module fundit::dataSaver use fundit::sqlUtilities /* * 存数据表到mySQL或本地dolphindb，原数据表会被TRUNCATE * * save_table(tb_fund_performance, "raw_db.fund_performance", false) */ def save_table(tb, table_name, isToMySQL) { if(isToMySQL == true) { conn = connect_mysql('raw_db'); odbc::execute(conn, "TRUNCATE TABLE " + table_name + "_dolphin"); odbc::append(conn, tb, table_name + "_dolphin", false); conn.close(); } else { db = get_local_database("fundit", table_name.split(".")[0]); //local_table = loadTable(db, table_name.split(".")[1]); saveTable(db, tb, table_name.split(".")[1]); } } /* * 【临时】 用于将dolphin table 存到 mysql * */ def save_table2(tb, table_name, isCreateTable) { tb.addColumn(['creatorid', 'createtime', 'updaterid', 'updatetime'], [INT, DATETIME, INT, DATETIME]); conn = connect_mysql('raw_db'); odbc::append(conn, tb, table_name , isCreateTable, false); conn.close() } /* * 存私募基金净值到本地dolphindb * * save_hedge_fund_nav_to_local(tb_nav) */ def save_hedge_fund_nav_to_local(tb_nav) { save_table(tb_nav, "mfdb.nav", false) } /* * 将数据存到本地，之后传回MySQL并同步至正式表 * * */ def save_and_sync(table, source_table_name, target_table_name) { save_table(table, source_table_name, true); t_table_name = iif(target_table_name.isNothing(), source_table_name, target_table_name); s_query = "CALL raw_db.sp_sync_table_from_dolphin('" + source_table_name + "_dolphin', '" + t_table_name + "');" conn = connect_mysql('raw_db'); odbc::execute(conn, s_query); conn.close(); } /* * 建表 XXXX_nav */ def create_entity_nav(is_id_integer=false) { return table(1000:0, ['entity_id', 'price_date', 'cumulative_nav'], [iif(is_id_integer, INT, SYMBOL), DATE, DOUBLE]); } /* * 建公司/经理周净值表 XXXX_nav */ def create_mc_nav() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'year_week', 'price_date', 'cumulative_nav', 'ret_1w', 'fund_num'], [SYMBOL, INT, INT, STRING, DATE, DOUBLE, DOUBLE, INT]); } /* * 建公司/经理净值表 XXXX_fitted_curve */ def create_mc_fitted_curve() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'cumulative_nav', 'fund_num'], [SYMBOL, INT, INT, STRING, DOUBLE, INT]); } /* * 建公司/经理业绩表 xxx_performance * */ def create_mc_performance() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'price_date', 'cumulative_nav', 'ret_1m', 'ret_1m_a', 'ret_3m', 'ret_3m_a', 'ret_6m', 'ret_6m_a', 'ret_1y', 'ret_1y_a', 'ret_2y', 'ret_2y_a', 'ret_3y', 'ret_3y_a', 'ret_4y', 'ret_4y_a', 'ret_5y', 'ret_5y_a', 'ret_10y', 'ret_10y_a', 'ret_ytd', 'ret_ytd_a', 'ret_incep', 'ret_incep_a'], [SYMBOL, INT, INT, MONTH, DATE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 XXXX_performance */ def create_entity_performance(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'price_date', 'cumulative_nav', 'ret_1m', 'ret_1m_a', 'ret_3m', 'ret_3m_a', 'ret_6m', 'ret_6m_a', 'ret_1y', 'ret_1y_a', 'ret_2y', 'ret_2y_a', 'ret_3y', 'ret_3y_a', 'ret_4y', 'ret_4y_a', 'ret_5y', 'ret_5y_a', 'ret_10y', 'ret_10y_a', 'ret_ytd', 'ret_ytd_a', 'ret_incep', 'ret_incep_a'], [iif(is_id_integer, INT, SYMBOL), MONTH, DATE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 XXX_indicator */ def create_entity_indicator(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'info_ratio_6m', 'm2_6m', 'tracking_error_6m', 'info_ratio_1y', 'm2_1y', 'tracking_error_1y', 'info_ratio_2y', 'm2_2y', 'tracking_error_2y', 'var_2y', 'cvar_2y', 'info_ratio_3y', 'm2_3y', 'tracking_error_3y', 'var_3y', 'cvar_3y', 'info_ratio_4y', 'm2_4y', 'tracking_error_4y', 'var_4y', 'cvar_4y', 'info_ratio_5y', 'm2_5y', 'tracking_error_5y', 'var_5y', 'cvar_5y', 'info_ratio_10y', 'm2_10y', 'tracking_error_10y', 'var_10y', 'cvar_10y', 'info_ratio_ytd', 'm2_ytd', 'tracking_error_ytd', 'info_ratio_incep', 'm2_incep','tracking_error_incep', 'var_incep', 'cvar_incep'], [iif(is_id_integer, INT, SYMBOL), MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建公司/经理表 XXX_indicator */ def create_mc_indicator() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'info_ratio_6m', 'm2_6m', 'tracking_error_6m', 'info_ratio_1y', 'm2_1y', 'tracking_error_1y', 'info_ratio_2y', 'm2_2y', 'tracking_error_2y', 'var_2y', 'cvar_2y', 'info_ratio_3y', 'm2_3y', 'tracking_error_3y', 'var_3y', 'cvar_3y', 'info_ratio_4y', 'm2_4y', 'tracking_error_4y', 'var_4y', 'cvar_4y', 'info_ratio_5y', 'm2_5y', 'tracking_error_5y', 'var_5y', 'cvar_5y', 'info_ratio_10y', 'm2_10y', 'tracking_error_10y', 'var_10y', 'cvar_10y', 'info_ratio_ytd', 'm2_ytd', 'tracking_error_ytd', 'info_ratio_incep', 'm2_incep','tracking_error_incep', 'var_incep', 'cvar_incep'], [SYMBOL, INT, INT, MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 XXX_risk_stats * * NOTE: mfdb.fund_risk_stats 中 maxdrawdown_6m 和 maxdrawdown_ytd 因不明原因分别是 6m_maxdrawdown 和 ytd_maxdrawdown 的虚拟列！ */ def create_entity_risk_stats(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'stddev_6m', 'downsidedev_6m', 'alpha_6m', 'winrate_6m', 'beta_6m', 'skewness_6m', 'kurtosis_6m', 'worstmonth_6m', 'maxdrawdown_6m', 'stddev_1y', 'downsidedev_1y', 'alpha_1y', 'winrate_1y', 'beta_1y', 'skewness_1y', 'kurtosis_1y', 'worstmonth_1y', 'maxdrawdown_1y', 'stddev_2y', 'downsidedev_2y', 'alpha_2y', 'winrate_2y', 'beta_2y', 'skewness_2y', 'kurtosis_2y', 'worstmonth_2y', 'maxdrawdown_2y', 'stddev_3y', 'downsidedev_3y', 'alpha_3y', 'winrate_3y', 'beta_3y', 'skewness_3y', 'kurtosis_3y', 'worstmonth_3y', 'maxdrawdown_3y', 'stddev_4y', 'downsidedev_4y', 'alpha_4y', 'winrate_4y', 'beta_4y', 'skewness_4y', 'kurtosis_4y', 'worstmonth_4y', 'maxdrawdown_4y', 'stddev_5y', 'downsidedev_5y', 'alpha_5y', 'winrate_5y', 'beta_5y', 'skewness_5y', 'kurtosis_5y', 'worstmonth_5y', 'maxdrawdown_5y', 'stddev_10y', 'downsidedev_10y','alpha_10y', 'winrate_10y', 'beta_10y', 'skewness_10y', 'kurtosis_10y', 'worstmonth_10y', 'maxdrawdown_10y', 'stddev_ytd', 'downsidedev_ytd', 'alpha_ytd', 'winrate_ytd', 'beta_ytd', 'skewness_ytd', 'kurtosis_ytd', 'worstmonth_ytd', 'maxdrawdown_ytd', 'stddev_incep', 'downsidedev_incep', 'alpha_incep', 'winrate_incep', 'beta_incep', 'skewness_incep', 'kurtosis_incep', 'worstmonth_incep', 'maxdrawdown_incep'], [iif(is_id_integer, INT, SYMBOL), MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建基金经理/公司表 XXX_risk_stats * */ def create_mc_risk_stats() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'stddev_6m', 'downsidedev_6m', 'alpha_6m', 'winrate_6m', 'beta_6m', 'skewness_6m', 'kurtosis_6m', 'worstmonth_6m', 'maxdrawdown_6m', 'stddev_1y', 'downsidedev_1y', 'alpha_1y', 'winrate_1y', 'beta_1y', 'skewness_1y', 'kurtosis_1y', 'worstmonth_1y', 'maxdrawdown_1y', 'stddev_2y', 'downsidedev_2y', 'alpha_2y', 'winrate_2y', 'beta_2y', 'skewness_2y', 'kurtosis_2y', 'worstmonth_2y', 'maxdrawdown_2y', 'stddev_3y', 'downsidedev_3y', 'alpha_3y', 'winrate_3y', 'beta_3y', 'skewness_3y', 'kurtosis_3y', 'worstmonth_3y', 'maxdrawdown_3y', 'stddev_4y', 'downsidedev_4y', 'alpha_4y', 'winrate_4y', 'beta_4y', 'skewness_4y', 'kurtosis_4y', 'worstmonth_4y', 'maxdrawdown_4y', 'stddev_5y', 'downsidedev_5y', 'alpha_5y', 'winrate_5y', 'beta_5y', 'skewness_5y', 'kurtosis_5y', 'worstmonth_5y', 'maxdrawdown_5y', 'stddev_10y', 'downsidedev_10y','alpha_10y', 'winrate_10y', 'beta_10y', 'skewness_10y', 'kurtosis_10y', 'worstmonth_10y', 'maxdrawdown_10y', 'stddev_ytd', 'downsidedev_ytd', 'alpha_ytd', 'winrate_ytd', 'beta_ytd', 'skewness_ytd', 'kurtosis_ytd', 'worstmonth_ytd', 'maxdrawdown_ytd', 'stddev_incep', 'downsidedev_incep', 'alpha_incep', 'winrate_incep', 'beta_incep', 'skewness_incep', 'kurtosis_incep', 'worstmonth_incep', 'maxdrawdown_incep'], [SYMBOL, INT, INT, MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 XXX_riskadjret_stats */ def create_entity_riskadjret_stats(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'sharperatio_6m', 'sortinoratio_6m', 'treynorratio_6m', 'jensen_6m', 'calmarratio_6m', 'omegaratio_6m', 'kapparatio_6m', 'sharperatio_1y', 'sortinoratio_1y', 'treynorratio_1y', 'jensen_1y', 'calmarratio_1y', 'omegaratio_1y', 'kapparatio_1y', 'sharperatio_2y', 'sortinoratio_2y', 'treynorratio_2y', 'jensen_2y', 'calmarratio_2y', 'omegaratio_2y', 'kapparatio_2y', 'sharperatio_3y', 'sortinoratio_3y', 'treynorratio_3y', 'jensen_3y', 'calmarratio_3y', 'omegaratio_3y', 'kapparatio_3y', 'sharperatio_4y', 'sortinoratio_4y', 'treynorratio_4y', 'jensen_4y', 'calmarratio_4y', 'omegaratio_4y', 'kapparatio_4y', 'sharperatio_5y', 'sortinoratio_5y', 'treynorratio_5y', 'jensen_5y', 'calmarratio_5y', 'omegaratio_5y', 'kapparatio_5y', 'sharperatio_10y', 'sortinoratio_10y', 'treynorratio_10y', 'jensen_10y', 'calmarratio_10y', 'omegaratio_10y', 'kapparatio_10y', 'sharperatio_ytd', 'sortinoratio_ytd', 'treynorratio_ytd', 'jensen_ytd', 'calmarratio_ytd', 'omegaratio_ytd', 'kapparatio_ytd', 'sharperatio_incep', 'sortinoratio_incep', 'treynorratio_incep', 'jensen_incep', 'calmarratio_incep', 'omegaratio_incep', 'kapparatio_incep'], [iif(is_id_integer, INT, SYMBOL), MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建基金经理/公司表 XXX_riskadjret_stats */ def create_mc_riskadjret_stats() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'sharperatio_6m', 'sortinoratio_6m', 'treynorratio_6m', 'jensen_6m', 'calmarratio_6m', 'omegaratio_6m', 'kapparatio_6m', 'sharperatio_1y', 'sortinoratio_1y', 'treynorratio_1y', 'jensen_1y', 'calmarratio_1y', 'omegaratio_1y', 'kapparatio_1y', 'sharperatio_2y', 'sortinoratio_2y', 'treynorratio_2y', 'jensen_2y', 'calmarratio_2y', 'omegaratio_2y', 'kapparatio_2y', 'sharperatio_3y', 'sortinoratio_3y', 'treynorratio_3y', 'jensen_3y', 'calmarratio_3y', 'omegaratio_3y', 'kapparatio_3y', 'sharperatio_4y', 