Metadata-Version: 1.0
Name: single_factor_model
Version: 0.0.4
Summary: factor model
Home-page: UNKNOWN
Author: Yili Peng
Author-email: yili.peng@outlook.com
License: UNKNOWN
Description: #---------- 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')
Keywords: factor model quant
Platform: UNKNOWN
