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1348 lines
58 KiB
1348 lines
58 KiB
2 years ago
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# -*- coding: utf-8 -*-
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from flask import Flask, Blueprint, render_template, session, jsonify, request, redirect, url_for, flash, g, Markup, abort
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# from flask_ipban import IpBan
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from flask_login import login_required, current_user, login_user, logout_user
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#from flask_environments import Environments
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import sqlite3
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from werkzeug.security import generate_password_hash, check_password_hash
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from datetime import datetime, timedelta
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from dateutil.relativedelta import relativedelta
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import os
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import pytz
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import re
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import time
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import json
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import psycopg2
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import psycopg2.extras
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from tickers_sorted import *
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from tickers_sorted_tw import *
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from black_list import black_list
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from postgresql_config import *
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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import math
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from cvxopt import matrix, solvers
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from cvxopt.blas import dot
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from cvxopt.solvers import qp
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import pickle
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UPLOAD_FOLDER = 'static/custom_data/'
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ALLOWED_EXTENSIONS = {'csv'}
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def allowed_file(filename):
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return '.' in filename and \
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filename.rsplit('.', 1)[1].lower() in ALLOWED_EXTENSIONS
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main = Flask(__name__)
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# https://stackoverflow.com/questions/24222220/block-an-ip-address-from-accessing-my-flask-app-on-heroku
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ip_ban_list = []
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@main.before_request
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def block_method():
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ip = request.environ.get('REMOTE_ADDR')
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if ip in ip_ban_list:
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abort(403)
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main.config['SECRET_KEY'] = os.urandom(30)
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main.config['UPLOAD_FOLDER'] = UPLOAD_FOLDER
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from confidential_competitions import *
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confidential_competitions_placeholder = ', '.join(['%s']*len(confidential_competitions_list))
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# Source: https://uniwebsidad.com/libros/explore-flask/chapter-8/custom-filters
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@main.template_filter('my_substitution')
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def my_substitution(string):
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return re.sub(r'@[a-zA-Z0-9_\-\.]+', r'', string)
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def ten_day_VaR(portfolio_value):
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# 95% z value = 1.645
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z = 1.645
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return_value = portfolio_value.pct_change().shift(-1).dropna()
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length = len(return_value)
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daily_ret = return_value.mean()
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daily_vol = return_value.std()
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return -1*(daily_ret * 10 - daily_vol * (10**0.5) * z)
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# risk_free_rate = 0.00899 # U.S. 5 Year Treasury at 11:31 PM EDT, Jun 28, 2021
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risk_free_rate = 0
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def Linear_Reg(x,y):
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'''
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input
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x: market excess return, np.ndarray
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y: portfolio excexx return, np.ndarray
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output
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slope, intercept, R^2
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'''
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from sklearn import linear_model
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import numpy
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model = linear_model.LinearRegression(fit_intercept=True)
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X = x[:,numpy.newaxis]
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model.fit(X,y)
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yhat = model.predict(X)
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SSR = sum((y-yhat)**2)
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SST = sum((y-numpy.mean(y))**2)
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r_squared = 1 - (float(SSR))/SST
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return model.coef_[0], model.intercept_, r_squared
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# alpha = model.intercept_, beta = model.coef_[0]
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#env.filters['my_substitution'] = my_substitution
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# def connect_db():
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# sql = sqlite3.connect('strategy.db', timeout=50)
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# sql.row_factory = sqlite3.Row
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# return sql
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#
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# def get_db():
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# if not hasattr(g, 'sqlite_db'):
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# g.sqlite_db = connect_db()
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# return g.sqlite_db
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#
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# @main.teardown_appcontext
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# def close_db(error):
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# if hasattr(g, 'sqlite_db'):
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# g.sqlite_conn.close()
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@main.route('/')
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def index():
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conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
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cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
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# Number of effective users
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cur.execute('select count(b.a) as num_effective_users from (select min(strategy_id) as a from strategy group by author) as b')
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num_effective_users = cur.fetchone()['num_effective_users']
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# Number of effective strategies
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cur.execute('select count(strategy_id) as num_effective_strategies from strategy where sharpe_ratio!=0')
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num_effective_strategies = cur.fetchone()['num_effective_strategies']
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cur.close()
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conn.close()
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return render_template('index.html', num_effective_users=num_effective_users, num_effective_strategies=num_effective_strategies)
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# return render_template('index_temp_0314.html')
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@main.route('/create_strategy', methods=['GET', 'POST'])
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def create_strategy():
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if not (session.get('USERNAME') and session['USERNAME']):
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flash('使用此功能必須先登入。', 'danger')
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return redirect('/login')
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if session['USERNAME'] in black_list:
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flash('我們已經暫停您建立策略的權利，有疑問請洽finteck@my.nthu.edu.tw', 'danger')
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return redirect('/')
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print('last_creation_time: ', session['last_creation_time'])
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if time.time() - session['last_creation_time'] < 30:
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flash('每兩次建立策略須間隔30秒', 'danger')
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return redirect('/')
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if request.method == 'GET':
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tw = request.values.get('tw')
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tw_digit = 1 if tw=='true' else 0 if tw=='false' else None
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if request.method == 'POST':
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strategy_name = request.form['strategy_name']
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create_date = datetime.strftime(datetime.now() + timedelta(hours=8), '%Y/%m/%d %H:%M:%S.%f')
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session['last_creation_time'] = time.time()
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if strategy_name == '':
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flash('請取一個名字', 'danger')
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return render_template('create_strategy.html', asset_candidates=asset_candidates if tw=='false' else asset_candidates_tw if tw=='true' else None, tw=tw)
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competition = request.form['competition']
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tw = request.form['tw']
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tw_digit = 1 if tw=='true' else 0 if tw=='false' else None
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tickers = sorted(list(set(request.form.getlist('asset_ticker'))))
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print('The list of assets: ', tickers)
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# Turn off progress printing
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solvers.options['show_progress'] = False
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start_dates = [ datetime(y, m, 1) for y in range(2015, datetime.now().year+1)
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for m in [1, 4, 7, 10]
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if datetime(y, m, 1)<datetime.now() ]
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if tw=='false':
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data_us = pd.read_csv('data_for_trading_platform.csv')
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data_1 = pd.read_csv('data_for_trading_platform_tw_1.csv')
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data_2 = pd.read_csv('data_for_trading_platform_tw_2.csv')
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data_3 = pd.read_csv('data_for_trading_platform_tw_3.csv')
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data_4 = pd.read_csv('data_for_trading_platform_tw_4.csv')
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data_5 = pd.read_csv('data_for_trading_platform_tw_5.csv')
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data_6 = pd.read_csv('data_for_trading_platform_tw_6.csv')
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data_7 = pd.read_csv('data_for_trading_platform_tw_7.csv')
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data_8 = pd.read_csv('data_for_trading_platform_tw_8.csv')
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data_9 = pd.read_csv('data_for_trading_platform_tw_9.csv')
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all_data = pd.concat([data_us, data_1, data_2, data_3, data_4, data_5, data_6, data_7, data_8, data_9], ignore_index=True)
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elif tw=='true':
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data_1 = pd.read_csv('data_for_trading_platform_tw_1.csv')
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data_2 = pd.read_csv('data_for_trading_platform_tw_2.csv')
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data_3 = pd.read_csv('data_for_trading_platform_tw_3.csv')
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data_4 = pd.read_csv('data_for_trading_platform_tw_4.csv')
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data_5 = pd.read_csv('data_for_trading_platform_tw_5.csv')
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data_6 = pd.read_csv('data_for_trading_platform_tw_6.csv')
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data_7 = pd.read_csv('data_for_trading_platform_tw_7.csv')
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data_8 = pd.read_csv('data_for_trading_platform_tw_8.csv')
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data_9 = pd.read_csv('data_for_trading_platform_tw_9.csv')
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all_data = pd.concat([data_1, data_2, data_3, data_4, data_5, data_6, data_7, data_8, data_9], ignore_index=True)
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else:
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all_data = None
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all_data['Date'] = pd.to_datetime(all_data['Date'], format='%Y-%m-%d')
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def stockpri(ticker, start, end):
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data = all_data[ (all_data['Ticker']==ticker) & (all_data['Date']>=start) & (all_data['Date']<=end) ]
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data.set_index('Date', inplace=True)
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data = data['Adj Close']
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return data
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portfolio_value = pd.Series([100])
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optimal_weights = None
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hist_return_series = pd.DataFrame(columns=['quarter', 'quarterly_returns'])
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index_returns_full = pd.Series()
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portfolio_returns_full = pd.Series()
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for i in range(len(start_dates)-3):
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### Take 6 months to backtest ###
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start = start_dates[i]
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end = start_dates[i+2]
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data = pd.DataFrame({ ticker: stockpri(ticker, start, end) for ticker in tickers })
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data = data.dropna()
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returns = data.pct_change() + 1
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returns = returns.dropna()
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log_returns = np.log(data.pct_change() + 1)
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log_returns = log_returns.dropna()
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if log_returns.empty:
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continue
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mu = np.exp(log_returns.mean()*252).values
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# Markowitz frontier
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profit = np.linspace(np.amin(mu), np.amax(mu), 100)
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frontier = []
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w = []
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if len(tickers) >= 3:
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for p in profit:
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# Problem data.
