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@@ -3,6 +3,7 @@ module fundit::indicatorCalculator
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use fundit::dataPuller
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use fundit::dataPuller
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use fundit::returnCalculator
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use fundit::returnCalculator
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use fundit::navCalculator
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use fundit::navCalculator
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+
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/*
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/*
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* Annulized multiple
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* Annulized multiple
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*/
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*/
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@@ -61,33 +62,35 @@ def get_benchmark_return(benchmarks, end_day) {
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return t_bmk;
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return t_bmk;
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}
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}
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/*
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/*
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- * Trailing Return, Standard Deviation, Skewness, Kurtosis, Max Drawdown, VaR, CVaR
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+ * Trailing Return, Standard Deviation, Skewness, Kurtosis, Max Drawdown, VaR, CVaR, Calmar Ratio
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* @param ret: 收益表,需要有 entity_id, price_dat, end_date, nav
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* @param ret: 收益表,需要有 entity_id, price_dat, end_date, nav
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* @param freq: 数据频率,d, w, m, q, s, a
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* @param freq: 数据频率,d, w, m, q, s, a
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*
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*
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+ * TODO: max drowdown is off!
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* NOTE: standard deviation of Java version is noncompliant-GIPS annulized number
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* NOTE: standard deviation of Java version is noncompliant-GIPS annulized number
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*
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*
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* Create: 20240904 Joey
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* Create: 20240904 Joey
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* TODO: var and cvar are silightly off compared with Java version
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* TODO: var and cvar are silightly off compared with Java version
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+ * calmar is offCalmar
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*
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*
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*/
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*/
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def cal_basic_performance(ret, freq) {
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def cal_basic_performance(ret, freq) {
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- t = SELECT entity_id, max(end_date) AS end_date, max(price_date) AS price_date, min(price_date) AS min_date,
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- //(nav.last() \ nav.first() - 1).round(6) AS trailing_ret,
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+/* OLD version that can only calculate the latest numbers (group-by version)
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+
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+ t = SELECT entity_id, end_date.max() AS end_date, max(price_date) AS price_date, min(price_date) AS min_date,
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((1+ret).prod()-1).round(6) AS trailing_ret,
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((1+ret).prod()-1).round(6) AS trailing_ret,
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iif(price_date.max().month()-price_date.min().month()>12,
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iif(price_date.max().month()-price_date.min().month()>12,
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- //(nav.last() \ nav.first()).pow(365 \(max(price_date) - min(price_date)))-1,
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- //(nav.last() \ nav.first() - 1)).round(6) AS trailing_ret_a,
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- ((1+ret).prod()-1) * sqrt(get_annulization_multiple(freq)),
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+ ((1+ret).prod()).pow(get_annulization_multiple('m')\(end_date.max()-end_date.min()))-1,
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((1+ret).prod()-1)).round(6) AS trailing_ret_a,
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((1+ret).prod()-1)).round(6) AS trailing_ret_a,
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ret.std() AS std_dev,
