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app.py
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PORTFOLIO INTELLIGENCE ENGINE
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Extends single-asset AI forecasting to portfolio-level optimization with:
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- Risk-aware optimization
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- Regime-adaptive allocation
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- Stress testing
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- Explainable narratives
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Author: Portfolio Intelligence Team
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Version: 2.0
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Date: 2026-02-07
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"""
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import numpy as np
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import pandas as pd
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from datetime import datetime, timedelta
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from typing import List, Dict, Tuple, Optional, Union
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from dataclasses import dataclass, field
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from scipy.optimize import minimize
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from scipy import stats
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import warnings
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warnings.filterwarnings('ignore')
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# ============================================================================
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# LAYER 1: INPUT & CONSTRAINTS
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# ============================================================================
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@dataclass
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class PortfolioConstraints:
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"""Portfolio construction constraints and parameters"""
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# Asset Universe
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assets: List[str] = field(default_factory=list)
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asset_types: Dict[str, str] = field(default_factory=dict)
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# Weight Constraints
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min_weight: Dict[str, float] = field(default_factory=dict)
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max_weight: Dict[str, float] = field(default_factory=dict)
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sector_caps: Dict[str, float] = field(default_factory=dict)
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# Cash & Liquidity
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cash_allowance: Tuple[float, float] = (0.0, 0.30)
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min_liquidity_threshold: float = 1e6
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# Rebalancing Rules
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rebalance_frequency: str = 'weekly'
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rebalance_threshold: float = 0.05
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transaction_cost: float = 0.001
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# Risk Profile
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risk_profile: str = 'balanced'
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max_portfolio_volatility: Optional[float] = None
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target_sharpe: Optional[float] = None
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# Advanced Constraints
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leverage_allowed: bool = False
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short_selling_allowed: bool = False
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concentration_limit: float = 0.35
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def validate(self) -> 'ValidationResult':
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"""Validate constraint feasibility"""
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errors = []
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warnings_list = []
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# Check sum of min weights
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if self.min_weight:
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min_sum = sum(self.min_weight.values())
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if min_sum > 1.0:
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errors.append(f"Sum of min_weights ({min_sum:.2%}) exceeds 100%")
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# Check min < max for each asset
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for asset in self.assets:
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min_w = self.min_weight.get(asset, 0.0)
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max_w = self.max_weight.get(asset, 1.0)
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if min_w >= max_w:
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errors.append(f"{asset}: min_weight ({min_w}) >= max_weight ({max_w})")
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# Check risk profile validity
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if self.risk_profile not in ['conservative', 'balanced', 'aggressive']:
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errors.append(f"Invalid risk_profile: {self.risk_profile}")
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# Check concentration limit
