IC, ICIR及相关MultiFactor 增加 spearman 参数，控制是否使用 spearman 计算相关系数

fasiondog · Sep 26, 2024 · ed7be6c · ed7be6c
1 parent b7fa7f6
commit ed7be6c
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Showing 17 changed files with 106 additions and 71 deletions.
diff --git a/hikyuu_cpp/hikyuu/indicator/crt/IC.h b/hikyuu_cpp/hikyuu/indicator/crt/IC.h
@@ -18,23 +18,24 @@ namespace hku {
  * @param query 查询条件
  * @param ref_stk 参照证券，默认 sh000300 沪深300
  * @param n 时间窗口 (对应 n 日收益率)
+ * @param spearman 使用 spearman 相关系数，否则为 pearson
  * @return Indicator
  * @ingroup Indicator
  */
 Indicator HKU_API IC(const StockList& stks, const KQuery& query,
-                     const Stock& ref_stk = getStock("sh000300"), int n = 1);
+                     const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true);
 
 Indicator HKU_API IC(const Block& blk, const KQuery& query,
-                     const Stock& ref_stk = getStock("sh000300"), int n = 1);
+                     const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true);
 
 inline Indicator IC(const Indicator& ind, const StockList& stks, const KQuery& query,
-                    const Stock& ref_stk = getStock("sh000300"), int n = 1) {
-    return IC(stks, query, ref_stk, n)(ind);
+                    const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true) {
+    return IC(stks, query, ref_stk, n, spearman)(ind);
 }
 
 inline Indicator IC(const Indicator& ind, const Block& blk, const KQuery& query,
-                    const Stock& ref_stk = getStock("sh000300"), int n = 1) {
-    return IC(blk, query, ref_stk, n)(ind);
+                    const Stock& ref_stk = getStock("sh000300"), int n = 1, bool spearman = true) {
+    return IC(blk, query, ref_stk, n, spearman)(ind);
 }
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/indicator/crt/ICIR.h b/hikyuu_cpp/hikyuu/indicator/crt/ICIR.h
@@ -22,12 +22,14 @@ namespace hku {
  * @param ref_stk 参照证券，默认 sh000300 沪深300
  * @param n IC对应的N日收益率
  * @param rolling_n 滚动时间窗口
+ * @param spearman 使用 spearman 相关系数，否则为 pearson
  * @return Indicator
  * @ingroup Indicator
  */
 inline Indicator ICIR(const Indicator& ind, const StockList& stks, const KQuery& query,
-                      const Stock& ref_stk = getStock("sh000300"), int n = 1, int rolling_n = 120) {
-    Indicator ic = IC(ind, stks, query, ref_stk, n);
+                      const Stock& ref_stk = getStock("sh000300"), int n = 1, int rolling_n = 120,
+                      bool spearman = true) {
+    Indicator ic = IC(ind, stks, query, ref_stk, n, spearman);
     Indicator x = MA(ic, rolling_n) / STDEV(ic, rolling_n);
     x.name("ICIR");
     x.setParam<int>("n", n);
@@ -36,8 +38,9 @@ inline Indicator ICIR(const Indicator& ind, const StockList& stks, const KQuery&
 }
 
 inline Indicator ICIR(const Indicator& ind, const Block& blk, const KQuery& query,
-                      const Stock& ref_stk = getStock("sh000300"), int n = 1, int rolling_n = 120) {
-    Indicator ic = IC(ind, blk, query, ref_stk, n);
+                      const Stock& ref_stk = getStock("sh000300"), int n = 1, int rolling_n = 120,
+                      bool spearman = true) {
+    Indicator ic = IC(ind, blk, query, ref_stk, n, spearman);
     Indicator x = MA(ic, rolling_n) / STDEV(ic, rolling_n);
     x.name("ICIR");
     x.setParam<int>("n", n);

diff --git a/hikyuu_cpp/hikyuu/indicator/imp/IIc.cpp b/hikyuu_cpp/hikyuu/indicator/imp/IIc.cpp
@@ -11,6 +11,7 @@
 #include "hikyuu/indicator/crt/ROCP.h"
 #include "hikyuu/indicator/crt/PRICELIST.h"
 #include "hikyuu/indicator/crt/SPEARMAN.h"
+#include "hikyuu/indicator/crt/CORR.h"
 #include "IIc.h"
 