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ret.std() AS std_dev,
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ret.skew(false) AS skewness,
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ret.skew(false) AS skewness,
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ret.kurtosis(false) - 3 AS kurtosis,
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ret.kurtosis(false) - 3 AS kurtosis,
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- ret.min() AS wrst_month,
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+ ret.min() AS wrst_month
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max( 1 - nav \ nav.cummax() ) AS drawdown
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max( 1 - nav \ nav.cummax() ) AS drawdown
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FROM ret
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FROM ret
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GROUP BY entity_id;
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GROUP BY entity_id;
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+
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// var & cvar require return NOT NULL
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// var & cvar require return NOT NULL
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// NOTE: DolphinDB supports 4 different ways: normal, logNormal, historical, monteCarlo. we use historical
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// NOTE: DolphinDB supports 4 different ways: normal, logNormal, historical, monteCarlo. we use historical
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@@ -100,6 +103,43 @@ def cal_basic_performance(ret, freq) {
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return (SELECT * FROM t LEFT JOIN t1 ON t.entity_id = t1.entity_id AND t.end_date = t1.end_date AND t.price_date = t1.price_date);
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return (SELECT * FROM t LEFT JOIN t1 ON t.entity_id = t1.entity_id AND t.end_date = t1.end_date AND t.price_date = t1.price_date);
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+*/
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+
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+ t = SELECT max(price_date) AS price_date, min(price_date) AS min_date,
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+ ((1+ret).prod()-1).round(6) AS trailing_ret,
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+ iif(price_date.max().month()-price_date.min().month()>12,
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+ ((1+ret).prod()).pow(get_annulization_multiple('m')\(end_date.max()-end_date.min()))-1,
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+ ((1+ret).prod()-1)).round(6) AS trailing_ret_a,
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+ ret.std() AS std_dev,
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+ ret.skew(false) AS skewness,
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+ ret.kurtosis(false) - 3 AS kurtosis,
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+ ret.min() AS wrst_month
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+ FROM ret
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+ GROUP BY entity_id
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+ CGROUP BY end_date
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+ ORDER BY end_date;
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+
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+ // because neither VaR and CVaR in context-by (cumXXX version) are NOT supported by DolphinDB , nor they are supported in cgroup-by
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+ // we have to implement them using more basic ways:
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+ t1 = SELECT entity_id, end_date, ret,
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+ cummax( 1 - nav \ nav.cummax() ) AS drawdown, // same story: cummax is not supported by cgroup-by, so it is moved here
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+ -ret.cumpercentile(5, 'linear') AS var
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+ FROM ret
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+ CONTEXT BY entity_id;
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+
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+ // CVaR = mean of all returns below VaR
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+ t_cvar = SELECT DISTINCT entity_id, end_date, drawdown, var, cvar
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+ FROM (
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+ SELECT t1.entity_id, t1.end_date, t1.drawdown, t1.var, -avg(t2.ret) AS cvar
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+ FROM t1
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+ INNER JOIN t1 AS t2 ON t1.entity_id = t2.entity_id
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+ WHERE t2.end_date <= t1.end_date
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+ AND t2.ret < -t1.var
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+ CONTEXT BY t1.entity_id, t1.end_date );
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+
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+ return (SELECT *, iif(t_cvar.drawdown == 0, null, t.trailing_ret_a\t_cvar.drawdown) AS calmar
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+ FROM t LEFT JOIN t_cvar ON t.entity_id = t_cvar.entity_id AND t.end_date = t_cvar.end_date ORDER BY entity_id, end_date);
