Merge remote-tracking branch 'origin/dev' into dev

app/api/engine.py

@@ -58,9 +58,9 @@ tamp_user_engine = create_engine(
     ),
     echo=True
 )
-tamp_product_session = sessionmaker(bind=tamp_product_engine)()
-tamp_order_session = sessionmaker(bind=tamp_order_engine)()
-tamp_user_session = sessionmaker(bind=tamp_user_engine)()
+tamp_product_session = sessionmaker(bind=tamp_product_engine, autocommit=True)()
+tamp_order_session = sessionmaker(bind=tamp_order_engine, autocommit=True)()
+tamp_user_session = sessionmaker(bind=tamp_user_engine, autocommit=True)()
 
 # redis = redis.StrictRedis(
 #     host=config[env]['redis']['host'],

app/utils/week_evaluation.py

@@ -42,7 +42,7 @@ def sharpe_ratio(excess_return, simple_return, n):
     n: 数据类型， 周（52）， 月（12）， 日（250）
     """
     import math
-    d = math.sqrt(n) * excess_return.mean() / simple_return.std(ddof=1)
+    d = math.sqrt(n) * excess_return / simple_return.std(ddof=1)
     return d
 
 
@@ -257,3 +257,19 @@ def cvar(returns, alpha):
     # Return the average VaR
     # CVaR should be positive
     return abs(sum_var / index)
+
+
+def freq_days(fav_freq):
+    if fav_freq == 1:
+        N = 250  # 日更新
+    elif fav_freq == 2:
+        N = 52  # 周更新
+    elif fav_freq == 3:
+        N = 24  # 半周更新
+    elif fav_freq == 4:
+        N = 12  # 月更新
+    elif fav_freq == 5:
+        N = 3  # 季度更新
+    else:
+        N = 250  # 没有设置freq默认是天更
+    return N
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