d

main.py

@@ -20,25 +20,25 @@ pd.options.plotting.backend = "plotly"
 
 # PARAMETERS
 CONFIGS = {
-    "ENV": "development",
-    "DEBUG": True,
+    # "ENV": "development",
+    # "DEBUG": True,
     "SECRET_KEY": os.urandom(30), # Set the secret key for session authentication
     "PERMANENT_SESSION_LIFETIME": timedelta(minutes=60)
 }
-# SQL_CONFIG = dict(
-#     database= os.getenv("PGDATABASE"),
-#     user=os.getenv("PGUSER"), 
-#     host=os.getenv("PGHOST"), 
-#     port=os.getenv("PGPORT"),
-#     password=os.getenv("PGPASSWORD")
-# )
 SQL_CONFIG = dict(
-        database="railway",
-        user="postgres", 
-        host="containers-us-west-103.railway.app", 
-        port="5913",
-        password="gv5Mh7cPjCm9YTjAmsYD"
+    database= os.getenv("PGDATABASE"),
+    user=os.getenv("PGUSER"), 
+    host=os.getenv("PGHOST"), 
+    port=os.getenv("PGPORT"),
+    password=os.getenv("PGPASSWORD")
 )
+# SQL_CONFIG = dict(
+#         database="railway",
+#         user="postgres", 
+#         host="containers-us-west-103.railway.app", 
+#         port="5913",
+#         password="gv5Mh7cPjCm9YTjAmsYD"
+# )
 # SQL_CONFIG = {
 #     'database': "tpm",
 #     'user': "hsienchen", 
@@ -178,10 +178,6 @@ def logout():
         flash('請先登入。', 'warning')
         return redirect(url_for('login'))
     if 'username' in session:
-        # for key in list(session.keys()):
-        #     print(key, session[key])
-        # for key in list(session.keys()):
-        #     session.pop(key)
         session.clear()
     return redirect(url_for('index'))
 
@@ -254,7 +250,6 @@ def submit_stock_list():
         print(key, request.form[key])
     # Do something with the stock list heres
     return graphJSON
-    # return jsonify({'message': 'Stock list received successfully, NOOOOO'})
 
 @app.route('/postPort', methods=['POST'])
 def buildPort():
@@ -341,7 +336,7 @@ def buildPort():
             strategy_id = curs.fetchone()[0]
     conn.close()
     print("\n------Write in Success--------\n")
-    return f'''<span>投資組合已完成建立，請至 <a class="badge rounded-pill text-bg-primary" href="/result_view?strategy_id={strategy_id}"><span class="badge bg-success">{strategy_id}</span></a>查詢分析結果。</span>'''
+    return f'''<span>投資組合已完成建立，請至 <a class="badge rounded-pill text-bg-warning" href="/result_view?strategy_id={strategy_id}">{strategy_id}</a>查詢分析結果。</span>'''
 
 
 

portfolio_builder.py

@@ -60,8 +60,8 @@ class MVO(object):
         retPort = ret@w # T-dimensional array
         stdPort = np.std(retPort) 
         g1=manual_ret/stdPort
-        g2=np.mean(retPort)*(-0.5)*stdPort**(-3)*(2*cov@w)
-        return g1+g2
+        g2=np.mean(retPort)*stdPort**(-3)*cov@w
+        return g1-g2
     @staticmethod
     def sortino_ratio(w, ret):
         retPort = ret@w # T-dimensional array
@@ -74,8 +74,23 @@ class MVO(object):
         retPort = ret@w # T-dimensional arrayss
         stdPort = np.std(retPort) 
         g1=manual_ret/stdPort
-        g2=np.mean(retPort)*(-0.5)*stdPort**(-3)*(2*cov_sor@w)
-        return g1+g2
+        g2=np.mean(retPort)*stdPort**(-3)*cov_sor@w
+        return g1-g2
+    @staticmethod
+    def sortino_ratio(w, ret):
+        retPort = ret@w # T-dimensional array
+        stdPort = np.std(np.maximum(-retPort, 0))
+        return np.mean(retPort)/stdPort
+    @staticmethod
+    def sortino_grad(w, ret, cov_sor):
+        manual_ret = np.mean(ret, axis=0)
+        # print(cov.shape, w.shape)
+        retPort = ret@w # T-dimensional arrayss
+        stdPort = np.std(retPort) 
+        g1=manual_ret/stdPort
+        g2=np.mean(retPort)*stdPort**(-3)*cov_sor@w
+        return g1-g2
+    
     @staticmethod
     def volatility(w, ret):
         retPort = ret@w # T-dimensional array
@@ -85,7 +100,7 @@ class MVO(object):
     def volatility_grad(w, ret, cov):
         retPort = ret@w # T-dimensional array
         stdPort = np.std(retPort)
-        return cov@w/stdPort**(0.5)
+        return cov@w/stdPort
     @classmethod
     def opt(cls, ret, role="max_sharpe"):
         n = ret.shape[1]
@@ -105,11 +120,12 @@ class MVO(object):
         else:
             return init
         bnds = [[0, 0.6] for i in range(n)]
-        opts = {'maxiter': 10000, 'disp': False}
+        opts = {'maxiter': 1000, 'disp': False}
         cons = ({'type': 'eq', 'fun': lambda w: np.sum(w) - 1})
         result = minimize(loss, init, method="SLSQP",\
                           options=opts, bounds=bnds, tol = None, jac = grad, constraints=cons)
         sol = result['x']
+        print(sol)
         return np.round(sol, 2)
 
 

static/js/addStock.js

@@ -1,7 +1,8 @@
 // Initialize empty stock list
 let stockList = ['2330.TW'];
 let currentList = [];
-const layout={'autosize': true, 'title': {'text': 'Assets'}, 
+const layout={'autosize': true, 'markers':true,
+'title': {'text': 'Assets'}, 
 'xaxis': {'anchor': 'y', 'domain': [0.0, 1.0],
         'rangeslider': {'visible': true}, 
         'rangeselector':{'rangeselector': 
@@ -10,7 +11,7 @@ const layout={'autosize': true, 'title': {'text': 'Assets'},
                         {'count': 6, 'label': '6m', 'step': 'month', 'stepmode': 'backward'},
                         {'count': 1, 'label': 'YTD', 'step': 'year', 'stepmode': 'todate'},
                         {'count': 1, 'label': '1y', 'step': 'year', 'stepmode': 'backward'}, {'step': 'all'}]}, 'rangeslider': {'visible': true},'type': 'date'}}, 
-'yaxis': {'anchor': 'x', 'domain': [0.0, 0.9]},
+'yaxis': {'anchor': 'x', 'domain': [0.0, 1.0], 'fixedrange': false},
 'legend': {'yanchor': 'top', 'y': 1.8, 'xanchor': 'left', 'x': 0.01}, 'margin': {'l': 25, 'r': 5, 't': 10, 'b': 5},
 }
 // Cache frequently-used DOM elements

templates/strategy_tw.html

@@ -123,7 +123,7 @@ div.card{
                 
             </div>
             <div class="card-body">
-                <div id="graph" style="max-height:50vh">
+                <div id="graph" style="max-height:60vh">
                     <span>
                         按下
                         <button type="button" class="btn btn-outline-primary btn-sm" disabled>確認資產</button>