10117549074044105, 'SH600900': 0.12435147566444608, 'SH601888': 0.00560250787284307, 'SH601939': 0.013238798853730008, 'SH603993': 0.07455231781733267, 'SZ000423': 0.0048695925705555185, 'SZ000503': 0.006070996956328167, 'SZ000538': 0.010870567565742796, 'SZ002065': 0.08722983720892508, 'SZ002074': 0.00037126948590009574, 'SZ002085': 0.19840484837030906, 'SZ002236': 0.09365186287123867, 'SZ002310': 0.03806080531862309, 'SZ300017': 7.492025186876957e-05}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16889, 'SH600009': 867443, 'SH600018': 3086467, 'SH600028': 334573, 'SH600150': 114383, 'SH600276': 71360, 'SH600703': 1760, 'SH600741': 665366, 'SH600900': 2491839, 'SH601888': 173465, 'SH601939': 1278590, 'SH603993': 4045939, 'SZ000423': 21674, 'SZ000503': 80212, 'SZ000538': 14499, 'SZ002065': 496361, 'SZ002074': 4086, 'SZ002085': 589224, 'SZ002236': 392766, 'SZ002310': 1571463, 'SZ300017': 805}\n",
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"target weight: {'SH600000': 0.0014143911110003147, 'SH600018': 0.026834186435965166, 'SH600028': 0.00961324990522086, 'SH600150': 0.015905361405158292, 'SH600276': 0.09486308638260738, 'SH600685': 1.0253334545374858e-06, 'SH600703': 0.0005108576602907958, 'SH600741': 0.10252334336233063, 'SH600900': 0.1250632059809011, 'SH601888': 0.005830869532670813, 'SH601939': 0.01336945356138906, 'SH603993': 0.07101851124599835, 'SZ000423': 0.004899981502195361, 'SZ000503': 0.006113894785564276, 'SZ000538': 0.011081925761176491, 'SZ000709': 1.06442568357325e-06, 'SZ002065': 0.08812103684766726, 'SZ002074': 0.0003564773234700175, 'SZ002085': 0.19097427428977284, 'SZ002236': 0.09299395368630246, 'SZ002310': 0.03841630892378685, 'SZ002475': 0.10001934454071283, 'SZ300017': 7.322667303400442e-05}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16886, 'SH600018': 3080789, 'SH600028': 334087, 'SH600150': 114360, 'SH600276': 71234, 'SH600685': 10, 'SH600703': 1709, 'SH600741': 663932, 'SH600900': 2486951, 'SH601888': 173417, 'SH601939': 1276335, 'SH603993': 3740672, 'SZ000423': 21667, 'SZ000503': 80191, 'SZ000538': 14495, 'SZ000709': 11, 'SZ002065': 495371, 'SZ002074': 3867, 'SZ002085': 588051, 'SZ002236': 392002, 'SZ002310': 1568834, 'SZ002475': 1264636, 'SZ300017': 809}\n",
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"target weight: {'SH600000': 0.0013872765178790307, 'SH600018': 0.026321999857337998, 'SH600028': 0.009491029058787367, 'SH600150': 0.015749871987744815, 'SH600276': 0.09581999547114961, 'SH600703': 0.000518490273176083, 'SH600741': 0.1037547619508012, 'SH600900': 0.12396253436063161, 'SH601258': 0.02298494942988327, 'SH601888': 0.005915886046387033, 'SH601939': 0.013177336599075601, 'SH603993': 0.06888468621566025, 'SZ000423': 0.005102036718661418, 'SZ000503': 0.00602692511970311, 'SZ000538': 0.011127923667697532, 'SZ000709': 0.07688609680386178, 'SZ002065': 0.08693397271897534, 'SZ002074': 0.000347445594871718, 'SZ002085': 0.1905176824564206, 'SZ002236': 0.035835596544641496, 'SZ002475': 0.09918059167278087, 'SZ300017': 7.291118905149903e-05}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16948, 'SH600018': 3086676, 'SH600028': 334750, 'SH600150': 114560, 'SH600276': 71372, 'SH600703': 1715, 'SH600741': 665129, 'SH600900': 2491433, 'SH601258': 4190669, 'SH601888': 174070, 'SH601939': 1278836, 'SH603993': 3747283, 'SZ000423': 21744, 'SZ000503': 80490, 'SZ000538': 14538, 'SZ000709': 871429, 'SZ002065': 496245, 'SZ002074': 3887, 'SZ002085': 589120, 'SZ002236': 145147, 'SZ002475': 1268582, 'SZ300017': 814}\n",
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"target weight: {'SH600000': 0.001373124016867567, 'SH600018': 0.02646941123076474, 'SH600028': 0.009458335378810856, 'SH600150': 0.015442533996257352, 'SH600276': 0.09620341387657301, 'SH600649': 0.012613476480118908, 'SH600703': 0.0005280976985716832, 'SH600741': 0.06577156829314017, 'SH600900': 0.12455488881029539, 'SH601258': 0.02270943336842379, 'SH601939': 0.013066707696697587, 'SH603993': 0.0649427819283919, 'SZ000423': 0.0051167756388828005, 'SZ000503': 0.006076486564538039, 'SZ000709': 0.0770418453012855, 'SZ000778': 0.08738918304165759, 'SZ002065': 0.08804613990036694, 'SZ002074': 0.00034315924263262563, 'SZ002085': 0.18241434394629127, 'SZ002475': 0.10035998625624482, 'SZ300017': 7.809604376099223e-05}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16935, 'SH600018': 3089469, 'SH600028': 334906, 'SH600150': 114496, 'SH600276': 71430, 'SH600649': 337388, 'SH600703': 1714, 'SH600741': 419916, 'SH600900': 2493978, 'SH601258': 4194599, 'SH601939': 1279661, 'SH603993': 3750968, 'SZ000423': 21734, 'SZ000503': 80440, 'SZ000709': 872293, 'SZ000778': 366855, 'SZ002065': 496756, 'SZ002074': 3880, 'SZ002085': 564610, 'SZ002475': 1269872, 'SZ300017': 812}\n",
