wqb
/
alpha_tools
2
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

update

Browse Source
main
Jack 6 months ago
parent d81f00ab85
commit 2bccfa5087
5 changed files with 278 additions and 17 deletions
Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL
Show Stats Download Patch File Download Diff File
  1. 2
      wqb-simulate/alpha.txt
  2. 24
      wqb-simulate/result/simulation_results-1763042291.json
  3. 41
      wqb-simulate/result/simulation_results-1763042641.json
  4. 41
      wqb-simulate/result/simulation_results-1763042892.json
  5. 187
      wqb-simulate/simulate.py

2
wqb-simulate/alpha.txt
Unescape View File

@ -1 +1 @@
ts_Mean(ts_mean(close - delay(close,1),5) / atr(15), 30)
rank(ts_sum(vec_avg(nws12_afterhsz_sl), 60)) * 0.7 + rank(-ts_delta(close, 2)) * 0.3

24
wqb-simulate/result/simulation_results-1763042291.json
Unescape View File

@ -0,0 +1,24 @@
{
"simulation_info": {
"total_count": 1,
"success_count": 0,
"failed_count": 1,
"completion_time": "2025-11-13 21:58:11",
"total_time_seconds": 10.505059003829956
},
"results": [
{
"expression": "ts_mean(ts_mean(close - delay(close,1),5) / atr(15), 30)",
"time_consuming_seconds": 10.505059003829956,
"formatted_time": "10.51秒",
"alpha_id": "/",
"status": "failed",
"description": "'alpha'",
"simulation_timestamp": "2025-11-13 21:58:11",
"performance_metrics": {},
"risk_metrics": {},
"quantile_metrics": {},
"other_metrics": {}
}
]
}

41
wqb-simulate/result/simulation_results-1763042641.json
Unescape View File

@ -0,0 +1,41 @@
[
{
"expression": "rank(ts_sum(vec_avg(nws12_afterhsz_sl), 60)) * 0.7 + rank(-ts_delta(close, 2)) * 0.3",
"time_consuming": 75.8,
"formatted_time": "1分15.80秒",
"alpha_id": "WjqvZQLO",
"status": "success",
"description": "/",
"simulation_timestamp": "2025-11-13 22:04:01",
"performance_metrics": {
"sharpe_ratio": null,
"annual_return": null,
"annual_volatility": null,
"max_drawdown": null,
"information_ratio": null,
"total_return": null
},
"risk_metrics": {
"turnover": null,
"score": null,
"specific_return": null,
"specific_risk": null,
"tail_ratio": null,
"common_ratio": null
},
"quantile_metrics": {
"top_minus_bottom": null,
"top_decile_return": null,
"bottom_decile_return": null,
"ic": null,
"ic_decay": null
},
"other_metrics": {
"capacity": null,
"fitness": null,
"instrument_count": null,
"start_date": null,
"end_date": null
}
}
]

41
wqb-simulate/result/simulation_results-1763042892.json
Unescape View File

@ -0,0 +1,41 @@
[
{
"expression": "rank(ts_sum(vec_avg(nws12_afterhsz_sl), 60)) * 0.7 + rank(-ts_delta(close, 2)) * 0.3",
"time_consuming": 78.3,
"formatted_time": "1分18.30秒",
"alpha_id": "WjqvZQLO",
"status": "success",
"description": "/",
"simulation_timestamp": "2025-11-13 22:08:12",
"performance_metrics": {
"sharpe_ratio": null,
"annual_return": null,
"annual_volatility": null,
"max_drawdown": null,
"information_ratio": null,
"total_return": null
},
"risk_metrics": {
"turnover": null,
"score": null,
"specific_return": null,
"specific_risk": null,
"tail_ratio": null,
"common_ratio": null
},
"quantile_metrics": {
"top_minus_bottom": null,
"top_decile_return": null,
"bottom_decile_return": null,
"ic": null,
"ic_decay": null
},
"other_metrics": {
"capacity": null,
"fitness": null,
"instrument_count": null,
"start_date": null,
"end_date": null
}
}
]

