In [1]:

    

%matplotlib inline
import os
import numpy as np
import pandas as pd
from alphamind.api import *
from PyFin.api import *

from matplotlib import rc
from matplotlib import pyplot as plt

plt.style.use("seaborn-poster")
rc('font', **{'family': 'Microsoft Yahei', 'size': 10})
rc('mathtext', **{'default': 'regular'})
rc('legend', **{'frameon': False})


    

In [36]:

    

factor_name = 'ETOP'
neutralized_styles = industry_styles
start_date = '2010-01-01'
end_date = '2019-03-01'
engine = SqlEngine(os.environ['DB_URI'])
universe_name = 'ashare_ex'
freq = '21b'


    

In [37]:

    

factors = {'ROE': LAST(factor_name),
           'ROE_l1': SHIFT(LAST(factor_name), 1),
           'ROE_l2': SHIFT(LAST(factor_name), 2),
           'ROE_l3': SHIFT(LAST(factor_name), 3)}

factors_names = list(factors.keys())


    

In [38]:

    

universe = Universe(universe_name)
dates = makeSchedule(start_date, end_date, freq, calendar='china.sse')
factors = engine.fetch_factor_range(universe, factors, dates=dates)
risk_cov, risk_factors = engine.fetch_risk_model_range(universe, dates=dates)
dx_returns = engine.fetch_dx_return_range(universe, dates=dates, horizon=map_freq(freq))
total_data = pd.merge(factors, risk_factors, on=['trade_date', 'code'])
total_data = pd.merge(total_data, dx_returns, on=['trade_date', 'code'])
total_data.dropna(inplace=True)


    

In [39]:

    

neutralized_factors = neutralize(total_data[neutralized_styles].values.astype(float),
                                 total_data[factors_names].values,
                                 groups=total_data['trade_date'])
total_data[factors_names] = neutralized_factors


    

In [40]:

    

values = {}
for f in factors_names:
    ic_series = total_data.groupby('trade_date').apply(lambda x: np.corrcoef(x[f], x['dx'])[0, 1])
    values[f] = ic_series.mean()
values = pd.Series(values)


    

    




d:\ProgramData\Anaconda3\lib\site-packages\numpy\lib\function_base.py:2530: RuntimeWarning: invalid value encountered in true_divide
  c /= stddev[:, None]
d:\ProgramData\Anaconda3\lib\site-packages\numpy\lib\function_base.py:2531: RuntimeWarning: invalid value encountered in true_divide
  c /= stddev[None, :]

In [41]:

    

values.plot(kind='bar', figsize=(14, 8))


    

    
Out[41]:





<matplotlib.axes._subplots.AxesSubplot at 0x2b949dca240>






    

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