{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "holdings.py is found and loaded within xalpha dir\n" ] }, { "data": { "application/javascript": [ "\n", " require.config({\n", " paths: {\n", " DT: '//cdn.datatables.net/1.10.20/js/jquery.dataTables.min',\n", " }\n", " });\n", " $('head').append('');\n", " $('head').append('')\n", " " ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "import xalpha as xa\n", "import pandas as pd\n", "\n", "xa.set_display(\"notebook\")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "# 多基金投资系统的管理" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 开放系统" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "path = \"../../tests/demo.csv\"\n", "read = xa.record(path)\n", "# 依旧先读取交易单的 csv 文件" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "sysopen = xa.mul(status=read.status)\n", "# 基金投资组合既可以由一系列单个基金的交易类生成， 也可以直接依据给定的交易单一次性生成，这里采取后者" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
总计totalNaNNaNNaN2561.154197.03775.092515.351681.650.19788245.801.2132
富国中证红利指数增强A1000320.95900.88691638.711571.521895.01633.661453.40441.600.199715118.127.2304
广发医药卫生联接A0011800.99770.8310630.39628.94600.0523.86523.8676.140.180222105.0820.0588
工银中证传媒指数分级1648180.96791.2881372.65360.69480.0480.00480.000.000.139633-119.31-24.8562
广发中债7-10年国开债指数A0033761.15860.00000.000.00742.0742.00-26.29768.290.40245526.293.5431
广发中证全指金融地产联接A0014690.99830.00000.000.00480.0480.0084.38395.620.383988-84.38-17.5792
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
5总计totalNaNNaNNaN2561.154197.03775.092515.351681.650.19788245.801.2132
2富国中证红利指数增强A1000320.95900.88691638.711571.521895.01633.661453.40441.600.199715118.127.2304
0广发医药卫生联接A0011800.99770.8310630.39628.94600.0523.86523.8676.140.180222105.0820.0588
4工银中证传媒指数分级1648180.96791.2881372.65360.69480.0480.00480.000.000.139633-119.31-24.8562
1广发中债7-10年国开债指数A0033761.15860.00000.000.00742.0742.00-26.29768.290.40245526.293.5431
3广发中证全指金融地产联接A0014690.99830.00000.000.00480.0480.0084.38395.620.383988-84.38-17.5792
\n", "
" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 历史最大占用 \\\n", "5 总计 total NaN NaN NaN 2561.15 4197.0 3775.09 \n", "2 富国中证红利指数增强A 100032 0.9590 0.8869 1638.71 1571.52 1895.0 1633.66 \n", "0 广发医药卫生联接A 001180 0.9977 0.8310 630.39 628.94 600.0 523.86 \n", "4 工银中证传媒指数分级 164818 0.9679 1.2881 372.65 360.69 480.0 480.00 \n", "1 广发中债7-10年国开债指数A 003376 1.1586 0.0000 0.00 0.00 742.0 742.00 \n", "3 广发中证全指金融地产联接A 001469 0.9983 0.0000 0.00 0.00 480.0 480.00 \n", "\n", " 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "5 2515.35 1681.65 0.197882 45.80 1.2132 \n", "2 1453.40 441.60 0.199715 118.12 7.2304 \n", "0 523.86 76.14 0.180222 105.08 20.0588 \n", "4 480.00 0.00 0.139633 -119.31 -24.8562 \n", "1 -26.29 768.29 0.402455 26.29 3.5431 \n", "3 84.38 395.62 0.383988 -84.38 -17.5792 " ] }, "execution_count": 4, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysopen.combsummary().sort_values(by=\"基金现值\", ascending=False) # 先看一下今日投资组合概述" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.004765231128134345" ] }, "execution_count": 5, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysopen.xirrrate() # 最重要的总是先问一下系统的整体收益年化如何" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 6, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysopen.v_positions(\"2018-06-01\") # 可视化指定日期的仓位分布" ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 7, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysopen.v_positions_history() # 基金组合就像一条河流。。。" ] }, { "cell_type": "code", "execution_count": 8, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 8, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysopen.v_tradevolume(freq=\"W\")\n", "# 整体交易情况一览, 以周为柱形图单位" ] }, { "cell_type": "code", "execution_count": 9, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
