Merge pull request #771 from ricequant/develop

Develop

CHANGELOG.rst

@@ -2,6 +2,13 @@
 CHANGELOG
 ==================
 
+4.15.0
+==================
+- 修复python3.10在Ubuntu和Centos下更新数据异常
+- 期货回测支持使用结算价进行结算
+- 修正报告中跟踪误差，使用年化跟踪误差
+- 修改超额收益相关指标的计算，具体公式可参考rqrisk
+
 4.14.1
 ==================
 - ricequant报告图模版调整超额收益曲线，公式改为每日的超额收益率的累计

rqalpha/mod/rqalpha_mod_sys_accounts/__init__.py

@@ -32,7 +32,9 @@
     # 融资利率/年
     "financing_rate": 0.00,
     # 是否开启融资可买入股票的限制
-    "financing_stocks_restriction_enabled": False
+    "financing_stocks_restriction_enabled": False,
+    # 逐日盯市结算价: settlement/close
+    "futures_settlement_price_type": "close",
 }
 
 
@@ -79,3 +81,11 @@ def load_mod():
         help="[sys_accounts] enable stock shorting"
     )
 )
+
+cli.commands['run'].params.append(
+    click.Option(
+        ('--futures-settlement-price-type', cli_prefix + 'futures_settlement_price_type'),
+        default="close",
+        help="[sys_accounts] future settlement price"
+    )
+)

rqalpha/mod/rqalpha_mod_sys_accounts/mod.py

@@ -50,6 +50,10 @@ def start_up(self, env, mod_config):
         elif mod_config.financing_rate < 0:
             raise ValueError("sys_accounts financing_rate must >= 0")
 
+        futures_settlement_price_types = ["settlement", "close"]
+        if mod_config.futures_settlement_price_type not in futures_settlement_price_types:
+            raise ValueError("sys_accounts futures_settlement_price_type in {}".format(futures_settlement_price_types))
+
         if DEFAULT_ACCOUNT_TYPE.FUTURE in env.config.base.accounts:
             # 注入期货API
             # noinspection PyUnresolvedReferences

rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py

@@ -19,13 +19,12 @@
 
 from decimal import Decimal
 
-from rqalpha.utils.functools import lru_cache
 from rqalpha.model.trade import Trade
 from rqalpha.const import POSITION_DIRECTION, SIDE, POSITION_EFFECT, DEFAULT_ACCOUNT_TYPE, INSTRUMENT_TYPE
 from rqalpha.environment import Environment
 from rqalpha.portfolio.position import Position, PositionProxy
 from rqalpha.data.data_proxy import DataProxy
-from rqalpha.utils import INST_TYPE_IN_STOCK_ACCOUNT
+from rqalpha.utils import INST_TYPE_IN_STOCK_ACCOUNT, is_valid_price
 from rqalpha.utils.logger import user_system_log
 from rqalpha.utils.class_helper import deprecated_property, cached_property
 from rqalpha.utils.i18n import gettext as _
@@ -281,6 +280,15 @@ def apply_trade(self, trade):
                     trade.last_price - self._avg_price
             ) * trade.last_quantity * self.contract_multiplier * self._direction_factor
 
+    @property
+    def prev_close(self):
+        if not is_valid_price(self._prev_close):
+            if self._env.config.mod.sys_accounts.futures_settlement_price_type == "settlement":
+                self._prev_close = self._env.data_proxy.get_prev_settlement(self._order_book_id, self._env.trading_dt)
+            else:
+                self._prev_close = super().prev_close
+        return self._prev_close
+
     def settlement(self, trading_date):
         # type: (date) -> float
         super(FuturePosition, self).settlement(trading_date)
@@ -295,9 +303,20 @@ def settlement(self, trading_date):
                 order_book_id=self._order_book_id
             ))
             self._quantity = self._old_quantity = 0
+
+        if self._env.config.mod.sys_accounts.futures_settlement_price_type == "settlement":
+            # 逐日盯市按照结算价结算
+            self._last_price = self._env.data_proxy.get_settle_price(self._order_book_id, self._env.trading_dt)
+
         self._avg_price = self.last_price
         return delta_cash
 
