Greg Pomerantz
89674c24dd
Raw-intercept alphas absorbed the T-bill yield on uninvested/levered portions (582 well-fitted funds >2%/yr off; sum-of-betas polluted by level-matching). Now fund AND sleeves are netted against BIL daily total return before every regression; a cash position contributes exactly zero. - decompose: rf_series()/excess(); shv+bil dropped from regressors (~0 columns in excess space); FULL_WINDOW -> 2007-06-01 (BIL inception; mixing raw pre-2007 with excess breaks the fit). - factors: same excess treatment; shv out of DRIVERS. - CASH axis redefined: alpha/cash_yield -> net cash position = 1 - sum(betas) (label 'cash (net posn)'). - CANDIDATE list 250 -> 11: the old list was mostly under-invested funds whose 'alpha' was cash yield, not skill. - refback.py: per-fund fitted reference (forward-selected sleeves) stored as ref_5y/ref_full in search_all.json; app alpha-search table gains a 'reference (5y)' column - the answer to 'what is alpha computed against' (the fund's OWN fitted sleeve mix, not one index). - App captions updated; raw-alpha-era results backed up as *_rawalpha.json (not deleted).
77 lines
2.6 KiB
Python
77 lines
2.6 KiB
Python
"""Backfill the per-fund alpha REFERENCE into search_all.json.
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The alpha search verdict (fundlab/search.py) computes alpha as the OLS
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intercept of the fund's daily total returns against the sleeves BIC
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forward-selection picked from the 21 broad sleeve axes (the same set for
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every fund). The picked sleeves ARE the fund's reference - a fitted
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sleeve mix, not a single index - but the screen never stored them, so
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the app couldn't show them.
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This script recomputes the forward selection (full + last-5y) for every
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screened fund and stores a compact, human-readable reference string on
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each row:
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ref_5y "ivv +0.62, tlt +0.31" (sleeves picked for the 5y model)
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ref_full "ivv +0.38, efa +0.15, ..."
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"pure alpha (no sleeve selected)" when the model has no components
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Resumable: rows that already carry ref_5y are skipped.
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Run: .venv/bin/python -m fundlab.refback (logs to fundlab/refback.log)
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"""
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from __future__ import annotations
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import json
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import time
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from fundlab import decompose
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from fundlab.searchlist import BROAD_SLEEVES
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HERE = __import__("pathlib").Path(__file__).parent
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SRC = HERE / "search_all.json"
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LOG = HERE / "refback.log"
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def log(msg: str) -> None:
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line = f"[{time.strftime('%Y-%m-%d %H:%M:%S')}] {msg}"
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print(line, flush=True)
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with LOG.open("a") as f:
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f.write(line + "\n")
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def _fmt(m: dict) -> str:
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comps = m.get("components") or []
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if not comps:
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return "pure alpha (no sleeve selected)"
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return ", ".join(f"{c['sym']} {c['beta']:+.2f}" for c in comps)
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def run() -> None:
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d = json.loads(SRC.read_text())
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todo = [k for k, v in d.items()
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if isinstance(v, dict)
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and isinstance(v.get("r2_5y"), (int, float))
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and "ref_5y" not in v]
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log(f"rows={len(d)} todo={len(todo)}")
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for i, k in enumerate(todo, 1):
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sym = d[k]["sym"]
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try:
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rec = decompose.decompose(sym, start=decompose.RECENT_WINDOW,
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candidates={sym: BROAD_SLEEVES})
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full = decompose.decompose(sym, candidates={sym: BROAD_SLEEVES})
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d[k]["ref_5y"] = _fmt(rec)
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d[k]["ref_full"] = _fmt(full)
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except Exception as e: # noqa: BLE001 - batch must not die
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d[k]["ref_5y"] = f"(backfill failed: {e})"
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if i % 25 == 0 or i == len(todo):
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SRC.write_text(json.dumps(d, indent=1))
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log(f"{i}/{len(todo)} done (saved)")
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SRC.write_text(json.dumps(d, indent=1))
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n = sum(1 for v in d.values()
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if isinstance(v, dict) and v.get("ref_5y"))
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log(f"done: {n} rows carry a reference")
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if __name__ == "__main__":
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run()
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