portfolio.py

# Copyright 2021 D-Wave Systems Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

import click

from demo_configs import DEFAULT_STOCKS
from src.demo_enums import SolverType
from src.multi_period import MultiPeriod
from src.single_period import SinglePeriod


@click.command()
@click.option(
    "-s",
    "--stocks",
    multiple=True,
    type=str,
    default=DEFAULT_STOCKS,
    show_default=True,
    help="Stock name to be included."
    "When a file is provided, stock name must be included in the file ",
)
@click.option("-b", "--budget", default=1000, show_default=True, help="Portfolio budget")
@click.option(
    "-n",
    "--bin-size",
    type=int,
    help="Maximum number of intervals for each stock. This a DQM-only option.",
)
@click.option(
    "-g",
    "--gamma",
    multiple=True,
    type=float,
    help="Penalty coefficient for budget constraint. This is a DQM-only option.",
)
@click.option(
    "-a",
    "--alpha",
    multiple=True,
    type=float,
    default=[0.005],
    show_default=True,
    help="Risk aversion coefficient",
)
@click.option(
    "-f",
    "--file-path",
    default="data/basic_data.csv",
    show_default=True,
    type=str,
    help="Full path of csv file containing input stock data",
)
@click.option(
    "-z",
    "--baseline",
    default="^GSPC",
    show_default=True,
    help="Baseline stock for comparison in multi-period run",
)
@click.option(
    "-u", "--max-risk", default=0.0, help="Upper bound on risk/variance. This only works for CQM."
)
@click.option(
    "-l", "--min-return", default=0.0, help="Lower bound on the returns. This only works for CQM."
)
@click.option(
    "-d",
    "--dates",
    nargs=2,
    type=str,
    help="Start and end date to query stock data",
)
@click.option(
    "-m",
    "--model-type",
    default="CQM",
    multiple=False,
    type=click.Choice(["CQM", "DQM"], case_sensitive=False),
    show_default=True,
    help="Model type, CQM or DQM",
)
@click.option(
    "-r",
    "--rebalance",
    is_flag=True,
    default=False,
    help="Make a multi-period rebalancing portfolio optimization run; "
    "otherwise, make a single-period portfolio optimization run",
)
@click.option(
    "-p",
    "--params",
    default="{}",
    help="Pass sampler arguments such as profile and solver; " 'usage: -p \'{"profile": "test"}\'',
)
@click.option("-v", "--verbose", is_flag=True, help="Enable additional program console output")
@click.option(
    "-k",
    "--num",
    default=0,
    type=click.IntRange(
        0,
    ),
    help="Number of stocks to be randomnly generated."
    "When this option is selected, dates need to be provided.",
)
@click.option(
    "-t",
    "--t-cost",
    default=0.00,
    type=click.FloatRange(0, 1),
    help="Transaction cost: percentage of transaction dollar value.",
)
def main(
    stocks: list,
    budget: int,
    bin_size: int,
    gamma: tuple,
    params: str,
    file_path: str,
    max_risk: float,
    num: int,
    min_return: float,
    baseline: str,
    dates: str,
    model_type: str,
    rebalance: bool,
    alpha: tuple,
    verbose: bool,
    t_cost: float,
):

    solver_type = SolverType.CQM if model_type == "CQM" else SolverType.DQM

    if (max_risk or min_return) and solver_type is SolverType.DQM:
        raise Exception("The bound options require a CQM.")

    if (gamma or bin_size) and solver_type is SolverType.CQM:
        raise Exception("The option gamma or bin-size requires a DQM.")

    if num and not dates:
        raise Exception("User must provide dates with option 'num'.")

    if t_cost and solver_type is SolverType.DQM:
        raise Exception("The transaction cost option requires a CQM. Set t_cost=0 for DQM.")

    if rebalance:
        print(f"\nRebalancing portfolio optimization run...")

        my_portfolio = MultiPeriod(
            stocks=stocks,
            budget=budget,
            sampler_args=params,
            bin_size=bin_size,
            dates=dates,
            file_path=file_path,
            gamma=gamma,
            model_type=solver_type,
            alpha=alpha,
            verbose=verbose,
            baseline=baseline,
            t_cost=t_cost,
        )
    else:
        print(f"\nSingle period portfolio optimization run...")

        my_portfolio = SinglePeriod(
            stocks=stocks,
            budget=budget,
            bin_size=bin_size,
            gamma=gamma,
            file_path=file_path,
            dates=dates,
            model_type=solver_type,
            alpha=alpha,
            verbose=verbose,
            sampler_args=params,
            t_cost=t_cost,
        )

    my_portfolio.run(min_return=min_return, max_risk=max_risk, num=num)


if __name__ == "__main__":
    main()