'sortinoratio_4y', 'treynorratio_4y', 'jensen_4y', 'calmarratio_4y', 'omegaratio_4y', 'kapparatio_4y', 'sharperatio_5y', 'sortinoratio_5y', 'treynorratio_5y', 'jensen_5y', 'calmarratio_5y', 'omegaratio_5y', 'kapparatio_5y', 'sharperatio_10y', 'sortinoratio_10y', 'treynorratio_10y', 'jensen_10y', 'calmarratio_10y', 'omegaratio_10y', 'kapparatio_10y', 'sharperatio_ytd', 'sortinoratio_ytd', 'treynorratio_ytd', 'jensen_ytd', 'calmarratio_ytd', 'omegaratio_ytd', 'kapparatio_ytd', 'sharperatio_incep', 'sortinoratio_incep', 'treynorratio_incep', 'jensen_incep', 'calmarratio_incep', 'omegaratio_incep', 'kapparatio_incep'], [SYMBOL, INT, INT, MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 XXX_style_stats */ def create_entity_style_stats(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'upsidecapture_ret_6m', 'downsidecapture_ret_6m', 'upsidecapture_ratio_6m', 'downsidecapture_ratio_6m', 'upsidecapture_ret_1y', 'downsidecapture_ret_1y', 'upsidecapture_ratio_1y', 'downsidecapture_ratio_1y', 'upsidecapture_ret_2y', 'downsidecapture_ret_2y', 'upsidecapture_ratio_2y', 'downsidecapture_ratio_2y', 'upsidecapture_ret_3y', 'downsidecapture_ret_3y', 'upsidecapture_ratio_3y', 'downsidecapture_ratio_3y', 'upsidecapture_ret_4y', 'downsidecapture_ret_4y', 'upsidecapture_ratio_4y', 'downsidecapture_ratio_4y', 'upsidecapture_ret_5y', 'downsidecapture_ret_5y', 'upsidecapture_ratio_5y', 'downsidecapture_ratio_5y', 'upsidecapture_ret_10y', 'downsidecapture_ret_10y', 'upsidecapture_ratio_10y', 'downsidecapture_ratio_10y', 'upsidecapture_ret_ytd', 'downsidecapture_ret_ytd', 'upsidecapture_ratio_ytd', 'downsidecapture_ratio_ytd', 'upsidecapture_ret_incep', 'downsidecapture_ret_incep', 'upsidecapture_ratio_incep', 'downsidecapture_ratio_incep'], [iif(is_id_integer, INT, SYMBOL), MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 XXX_ms_stats */ def create_entity_ms_stats(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'ms_return_3y', 'ms_rar_3y', 'ms_risk_3y', 'ms_return_5y', 'ms_rar_5y', 'ms_risk_5y', 'ms_return_10y', 'ms_rar_10y', 'ms_risk_10y'], [iif(is_id_integer, INT, SYMBOL), MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建基金经理/公司表 XXX_style_stats */ def create_mc_style_stats() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'upsidecapture_ret_6m', 'downsidecapture_ret_6m', 'upsidecapture_ratio_6m', 'downsidecapture_ratio_6m', 'upsidecapture_ret_1y', 'downsidecapture_ret_1y', 'upsidecapture_ratio_1y', 'downsidecapture_ratio_1y', 'upsidecapture_ret_2y', 'downsidecapture_ret_2y', 'upsidecapture_ratio_2y', 'downsidecapture_ratio_2y', 'upsidecapture_ret_3y', 'downsidecapture_ret_3y', 'upsidecapture_ratio_3y', 'downsidecapture_ratio_3y', 'upsidecapture_ret_4y', 'downsidecapture_ret_4y', 'upsidecapture_ratio_4y', 'downsidecapture_ratio_4y', 'upsidecapture_ret_5y', 'downsidecapture_ret_5y', 'upsidecapture_ratio_5y', 'downsidecapture_ratio_5y', 'upsidecapture_ret_10y', 'downsidecapture_ret_10y', 'upsidecapture_ratio_10y', 'downsidecapture_ratio_10y', 'upsidecapture_ret_ytd', 'downsidecapture_ret_ytd', 'upsidecapture_ratio_ytd', 'downsidecapture_ratio_ytd', 'upsidecapture_ret_incep', 'downsidecapture_ret_incep', 'upsidecapture_ratio_incep', 'downsidecapture_ratio_incep'], [SYMBOL, INT, INT, MONTH, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 XXX_bfi_bm_indicator */ def create_entity_bfi_indicator(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'factor_id', 'upsidecapture_ret_6m', 'downsidecapture_ret_6m', 'upsidecapture_ratio_6m', 'downsidecapture_ratio_6m', 'alpha_6m', 'winrate_6m', 'beta_6m', 'info_ratio_6m', 'tracking_error_6m', 'jensen_6m', 'upsidecapture_ret_1y', 'downsidecapture_ret_1y', 'upsidecapture_ratio_1y', 'downsidecapture_ratio_1y', 'alpha_1y', 'winrate_1y', 'beta_1y', 'info_ratio_1y', 'tracking_error_1y', 'jensen_1y', 'upsidecapture_ret_2y', 'downsidecapture_ret_2y', 'upsidecapture_ratio_2y', 'downsidecapture_ratio_2y', 'alpha_2y', 'winrate_2y', 'beta_2y', 'info_ratio_2y', 'tracking_error_2y', 'jensen_2y', 'upsidecapture_ret_3y', 'downsidecapture_ret_3y', 'upsidecapture_ratio_3y', 'downsidecapture_ratio_3y', 'alpha_3y', 'winrate_3y', 'beta_3y', 'info_ratio_3y', 'tracking_error_3y', 'jensen_3y', 'upsidecapture_ret_4y', 'downsidecapture_ret_4y', 'upsidecapture_ratio_4y', 'downsidecapture_ratio_4y', 'alpha_4y', 'winrate_4y', 'beta_4y', 'info_ratio_4y', 'tracking_error_4y', 'jensen_4y', 'upsidecapture_ret_5y', 'downsidecapture_ret_5y', 'upsidecapture_ratio_5y', 'downsidecapture_ratio_5y', 'alpha_5y', 'winrate_5y', 'beta_5y', 'info_ratio_5y', 'tracking_error_5y', 'jensen_5y', 'upsidecapture_ret_10y', 'downsidecapture_ret_10y', 'upsidecapture_ratio_10y', 'downsidecapture_ratio_10y', 'alpha_10y', 'winrate_10y', 'beta_10y', 