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if self.concentration_limit < 0 or self.concentration_limit > 1:
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errors.append(f"concentration_limit must be in [0, 1], got {self.concentration_limit}")
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# Warnings for common issues
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if not self.sector_caps:
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warnings_list.append("No sector caps specified - portfolio may be over-concentrated")
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if self.transaction_cost == 0:
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warnings_list.append("transaction_cost = 0 may lead to excessive rebalancing")
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return ValidationResult(
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is_valid=len(errors) == 0,
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errors=errors,
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warnings=warnings_list
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)
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# Risk profile templates
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RISK_PROFILES = {
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'conservative': {
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'max_volatility': 0.10,
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'max_drawdown': 0.15,
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'min_sharpe': 0.8,
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'cash_range': (0.10, 0.40),
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'max_beta': 0.7,
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'regime_sensitivity': 'high'
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},
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'balanced': {
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'max_volatility': 0.15,
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'max_drawdown': 0.25,
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'min_sharpe': 0.6,
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'cash_range': (0.05, 0.20),
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'max_beta': 1.0,
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'regime_sensitivity': 'medium'
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},
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'aggressive': {
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'max_volatility': 0.25,
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'max_drawdown': 0.40,
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'min_sharpe': 0.4,
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'cash_range': (0.00, 0.10),
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'max_beta': 1.5,
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'regime_sensitivity': 'low'
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}
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}
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class AssetFeatures:
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"""Comprehensive features for a single asset"""
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symbol: str
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# Historical Data
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historical_returns: pd.Series = None
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historical_prices: pd.Series = None
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historical_volume: pd.Series = None
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# Technical Indicators
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sma_20: float = 0.0
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sma_50: float = 0.0
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sma_200: float = 0.0
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rsi: float = 50.0
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macd: float = 0.0
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macd_signal: float = 0.0
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# Forward-Looking AI Forecast
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expected_return: float = 0.0
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expected_return_confidence: float = 0.5
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forecast_horizon: int = 30
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return_distribution: np.ndarray = None
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# Volatility Metrics
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realized_volatility: float = 0.15
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predicted_volatility: float = 0.15
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volatility_regime: str = 'medium'
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# Market Regime
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current_regime: str = 'sideways'
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regime_probability: float = 0.5
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regime_transition_risk: float = 0.3
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# Risk Metrics
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beta: float = 1.0
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correlation_to_market: float = 0.5
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downside_deviation: float = 0.10
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max_drawdown: float = -0.20
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# Liquidity & Fundamental
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avg_daily_volume: float = 1e6
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market_cap: Optional[float] = None
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sector: Optional[str] = None