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+
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}
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}
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@@ -112,14 +152,13 @@ def cal_LPM(ret, risk_free) {
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t = SELECT *, count(entity_id) AS cnt FROM ret WHERE ret > -1 CONTEXT BY entity_id;
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t = SELECT *, count(entity_id) AS cnt FROM ret WHERE ret > -1 CONTEXT BY entity_id;
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- lpm = SELECT t.entity_id, max(t.end_date) AS end_date,
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- (sum (rfr.ret - t.ret) \ (t.cnt[0])).pow(1\1) AS lpm1,
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- (sum2(rfr.ret - t.ret) \ (t.cnt[0])).pow(1\2) AS lpm2,
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- (sum3(rfr.ret - t.ret) \ (t.cnt[0])).pow(1\3) AS lpm3
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+ lpm = SELECT t.entity_id, t.end_date,
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+ (cumsum (iif(rfr.ret > t.ret, rfr.ret - t.ret, 0)) \ (t.cnt[0])).pow(1\1) AS lpm1,
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+ (cumsum2(iif(rfr.ret > t.ret, rfr.ret - t.ret, 0)) \ (t.cnt[0])).pow(1\2) AS lpm2,
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+ (cumsum3(iif(rfr.ret > t.ret, rfr.ret - t.ret, 0)) \ (t.cnt[0])).pow(1\3) AS lpm3
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FROM t
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FROM t
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INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
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INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
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- WHERE t.ret < rfr.ret
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- GROUP BY t.entity_id;
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+ CONTEXT BY t.entity_id;
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return lpm;
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return lpm;
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}
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}
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@@ -136,15 +175,15 @@ def cal_omega_sortino_kappa(ret, risk_free) {
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lpm = cal_LPM(ret, risk_free);
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lpm = cal_LPM(ret, risk_free);
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- tb = SELECT t.entity_id,
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- l.lpm2[0] AS ds_dev,
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- (t.ret - rfr.ret ).mean() \ l.lpm1[0] + 1 AS omega,
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- (t.ret - rfr.ret ).mean() \ l.lpm2[0] AS sortino,
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- (t.ret - rfr.ret ).mean() \ l.lpm3[0] AS kappa
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+ tb = SELECT t.entity_id, t.end_date,
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+ l.lpm2 AS ds_dev,
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+ (t.ret - rfr.ret ).cumavg() \ l.lpm1 + 1 AS omega,
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+ (t.ret - rfr.ret ).cumavg() \ l.lpm2 AS sortino,
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+ (t.ret - rfr.ret ).cumavg() \ l.lpm3 AS kappa
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FROM ret t
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FROM ret t
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- INNER JOIN lpm l ON t.entity_id = l.entity_id
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+ INNER JOIN lpm l ON t.entity_id = l.entity_id AND t.end_date = l.end_date
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INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
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INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
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- GROUP BY t.entity_id;
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+ CONTEXT BY t.entity_id;
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return tb;
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return tb;
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}
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}
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@@ -158,43 +197,49 @@ def cal_alpha_beta(ret, benchmarks, bmk_ret, risk_free) {
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t = SELECT t.entity_id, t.end_date, t.ret, bm.benchmark_id, bmk.ret AS ret_bmk
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t = SELECT t.entity_id, t.end_date, t.ret, bm.benchmark_id, bmk.ret AS ret_bmk
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FROM ret t
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FROM ret t
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- INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id
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+ INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id AND t.end_date = bm.end_date
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INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
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INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
