不知道更新了些啥,反正提交一下吧

database/finhack_structure.sql

@@ -1 +1,182 @@
-mysqldump: Got error: 1045: Access denied for user 'root'@'localhost' (using password: NO) when trying to connect
+-- MySQL dump 10.13  Distrib 8.0.30, for Linux (x86_64)
+--
+-- Host: localhost    Database: finhack
+-- ------------------------------------------------------
+-- Server version	8.0.30
+
+/*!40101 SET @OLD_CHARACTER_SET_CLIENT=@@CHARACTER_SET_CLIENT */;
+/*!40101 SET @OLD_CHARACTER_SET_RESULTS=@@CHARACTER_SET_RESULTS */;
+/*!40101 SET @OLD_COLLATION_CONNECTION=@@COLLATION_CONNECTION */;
+/*!50503 SET NAMES utf8mb4 */;
+/*!40103 SET @OLD_TIME_ZONE=@@TIME_ZONE */;
+/*!40103 SET TIME_ZONE='+00:00' */;
+/*!40014 SET @OLD_UNIQUE_CHECKS=@@UNIQUE_CHECKS, UNIQUE_CHECKS=0 */;
+/*!40014 SET @OLD_FOREIGN_KEY_CHECKS=@@FOREIGN_KEY_CHECKS, FOREIGN_KEY_CHECKS=0 */;
+/*!40101 SET @OLD_SQL_MODE=@@SQL_MODE, SQL_MODE='NO_AUTO_VALUE_ON_ZERO' */;
+/*!40111 SET @OLD_SQL_NOTES=@@SQL_NOTES, SQL_NOTES=0 */;
+
+--
+-- Table structure for table `auto_train`
+--
+
+DROP TABLE IF EXISTS `auto_train`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `auto_train` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `start_date` varchar(10) DEFAULT NULL,
+  `valid_date` varchar(10) DEFAULT NULL,
+  `end_date` varchar(10) DEFAULT NULL,
+  `features` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `label` varchar(255) DEFAULT NULL,
+  `shift` int DEFAULT NULL,
+  `param` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `hash` varchar(32) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `created_at` timestamp NULL DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  `loss` varchar(255) DEFAULT NULL,
+  `algorithm` varchar(255) DEFAULT NULL,
+  `filter` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT '',
+  `score` double(10,10) DEFAULT NULL,
+  PRIMARY KEY (`id`)
+) ENGINE=InnoDB AUTO_INCREMENT=12675 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `backtest`
+--
+
+DROP TABLE IF EXISTS `backtest`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `backtest` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `instance_id` varchar(32) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci NOT NULL,
+  `features_list` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `train` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `model` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `strategy` varchar(255) DEFAULT NULL,
+  `start_date` varchar(20) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `end_date` varchar(20) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `init_cash` double(100,5) DEFAULT NULL,
+  `args` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `history` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `returns` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `logs` mediumtext CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `total_value` double(100,5) DEFAULT NULL,
+  `alpha` double(100,5) DEFAULT NULL,
+  `beta` double(100,5) DEFAULT NULL,
+  `annual_return` double(100,5) DEFAULT NULL,
+  `cagr` double(100,5) DEFAULT NULL,
+  `annual_volatility` double(100,5) DEFAULT NULL,
+  `info_ratio` double(100,5) DEFAULT NULL,
+  `downside_risk` double(100,5) DEFAULT NULL,
+  `R2` double(100,5) DEFAULT NULL,
+  `sharpe` double(100,5) DEFAULT NULL,
+  `sortino` double(100,5) DEFAULT NULL,
+  `calmar` double(100,5) DEFAULT NULL,
+  `omega` double(100,5) DEFAULT NULL,
+  `max_down` double(100,5) DEFAULT NULL,
+  `SQN` double(100,5) DEFAULT NULL,
+  `created_at` timestamp NULL DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  `filter` varchar(255) DEFAULT '',
+  `win` double(100,5) DEFAULT NULL,
+  `server` varchar(255) DEFAULT NULL,
+  `trade_num` int DEFAULT NULL,