+    def before_trading(self, trading_date):
+        # type: (date) -> float
+        delta = super().before_trading(trading_date)
+        self._last_price = None
+        return delta
+
 
 class StockPositionProxy(PositionProxy):
     __repr_properties__ = (

rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -327,14 +327,14 @@ def tear_down(self, code, exception=None):
             'sortino': risk.sortino,
             'volatility': risk.annual_volatility,
             'excess_volatility': risk.excess_annual_volatility,
-            'excess_annual_volatility': risk.excess_annual_volatility,
             'max_drawdown': risk.max_drawdown,
-            'excess_max_drawdown': risk.excess_max_drawdown,
-            'excess_returns': risk.excess_return_rate,
-            'excess_annual_returns': risk.excess_annual_return,
+            'excess_max_drawdown': risk.geometric_excess_drawdown,
+            'excess_returns': risk.geometric_excess_return,
+            'excess_annual_returns': risk.geometric_excess_annual_return,
             'var': risk.var,
             "win_rate": risk.win_rate,
             "excess_win_rate": risk.excess_win_rate,
+            "excess_cum_returns": risk.arithmetic_excess_return,
         })
 
         # 盈亏比
@@ -362,9 +362,6 @@ def tear_down(self, code, exception=None):
             benchmark_annualized_returns = (benchmark_total_returns + 1) ** (DAYS_CNT.TRADING_DAYS_A_YEAR / date_count) - 1
             summary['benchmark_annualized_returns'] = benchmark_annualized_returns
 
-            # 新增一个超额累计收益
-            summary['excess_cum_returns'] = summary["total_returns"] - summary["benchmark_total_returns"]
-
         trades = pd.DataFrame(self._trades)
         if 'datetime' in trades.columns:
             trades = trades.set_index(pd.DatetimeIndex(trades['datetime']))
@@ -417,7 +414,7 @@ def tear_down(self, code, exception=None):
             monthly_b_returns = (monthly_b_nav / monthly_b_nav.shift(1).fillna(1)).fillna(0) - 1
             result_dict['benchmark_portfolio'] = benchmark_portfolios
             # 超额收益最长回撤持续期
-            ex_returns = total_portfolios.unit_net_value - benchmark_portfolios.unit_net_value
+            ex_returns = total_portfolios.unit_net_value / benchmark_portfolios.unit_net_value - 1
             max_ddd = _max_ddd(ex_returns + 1, total_portfolios.index)
             result_dict["summary"]["excess_max_drawdown_duration"] = max_ddd
             result_dict["summary"]["excess_max_drawdown_duration_start_date"] = str(max_ddd.start_date)
@@ -435,7 +432,7 @@ def tear_down(self, code, exception=None):
             "weekly_sharpe": weekly_risk.sharpe,
             "weekly_sortino": weekly_risk.sortino,
             "weekly_information_ratio": weekly_risk.information_ratio,
-            "weekly_tracking_error": weekly_risk.tracking_error,
+            "weekly_tracking_error": weekly_risk.annual_tracking_error,
             "weekly_max_drawdown": weekly_risk.max_drawdown,
             "weekly_win_rate": weekly_risk.win_rate,
             "weekly_volatility": weekly_risk.annual_volatility,

rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py

@@ -83,6 +83,10 @@ def __init__(self, p_nav, b_nav):
     WEEKLY_INDICATORS = []
     EXCESS_INDICATORS = []
 
+    @property
+    def geometric_excess_returns(self):
+        return self.p_nav / self.b_nav - 1
+
 
 class DefaultPlot(PlotTemplate):
     """ 基础 """
@@ -137,10 +141,6 @@ class DefaultPlot(PlotTemplate):
         IndicatorInfo("weekly_excess_ulcer_performance_index", _("WeeklyExcessUlcerPerformanceIndex"), BLACK, "{0:.4}", 11, 1.4),
     ]]
 
-    @property
-    def excess_returns(self):
-        return self.p_nav - self.b_nav
-
 
 class RiceQuant(PlotTemplate):
     # 指标的宽高
@@ -184,12 +184,6 @@ class RiceQuant(PlotTemplate):
 
     WEEKLY_INDICATORS = []
 
-    @property
-    def excess_returns(self):
-        p_return = (self.p_nav / self.p_nav.shift(1).fillna(1)).fillna(0) - 1
-        b_return = (self.b_nav / self.b_nav.shift(1).fillna(1)).fillna(0) - 1
-        return ((p_return - b_return) + 1).cumprod() - 1
-
 