 #if HKU_SUPPORT_SERIALIZATION
@@ -23,12 +24,14 @@ IIc::IIc() : IndicatorImp("IC", 1) {
     setParam<int>("n", 1);  // 调仓周期
     // 对齐时是否以 nan 值进行填充，否则以小于当前日期的最后值作为填充
     setParam<bool>("fill_null", true);
+    setParam<bool>("use_spearman", true);  // 默认使用SPEARMAN计算相关系数, 否则使用pearson相关系数
 }
 
-IIc::IIc(const StockList& stks, const KQuery& query, int n, const Stock& ref_stk)
+IIc::IIc(const StockList& stks, const KQuery& query, int n, const Stock& ref_stk, bool spearman)
 : IndicatorImp("IC", 1), m_query(query), m_ref_stk(ref_stk), m_stks(stks) {
     setParam<int>("n", n);
     setParam<bool>("fill_null", true);
+    setParam<bool>("use_spearman", spearman);
 }
 
 IIc::~IIc() {}
@@ -89,6 +92,11 @@ void IIc::_calculate(const Indicator& inputInd) {
     m_discard = discard;
     HKU_IF_RETURN(m_discard >= days_total, void());
 
+    Indicator (*spearman)(const Indicator&, const Indicator&, int) = hku::SPEARMAN;
+    if (!getParam<bool>("use_spearman")) {
+        spearman = hku::CORR;
+    }
+
     PriceList tmp(stk_count, Null<price_t>());
     PriceList tmp_return(stk_count, Null<price_t>());
     auto* dst = this->data();
@@ -100,7 +108,7 @@ void IIc::_calculate(const Indicator& inputInd) {
         }
         auto a = PRICELIST(tmp);
         auto b = PRICELIST(tmp_return);
-        auto ic = hku::SPEARMAN(a, b, stk_count);
+        auto ic = spearman(a, b, stk_count);
         dst[i] = ic[ic.size() - 1];
     }
 
@@ -112,13 +120,15 @@ void IIc::_calculate(const Indicator& inputInd) {
     }
 }
 
-Indicator HKU_API IC(const StockList& stks, const KQuery& query, const Stock& ref_stk, int n) {
-    return Indicator(make_shared<IIc>(stks, query, n, ref_stk));
+Indicator HKU_API IC(const StockList& stks, const KQuery& query, const Stock& ref_stk, int n,
+                     bool spearman) {
+    return Indicator(make_shared<IIc>(stks, query, n, ref_stk, spearman));
 }
 
-Indicator HKU_API IC(const Block& blk, const KQuery& query, const Stock& ref_stk, int n) {
+Indicator HKU_API IC(const Block& blk, const KQuery& query, const Stock& ref_stk, int n,
+                     bool spearman) {
     StockList stks = blk.getStockList();
-    return IC(stks, query, ref_stk, n);
+    return IC(stks, query, ref_stk, n, spearman);
 }
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/indicator/imp/IIc.h b/hikyuu_cpp/hikyuu/indicator/imp/IIc.h
@@ -14,7 +14,7 @@ namespace hku {
 class IIc : public IndicatorImp {
 public:
     IIc();
-    IIc(const StockList& stks, const KQuery& query, int n, const Stock& ref_stk);
+    IIc(const StockList& stks, const KQuery& query, int n, const Stock& ref_stk, bool spearman);
     virtual ~IIc();
 
     virtual void _checkParam(const string& name) const override;

diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/MultiFactorBase.cpp b/hikyuu_cpp/hikyuu/trade_sys/multifactor/MultiFactorBase.cpp
@@ -14,6 +14,7 @@
 #include "hikyuu/indicator/crt/IC.h"
 #include "hikyuu/indicator/crt/ICIR.h"
 #include "hikyuu/indicator/crt/SPEARMAN.h"
+#include "hikyuu/indicator/crt/CORR.h"
 #include "hikyuu/indicator/crt/ZSCORE.h"
 #include "MultiFactorBase.h"
 