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"target weight: {'SH600000': 0.0013497287789570015, 'SH600018': 0.02647482761554837, 'SH600028': 0.00941080088689994, 'SH600150': 0.01556139303593115, 'SH600276': 0.09732218714743374, 'SH600649': 0.012606184789019243, 'SH600703': 0.0005334649726542859, 'SH600900': 0.12593267687041163, 'SH601258': 0.021199485570796834, 'SH601939': 0.013025993149697816, 'SH603993': 0.06446918682668012, 'SZ000423': 0.005311875734339093, 'SZ000503': 0.006125989728635501, 'SZ000709': 0.0707610058353687, 'SZ000778': 0.14004715956352495, 'SZ002065': 0.08746446321200681, 'SZ002074': 0.00033710686535540885, 'SZ002085': 0.15238971653801253, 'SZ002146': 0.042585776887618575, 'SZ002475': 0.10701429615740456, 'SZ300017': 7.667981013711115e-05}\n",
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"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 17031, 'SH600018': 3109084, 'SH600028': 336978, 'SH600150': 115126, 'SH600276': 71888, 'SH600649': 339316, 'SH600703': 1724, 'SH600900': 2510148, 'SH601258': 4237748, 'SH601939': 1287810, 'SH603993': 3775382, 'SZ000423': 21853, 'SZ000503': 80885, 'SZ000709': 878077, 'SZ000778': 625157, 'SZ002065': 499988, 'SZ002074': 3901, 'SZ002085': 469624, 'SZ002146': 2000993, 'SZ002475': 1278084, 'SZ300017': 814}\n",
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"target weight: {'SH600000': 0.0013594926998639766, 'SH600009': 0.021101252574639438, 'SH600028': 0.009528554544265834, 'SH600150': 0.015013601602404225, 'SH600276': 0.09860402207319302, 'SH600649': 0.01292550325031454, 'SH600685': 0.00703471182662378, 'SH600703': 0.0005218767517596246, 'SH600900': 0.12786995199482584, 'SH601258': 0.04401496515184404, 'SH601398': 0.025932829520167643, 'SH601939': 0.0134408200189716, 'SH603993': 0.06319752369639879, 'SZ000423': 0.005221187626834546, 'SZ000503': 0.006085670359590286, 'SZ000568': 0.003081214755480397, 'SZ000709': 0.07061122716452324, 'SZ000778': 0.1379488795662632, 'SZ000839': 0.019142903464547063, 'SZ002065': 0.04714685528331623, 'SZ002074': 0.00033291622875151913, 'SZ002085': 0.11947661465752588, 'SZ002146': 0.043205942689553425, 'SZ002310': 0.0009243182551654129, 'SZ002475': 0.106199974013018, 'SZ300017': 7.709323254732814e-05}\n",
|
||||
"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16933, 'SH600009': 196068, 'SH600028': 337025, 'SH600150': 115100, 'SH600276': 71926, 'SH600649': 339354, 'SH600685': 75328, 'SH600703': 1713, 'SH600900': 2511928, 'SH601258': 8791935, 'SH601398': 1146896, 'SH601939': 1288215, 'SH603993': 3777819, 'SZ000423': 21728, 'SZ000503': 80869, 'SZ000568': 10375, 'SZ000709': 878683, 'SZ000778': 625604, 'SZ000839': 312116, 'SZ002065': 268413, 'SZ002074': 3860, 'SZ002085': 369761, 'SZ002146': 2002072, 'SZ002310': 40341, 'SZ002475': 1278918, 'SZ300017': 811}\n",
|
||||
"target weight: {'SH600000': 0.0013764694393366029, 'SH600009': 0.021541655860797534, 'SH600028': 0.009752609535237182, 'SH600276': 0.06514222178877259, 'SH600649': 0.01273168785031133, 'SH600685': 0.006989932070614982, 'SH600900': 0.12998548252109676, 'SH601258': 0.13157540821422453, 'SH601398': 0.02641881439805636, 'SH601939': 0.0136141957873422, 'SH603993': 0.0602411123337629, 'SZ000503': 0.006084251045333903, 'SZ000709': 0.06977363144499521, 'SZ000778': 0.1385461140272643, 'SZ000839': 0.018579865431307987, 'SZ002065': 0.046270476942690986, 'SZ002074': 0.00025974854597178115, 'SZ002085': 0.10060756172850334, 'SZ002146': 0.043204792194791966, 'SZ002310': 0.0009022784286642987, 'SZ002466': 0.011748866835406593, 'SZ002475': 0.08457581284822364, 'SZ300017': 7.701070501151889e-05}\n",
|
||||