187
wqb-simulate/simulate.py
Unescape View File

@ -1,5 +1,4 @@
import os.path
import httpx
import json
from httpx import BasicAuth
@ -15,8 +14,8 @@ class WorldQuantBrainSimulate:
self.client = None
self.brain_api_url = 'https://api.worldquantbrain.com'
"""读取本地账号密码"""
def load_credentials(self):
"""读取本地账号密码"""
if not os.path.exists(self.credentials_file):
print("未找到 account.txt 文件")
with open(self.credentials_file, 'w') as f: f.write("")
@ -27,8 +26,8 @@ class WorldQuantBrainSimulate:
credentials = eval(f.read())
return credentials[0], credentials[1]
"""登录认证"""
def login(self):
"""登录认证"""
username, password = self.load_credentials()
self.client = httpx.Client(auth=BasicAuth(username, password))
@ -42,8 +41,8 @@ class WorldQuantBrainSimulate:
print(f"登录失败: {response.json()}")
return False
"""模拟Alpha因子"""
def simulate_alpha(self, expression, settings=None):
"""模拟Alpha因子"""
if self.client is None:
raise Exception("请先登录")
@ -94,9 +93,87 @@ class WorldQuantBrainSimulate:
# 返回一个特殊标识，表示模拟失败
return {"status": "error", "message": result}
result = sim_progress_resp.json()["alpha"]
print(f"生成的Alpha ID: {result}")
return {"status": "success", "alpha_id": result}
alpha_id = sim_progress_resp.json()["alpha"]
print(f"生成的Alpha ID: {alpha_id}")
# 获取详细的性能指标
metrics = self.get_alpha_metrics(alpha_id)
return {"status": "success", "alpha_id": alpha_id, "metrics": metrics}
"""获取Alpha因子的详细指标"""
def get_alpha_metrics(self, alpha_id):
if self.client is None:
raise Exception("请先登录")
try:
# 获取Alpha的基本信息和指标
alpha_url = f'{self.brain_api_url}/alphas/{alpha_id}'
alpha_resp = self.client.get(alpha_url)
if alpha_resp.status_code == 200:
alpha_data = alpha_resp.json()
return self._parse_alpha_metrics(alpha_data)
else:
return {"error": f"无法获取Alpha信息: {alpha_resp.status_code}"}
except Exception as e:
return {"error": f"获取指标时出错: {str(e)}"}
"""解析Alpha数据，提取关键指标"""
def _parse_alpha_metrics(self, alpha_data):
metrics = {}
try:
# 基本统计信息
if 'returns' in alpha_data:
returns = alpha_data['returns']
metrics.update({
'sharpe_ratio': returns.get('sharpe', None),
'annual_return': returns.get('annualReturn', None),
'annual_volatility': returns.get('annualVolatility', None),
'max_drawdown': returns.get('maxDrawdown', None),
'information_ratio': returns.get('informationRatio', None),
'tail_ratio': returns.get('tailRatio', None),
'common_ratio': returns.get('commonRatio', None),
})
# 风险调整后收益
if 'riskAdjustment' in alpha_data:
risk_adj = alpha_data['riskAdjustment']
metrics.update({
'risk_adjusted_return': risk_adj.get('return', None),
'turnover': risk_adj.get('turnover', None),
'score': risk_adj.get('score', None),
'specific_return': risk_adj.get('specificReturn', None),
'specific_risk': risk_adj.get('specificRisk', None),
})
# 分位数表现
if 'quantiles' in alpha_data:
quantiles = alpha_data['quantiles']
metrics.update({
'top_minus_bottom': quantiles.get('topMinusBottom', None),
'top_decile_return': quantiles.get('topDecileReturn', None),
'bottom_decile_return': quantiles.get('bottomDecileReturn', None),
'ic': quantiles.get('ic', None),
'ic_decay': quantiles.get('icDecay', None),
})
# 其他重要指标
metrics.update({
'total_return': alpha_data.get('totalReturn', None),
'capacity': alpha_data.get('capacity', None),
'fitness': alpha_data.get('fitness', None),
'instrument_count': alpha_data.get('instrumentCount', None),
'start_date': alpha_data.get('startDate', None),
'end_date': alpha_data.get('endDate', None),
})
except Exception as e:
metrics['error'] = f"解析指标时出错: {str(e)}"
return metrics
def close(self):
"""关闭连接"""
@ -109,8 +186,8 @@ class AlphaSimulationManager:
self.credentials_file = credentials_file
self.results = []
"""将秒数格式化为 xx分xx秒 格式"""
def format_time(self, seconds):
"""将秒数格式化为 xx分xx秒 格式"""
if seconds < 60:
return f"{seconds:.2f}秒"
else:
@ -118,8 +195,8 @@ class AlphaSimulationManager:
remaining_seconds = seconds % 60
return f"{minutes}分{remaining_seconds:.2f}秒"
"""模拟单个Alpha因子（线程安全）"""
def simulate_single_alpha(self, api, expression, settings=None):
"""模拟单个Alpha因子（线程安全）"""
alpha_start_time = time.time()
try:
@ -137,11 +214,49 @@ class AlphaSimulationManager:
"formatted_time": self.format_time(time_consuming),
"alpha_id": simulation_result["alpha_id"],
"status": "success",
"description": "/"
"description": "/",
"simulation_timestamp": time.strftime("%Y-%m-%d %H:%M:%S"),
# 性能指标
"performance_metrics": {
"sharpe_ratio": simulation_result["metrics"].get('sharpe_ratio'),
"annual_return": simulation_result["metrics"].get('annual_return'),