@@ -77,9 +78,10 @@ MultiFactorBase::MultiFactorBase(const MultiFactorBase& base)
 
 MultiFactorBase::MultiFactorBase(const IndicatorList& inds, const StockList& stks,
                                  const KQuery& query, const Stock& ref_stk, const string& name,
-                                 int ic_n)
+                                 int ic_n, bool spearman)
 : m_name(name), m_inds(inds), m_stks(stks), m_ref_stk(ref_stk), m_query(query) {
     initParam();
+    setParam<bool>("spearman", spearman);
     setParam<int>("ic_n", ic_n);
     checkParam("ic_n");
     _checkData();
@@ -93,6 +95,7 @@ void MultiFactorBase::initParam() {
     setParam<bool>("zscore_out_extreme", false);
     setParam<bool>("zscore_recursive", false);
     setParam<double>("zscore_nsigma", 3.0);
+    setParam<bool>("use_spearman", true);  // 默认使用SPEARMAN计算相关系数, 否则使用pearson相关系数
 }
 
 void MultiFactorBase::baseCheckParam(const string& name) const {
@@ -358,6 +361,11 @@ Indicator MultiFactorBase::getIC(int ndays) {
 
     result.setDiscard(discard);
 
+    Indicator (*spearman)(const Indicator&, const Indicator&, int) = hku::SPEARMAN;
+    if (!getParam<bool>("use_spearman")) {
+        spearman = hku::CORR;
+    }
+
     PriceList tmp(ind_count, Null<price_t>());
     PriceList tmp_return(ind_count, Null<price_t>());
     auto* dst = result.data();
@@ -368,7 +376,7 @@ Indicator MultiFactorBase::getIC(int ndays) {
         }
         auto a = PRICELIST(tmp);
         auto b = PRICELIST(tmp_return);
-        auto ic = hku::SPEARMAN(a, b, ind_count);
+        auto ic = spearman(a, b, ind_count);
         dst[i] = ic[ic.size() - 1];
     }
 

diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/MultiFactorBase.h b/hikyuu_cpp/hikyuu/trade_sys/multifactor/MultiFactorBase.h
@@ -29,7 +29,7 @@ class HKU_API MultiFactorBase : public enable_shared_from_this<MultiFactorBase>
     MultiFactorBase();
     explicit MultiFactorBase(const string& name);
     MultiFactorBase(const IndicatorList& inds, const StockList& stks, const KQuery& query,
-                    const Stock& ref_stk, const string& name, int ic_n);
+                    const Stock& ref_stk, const string& name, int ic_n, bool spearman);
     MultiFactorBase(const MultiFactorBase&);
     virtual ~MultiFactorBase() = default;
 

diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/crt/MF_EqualWeight.h b/hikyuu_cpp/hikyuu/trade_sys/multifactor/crt/MF_EqualWeight.h
@@ -17,10 +17,12 @@ namespace hku {
  * @param query 日期范围
  * @param ref_stk 参考证券
  * @param ic_n 默认 IC 对应的 N 日收益率
+ * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
  * @return MultiFactorPtr
  */
 MultiFactorPtr HKU_API MF_EqualWeight(const IndicatorList& inds, const StockList& stks,
-                                      const KQuery& query, const Stock& ref_stk, int ic_n = 5);
+                                      const KQuery& query, const Stock& ref_stk, int ic_n = 5,
+                                      bool spearman = true);
 