datecash
2016-09-28-1170.00
2017-01-17157.54
2017-10-17-625.00
2017-12-12-442.06
2018-01-18-300.00
2018-07-05-1395.57
2018-07-261079.48
2020-02-28180.26
`);\n", "\n", " require([\"DT\"], function(DT) {$(document).ready( () => {\n", " // Turn existing table into datatable\n", " $(element).find(\"table.dataframe\").DataTable({'scrollX': '100%'});\n", " })\n", " });\n", " " ], "text/html": [ "
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datecash
02016-09-28-1170.00
12017-01-17157.54
22017-10-17-625.00
32017-12-12-442.06
42018-01-18-300.00
52018-07-05-1395.57
62018-07-261079.48
72020-02-28180.26
\n", "
" ], "text/plain": [ " date cash\n", "0 2016-09-28 -1170.00\n", "1 2017-01-17 157.54\n", "2 2017-10-17 -625.00\n", "3 2017-12-12 -442.06\n", "4 2018-01-18 -300.00\n", "5 2018-07-05 -1395.57\n", "6 2018-07-26 1079.48\n", "7 2020-02-28 180.26" ] }, "execution_count": 9, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysopen.totcftable # 基金组合的合并现金流量表" ] }, { "cell_type": "code", "execution_count": 10, "metadata": {}, "outputs": [], "source": [ "ev = sysopen.evaluation(start=\"2018-01-01\") # 还可以生成关于投资基金的 evaluate 类，以便对投资的基金本身进行分析" ] }, { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 11, "metadata": {}, "output_type": "execute_result" } ], "source": [ "ev.v_correlation(end=\"2018-08-01\") # 可以通过热力图来查看不同基金净值走势的相关性" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 封闭系统\n", "我们也可以研究一个封闭系统的组合投资，此时需要货币基金提供资金出入的功能，这样的系统净值更容易定义\n", "可以应用之前研究指数和基金时使用过的量化方法。" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(广发医药卫生联接A 交易情况,\n", " 广发中债7-10年国开债指数A 交易情况,\n", " 富国中证红利指数增强A 交易情况,\n", " 广发中证全指金融地产联接A 交易情况,\n", " 工银中证传媒指数分级 交易情况)" ] }, "execution_count": 12, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysopen.fundtradeobj" ] }, { "cell_type": "code", "execution_count": 13, "metadata": {}, "outputs": [], "source": [ "# 这次我们使用基金交易类作为初始化参数\n", "sysclose = xa.mulfix(*sysopen.fundtradeobj, totmoney=5000)\n", "# totmoney 表示封闭系统初始的总钱数\n", "# 若不设置 cashobj 选项，则默认为 cashobj = cashinfo(interest=0.0001, start='2012-01-01')" ] }, { "cell_type": "code", "execution_count": 14, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "1.016426" ] }, "execution_count": 14, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysclose.unitvalue(\"2018-07-04\") # 封闭的基金投资组合整体就像一个单一基金交易类，有净值数据" ] }, { "cell_type": "code", "execution_count": 15, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
总计totalNaNNaNNaN5295.356704.545000.005000.001704.540.346300295.355.9070
货币基金mf1.2534361.16472249.862820.063987.543987.542620.481367.060.465023199.585.0051
富国中证红利指数增强A1000321.1780000.9843877.471033.661125.00863.66863.66261.340.555878170.0019.6837
广发中债7-10年国开债指数A0033760.9403000.9424575.14540.80542.00542.00542.000.001.276224-1.20-0.2214
广发中证全指金融地产联接A0014691.0593001.0758446.20472.66480.00480.00480.000.002.097701-7.34-1.5292
广发医药卫生联接A0011800.8764000.8134275.20241.19300.00300.00223.8676.140.43419117.335.7767
