hikyuu 2.6.8__py3-none-manylinux2014_aarch64.whl

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/FixedCapitalMoneyManager.h

@@ -0,0 +1,28 @@
+/*
+ * FixedCapitalMoneyManager.h
+ *
+ *  Created on: 2016年5月3日
+ *      Author: Administrator
+ */
+
+#pragma once
+#ifndef TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITALMONEYMANAGER_H_
+#define TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITALMONEYMANAGER_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+class FixedCapitalMoneyManager : public MoneyManagerBase {
+    MONEY_MANAGER_IMP(FixedCapitalMoneyManager)
+    MONEY_MANAGER_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    FixedCapitalMoneyManager();
+    virtual ~FixedCapitalMoneyManager();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITALMONEYMANAGER_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/FixedCountMoneyManager.h

@@ -0,0 +1,38 @@
+/*
+ * FixedCountMoneyManager.h
+ *
+ *  Created on: 2013-4-19
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef FIXEDCOUNTMONEYMANAGER_H_
+#define FIXEDCOUNTMONEYMANAGER_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+/**
+ * 固定交易数量资金管理策略
+ * @details 每次买入固定的数量，如果帐户余额不足，则向帐户中存入足够的资金，保证能够执行买入。
+ *          即，假设资金总是充足的。
+ * @param n 每次买入的数量（应该是交易对象最小交易数量的整数，此处程序没有此进行判断）
+ * @note 1) 该策略主要用于测试和其他策略进行比较结果，本身不符合现实。\n
+ *       2) 该策略并不判断已有的持仓情况，如果在已有持仓情况下不能交易，则该判断应为System本身的责任
+ */
+class FixedCountMoneyManager : public MoneyManagerBase {
+    MONEY_MANAGER_IMP(FixedCountMoneyManager)
+
+    virtual double _getSellShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
+                                       price_t risk, SystemPart from) override;
+    MONEY_MANAGER_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    FixedCountMoneyManager();
+    virtual ~FixedCountMoneyManager();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */
+#endif /* FIXEDCOUNTMONEYMANAGER_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/FixedCountTpsMM.h

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+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-02-20
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITAL_FUNDS_MM_H_
+#define TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITAL_FUNDS_MM_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+class FixedCountTpsMM : public MoneyManagerBase {
+public:
+    FixedCountTpsMM();
+    FixedCountTpsMM(const vector<double>& buy_counts, const vector<double>& sell_counts);
+    virtual ~FixedCountTpsMM();
+
+    virtual MoneyManagerPtr _clone() override;
+    virtual double _getBuyNumber(const Datetime& datetime, const Stock& stock, price_t price,
+                                 price_t risk, SystemPart from) override;
+    virtual double _getSellNumber(const Datetime& datetime, const Stock& stock, price_t price,
+                                  price_t risk, SystemPart from) override;
+
+private:
+    vector<double> m_buy_counts;
+    vector<double> m_sell_counts;
+
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(MoneyManagerBase);
+    }
+#endif
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITAL_FUNDS_MM_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/FixedPercentMoneyManager.h

@@ -0,0 +1,34 @@
+/*
+ * PercentRiskMoneyManager.h
+ *
+ *  Created on: 2015年4月4日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_MONEYMANAGER_IMP_FIXEDPERCENTMONEYMANAGER_H_
+#define TRADE_SYS_MONEYMANAGER_IMP_FIXEDPERCENTMONEYMANAGER_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+/*
+ * 百分比风险模型
+ * 参见：《通往财务自由之路》2008年6月 机械工业出版社 范 K.撒普（Van K. Tharp.）P312
+ * 公式：P（头寸规模）＝ C（总风险）/ R（每股的风险） ［这里C现金为总风险］
+ * 参数：percent：每笔交易总风险占总资产的百分比，如0.02表示总资产的2%
+ */
+class HKU_API FixedPercentMoneyManager : public MoneyManagerBase {
+    MONEY_MANAGER_IMP(FixedPercentMoneyManager)
+    MONEY_MANAGER_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    FixedPercentMoneyManager();
+    virtual ~FixedPercentMoneyManager();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_MONEYMANAGER_IMP_FIXEDPERCENTMONEYMANAGER_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/FixedRiskMoneyManager.h