 MultiFactorPtr HKU_API MF_EqualWeight();
 

diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/crt/MF_ICIRWeight.h b/hikyuu_cpp/hikyuu/trade_sys/multifactor/crt/MF_ICIRWeight.h
@@ -19,11 +19,12 @@ namespace hku {
  * @param ref_stk 参考证券
  * @param ic_n 默认 IC 对应的 N 日收益率
  * @param ic_rolling_n IC 滚动窗口
+ * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
  * @return MultiFactorPtr
  */
 MultiFactorPtr HKU_API MF_ICIRWeight(const IndicatorList& inds, const StockList& stks,
                                      const KQuery& query, const Stock& ref_stk, int ic_n = 5,
-                                     int ic_rolling_n = 120);
+                                     int ic_rolling_n = 120, bool spearman = true);
 
 MultiFactorPtr HKU_API MF_ICIRWeight();
-}
+}  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/crt/MF_ICWeight.h b/hikyuu_cpp/hikyuu/trade_sys/multifactor/crt/MF_ICWeight.h
@@ -19,10 +19,12 @@ namespace hku {
  * @param ref_stk 参考证券
  * @param ic_n 默认 IC 对应的 N 日收益率
  * @param ic_rolling_n IC 滚动窗口
+ * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
  * @return MultiFactorPtr
  */
 MultiFactorPtr HKU_API MF_ICWeight(const IndicatorList& inds, const StockList& stks,
                                    const KQuery& query, const Stock& ref_stk, int ic_n = 5,
-                                   int ic_rolling_n = 120);
+                                   int ic_rolling_n = 120, bool spearman = true);
 MultiFactorPtr HKU_API MF_ICWeight();
-}
+
+}  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/EqualWeightMultiFactor.cpp b/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/EqualWeightMultiFactor.cpp
@@ -7,9 +7,6 @@
 
 #include "hikyuu/utilities/thread/algorithm.h"
 #include "hikyuu/indicator/crt/PRICELIST.h"
-#include "hikyuu/indicator/crt/IC.h"
-#include "hikyuu/indicator/crt/ICIR.h"
-#include "hikyuu/indicator/crt/SPEARMAN.h"
 #include "EqualWeightMultiFactor.h"
 
 #if HKU_SUPPORT_SERIALIZATION
@@ -21,8 +18,9 @@ namespace hku {
 EqualWeightMultiFactor::EqualWeightMultiFactor() : MultiFactorBase("MF_EqualWeight") {}
 
 EqualWeightMultiFactor::EqualWeightMultiFactor(const vector<Indicator>& inds, const StockList& stks,
-                                               const KQuery& query, const Stock& ref_stk, int ic_n)
-: MultiFactorBase(inds, stks, query, ref_stk, "MF_EqualWeight", ic_n) {}
+                                               const KQuery& query, const Stock& ref_stk, int ic_n,
+                                               bool spearman)
+: MultiFactorBase(inds, stks, query, ref_stk, "MF_EqualWeight", ic_n, spearman) {}
 
 vector<Indicator> EqualWeightMultiFactor::_calculate(
   const vector<vector<Indicator>>& all_stk_inds) {
@@ -116,8 +114,9 @@ MultiFactorPtr HKU_API MF_EqualWeight() {
 }
 
 MultiFactorPtr HKU_API MF_EqualWeight(const IndicatorList& inds, const StockList& stks,
-                                      const KQuery& query, const Stock& ref_stk, int ic_n) {
-    return make_shared<EqualWeightMultiFactor>(inds, stks, query, ref_stk, ic_n);
+                                      const KQuery& query, const Stock& ref_stk, int ic_n,
+                                      bool spearman) {
+    return make_shared<EqualWeightMultiFactor>(inds, stks, query, ref_stk, ic_n, spearman);
 }
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/EqualWeightMultiFactor.h b/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/EqualWeightMultiFactor.h
@@ -18,7 +18,7 @@ class EqualWeightMultiFactor : public MultiFactorBase {
 public:
     EqualWeightMultiFactor();
     EqualWeightMultiFactor(const vector<Indicator>& inds, const StockList& stks,
-                           const KQuery& query, const Stock& ref_stk, int ic_n);
+                           const KQuery& query, const Stock& ref_stk, int ic_n, bool spearman);
     virtual ~EqualWeightMultiFactor() = default;
 };
 

diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/ICIRMultiFactor.cpp b/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/ICIRMultiFactor.cpp
@@ -9,7 +9,6 @@
 #include "hikyuu/indicator/crt/PRICELIST.h"
 #include "hikyuu/indicator/crt/IC.h"
 #include "hikyuu/indicator/crt/ICIR.h"
-#include "hikyuu/indicator/crt/SPEARMAN.h"
 #include "ICIRMultiFactor.h"
 