工银中证传媒指数分级1648180.8296001.1980225.38186.98270.00270.00270.000.000.346300-83.02-30.7481
`);\n", "\n", " require([\"DT\"], function(DT) {$(document).ready( () => {\n", " // Turn existing table into datatable\n", " $(element).find(\"table.dataframe\").DataTable({'scrollX': '100%'});\n", " })\n", " });\n", " " ], "text/html": [ "
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
6总计totalNaNNaNNaN5295.356704.545000.005000.001704.540.346300295.355.9070
5货币基金mf1.2534361.16472249.862820.063987.543987.542620.481367.060.465023199.585.0051
2富国中证红利指数增强A1000321.1780000.9843877.471033.661125.00863.66863.66261.340.555878170.0019.6837
1广发中债7-10年国开债指数A0033760.9403000.9424575.14540.80542.00542.00542.000.001.276224-1.20-0.2214
3广发中证全指金融地产联接A0014691.0593001.0758446.20472.66480.00480.00480.000.002.097701-7.34-1.5292
0广发医药卫生联接A0011800.8764000.8134275.20241.19300.00300.00223.8676.140.43419117.335.7767
4工银中证传媒指数分级1648180.8296001.1980225.38186.98270.00270.00270.000.000.346300-83.02-30.7481
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" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 \\\n", "6 总计 total NaN NaN NaN 5295.35 6704.54 \n", "5 货币基金 mf 1.253436 1.1647 2249.86 2820.06 3987.54 \n", "2 富国中证红利指数增强A 100032 1.178000 0.9843 877.47 1033.66 1125.00 \n", "1 广发中债7-10年国开债指数A 003376 0.940300 0.9424 575.14 540.80 542.00 \n", "3 广发中证全指金融地产联接A 001469 1.059300 1.0758 446.20 472.66 480.00 \n", "0 广发医药卫生联接A 001180 0.876400 0.8134 275.20 241.19 300.00 \n", "4 工银中证传媒指数分级 164818 0.829600 1.1980 225.38 186.98 270.00 \n", "\n", " 历史最大占用 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "6 5000.00 5000.00 1704.54 0.346300 295.35 5.9070 \n", "5 3987.54 2620.48 1367.06 0.465023 199.58 5.0051 \n", "2 863.66 863.66 261.34 0.555878 170.00 19.6837 \n", "1 542.00 542.00 0.00 1.276224 -1.20 -0.2214 \n", "3 480.00 480.00 0.00 2.097701 -7.34 -1.5292 \n", "0 300.00 223.86 76.14 0.434191 17.33 5.7767 \n", "4 270.00 270.00 0.00 0.346300 -83.02 -30.7481 " ] }, "execution_count": 15, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysclose.combsummary(\"2018-03-09\") # 投资组合的分项纵览" ] }, { "cell_type": "code", "execution_count": 16, "metadata": {}, "outputs": [], "source": [ "sysclose.bcmkset(xa.indexinfo(\"0000905\")) # 设置比较基准，开始对此封闭的基金投资系统进行量化评估" ] }, { "cell_type": "code", "execution_count": 17, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 17, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysclose.v_netvalue()" ] }, { "cell_type": "code", "execution_count": 18, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.013307324282019296, 0.3046674455277358, -0.17007378585189745)" ] }, "execution_count": 18, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysclose.alpha(), sysclose.beta(), sysclose.sharpe()" ] }, { "cell_type": "code", "execution_count": 19, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(Timestamp('2018-01-24 00:00:00'),\n", " Timestamp('2018-10-18 00:00:00'),\n", " -0.1120821303964955)" ] }, "execution_count": 19, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysclose.max_drawdown() # 系统的最大回撤" ] }, { "cell_type": "code", "execution_count": 20, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.0371724" ] }, "execution_count": 20, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysclose.riskfree # 进行量化计算中使用的无风险年化利率的参考值， 可在设置 benchmark 时调整该值" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.6.3" } }, "nbformat": 4, "nbformat_minor": 2 }