 PLOT_TEMPLATE: dict = {
     "default": DefaultPlot,

rqalpha/mod/rqalpha_mod_sys_analyser/plot/plot.py

@@ -99,8 +99,8 @@ def _plot_spots_on_returns(self, ax, positions: Sequence[int], info: SpotInfo):
     def plot(self, ax: Axes):
         ax.get_xaxis().set_minor_locator(ticker.AutoMinorLocator())
         ax.get_yaxis().set_minor_locator(ticker.AutoMinorLocator())
-        ax.grid(b=True, which='minor', linewidth=.2)
-        ax.grid(b=True, which='major', linewidth=1)
+        ax.grid(visible=True, which='minor', linewidth=.2)
+        ax.grid(visible=True, which='major', linewidth=1)
         ax.patch.set_alpha(0.6)
 
         # plot lines
@@ -176,7 +176,7 @@ def plot_result(
     if "benchmark_portfolio" in result_dict:
         benchmark_portfolio = result_dict["benchmark_portfolio"]
         plot_template = plot_template_cls(portfolio.unit_net_value, benchmark_portfolio.unit_net_value)
-        ex_returns = plot_template.excess_returns
+        ex_returns = plot_template.geometric_excess_returns
         ex_max_dd_ddd = "MaxDD {}\nMaxDDD {}".format(
             _max_dd(ex_returns + 1, portfolio.index).repr, _max_ddd(ex_returns + 1, portfolio.index).repr
         )

rqalpha/mod/rqalpha_mod_sys_analyser/report/excel_template.py

@@ -81,7 +81,7 @@ class SummaryTemplate(ExcelTemplate):
         "概览": SingleCellSchema,
         "年度指标": VerticalSeriesSchema,
         "月度收益": VerticalSeriesSchema,
-        "月度主动收益": VerticalSeriesSchema
+        "月度超额收益（几何）": VerticalSeriesSchema
     }
 
 

rqalpha/mod/rqalpha_mod_sys_analyser/report/report.py

@@ -37,8 +37,8 @@ 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", "active_returns", "active_max_drawdown",
-        "active_max_drawdown_days", "sharpe_ratio", "information_ratio", "tracking_error",
+        "year", "returns", "benchmark_returns", "geometric_excess_return", "geometric_excess_drawdown",
+        "geometric_excess_drawdown_days", "sharpe_ratio", "information_ratio", "annual_tracking_error",
         "weekly_excess_win_rate", "monthly_excess_win_rate"
     ]}
 
@@ -61,18 +61,18 @@ def _yearly_indicators(
             weekly_excess_win_rate = numpy.nan
             monthly_excess_win_rate = numpy.nan
             b_year_returns = Series(index=p_year_returns.index)
-        excess_returns = ((p_year_returns - b_year_returns) + 1).cumprod()
-        max_dd = _max_dd(excess_returns.values, excess_returns.index)
+        excess_nav = (p_year_returns + 1).cumprod() / (b_year_returns + 1).cumprod()
+        max_dd = _max_dd(excess_nav.values, excess_nav.index)
         risk = Risk(p_year_returns, b_year_returns, risk_free_rates[year])
         data["year"].append(year)
         data["returns"].append(risk.return_rate)
         data["benchmark_returns"].append(risk.benchmark_return)
-        data["active_returns"].append(risk.excess_return_rate)
-        data["active_max_drawdown"].append(risk.excess_max_drawdown)
-        data["active_max_drawdown_days"].append((max_dd.end_date - max_dd.start_date).days)
+        data["geometric_excess_return"].append(risk.geometric_excess_return)
+        data["geometric_excess_drawdown"].append(risk.geometric_excess_drawdown)
+        data["geometric_excess_drawdown_days"].append((max_dd.end_date - max_dd.start_date).days)
         data["sharpe_ratio"].append(risk.sharpe)
         data["information_ratio"].append(risk.information_ratio)
-        data["tracking_error"].append(risk.tracking_error)
+        data["annual_tracking_error"].append(risk.annual_tracking_error)
         data["weekly_excess_win_rate"].append(weekly_excess_win_rate)
         data["monthly_excess_win_rate"].append(monthly_excess_win_rate)
     return data
@@ -87,10 +87,17 @@ def _monthly_returns(p_returns: Series):
     return ChainMap({str(c): data[c] for c in data.columns}, {"year": data.index})
 
