aszerW
c905230a40
Archive legacy framework and utility modules that are no longer referenced by the active core (datasource/ and rotation/): - framework/ -> archive/framework/ - framework_v2/ -> archive/framework_v2/ - strategies/ -> archive/strategies/ - config/ -> archive/config/ - visualization/ -> archive/visualization/ - scripts/ -> archive/scripts/ - tests/ -> archive/tests/ - run_rotation.py, run_us_rotation.py -> archive/single_files/ - compare_*.py, test_api_dates.py -> archive/single_files/
105 lines
3.2 KiB
Python
105 lines
3.2 KiB
Python
"""
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动量因子（通用版本）
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使用加权线性回归：得分 = 年化收益率 × R²
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与现有 MomentumFactor 对比验证：
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- 输入相同 → 输出应该相同
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"""
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import pandas as pd
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import numpy as np
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import math
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from framework_v2.core import FactorBase
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class MomentumFactor(FactorBase):
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"""
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动量因子
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计算加权线性回归动量得分：
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得分 = 年化收益率 × R²
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参数：
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- n_days: 动量窗口（默认25）
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- weighted: 是否加权（默认True）
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- crash_filter: 是否启用崩盘过滤（默认True）
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"""
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name = "momentum"
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category = "momentum"
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def __init__(
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self,
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n_days: int = 25,
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weighted: bool = True,
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crash_filter: bool = True
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):
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super().__init__(n_days=n_days, weighted=weighted, crash_filter=crash_filter)
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self.n_days = n_days
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self.weighted = weighted
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self.crash_filter = crash_filter
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def compute(self, data: pd.DataFrame) -> pd.Series:
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"""计算动量因子值"""
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if 'close' not in data.columns:
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raise ValueError("data must contain 'close' column")
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prices = data['close']
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if self.weighted:
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factor_values = prices.rolling(self.n_days).apply(
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lambda x: self._weighted_momentum_score(x.values),
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raw=False
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)
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else:
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factor_values = prices.pct_change(self.n_days)
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if self.crash_filter:
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factor_values = self._apply_crash_filter(prices, factor_values)
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return factor_values
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def _weighted_momentum_score(self, prices: np.ndarray) -> float:
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"""计算加权动量得分（完全复制现有逻辑）"""
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if len(prices) < 5:
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return 0.0
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# 价格下界 clip，防止 log(0) 或 log(负数)
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prices = np.clip(prices, 0.01, None)
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y = np.log(prices)
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# 异常值检测
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if np.any(np.isnan(y)) or np.any(np.isinf(y)):
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return 0.0
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x = np.arange(len(y))
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weights = np.linspace(1, 2, len(y))
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slope, intercept = np.polyfit(x, y, 1, w=weights)
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annualized_returns = math.exp(slope * 250) - 1
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y_pred = slope * x + intercept
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ss_res = np.sum(weights * (y - y_pred) ** 2)
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ss_tot = np.sum(weights * (y - np.average(y, weights=weights)) ** 2)
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r2 = 1 - ss_res / ss_tot if ss_tot > 0 else 0
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return annualized_returns * r2
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def _apply_crash_filter(self, prices: pd.Series, factor_values: pd.Series) -> pd.Series:
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"""崩盘过滤：连续3天跌>5%清零（完全复制现有逻辑）"""
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result = factor_values.copy()
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for i in range(3, len(prices)):
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r1 = prices.iloc[i] / prices.iloc[i-1]
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r2 = prices.iloc[i-1] / prices.iloc[i-2]
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r3 = prices.iloc[i-2] / prices.iloc[i-3]
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con1 = min(r1, r2, r3) < 0.95
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con2 = (r1 < 1) and (r2 < 1) and (r3 < 1) and (prices.iloc[i] / prices.iloc[i-3] < 0.95)
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if con1 or con2:
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result.iloc[i] = 0.0
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return result
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