"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16938, 'SH600009': 196239, 'SH600028': 337355, 'SH600276': 46535, 'SH600649': 339479, 'SH600685': 75274, 'SH600900': 2514488, 'SH601258': 26730440, 'SH601398': 1148157, 'SH601939': 1289259, 'SH603993': 3781937, 'SZ000503': 80900, 'SZ000709': 879645, 'SZ000778': 626285, 'SZ000839': 312384, 'SZ002065': 268717, 'SZ002074': 3093, 'SZ002085': 309206, 'SZ002146': 2003901, 'SZ002310': 39782, 'SZ002466': 367691, 'SZ002475': 1026389, 'SZ300017': 812}\n",
|
||||
"target weight: {'SH600000': 0.0013689894888766726, 'SH600009': 0.021087495457198752, 'SH600028': 0.009589419355091226, 'SH600276': 0.0644304399184473, 'SH600535': 0.016420787426513667, 'SH600649': 0.0267771761277641, 'SH600900': 0.12784455237901315, 'SH601169': 0.004374459372110214, 'SH601258': 0.13288651981531077, 'SH601398': 0.02615927477879055, 'SH601939': 0.013573361058977978, 'SH603993': 1.157895161672162e-06, 'SZ000503': 0.009069218941980683, 'SZ000709': 0.07014466816191627, 'SZ000778': 0.13956352821962528, 'SZ002065': 0.045206445945654664, 'SZ002085': 0.08649963592018277, 'SZ002146': 0.04234588186007612, 'SZ002310': 0.0008924777422846245, 'SZ002466': 0.07334842360184116, 'SZ002475': 0.08834296814868704, 'SZ300017': 7.311841306821287e-05}\n",
|
||||
"Exception: ('SH601169', Timestamp('2017-04-25 00:00:00'))\n",
|
||||
"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16929, 'SH600009': 196092, 'SH600028': 337333, 'SH600276': 46571, 'SH600535': 57649, 'SH600649': 731641, 'SH600900': 2515321, 'SH601258': 26740467, 'SH601398': 1148635, 'SH601939': 1289434, 'SH603993': 72, 'SZ000503': 122157, 'SZ000709': 879908, 'SZ000778': 626506, 'SZ002065': 268767, 'SZ002085': 267906, 'SZ002146': 2004576, 'SZ002310': 39745, 'SZ002466': 2332750, 'SZ002475': 1026858, 'SZ300017': 806}\n",
|
||||
"target weight: {'SH600000': 0.0013439859873209908, 'SH600009': 0.02075652616964347, 'SH600028': 0.00939963933310415, 'SH600276': 0.06236017906066887, 'SH600535': 0.016369568294734148, 'SH600649': 0.025541724367766302, 'SH600900': 0.12768966131041845, 'SH601258': 0.1370446945486361, 'SH601398': 0.02601619218529119, 'SH601939': 0.013440958024818669, 'SH603993': 4.144559709761373e-06, 'SZ000503': 0.0084237188568659, 'SZ000568': 0.020576387679160105, 'SZ000709': 0.056783757531829446, 'SZ000778': 0.06920027928808208, 'SZ002008': 0.07943378393922318, 'SZ002065': 0.045339177613740886, 'SZ002085': 0.08505902525865962, 'SZ002146': 0.031624633954490035, 'SZ002310': 0.0008996156348854183, 'SZ002466': 0.0764983539831682, 'SZ002475': 0.086193992434369}\n",
|
||||
"target position: {'SZ002299': 6184584.0980107365, 'SZ300017': 812.4573136217659, 'SH600000': 16923, 'SH600009': 196076, 'SH600028': 337279, 'SH600276': 46567, 'SH600535': 57624, 'SH600649': 731549, 'SH600900': 2515891, 'SH601258': 26747448, 'SH601398': 1148886, 'SH601939': 1289307, 'SH603993': 263, 'SZ000503': 122158, 'SZ000568': 69471, 'SZ000709': 700781, 'SZ000778': 302643, 'SZ002008': 746285, 'SZ002065': 268804, 'SZ002085': 267988, 'SZ002146': 1473970, 'SZ002310': 39739, 'SZ002466': 2333288, 'SZ002475': 1027134}\n",
|
||||
"target weight: {'SH600000': 0.0014508867295425067, 'SH600009': 0.022137935734971876, 'SH600028': 0.01003980705499816, 'SH600276': 0.065554410760754, 'SH600535': 0.017337663954140436, 'SH600649': 0.026752732524884384, 'SH600900': 0.13610376526017787, 'SH601258': 0.14230666244775886, 'SH601398': 0.027847743092481312, 'SH601939': 0.014306563408357105, 'SH603993': 2.7770868647848817e-06, 'SZ000069': 0.10104502775773525, 'SZ000503': 0.009049444347506782, 'SZ000568': 0.005686495401232644, 'SZ000778': 0.0715782861850023, 'SZ002008': 0.08609584908472251, 'SZ002065': 0.04706561122827146, 'SZ002085': 0.09099179117275048, 'SZ002146': 0.03204301334262787, 'SZ002475': 0.09241758644387384, 'SZ300017': 0.00018594702102337797}\n",
|
||||
"target position: {'SZ000709': 700825.0269758024, 'SZ002299': 6184584.0980107365, 'SH600000': 16845, 'SH600009': 195098, 'SH600028': 335689, 'SH600276': 46340, 'SH600535': 57343, 'SH600649': 728078, 'SH600900': 2504242, 'SH601258': 26624542, 'SH601398': 1143577, 'SH601939': 1283067, 'SH603993': 160, 'SZ000069': 367637, 'SZ000503': 121565, 'SZ000568': 17626, 'SZ000778': 301250, 'SZ002008': 742790, 'SZ002065': 267559, 'SZ002085': 266737, 'SZ002146': 1467579, 'SZ002475': 1022346, 'SZ300017': 1776}\n",
|
||||