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WHERE t.ret > -1
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WHERE t.ret > -1
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AND bmk.ret > -1;
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AND bmk.ret > -1;
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- beta = SELECT entity_id, benchmark_id, ret.beta(ret_bmk) AS beta FROM t GROUP BY entity_id, benchmark_id;
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+ beta = SELECT entity_id, end_date, benchmark_id, ret.cumbeta(ret_bmk) AS beta FROM t CONTEXT BY entity_id, benchmark_id;
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- alpha = SELECT t.entity_id, t.benchmark_id, beta.beta[0] AS beta, (t.ret - rfr.ret).mean() - beta.beta[0] * (t.ret_bmk - rfr.ret).mean() AS alpha
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+ alpha = SELECT t.entity_id, t.end_date, t.benchmark_id, beta.beta AS beta,
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+ (t.ret - rfr.ret).cumavg() - beta.beta * (t.ret_bmk - rfr.ret).cumavg() AS alpha
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FROM t
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FROM t
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- INNER JOIN beta beta ON t.entity_id = beta.entity_id AND t.benchmark_id = beta.benchmark_id
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+ INNER JOIN beta beta ON t.entity_id = beta.entity_id AND t.benchmark_id = beta.benchmark_id AND t.end_date = beta.end_date
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INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
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INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
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- GROUP BY t.entity_id, t.benchmark_id;
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+ CONTEXT BY t.entity_id, t.benchmark_id
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+ ORDER BY t.entity_id, t.end_date, t.benchmark_id;
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return alpha;
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return alpha;
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}
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}
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/*
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/*
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* Winning Ratio, Tracking Error, Information Ratio
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* Winning Ratio, Tracking Error, Information Ratio
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+ *
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+ * DO WE FOUND A BIG BUG OF JAVA IMPLEMENTATION, WHICH ASSUMES FACTORS OF CURRENT MONTH ARE SAME AS HISTORICAL ONES!
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+ *
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* TODO: Information Ratio is way off!
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* TODO: Information Ratio is way off!
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* Not sure how to describe a giant number("inf"), for now 999 is used
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* Not sure how to describe a giant number("inf"), for now 999 is used
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*/
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*/
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def cal_benchmark_tracking(ret, benchmarks, bmk_ret) {
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def cal_benchmark_tracking(ret, benchmarks, bmk_ret) {
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t0 = SELECT t.entity_id, t.end_date, t.price_date,
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t0 = SELECT t.entity_id, t.end_date, t.price_date,
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- t.ret, bmk.ret AS ret_bmk, count(t.entity_id) AS cnt, (t.ret - bmk.ret) AS exc_ret, bm.benchmark_id
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+ t.ret, bmk.ret AS ret_bmk, cumcount(t.entity_id) AS cnt, (t.ret - bmk.ret) AS exc_ret, bm.benchmark_id
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FROM ret t
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FROM ret t
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- INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id
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+ INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id AND t.end_date = bm.end_date
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INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
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INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
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WHERE t.ret > -1
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WHERE t.ret > -1
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AND bmk.ret > -1
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AND bmk.ret > -1
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CONTEXT BY t.entity_id, bm.benchmark_id;
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CONTEXT BY t.entity_id, bm.benchmark_id;
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- t = SELECT entity_id, end_date.max() AS end_date, price_date.max() AS price_date, price_date.min() AS min_date, benchmark_id,
