-
Notifications
You must be signed in to change notification settings - Fork 1
/
mdep.go
352 lines (303 loc) · 10.6 KB
/
mdep.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
// Copyright 2021-2023
// SPDX-License-Identifier: Apache-2.0
//
// Licensed under the Apache License, Version 2.0 (the "License");
// you may not use this file except in compliance with the License.
// You may obtain a copy of the License at
//
// http://www.apache.org/licenses/LICENSE-2.0
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
/*
* Momentum Driven Earnings Prediction v1.0
*
* Invest in a diversified portfolio of stocks ranked by their likelihood to
* out-perform based on earnings estimates and earnings estimate revisions.
* Includes a built-in crash protection that exits to a "safe" asset when
* market sentiment goes negative.
*
* StormGuard Armour is used as the sentiment metric.
* Earnings estimates and revisions are provided by Zack's Investment Research.
*/
package mdep
import (
"context"
"errors"
"time"
"github.com/goccy/go-json"
"github.com/jackc/pgx/v4"
"github.com/penny-vault/pv-api/data"
"github.com/penny-vault/pv-api/data/database"
"github.com/penny-vault/pv-api/dataframe"
"github.com/penny-vault/pv-api/indicators"
"github.com/penny-vault/pv-api/observability/opentelemetry"
"github.com/penny-vault/pv-api/strategies/strategy"
"github.com/rs/zerolog/log"
"go.opentelemetry.io/otel"
)
var (
ErrInvalidPeriod = errors.New("invalid period")
ErrHoldings = errors.New("not enough holdings in portfolio")
ErrInvalidRisk = errors.New("risk i dicator must be one of 'None' or 'Momentum'")
)
type MomentumDrivenEarningsPrediction struct {
NumHoldings int
RiskIndicator string
OutTicker *data.Security
Period dataframe.Frequency
}
type Period struct {
Security *data.Security
Begin time.Time
End time.Time
}
// New Construct a new Momentum Driven Earnings Prediction (MDEP) strategy
func New(args map[string]json.RawMessage) (strategy.Strategy, error) {
numHoldings := 100
if err := json.Unmarshal(args["numHoldings"], &numHoldings); err != nil {
return nil, err
}
if numHoldings < 1 {
return nil, ErrHoldings
}
riskIndicator := "None"
if err := json.Unmarshal(args["indicator"], &riskIndicator); err != nil {
log.Error().Err(err).Msg("unmarshal indicator failed")
return nil, err
}
if riskIndicator != "None" && riskIndicator != "Momentum" {
log.Error().Str("RiskIndicatorValue", riskIndicator).Msg("Unknown risk indicator type")
return nil, ErrInvalidRisk
}
var outTicker data.Security
if err := json.Unmarshal(args["outTicker"], &outTicker); err != nil {
return nil, err
}
periodStr := string(dataframe.Weekly)
if err := json.Unmarshal(args["period"], &periodStr); err != nil {
return nil, err
}
switch periodStr {
case "Weekly":
periodStr = string(dataframe.Weekly)
case "Monthly":
periodStr = string(dataframe.Monthly)
}
period := dataframe.Frequency(periodStr)
if (period != dataframe.Weekly) && (period != dataframe.Monthly) {
log.Error().Str("PeriodArg", string(period)).Msg("could not create MDEP strategy, period must be dataframe.Weekly (WeekEnd) or dataframe.Monthly (MonthEnd)")
return nil, ErrInvalidPeriod
}
var mdep strategy.Strategy = &MomentumDrivenEarningsPrediction{
NumHoldings: numHoldings,
OutTicker: &outTicker,
RiskIndicator: riskIndicator,
Period: period,
}
return mdep, nil
}
// Compute signal
func (mdep *MomentumDrivenEarningsPrediction) Compute(ctx context.Context, begin, end time.Time) (data.PortfolioPlan, *data.SecurityAllocation, error) {