"target weight: {'SH600000': 0.0013484985106016394, 'SH600009': 0.020750773768622693, 'SH600028': 0.009285673867962157, 'SH600104': 2.9067007814076732e-05, 'SH600196': 0.10012804077099052, 'SH600276': 0.05943563439541343, 'SH600535': 0.015902136087846228, 'SH600649': 0.025189836387314323, 'SH600900': 0.12584805827140388, 'SH601111': 6.857382365314848e-06, 'SH601258': 0.03895938466363849, 'SH601398': 0.025753888553878806, 'SH601939': 0.013275755331575599, 'SH603993': 4.249178615404585e-06, 'SZ000069': 0.09445579375504781, 'SZ000503': 0.008532747266799033, 'SZ000568': 0.0052599046052527266, 'SZ000709': 0.06003418476540357, 'SZ000778': 0.06923031488245988, 'SZ002008': 0.07903025205993618, 'SZ002065': 0.04448484691775433, 'SZ002085': 0.08426354045447453, 'SZ002146': 0.031142767130486235, 'SZ002475': 0.08747938111190227, 'SZ300017': 0.00016841662419817417}\n",
|
||||
"target position: {'SZ002299': 6184584.0980107365, 'SH600000': 16906, 'SH600009': 195107, 'SH600028': 335257, 'SH600104': 197, 'SH600196': 630404, 'SH600276': 46282, 'SH600535': 57311, 'SH600649': 727170, 'SH600900': 2500379, 'SH601111': 203, 'SH601258': 7443096, 'SH601398': 1142014, 'SH601939': 1281361, 'SH603993': 263, 'SZ000069': 366998, 'SZ000503': 121479, 'SZ000568': 17699, 'SZ000709': 699639, 'SZ000778': 300752, 'SZ002008': 741767, 'SZ002065': 267133, 'SZ002085': 266334, 'SZ002146': 1465489, 'SZ002475': 1020693, 'SZ300017': 1756}\n",
|
||||
"target weight: {'SH600000': 0.0012976336004362882, 'SH600009': 0.0204756895024156, 'SH600028': 0.008883617000656601, 'SH600104': 2.592943319382378e-05, 'SH600196': 0.09617041827497698, 'SH600276': 0.05681162545715886, 'SH600535': 0.015294256733040745, 'SH600649': 0.02417676167926707, 'SH600900': 0.12233373885315162, 'SH601398': 0.024531954099214746, 'SH601628': 0.005044154324745466, 'SH601888': 0.09500034426651846, 'SH601939': 0.012657033879067425, 'SH603993': 4.079522960136806e-06, 'SZ000069': 0.09054142453059062, 'SZ000503': 0.008036587259744734, 'SZ000568': 0.0049533657881637655, 'SZ000778': 0.06904486736535222, 'SZ002008': 0.06688985213943154, 'SZ002065': 0.04278977877238287, 'SZ002085': 0.0820368284038888, 'SZ002299': 0.06899317887598991, 'SZ002475': 0.08384652594205952, 'SZ300017': 0.00016035416530955983}\n",
|
||||
"target position: {'SH601258': 7443495.190430395, 'SH600000': 16952, 'SH600009': 195676, 'SH600028': 336044, 'SH600104': 183, 'SH600196': 631454, 'SH600276': 46372, 'SH600535': 57498, 'SH600649': 728582, 'SH600900': 2504660, 'SH601398': 1143938, 'SH601628': 695470, 'SH601888': 2951253, 'SH601939': 1283887, 'SH603993': 255, 'SZ000069': 367641, 'SZ000503': 121875, 'SZ000568': 17775, 'SZ000778': 301255, 'SZ002008': 638620, 'SZ002065': 267645, 'SZ002085': 266802, 'SZ002299': 6194843, 'SZ002475': 1022527, 'SZ300017': 1765}\n",
|
||||
"target weight: {'SH600000': 0.0013469483722729403, 'SH600028': 0.009286467498269333, 'SH600104': 2.368500734977497e-05, 'SH600196': 0.10145424564201923, 'SH600276': 0.06002237364700993, 'SH600535': 0.01588332650422844, 'SH600649': 0.025440421851940002, 'SH600900': 0.1279028471227695, 'SH601258': 0.035917606048396986, 'SH601398': 0.02559318344055778, 'SH601628': 0.005221942888216608, 'SH601888': 0.14928498761757883, 'SH601939': 0.013161430940131148, 'SH603993': 4.350147095904942e-06, 'SZ000069': 0.14038473724819095, 'SZ000503': 0.008556251357999256, 'SZ000568': 0.005243511514392524, 'SZ002008': 0.06824325050397591, 'SZ002065': 0.04420632869308568, 'SZ002085': 0.074424247013131, 'SZ002299': 0.0010812901181988855, 'SZ002475': 0.0871460668952185, 'SZ300017': 0.00017049992832446128}\n",
|
||||
"target position: {'SZ000778': 301254.84776855103, 'SH600000': 16873, 'SH600028': 335064, 'SH600104': 156, 'SH600196': 629613, 'SH600276': 46235, 'SH600535': 57245, 'SH600649': 726346, 'SH600900': 2497776, 'SH601258': 7423462, 'SH601398': 1140689, 'SH601628': 692346, 'SH601888': 4557826, 'SH601939': 1279908, 'SH603993': 261, 'SZ000069': 551887, 'SZ000503': 121344, 'SZ000568': 17697, 'SZ002008': 636943, 'SZ002065': 266904, 'SZ002085': 231781, 'SZ002299': 97527, 'SZ002475': 1019747, 'SZ300017': 1749}\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"output_type": "error",
|
||||
"ename": "KeyboardInterrupt",
|
||||
"evalue": "",
|
||||
"traceback": [
|
||||
"\u001b[1;31m---------------------------------------------------------------------------\u001b[0m",
