pj)/UdZddlmZddlmZddlmZddlZddl Z dddd d d Z d e d <e d dhZde d<edGddZddZddZeGddZddddZeZddddZy)au Tactical All-Weather portfolio engine. This module replaces the previous multi-pair risk-parity / kill-switch logic. Core idea --------- Maintain a static baseline allocation to a set of macro sleeves, but use a momentum + trend regime gate to move individual sleeves to cash during bear markets. A "Static All Weather" benchmark remains fully invested at BASE_WEIGHTS. ) annotations) dataclass)DictN333333?g?g333333?g333333?)SPYTLTIEFGLDDBCzdict[str, float] BASE_WEIGHTSrr zfrozenset[str] BOND_TICKERST)frozenceZdZUdZdZded<dZded<dZded<d Zd ed <d Z d ed<dZ d ed<d Z d ed<dZ d ed<dZ d ed<y)TacticalAWConfigz Gate and sizing parameters for :class:`TacticalAllWeatherManager`. Defaults reproduce the original binary SMA(200) + 12-1 momentum rules. int sma_window mom_skip_daysmom_lookback_daysfloat mom_thresholdbinarystr weight_mode? partial_fracrisk_on_min_invested?bond_baseline_multg{Gz?cash_annual_yieldN)__name__ __module__ __qualname____doc__r__annotations__rrrrrr r"r#I/opt/rentech/trading_bot/RenTech/strategy_stack/portfolio_risk_manager.pyrr"sg JM3 s M5KL%"%%% ###u#r*rcz|jt|}|jt|}||z dz S)Nr!)shiftr)closeskiplookbackdenomnums r+_momentum_from_closer35s5 KKH &E ++c$i C ; r*cp|Dcgc]}||jvs|}}|rtd|d|ycc}w)NzMissing required columns for z: )columnsKeyError)dfcolstickercmissings r+_require_columnsr<;sF6Q!2::"5q6G66vhb JKK7s33cLeZdZUdZdZded<dZded<d dZ d d dZy) TacticalAllWeatherManagerz Dynamic asset allocation engine. build_portfolio expects, for each ticker: - close: price - ret: daily pct change (bar return) SMA and momentum are computed from ``close`` using :class:`TacticalAWConfig`. Nzdict[str, float] | Nonebaseline_weightsrconfigc||jtt|_|jt |_yyN)r?dictr r@r)selfs r+ __post_init__z'TacticalAllWeatherManager.__post_init__Os4  ($($6D ! ;; *,DK r*c |s td|j}t| |jn|}t |j j }|Dcgc] }||vs| }}|rtd||Dcgc]3}tj||jjd5}}|d} |ddD]} | j| } | j} g} g} tdt|j } |D]}||}t#|ddg| |j%}tj|jjd|_ |j'}|j)| }|dj+}|dj-d }| j/|j1|| j/|j1|tj2| d }tj2| d }|j5| | j7}tj8|Dcic]:}|t;||t|j<t|j> <c}| }||kD}|t|j@kD}tC|jDjGjI}tjJ|j tLjNj)|}|D]2}|tPvs t||t|jRz||<4|jUtLjN}|dk(rt|jV}tMjX||zdd }|tMjX||z|d z}|tMjX||z|d z}tMjZ|d}||z}n:||z}tMjX|jUtLj\|d }tj8|| |}|j_dj-d }t|j`} | d kDrWd|vrR|d|dkD|d|j@kDzj_dj-d}!|jcd }"| |"z jed }#|!|#dkDz}$|#dz}%|#dz}&d|jfvr0|jh|$df|%jh|$z|jh|$df<d|jfvr0|jh|$df|&jh|$z|jh|$df<|jcd }'|'dkD}(|(jkr:|jh|(jm|'jh|(d |jh|(<|jcd })d|)z }*|dz }+||zjcd |*|+zz},d|,zjodz }-||zjcd }.d|.zjodz }/tjJtLjp| tLjN}0d|vrS|d}1d|1jfvr@|1djstLjNj)| j-d }0d|0zjodz }2tj8|,|-|.