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- exc_ret.bucketCount(0:999, 1) \ cnt[0] AS winrate,
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- exc_ret.std() AS track_error,
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- iif(exc_ret.std() == 0, null, exc_ret.mean() / exc_ret.std()) AS info
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- FROM t0 GROUP BY entity_id, benchmark_id;
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+ t = SELECT entity_id, end_date.cummax() AS end_date, price_date.cummax() AS price_date, price_date.cummin() AS min_date, benchmark_id,
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+ cumcount(iif(exc_ret >= 0, 1, null)) \ cnt AS winrate,
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+ exc_ret.cumstd() AS track_error,
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+ iif(exc_ret.cumstd() == 0, null, exc_ret.cumavg() / exc_ret.cumstd()) AS info
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+ FROM t0 CONTEXT BY entity_id, benchmark_id
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+ ORDER BY entity_id, end_date, benchmark_id;
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return t;
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return t;
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}
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}
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@@ -205,29 +250,32 @@ def cal_benchmark_tracking(ret, benchmarks, bmk_ret) {
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*/
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*/
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def cal_capture_ratio(ret, benchmarks, bmk_ret) {
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def cal_capture_ratio(ret, benchmarks, bmk_ret) {
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- t1 = SELECT t.entity_id, (1+t.ret).prod() AS upside_ret, (1+bmk.ret).prod() AS bmk_upside_ret, bmk.end_date.count() AS bmk_upside_cnt, bm.benchmark_id
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+ t1 = SELECT t.entity_id, t.end_date, (1+t.ret).cumprod() AS upside_ret, (1+bmk.ret).cumprod() AS bmk_upside_ret, bmk.end_date.cumcount() AS bmk_upside_cnt, bm.benchmark_id
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FROM ret t
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FROM ret t
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- INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
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+ INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id AND t.end_date = bm.end_date
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+ INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id AND t.end_date = bmk.end_date
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WHERE t.ret > -1
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WHERE t.ret > -1
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AND bmk.ret >= 0
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AND bmk.ret >= 0
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- GROUP BY t.entity_id, bm.benchmark_id;
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+ CONTEXT BY t.entity_id, bm.benchmark_id;
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- t2 = SELECT t.entity_id, (1+t.ret).prod() AS downside_ret, (1+bmk.ret).prod() AS bmk_downside_ret, bmk.end_date.count() AS bmk_downside_cnt, bm.benchmark_id
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+ t2 = SELECT t.entity_id, t.end_date, (1+t.ret).cumprod() AS downside_ret, (1+bmk.ret).cumprod() AS bmk_downside_ret, bmk.end_date.cumcount() AS bmk_downside_cnt, bm.benchmark_id
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FROM ret t
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FROM ret t
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- INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id
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- INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
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+ INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id AND t.end_date = bm.end_date
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+ INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id AND t.end_date = bmk.end_date
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WHERE t.ret > -1
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WHERE t.ret > -1
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AND bmk.ret < 0
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AND bmk.ret < 0
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- GROUP BY t.entity_id, bm.benchmark_id;
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-
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- t = SELECT iif(isNull(t1.entity_id), t2.entity_id, t1.entity_id) AS entity_id,
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- iif(isNull(t1.benchmark_id), t2.benchmark_id, t1.benchmark_id) AS benchmark_id,
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- t1.upside_ret.pow(1 \ t1.bmk_upside_cnt)-1 AS upside_capture_ret,
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- (t1.upside_ret.pow(1 \ t1.bmk_upside_cnt)-1)/(t1.bmk_upside_ret.pow(1 \ t1.bmk_upside_cnt)-1) AS upside_capture_ratio,
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|
|
- t2.downside_ret.pow(1 \ t2.bmk_downside_cnt)-1 AS downside_capture_ret,
|
|
|
|