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n = len(tickers)
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S = matrix(log_returns.cov().values*252)
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pbar = matrix(0.0, (n,1))
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# Gx <= h
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G = matrix(0.0, (2*n,n))
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G[::(2*n+1)] = 1.0
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G[n::(2*n+1)] = -1.0
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# h = matrix(1.0, (2*n,1))
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h = matrix(np.concatenate((0.5*np.ones((n,1)), -0.03*np.ones((n,1))), axis=0))
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A = matrix(np.concatenate((np.ones((1,n)), mu.reshape((1,n))), axis=0))
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b = matrix([1, p], (2, 1))
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# Compute trade-off.
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res = qp(S, -pbar, G, h, A, b)
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if res['status'] == 'optimal':
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res_weight = res['x']
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s = math.sqrt(dot(res_weight, S*res_weight))
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frontier.append(np.array([p, s]))
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w.append(res_weight)
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elif len(tickers) == 2:
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for p in profit:
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S = log_returns.cov().values*252
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res_weight = [1 - (p-mu[0])/(mu[1]-mu[0]), (p-mu[0])/(mu[1]-mu[0])]
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if (res_weight[0] < 0.03) or (res_weight[0] > 0.97):
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continue
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s = math.sqrt(np.matmul(res_weight, np.matmul(S, np.transpose(res_weight))))
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frontier.append(np.array([p, s]))
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w.append(res_weight)
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elif len(tickers) == 1:
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res_weight = [1]
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w.append(res_weight)
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frontier.append(np.array([1, 1]))
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frontier = np.array(frontier)
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if frontier.shape == (0,):
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continue
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x = np.array(frontier[:, 0])
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y = np.array(frontier[:, 1])
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frontier_sharpe_ratios = np.divide(x-1, y)
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optimal_portfolio_index = np.argmax(frontier_sharpe_ratios)
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optimal_weights = w[optimal_portfolio_index]
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### paper trade on the next three months ###
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start = start_dates[i+2]
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end = start_dates[i+3]
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if tw=='true':
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index_ticker = '0050.TW'
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elif tw=='false':
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index_ticker = 'SPY'
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data = pd.DataFrame({ ticker: stockpri(ticker, start, end) for ticker in tickers })
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data['market'] = stockpri(index_ticker, start, end)
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data = data.dropna()
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returns = data.pct_change() + 1
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returns = returns.dropna()
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log_returns = np.log(data.pct_change() + 1)
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log_returns = log_returns.dropna()
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index_returns_3_months = returns['market']
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data = data.drop(columns=['market'])
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returns = returns.drop(columns=['market'])
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log_returns = log_returns.drop(columns=['market'])
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portfolio_returns_3_months = pd.Series(np.dot(returns, optimal_weights).flatten())
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index_returns_full = index_returns_full.append(index_returns_3_months, ignore_index=True)
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portfolio_returns_full = portfolio_returns_full.append(portfolio_returns_3_months, ignore_index=True)
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portfolio_cum_returns = np.dot(returns, optimal_weights).cumprod()
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portfolio_value_new_window = portfolio_value.iloc[-1].item() * pd.Series(portfolio_cum_returns)
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portfolio_value_new_window.index = pd.to_datetime(returns.index, format='%Y-%m-%d')
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portfolio_value = portfolio_value.append(portfolio_value_new_window)
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# produce quarterly return
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hist_return_series.loc[len(hist_return_series)] = [str(start.year)+'Q'+str((start.month+2)//3), portfolio_cum_returns[-1]-1]
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if optimal_weights == None:
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|
|
sharpe_ratio = avg_annual_return = annual_volatility = max_drawdown = alpha = beta = r_squared = ten_day_var = 0
|
||
|
|
optimal_weights = [0, ]*len(tickers)
|
||
|
|
hist_returns = None
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""insert into strategy (strategy_name,
|
||
|
|
author,
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
return,
|
||
|
|
volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var)
|
||
|
|
values (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s) returning strategy_id;""",
|
||
|
|
(strategy_name,
|
||
|
|
session['USERNAME'],
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
avg_annual_return,
|
||
|
|
annual_volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw_digit,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var
|
||
|
|
) )
|
||
|
|
strategy_id = cur.fetchone()[0]
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
# record the list of tickers into database
|
||
|
|
# strategy_id = cur.execute('select * from strategy where create_date=?', [create_date]).fetchone()['strategy_id']
|
||
|
|
for i in range(len(tickers)):
|
||
|
|
cur.execute('insert into assets_in_strategy (strategy_id, asset_ticker, weight) values (%s, %s, %s)',
|
||
|
|
(strategy_id, tickers[i], optimal_weights[i]))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
print('Strategy_id ' + str(strategy_id) + ' optimization fails.')