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# Metadata
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last_update: datetime = field(default_factory=datetime.now)
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data_quality_score: float = 1.0
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def compute_asset_features(
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self,
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symbol: str,
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historical_data: pd.DataFrame,
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forecast_result: Dict,
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regime_result: Dict
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) -> AssetFeatures:
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"""Transform raw data into structured features"""
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features = AssetFeatures(symbol=symbol)
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# Historical statistics
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if 'Close' in historical_data.columns:
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features.historical_prices = historical_data['Close']
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features.historical_returns = np.log(
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historical_data['Close'] / historical_data['Close'].shift(1)
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).dropna()
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# Calculate realized volatility
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features.realized_volatility = features.historical_returns.std() * np.sqrt(252)
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if 'Volume' in historical_data.columns:
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features.historical_volume = historical_data['Volume']
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features.avg_daily_volume = historical_data['Volume'].tail(20).mean()
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# Extract AI forecast
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if forecast_result:
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exp_ret, confidence = self._extract_expected_return(forecast_result)
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features.expected_return = exp_ret
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features.expected_return_confidence = confidence
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if 'probabilistic_samples' in forecast_result:
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features.return_distribution = forecast_result['probabilistic_samples']
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# Regime information
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if regime_result:
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features.current_regime = regime_result.get('regime', 'sideways')
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features.regime_probability = regime_result.get('confidence', 0.5)
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# Compute forward volatility
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features.predicted_volatility = self._compute_forward_volatility(
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features.realized_volatility,
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None, # GARCH forecast (placeholder)
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features.current_regime
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)
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# Compute beta (vs market)
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if len(features.historical_returns) > 60:
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# Simple market proxy (would normally fetch SPY)
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features.beta = 1.0 # Placeholder
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features.last_update = datetime.now()
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return features
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def _extract_expected_return(self, forecast_result: Dict) -> Tuple[float, float]:
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"""Convert probabilistic forecast to expected return + confidence"""
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if 'probabilistic_samples' in forecast_result:
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samples = forecast_result['probabilistic_samples']
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median_return = np.median(samples)
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p10 = np.percentile(samples, 10)
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p90 = np.percentile(samples, 90)
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# Confidence based on uncertainty
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uncertainty = (p90 - p10) / abs(median_return) if median_return != 0 else 10.0
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confidence = 1.0 / (1.0 + uncertainty)
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confidence = np.clip(confidence, 0.0, 1.0)
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# Annualize (assuming 30-day forecast)
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annualized_return = median_return * (252 / 30)
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return annualized_return, confidence
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return 0.0, 0.5
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def _compute_forward_volatility(
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self,
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historical_vol: float,
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garch_forecast: Optional[float],