 #if HKU_SUPPORT_SERIALIZATION
@@ -24,8 +23,8 @@ ICIRMultiFactor::ICIRMultiFactor() : MultiFactorBase("MF_ICIRWeight") {
 
 ICIRMultiFactor::ICIRMultiFactor(const vector<Indicator>& inds, const StockList& stks,
                                  const KQuery& query, const Stock& ref_stk, int ic_n,
-                                 int ic_rolling_n)
-: MultiFactorBase(inds, stks, query, ref_stk, "MF_ICIRWeight", ic_n) {
+                                 int ic_rolling_n, bool spearman)
+: MultiFactorBase(inds, stks, query, ref_stk, "MF_ICIRWeight", ic_n, spearman) {
     setParam<int>("ic_rolling_n", ic_rolling_n);
     checkParam("ic_rolling_n");
 }
@@ -43,20 +42,22 @@ IndicatorList ICIRMultiFactor::_calculate(const vector<IndicatorList>& all_stk_i
 
     int ic_n = getParam<int>("ic_n");
     int ir_n = getParam<int>("ic_rolling_n");
+    bool spearman = getParam<bool>("use_spearman");
 
 #if !MF_USE_MULTI_THREAD
     size_t discard = 0;
     vector<Indicator> icir(ind_count);
     for (size_t ii = 0; ii < ind_count; ii++) {
-        icir[ii] = ICIR(m_inds[ii], m_stks, m_query, m_ref_stk, ic_n, ir_n);
+        icir[ii] = ICIR(m_inds[ii], m_stks, m_query, m_ref_stk, ic_n, ir_n, spearman);
         if (icir[ii].discard() > discard) {
             discard = icir[ii].discard();
         }
     }
 #else
-    vector<Indicator> icir = parallel_for_index(0, ind_count, [this, ic_n, ir_n](size_t ii) {
-        return ICIR(m_inds[ii], m_stks, m_query, m_ref_stk, ic_n, ir_n);
-    });
+    vector<Indicator> icir =
+      parallel_for_index(0, ind_count, [this, ic_n, ir_n, spearman](size_t ii) {
+          return ICIR(m_inds[ii], m_stks, m_query, m_ref_stk, ic_n, ir_n, spearman);
+      });
 
     size_t discard = 0;
     for (size_t ii = 0; ii < ind_count; ii++) {
@@ -147,8 +148,8 @@ MultiFactorPtr HKU_API MF_ICIRWeight() {
 
 MultiFactorPtr HKU_API MF_ICIRWeight(const IndicatorList& inds, const StockList& stks,
                                      const KQuery& query, const Stock& ref_stk, int ic_n,
-                                     int ic_rolling_n) {
-    return make_shared<ICIRMultiFactor>(inds, stks, query, ref_stk, ic_n, ic_rolling_n);
+                                     int ic_rolling_n, bool spearman) {
+    return make_shared<ICIRMultiFactor>(inds, stks, query, ref_stk, ic_n, ic_rolling_n, spearman);
 }
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/ICIRMultiFactor.h b/hikyuu_cpp/hikyuu/trade_sys/multifactor/imp/ICIRMultiFactor.h
@@ -18,7 +18,7 @@ class ICIRMultiFactor : public MultiFactorBase {
 public:
     ICIRMultiFactor();
     ICIRMultiFactor(const IndicatorList& inds, const StockList& stks, const KQuery& query,
-                    const Stock& ref_stk, int ic_n, int ic_rolling_n);
+                    const Stock& ref_stk, int ic_n, int ic_rolling_n, bool spearman);
     virtual ~ICIRMultiFactor() = default;
 
     virtual void _checkParam(const string& name) const override;