|/|2|*|)d| }3|j1|Dcic]}|d| c}}4tj2|3|4gd }3|3Scc}wcc}wcc}wcc}w) a Parameters ---------- data_dict Dict: ticker -> DataFrame with columns: close, ret, sma_200, aqr_mom. All frames will be aligned to a common calendar index. cash_annual_yield Annualized cash yield (e.g. 0.04 for 4%), converted to daily via /252. Returns ------- pd.DataFrame Contains: - portfolio_bar_ret, portfolio_cumulative_ret - static_all_weather_cumulative_ret - spy_cumulative_ret - cash_weight, total_invested_weight - weight_ columns for each sleeve zdata_dict cannot be emptyNz-data_dict missing required baseline tickers: rr.ret)r9r)axis)window min_periods)r/r0)index)dtypepartialr!)rMr5rF)lowerg& .>gffffff?rr g0D?go@)rMrN)portfolio_bar_retportfolio_cumulative_retstatic_all_weather_ret!static_all_weather_cumulative_retspy_cumulative_ret cash_weighttotal_invested_weightweight_)r5): ValueErrorr@rr#listr?keysr6pd to_datetimerM tz_localizeunion sort_valuesmaxrrr<copy sort_indexreindexffillfillnaappendrenameconcatrollingmean DataFramer3rrrrrstriprPSeriesnpfloat64r r"to_numpyrwhereminimumbool_r-r sumclipr5locanydivcumprodnanastype)5rD data_dictr#cfgrf_yieldsleevestmissing_sleevesindices master_indexidx close_matret_matsma_winr7dfxclose_sret_sclose_dfret_dfsma_dfmom_dftrendmom_okmodebase_wbwfracmulttarget_weight_arr is_bullish target_weightmin_invspy_oktot shortfallactiveadd_spyadd_gldrow_sumoverrWrVdaily_rfrQrRrSrTspy_retdf_spyrUout weight_colss5 r+build_portfolioz)TacticalAllWeatherManager.build_portfolioUsS089 9kk2C2K..Qbct,,1134&-D)1C1DD J?J[\] ]RYYA2>>)A,"4"45AA$GYYqz 12; 3C'--c2L 3#//1 &( #%b#cnn-. ,A1B R'5!1! <'')Csyy1==dCCI.."C++l+C'l((*GJ%%c*E   W^^A. / NN5<<? + ,99YQ/7+!!g!FKKM!    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Also includes a secondary subplot (stacked area) showing dynamic allocation including cash over time. )rRrTrUrVz'portfolio_df missing required columns: rNz$matplotlib is required for plotting.rXzAportfolio_df missing expected weight_ columns for sleevesrG) T height_ratiosg@g333333?)figsizesharex gridspec_kwrRzTactical All Weather)label linewidthrTzStatic All Weatherg?g?)rralpharUzSPY (buy & hold)z--)rr linestylerrgrayr)colorrzCumulative Returnr)rbest)rwrVCASH)labelsr Allocationr!g?z upper leftr)rwncolsfontsize)dpi)r5r6matplotlib.pyplotpyplot ImportErrorrZr r[lensubplotsplotrMvaluesaxhline set_ylabelgridlegendr|rorpreplace stackplotset_ylim tight_layoutsavefigr.show) portfolio_dfrrequiredr:r;plterrrfigax_eqax_alloccol alloc_series alloc_labelss r+plot_tactical_portfoliorsH #DQa|/C/C&CqDGD@ JKKI'<$$&'G*1[Qwqc]lFZFZ5ZWQC=[K[ ;3w<'Z[[ \\  $sCj1 *C % JJ/077$   JJ89@@"  JJ)*11   MM#VsM3 () JJt3J LLVLEPPSL%,,RZZ8P]#**2::6TL;FF3CKK 2.F&QLH|))YLYUXY  % c3 MM$cM" OO AO: I3 ' #   #CE I@AqHI\NQGs9K K KK,2K,)K1&K6 K) K$$K)ct||y)z!Compatibility wrapper (old name).rN)r)rrs r+plot_portfoliorZs LI>r*)r. pd.Seriesr/rr0rrr)r7rr8z list[str]r9rrr)rrrz str | Nonerr)r' __future__r dataclassesrtypingrnumpyropandasr\r r( frozensetr rr3r<r>rPortfolioManagerrr)r*r+rs #!      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