ctx, span := otel.Tracer(opentelemetry.Name).Start(ctx, "mdep.Compute")
defer span.End()
subLog := log.With().Str("Strategy", "MDEP").Logger()
subLog.Info().Time("Start", begin).Time("End", end).Msg("computing MDEP strategy")
// Ensure time range is valid
nullTime := time.Time{}
if end.Equal(nullTime) {
end = time.Now()
}
if begin.Equal(nullTime) {
// Default computes things 50 years into the past
begin = end.AddDate(-50, 0, 0)
}
// Get database transaction
db, err := database.TrxForUser(ctx, "pvuser")
if err != nil {
log.Warn().Stack().Err(err).Msg("could not get database transaction")
return nil, nil, err
}
// get the starting date for ratings
var startDate time.Time
sql := "SELECT min(event_date) FROM zacks_financials"
err = db.QueryRow(ctx, sql).Scan(&startDate)
if err != nil {
log.Warn().Stack().Err(err).Str("SQL", sql).Msg("could not query database")
if err := db.Rollback(ctx); err != nil {
log.Error().Stack().Err(err).Msg("could not rollback transaction")
}
return nil, nil, err
}
if startDate.After(begin) {
begin = startDate
}
subLog.Debug().Time("Start", begin).Time("End", end).Msg("updated time period")
// get a list of dates to invest in
manager := data.GetManagerInstance()
tradeDaysDf := manager.TradingDays(begin, end)
tradeDaysDf = tradeDaysDf.Frequency(mdep.Period)
tradeDays := tradeDaysDf.Dates
indicator, err := mdep.getRiskOnOffIndicator(ctx, begin, end)
if err != nil {
if err := db.Rollback(ctx); err != nil {
subLog.Error().Stack().Err(err).Msg("could not rollback transaction")
}
return nil, nil, err
}
// build target portfolio
targetPortfolio, err := mdep.buildTargetPortfolio(ctx, tradeDays, indicator, db)
if err != nil {
if err := db.Rollback(ctx); err != nil {
subLog.Error().Stack().Err(err).Msg("could not rollback transaction")
}
return nil, nil, err
}
// Get predicted portfolio
predictedPortfolio, err := mdep.buildPredictedPortfolio(ctx, tradeDays, db)
if err != nil {
if err := db.Rollback(ctx); err != nil {
subLog.Error().Stack().Err(err).Msg("could not rollback transaction")
}
return nil, nil, err
}
subLog.Info().Msg("MDEP computed")
if err := db.Commit(ctx); err != nil {
subLog.Warn().Stack().Err(err).Msg("could not commit transaction")
}
return targetPortfolio, predictedPortfolio, nil
}
func (mdep *MomentumDrivenEarningsPrediction) getRiskOnOffIndicator(ctx context.Context, begin, end time.Time) (*dataframe.DataFrame, error) {
var indicator *dataframe.DataFrame
subLog := log.With().Str("Strategy", "mdep").Logger()
switch mdep.RiskIndicator {
case "Momentum":
subLog.Debug().Msg("get risk on/off indicator")
securities, err := data.SecurityFromTickerList([]string{"VFINX", "PRIDX"})
if err != nil {
log.Error().Err(err).Strs("Securities", []string{"VFINX", "PRIDX"}).Msg("securities not found")
return nil, err
}
momentum := &indicators.Momentum{
Securities: securities,
Periods: []int{1, 3, 6},
}
indicator, err = momentum.IndicatorForPeriod(ctx, begin, end)
if err != nil {
subLog.Error().Err(err).Msg("could not get risk on/off indicator")
return nil, err
}
default:
manager := data.GetManagerInstance()
indicator = manager.TradingDays(begin, end)
for idx := range indicator.Vals[0] {
indicator.Vals[0][idx] = 1.0
}
}
return indicator, nil
}
func getMDEPAssets(ctx context.Context, day time.Time, numAssets int, db pgx.Tx) (map[data.Security]float64, error) {