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regime: str
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) -> float:
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"""Blend historical, GARCH, and regime-adjusted volatility"""
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# Regime multipliers
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regime_multipliers = {
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'bull': 0.85,
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'sideways': 1.0,
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'bear': 1.3
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}
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multiplier = regime_multipliers.get(regime, 1.0)
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if garch_forecast:
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# Weighted blend
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vol = 0.4 * historical_vol + 0.4 * garch_forecast + 0.2 * historical_vol * multiplier
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else:
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# Simple regime adjustment
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vol = historical_vol * multiplier
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return vol
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# ============================================================================
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# LAYER 3: CORRELATION & DEPENDENCY
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# ============================================================================
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class CovarianceEstimator:
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"""Layer 3: Model asset interdependencies"""
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def rolling_covariance(
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self,
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returns: pd.DataFrame,
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window: int = 60
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) -> np.ndarray:
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"""Exponentially weighted rolling covariance"""
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# Use exponential weighting
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cov_matrix = returns.ewm(span=window).cov()
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# Extract the most recent covariance matrix
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n_assets = len(returns.columns)
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latest_cov = cov_matrix.iloc[-n_assets:, :].values
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return self._ensure_positive_definite(latest_cov)
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def regime_conditional_covariance(
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self,
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returns: pd.DataFrame,
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regimes: pd.Series
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) -> Dict[str, np.ndarray]:
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"""Compute separate covariance matrices per regime"""
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regime_covs = {}
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for regime in regimes.unique():
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regime_mask = (regimes == regime)
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regime_returns = returns[regime_mask]
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if len(regime_returns) > 20: # Minimum sample size
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cov = regime_returns.cov().values
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regime_covs[regime] = self._ensure_positive_definite(cov)
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return regime_covs
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def stress_covariance(
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self,
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base_cov: np.ndarray,
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stress_scenario: str
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) -> np.ndarray:
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"""Adjust covariance for stress scenarios"""
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n = base_cov.shape[0]
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if stress_scenario == 'market_crash':
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# All correlations → 0.8
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corr_matrix = np.full((n, n), 0.8)
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np.fill_diagonal(corr_matrix, 1.0)
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# Extract standard deviations
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std_devs = np.sqrt(np.diag(base_cov))
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# Reconstruct covariance
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stressed_cov = np.outer(std_devs, std_devs) * corr_matrix
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elif stress_scenario == 'volatility_spike':
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# Scale all variances by 2x
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stressed_cov = base_cov * 2.0
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else:
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stressed_cov = base_cov
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return self._ensure_positive_definite(stressed_cov)
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def _ensure_positive_definite(self, cov_matrix: np.ndarray) -> np.ndarray:
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"""Ensure covariance matrix is positive definite"""
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# Eigenvalue decomposition
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eigvals, eigvecs = np.linalg.eigh(cov_matrix)
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# Replace negative eigenvalues
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eigvals[eigvals < 1e-8] = 1e-8
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# Reconstruct matrix
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return eigvecs @ np.diag(eigvals) @ eigvecs.T
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def calculate_diversification_ratio(
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weights: np.ndarray,
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volatilities: np.ndarray,
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cov_matrix: np.ndarray
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) -> float:
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"""
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Diversification Ratio = (Weighted Avg Vol) / (Portfolio Vol)
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Higher ratio = better diversification
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"""
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weighted_vol = np.sum(weights * volatilities)
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portfolio_vol = np.sqrt(weights @ cov_matrix @ weights)
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if portfolio_vol > 0:
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return weighted_vol / portfolio_vol
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return 1.0
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| 408 |
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|
| 409 |
-
symbols: List[str]
|
| 410 |
-
|
| 411 |
-
|
| 412 |
-
class ForecastAggregator:
|
| 413 |
-
"""Layer 4: Transform individual forecasts into portfolio inputs"""
|
| 414 |
-
|
| 415 |
-
def aggregate_to_optimization_inputs(
|
| 416 |
-
self,
|
| 417 |
-
asset_features: List[AssetFeatures],
|
| 418 |
-
current_regime: str
|
| 419 |
-
) -> OptimizationInputs:
|
| 420 |
-
"""Convert asset-level forecasts into portfolio vectors"""
|
| 421 |
-
|
| 422 |
-
n_assets = len(asset_features)
|
| 423 |
-
|
| 424 |
-
# Extract expected returns
|
| 425 |
-
raw_returns = np.array([f.expected_return for f in asset_features])
|
| 426 |
-
confidences = np.array([f.expected_return_confidence for f in asset_features])
|
| 427 |
-
volatilities = np.array([f.predicted_volatility for f in asset_features])
|
| 428 |
-
|
| 429 |
-
# Confidence-adjusted returns
|
| 430 |
-
adjusted_returns = self._confidence_adjusted_returns(
|
| 431 |
-
raw_returns, confidences, risk_aversion=2.5
|
| 432 |
-
)
|
| 433 |
-
|
| 434 |
-
# Apply regime tilts
|
| 435 |
-
regime_adjusted_returns = self._apply_regime_tilts(
|
| 436 |
-
adjusted_returns, volatilities, current_regime
|
| 437 |
-
)
|
| 438 |
-
|
| 439 |
-
# Build covariance matrix
|
| 440 |
-
returns_df = pd.DataFrame({
|
| 441 |
-
f.symbol: f.historical_returns
|
| 442 |
-
for f in asset_features if f.historical_returns is not None
|
| 443 |
-
})
|
| 444 |
-
|
| 445 |
-
cov_estimator = CovarianceEstimator()
|
| 446 |
-
cov_matrix = cov_estimator.rolling_covariance(returns_df)
|
| 447 |
-
|
| 448 |
-
# Symbols
|
| 449 |
-
symbols = [f.symbol for f in asset_features]
|
| 450 |
-
|
| 451 |
-
return OptimizationInputs(
|
| 452 |
-
expected_returns=regime_adjusted_returns,
|
| 453 |
-
cov_matrix=cov_matrix,
|
| 454 |
-
confidence_weights=confidences,
|
| 455 |
-
symbols=symbols
|
| 456 |
-
)
|
| 457 |
-
|
| 458 |
-
def _confidence_adjusted_returns(
|
| 459 |
-
self,
|
| 460 |
-
raw_returns: np.ndarray,
|
| 461 |
-
confidences: np.ndarray,
|
| 462 |
-
risk_aversion: float = 2.5
|
| 463 |
-
) -> np.ndarray:
|
| 464 |
-
"""Adjust returns based on forecast confidence"""
|
| 465 |
-
|
| 466 |
-
rf = 0.04 # Risk-free rate
|
| 467 |
-
|
| 468 |
-
# Shrink toward risk-free rate based on confidence
|
| 469 |
-
adjusted = confidences * raw_returns + (1 - confidences) * rf
|
| 470 |
-
|
| 471 |
-
return adjusted
|
| 472 |
-
|
| 473 |
-
def _apply_regime_tilts(
|
| 474 |
-
self,
|
| 475 |
-
returns: np.ndarray,
|
| 476 |
-
volatilities: np.ndarray,
|
| 477 |
-
regime: str
|
| 478 |
-
) -> np.ndarray:
|
| 479 |
-
"""Apply regime-based adjustments"""
|
| 480 |
-
|
| 481 |
-
regime_tilts = {
|
| 482 |
-
'bull': {'multiplier': 1.2, 'vol_penalty': 0.8},
|
| 483 |
-
'bear': {'multiplier': 0.7, 'vol_penalty': 1.5},
|
| 484 |
-
'sideways': {'multiplier': 1.0, 'vol_penalty': 1.0}
|
| 485 |
-
}
|
| 486 |
-
|
| 487 |
-
tilt = regime_tilts.get(regime, {'multiplier': 1.0, 'vol_penalty': 1.0})
|
| 488 |
-
|
| 489 |
-
# Adjust returns and penalize volatility
|
| 490 |
-
adjusted_returns = returns * tilt['multiplier']
|
| 491 |
-
adjusted_returns -= volatilities * tilt['vol_penalty'] * 0.1
|
| 492 |
-
|
| 493 |
-
return adjusted_returns
|
| 494 |
-
|
| 495 |
-
|
| 496 |
-
# ============================================================================
|
| 497 |
-
# LAYER 5: OPTIMIZATION ENGINE
|
| 498 |
-
# ============================================================================
|
| 499 |
-
|
| 500 |
-
class OptimizationEngine:
|
| 501 |
-
"""Layer 5: Solve for optimal portfolio weights"""
|
| 502 |
-
|
| 503 |
-
def minimize_variance(
|
| 504 |
-
self,
|
| 505 |
-
cov_matrix: np.ndarray,
|
| 506 |
-
constraints: PortfolioConstraints
|
| 507 |
-
) -> np.ndarray:
|
| 508 |
-
"""Minimum variance portfolio"""
|
| 509 |
-
|
| 510 |
-
n = cov_matrix.shape[0]
|
| 511 |
-
|
| 512 |
-
def objective(w):
|
| 513 |
-
return w @ cov_matrix @ w
|
| 514 |
-
|
| 515 |
-
# Bounds
|
| 516 |
-
bounds = []
|
| 517 |
-
for i, symbol in enumerate(constraints.assets[:n]):
|
| 518 |
-