- (t2.downside_ret.pow(1 \ t2.bmk_downside_cnt)-1)/(t2.bmk_downside_ret.pow(1 \ t2.bmk_downside_cnt)-1) AS downside_capture_ratio
|
|
|
|
- FROM t1 FULL JOIN t2 ON t1.entity_id = t2.entity_id AND t1.benchmark_id = t2.benchmark_id;
|
|
|
|
|
|
+ CONTEXT BY t.entity_id, bm.benchmark_id;
|
|
|
|
+
|
|
|
|
+ t = (SELECT * FROM (
|
|
|
|
+ SELECT iif(isNull(t1.entity_id), t2.entity_id, t1.entity_id) AS entity_id,
|
|
|
|
+ iif(isNull(t1.end_date), t2.end_date, t1.end_date) AS end_date,
|
|
|
|
+ iif(isNull(t1.benchmark_id), t2.benchmark_id, t1.benchmark_id) AS benchmark_id,
|
|
|
|
+ t1.upside_ret.pow(1 \ t1.bmk_upside_cnt)-1 AS upside_capture_ret,
|
|
|
|
+ (t1.upside_ret.pow(1 \ t1.bmk_upside_cnt)-1)/(t1.bmk_upside_ret.pow(1 \ t1.bmk_upside_cnt)-1) AS upside_capture_ratio,
|
|
|
|
+ t2.downside_ret.pow(1 \ t2.bmk_downside_cnt)-1 AS downside_capture_ret,
|
|
|
|
+ (t2.downside_ret.pow(1 \ t2.bmk_downside_cnt)-1)/(t2.bmk_downside_ret.pow(1 \ t2.bmk_downside_cnt)-1) AS downside_capture_ratio
|
|
|
|
+ FROM t1 FULL JOIN t2 ON t1.entity_id = t2.entity_id AND t1.benchmark_id = t2.benchmark_id AND t1.end_date = t2.end_date)
|
|
|
|
+ ORDER BY entity_id, benchmark_id, end_date).ffill();
|
|
|
|
|
|
return t;
|
|
return t;
|
|
}
|
|
}
|
|
@@ -238,12 +286,12 @@ def cal_capture_ratio(ret, benchmarks, bmk_ret) {
|
|
*/
|
|
*/
|
|
def cal_sharpe(ret, std_dev, risk_free) {
|
|
def cal_sharpe(ret, std_dev, risk_free) {
|
|
|
|
|
|
- sharpe = SELECT t.entity_id, (t.ret - rfr.ret).mean() / std.std_dev[0] AS sharpe
|
|
|
|
|
|
+ sharpe = SELECT t.entity_id, t.end_date, (t.ret - rfr.ret).cumavg() / std.std_dev AS sharpe
|
|
FROM ret t
|
|
FROM ret t
|
|
- INNER JOIN std_dev std ON t.entity_id = std.entity_id
|
|
|
|
|
|
+ INNER JOIN std_dev std ON t.entity_id = std.entity_id AND t.end_date = std.end_date
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
- WHERE std.std_dev[0] <> 0
|
|
|
|
- GROUP BY t.entity_id;
|
|
|
|
|
|
+ WHERE std.std_dev <> 0
|
|
|
|
+ CONTEXT BY t.entity_id;
|
|
|
|
|
|
return sharpe;
|
|
return sharpe;
|
|
}
|
|
}
|
|
@@ -253,18 +301,19 @@ def cal_sharpe(ret, std_dev, risk_free) {
|
|
*/
|
|
*/
|
|
def cal_treynor(ret, risk_free, beta) {
|
|
def cal_treynor(ret, risk_free, beta) {
|
|
|
|
|
|
- t = SELECT *, count(entity_id) AS cnt
|
|
|
|
- FROM ret t
|
|
|
|
- INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
|
|
- WHERE t.ret > -1
|
|
|
|
- AND rfr.ret > -1
|
|
|
|
- CONTEXT BY t.entity_id;
|
|
|
|
|
|
+ t = SELECT *, cumcount(entity_id) AS cnt
|
|
|
|
+ FROM ret t
|
|
|
|
+ INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
|
|
+ WHERE t.ret > -1
|
|
|
|
+ AND rfr.ret > -1
|
|
|
|
+ CONTEXT BY t.entity_id;
|
|
|
|
|
|
- treynor = SELECT t.entity_id, beta.benchmark_id,
|
|
|
|
- ((1 + t.ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0])) - (1 + t.rfr_ret).prod().pow(12\iif(t.cnt[0]<12, 12, t.cnt[0]))) / beta.beta[0] AS treynor
|
|
|
|
|
|
+ treynor = SELECT t.entity_id, t.end_date, beta.benchmark_id,
|
|
|
|
+ ((1 + t.ret).cumprod().pow(12\iif(t.cnt<12, 12, t.cnt)) - (1 + t.rfr_ret).cumprod().pow(12\iif(t.cnt<12, 12, t.cnt))) / beta.beta AS treynor
|
|
FROM t
|
|
FROM t
|
|
- INNER JOIN beta AS beta ON t.entity_id = beta.entity_id
|
|
|
|
- GROUP BY t.entity_id, beta.benchmark_id;
|
|
|
|
|
|
+ INNER JOIN beta AS beta ON t.entity_id = beta.entity_id AND t.end_date = beta.end_date
|
|
|
|
+ CONTEXT BY t.entity_id, beta.benchmark_id;
|
|
|
|
+
|
|
|
|
|
|
return treynor;
|
|
return treynor;
|
|
}
|
|
}
|
|
@@ -275,27 +324,14 @@ def cal_treynor(ret, risk_free, beta) {
|
|
*/
|
|
*/
|
|
def cal_jensen(ret, bmk_ret, risk_free, beta) {
|
|
def cal_jensen(ret, bmk_ret, risk_free, beta) {
|
|
|
|
|
|
- jensen = SELECT t.entity_id, t.ret.mean() - rfr.ret.mean() - beta.beta[0] * (bmk.ret.mean() - rfr.ret.mean()) AS jensen, beta.benchmark_id
|
|
|
|
|
|
+ jensen = SELECT t.entity_id, t.end_date, t.ret.cumavg() - rfr.ret.cumavg() - beta.beta * (bmk.ret.cumavg() - rfr.ret.cumavg()) AS jensen, beta.benchmark_id
|
|
FROM ret t
|
|
FROM ret t
|
|
- INNER JOIN beta beta ON t.entity_id = beta.entity_id
|
|
|
|
|
|
+ INNER JOIN beta beta ON t.entity_id = beta.entity_id AND t.end_date = beta.end_date
|
|
INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND beta.benchmark_id = bmk.benchmark_id
|
|
INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND beta.benchmark_id = bmk.benchmark_id
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
- GROUP BY t.entity_id, beta.benchmark_id;
|
|
|
|
-
|
|
|
|
- return jensen;
|
|
|
|
-}
|
|
|
|
-
|
|
|
|
-/*
|
|
|
|
- * Calmar Ratio
|
|
|
|
- * TODO: the result is off
|
|
|
|
- *
|
|
|
|
- */
|
|
|
|
-def cal_calmar(ret_a){
|
|
|
|
|
|
+ CONTEXT BY t.entity_id, beta.benchmark_id;
|
|
|
|
|
|
- calmar = SELECT entity_id, trailing_ret_a \ drawdown AS calmar
|
|
|
|
- FROM ret_a;
|
|
|
|
-
|
|
|
|
- return calmar;
|
|
|
|
|
|
+ return jensen;
|
|
}
|
|
}
|
|
|
|
|
|
/*
|
|
/*
|
|
@@ -305,12 +341,12 @@ def cal_calmar(ret_a){
|
|
*/
|
|
*/
|
|
def cal_m2(ret, benchmarks, bmk_ret, risk_free) {
|
|
def cal_m2(ret, benchmarks, bmk_ret, risk_free) {
|
|
|
|
|
|
- m2 = SELECT t.entity_id, (t.ret - rfr.ret).mean() / t.ret.std() * bmk.ret.std() + rfr.ret.mean() AS m2, bm.benchmark_id
|
|
|
|
|
|
+ m2 = SELECT t.entity_id, t.end_date, (t.ret - rfr.ret).cumavg() / t.ret.cumstd() * bmk.ret.cumstd() + rfr.ret.cumavg() AS m2, bm.benchmark_id
|
|
FROM ret t
|
|
FROM ret t
|
|
- INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id
|
|
|
|
|
|
+ INNER JOIN benchmarks bm ON t.entity_id = bm.entity_id AND t.end_date = bm.end_date