@@ -0,0 +1,28 @@
+/*
+ * FixedRiskMM.h
+ *
+ *  Created on: 2016年5月1日
+ *      Author: Administrator
+ */
+
+#pragma once
+#ifndef TRADE_SYS_MONEYMANAGER_IMP_FIXEDRISKMONEYMANAGER_H_
+#define TRADE_SYS_MONEYMANAGER_IMP_FIXEDRISKMONEYMANAGER_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+class FixedRiskMoneyManager : public MoneyManagerBase {
+    MONEY_MANAGER_IMP(FixedRiskMoneyManager)
+    MONEY_MANAGER_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    FixedRiskMoneyManager();
+    virtual ~FixedRiskMoneyManager();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_MONEYMANAGER_IMP_FIXEDRISKMONEYMANAGER_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/FixedUnitsMoneyManager.h

@@ -0,0 +1,28 @@
+/*
+ * FixedUnitsMoneyManager.h
+ *
+ *  Created on: 2016年5月3日
+ *      Author: Administrator
+ */
+
+#pragma once
+#ifndef TRADE_SYS_MONEYMANAGER_IMP_FIXEDUNITSMONEYMANAGER_H_
+#define TRADE_SYS_MONEYMANAGER_IMP_FIXEDUNITSMONEYMANAGER_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+class FixedUnitsMoneyManager : public MoneyManagerBase {
+    MONEY_MANAGER_IMP(FixedUnitsMoneyManager)
+    MONEY_MANAGER_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    FixedUnitsMoneyManager();
+    virtual ~FixedUnitsMoneyManager();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_MONEYMANAGER_IMP_FIXEDUNITSMONEYMANAGER_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/NotMoneyManager.h

@@ -0,0 +1,30 @@
+/*
+ * NotMoneyManager.h
+ *
+ *  Created on: 2017年5月22日
+ *      Author: Administrator
+ */
+
+#pragma once
+#ifndef TRADE_SYS_MONEYMANAGER_IMP_NOTMONEYMANAGER_H_
+#define TRADE_SYS_MONEYMANAGER_IMP_NOTMONEYMANAGER_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+/*
+ * 无资金管理策略，即有多少钱买多少
+ */
+class NotMoneyManager : public MoneyManagerBase {
+    MONEY_MANAGER_IMP(NotMoneyManager)
+    MONEY_MANAGER_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    NotMoneyManager();
+    virtual ~NotMoneyManager();
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_MONEYMANAGER_IMP_NOTMONEYMANAGER_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/WilliamsFixedRiskMoneyManager.h

@@ -0,0 +1,28 @@
+/*
+ * WilliamsFixedRiskMoneyManager.h
+ *
+ *  Created on: 2016年5月3日
+ *      Author: Administrator
+ */
+
+#pragma once
+#ifndef TRADE_SYS_MONEYMANAGER_IMP_WILLIAMSFIXEDRISKMONEYMANAGER_H_
+#define TRADE_SYS_MONEYMANAGER_IMP_WILLIAMSFIXEDRISKMONEYMANAGER_H_
+
+#include "../MoneyManagerBase.h"
+
+namespace hku {
+
+class WilliamsFixedRiskMoneyManager : public MoneyManagerBase {
+    MONEY_MANAGER_IMP(WilliamsFixedRiskMoneyManager)
+    MONEY_MANAGER_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    WilliamsFixedRiskMoneyManager();
+    virtual ~WilliamsFixedRiskMoneyManager();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_MONEYMANAGER_IMP_WILLIAMSFIXEDRISKMONEYMANAGER_H_ */