|
||||
"\u001b[1;31mKeyboardInterrupt\u001b[0m Traceback (most recent call last)",
|
||||
"\u001b[1;32m<ipython-input-49-2e7986244749>\u001b[0m in \u001b[0;36m<module>\u001b[1;34m\u001b[0m\n\u001b[0;32m 30\u001b[0m \u001b[1;31m# backtest & analysis\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 31\u001b[0m \u001b[0mpar\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mPortAnaRecord\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mrecorder\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mport_analysis_config\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m---> 32\u001b[1;33m \u001b[0mpar\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mgenerate\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m",
|
||||
"\u001b[1;32md:\\qlib\\qlib\\workflow\\record_temp.py\u001b[0m in \u001b[0;36mgenerate\u001b[1;34m(self, **kwargs)\u001b[0m\n\u001b[0;32m 230\u001b[0m \u001b[1;31m# custom strategy and get backtest\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 231\u001b[0m \u001b[0mpred_score\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0msuper\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mload\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 232\u001b[1;33m \u001b[0mreport_normal\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mpositions_normal\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mnormal_backtest\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mpred_score\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mstrategy\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mstrategy\u001b[0m\u001b[1;33m,\u001b[0m \u001b[1;33m**\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mbacktest_config\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 233\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mrecorder\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0msave_objects\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m**\u001b[0m\u001b[1;33m{\u001b[0m\u001b[1;34m\"report_normal.pkl\"\u001b[0m\u001b[1;33m:\u001b[0m \u001b[0mreport_normal\u001b[0m\u001b[1;33m}\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0martifact_path\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mPortAnaRecord\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mget_path\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 234\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mrecorder\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0msave_objects\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m**\u001b[0m\u001b[1;33m{\u001b[0m\u001b[1;34m\"positions_normal.pkl\"\u001b[0m\u001b[1;33m:\u001b[0m \u001b[0mpositions_normal\u001b[0m\u001b[1;33m}\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0martifact_path\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mPortAnaRecord\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mget_path\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32md:\\qlib\\qlib\\contrib\\evaluate.py\u001b[0m in \u001b[0;36mbacktest\u001b[1;34m(pred, account, shift, benchmark, verbose, **kwargs)\u001b[0m\n\u001b[0;32m 269\u001b[0m \u001b[0mverbose\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mverbose\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 270\u001b[0m \u001b[0maccount\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0maccount\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 271\u001b[1;33m \u001b[0mbenchmark\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mbenchmark\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 272\u001b[0m )\n\u001b[0;32m 273\u001b[0m \u001b[1;31m# for compatibility of the old API. return the dict positions\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32md:\\qlib\\qlib\\contrib\\backtest\\backtest.py\u001b[0m in \u001b[0;36mbacktest\u001b[1;34m(pred, strategy, trade_exchange, shift, verbose, account, benchmark)\u001b[0m\n\u001b[0;32m 100\u001b[0m \u001b[0mtrade_exchange\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mtrade_exchange\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 101\u001b[0m \u001b[0mpred_date\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mpred_date\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 102\u001b[1;33m \u001b[0mtrade_date\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mtrade_date\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 103\u001b[0m )\n\u001b[0;32m 104\u001b[0m \u001b[1;32melse\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32m<ipython-input-46-65beeeee07c0>\u001b[0m in \u001b[0;36mgenerate_order_list\u001b[1;34m(self, score_series, current, trade_exchange, pred_date, trade_date)\u001b[0m\n\u001b[0;32m 76\u001b[0m \u001b[1;31m# optimize target portfolio\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 77\u001b[0m \u001b[1;32mif\u001b[0m \u001b[0minit_weight\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0msum\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m \u001b[1;33m>\u001b[0m \u001b[1;36m0\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m---> 78\u001b[1;33m \u001b[0mtarget_weight\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0moptimizer\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mcov\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mscore_series\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0minit_weight\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 79\u001b[0m \u001b[1;32melse\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 80\u001b[0m \u001b[0mtarget_weight\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0moptimizer\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mcov\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mscore_series\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32md:\\qlib\\qlib\\portfolio\\optimizer.py\u001b[0m in \u001b[0;36m__call__\u001b[1;34m(self, S, u, w0)\u001b[0m\n\u001b[0;32m 100\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 101\u001b[0m \u001b[1;31m# optimize\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 102\u001b[1;33m \u001b[0mw\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0m_optimize\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mS\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mu\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mw0\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 103\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 104\u001b[0m \u001b[1;31m# restore index if needed\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32md:\\qlib\\qlib\\portfolio\\optimizer.py\u001b[0m in \u001b[0;36m_optimize\u001b[1;34m(self, S, u, w0)\u001b[0m\n\u001b[0;32m 126\u001b[0m \u001b[1;31m# mean-variance\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 127\u001b[0m \u001b[1;32mif\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mmethod\u001b[0m \u001b[1;33m==\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mOPT_MVO\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 128\u001b[1;33m \u001b[1;32mreturn\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0m_optimize_mvo\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mS\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mu\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mw0\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 129\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 130\u001b[0m \u001b[1;31m# risk parity\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32md:\\qlib\\qlib\\portfolio\\optimizer.py\u001b[0m in \u001b[0;36m_optimize_mvo\u001b[1;34m(self, S, u, w0)\u001b[0m\n\u001b[0;32m 162\u001b[0m \u001b[1;32mand\u001b[0m\u001b[0;31m \u001b[0m\u001b[0;31m`\u001b[0m\u001b[0mlamb\u001b[0m\u001b[0;31m`\u001b[0m \u001b[1;32mis\u001b[0m \u001b[0mthe\u001b[0m \u001b[0mrisk\u001b[0m \u001b[0maversion\u001b[0m \u001b[0mparameter\u001b[0m\u001b[1;33m.\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 163\u001b[0m \"\"\"\n\u001b[1;32m--> 164\u001b[1;33m \u001b[1;32mreturn\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0m_solve\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mlen\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mS\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0m_get_objective_mvo\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mS\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mu\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m,\u001b[0m \u001b[1;33m*\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0m_get_constrains\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mw0\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 