十年年化20%-29.6%的策略集：覆盖动量、风险平价，波动率（系统+策略集代码+数据）

一直说世界运行的逻辑，如何抽丝剥茧？

两个要素，一是科技，二是金融。科技代表先进的生产力，金融代表生产关系再分配。

两大要素成就这个星球上最强的帝国。

后续我们会着重从科技、金融的视角，去看待历史，立足当下，解读未来。

今天是星球每周发布代码和策略集的日子。

今天还要新增一个策略，在昨天风险平价策略稳健的绝对型收益策略：长期年化10.6%的风险平价策略（代码+数据）的基础上，加上波动率。

波动率是用户自己可以调节的，波动率高，预期收益就大，反之亦然。

在风险平价给出权重的基础上，计算预期波动率，若波动率太高，则等比例降低风险资产权重，反之提升。

这是波动率设定为7%的效果，策略更加稳健，夏普比得到进一步提升。

本地化运行界面：

class TargetVol(Algo):
    def __init__(
            self,
            target_volatility,
            lookback=pd.DateOffset(months=3),
            lag=pd.DateOffset(days=0),
            covar_method="standard",
            annualization_factor=252,
            exclude=[]
    ):
        super(TargetVol, self).__init__()
        self.target_volatility = target_volatility
        self.lookback = lookback
        self.lag = lag
        self.covar_method = covar_method
        self.annualization_factor = annualization_factor
        self.exclude = exclude

    def __call__(self, target):
        current_weights = target.temp["weights"]
        selected = current_weights.keys()

        # if there were no weights already set then skip
        if len(selected) == 0:
            return True

        t0 = target.now - self.lag
        prc = target.df_close.loc[t0 - self.lookback: t0, selected]
        returns = prc.pct_change().dropna()

        if len(returns) < 10:
            return True

        # calc covariance matrix
        # if self.covar_method == "ledoit-wolf":
        #    covar = sklearn.covariance.ledoit_wolf(returns)
        if self.covar_method == "standard":
            covar = returns.cov()
        else:
            raise NotImplementedError("covar_method not implemented")

        weights = pd.Series(
            [current_weights[x] for x in covar.columns], index=covar.columns
        )

        vol = np.sqrt(
            np.matmul(weights.values.T, np.matmul(covar.values, weights.values))
            * self.annualization_factor
        )

        # 波动率偏小
        count = 0
        if vol < self.target_volatility:
            while vol < self.target_volatility:
                count += 1
                if count > 10:
                    break

                mul = self.target_volatility / vol

                for k in target.temp["weights"].keys():
                    if k in self.exclude:  # exclude通常为债券等低风险
                        continue
                    target.temp["weights"][k] = (
                            target.temp["weights"][k] * mul
                    )

                weights = pd.Series(
                    [target.temp["weights"][x] for x in covar.columns], index=covar.columns
                )

                vol = np.sqrt(
                    np.matmul(weights.values.T, np.matmul(covar.values, weights.values))
                    * self.annualization_factor
                )

            if vol is float('NaN'):
                return True
            weights = pd.Series(
                [target.temp["weights"][x] for x in covar.columns], index=covar.columns
            )
            # print(target.temp["weights"])
            target.temp["weights"] = weights / weights.sum()
            # print(target.temp["weights"])
            return True

        for k in target.temp["weights"].keys():
            if k in self.exclude:  # exclude通常为债券等低风险
                continue
            target.temp["weights"][k] = (
                    target.temp["weights"][k] * self.target_volatility / vol
            )

        '''

        print(self.target_volatility[k] / vol,weights, new_weights)
        print(new_vol)
        '''

        return True