|
||
|
|
flash('無資料或無法畫出馬可維茲邊界，請換一個組合', 'danger')
|
||
|
|
return render_template('create_strategy.html', asset_candidates=asset_candidates if tw=='false' else asset_candidates_tw if tw=='true' else None, tw=tw)
|
||
|
|
|
||
|
|
avg_annual_return = np.exp(np.log(portfolio_value.pct_change() + 1).mean() * 252) - 1
|
||
|
|
annual_volatility = portfolio_value.pct_change().std() * math.sqrt(252)
|
||
|
|
sharpe_ratio = avg_annual_return/annual_volatility
|
||
|
|
max_drawdown = - np.amin(np.divide(portfolio_value, np.maximum.accumulate(portfolio_value)) - 1)
|
||
|
|
ten_day_var = ten_day_VaR(portfolio_value)
|
||
|
|
beta, alpha, r_squared = Linear_Reg(index_returns_full.to_numpy().flatten() - risk_free_rate,
|
||
|
|
portfolio_returns_full.to_numpy().flatten() - risk_free_rate)
|
||
|
|
|
||
|
|
print('Sharpe ratio: ', sharpe_ratio, ', Return: ', avg_annual_return, ', Volatility: ', annual_volatility, ', Maximum Drawdown: ', max_drawdown)
|
||
|
|
|
||
|
|
# hist_return_series.set_index('quarter', inplace=True)
|
||
|
|
hist_returns = pickle.dumps(hist_return_series)
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""insert into strategy (strategy_name,
|
||
|
|
author,
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
return,
|
||
|
|
volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var)
|
||
|
|
values (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s) returning strategy_id;""",
|
||
|
|
(strategy_name,
|
||
|
|
session['USERNAME'],
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
avg_annual_return,
|
||
|
|
annual_volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw_digit,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var
|
||
|
|
) )
|
||
|
|
strategy_id = cur.fetchone()[0]
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
# record the list of tickers into database
|
||
|
|
# strategy_id = cur.execute('select * from strategy where create_date=?', [create_date]).fetchone()['strategy_id']
|
||
|
|
for i in range(len(tickers)):
|
||
|
|
cur.execute('insert into assets_in_strategy (strategy_id, asset_ticker, weight) values (%s, %s, %s)',
|
||
|
|
(strategy_id, tickers[i], optimal_weights[i]))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
# fig, ax = plt.subplots()
|
||
|
|
# hist_return_series.hist(column='quarterly_returns', by='quarter', ax=ax)
|
||
|
|
hist_return_plot = hist_return_series.plot.bar(x='quarter', y='quarterly_returns').get_figure()
|
||
|
|
plt.tight_layout()
|
||
|
|
# plt.xticks(rotation=45)
|
||
|
|
hist_return_plot.savefig('static/img/quarterly_returns/'+str(strategy_id)+'.png')
|
||
|
|
plt.close()
|
||
|
|
|
||
|
|
print(portfolio_value.head())
|
||
|
|
print(portfolio_value.tail())
|
||
|
|
plt.xticks(rotation=90)
|
||
|
|
# plt.tight_layout()
|
||
|
|
plt.plot(portfolio_value.iloc[1:])
|
||
|
|
plt.savefig('static/img/portfolio_values/'+str(strategy_id)+'.png', bbox_inches='tight')
|
||
|
|
plt.close()
|
||
|
|
print('Strategy_id ' + str(strategy_id) + ' optimization succeeds.')
|
||
|
|
flash(Markup('回測已完成，詳情請<a href="/post_page?post_id=' + str(strategy_id) + '">點這裡查看</a>。'), 'success')
|
||
|
|
return render_template('create_strategy.html', asset_candidates=asset_candidates if tw=='false' else asset_candidates_tw if tw=='true' else None, tw=tw)
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/create_strategy_upload', methods=['GET', 'POST'])
|
||
|
|
def create_strategy_upload():
|
||
|
|
if not (session.get('USERNAME') and session['USERNAME']):
|
||
|
|
flash('使用此功能必須先登入。', 'danger')
|
||
|
|
return redirect('/login')
|
||
|
|
if session['USERNAME'] in black_list:
|
||
|
|
flash('我們已經暫停您建立策略的權利，有疑問請洽finteck@my.nthu.edu.tw', 'danger')
|
||
|
|
return redirect('/')
|
||
|
|
print('last_creation_time: ', session['last_creation_time'])
|
||
|
|
if time.time() - session['last_creation_time'] < 30:
|
||
|
|
flash('每兩次建立策略須間隔30秒', 'danger')
|
||
|
|
return redirect('/')
|
||
|
|
|
||
|
|
if request.method == 'POST':
|
||
|
|
strategy_name = request.form['strategy_name']
|
||
|
|
create_date = datetime.strftime(datetime.now() + timedelta(hours=8), '%Y/%m/%d %H:%M:%S.%f')
|
||
|
|
session['last_creation_time'] = time.time()
|
||
|
|
|
||
|
|
if strategy_name == '':
|
||
|
|
flash('請取一個名字', 'danger')
|
||
|
|
return render_template('create_strategy_upload.html')
|
||
|
|
|
||
|
|
f = request.files['fileToUpload']
|
||
|
|
filename = create_date.replace('/', '').replace(' ', '').replace(':', '').replace('.', '') + '.csv'
|
||
|
|
f.save(os.path.join(main.config['UPLOAD_FOLDER'], filename))
|
||
|
|
|
||
|
|
all_data = pd.read_csv(main.config['UPLOAD_FOLDER'] + filename)
|
||
|
|
all_data['Date'] = pd.to_datetime(all_data['Date'], format='%Y-%m-%d')
|
||
|
|
|
||
|
|
tickers = list(all_data.columns)
|
||
|
|
tickers.remove('Date')
|
||
|
|
print('The list of assets: ', tickers)
|
||
|
|
|
||
|
|
competition = request.form['competition']
|
||
|
|
|
||
|
|
|
||
|
|
# Turn off progress printing
|
||
|
|
solvers.options['show_progress'] = False
|
||
|
|
|
||
|
|
|
||
|
|
def stockpri(ticker, start, end):
|
||
|
|
data = all_data.loc[start:end, ['Date', ticker]]
|
||
|
|
data.set_index('Date', inplace=True)
|
||
|
|
data = data[ticker]
|
||
|
|
return data
|
||
|
|
|
||
|
|
|
||
|
|
portfolio_value = pd.Series([100])
|
||
|
|
optimal_weights = None
|
||
|
|
hist_return_series = pd.DataFrame(columns=['quarter', 'quarterly_returns'])
|
||
|
|
|
||
|
|
start_dates = list(np.arange(0, len(all_data), 63)) + [len(all_data)-1]
|
||
|
|
|
||
|
|
|
||
|
|
for i in range(len(start_dates)-3):
|
||
|
|
|
||
|
|
### Take 6 months to backtest ###
|
||
|
|
|
||
|
|
start = start_dates[i]
|
||
|
|
end = start_dates[i+2]+1
|
||
|
|
|
||
|
|
data = pd.DataFrame({ ticker: stockpri(ticker, start, end) for ticker in tickers })
|
||
|
|
data = data.dropna()
|
||
|
|
|
||
|
|
returns = data.pct_change() + 1
|
||
|
|
returns = returns.dropna()
|
||
|
|
log_returns = np.log(data.pct_change() + 1)
|
||
|
|
log_returns = log_returns.dropna()
|
||
|
|
|
||
|
|
if log_returns.empty:
|
||
|
|
continue
|
||
|
|
|
||
|
|
mu = np.exp(log_returns.mean()*252).values
|
||
|
|
# Markowitz frontier
|
||
|
|
profit = np.linspace(np.amin(mu), np.amax(mu), 100)
|
||
|
|
frontier = []
|
||
|
|
w = []
|
||
|
|
if len(tickers) >= 3:
|
||
|
|
for p in profit:
|
||
|
|
# Problem data.
|
||
|
|
n = len(tickers)
|
||
|
|
S = matrix(log_returns.cov().values*252)
|
||
|
|
pbar = matrix(0.0, (n,1))
|
||
|
|
# Gx <= h
|
||
|
|
G = matrix(0.0, (2*n,n))
|
||
|
|
G[::(2*n+1)] = 1.0
|
||
|
|
G[n::(2*n+1)] = -1.0
|
||
|
|
# h = matrix(1.0, (2*n,1))
|
||
|
|
h = matrix(np.concatenate((0.5*np.ones((n,1)), -0.03*np.ones((n,1))), axis=0))
|
||
|
|
A = matrix(np.concatenate((np.ones((1,n)), mu.reshape((1,n))), axis=0))
|
||
|
|
b = matrix([1, p], (2, 1))
|
||
|
|
|
||
|
|
# Compute trade-off.
|
||
|
|
res = qp(S, -pbar, G, h, A, b)
|
||
|
|
|
||
|
|
if res['status'] == 'optimal':
|
||
|
|
res_weight = res['x']
|
||
|
|
s = math.sqrt(dot(res_weight, S*res_weight))
|
||
|
|
frontier.append(np.array([p, s]))
|
||
|
|
w.append(res_weight)
|
||
|
|
elif len(tickers) == 2:
|
||
|
|
for p in profit:
|
||
|
|
S = log_returns.cov().values*252
|
||
|
|
res_weight = [1 - (p-mu[0])/(mu[1]-mu[0]), (p-mu[0])/(mu[1]-mu[0])]
|
||
|
|
if (res_weight[0] < 0.03) or (res_weight[0] > 0.97):
|
||
|
|
continue
|
||
|
|
s = math.sqrt(np.matmul(res_weight, np.matmul(S, np.transpose(res_weight))))
|
||
|
|
frontier.append(np.array([p, s]))
|
||
|
|
w.append(res_weight)
|
||
|
|
|
||
|
|
|
||
|
|
frontier = np.array(frontier)
|
||
|
|
if frontier.shape == (0,):
|
||
|
|
continue
|
||
|
|
x = np.array(frontier[:, 0])
|
||
|
|
y = np.array(frontier[:, 1])
|
||
|
|
|
||
|
|
frontier_sharpe_ratios = np.divide(x-1, y)
|
||
|
|
optimal_portfolio_index = np.argmax(frontier_sharpe_ratios)
|
||
|
|
optimal_weights = w[optimal_portfolio_index]
|
||
|
|
|
||
|
|
|
||
|
|
### paper trade on the next three months ###
|
||
|
|
|
||
|
|
start = start_dates[i+2]
|
||
|
|
end = start_dates[i+3]+1
|
||
|
|
|
||
|
|
data = pd.DataFrame({ ticker: stockpri(ticker, start, end) for ticker in tickers })
|
||
|
|
data = data.dropna()
|
||
|
|
|
||
|
|
returns = data.pct_change() + 1
|
||
|
|
returns = returns.dropna()
|
||
|
|
log_returns = np.log(data.pct_change() + 1)
|
||
|
|
log_returns = log_returns.dropna()
|
||
|
|
|
||
|
|
|
||
|
|
portfolio_cum_returns = np.dot(returns, optimal_weights).cumprod()
|
||
|
|
portfolio_value_new_window = portfolio_value.iloc[-1].item() * pd.Series(portfolio_cum_returns)
|
||
|
|
portfolio_value_new_window.index = pd.to_datetime(returns.index, format='%Y-%m-%d')
|
||
|
|
portfolio_value = portfolio_value.append(portfolio_value_new_window)
|
||
|
|
# portfolio_value.append(portfolio_value_new_window)
|
||
|
|
|
||
|
|
# produce quarterly return
|
||
|
|
hist_return_series.loc[len(hist_return_series)] = [str(start), portfolio_cum_returns[-1]-1]
|
||
|
|
|
||
|
|
|
||
|
|
if len(tickers) == 1:
|
||
|
|
optimal_weights = [1]
|
||
|
|
portfolio_value = stockpri(tickers[0], 0, len(all_data))
|
||
|
|
for i in range(len(start_dates)-1):
|
||
|
|
hist_return_series.loc[i] = [ str(start_dates[i]), portfolio_value[start_dates[i+1]] - portfolio_value[start_dates[i]] ]
|
||
|
|
|
||
|
|
if optimal_weights == None:
|
||
|
|
sharpe_ratio = avg_annual_return = annual_volatility = max_drawdown = ten_day_var = 0
|
||
|
|
optimal_weights = [0, ]*len(tickers)
|
||
|
|
hist_returns = None
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""insert into strategy (strategy_name,
|
||
|
|
author,
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
return,
|
||
|
|
volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var)
|
||
|
|
values (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s) returning strategy_id;""",
|
||
|
|
(strategy_name,
|
||
|
|
session['USERNAME'],
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
avg_annual_return,
|
||
|
|
annual_volatility,
|
||
|
|
max_drawdown,
|
||
|
|
0, # tw_digit,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
0, # alpha,
|
||
|
|
0, # beta,
|
||
|
|
0, # r_squared,
|
||
|
|
ten_day_var
|
||
|
|
) )
|
||
|
|
strategy_id = cur.fetchone()[0]
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
# record the list of tickers into database
|
||
|
|
# strategy_id = cur.execute('select * from strategy where create_date=?', [create_date]).fetchone()['strategy_id']
|
||
|
|
for i in range(len(tickers)):
|
||
|
|
cur.execute('insert into assets_in_strategy (strategy_id, asset_ticker, weight) values (%s, %s, %s)',
|
||
|
|
(strategy_id, tickers[i], optimal_weights[i]))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
print('Strategy_id ' + str(strategy_id) + ' optimization fails.')
|
||
|
|
flash('無資料或無法畫出馬可維茲邊界，請換一個組合', 'danger')
|
||
|
|
return render_template('create_strategy_upload.html')
|
||
|
|
|
||
|
|
avg_annual_return = np.exp(np.log(portfolio_value.pct_change() + 1).mean() * 252) - 1
|
||
|
|
annual_volatility = portfolio_value.pct_change().std() * math.sqrt(252)
|
||
|
|
sharpe_ratio = avg_annual_return/annual_volatility
|
||
|
|
max_drawdown = - np.amin(np.divide(portfolio_value, np.maximum.accumulate(portfolio_value)) - 1)
|
||
|
|
ten_day_var = ten_day_VaR(portfolio_value)
|
||
|
|
|
||
|
|
print('Sharpe ratio: ', sharpe_ratio, ', Return: ', avg_annual_return, ', Volatility: ', annual_volatility, ', Maximum Drawdown: ', max_drawdown)
|
||
|
|
|
||
|
|
# hist_return_series.set_index('quarter', inplace=True)
|
||
|
|
hist_returns = pickle.dumps(hist_return_series)
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""insert into strategy (strategy_name,
|
||
|
|
author,
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
return,
|
||
|
|
volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var) values (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s) returning strategy_id;""",
|
||
|
|
(strategy_name,
|
||
|
|
session['USERNAME'],
|
||
|
|
create_date,
|
||
|
|
sharpe_ratio,
|
||
|
|
avg_annual_return,
|
||
|
|
annual_volatility,
|
||
|
|
max_drawdown,
|
||
|
|
0, # tw_digit,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
0, # alpha,
|
||
|
|
0, # beta,
|
||
|
|
0, # r_squared,
|
||
|
|
ten_day_var
|
||
|
|
) )
|
||
|
|
strategy_id = cur.fetchone()[0]
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
# record the list of tickers into database
|
||
|
|
# strategy_id = cur.execute('select * from strategy where create_date=%s', (create_date,)).fetchone()['strategy_id']
|
||
|
|
for i in range(len(tickers)):
|
||
|
|
cur.execute('insert into assets_in_strategy (strategy_id, asset_ticker, weight) values (%s, %s, %s)',
|
||
|
|
(strategy_id, tickers[i], optimal_weights[i]))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
# fig, ax = plt.subplots()
|
||
|
|
# hist_return_series.hist(column='quarterly_returns', by='quarter', ax=ax)
|
||
|
|
hist_return_plot = hist_return_series.plot.bar(x='quarter', y='quarterly_returns').get_figure()
|
||
|
|
plt.tight_layout()
|
||
|
|
hist_return_plot.savefig('static/img/quarterly_returns/'+str(strategy_id)+'.png')
|
||
|
|
plt.close()
|
||
|
|
|
||
|
|
print(portfolio_value.head())
|
||
|
|
print(portfolio_value.tail())
|
||
|
|
plt.xticks(rotation=90)
|
||
|
|
# plt.tight_layout()
|
||
|
|
plt.plot(portfolio_value.iloc[1:])
|
||
|
|
plt.savefig('static/img/portfolio_values/'+str(strategy_id)+'.png', bbox_inches='tight')
|
||
|
|
plt.close()
|
||
|
|
print('Strategy_id ' + str(strategy_id) + ' optimization succeeds.')
