DolphinDB/codes/sample_rbsa.dos

login(`admin, `123456)
loadPlugin("ODBC")
go

clearCachedModules()
use fundit::fundCalculator
use fundit::dataPuller


/* Sample 1: 单基金或组合RBSA  ------------------------------ */

IN00000008 = (0.007075 -0.007000 -0.002121 0.008571 -0.025775 0.018936 0.012031 0.005613 0.017171 0.003189 -0.020797 -0.005986);
IN00000077 = (-0.002598 0.001488 0.001404 0.001031 0.002389 0.002999 -0.000246 -0.000533 -0.000656 0.001313 0.001352 0.001514);
IN0000007G =(0.000373 0.000367 0.000379 0.000272 0.000461 0.000355 0.000349 0.000195 0.000478 0.000331 0.000330 0.000324);
IN0000009M = (0.010477 0.010086 0.019914 0.027885 0.061534 0.011593 -0.032239 -0.003192 0.011932 0.024807 0.006475 0.014500);
mt0 = table(IN00000008, IN00000077, IN0000007G, IN0000009M);
MF00003PW1 = (0.017450 0.002639 -0.026316 -0.005405 -0.013587 -0.001377 0.024828 0.014805 0.011936 -0.003932 -0.021053 0.006721);

res = cal_rbsa(MF00003PW1, mt0, false)

// lb = 0 时仍有微小负数，估计可以换成0
// 不清除后面的12维数字是干啥的
beta = res[1][0:4]
print(beta)

/* Sample 1 end  --------------------------------------------- */


/* Sample 2 start ------------------------------ */

// pull all historical weekly returns from mysql, then save it to local
// tb_all = get_fund_weekly_rets(null, 2021.07.01, null, true)
// save_table(tb_all, "mfdb.fund_performance_weekly", false)

// pull historical weekly returns from pre-saved local table
// NOTE: if the table doesn't exist, run the commented code above
tb_all_weekly_ret = load_table_from_local("fundit", "mfdb.fund_performance_weekly")

// get index weekly return based on RBSA asset_type
def get_standard_rbsa_index_return(asset_type_id, start_date, end_date) {

    index_ids = ""

    // asset allocation: stock-bond-cash-gold
	if(asset_type_id == "AS0000005Q")
	    index_ids = "'IN00000008','IN00000077','IN0000007G','IN0000009M'"
    // asset allocation: stock-bond-cash-gold
	else if(asset_type_id == "Large4Assets" )
        index_ids = "'IN00000008','IN00000077','IN0000007G','IN0000009M'"
    // Fundit style: large-small-cash
	else if(asset_type_id == "Cap3Style" )
        index_ids = "'FA00000WKG','FA00000WKH','IN0000007G'"
    // Fundit sector: 防守-周期-敏感-科技-cash
	else if(asset_type_id == "CSI5" )
        index_ids = "'FA00000VML','FA00000VMM','FA00000VMN','FA00000VMO','IN0000007G'"
    // CNI style: LG-LV-SG-SV-cash
	else if(asset_type_id == "CNI5Style" )
        index_ids = "'IN0000000S','IN0000000T','IN0000000U','IN0000000V','IN0000007G'"
    // CNI style: LG-LV-SG-SV-MG-MV-cash
	else if(asset_type_id == "CNI7Style" )
        index_ids = "'IN0000000S','IN0000000T','IN0000000U','IN0000000V','IN0000000W', 'IN0000000X','IN0000007G'"
    // CSI old sector: 材料-电信-工业-公用-金融-可选-能源-消费-信息-医药-cash
	else if(asset_type_id == "CSI11" )
        index_ids = "'IN0000000Y','IN0000000Z','IN00000010','IN00000011','IN00000012','IN00000013','IN00000014','IN00000015','IN00000016','IN00000017','IN0000007G'"
    // bond type: gov-cash-cnvt-corp
	else if(asset_type_id == "BondType" )
        index_ids = "'IN0000007A','IN0000007G','IN0000008J','IN000002CM'"

    ret = get_index_weekly_rets(index_ids, start_date, end_date)

    return ret

}


win = 24
step = 24

// pick the fund to be compared with
the_fund = 'MF00003PW1'
the_fund_ret = (SELECT * FROM tb_all_weekly_ret WHERE year_week >= '202211' AND fund_id = the_fund).ret_1w

// get all mutual fund ids for testing
fund_ids = (SELECT DISTINCT fund_id FROM tb_all_weekly_ret).fund_id

// all rbsa results will be saved here
tb_all_rbsa = table(fund_ids.size()*(the_fund_ret.size()):0, "fund_id" "date" "asset_type_id" "weights", [STRING, STRING, STRING, STRING])