+  `runtime` varchar(255) DEFAULT NULL,
+  `starttime` varchar(100) DEFAULT NULL,
+  `endtime` varchar(100) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `benchReturns` mediumtext,
+  `roto` double(100,5) DEFAULT NULL,
+  `simulate` int DEFAULT '0',
+  `benchmark` varchar(255) DEFAULT NULL,
+  `strategy_code` text,
+  PRIMARY KEY (`id`),
+  UNIQUE KEY `instence_id` (`instance_id`)
+) ENGINE=InnoDB AUTO_INCREMENT=388626 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `factors_analysis`
+--
+
+DROP TABLE IF EXISTS `factors_analysis`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `factors_analysis` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `factor_name` varchar(255) DEFAULT NULL,
+  `days` varchar(255) DEFAULT NULL,
+  `pool` varchar(255) DEFAULT NULL,
+  `start_date` varchar(10) DEFAULT NULL,
+  `end_date` varchar(10) DEFAULT NULL,
+  `formula` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `IC` float(10,5) DEFAULT NULL,
+  `IR` float(10,5) DEFAULT NULL,
+  `IRR` float(10,5) DEFAULT NULL,
+  `score` float(10,5) DEFAULT NULL,
+  `max_up_corr` float(10,7) DEFAULT NULL,
+  `hash` varchar(255) DEFAULT NULL,
+  `updated_at` datetime DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  PRIMARY KEY (`id`)
+) ENGINE=InnoDB AUTO_INCREMENT=2388 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `factors_list`
+--
+
+DROP TABLE IF EXISTS `factors_list`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `factors_list` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `factor_name` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `indicators` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `func_name` varchar(255) DEFAULT NULL,
+  `code` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `return_fileds` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `md5` varchar(255) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT NULL,
+  `check_type` int DEFAULT '0',
+  `status` varchar(20) CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci DEFAULT 'activate',
+  `created_at` datetime DEFAULT CURRENT_TIMESTAMP,
+  `updated_at` datetime DEFAULT CURRENT_TIMESTAMP,
+  PRIMARY KEY (`id`)
+) ENGINE=InnoDB AUTO_INCREMENT=2406 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+
+--
+-- Table structure for table `factors_mining`
+--
+
+DROP TABLE IF EXISTS `factors_mining`;
+/*!40101 SET @saved_cs_client     = @@character_set_client */;
+/*!50503 SET character_set_client = utf8mb4 */;
+CREATE TABLE `factors_mining` (
+  `id` int NOT NULL AUTO_INCREMENT,
+  `factor_name` varchar(255) DEFAULT NULL,
+  `days` varchar(255) DEFAULT NULL,
+  `pool` varchar(255) DEFAULT NULL,
+  `start_date` varchar(10) DEFAULT NULL,
+  `end_date` varchar(10) DEFAULT NULL,
+  `formula` text CHARACTER SET utf8mb4 COLLATE utf8mb4_0900_ai_ci,
+  `IC` float(20,5) DEFAULT NULL,
+  `IR` float(20,5) DEFAULT NULL,
+  `IRR` float(20,5) DEFAULT NULL,
+  `score` float(10,5) DEFAULT NULL,
+  `hash` varchar(255) DEFAULT NULL,
+  `updated_at` datetime DEFAULT CURRENT_TIMESTAMP ON UPDATE CURRENT_TIMESTAMP,
+  PRIMARY KEY (`id`),
+  UNIQUE KEY `hash` (`hash`(32)) USING BTREE
+) ENGINE=InnoDB AUTO_INCREMENT=31156 DEFAULT CHARSET=utf8mb4 COLLATE=utf8mb4_0900_ai_ci;
+/*!40101 SET character_set_client = @saved_cs_client */;
+/*!40103 SET TIME_ZONE=@OLD_TIME_ZONE */;
+
+/*!40101 SET SQL_MODE=@OLD_SQL_MODE */;
+/*!40014 SET FOREIGN_KEY_CHECKS=@OLD_FOREIGN_KEY_CHECKS */;
+/*!40014 SET UNIQUE_CHECKS=@OLD_UNIQUE_CHECKS */;
+/*!40101 SET CHARACTER_SET_CLIENT=@OLD_CHARACTER_SET_CLIENT */;
+/*!40101 SET CHARACTER_SET_RESULTS=@OLD_CHARACTER_SET_RESULTS */;
+/*!40101 SET COLLATION_CONNECTION=@OLD_COLLATION_CONNECTION */;
+/*!40111 SET SQL_NOTES=@OLD_SQL_NOTES */;
+
+-- Dump completed on 2024-01-31 13:01:19