165\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 166\u001b[0m \u001b[1;32mdef\u001b[0m \u001b[0m_optimize_rp\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mS\u001b[0m\u001b[1;33m:\u001b[0m \u001b[0mnp\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mndarray\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mw0\u001b[0m\u001b[1;33m:\u001b[0m \u001b[0mOptional\u001b[0m\u001b[1;33m[\u001b[0m\u001b[0mnp\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mndarray\u001b[0m\u001b[1;33m]\u001b[0m \u001b[1;33m=\u001b[0m \u001b[1;32mNone\u001b[0m\u001b[1;33m)\u001b[0m \u001b[1;33m->\u001b[0m \u001b[0mnp\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mndarray\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32md:\\qlib\\qlib\\portfolio\\optimizer.py\u001b[0m in \u001b[0;36m_solve\u001b[1;34m(self, n, obj, bounds, cons)\u001b[0m\n\u001b[0;32m 252\u001b[0m \u001b[1;31m# solve\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 253\u001b[0m \u001b[0mx0\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mnp\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mones\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mn\u001b[0m\u001b[1;33m)\u001b[0m \u001b[1;33m/\u001b[0m \u001b[0mn\u001b[0m \u001b[1;31m# init results\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 254\u001b[1;33m \u001b[0msol\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mso\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mminimize\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mwrapped_obj\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mx0\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mbounds\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mbounds\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mconstraints\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mcons\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mtol\u001b[0m\u001b[1;33m=\u001b[0m\u001b[0mself\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mtol\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 255\u001b[0m \u001b[1;32mif\u001b[0m \u001b[1;32mnot\u001b[0m \u001b[0msol\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0msuccess\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 256\u001b[0m \u001b[0mwarnings\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mwarn\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;34mf\"optimization not success ({sol.status})\"\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;32m~\\AppData\\Local\\Continuum\\miniconda3\\envs\\qlib\\lib\\site-packages\\scipy\\optimize\\_minimize.py\u001b[0m in \u001b[0;36mminimize\u001b[1;34m(fun, x0, args, method, jac, hess, hessp, bounds, constraints, tol, callback, options)\u001b[0m\n\u001b[0;32m 624\u001b[0m \u001b[1;32melif\u001b[0m \u001b[0mmeth\u001b[0m \u001b[1;33m==\u001b[0m \u001b[1;34m'slsqp'\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 625\u001b[0m return _minimize_slsqp(fun, x0, args, jac, bounds,\n\u001b[1;32m--> 626\u001b[1;33m constraints, callback=callback, **options)\n\u001b[0m\u001b[0;32m 627\u001b[0m \u001b[1;32melif\u001b[0m \u001b[0mmeth\u001b[0m \u001b[1;33m==\u001b[0m \u001b[1;34m'trust-constr'\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 628\u001b[0m return _minimize_trustregion_constr(fun, x0, args, jac, hess, hessp,\n",
|
||||
"\u001b[1;32m~\\AppData\\Local\\Continuum\\miniconda3\\envs\\qlib\\lib\\site-packages\\scipy\\optimize\\slsqp.py\u001b[0m in \u001b[0;36m_minimize_slsqp\u001b[1;34m(func, x0, args, jac, bounds, constraints, maxiter, ftol, iprint, disp, eps, callback, finite_diff_rel_step, **unknown_options)\u001b[0m\n\u001b[0;32m 419\u001b[0m n1, n2, n3)\n\u001b[0;32m 420\u001b[0m \u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m--> 421\u001b[1;33m \u001b[1;32mif\u001b[0m \u001b[0mmode\u001b[0m \u001b[1;33m==\u001b[0m \u001b[1;36m1\u001b[0m\u001b[1;33m:\u001b[0m \u001b[1;31m# objective and constraint evaluation required\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m 422\u001b[0m \u001b[0mfx\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0msf\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mfun\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mx\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m 423\u001b[0m \u001b[0mc\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0m_eval_constraint\u001b[0m\u001b[1;33m(\u001b[0m\u001b[0mx\u001b[0m\u001b[1;33m,\u001b[0m \u001b[0mcons\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