|
||
|
|
flash(Markup('回測已完成，詳情請<a href="/post_page?post_id=' + str(strategy_id) + '">點這裡查看</a>。'), 'success')
|
||
|
|
return render_template('create_strategy_upload.html')
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/create_strategy_topic', methods=['GET', 'POST'])
|
||
|
|
def create_strategy_topic():
|
||
|
|
if not (session.get('USERNAME') and session['USERNAME']):
|
||
|
|
flash('使用此功能必須先登入。', 'danger')
|
||
|
|
return redirect('/login')
|
||
|
|
if session['USERNAME'] in black_list:
|
||
|
|
flash('我們已經暫停您建立策略的權利，有疑問請洽finteck@my.nthu.edu.tw', 'danger')
|
||
|
|
return redirect('/')
|
||
|
|
print('last_creation_time: ', session['last_creation_time'])
|
||
|
|
if time.time() - session['last_creation_time'] < 30:
|
||
|
|
flash('每兩次建立策略須間隔30秒', 'danger')
|
||
|
|
return redirect('/')
|
||
|
|
|
||
|
|
if request.method == 'POST':
|
||
|
|
strategy_name = request.form['strategy_name']
|
||
|
|
create_date = datetime.strftime(datetime.now() + timedelta(hours=8), '%Y/%m/%d %H:%M:%S.%f')
|
||
|
|
session['last_creation_time'] = time.time()
|
||
|
|
|
||
|
|
if strategy_name == '':
|
||
|
|
flash('請取一個名字', 'danger')
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""select * from strategy where competition='topic' order by strategy_id desc""")
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
return render_template('create_strategy_topic.html', topic_results=sql_results)
|
||
|
|
|
||
|
|
f = request.files['fileToUpload']
|
||
|
|
filename = create_date.replace('/', '').replace(' ', '').replace(':', '').replace('.', '') + '.csv'
|
||
|
|
f.save(os.path.join(main.config['UPLOAD_FOLDER'], filename))
|
||
|
|
|
||
|
|
all_data = pd.read_csv(main.config['UPLOAD_FOLDER'] + filename)
|
||
|
|
all_data['Date'] = pd.to_datetime(all_data['Date'], format='%Y-%m-%d')
|
||
|
|
|
||
|
|
tickers = list(all_data.columns)
|
||
|
|
tickers.remove('Date')
|
||
|
|
print('The list of assets: ', tickers)
|
||
|
|
|
||
|
|
competition = request.form['competition']
|
||
|
|
|
||
|
|
|
||
|
|
# Turn off progress printing
|
||
|
|
solvers.options['show_progress'] = False
|
||
|
|
|
||
|
|
|
||
|
|
def stockpri(ticker, start, end):
|
||
|
|
data = all_data.loc[start:end, ['Date', ticker]]
|
||
|
|
data.set_index('Date', inplace=True)
|
||
|
|
data = data[ticker]
|
||
|
|
return data
|
||
|
|
|
||
|
|
|
||
|
|
portfolio_value = pd.Series([100])
|
||
|
|
optimal_weights = None
|
||
|
|
hist_return_series = pd.DataFrame(columns=['month', 'monthly_returns'])
|
||
|
|
|
||
|
|
start_dates = list(np.arange(0, len(all_data), 21)) + [len(all_data)-1]
|
||
|
|
|
||
|
|
|
||
|
|
for i in range(len(start_dates)-3):
|
||
|
|
|
||
|
|
### Take 6 months to backtest ###
|
||
|
|
|
||
|
|
start = start_dates[i]
|
||
|
|
end = start_dates[i+2]+1
|
||
|
|
|
||
|
|
data = pd.DataFrame({ ticker: stockpri(ticker, start, end) for ticker in tickers })
|
||
|
|
data = data.dropna()
|
||
|
|
|
||
|
|
returns = data.pct_change() + 1
|
||
|
|
returns = returns.dropna()
|
||
|
|
log_returns = np.log(data.pct_change() + 1)
|
||
|
|
log_returns = log_returns.dropna()
|
||
|
|
|
||
|
|
if log_returns.empty:
|
||
|
|
continue
|
||
|
|
|
||
|
|
mu = np.exp(log_returns.mean()*252).values
|
||
|
|
# Markowitz frontier
|
||
|
|
profit = np.linspace(np.amin(mu), np.amax(mu), 100)
|
||
|
|
frontier = []
|
||
|
|
w = []
|
||
|
|
if len(tickers) >= 3:
|
||
|
|
for p in profit:
|
||
|
|
# Problem data.
|
||
|
|
n = len(tickers)
|
||
|
|
S = matrix(log_returns.cov().values*252)
|
||
|
|
pbar = matrix(0.0, (n,1))
|
||
|
|
# Gx <= h
|
||
|
|
G = matrix(0.0, (2*n,n))
|
||
|
|
G[::(2*n+1)] = 1.0
|
||
|
|
G[n::(2*n+1)] = -1.0
|
||
|
|
# h = matrix(1.0, (2*n,1))
|
||
|
|
h = matrix(np.concatenate((0.5*np.ones((n,1)), -0.03*np.ones((n,1))), axis=0))
|
||
|
|
A = matrix(np.concatenate((np.ones((1,n)), mu.reshape((1,n))), axis=0))
|
||
|
|
b = matrix([1, p], (2, 1))