finhack/__init__.py

@@ -1 +1 @@
-__version__ = '0.0.1.dev8'
+__version__ = '0.0.1.dev9'

finhack/core/core.py

@@ -12,7 +12,7 @@
 
 
 class Core:
-    def __init__(self,project_path=''):
+    def __init__(self,project_path='',args=True):
         self.project_path=project_path
         self.usage="""
         
@@ -26,13 +26,18 @@ def __init__(self,project_path=''):
 finhack trainer auto --vendor=lightgbm      #自动进行lightgbm训练
 finhack -h
 -------------------------------"""
-        self.generate_args()
-        self.check_project()
+        if args:
+            self.generate_args()
+            self.check_project()
         self.check_env()
         self.refresh_runtime()
-        self.append_args()
-        self.generate_global()
-        self.init_logger()
+        if args:
+            self.append_args()
+            self.generate_global()
+            self.init_logger()
+        else:
+            sys.path.append(self.project_path+'/data/cache/')
+
 
     def init_logger(self):
         from runtime.constant import LOGS_DIR

finhack/core/loader/base_loader.py

@@ -52,6 +52,7 @@ def background(self,args):
 
     def run(self):
         klass=self.klass
+        klass.args=self.args
         klass.run()
 
 

finhack/factor/default/alphaEngine.py

@@ -784,7 +784,6 @@ def calc(formula='',df=pd.DataFrame(),name="alpha",check=False,replace=False):
                 df=factorManager.getFactors(factor_list=col_list,cache=True)
             else:
                 df=df.sort_index()
-
 
             if diff_date>0 and diff_date<100:
                 dt=datetime.datetime.strptime(str(max_date),'%Y%m%d')

finhack/factor/default/default_factor.py

@@ -32,4 +32,12 @@ def show(self):
 
     def analys(self):
         factor_name=self.args.factor
-        factorAnalyzer.alphalens(factor_name)
+        factorAnalyzer.alphalens(factor_name)
+
+    def alpha(self):
+        formula=self.args.formula
+        print(formula)
+        df_alpha=alphaEngine.calc(formula=formula,name="alpha",check=True,replace=False)
+        print(df_alpha)
+
+        factorAnalyzer.alphalens(factor_name='alpha',df=df_alpha)

finhack/factor/default/factorAnalyzer.py

@@ -24,16 +24,19 @@ def all_corr():
 
 
 
-    def alphalens(factor_name):
-
+    def alphalens(factor_name='alpha',df=pd.DataFrame(),notebook=False):
 
         df_industry=AStock.getStockIndustry()
 
+        if df.empty:
+            df=factorManager.getFactors(factor_list=['close',factor_name])
+        else:
+            df_close=factorManager.getFactors(factor_list=['close'])
+
+        df_close[factor_name]=df
+        df=df_close
 
-        # df_all.index=df_all['date']
-        # price.index = pd.to_datetime(price.index)
-        # assets = df_all.set_index( [df_all.index,df_all['symbol']], drop=True,append=False, inplace=False)
-        df=factorManager.getFactors(factor_list=['close',factor_name])
+
         # 假设 df 是您提供的 DataFrame，我们首先重置索引
         df = df.reset_index().merge(df_industry, on='ts_code')
         df['industry'] = df['industry'].fillna('其他')
@@ -94,7 +97,7 @@ def alphalens(factor_name):
         #plt.show()
 
         # 分位数累积收益
-        #cumulative_returns_by_qt = al.performance.cumulative_returns_by_quantile(factor_data, period=1)
+        #Wcumulative_returns_by_qt = al.performance.cumulative_returns_by_quantile(factor_data, period=1)
         #al.plotting.plot_cumulative_returns_by_quantile(cumulative_returns_by_qt, period=1)
         #plt.show()
 
@@ -111,19 +114,25 @@ def alphalens(factor_name):
         #al.plotting.plot_monthly_ic_heatmap(mean_monthly_ic)
         #plt.show()
 
-        print("\nmean_return_by_qt")
-        print(mean_return_by_qt)
-        print("\nic_by_day")
-        print(ic_by_day)
-        print("\nquantile_returns")
-        print(quantile_returns)
-        print("\nautocorrelation")
-        print(autocorrelation)
-        print("\nmean_monthly_ic")
-        print(mean_monthly_ic)
+
+        if notebook:
+            full_tear_sheet = al.tears.create_full_tear_sheet(factor_data, long_short=True, group_neutral=False, by_group=False)
+            print(full_tear_sheet)
+        else:
+
+            print("\nmean_return_by_qt")
+            print(mean_return_by_qt)
+            print("\nic_by_day")
+            print(ic_by_day)
+            print("\nquantile_returns")
+            print(quantile_returns)
+            print("\nautocorrelation")
+            print(autocorrelation)
+            print("\nmean_monthly_ic")
+            print(mean_monthly_ic)
 
         # print('---')
-        # print(full_tear_sheet)
+
 
         #al.plotting.plot_quantile_returns_bar(mean_return_by_qt)
         pass

finhack/widgets/templates/empty_project/data/config/args.conf

@@ -8,6 +8,7 @@ testarg2=this is also a test key
 
 [factor]
 factor=
+formula=
 
 
 [trainer]
@@ -29,7 +30,7 @@ max_f=128
 
 [backtest]
 cash=10000,20000,50000,100000,200000,500000,1000000
-p=3
+p=2
 
 [trader]
 strategy=DemoStrategy