subLog := log.With().Str("Strategy", "seek").Logger()
targetMap := make(map[data.Security]float64)
cnt := 0
rows, err := db.Query(ctx, "SELECT composite_figi FROM zacks_financials WHERE zacks_rank=1 AND event_date=$1 ORDER BY market_cap_mil DESC LIMIT $2", day, numAssets)
if err != nil {
subLog.Error().Stack().Err(err).Msg("could not query database for mdep portfolio")
return nil, err
}
for rows.Next() {
cnt++
var compositeFigi string
err := rows.Scan(&compositeFigi)
if err != nil {
subLog.Error().Stack().Err(err).Msg("could not scan result")
return nil, err
}
security, err := data.SecurityFromFigi(compositeFigi)
if err != nil {
log.Error().Err(err).Str("CompositeFigi", compositeFigi).Msg("could not load security")
}
targetMap[*security] = 0.0
}
qty := 1.0 / float64(cnt)
for k := range targetMap {
targetMap[k] = qty
}
return targetMap, nil
}
func (mdep *MomentumDrivenEarningsPrediction) buildTargetPortfolio(ctx context.Context, tradeDays []time.Time, riskOn *dataframe.DataFrame, db pgx.Tx) (data.PortfolioPlan, error) {
_, span := otel.Tracer(opentelemetry.Name).Start(ctx, "mdep.buildTargetPortfolio")
defer span.End()
subLog := log.With().Str("Strategy", "MDEP").Logger()
subLog.Debug().Msg("build target portfolio")
riskIndicator := false
riskIdx := 0
NRisk := riskOn.Len()
targetPortfolio := make(data.PortfolioPlan, 0, len(tradeDays))
for _, day := range tradeDays {
var err error
var riskDate time.Time
pie := &data.SecurityAllocation{
Date: day,
Justifications: make(map[string]float64),
}
// check if risk indicator should be updated
riskDate = riskOn.Dates[riskIdx]
if !day.Before(riskDate) {
riskIndicator = riskOn.Vals[0][riskIdx] > 0
riskIdx++
if riskIdx >= NRisk {
riskIdx--
}
}
if riskIndicator {
pie.Members, err = getMDEPAssets(ctx, day, mdep.NumHoldings, db)
if err != nil {
return nil, err
}
} else {
pie.Members = make(map[data.Security]float64)
}
if len(pie.Members) == 0 {
// nothing to invest in - use cash like asset
pie.Members[*mdep.OutTicker] = 1.0
}
targetPortfolio = append(targetPortfolio, pie)
}
return targetPortfolio, nil
}
func (mdep *MomentumDrivenEarningsPrediction) buildPredictedPortfolio(ctx context.Context, tradeDays []time.Time, db pgx.Tx) (*data.SecurityAllocation, error) {
ctx, span := otel.Tracer(opentelemetry.Name).Start(ctx, "mdep.buildPredictedPortfolio")
defer span.End()
subLog := log.With().Str("Strategy", "MDEP").Logger()
subLog.Debug().Msg("calculating predicted portfolio")
var compositeFigi string
predictedTarget := make(map[data.Security]float64)
lastDateIdx := len(tradeDays) - 1
rows, err := db.Query(ctx, "SELECT composite_figi FROM zacks_financials WHERE zacks_rank=1 AND event_date=$1 ORDER BY market_cap_mil DESC LIMIT $2", tradeDays[lastDateIdx], mdep.NumHoldings)
if err != nil {
log.Error().Stack().Err(err).Msg("could not query database for MDEP predicted portfolio")
return nil, err
}
for rows.Next() {
if err := rows.Scan(&compositeFigi); err != nil {
log.Error().Stack().Err(err).Msg("could not scan rows")
return nil, err
}
security, err := data.SecurityFromFigi(compositeFigi)
if err != nil {
log.Error().Err(err).Str("CompositeFigi", compositeFigi).Msg("security not found")
return nil, err
}
predictedTarget[*security] = 1.0 / float64(mdep.NumHoldings)
}
predictedPortfolio := &data.SecurityAllocation{
Date: tradeDays[lastDateIdx],
Members: predictedTarget,
Justifications: make(map[string]float64),
}
return predictedPortfolio, nil
}