Brinson绩效归因

# Brinson绩效归因

定义

M.Brinson.v7(backtest_ds=,benchmark='')

参数

  • benchmark:可选,字符,默认值000300.HIX,策略基准, 默认为沪深300

返回

  • perf_attribution:perf_attribution,绩效归因

返回类型:图表

工作流截图

示例代码

# m2为回测模块
m6 = M.Brinson.v7(
    backtest_ds=m2.raw_perf,
    benchmark='000300.HIX'
)

运行结果

[2019-07-16 18:49:30.675242] INFO: bigquant: instruments.v2 开始运行..
[2019-07-16 18:49:30.899851] INFO: bigquant: 命中缓存
[2019-07-16 18:49:30.905304] INFO: bigquant: instruments.v2 运行完成[0.230047s].
[2019-07-16 18:49:30.910551] INFO: bigquant: advanced_auto_labeler.v2 开始运行..
[2019-07-16 18:49:31.040759] INFO: bigquant: 命中缓存
[2019-07-16 18:49:31.046084] INFO: bigquant: advanced_auto_labeler.v2 运行完成[0.135511s].
[2019-07-16 18:49:31.050245] INFO: bigquant: input_features.v1 开始运行..
[2019-07-16 18:49:31.140795] INFO: bigquant: 命中缓存
[2019-07-16 18:49:31.149078] INFO: bigquant: input_features.v1 运行完成[0.0988s].
[2019-07-16 18:49:31.329729] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-07-16 18:49:31.418649] INFO: bigquant: 命中缓存
[2019-07-16 18:49:31.429893] INFO: bigquant: general_feature_extractor.v7 运行完成[0.100146s].
[2019-07-16 18:49:31.442253] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-07-16 18:49:31.632239] INFO: bigquant: 命中缓存
[2019-07-16 18:49:31.637622] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.19535s].
[2019-07-16 18:49:31.643922] INFO: bigquant: join.v3 开始运行..
[2019-07-16 18:49:31.857639] INFO: bigquant: 命中缓存
[2019-07-16 18:49:31.861624] INFO: bigquant: join.v3 运行完成[0.21768s].
[2019-07-16 18:49:31.865132] INFO: bigquant: dropnan.v1 开始运行..
[2019-07-16 18:49:32.087792] INFO: bigquant: 命中缓存
[2019-07-16 18:49:32.090189] INFO: bigquant: dropnan.v1 运行完成[0.225042s].
[2019-07-16 18:49:32.093661] INFO: bigquant: stock_ranker_train.v5 开始运行..
[2019-07-16 18:49:32.492602] INFO: bigquant: 命中缓存
[2019-07-16 18:49:33.739613] INFO: bigquant: stock_ranker_train.v5 运行完成[1.64592s].
[2019-07-16 18:49:33.743294] INFO: bigquant: instruments.v2 开始运行..
[2019-07-16 18:49:33.811679] INFO: bigquant: 命中缓存
[2019-07-16 18:49:33.816644] INFO: bigquant: instruments.v2 运行完成[0.073323s].
[2019-07-16 18:49:33.995407] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-07-16 18:49:34.125885] INFO: bigquant: 命中缓存
[2019-07-16 18:49:34.130828] INFO: bigquant: general_feature_extractor.v7 运行完成[0.135428s].
[2019-07-16 18:49:34.134636] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-07-16 18:49:34.433766] INFO: bigquant: 命中缓存
[2019-07-16 18:49:34.436632] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.301964s].
[2019-07-16 18:49:34.440223] INFO: bigquant: dropnan.v1 开始运行..
[2019-07-16 18:49:34.575798] INFO: bigquant: 命中缓存
[2019-07-16 18:49:34.579846] INFO: bigquant: dropnan.v1 运行完成[0.139599s].
[2019-07-16 18:49:34.583714] INFO: bigquant: stock_ranker_predict.v5 开始运行..
[2019-07-16 18:49:34.692410] INFO: bigquant: 命中缓存
[2019-07-16 18:49:34.695473] INFO: bigquant: stock_ranker_predict.v5 运行完成[0.111745s].
[2019-07-16 18:49:34.950565] INFO: bigquant: backtest.v8 开始运行..
[2019-07-16 18:49:35.242235] INFO: bigquant: 命中缓存
[2019-07-16 18:49:36.882953] INFO: bigquant: backtest.v8 运行完成[1.932387s].
[2019-07-16 18:49:36.906917] INFO: bigquant: Brinson.v7 开始运行..
[2019-07-16 18:49:37.140054] INFO: bigquant: 命中缓存
[2019-07-16 18:49:37.265710] INFO: bigquant: Brinson.v7 运行完成[0.358764s].

输出图表