'info_ratio_10y', 'tracking_error_10y', 'jensen_10y', 'upsidecapture_ret_ytd', 'downsidecapture_ret_ytd', 'upsidecapture_ratio_ytd', 'downsidecapture_ratio_ytd', 'alpha_ytd', 'winrate_ytd', 'beta_ytd', 'info_ratio_ytd', 'tracking_error_ytd', 'jensen_ytd', 'upsidecapture_ret_incep', 'downsidecapture_ret_incep', 'upsidecapture_ratio_incep', 'downsidecapture_ratio_incep', 'alpha_incep', 'winrate_incep', 'beta_incep', 'info_ratio_incep', 'tracking_error_incep', 'jensen_incep'], [iif(is_id_integer, INT, SYMBOL), MONTH, SYMBOL, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE] ); } /* * 建基金经理/公司表 XXX_bfi_bm_indicator */ def create_mc_bfi_indicator() { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'factor_id', 'upsidecapture_ret_6m', 'downsidecapture_ret_6m', 'upsidecapture_ratio_6m', 'downsidecapture_ratio_6m', 'alpha_6m', 'winrate_6m', 'beta_6m', 'info_ratio_6m', 'tracking_error_6m', 'jensen_6m', 'upsidecapture_ret_1y', 'downsidecapture_ret_1y', 'upsidecapture_ratio_1y', 'downsidecapture_ratio_1y', 'alpha_1y', 'winrate_1y', 'beta_1y', 'info_ratio_1y', 'tracking_error_1y', 'jensen_1y', 'upsidecapture_ret_2y', 'downsidecapture_ret_2y', 'upsidecapture_ratio_2y', 'downsidecapture_ratio_2y', 'alpha_2y', 'winrate_2y', 'beta_2y', 'info_ratio_2y', 'tracking_error_2y', 'jensen_2y', 'upsidecapture_ret_3y', 'downsidecapture_ret_3y', 'upsidecapture_ratio_3y', 'downsidecapture_ratio_3y', 'alpha_3y', 'winrate_3y', 'beta_3y', 'info_ratio_3y', 'tracking_error_3y', 'jensen_3y', 'upsidecapture_ret_4y', 'downsidecapture_ret_4y', 'upsidecapture_ratio_4y', 'downsidecapture_ratio_4y', 'alpha_4y', 'winrate_4y', 'beta_4y', 'info_ratio_4y', 'tracking_error_4y', 'jensen_4y', 'upsidecapture_ret_5y', 'downsidecapture_ret_5y', 'upsidecapture_ratio_5y', 'downsidecapture_ratio_5y', 'alpha_5y', 'winrate_5y', 'beta_5y', 'info_ratio_5y', 'tracking_error_5y', 'jensen_5y', 'upsidecapture_ret_10y', 'downsidecapture_ret_10y', 'upsidecapture_ratio_10y', 'downsidecapture_ratio_10y', 'alpha_10y', 'winrate_10y', 'beta_10y', 'info_ratio_10y', 'tracking_error_10y', 'jensen_10y', 'upsidecapture_ret_ytd', 'downsidecapture_ret_ytd', 'upsidecapture_ratio_ytd', 'downsidecapture_ratio_ytd', 'alpha_ytd', 'winrate_ytd', 'beta_ytd', 'info_ratio_ytd', 'tracking_error_ytd', 'jensen_ytd', 'upsidecapture_ret_incep', 'downsidecapture_ret_incep', 'upsidecapture_ratio_incep', 'downsidecapture_ratio_incep', 'alpha_incep', 'winrate_incep', 'beta_incep', 'info_ratio_incep', 'tracking_error_incep', 'jensen_incep'], [SYMBOL, INT, INT, MONTH, SYMBOL, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE] ); } /* * 建表 xxx_performance_weekly */ def create_entity_performance_weekly(is_id_integer=false) { return table(1000:0, ['entity_id', 'year_week', 'end_year', 'week_of_year', 'price_date', 'cumulative_nav', 'ret_1w'], [iif(is_id_integer, INT, SYMBOL), STRING, STRING, SHORT, DATE, DOUBLE, DOUBLE]); } /* * 建表 xxx_latest_performance */ def create_entity_latest_performance(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'price_date', 'pre_price_date', 'nav', 'cumulative_nav', 'net_value_change', 'ret_1d', 'ret_1w', 'ret_1m', 'ret_3m', 'ret_6m', 'ret_1y', 'ret_2y', 'ret_3y', 'ret_4y', 'ret_5y', 'ret_10y', 'ret_ytd', 'ret_incep', 'ret_incep_a', 'ret_incep_a_all', 'ret_incep_a_gips', 'maxdrawdown_1m', 'maxdrawdown_3m', 'maxdrawdown_1y', 'maxdrawdown_incep', 'calmarratio_incep', 'ret_1y_a', 'ret_2y_a', 'ret_3y_a', 'ret_4y_a', 'ret_5y_a', 'ret_10y_a'], [iif(is_id_integer, INT, SYMBOL), STRING, DATE, DATE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 xxx_index_coe * */ def create_entity_index_coe(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'index_id', 'coe_1y', 'coe_3y', 'coe_5y', //'info_ratio_1y', 'info_ratio_3y', 'info_ratio_5y', 't_value_1y', 't_value_3y', 't_value_5y', 'beta_1y', 'beta_3y', 'beta_5y'], [iif(is_id_integer, INT, SYMBOL), MONTH, SYMBOL, DOUBLE, DOUBLE, DOUBLE, //DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 xxx_index_coe * */ def create_mc_index_coe(is_id_integer=false) { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'index_id', 'coe_1y', 'coe_3y', 'coe_5y', //'info_ratio_1y', 'info_ratio_3y', 'info_ratio_5y', 't_value_1y', 't_value_3y', 't_value_5y', 'beta_1y', 'beta_3y', 'beta_5y'], [SYMBOL, INT, INT, MONTH, SYMBOL, DOUBLE, DOUBLE, DOUBLE, //DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); } /* * 建表 xxx_factor_bfi_max_r2 * */ def create_entity_bfi_max_r2(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'factor_id', 'coe', 'r2', 'performance_flag', 'rz_portrait'], [iif(is_id_integer, INT, SYMBOL), MONTH, SYMBOL, DOUBLE, DOUBLE, STRING, STRING]); } /* * 建表 xxx_factor_bfi * */ def create_entity_factor_bfi(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'factor_id', 