|
||
|
|
|
||
|
|
# Compute trade-off.
|
||
|
|
res = qp(S, -pbar, G, h, A, b)
|
||
|
|
|
||
|
|
if res['status'] == 'optimal':
|
||
|
|
res_weight = res['x']
|
||
|
|
s = math.sqrt(dot(res_weight, S*res_weight))
|
||
|
|
frontier.append(np.array([p, s]))
|
||
|
|
w.append(res_weight)
|
||
|
|
elif len(tickers) == 2:
|
||
|
|
for p in profit:
|
||
|
|
S = log_returns.cov().values*252
|
||
|
|
res_weight = [1 - (p-mu[0])/(mu[1]-mu[0]), (p-mu[0])/(mu[1]-mu[0])]
|
||
|
|
if (res_weight[0] < 0.03) or (res_weight[0] > 0.97):
|
||
|
|
continue
|
||
|
|
s = math.sqrt(np.matmul(res_weight, np.matmul(S, np.transpose(res_weight))))
|
||
|
|
frontier.append(np.array([p, s]))
|
||
|
|
w.append(res_weight)
|
||
|
|
|
||
|
|
|
||
|
|
frontier = np.array(frontier)
|
||
|
|
if frontier.shape == (0,):
|
||
|
|
continue
|
||
|
|
x = np.array(frontier[:, 0])
|
||
|
|
y = np.array(frontier[:, 1])
|
||
|
|
|
||
|
|
frontier_sharpe_ratios = np.divide(x-1, y)
|
||
|
|
optimal_portfolio_index = np.argmax(frontier_sharpe_ratios)
|
||
|
|
optimal_weights = w[optimal_portfolio_index]
|
||
|
|
|
||
|
|
|
||
|
|
### paper trade on the next three months ###
|
||
|
|
|
||
|
|
start = start_dates[i+2]
|
||
|
|
end = start_dates[i+3]+1
|
||
|
|
|
||
|
|
data = pd.DataFrame({ ticker: stockpri(ticker, start, end) for ticker in tickers })
|
||
|
|
data = data.dropna()
|
||
|
|
|
||
|
|
returns = data.pct_change() + 1
|
||
|
|
returns = returns.dropna()
|
||
|
|
log_returns = np.log(data.pct_change() + 1)
|
||
|
|
log_returns = log_returns.dropna()
|
||
|
|
|
||
|
|
|
||
|
|
portfolio_cum_returns = np.dot(returns, optimal_weights).cumprod()
|
||
|
|
portfolio_value_new_window = portfolio_value.iloc[-1].item() * pd.Series(portfolio_cum_returns)
|
||
|
|
portfolio_value_new_window.index = pd.to_datetime(returns.index, format='%Y-%m-%d')
|
||
|
|
portfolio_value = portfolio_value.append(portfolio_value_new_window)
|
||
|
|
|
||
|
|
# produce monthly return
|
||
|
|
hist_return_series.loc[len(hist_return_series)] = [str(start), portfolio_cum_returns[-1]-1]
|
||
|
|
|
||
|
|
if optimal_weights == None:
|
||
|
|
sharpe_ratio = avg_annual_return = annual_volatility = max_drawdown = ten_day_var = 0
|
||
|
|
optimal_weights = [0, ]*len(tickers)
|
||
|
|
hist_returns = None
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""insert into strategy (strategy_name,
|
||
|
|
author,
|
||
|
|
create_date,
|
||
|
|
explanation,
|
||
|
|
sharpe_ratio,
|
||
|
|
return,
|
||
|
|
volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var)
|
||
|
|
values (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s) returning strategy_id;""",
|
||
|
|
(strategy_name,
|
||
|
|
session['USERNAME'],
|
||
|
|
create_date,
|
||
|
|
"", #explanation
|
||
|
|
sharpe_ratio,
|
||
|
|
avg_annual_return,
|
||
|
|
annual_volatility,
|
||
|
|
max_drawdown,
|
||
|
|
0, # tw_digit,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
0, # alpha,
|
||
|
|
0, # beta,
|
||
|
|
0, # r_squared,
|
||
|
|
ten_day_var
|
||
|
|
) )
|
||
|
|
strategy_id = cur.fetchone()[0]
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
# record the list of tickers into database
|
||
|
|
# strategy_id = cur.execute('select * from strategy where create_date=?', [create_date]).fetchone()['strategy_id']
|
||
|
|
for i in range(len(tickers)):
|
||
|
|
cur.execute('insert into assets_in_strategy (strategy_id, asset_ticker, weight) values (%s, %s, %s)',
|
||
|
|
(strategy_id, tickers[i], optimal_weights[i]))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
print('Strategy_id ' + str(strategy_id) + ' optimization fails.')
|
||
|
|
flash('無資料或無法畫出馬可維茲邊界，請換一個組合', 'danger')
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""select * from strategy where competition='topic' order by strategy_id desc""")
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
return render_template('create_strategy_topic.html', topic_results=sql_results)
|
||
|
|
|
||
|
|
avg_annual_return = np.exp(np.log(portfolio_value.pct_change() + 1).mean() * 252) - 1
|
||
|
|
annual_volatility = portfolio_value.pct_change().std() * math.sqrt(252)
|
||
|
|
sharpe_ratio = avg_annual_return/annual_volatility
|
||
|
|
max_drawdown = - np.amin(np.divide(portfolio_value, np.maximum.accumulate(portfolio_value)) - 1)
|
||
|
|
ten_day_var = ten_day_VaR(portfolio_value)
|
||
|
|
|
||
|
|
print('Sharpe ratio: ', sharpe_ratio, ', Return: ', avg_annual_return, ', Volatility: ', annual_volatility, ', Maximum Drawdown: ', max_drawdown)
|
||
|
|
|
||
|
|
# hist_return_series.set_index('month', inplace=True)
|
||
|
|
hist_returns = pickle.dumps(hist_return_series)
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""insert into strategy (strategy_name,
|
||
|
|
author,
|
||
|
|
create_date,
|
||
|
|
explanation,
|
||
|
|
sharpe_ratio,
|
||
|
|
return,
|
||
|
|
volatility,
|
||
|
|
max_drawdown,
|
||
|
|
tw,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
alpha,
|
||
|
|
beta,
|
||
|
|
r_squared,
|
||
|
|
ten_day_var) values (%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s,%s) returning strategy_id;""",
|
||
|
|
(strategy_name,
|
||
|
|
session['USERNAME'],
|
||
|
|
create_date,
|
||
|
|
"", #explanation
|
||
|
|
sharpe_ratio,
|
||
|
|
avg_annual_return,
|
||
|
|
annual_volatility,
|
||
|
|
max_drawdown,
|
||
|
|
0, # tw_digit,
|
||
|
|
competition,
|
||
|
|
hist_returns,
|
||
|
|
0, # alpha,
|
||
|
|
0, # beta,
|
||
|
|
0, # r_squared,
|
||
|
|
ten_day_var
|
||
|
|
) )
|
||
|
|
strategy_id = cur.fetchone()[0]
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
# record the list of tickers into database
|
||
|
|
# strategy_id = cur.execute('select * from strategy where create_date=%s', (create_date,)).fetchone()['strategy_id']
|
||
|
|
for i in range(len(tickers)):
|
||
|
|
cur.execute('insert into assets_in_strategy (strategy_id, asset_ticker, weight) values (%s, %s, %s)',
|
||
|
|
(strategy_id, tickers[i], optimal_weights[i]))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
# fig, ax = plt.subplots()
|
||
|
|
# hist_return_series.hist(column='monthly_returns', by='month', ax=ax)
|
||
|
|
hist_return_plot = hist_return_series.plot.bar(x='month', y='monthly_returns').get_figure()
|
||
|
|
plt.tight_layout()
|
||
|
|
hist_return_plot.savefig('static/img/monthly_returns/'+str(strategy_id)+'.png')
|
||
|
|
plt.close()
|
||
|
|
|
||
|
|
print(portfolio_value.head())
|
||
|
|
print(portfolio_value.tail())
|
||
|
|
plt.xticks(rotation=90)
|
||
|
|
# plt.tight_layout()
|
||
|
|
plt.plot(portfolio_value.iloc[1:])
|
||
|
|
plt.savefig('static/img/portfolio_values/'+str(strategy_id)+'.png', bbox_inches='tight')
|
||
|
|
plt.close()
|
||
|
|
print('Strategy_id ' + str(strategy_id) + ' optimization succeeds.')