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/__init__.py

@@ -0,0 +1 @@
+

hikyuu/include/hikyuu/trade_sys/multifactor/MultiFactorBase.h

@@ -0,0 +1,281 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-12
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/KData.h"
+#include "ScoreRecord.h"
+
+namespace hku {
+
+/**
+ * 合成多因子，当只有一个因子时相当于简易的评分板
+ * @ingroup MultiFactor
+ */
+class HKU_API MultiFactorBase : public enable_shared_from_this<MultiFactorBase> {
+    PARAMETER_SUPPORT_WITH_CHECK
+
+public:
+    typedef Indicator::value_t value_t;
+    friend HKU_API std::ostream& operator<<(std::ostream&, const MultiFactorBase&);
+
+public:
+    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, bool spearman, int mode,
+                    bool save_all_factors);
+    MultiFactorBase(const MultiFactorBase&);
+    virtual ~MultiFactorBase() = default;
+
+    /** 获取名称 */
+    const string& name() const {
+        return m_name;
+    }
+
+    /** 设置名称 */
+    void name(const string& name) {
+        m_name = name;
+    }
+
+    /** 获取参考日期列表 */
+    const DatetimeList& getDatetimeList();
+
+    /** 获取查询范围 */
+    const KQuery& getQuery() const {
+        return m_query;
+    }
+
+    /** 设置查询范围 */
+    void setQuery(const KQuery& query);
+
+    /** 获取参考证券 */
+    const Stock& getRefStock() const {
+        return m_ref_stk;
+    }
+
+    /** 设置参考证券 */
+    void setRefStock(const Stock& stk);
+
+    /** 获取证券列表 */
+    const StockList& getStockList() const {
+        return m_stks;
+    }
+
+    /** 设置计算范围证券列表 */
+    void setStockList(const StockList& stks);
+
+    /** 获取证券列表当前证券数量 */
+    size_t getStockListNumber() const {
+        return m_stks.size();
+    }
+
+    /** 获取原始因子公式列表 */
+    const IndicatorList& getRefIndicators() const {
+        return m_inds;
+    }
+
+    /** 设置因子列表 */
+    void setRefIndicators(const IndicatorList& inds);
+
+    /** 获取指定证券合成因子 */
+    const Indicator& getFactor(const Stock&);
+
+    /**
+     * 获取所有证券合成后的新因子，顺序与传入的证券组合相同
+     */
+    const IndicatorList& getAllFactors();
+
+    /** 获取指定日期截面的所有因子值，已经降序排列 */
+    ScoreRecordList getScores(const Datetime&);
+
+    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end = Null<size_t>());
+
+    /**
+     * 获取指定日期截面 [start, end] 范围内的因子值（评分）, 并通过filer进行过滤
+     * @param date 指定日期
+     * @param start 排序起始点
+     * @param end 排序起始点(不含该点)
+     * @param filter 过滤函数
+     */
+    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end,
+                              std::function<bool(const ScoreRecord&)>&& filter);
+
+    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end,
+                              std::function<bool(const Datetime&, const ScoreRecord&)>&& filter);
+
+    /** 获取所有截面数据，已按降序排列 */
+    const vector<ScoreRecordList>& getAllScores();
+
+    /**
+     * 获取合成因子的IC, 长度与参考日期同 (非严格IC模式)
+     * @note ndays 对于使用 IC/ICIR 加权的新因子，最好保持好 ic_n 一致，
+     *       但对于等权计算的新因子，不一定非要使用 ic_n 计算。
+     *       所以，ndays 增加了一个特殊值 0, 表示直接使用 ic_n 参数计算 IC
+     * @param ndays 计算相对 ndays 日收益率的IC值
+     */
+    Indicator getIC(int ndays = 0);
+
+    /**
+     * 获取合成因子的 ICIR
+     * @param ir_n 计算 IR 的 n 窗口
+     * @param ic_n 计算 IC 的 n 窗口
+     */
+    Indicator getICIR(int ir_n, int ic_n = 0);
+
+    /**
+     * 获取所有处理过的原始因子值（归一化、标准化）
+     * @note 考虑到内存占用，该数据没有缓存，一般用与测试或者想查看处理过的原始因子值
+     * @return vector<IndicatorList>  stks x inds
+     */
+    vector<IndicatorList> getAllSrcFactors();
+
+    void reset();
+
+    typedef std::shared_ptr<MultiFactorBase> MultiFactorPtr;
+    MultiFactorPtr clone();
+
+    virtual void _reset() {}
+    virtual MultiFactorPtr _clone() = 0;
+    virtual IndicatorList _calculate(const vector<IndicatorList>&) = 0;
+
+protected:
+    virtual bool isPythonObject() const {
+        return false;
+    }
+
+private:
+    /** 执行计算 */
+    void calculate();
+
+    void initParam();
+
+protected:
+    void _buildIndex();      // 计算完成后创建截面索引
+    void _buildIndexDesc();  // 创建降序排列的索引
+    void _buildIndexAsc();   // 创建升序排列的索引