'coe', 'r2', 'performance_flag', 't_value_1y', 'beta_1y'], [iif(is_id_integer, INT, SYMBOL), MONTH, SYMBOL, DOUBLE, DOUBLE, STRING, DOUBLE, DOUBLE]); } /* * 建基金经理/公司 bfi连接表 xxx_factor_bfi * */ def create_mc_factor_bfi(is_id_integer=false) { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'end_date', 'factor_id', 'coe', 'r2', 'performance_flag', 't_value_1y', 'beta_1y'], [SYMBOL, INT, INT, MONTH, SYMBOL, DOUBLE, DOUBLE, STRING, DOUBLE, DOUBLE]); } /* * 建表 XXXX_indicator_ranking */ def create_entity_indicator_ranking(is_id_integer=false) { return table(1000:0, ['entity_id', 'end_date', 'category_id', 'indicator_id', 'indicator_1m', 'absrank_1m', 'perrank_1m', 'indicator_3m', 'absrank_3m', 'perrank_3m', 'indicator_6m', 'absrank_6m', 'perrank_6m', 'indicator_1y', 'absrank_1y', 'perrank_1y', 'indicator_2y', 'absrank_2y', 'perrank_2y', 'indicator_3y', 'absrank_3y', 'perrank_3y', 'indicator_5y', 'absrank_5y', 'perrank_5y', 'indicator_10y', 'absrank_10y', 'perrank_10y', 'indicator_ytd', 'absrank_ytd', 'perrank_ytd'], [iif(is_id_integer, INT, SYMBOL), STRING, SYMBOL, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT]); } /* * 建基金经理/公司表 XXXX_indicator_ranking */ def create_mc_indicator_ranking(is_id_integer=false) { return table(1000:0, ['entity_id', 'curve_type', 'strategy', 'category_id', 'end_date', 'indicator_id', 'indicator_1m', 'absrank_1m', 'perrank_1m', 'indicator_3m', 'absrank_3m', 'perrank_3m', 'indicator_6m', 'absrank_6m', 'perrank_6m', 'indicator_1y', 'absrank_1y', 'perrank_1y', 'indicator_2y', 'absrank_2y', 'perrank_2y', 'indicator_3y', 'absrank_3y', 'perrank_3y', 'indicator_5y', 'absrank_5y', 'perrank_5y', 'indicator_10y', 'absrank_10y', 'perrank_10y', 'indicator_ytd', 'absrank_ytd', 'perrank_ytd'], [SYMBOL, INT, INT, SYMBOL, STRING, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT, DOUBLE, INT, INT]); } /* * 建表 XXXX_indicator_ranking_num， raise_type 没有用 */ def create_entity_indicator_ranking_num() { return table(1000:0, ['end_date', 'category_id', 'raise_type', 'indicator_id', 'avg_1m', 'avg_1m_cnt', 'perrank_percent_5_1m', 'perrank_percent_10_1m', 'perrank_percent_25_1m', 'perrank_percent_50_1m', 'perrank_percent_75_1m', 'perrank_percent_90_1m', 'perrank_percent_95_1m', 'best_1m', 'worst_1m', 'avg_3m', 'avg_3m_cnt', 'perrank_percent_5_3m', 'perrank_percent_10_3m', 'perrank_percent_25_3m', 'perrank_percent_50_3m', 'perrank_percent_75_3m', 'perrank_percent_90_3m', 'perrank_percent_95_3m', 'best_3m', 'worst_3m', 'avg_6m', 'avg_6m_cnt', 'perrank_percent_5_6m', 'perrank_percent_10_6m', 'perrank_percent_25_6m', 'perrank_percent_50_6m', 'perrank_percent_75_6m', 'perrank_percent_90_6m', 'perrank_percent_95_6m', 'best_6m', 'worst_6m', 'avg_1y', 'avg_1y_cnt', 'perrank_percent_5_1y', 'perrank_percent_10_1y', 'perrank_percent_25_1y', 'perrank_percent_50_1y', 'perrank_percent_75_1y', 'perrank_percent_90_1y', 'perrank_percent_95_1y', 'best_1y', 'worst_1y', 'avg_2y', 'avg_2y_cnt', 'perrank_percent_5_2y', 'perrank_percent_10_2y', 'perrank_percent_25_2y', 'perrank_percent_50_2y', 'perrank_percent_75_2y', 'perrank_percent_90_2y', 'perrank_percent_95_2y', 'best_2y', 'worst_2y', 'avg_3y', 'avg_3y_cnt', 'perrank_percent_5_3y', 'perrank_percent_10_3y', 'perrank_percent_25_3y', 'perrank_percent_50_3y', 'perrank_percent_75_3y', 'perrank_percent_90_3y', 'perrank_percent_95_3y', 'best_3y', 'worst_3y', 'avg_5y', 'avg_5y_cnt', 'perrank_percent_5_5y', 'perrank_percent_10_5y', 'perrank_percent_25_5y', 'perrank_percent_50_5y', 'perrank_percent_75_5y', 'perrank_percent_90_5y', 'perrank_percent_95_5y', 'best_5y', 'worst_5y', 'avg_10y', 'avg_10y_cnt', 'perrank_percent_5_10y', 'perrank_percent_10_10y', 'perrank_percent_25_10y', 'perrank_percent_50_10y', 'perrank_percent_75_10y', 'perrank_percent_90_10y', 'perrank_percent_95_10y', 'best_10y', 'worst_10y', 'avg_ytd', 'avg_ytd_cnt', 'perrank_percent_5_ytd', 'perrank_percent_10_ytd', 'perrank_percent_25_ytd', 'perrank_percent_50_ytd', 'perrank_percent_75_ytd', 'perrank_percent_90_ytd', 'perrank_percent_95_ytd', 'best_ytd', 'worst_ytd'], [STRING, SYMBOL, INT, INT, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE ]); } /* * 建基金经理/公司表 XXXX_indicator_ranking_num， raise_type 没有用 */ def create_mc_indicator_ranking_num() { return table(1000:0, ['curve_type', 'strategy', 'category_id', 'end_date', 'indicator_id', 'avg_1m', 'avg_1m_cnt', 'perrank_percent_5_1m', 'perrank_percent_10_1m', 'perrank_percent_25_1m', 'perrank_percent_50_1m', 'perrank_percent_75_1m', 'perrank_percent_90_1m', 'perrank_percent_95_1m', 'best_1m', 'worst_1m', 'avg_3m', 'avg_3m_cnt', 'perrank_percent_5_3m', 'perrank_percent_10_3m', 'perrank_percent_25_3m', 'perrank_percent_50_3m', 'perrank_percent_75_3m', 'perrank_percent_90_3m', 