|
|
INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
|
|
INNER JOIN bmk_ret bmk ON t.end_date = bmk.end_date AND bm.benchmark_id = bmk.benchmark_id
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
- GROUP BY t.entity_id, bm.benchmark_id;
|
|
|
|
|
|
+ CONTEXT BY t.entity_id, bm.benchmark_id;
|
|
|
|
|
|
return m2;
|
|
return m2;
|
|
}
|
|
}
|
|
@@ -320,6 +356,7 @@ def cal_m2(ret, benchmarks, bmk_ret, risk_free) {
|
|
*
|
|
*
|
|
* TODO: Tax and loads are NOT taken care of
|
|
* TODO: Tax and loads are NOT taken care of
|
|
* TODO: Assume Chinese methodology using 3, 5, 10 as number of traling years
|
|
* TODO: Assume Chinese methodology using 3, 5, 10 as number of traling years
|
|
|
|
+ * TODO: need verify with reliable results
|
|
*
|
|
*
|
|
* NOTE: Morningstar methodology requires monthly return for calculation, so that "12" is hard-coded here
|
|
* NOTE: Morningstar methodology requires monthly return for calculation, so that "12" is hard-coded here
|
|
*
|
|
*
|
|
@@ -327,12 +364,12 @@ def cal_m2(ret, benchmarks, bmk_ret, risk_free) {
|
|
*/
|
|
*/
|
|
def cal_ms_return(ret, risk_free) {
|
|
def cal_ms_return(ret, risk_free) {
|
|
|
|
|
|
- r = SELECT t.entity_id, t.end_date.max() AS end_date, t.price_date.max() AS price_date, t.price_date.min() AS min_date,
|
|
|
|
- ((1 + t.ret)\(1 + rfr.ret)).prod().pow(12\(t.end_date.max() - t.end_date.min()))-1 AS ms_ret_a,
|
|
|
|
- (1 + t.ret).pow(-2).mean().pow(-12/2)-1 AS ms_rar_a
|
|
|
|
|
|
+ r = SELECT t.entity_id, t.end_date, t.price_date.cummax() AS price_date, t.price_date.cummin() AS min_date,
|
|
|
|
+ ((1 + t.ret)\(1 + rfr.ret)).cumprod().pow(12\(t.end_date.cummax() - t.end_date.cummin()))-1 AS ms_ret_a,
|
|
|
|
+ (1 + t.ret).pow(-2).cumavg().pow(-12/2)-1 AS ms_rar_a
|
|
FROM ret t
|
|
FROM ret t
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
INNER JOIN risk_free rfr ON t.end_date = rfr.end_date
|
|
- GROUP BY t.entity_id;
|
|
|
|
|
|
+ CONTEXT BY t.entity_id;
|
|
|
|
|
|
return r;
|
|
return r;
|
|
}
|
|
}
|
|
@@ -375,11 +412,11 @@ def cal_indicators_with_benchmark(mutable ret, benchmarks, index_ret, risk_free)
|
|
capture_r = cal_capture_ratio(ret, benchmarks, index_ret);
|
|
capture_r = cal_capture_ratio(ret, benchmarks, index_ret);
|
|
|
|
|
|
r = SELECT * FROM bmk_tracking a1
|
|
r = SELECT * FROM bmk_tracking a1
|
|
- LEFT JOIN alpha_beta ON a1.entity_id = alpha_beta.entity_id AND a1.benchmark_id = alpha_beta.benchmark_id
|
|
|
|
- LEFT JOIN treynor ON a1.entity_id = treynor.entity_id AND a1.benchmark_id = treynor.benchmark_id
|
|
|
|
- LEFT JOIN jensen ON a1.entity_id = jensen.entity_id AND a1.benchmark_id = jensen.benchmark_id
|
|
|
|
- LEFT JOIN m2 ON a1.entity_id = m2.entity_id AND a1.benchmark_id = m2.benchmark_id
|
|
|
|
- LEFT JOIN capture_r ON a1.entity_id = capture_r.entity_id AND a1.benchmark_id = capture_r.benchmark_id;
|
|
|
|
|
|
+ LEFT JOIN alpha_beta ON a1.entity_id = alpha_beta.entity_id AND a1.benchmark_id = alpha_beta.benchmark_id AND a1.end_date = alpha_beta.end_date
|
|
|
|
+ LEFT JOIN treynor ON a1.entity_id = treynor.entity_id AND a1.benchmark_id = treynor.benchmark_id AND a1.end_date = treynor.end_date
|
|
|
|
+ LEFT JOIN jensen ON a1.entity_id = jensen.entity_id AND a1.benchmark_id = jensen.benchmark_id AND a1.end_date = jensen.end_date
|
|
|
|
+ LEFT JOIN m2 ON a1.entity_id = m2.entity_id AND a1.benchmark_id = m2.benchmark_id AND a1.end_date = m2.end_date
|
|
|
|
+ LEFT JOIN capture_r ON a1.entity_id = capture_r.entity_id AND a1.benchmark_id = capture_r.benchmark_id AND a1.end_date = capture_r.end_date;
|
|
|
|
|
|
// 年化各数据点
|
|
// 年化各数据点
|
|
// GIPS RULE: NO annulization for data less than 1 year
|
|
// GIPS RULE: NO annulization for data less than 1 year
|
|
@@ -396,7 +433,7 @@ def cal_indicators_with_benchmark(mutable ret, benchmarks, index_ret, risk_free)
|
|
info_a = info * iif(price_date.month() - min_date.month() >= 11, sqrtAnnu, 1),
|
|
info_a = info * iif(price_date.month() - min_date.month() >= 11, sqrtAnnu, 1),
|
|
m2_a = m2 * iif(price_date.month() - min_date.month() >= 11, plainAnnu, 1);
|
|
m2_a = m2 * iif(price_date.month() - min_date.month() >= 11, plainAnnu, 1);
|
|
|
|
|
|
- return r.dropColumns!(['end_date', 'price_date', 'min_date']);
|
|
|
|
|
|
+ return r.dropColumns!(['price_date', 'min_date']);
|
|
}
|
|
}
|
|
|
|
|
|
/*
|
|
/*
|
|
@@ -418,15 +455,12 @@ def cal_indicators(mutable ret, benchmarks, benchmark_ret, risk_free) {
|
|
// sorting for correct first() and last() value
|
|
// sorting for correct first() and last() value
|
|
ret.sortBy!(['entity_id', 'price_date'], [1, 1]);
|
|
ret.sortBy!(['entity_id', 'price_date'], [1, 1]);
|
|
|
|
|
|
- // 收益、标准差、偏度、峰度、最大回撤、VaR, CVaR
|
|
|
|
|
|
+ // 收益、标准差、偏度、峰度、最大回撤、VaR, CVaR、卡玛比率
|
|
rtn = cal_basic_performance(ret, 'm');
|
|
rtn = cal_basic_performance(ret, 'm');
|
|
|
|
|
|
// 夏普
|
|
// 夏普
|
|
sharpe = cal_sharpe(ret, rtn, risk_free);
|
|
sharpe = cal_sharpe(ret, rtn, risk_free);
|
|
|
|
|
|
- // 卡玛比率
|
|
|
|
- calmar = cal_calmar(rtn);
|
|
|
|
-
|
|
|
|
// 整合后的下行标准差、欧米伽、索提诺、卡帕
|
|
// 整合后的下行标准差、欧米伽、索提诺、卡帕
|
|
lpms = cal_omega_sortino_kappa(ret, risk_free);
|
|
lpms = cal_omega_sortino_kappa(ret, risk_free);
|
|
|
|
|
|
@@ -434,10 +468,9 @@ def cal_indicators(mutable ret, benchmarks, benchmark_ret, risk_free) {
|
|
indicator_with_benchmark = cal_indicators_with_benchmark(ret, benchmarks, benchmark_ret, risk_free);
|
|
indicator_with_benchmark = cal_indicators_with_benchmark(ret, benchmarks, benchmark_ret, risk_free);