|
||
|
|
flash(Markup('回測已完成，詳情請<a href="/post_page?post_id=' + str(strategy_id) + '">點這裡查看</a>。'), 'success')
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""select * from strategy where competition in ('topic_high_sharpe', 'topic_high_esg', 'topic_high_return', 'topic_high_volume') order by strategy_id desc""")
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
return render_template('create_strategy_topic.html', topic_results=sql_results)
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/login')
|
||
|
|
def login():
|
||
|
|
return render_template('login.html')
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/login', methods=['POST'])
|
||
|
|
def login_post():
|
||
|
|
password = request.form.get('password')
|
||
|
|
username = request.form.get('username')
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute('select * from users where username=%s', (username,))
|
||
|
|
sql_result = cur.fetchone()
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
if (not sql_result) or (not check_password_hash(sql_result['password'], password)):
|
||
|
|
flash('使用者代號不對或密碼不對，請再試一次。', 'danger')
|
||
|
|
return redirect('/login')
|
||
|
|
|
||
|
|
print(sql_result['username'], sql_result['user_id'])
|
||
|
|
session['login'] = True
|
||
|
|
session['user_id'] = sql_result['user_id']
|
||
|
|
session['USERNAME'] = sql_result['username']
|
||
|
|
session['last_creation_time'] = 0
|
||
|
|
session['vip'] = sql_result['vip']
|
||
|
|
return redirect('/')
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/logout')
|
||
|
|
#@login_required
|
||
|
|
def logout():
|
||
|
|
#logout_user()
|
||
|
|
session['user_id'] = -1
|
||
|
|
session['USERNAME'] = None
|
||
|
|
session['login'] = False
|
||
|
|
session['last_creation_time'] = None
|
||
|
|
session['vip'] = None
|
||
|
|
return redirect('/login')
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/signup')
|
||
|
|
def signup():
|
||
|
|
return render_template('signup.html')
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/signup', methods=['POST'])
|
||
|
|
def signup_post():
|
||
|
|
username = request.form.get('username')
|
||
|
|
password = request.form.get('password')
|
||
|
|
confirm_password = request.form.get('confirm_password')
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute('select * from users where username=%s', (username,))
|
||
|
|
sql_result = cur.fetchone()
|
||
|
|
if sql_result: # if a user is found, we want to redirect back to signup page so user can try again
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
flash('這個Email地址已經被使用', 'danger')
|
||
|
|
return redirect('/signup')
|
||
|
|
|
||
|
|
if not (password == confirm_password):
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
flash('所輸入兩次密碼不同', 'danger')
|
||
|
|
return redirect('/signup')
|
||
|
|
|
||
|
|
# create new user with the form data. Hash the password so plaintext version isn't saved.
|
||
|
|
cur.execute('insert into users (username, password) values (%s, %s)', (username, generate_password_hash(password)))
|
||
|
|
conn.commit()
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
print('registered')
|
||
|
|
flash('已成功註冊', 'success')
|
||
|
|
|
||
|
|
return redirect('/login')
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/forum')
|
||
|
|
def forum_index():
|
||
|
|
if not (session.get('USERNAME') and session['USERNAME']):
|
||
|
|
flash('使用此功能必須先登入。', 'danger')
|
||
|
|
return redirect('/login')
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute("""select * from strategy
|
||
|
|
where competition not in (""" + confidential_competitions_placeholder + """) or author=%s
|
||
|
|
order by strategy_id desc;""",
|
||
|
|
confidential_competitions_list + (session['USERNAME'],))
|
||
|
|
data = cur.fetchall()
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
content_list = []
|
||
|
|
for d in data:
|
||
|
|
content_list.append({
|
||
|
|
"id": d['strategy_id'],
|
||
|
|
"time": d['create_date'],
|
||
|
|
"user_id": None,
|
||
|
|
"user_email": None,
|
||
|
|
"user_name": d['author'],
|
||
|
|
"comment": None,
|
||
|
|
"title": d['strategy_name'],
|
||
|
|
"video_id": None
|
||
|
|
})
|
||
|
|
|
||
|
|
return_data = {
|
||
|
|
"count": len(data),
|
||
|
|
"content": content_list
|
||
|
|
}
|
||
|
|
|
||
|
|
return render_template('forum.html', forum_data=return_data)
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/post_page', methods=['GET'])
|
||
|
|
# @login_required
|
||
|
|
def post_page():
|
||
|
|
if not (session.get('USERNAME') and session['USERNAME']):
|
||
|
|
flash('使用此功能必須先登入。', 'danger')
|
||
|
|
return redirect('/login')
|
||
|
|
post_id = int(request.values.get('post_id'))
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
|
||
|
|
cur.execute('update strategy set click_count=click_count+1 where strategy_id=%s', (post_id,))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.execute('select * from strategy where strategy_id=%s', (post_id,))
|
||
|
|
strategy_content_list = cur.fetchone()
|
||
|
|
cur.execute('select * from assets_in_strategy where strategy_id=%s', (post_id,))
|
||
|
|
asset_list = cur.fetchall()
|
||
|
|
cur.execute('select * from comment where strategy_id=%s', (post_id,))
|
||
|
|
comment_list = cur.fetchall()
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
|
||
|
|
print(asset_list)
|
||
|
|
|
||
|
|
with open('latest_trading_data.txt') as all_data:
|
||
|
|
all_data_close = json.load(all_data)
|
||
|
|
|
||
|
|
return_data = {
|
||
|
|
"strategy_content": strategy_content_list,
|
||
|
|
"asset_content": asset_list,
|
||
|
|
"comment_content": comment_list,
|
||
|
|
"comment_count": len(comment_list),
|
||
|
|
"asset_candidates": dict(asset_candidates + asset_candidates_tw),
|
||
|
|
"all_trading_data": all_data_close
|
||
|
|
}
|
||
|
|
|
||
|
|
return render_template('post_page.html', data=return_data, strategy_id=str(post_id))
|
||
|
|
|
||
|
|
@main.route('/comment', methods=['POST'])
|
||
|
|
#@login_required
|
||
|
|
def post_comment_data():
|
||
|
|
comment = request.form['comment']
|
||
|
|
strategy_id = request.form['strategy_id']
|
||
|
|
author = session['USERNAME']
|
||
|
|
utc = datetime.utcnow()
|
||
|
|
utc = utc.replace(tzinfo=pytz.utc)
|
||
|
|
comment_date = datetime.strftime(utc.astimezone(pytz.timezone('Asia/Taipei')), '%Y/%m/%d %H:%M')
|
||
|
|
# comment_date = datetime.strftime(datetime.utcnow().astimezone(pytz.timezone('Asia/Taipei')), '%Y/%m/%d %H:%M')
|
||
|
|
# comment_date = datetime.strftime(datetime.utcnow().replace(tzinfo=pytz.timezone('Asia/Taipei')), '%Y/%m/%d %H:%M')
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
