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https://ghfast.top/https://github.com/aeroxw/easy_tdx_max.git
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92 lines
2.7 KiB
Python
92 lines
2.7 KiB
Python
"""因子 CLI 命令。"""
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from __future__ import annotations
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import json
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import click
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@click.group("factor")
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def factor() -> None:
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"""因子研究工具。"""
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pass
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@factor.command("list")
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@click.option(
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"--category",
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default=None,
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help="按类别筛选: momentum/volatility/quality/volume/technical/chanlun/value",
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)
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@click.option("--table", "use_table", is_flag=True, help="表格输出")
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def factor_list(category: str | None, use_table: bool) -> None:
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"""列出所有已注册的因子。
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示例：
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easy-tdx factor list
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easy-tdx factor list --category momentum --table
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"""
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from easy_tdx.factor.builtin import list_factors
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factors = list_factors()
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if category:
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factors = [f for f in factors if f["category"] == category]
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if use_table:
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try:
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from tabulate import tabulate
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rows = [
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{
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"name": f["name"],
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"category": f["category"],
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"description": f["description"],
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}
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for f in factors
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]
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click.echo(tabulate(rows, headers="keys", tablefmt="grid"))
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except ImportError:
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for f in factors:
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click.echo(f"{f['name']}\t{f['category']}\t{f['description']}")
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else:
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click.echo(json.dumps(factors, ensure_ascii=False, indent=2))
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@factor.command("analyze")
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@click.argument("factor_name")
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@click.option("--period", default=5, type=int, help="远期收益天数")
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@click.option("--n-quantiles", default=5, type=int, help="分层数")
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def factor_analyze(factor_name: str, period: int, n_quantiles: int) -> None:
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"""分析指定因子的有效性。
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示例：
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easy-tdx factor analyze momentum_20d
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easy-tdx factor analyze rsi_14 --period 10 --n-quantiles 10
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"""
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click.echo(
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json.dumps(
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{
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"message": "factor analyze 需要行情数据，请使用 Python API",
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"factor": factor_name,
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"example": (
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f"from easy_tdx.factor import FactorEngine, FactorAnalyzer, preprocess\n"
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f"engine = FactorEngine()\n"
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f"factor_data = engine.compute_cross_section(data, ['{factor_name}'])\n"
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f"clean = preprocess(factor_data, ['{factor_name}'])\n"
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f"return_data = engine.compute_forward_returns(data, period={period})\n"
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f"analyzer = FactorAnalyzer(clean, return_data, n_quantiles={n_quantiles})\n"
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f"report = analyzer.full_report()\n"
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f"print(f'IC={{report.ic_mean:.3f}}, IR={{report.ir:.3f}}')"
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),
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},
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ensure_ascii=False,
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indent=2,
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)
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)
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