|
||||
"\u001b[1;31mKeyboardInterrupt\u001b[0m: "
|
||||
"[36502:MainThread](2020-11-27 16:27:43,761) INFO - qlib.workflow - [exp.py:180] - Experiment 3 starts running ...\n",
|
||||
"[36502:MainThread](2020-11-27 16:27:43,779) INFO - qlib.workflow - [recorder.py:234] - Recorder 67d105113f424259889fc0b6b0b94973 starts running under Experiment 3 ...\n",
|
||||
"[36502:MainThread](2020-11-27 16:27:43,780) INFO - qlib.workflow - [expm.py:251] - No tracking URI is provided. The default tracking URI is set as `mlruns` under the working directory.\n",
|
||||
"[36502:MainThread](2020-11-27 16:27:43,991) INFO - qlib.workflow - [record_temp.py:127] - Signal record 'pred.pkl' has been saved as the artifact of the Experiment 3\n",
|
||||
"[36502:MainThread](2020-11-27 16:27:44,050) INFO - qlib.Evaluate - [evaluate.py:161] - Create new exchange\n",
|
||||
"'The following are prediction results of the LGBModel model.'\n",
|
||||
" score\n",
|
||||
"datetime instrument \n",
|
||||
"2017-01-03 SH600000 -0.053414\n",
|
||||
" SH600008 0.001820\n",
|
||||
" SH600009 0.023472\n",
|
||||
" SH600010 -0.005625\n",
|
||||
" SH600015 -0.137476\n",
|
||||
"/home/dongzho/miniconda3/lib/python3.7/site-packages/ipykernel_launcher.py:55: DeprecationWarning: The default dtype for empty Series will be 'object' instead of 'float64' in a future version. Specify a dtype explicitly to silence this warning.\n",
|
||||
"/home/dongzho/qlib/qlib/portfolio/optimizer.py:256: UserWarning: optimization not success (9)\n",
|
||||
" warnings.warn(f\"optimization not success ({sol.status})\")\n",
|
||||
"Unknown exception: 2017-01-16 00:00:00 ('SZ300104', Timestamp('2017-01-13 00:00:00'))\n",
|
||||
"Unknown exception: 2017-01-23 00:00:00 ('SZ000671', Timestamp('2017-01-20 00:00:00'))\n",
|
||||
"Unknown exception: 2017-03-03 00:00:00 ('SZ002465', Timestamp('2017-03-02 00:00:00'))\n",
|
||||
"Unknown exception: 2017-03-07 00:00:00 ('SH601127', Timestamp('2017-03-06 00:00:00'))\n",
|
||||
"/home/dongzho/qlib/qlib/portfolio/optimizer.py:256: UserWarning: optimization not success (4)\n",
|
||||
" warnings.warn(f\"optimization not success ({sol.status})\")\n",
|
||||
"Unknown exception: 2017-05-08 00:00:00 ('SH601727', Timestamp('2017-05-05 00:00:00'))\n",
|
||||
"Unknown exception: 2017-06-20 00:00:00 ('SH600036', Timestamp('2017-06-19 00:00:00'))\n",
|
||||
"Unknown exception: 2017-06-21 00:00:00 ('SH600739', Timestamp('2017-06-20 00:00:00'))\n",
|
||||
"Unknown exception: 2017-06-29 00:00:00 ('SZ300168', Timestamp('2017-06-28 00:00:00'))\n",
|
||||
"Unknown exception: 2017-09-01 00:00:00 ('SH601088', Timestamp('2017-08-31 00:00:00'))\n",
|
||||
"Unknown exception: 2017-09-12 00:00:00 ('SH601872', Timestamp('2017-09-11 00:00:00'))\n",
|
||||
"Unknown exception: 2017-09-21 00:00:00 ('SH600100', Timestamp('2017-09-20 00:00:00'))\n",
|
||||
"Unknown exception: 2017-09-22 00:00:00 ('SH600021', Timestamp('2017-09-21 00:00:00'))\n",
|
||||
"Unknown exception: 2017-10-11 00:00:00 ('SH600959', Timestamp('2017-10-10 00:00:00'))\n",
|
||||
"Unknown exception: 2017-10-25 00:00:00 ('SZ000792', Timestamp('2017-10-24 00:00:00'))\n",
|
||||
"Unknown exception: 2017-12-26 00:00:00 ('SH600682', Timestamp('2017-12-25 00:00:00'))\n",
|
||||
"[36502:MainThread](2020-11-27 17:28:14,269) INFO - qlib.workflow - [record_temp.py:249] - Portfolio analysis record 'port_analysis.pkl' has been saved as the artifact of the Experiment 3\n",
|
||||
"'The following are analysis results of the excess return without cost.'\n",
|
||||
" risk\n",
|
||||
"mean 0.001247\n",
|
||||
"std 0.005437\n",
|
||||
"annualized_return 0.314237\n",
|
||||
"information_ratio 3.640637\n",
|
||||
"max_drawdown -0.033416\n",
|
||||
"'The following are analysis results of the excess return with cost.'\n",
|
||||
" risk\n",
|
||||
"mean 0.001028\n",
|
||||
"std 0.005432\n",
|
||||
"annualized_return 0.259041\n",
|
||||
"information_ratio 3.003970\n",
|
||||
"max_drawdown -0.041455\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
|
||||
Reference in New Issue
Block a user