cur.execute('insert into comment (author, strategy_id, comment, date) values (%s, %s, %s, %s)', (author, strategy_id, comment, comment_date))
|
||
|
|
conn.commit()
|
||
|
|
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
return redirect('/post_page?post_id='+str(strategy_id))
|
||
|
|
|
||
|
|
|
||
|
|
#@main.route('/profile')
|
||
|
|
#@login_required
|
||
|
|
#def profile():
|
||
|
|
# return render_template('profile.html', name=current_user.name)
|
||
|
|
|
||
|
|
|
||
|
|
@main.route('/analysis_result')
|
||
|
|
#@login_required
|
||
|
|
def analysis_result():
|
||
|
|
if not (session.get('USERNAME') and session['USERNAME']):
|
||
|
|
flash('使用此功能必須先登入。', 'danger')
|
||
|
|
return redirect('/login')
|
||
|
|
|
||
|
|
sortby = request.values.get('sortby')
|
||
|
|
competition = request.values.get('competition')
|
||
|
|
tw = request.values.get('tw')
|
||
|
|
tw_digit = 1 if tw=='true' else 0 if tw=='false' else None
|
||
|
|
|
||
|
|
conn = psycopg2.connect(database=POSTGRESQL_DATABASE, user=POSTGRESQL_USER)
|
||
|
|
cur = conn.cursor(cursor_factory = psycopg2.extras.DictCursor)
|
||
|
|
if sortby == 'competition':
|
||
|
|
if competition in confidential_competitions_list:
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
flash('本競賽暫不開放查詢', 'danger')
|
||
|
|
return redirect('analysis_result?sortby=default&tw=' + tw +'&competition=none')
|
||
|
|
cur.execute("""select b.strategy_id,
|
||
|
|
a.author,
|
||
|
|
b.create_date,
|
||
|
|
b.return,
|
||
|
|
a.sharpe_ratio,
|
||
|
|
b.max_drawdown,
|
||
|
|
b.strategy_name,
|
||
|
|
b.volatility
|
||
|
|
from (select author, max(sharpe_ratio) as sharpe_ratio from strategy group by author) as a
|
||
|
|
join strategy as b on a.author=b.author and a.sharpe_ratio=b.sharpe_ratio
|
||
|
|
where b.competition=%s
|
||
|
|
order by a.sharpe_ratio desc;""", (competition,))
|
||
|
|
#cur.execute("""select strategy_id,
|
||
|
|
# author,
|
||
|
|
# create_date,
|
||
|
|
# return,
|
||
|
|
# max(sharpe_ratio) as sharpe_ratio,
|
||
|
|
# max_drawdown,
|
||
|
|
# strategy_name,
|
||
|
|
# volatility
|
||
|
|
# from strategy
|
||
|
|
# where competition=%s
|
||
|
|
# group by author
|
||
|
|
# order by sharpe_ratio desc;""", (competition,))
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
num_records_hidden = min(5, len(sql_results))
|
||
|
|
if session['vip']==False:
|
||
|
|
for i in range(num_records_hidden):
|
||
|
|
for key in sql_results[i].keys():
|
||
|
|
if key not in ['return', 'sharpe_ratio', 'max_drawdown', 'volatility']:
|
||
|
|
sql_results[i][key] = '*****'
|
||
|
|
elif sortby == 'default':
|
||
|
|
cur.execute("""select * from strategy
|
||
|
|
where tw=%s and (competition not in (""" + confidential_competitions_placeholder + """) or author=%s)
|
||
|
|
order by strategy_id desc limit 200;""",
|
||
|
|
(tw_digit,) + confidential_competitions_list + (session['USERNAME'],))
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
elif sortby == 'myself':
|
||
|
|
cur.execute("""select * from strategy
|
||
|
|
where tw=%s and author=%s
|
||
|
|
order by strategy_id desc;""",
|
||
|
|
(tw_digit, session['USERNAME']))
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
elif sortby == 'return':
|
||
|
|
cur.execute("""select * from strategy
|
||
|
|
where tw=%s and (competition not in (""" + confidential_competitions_placeholder + """) or author=%s)
|
||
|
|
order by return desc limit 1000;""",
|
||
|
|
(tw_digit,) + confidential_competitions_list + (session['USERNAME'],))
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
# num_records_hidden = min(5, len(sql_results))
|
||
|
|
# if session['vip']==False:
|
||
|
|
# for i in range(num_records_hidden):
|
||
|
|
# for key in sql_results[i].keys():
|
||
|
|
# if key not in ['return', 'sharpe_ratio', 'max_drawdown', 'volatility']:
|
||
|
|
# sql_results[i][key] = '*****'
|
||
|
|
if session['vip']==False:
|
||
|
|
return_threshold = 1
|
||
|
|
for record in sql_results:
|
||
|
|
if record['return'] > return_threshold:
|
||
|
|
for key in record.keys():
|
||
|
|
if key not in ['return', 'sharpe_ratio', 'max_drawdown', 'volatility']:
|
||
|
|
record[key] = '*****'
|
||
|
|
else:
|
||
|
|
break
|
||
|
|
elif sortby == 'sharpe':
|
||
|
|
cur.execute("""select * from strategy
|
||
|
|
where tw=%s and (competition not in (""" + confidential_competitions_placeholder + """) or author=%s) and sharpe_ratio!='NaN'
|
||
|
|
order by sharpe_ratio desc limit 1000;""",
|
||
|
|
(tw_digit,) + confidential_competitions_list + (session['USERNAME'],))
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
if session['vip']==False:
|
||
|
|
sharpe_threshold = 5
|
||
|
|
for record in sql_results:
|
||
|
|
if record['sharpe_ratio'] > sharpe_threshold:
|
||
|
|
for key in record.keys():
|
||
|
|
if key not in ['return', 'sharpe_ratio', 'max_drawdown', 'volatility']:
|
||
|
|
record[key] = '*****'
|
||
|
|
else:
|
||
|
|
break
|
||
|
|
elif sortby == 'vol':
|
||
|
|
cur.execute("""select * from strategy
|
||
|
|
where tw=%s and (competition not in (""" + confidential_competitions_placeholder + """) or author=%s) and volatility!=0
|
||
|
|
order by volatility asc limit 1000;""",
|
||
|
|
(tw_digit,) + confidential_competitions_list + (session['USERNAME'],))
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
if session['vip']==False:
|
||
|
|
vol_threshold = 0.1
|
||
|
|
for record in sql_results:
|
||
|
|
if record['volatility'] < vol_threshold:
|
||
|
|
for key in record.keys():
|
||
|
|
if key not in ['return', 'sharpe_ratio', 'max_drawdown', 'volatility']:
|
||
|
|
record[key] = '*****'
|
||
|
|
else:
|
||
|
|
break
|
||
|
|
elif sortby == 'mdd':
|
||
|
|
cur.execute("""select * from strategy
|
||
|
|
where tw=%s and (competition not in (""" + confidential_competitions_placeholder + """) or author=%s) and max_drawdown!=0
|
||
|
|
order by max_drawdown asc limit 1000;""",
|
||
|
|
(tw_digit,) + confidential_competitions_list + (session['USERNAME'],))
|
||
|
|
sql_results = cur.fetchall()
|
||
|
|
if session['vip']==False:
|
||
|
|
mdd_threshold = 0.15
|
||
|
|
for record in sql_results:
|
||
|
|
if record['max_drawdown'] < mdd_threshold:
|
||
|
|
for key in record.keys():
|
||
|
|
if key not in ['return', 'sharpe_ratio', 'max_drawdown', 'volatility']:
|
||
|
|
record[key] = '*****'
|
||
|
|
else:
|
||
|
|
break
|
||
|
|
cur.close()
|
||
|
|
conn.close()
|
||
|
|
return render_template('result.html', results=sql_results, tw=tw)
|
||
|
|
|
||
|
|
|
||
|
|
if __name__ == "__main__":
|
||
|
|
main.run(host='0.0.0.0', port=80)
|