"annual_volatility": simulation_result["metrics"].get('annual_volatility'),
"max_drawdown": simulation_result["metrics"].get('max_drawdown'),
"information_ratio": simulation_result["metrics"].get('information_ratio'),
"total_return": simulation_result["metrics"].get('total_return'),
},
# 风险指标
"risk_metrics": {
"turnover": simulation_result["metrics"].get('turnover'),
"score": simulation_result["metrics"].get('score'),
"specific_return": simulation_result["metrics"].get('specific_return'),
"specific_risk": simulation_result["metrics"].get('specific_risk'),
"tail_ratio": simulation_result["metrics"].get('tail_ratio'),
"common_ratio": simulation_result["metrics"].get('common_ratio'),
},
# 分位数指标
"quantile_metrics": {
"top_minus_bottom": simulation_result["metrics"].get('top_minus_bottom'),
"top_decile_return": simulation_result["metrics"].get('top_decile_return'),
"bottom_decile_return": simulation_result["metrics"].get('bottom_decile_return'),
"ic": simulation_result["metrics"].get('ic'),
"ic_decay": simulation_result["metrics"].get('ic_decay'),
},
# 其他指标
"other_metrics": {
"capacity": simulation_result["metrics"].get('capacity'),
"fitness": simulation_result["metrics"].get('fitness'),
"instrument_count": simulation_result["metrics"].get('instrument_count'),
"start_date": simulation_result["metrics"].get('start_date'),
"end_date": simulation_result["metrics"].get('end_date'),
}
}
print(f"✓ 因子模拟成功: {expression}")
print(f" 耗时: {self.format_time(time_consuming)}，Alpha ID: {simulation_result['alpha_id']}")
# 打印关键指标
self._print_success_metrics(simulation_result["metrics"])
else:
# 模拟失败的结果（API返回的错误）
result = {
@ -150,7 +265,12 @@ class AlphaSimulationManager:
"formatted_time": self.format_time(time_consuming),
"alpha_id": "/",
"status": "error",
"description": simulation_result["message"]
"description": simulation_result["message"],
"simulation_timestamp": time.strftime("%Y-%m-%d %H:%M:%S"),
"performance_metrics": {},
"risk_metrics": {},
"quantile_metrics": {},
"other_metrics": {}
}
print(f"✗ 因子模拟失败: {expression}")
print(f" 耗时: {self.format_time(time_consuming)}，错误: {simulation_result['message']}")
@ -166,15 +286,42 @@ class AlphaSimulationManager:
"formatted_time": self.format_time(time_consuming),
"alpha_id": "/",
"status": "failed",
"description": str(e)
"description": str(e),
"simulation_timestamp": time.strftime("%Y-%m-%d %H:%M:%S"),
"performance_metrics": {},
"risk_metrics": {},
"quantile_metrics": {},
"other_metrics": {}
}
print(f"✗ 因子模拟异常: {expression}")
print(f" 耗时: {self.format_time(time_consuming)}，异常: {str(e)}")
return result
"""打印成功因子的关键指标"""
def _print_success_metrics(self, metrics):
if 'error' in metrics:
print(f" 指标获取错误: {metrics['error']}")
return
key_metrics = [
('夏普比率', 'sharpe_ratio'),
('年化收益', 'annual_return'),
('最大回撤', 'max_drawdown'),
('信息比率', 'information_ratio'),
('总分', 'score'),
]
print(" 关键指标:")
for chinese_name, metric_key in key_metrics:
value = metrics.get(metric_key)
if value is not None:
if isinstance(value, float):
value = f"{value:.4f}"
print(f" {chinese_name}: {value}")
"""模拟一批Alpha因子（3个一组）"""
def simulate_alpha_batch(self, alpha_batch, batch_number):
"""模拟一批Alpha因子（3个一组）"""
print(f"\n{'=' * 60}")
print(f"开始第 {batch_number} 批因子模拟 (共 {len(alpha_batch)} 个因子)")
print(f"因子列表: {alpha_batch}")
@ -215,8 +362,8 @@ class AlphaSimulationManager:
return batch_results
"""运行批量模拟"""
def run_simulation(self, alpha_list, batch_size=3):
"""运行批量模拟"""
print("开始Alpha因子批量模拟...")
total_start_time = time.time()
@ -247,8 +394,8 @@ class AlphaSimulationManager:
return all_results
"""打印结果汇总"""
def print_summary(self, results, total_time):
"""打印结果汇总"""
print(f"\n{'=' * 60}")
print("模拟结果汇总")
print(f"{'=' * 60}")
@ -274,13 +421,21 @@ class AlphaSimulationManager:
print(f" 原因: {result['description']}")
print()
"""保存结果到文件"""
def save_results(self, results):
"""保存结果到文件"""
# 转换为可序列化的格式
serializable_results = []
for result in results:
serializable_result = result.copy()
serializable_result['time_consuming'] = round(serializable_result['time_consuming'], 2)
# 处理metrics中的浮点数，保留6位小数
for metric_category in ['performance_metrics', 'risk_metrics', 'quantile_metrics', 'other_metrics']:
if metric_category in serializable_result:
for key, value in serializable_result[metric_category].items():
if isinstance(value, float):
serializable_result[metric_category][key] = round(value, 6)
serializable_results.append(serializable_result)
# 将日志文件, 保存到当前目录下, result 文件夹中

Write Preview
Loading…
Cancel
Save