 
-def _monthly_active_returns(p_returns: Series, b_returns: Optional[Series]):
+def _monthly_geometric_excess_returns(p_returns: Series, b_returns: Optional[Series]):
     if b_returns is None:
         return {}
-    return _monthly_returns(p_returns - b_returns)
+    data = DataFrame(index=p_returns.index.year.unique(), columns=list(range(1, 13)))
+    for year, p_year_returns in p_returns.groupby(p_returns.index.year):
+        for month, p_month_returns in p_year_returns.groupby(p_year_returns.index.month):
+            b_month_returns = b_returns.loc[p_month_returns.index]
+            data.loc[year, month] = (p_month_returns + 1).prod() / (b_month_returns + 1).prod() - 1
+        b_year_returns = b_returns.loc[p_year_returns.index]
+        data.loc[year, "cum"] = (p_year_returns + 1).prod() / (b_year_returns + 1).prod() - 1
+    return ChainMap({str(c): data[c] for c in data.columns}, {"year": data.index})
 
 
 def generate_report(result_dict, output_path):
@@ -115,7 +122,7 @@ def generate_report(result_dict, output_path):
         "概览": summary,
         "年度指标": _yearly_indicators(p_nav, p_returns, b_nav, b_returns, result_dict["yearly_risk_free_rates"]),
         "月度收益": _monthly_returns(p_returns),
-        "月度主动收益": _monthly_active_returns(p_returns, b_returns)
+        "月度超额收益（几何）": _monthly_geometric_excess_returns(p_returns, b_returns)
     }, output_path)
 
     for name in ["portfolio", "stock_account", "future_account",

rqalpha/utils/concurrent.py

@@ -50,14 +50,16 @@ def __init__(self, max_workers=None, initializer=None, initargs=()):
     def _adjust_process_count(self):
         # noinspection PyUnresolvedReferences
         for _ in range(len(self._processes), self._max_workers):
-            # noinspection PyUnresolvedReferences
-            p = multiprocessing.Process(
-                target=_process_worker,
-                args=(self._call_queue, self._result_queue, self._progress_queue, self._initializer, self._initargs)
-            )
-            p.start()
-            # noinspection PyUnresolvedReferences
-            self._processes[p.pid] = p
+            self._spawn_process()
+
+    def _spawn_process(self):
+        p = multiprocessing.Process(
+            target=_process_worker,
+            args=(self._call_queue, self._result_queue, self._progress_queue, self._initializer, self._initargs)
+        )
+        p.start()
+        # noinspection PyUnresolvedReferences
+        self._processes[p.pid] = p
 
     def submit(self, fn, *args, **kwargs):
         if isinstance(fn, ProgressedTask):

rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.po

@@ -519,7 +519,7 @@ msgstr "周度累计回撤夏普率"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:87
 msgid "ExcessCumReturns"
-msgstr "超额累计收益"
+msgstr "超额收益率（算术）"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:88
 msgid "WinRate"
@@ -575,11 +575,11 @@ msgstr "月度波动率"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:105
 msgid "ExcessReturns"
-msgstr "超额收益率"
+msgstr "超额收益率（几何）"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:106
 msgid "ExcessAnnual"
-msgstr "年化超额收益率"
+msgstr "年化超额收益率（几何）"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:107
 msgid "ExcessSharpe"
@@ -591,7 +591,7 @@ msgstr "超额收益波动率"
 
 #: rqalpha/mod/rqalpha_mod_sys_analyser/plot/consts.py:109
 msgid "ExcessMaxDD"
-msgstr "超额收益最大回撤"
+msgstr "超额收益最大回撤（几何）"
 
 msgid "ExcessWinRate"
 msgstr "超额胜率"

setup.cfg

@@ -5,7 +5,7 @@
 
 [metadata]
 name = rqalpha
-version = 4.14.1
+version = 4.15.0
 
 [versioneer]
 VCS = git

setup.py

@@ -27,9 +27,9 @@
     'simplejson',
     'PyYAML',
     'tabulate',
-    'rqrisk >=1.0.5',
+    'rqrisk >=1.0.6',
     'h5py',
-    'matplotlib >=2.2.0',
+    'matplotlib >=3.1.0',
     "openpyxl",
     "methodtools"
 ]