// all the distances will be saved here
tb_dis = table(fund_ids.size():0, "fund_id" "date" "asset_type_id" "dist", [STRING, STRING, STRING, DOUBLE])

// asset_type_id = "Cap3Style"
asset_type = "CSI5"
tb_index_raw_ret = get_standard_rbsa_index_return(asset_type, 2021.07.01, 2024.07.26)

// transform the data structure for rbsa calculation
tb_index_weekly_ret = SELECT ret_1w
                      FROM tb_index_raw_ret
                      PIVOT BY year_week, index_id
tb_index_weekly_ret.rename!("year_week", "date")


// loop thru the fund list and calculate historical rbsa
// NOTE: it takes about 6 minutes for 20,000 mutual funds with 3 year history
for(f_id in fund_ids) {

    ret = SELECT year_week AS date, ret_1w AS ret
          FROM tb_all_weekly_ret
          WHERE fund_id = f_id
          ORDER BY year_week

	// calculate historical rbsa
	tb = cal_rolling_rbsa(ret, tb_index_weekly_ret, false, win, step)

	INSERT INTO tb_all_rbsa 
      SELECT f_id, date, asset_type, weights
      FROM tb
      WHERE status = "solved"
}

SELECT * FROM tb_all_rbsa WHERE fund_id = the_fund

// tb_all_weekly_ret = null

// save to local db, just for the sake of saving time to run rbsa again
save_table(tb_all_rbsa, "mfdb.fund_rbsa_weekly", false)
tb_all_rbsa = null

asset_type = "CSI5"
the_dates = (SELECT DISTINCT date FROM tb_all_rbsa WHERE fund_id = the_fund AND asset_type_id = asset_type).date


// loop thru all the dates
for(d in the_dates) {

    // the rbsa weights of target fund of one date
    the_weights = (SELECT * FROM tb_all_rbsa WHERE fund_id = the_fund AND date = d AND asset_type_id = asset_type).weights[0]

    // all rbsa results with the same date
    t = SELECT * FROM tb_all_rbsa WHERE date = d AND asset_type_id = asset_type

    // calculate the distance between the target fund and any fund
    for(r in t) {
        // euclidean distance
        tb_dis.tableInsert(r.fund_id, d, asset_type, ((the_weights.split(" ")$DOUBLE).euclidean(r.weights.split(" ")$DOUBLE)).round(4))
        // tanimoto distance
        // tb_dis.tableInsert(r.fund_id, d, asset_type, ((the_weights.split(" ")$DOUBLE).tanimoto(r.weights.split(" ")$DOUBLE)).round(4))
    }
}

select * from tb_dis where fund_id = the_fund

n = the_dates.size()

select fund_id, avg
from (
  select fund_id, count(dist) as cnt, avg(dist) as avg
  from tb_dis
  where fund_id <> the_fund
    and asset_type_id = "Large4Assets"
  group by fund_id )
order by avg
limit 500

select fund_Id, avg from (
  select fund_id, sum(dist) as total_dist, count(dist) as cnt, avg(dist) as avg
  from tb_dis 
  where fund_id <> the_fund and asset_type_id <> "Cap3Style"
  group by fund_id )
where cnt = n*2
order by avg
limit 500


select * from tb_all_rbsa where fund_id IN ('MF00003PW1', 'MF00006EQ6', 'MF00003QZR','MF000074ZM','MF00006FQ5')
t = select ret_1w from tb_all_weekly_ret where fund_id IN ('MF00003PW1', 'MF00006EQ6', 'MF00003QZR','MF000074ZM','MF00006FQ5') and year_week >= '202211' pivot by year_week, fund_id
plot([t.MF00003PW1, t.MF00006EQ6], t.year_week, , LINE)
plot([t.MF00003PW1, t.MF00003QZR], t.year_week, , LINE)
plot([t.MF00003PW1, t.MF000074ZM], t.year_week, , LINE)
plot([t.MF00003PW1, t.MF00006FQ5], t.year_week, , LINE)


// calculate correlation
t = (SELECT ret_1w FROM tb_all_weekly_ret WHERE year_week >= '202211' PIVOT BY year_week, fund_id ).dropColumns!("year_week")
v_cols = t.colNames()
m = matrix(t)
tb_corr = table(fund_ids.size():0, "fund_id" "corr", [STRING, DOUBLE])
i = 0
for(c in m) {

    if(c.dropna().size() == the_fund_ret.rows()) {
        tb_corr.tableInsert(v_cols[i], the_fund_ret.corr(c).round(6))
    }

    i += 1
}

select * from tb_corr order by corr desc limit 500



/* Sample 2 end  --------------------------------------------- */