+    void _buildIndexNone();  // build index when no index
+
+    IndicatorList _getAllReturns(int ndays) const;
+    void _checkData();
+
+protected:
+    string m_name;
+    IndicatorList m_inds;  // 输入的原始因子列表
+    StockList m_stks;      // 证券组合
+    Stock m_ref_stk;       // 指定的参考证券
+    KQuery m_query;        // 计算的日期范围条件
+
+    // 以下变量为计算后生成
+    DatetimeList m_ref_dates;  // 依据参考证券和query计算的参考日期，合成因子和该日期对齐
+    unordered_map<Stock, size_t> m_stk_map;  // 证券->合成后因子位置索引
+    IndicatorList m_all_factors;             // 保存所有证券合成后的新因子
+    unordered_map<Datetime, size_t> m_date_index;
+    vector<ScoreRecordList> m_stk_factor_by_date;
+    Indicator m_ic;
+
+private:
+    std::mutex m_mutex;
+    bool m_calculated{false};
+
+//============================================
+// 序列化支持
+//============================================
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void save(Archive& ar, const unsigned int version) const {
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_inds);
+        ar& BOOST_SERIALIZATION_NVP(m_stks);
+        ar& BOOST_SERIALIZATION_NVP(m_ref_stk);
+        ar& BOOST_SERIALIZATION_NVP(m_query);
+        ar& BOOST_SERIALIZATION_NVP(m_ref_dates);
+        // 以下不需要保存，加载后重新计算
+        // ar& BOOST_SERIALIZATION_NVP(m_stk_map);
+        // ar& BOOST_SERIALIZATION_NVP(m_all_factors);
+        // ar& BOOST_SERIALIZATION_NVP(m_date_index);
+        // ar& BOOST_SERIALIZATION_NVP(m_ic);
+        // ar& BOOST_SERIALIZATION_NVP(m_calculated);
+        // ar& BOOST_SERIALIZATION_NVP(m_stk_factor_by_date);
+    }
+
+    template <class Archive>
+    void load(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_inds);
+        ar& BOOST_SERIALIZATION_NVP(m_stks);
+        ar& BOOST_SERIALIZATION_NVP(m_ref_stk);
+        ar& BOOST_SERIALIZATION_NVP(m_query);
+        ar& BOOST_SERIALIZATION_NVP(m_ref_dates);
+        // ar& BOOST_SERIALIZATION_NVP(m_stk_map);
+        // ar& BOOST_SERIALIZATION_NVP(m_all_factors);
+        // ar& BOOST_SERIALIZATION_NVP(m_date_index);
+        // ar& BOOST_SERIALIZATION_NVP(m_ic);
+        // ar& BOOST_SERIALIZATION_NVP(m_calculated);
+        // ar& BOOST_SERIALIZATION_NVP(m_stk_factor_by_date);
+    }
+
+    BOOST_SERIALIZATION_SPLIT_MEMBER()
+#endif /* HKU_SUPPORT_SERIALIZATION */
+};
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_SERIALIZATION_ASSUME_ABSTRACT(MultiFactorBase)
+#endif
+
+#if HKU_SUPPORT_SERIALIZATION
+/**
+ * 对于没有私有变量的继承子类，可直接使用该宏定义序列化
+ * @code
+ * class Drived: public MultiFactorBase {
+ *     MULTIFACTOR_NO_PRIVATE_MEMBER_SERIALIZATION
+ *
+ * public:
+ *     Drived();
+ *     ...
+ * };
+ * @endcode
+ * @ingroup MultiFactor
+ */
+#define MULTIFACTOR_NO_PRIVATE_MEMBER_SERIALIZATION               \
+private:                                                          \
+    friend class boost::serialization::access;                    \
+    template <class Archive>                                      \
+    void serialize(Archive& ar, const unsigned int version) {     \
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(MultiFactorBase); \
+    }
+#else
+#define MULTIFACTOR_NO_PRIVATE_MEMBER_SERIALIZATION
+#endif
+
+typedef std::shared_ptr<MultiFactorBase> FactorPtr;
+typedef std::shared_ptr<MultiFactorBase> MultiFactorPtr;
+typedef std::shared_ptr<MultiFactorBase> MFPtr;
+
+#define MULTIFACTOR_IMP(classname)             \
+public:                                        \
+    virtual MultiFactorPtr _clone() override { \
+        return std::make_shared<classname>();  \
+    }                                          \
+    virtual IndicatorList _calculate(const vector<IndicatorList>&) override;
+
+HKU_API std::ostream& operator<<(std::ostream&, const MultiFactorBase&);
+HKU_API std::ostream& operator<<(std::ostream&, const MultiFactorPtr&);
+
+}  // namespace hku
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::MultiFactorBase> : ostream_formatter {};
+
+template <>
+struct fmt::formatter<hku::MultiFactorPtr> : ostream_formatter {};
+#endif

