Merge branch 'develop' into RQSDK-737

rqalpha/mod/rqalpha_mod_sys_analyser/report/excel_template.py

@@ -70,9 +70,10 @@ def fill_worksheet(self, ws: Worksheet, data: Dict[str, List]):
         if not data:
             for key, (row, column, style) in self._cell_map.items():
                 self._write_cell(ws, row, column, None, style)
-        for key, (row, column, style) in self._cell_map.items():
-            for i, item in enumerate(data.get(key, [])):
-                self._write_cell(ws, row + i, column, item, style)
+        else:
+            for key, (row, column, style) in self._cell_map.items():
+                for i, item in enumerate(data.get(key, [])):
+                    self._write_cell(ws, row + i, column, item, style)
 
 
 class SummaryTemplate(ExcelTemplate):
@@ -83,6 +84,7 @@ class SummaryTemplate(ExcelTemplate):
         "月度收益": VerticalSeriesSchema,
         "月度超额收益（几何）": VerticalSeriesSchema,
         "个股权重": VerticalSeriesSchema,
+        "压力测试": VerticalSeriesSchema,
     }
 
 

rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py

@@ -17,33 +17,37 @@
 
 import os
 from typing import Dict, Optional
+import datetime
 
 import numpy
 import pandas
-from collections import ChainMap
+from collections import ChainMap, defaultdict
 from pandas import Series, DataFrame
 
 from rqrisk import Risk
 from rqrisk import WEEKLY, MONTHLY
+from rqalpha.environment import Environment
 
 from rqalpha.mod.rqalpha_mod_sys_analyser.plot.utils import max_dd as _max_dd
 from rqalpha.mod.rqalpha_mod_sys_analyser.report.excel_template import generate_xlsx_reports
 
 
+PRESSURE_TEST_PERIOD = {
+    "打击壳价值": (datetime.date(2016, 11, 1), datetime.date(2018, 2, 1)),
+    "公募基金抱团": (datetime.date(2020, 10, 9), datetime.date(2021, 3, 1)),
+    "行业风格切换": (datetime.date(2021, 9, 1), datetime.date(2021, 12, 31)),
+    "小盘踩踏危机": (datetime.date(2024, 1, 5), datetime.date(2024, 2, 8)),
+}
+
+
 def _returns(unit_net_value: Series):
     return (unit_net_value / unit_net_value.shift(1).fillna(1)).fillna(0) - 1
 
 
 def _yearly_indicators(
         p_nav: Series, p_returns: Series, b_nav: Optional[Series], b_returns: Optional[Series], risk_free_rates: Dict
 ):
-    data = {field: [] for field in [
-        "year", "returns", "benchmark_returns", "geometric_excess_return", "geometric_excess_drawdown",
-        "geometric_excess_drawdown_days", "excess_annual_volatility", "annual_volatility", "sharpe_ratio",
-        "excess_sharpe",
-        "information_ratio", "annual_tracking_error", "weekly_excess_win_rate", "monthly_excess_win_rate",
-        "max_drawdown", "max_drawdown_days"
-    ]}
+    data = defaultdict(list)
 
     for year, p_year_returns in p_returns.groupby(p_returns.index.year):  # noqa
         year_slice = p_returns.index.year == year  # noqa
@@ -114,6 +118,44 @@ def _gen_positions_weight(df):
     return df.reset_index().rename(columns=rename).to_dict(orient="list")
 
 
+def _pressure_test(
+        p_nav: Series, p_returns: Series, b_nav: Optional[Series], b_returns: Optional[Series]
+    ):
+    env = Environment.get_instance()
+    # data = {field: [] for field in [
+    #     "title", "start_date", "end_date", "returns", "annual_return", "geometric_excess_return", "max_drawdown",
+    #     "geometric_excess_drawdown", "sharpe", "excess_sharpe"
+    # ]}
+    data = defaultdict(list)
+
+    for title, (start, end) in PRESSURE_TEST_PERIOD.items():
+        p_period_returns = p_returns.loc[start: end]
+        if (p_period_returns is None or p_period_returns.empty):
+            continue
+        # 当且仅当回测周期完整包含压力测试的一个区间时才展示该区间的表现
+        if len(p_period_returns) != len(env.data_proxy.get_trading_dates(start, end)):
+            continue
+        if b_nav is not None:
+            b_period_returns = b_returns.loc[start: end]
+        else:
+            b_period_returns = Series(index=p_period_returns.index)
+        risk_free_rate = env.data_proxy.get_risk_free_rate(start, end)
+        risk = Risk(p_period_returns, b_period_returns, risk_free_rate)
+        data["title"].append(title)
+        data["start_date"].append(str(start))
+        data["end_date"].append(str(end))
+        data["returns"].append(risk.return_rate)
+        data["annual_return"].append(risk.annual_return)
+        data["geometric_excess_return"].append(risk.geometric_excess_return)
+        data["max_drawdown"].append(risk.max_drawdown)
+        data["geometric_excess_drawdown"].append(risk.geometric_excess_drawdown)
+        data["sharpe"].append(risk.sharpe)
+        data["excess_sharpe"].append(risk.excess_sharpe)
+    if not data["title"]:
+        return None
+    return data
+
+
 def generate_report(result_dict, output_path):
     from six import StringIO
 
@@ -138,6 +180,7 @@ def generate_report(result_dict, output_path):
         "月度收益": _monthly_returns(p_returns),
         "月度超额收益（几何）": _monthly_geometric_excess_returns(p_returns, b_returns),
         "个股权重": _gen_positions_weight(result_dict["positions_weight"]),
+        "压力测试": _pressure_test(p_nav, p_returns, b_nav, b_returns),
     }, output_path)
 
     for name in ["portfolio", "stock_account", "future_account",