'perrank_percent_95_3m', 'best_3m', 'worst_3m', 'avg_6m', 'avg_6m_cnt', 'perrank_percent_5_6m', 'perrank_percent_10_6m', 'perrank_percent_25_6m', 'perrank_percent_50_6m', 'perrank_percent_75_6m', 'perrank_percent_90_6m', 'perrank_percent_95_6m', 'best_6m', 'worst_6m', 'avg_1y', 'avg_1y_cnt', 'perrank_percent_5_1y', 'perrank_percent_10_1y', 'perrank_percent_25_1y', 'perrank_percent_50_1y', 'perrank_percent_75_1y', 'perrank_percent_90_1y', 'perrank_percent_95_1y', 'best_1y', 'worst_1y', 'avg_2y', 'avg_2y_cnt', 'perrank_percent_5_2y', 'perrank_percent_10_2y', 'perrank_percent_25_2y', 'perrank_percent_50_2y', 'perrank_percent_75_2y', 'perrank_percent_90_2y', 'perrank_percent_95_2y', 'best_2y', 'worst_2y', 'avg_3y', 'avg_3y_cnt', 'perrank_percent_5_3y', 'perrank_percent_10_3y', 'perrank_percent_25_3y', 'perrank_percent_50_3y', 'perrank_percent_75_3y', 'perrank_percent_90_3y', 'perrank_percent_95_3y', 'best_3y', 'worst_3y', 'avg_5y', 'avg_5y_cnt', 'perrank_percent_5_5y', 'perrank_percent_10_5y', 'perrank_percent_25_5y', 'perrank_percent_50_5y', 'perrank_percent_75_5y', 'perrank_percent_90_5y', 'perrank_percent_95_5y', 'best_5y', 'worst_5y', 'avg_10y', 'avg_10y_cnt', 'perrank_percent_5_10y', 'perrank_percent_10_10y', 'perrank_percent_25_10y', 'perrank_percent_50_10y', 'perrank_percent_75_10y', 'perrank_percent_90_10y', 'perrank_percent_95_10y', 'best_10y', 'worst_10y', 'avg_ytd', 'avg_ytd_cnt', 'perrank_percent_5_ytd', 'perrank_percent_10_ytd', 'perrank_percent_25_ytd', 'perrank_percent_50_ytd', 'perrank_percent_75_ytd', 'perrank_percent_90_ytd', 'perrank_percent_95_ytd', 'best_ytd', 'worst_ytd'], [INT, INT, SYMBOL, STRING, INT, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, INT, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE ]); } /* * 根据 mysql 表改动某些字段 */ def chg_columns_for_mysql(mutable tb_mysql, id_col_name) { tb_mysql.rename!('entity_id', id_col_name); // 将 dolphinDB 的 MONTH 换成 MySQL 的 YYYY-MM 格式 v_end_date = EXEC end_date.temporalFormat('yyyy-MM') FROM tb_mysql; tb_mysql.replaceColumn!('end_date', v_end_date); } /* * 按照 XXX_performance 表结构准备数据记录 * * @param entity_info : [COLUMNS] entity_id, end_date (用于筛掉不必要的老记录), [curve_type, strategy] * @param indicators : 指标类型-区间：数据表 * @param entity_performance
: 被更新的数据表 * @param extra_keys : 只有基金经理和公司会用到，对应 [curve_type, strategy] * * TODO: price_date is NULL for some records */ def generate_entity_performance(entity_info, indicators, isToMySQL, mutable entity_performance, extra_keys=[]) { t = null; if(extra_keys.isNothing() || extra_keys.isVoid() || extra_keys.size() == 0) v_extra_keys = array(STRING); else v_extra_keys = extra_keys; if(isToMySQL) { if(indicators['PBI-3M'].isVoid() || indicators['PBI-3M'].size() == 0) return; t = sql(select =(sqlCol('entity_id'), sqlCol(v_extra_keys.join('end_date')), sqlCol('price_date'), sqlCol(['nav', 'ret', 'ret', 'trailing_ret', 'trailing_ret_a'], , ['cumulative_nav', 'ret_1m', 'ret_1m_a', 'ret_3m', 'ret_3m_a']) ), from = ej(indicators['PBI-3M'] AS a, entity_info AS fi, ['entity_id'].join(v_extra_keys)), where = < end_date >= fi_price_date.month()> // 过滤掉不必更新的旧记录, 这里用系统字段的别名 fi_price_date 有点脏，但目前没办法 ).eval(); v_trailing = ['6m', '1y', '2y', '3y', '4y', '5y', '10y', 'ytd', 'incep']; for(tr in v_trailing) { col_name = 'ret_' + tr; col_a_name = 'ret_' + tr + '_a'; t.addColumn([col_name, col_a_name], [DOUBLE, DOUBLE]); if(!indicators['PBI-'+tr.upper()].isVoid()) { sqlUpdate(table = t, updates = [, ], from = ).eval(); } } INSERT INTO entity_performance SELECT * FROM t; } else { } } /* * 按照 XXX_risk_stats 表结构准备数据记录 * * */ def generate_entity_risk_stats(entity_info, indicators, isToMySQL, mutable entity_risk_stats, extra_keys=[]) { t = null; if(extra_keys.isNothing() || extra_keys.isVoid() || extra_keys.size() == 0) v_extra_keys = array(STRING); else v_extra_keys = extra_keys; if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return; if(isToMySQL) { t = sql(select =(sqlCol('entity_id'), sqlCol(v_extra_keys.join('end_date')), sqlCol(['std_dev_a', 'ds_dev_a', 'alpha_a', 'winrate', 'beta', 'skewness', 'kurtosis', 'wrst_month', 'drawdown'], , ['stddev_6m', 'downsidedev_6m', 'alpha_6m', 'winrate_6m', 'beta_6m', 'skewness_6m', 'kurtosis_6m', 'worstmonth_6m', 'maxdrawdown_6m']) ), from = ej(indicators['PBI-6M'] AS a, entity_info AS fi, ['entity_id'].join(v_extra_keys)), where = < end_date >= fi_price_date.month()> // 过滤掉不必更新的旧记录 ).eval(); v_trailing = ['1y', '2y', '3y', '4y', '5y', '10y', 'ytd', 'incep']; for(tr in v_trailing) { col_std_dev = 'stddev_' + tr; col_ds_dev = 'downsidedev_' + tr; col_alpha = 'alpha_' + tr; col_winrate = 'winrate_' + tr; col_beta = 'beta_' + tr; col_skewness = 'skewness_' + tr; col_kurtosis = 'kurtosis_' + tr; col_wrst_month = 'worstmonth_' + tr; col_drawdown = 'maxdrawdown_' + tr; t.addColumn([col_std_dev, col_ds_dev, col_alpha, col_winrate, col_beta, col_skewness, col_kurtosis, col_wrst_month, col_drawdown], [DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); if(!indicators['PBI-'+tr.upper()].isVoid()) { sqlUpdate(table = t, updates = [, , , , , , , , ], from = ).eval(); } } INSERT INTO entity_risk_stats SELECT * FROM t; } else { } } /* * 按照 XXX_riskadjret_stats 表结构准备数据记录 * * */ def generate_entity_riskadjret_stats(entity_info, indicators, isToMySQL, mutable entity_riskadjret_stats, extra_keys=[]) { t = null; if(extra_keys.isNothing() || extra_keys.isVoid() || extra_keys.size() == 0) v_extra_keys = array(STRING); else v_extra_keys = extra_keys; if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return; if(isToMySQL) { t = sql(select =(sqlCol('entity_id'), sqlCol(v_extra_keys.join('end_date')), sqlCol(['sharpe_a', 'sortino_a', 'treynor', 'jensen_a', 'calmar', 'omega', 'kappa'], , ['sharperatio_6m', 'sortinoratio_6m', 'treynorratio_6m', 'jensen_6m', 'calmarratio_6m', 'omegaratio_6m', 'kapparatio_6m']) ), from = ej(indicators['PBI-6M'] AS a, entity_info AS fi, ['entity_id'].join(v_extra_keys)), where = < end_date >= fi_price_date.month()> // 过滤掉不必更新的旧记录 ).eval(); v_trailing = ['1y', '2y', '3y', '4y', '5y', '10y', 'ytd', 'incep']; for(tr in v_trailing) { col_sharpe = 'sharperatio_' + tr; col_sortino = 'sortinoratio_' + tr; col_treynor = 'treynorratio_' + tr; col_jensen = 'jensen_' + tr; col_calmar = 'calmarratio_' + tr; col_omega = 'omegaratio_' + tr; col_kappa = 'kapparatio_' + tr; t.addColumn([col_sharpe, col_sortino, col_treynor, col_jensen, col_calmar, col_omega, col_kappa], [DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE, DOUBLE]); if(!indicators['PBI-'+tr.upper()].isVoid()) { sqlUpdate(table = t, updates = [, , , , , , ], from = ).eval(); } } INSERT INTO entity_riskadjret_stats SELECT * FROM t; } else { } } /* * 按照 XXX_indicator 表结构准备数据记录 * * */ def generate_entity_indicator(entity_info, indicators, isToMySQL, mutable entity_indicator, extra_keys=[]) { t = null; if(extra_keys.isNothing() || extra_keys.isVoid() || extra_keys.size() == 0) v_extra_keys = array(STRING); else v_extra_keys = extra_keys; if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return; if(isToMySQL) { t = sql(select =(sqlCol('entity_id'), sqlCol(v_extra_keys.join('end_date')), sqlCol(['info_a', 'm2_a', 'track_error_a'], , ['info_ratio_6m', 'm2_6m', 'tracking_error_6m']) ), from = ej(indicators['PBI-6M'] AS a, entity_info AS fi, ['entity_id'].join(v_extra_keys)), where = < end_date >= fi_price_date.month()> // 过滤掉不必更新的旧记录 ).eval(); v_trailing = ['1y', '2y', '3y', '4y', '5y', '10y', 'ytd', 'incep']; for(tr in v_trailing) { col_info = 'info_ratio_' + tr; col_m2 = 'm2_' + tr; col_track_error = 'tracking_error_' + tr; col_var = 'var_' + tr; col_cvar = 'cvar_' + tr; t.addColumn([col_info, col_m2, col_track_error], [DOUBLE, DOUBLE, DOUBLE]); if(tr != 'ytd') // YTD 没有 VAR, CVAR t.addColumn([col_var, col_cvar], [DOUBLE, DOUBLE]); if(!indicators['PBI-'+tr.upper()].isVoid()) { sqlUpdate(table = t, updates = iif(tr != 'ytd', [, , , , ], [, , ]), from = ).eval(); } } // var, cvar 只有2年及更长时间才计算 t.dropColumns!(['var_1y', 'cvar_1y']); INSERT INTO entity_indicator SELECT * FROM t; } else { } } /* * 按照 XXX_style_stats 表结构准备数据记录 * * */ def generate_entity_style_stats(entity_info, indicators, isToMySQL, mutable entity_style_stats, extra_keys=[]) { t = null; if(extra_keys.isNothing() || extra_keys.isVoid() || extra_keys.size() == 0) v_extra_keys = array(STRING); else v_extra_keys = extra_keys; if(indicators['PBI-6M'].isVoid() || indicators['PBI-6M'].size() == 0) return; if(isToMySQL) { t = sql(select =(sqlCol('entity_id'), sqlCol(v_extra_keys.join('end_date')), sqlCol(['upside_capture_ret', 'downside_capture_ret', 'upside_capture_ratio', 'downside_capture_ratio'], , ['upsidecapture_ret_6m', 'downsidecapture_ret_6m', 'upsidecapture_ratio_6m', 'downsidecapture_ratio_6m']) ), from = ej(indicators['PBI-6M'] AS a, entity_info AS fi, ['entity_id'].join(v_extra_keys)), where = < end_date >= fi_price_date.month()> // 过滤掉不必更新的旧记录 ).eval(); v_trailing = ['1y', '2y', '3y', '4y', '5y', '10y', 'ytd', 'incep']; for(tr in v_trailing) { col_upside_capture_ret = 'upsidecapture_ret_' + tr; col_downside_capture_ret = 'downsidecapture_ret_' + tr; col_upside_capture_ratio = 'upsidecapture_ratio_' + tr; col_downside_capture_ratio = 'downsidecapture_ratio_' + tr; t.addColumn([col_upside_capture_ret, col_downside_capture_ret, col_upside_capture_ratio, col_downside_capture_ratio], [DOUBLE, DOUBLE, DOUBLE, DOUBLE]); if(!indicators['PBI-'+tr.upper()].isVoid()) { sqlUpdate(table = t, updates = [, , , ], from = ).eval(); } } INSERT INTO entity_style_stats SELECT * FROM t; } else { } } /* * 按照 XXX_ms_stats 表结构准备数据记录 * * */ def generate_entity_ms_stats(entity_info, indicators, isToMySQL, mutable entity_ms_stats, extra_keys=[]) { t = null; if(extra_keys.isNothing() || extra_keys.isVoid() || extra_keys.size() == 0) v_extra_keys = array(STRING); else v_extra_keys = extra_keys; if(indicators['PBI-3Y'].isVoid() || indicators['PBI-3Y'].size() == 0) return; if(isToMySQL) { t = sql(select =(sqlCol('entity_id'), sqlCol(v_extra_keys.join('end_date')), sqlCol(['ms_ret_a', 'ms_rar_a', 'ms_risk_a'], , ['ms_return_3y', 'ms_rar_3y', 'ms_risk_3y']) ), from = ej(indicators['PBI-3Y'] AS a, entity_info AS fi, ['entity_id'].join(v_extra_keys)), where = < end_date >= fi_price_date.month()> // 过滤掉不必更新的旧记录 ).eval(); v_trailing = ['5y', '10y']; for(tr in v_trailing) { col_ms_ret = 'ms_return_' + tr; col_ms_rar = 'ms_rar_' + tr; col_ms_risk = 'ms_risk_' + tr; t.addColumn([col_ms_ret, col_ms_rar, col_ms_risk], [DOUBLE, DOUBLE, DOUBLE]); if(!indicators['PBI-'+tr.upper()].isVoid()) { sqlUpdate(table = t, updates = [, , ], from = ).eval(); } } INSERT INTO entity_ms_stats SELECT * FROM t; } else { } } /* * 按照 XXX_bfi_bm_indicator 表结构准备数据记录 * * @param entity_info
: [COLUMNS] entity_id, end_date, benchmark_id, inception_date, ini_value [,curve_type, strategy] * @param indicators * * TODO: why we need isToMySQL here? * 其它的指标恐怕也要按这个改，因为私募可能会有近6月没有数据但近2年之类的周期有数据的情况！ */ def generate_entity_bfi_indicator(entity_info, indicators, isToMySQL, mutable entity_bfi_indicator, extra_keys=[]) { t = null; if(extra_keys.isNothing() || extra_keys.isVoid() || extra_keys.size() == 0) v_extra_keys = array(STRING); else v_extra_keys = extra_keys; v_cols_from = ['upside_capture_ret', 'downside_capture_ret', 'upside_capture_ratio', 'downside_capture_ratio', 'alpha_a', 'winrate', 'beta', 'info_a', 'track_error_a', 'jensen_a']; v_cols_to = ['upsidecapture_ret', 'downsidecapture_ret', 'upsidecapture_ratio', 'downsidecapture_ratio', 'alpha', 'winrate', 'beta', 'info_ratio', 'tracking_error', 'jensen']; v_cols_useless = ['track_error', 'info', 'alpha', 'treynor', 'jensen', 'm2', 'm2_a']; // 标准指标中不被当前表覆盖的数据点 v_join_key = ['entity_id', 'benchmark_id', 'end_date'].join(v_extra_keys); if(isToMySQL) { t = lj( lj( lj( lj( lj( lj( lj( lj( lj(entity_info, indicators['BFI-6M'] AS t_6m, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-1Y'] AS t_1y, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-2Y'] AS t_2y, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-3Y'] AS t_3y, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-4Y'] AS t_4y, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-5Y'] AS t_5y, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-10Y'] AS t_10y, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-YTD'] AS t_ytd, v_join_key).dropColumns!(v_cols_useless), indicators['BFI-INCEP'] AS t_incep, v_join_key).dropColumns!(v_cols_useless); t.rename!(v_cols_from, v_cols_to + '_6m'); t.rename!('t_1y_' + v_cols_from, v_cols_to + '_1y'); t.rename!('t_2y_' + v_cols_from, v_cols_to + '_2y'); t.rename!('t_3y_' + v_cols_from, v_cols_to + '_3y'); t.rename!('t_4y_' + v_cols_from, v_cols_to + '_4y'); t.rename!('t_5y_' + v_cols_from, v_cols_to + '_5y'); t.rename!('t_10y_' + v_cols_from, v_cols_to + '_10y'); t.rename!('t_ytd_' + v_cols_from, v_cols_to + '_ytd'); t.rename!('t_incep_' + v_cols_from, v_cols_to + '_incep'); if(t.columnNames().find('inception_date') >= 0) t.dropColumns!('inception_date'); if(t.columnNames().find('ini_value') >= 0) t.dropColumns!('ini_value'); t.rename!('benchmark_id', 'factor_id'); entity_bfi_indicator.tableInsert(t.reorderColumns!(entity_bfi_indicator.colNames())); } else { } } /* * 按照 XXX_performance_weekly 表结构准备数据记录 * * */ def generate_entity_performance_weekly(entity_info, ret_w, isToMySQL, mutable entity_performance_weekly) { t = null; if(ret_w.isVoid() || ret_w.size() == 0) return; if(isToMySQL) { t = SELECT entity_id, year_week, year_week.left(4)$INT AS end_year, year_week.right(2)$INT AS week_of_year, price_date, cumulative_nav, ret_1w FROM ret_w r INNER JOIN entity_info fi ON r.entity_id = fi.entity_id WHERE r.price_date >= fi.price_date; // 过滤掉不必更新的旧记录 INSERT INTO entity_performance_weekly SELECT * FROM t; } else { } } /* * 按照 XXX_latest_performance 表结构准备数据记录 * * */ def generate_entity_latest_performance(entity_info, perf_latest, isToMySQL, mutable entity_latest_performance) { t = null; if(perf_latest.isVoid() || perf_latest.size() == 0) return; if(isToMySQL) { t = SELECT r.* FROM perf_latest r INNER JOIN entity_info fi ON r.entity_id = fi.entity_id WHERE r.price_date >= fi.price_date; // 过滤掉不必更新的旧记录 INSERT INTO entity_latest_performance SELECT * FROM t; } else { } }