hikyuu/include/hikyuu/trade_sys/multifactor/ScoreRecord.h

@@ -0,0 +1,51 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-17
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/Stock.h"
+#include "hikyuu/indicator/Indicator.h"
+
+namespace hku {
+
+struct HKU_API ScoreRecord {
+    typedef Indicator::value_t value_t;
+
+    Stock stock;
+    value_t value{0.0};
+
+    ScoreRecord() = default;
+    ScoreRecord(const Stock& stock_, value_t value_);
+
+    ScoreRecord(const ScoreRecord&);
+    ScoreRecord(ScoreRecord&&);
+
+    ScoreRecord& operator=(const ScoreRecord&);
+    ScoreRecord& operator=(ScoreRecord&&);
+};
+
+typedef vector<ScoreRecord> ScoreRecordList;
+typedef vector<ScoreRecord> ScoreList;
+
+HKU_API std::ostream& operator<<(std::ostream& out, const ScoreRecord& td);
+
+HKU_API std::ostream& operator<<(std::ostream& out, const ScoreRecordList& td);
+
+HKU_API std::ostream& operator<<(std::ostream& out, const vector<ScoreRecordList>& td);
+
+}  // namespace hku
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::ScoreRecord> : ostream_formatter {};
+
+template <>
+struct fmt::formatter<hku::ScoreRecordList> : ostream_formatter {};
+
+template <>
+struct fmt::formatter<std::vector<hku::ScoreRecordList>> : ostream_formatter {};
+#endif

hikyuu/include/hikyuu/trade_sys/multifactor/__init__.py

@@ -0,0 +1 @@
+

hikyuu/include/hikyuu/trade_sys/multifactor/build_in.h

@@ -0,0 +1,13 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-13
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "crt/MF_Weight.h"
+#include "crt/MF_EqualWeight.h"
+#include "crt/MF_ICWeight.h"
+#include "crt/MF_ICIRWeight.h"

hikyuu/include/hikyuu/trade_sys/multifactor/crt/MF_EqualWeight.h

@@ -0,0 +1,32 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-13
+ *      Author: fasiondog
+ */
+
+#pragma once
+#include "../MultiFactorBase.h"
+
+namespace hku {
+
+/**
+ * @brief 等权重合成因子
+ * @param inds 原始因子列表
+ * @param stks 计算证券列表
+ * @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
+ * @param mode 获取截面数据时排序模式: 0-降序, 1-升序, 2-不排序
+ * @param save_all_factors 是否保留因子数据
+ * @return MultiFactorPtr
+ */
+MultiFactorPtr HKU_API MF_EqualWeight(const IndicatorList& inds, const StockList& stks,
+                                      const KQuery& query, const Stock& ref_stk, int ic_n = 5,
+                                      bool spearman = true, int mode = 0,
+                                      bool save_all_factors = false);
+
+MultiFactorPtr HKU_API MF_EqualWeight();
+
+}  // namespace hku

hikyuu/include/hikyuu/trade_sys/multifactor/crt/MF_ICIRWeight.h

@@ -0,0 +1,33 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-13
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../MultiFactorBase.h"
+
+namespace hku {
+
+/**
+ * @brief 滚动ICIR权重合成因子
+ * @param inds 原始因子列表
+ * @param stks 计算证券列表
+ * @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 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
+ * @param mode 获取截面数据时排序模式: 0-降序, 1-升序, 2-不排序
+ * @param save_all_factors 是否保留因子数据
+ * @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, bool spearman = true, int mode = 0,
+                                     bool save_all_factors = false);
+
+MultiFactorPtr HKU_API MF_ICIRWeight();
+}  // namespace hku