|
|
|
|
|
|
r = SELECT * FROM rtn a1
|
|
r = SELECT * FROM rtn a1
|
|
- LEFT JOIN sharpe ON a1.entity_id = sharpe.entity_id
|
|
|
|
- LEFT JOIN calmar ON a1.entity_id = calmar.entity_id
|
|
|
|
- LEFT JOIN lpms ON a1.entity_id = lpms.entity_id
|
|
|
|
- LEFT JOIN indicator_with_benchmark ON a1.entity_id = indicator_with_benchmark.entity_id;
|
|
|
|
|
|
+ LEFT JOIN sharpe ON a1.entity_id = sharpe.entity_id AND a1.end_date = sharpe.end_date
|
|
|
|
+ LEFT JOIN lpms ON a1.entity_id = lpms.entity_id AND a1.end_date = lpms.end_date
|
|
|
|
+ LEFT JOIN indicator_with_benchmark bmk ON a1.entity_id = bmk.entity_id AND a1.end_date = bmk.end_date;
|
|
|
|
|
|
// 年化各数据点
|
|
// 年化各数据点
|
|
// GIPS RULE: NO annulization for data less than 1 year
|
|
// GIPS RULE: NO annulization for data less than 1 year
|
|
@@ -650,6 +683,8 @@ def cal_fund_indicators(entity_type, fund_ids, end_day, isFromNav) {
|
|
|
|
|
|
very_old_date = 1990.01.01;
|
|
very_old_date = 1990.01.01;
|
|
|
|
|
|
|
|
+ start_month = 1990.01M;
|
|
|
|
+
|
|
fund_info = get_fund_info(fund_ids);
|
|
fund_info = get_fund_info(fund_ids);
|
|
|
|
|
|
if(fund_info.isVoid() || fund_info.size() == 0) { return null };
|
|
if(fund_info.isVoid() || fund_info.size() == 0) { return null };
|
|
@@ -667,7 +702,8 @@ def cal_fund_indicators(entity_type, fund_ids, end_day, isFromNav) {
|
|
}
|
|
}
|
|
|
|
|
|
// 取基金和基准的对照表
|
|
// 取基金和基准的对照表
|
|
- primary_benchmark = SELECT entity_id, iif(benchmark_id.isNull(), 'IN00000008', benchmark_id) AS benchmark_id FROM fund_info;
|
|
|
|
|
|
+ primary_benchmark = SELECT fund_id AS entity_id, end_date, iif(benchmark_id.isNull(), 'IN00000008', benchmark_id) AS benchmark_id
|
|
|
|
+ FROM get_fund_primary_benchmark(fund_ids, start_month.temporalFormat('yyyy-MM'), end_day.month().temporalFormat('yyyy-MM')) ;
|
|
|
|
|
|
// 取所有出现的基准月收益
|
|
// 取所有出现的基准月收益
|
|
bmk_ret = get_benchmark_return(primary_benchmark, end_day);
|
|
bmk_ret = get_benchmark_return(primary_benchmark, end_day);
|
|
@@ -707,6 +743,8 @@ def cal_fund_bfi_indicators(entity_type, fund_ids, end_day, isFromNav) {
|
|
|
|
|
|
very_old_date = 1990.01.01;
|
|
very_old_date = 1990.01.01;
|
|
|
|
|
|
|
|
+ start_month = 1990.01M;
|
|
|
|
+
|
|
fund_info = get_fund_info(fund_ids);
|
|
fund_info = get_fund_info(fund_ids);
|
|
|
|
|
|
if(fund_info.isVoid() || fund_info.size() == 0) { return null };
|
|
if(fund_info.isVoid() || fund_info.size() == 0) { return null };
|
|
@@ -724,7 +762,8 @@ def cal_fund_bfi_indicators(entity_type, fund_ids, end_day, isFromNav) {
|
|
}
|
|
}
|
|
|
|
|
|
// 取基金和基准的对照表
|
|
// 取基金和基准的对照表
|
|
- bfi_benchmark = SELECT fund_id AS entity_id, factor_id AS benchmark_id FROM get_fund_bfi_factors(fund_ids, end_day.temporalFormat('yyyy-MM'));
|
|
|
|
|
|
+ bfi_benchmark = SELECT fund_id AS entity_id, end_date.temporalParse('yyyy-MM') AS end_date, factor_id AS benchmark_id
|
|
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+ FROM get_fund_bfi_factors(fund_ids, start_month.temporalFormat('yyyy-MM'), end_day.temporalFormat('yyyy-MM'));
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if(bfi_benchmark.isVoid() || bfi_benchmark.size() == 0) { return null; }
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if(bfi_benchmark.isVoid() || bfi_benchmark.size() == 0) { return null; }
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@@ -812,6 +851,8 @@ def cal_portfolio_bfi_indicators(portfolio_ids, end_day, cal_method, isFromNav)
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very_old_date = 1990.01.01;
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very_old_date = 1990.01.01;
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+ start_month = 1990.01M;
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+
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portfolio_info = get_portfolio_info(portfolio_ids);
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portfolio_info = get_portfolio_info(portfolio_ids);
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if(portfolio_info.isVoid() || portfolio_info.size() == 0) { return null };
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if(portfolio_info.isVoid() || portfolio_info.size() == 0) { return null };
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@@ -836,7 +877,8 @@ def cal_portfolio_bfi_indicators(portfolio_ids, end_day, cal_method, isFromNav)
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}
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}
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// 取组合和基准的对照表
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// 取组合和基准的对照表
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- bfi_benchmark = SELECT portfolio_id AS entity_id, factor_id AS benchmark_id FROM get_portfolio_bfi_factors(portfolio_ids, end_day.temporalFormat('yyyy-MM'));
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+ bfi_benchmark = SELECT portfolio_id AS entity_id, end_date, factor_id AS benchmark_id
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+ FROM get_portfolio_bfi_factors(portfolio_ids, start_month.temporalFormat('yyyy-MM'), end_day.temporalFormat('yyyy-MM'));
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if(bfi_benchmark.isVoid() || bfi_benchmark.size() == 0) { return null; }
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if(bfi_benchmark.isVoid() || bfi_benchmark.size() == 0) { return null; }
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