min_w = constraints.min_weight.get(symbol, 0.0)
|
| 519 |
-
max_w = constraints.max_weight.get(symbol, 1.0)
|
| 520 |
-
bounds.append((min_w, max_w))
|
| 521 |
-
|
| 522 |
-
# Constraints
|
| 523 |
-
constraints_list = [
|
| 524 |
-
{'type': 'eq', 'fun': lambda w: np.sum(w) - 1.0}
|
| 525 |
-
]
|
| 526 |
-
|
| 527 |
-
# Initial guess: equal weights
|
| 528 |
-
x0 = np.ones(n) / n
|
| 529 |
-
|
| 530 |
-
result = minimize(
|
| 531 |
-
objective,
|
| 532 |
-
x0=x0,
|
| 533 |
-
method='SLSQP',
|
| 534 |
-
bounds=bounds,
|
| 535 |
-
constraints=constraints_list
|
| 536 |
-
)
|
| 537 |
-
|
| 538 |
-
return result.x if result.success else x0
|
| 539 |
-
|
| 540 |
-
def maximize_sharpe(
|
| 541 |
-
self,
|
| 542 |
-
returns: np.ndarray,
|
| 543 |
-
cov_matrix: np.ndarray,
|
| 544 |
-
risk_free_rate: float,
|
| 545 |
-
constraints: PortfolioConstraints
|
| 546 |
-
) -> np.ndarray:
|
| 547 |
-
"""Maximum Sharpe ratio portfolio"""
|
| 548 |
-
|
| 549 |
-
n = len(returns)
|
| 550 |
-
|
| 551 |
-
def negative_sharpe(w):
|
| 552 |
-
portfolio_return = returns @ w
|
| 553 |
-
portfolio_vol = np.sqrt(w @ cov_matrix @ w)
|
| 554 |
-
|
| 555 |
-
if portfolio_vol == 0:
|
| 556 |
-
return 1e10
|
| 557 |
-
|
| 558 |
-
return -(portfolio_return - risk_free_rate) / portfolio_vol
|
| 559 |
-
|
| 560 |
-
# Bounds
|
| 561 |
-
bounds = []
|
| 562 |
-
for i, symbol in enumerate(constraints.assets[:n]):
|
| 563 |
-
min_w = constraints.min_weight.get(symbol, 0.0)
|
| 564 |
-
max_w = constraints.max_weight.get(symbol, 1.0)
|
| 565 |
-
bounds.append((min_w, max_w))
|
| 566 |
-
|
| 567 |
-
# Constraints
|
| 568 |
-
constraints_list = [
|
| 569 |
-
{'type': 'eq', 'fun': lambda w: np.sum(w) - 1.0}
|
| 570 |
-
]
|
| 571 |
-
|
| 572 |
-
x0 = np.ones(n) / n
|
| 573 |
-
|
| 574 |
-
result = minimize(
|
| 575 |
-
negative_sharpe,
|
| 576 |
-
x0=x0,
|
| 577 |
-
method='SLSQP',
|
| 578 |
-
bounds=bounds,
|
| 579 |
-
constraints=constraints_list
|
| 580 |
-
)
|
| 581 |
-
|
| 582 |
-
return result.x if result.success else x0
|
| 583 |
-
|
| 584 |
-
def risk_parity_allocation(
|
| 585 |
-
self,
|
| 586 |
-
cov_matrix: np.ndarray,
|
| 587 |
-
constraints: PortfolioConstraints
|
| 588 |
-
) -> np.ndarray:
|
| 589 |
-
"""Risk parity: equal risk contribution from each asset"""
|
| 590 |
-
|
| 591 |
-
n = cov_matrix.shape[0]
|
| 592 |
-
|
| 593 |
-
def risk_contribution_objective(w):
|
| 594 |
-
portfolio_var = w @ cov_matrix @ w
|
| 595 |
-
|
| 596 |
-
if portfolio_var == 0:
|
| 597 |
-
return 1e10
|
| 598 |
-
|
| 599 |
-
marginal_contrib = cov_matrix @ w
|
| 600 |
-
risk_contrib = w * marginal_contrib / portfolio_var
|
| 601 |
-
target_rc = 1.0 / n
|
| 602 |
-
|
| 603 |
-
return np.sum((risk_contrib - target_rc) ** 2)
|
| 604 |
-
|
| 605 |
-
# Bounds
|
| 606 |
-
bounds = [(0.01, 1.0) for _ in range(n)]
|
| 607 |
-
|
| 608 |
-
# Constraints
|
| 609 |
-
constraints_list = [
|
| 610 |
-
{'type': 'eq', 'fun': lambda w: np.sum(w) - 1.0}
|
| 611 |
-
]
|
| 612 |
-
|
| 613 |
-
x0 = np.ones(n) / n
|
| 614 |
-
|
| 615 |
-
result = minimize(
|
| 616 |
-
risk_contribution_objective,
|
| 617 |
-
x0=x0,
|
| 618 |
-
method='SLSQP',
|
| 619 |
-
bounds=bounds,
|
| 620 |
-
constraints=constraints_list
|
| 621 |
-
)
|
| 622 |
-
|
| 623 |
-
return result.x if result.success else x0
|
| 624 |
-
|
| 625 |
-
def ai_weighted_allocation(
|
| 626 |
-
self,
|
| 627 |
-
returns: np.ndarray,
|
| 628 |
-
cov_matrix: np.ndarray,
|
| 629 |
-
confidences: np.ndarray,
|
| 630 |
-
regime_scores: np.ndarray,
|
| 631 |
-
constraints: PortfolioConstraints
|
| 632 |
-
) -> np.ndarray:
|
| 633 |
-
"""
|
| 634 |
-
AI-weighted: Blend forecast confidence, regime suitability, Sharpe
|
| 635 |
-
This is the proprietary "secret sauce" mode
|
| 636 |
-
"""
|
| 637 |
-
|
| 638 |
-
n = len(returns)
|
| 639 |
-
|
| 640 |
-
# Calculate Sharpe per asset
|
| 641 |
-
volatilities = np.sqrt(np.diag(cov_matrix))
|
| 642 |
-
sharpe_per_asset = returns / (volatilities + 1e-8)
|
| 643 |
-
|
| 644 |
-
# Utility score
|
| 645 |
-
utility = confidences * np.array(regime_scores) * sharpe_per_asset
|
| 646 |
-
|
| 647 |
-
def objective(w):
|
| 648 |
-
# Maximize utility while controlling risk
|
| 649 |
-
portfolio_utility = np.dot(utility, w)
|
| 650 |
-
portfolio_risk = np.sqrt(w @ cov_matrix @ w)
|
| 651 |
-
|
| 652 |
-
# Risk-adjusted utility
|
| 653 |
-
return -(portfolio_utility - 2.0 * portfolio_risk)
|
| 654 |
-
|
| 655 |
-
# Bounds
|
| 656 |
-
bounds = []
|
| 657 |
-
for i, symbol in enumerate(constraints.assets[:n]):
|
| 658 |
-
min_w = constraints.min_weight.get(symbol, 0.0)
|
| 659 |
-
max_w = constraints.max_weight.get(symbol, 0.5) # Cap at 50%
|
| 660 |
-
bounds.append((min_w, max_w))
|
| 661 |
-
|
| 662 |
-
# Constraints
|
| 663 |
-
constraints_list = [
|
| 664 |
-
{'type': 'eq', 'fun': lambda w: np.sum(w) - 1.0}
|
| 665 |
-
]
|
| 666 |
-
|
| 667 |
-
x0 = np.ones(n) / n
|
| 668 |
-
|
| 669 |
-
result = minimize(
|
| 670 |
-
objective,
|
| 671 |
-
x0=x0,
|
| 672 |
-
method='SLSQP',
|
| 673 |
-
bounds=bounds,
|
| 674 |
-
constraints=constraints_list
|
| 675 |
-
)
|
| 676 |
-
|
| 677 |
-
return result.x if result.success else x0
|
| 678 |
|
| 679 |
|
| 680 |
-
# ============================================================
|
| 681 |
-
#
|
| 682 |
-
# ============================================================
|
| 683 |
|
| 684 |
@dataclass
|
| 685 |
-
class
|
| 686 |
-
|
| 687 |
-
|
| 688 |
expected_return: float
|
| 689 |
-
|
| 690 |
-
|
| 691 |
-
|
| 692 |
-
|
| 693 |
-
max_drawdown_recovery_days: int = 0
|
| 694 |
-
var_95: float = 0.0
|
| 695 |
-
cvar_95: float = 0.0
|
| 696 |
-
risk_contribution: Dict[str, float] = field(default_factory=dict)
|
| 697 |
-
diversification_ratio: float = 1.0
|
| 698 |
-
concentration_index: float = 0.0
|
| 699 |
-
|
| 700 |
-
def to_markdown(self) -> str:
|
| 701 |
-
"""Generate investor-ready risk summary"""
|
| 702 |
-
|
| 703 |
-
md = f"""
|
| 704 |
-
## Risk Metrics
|
| 705 |
-
|
| 706 |
-
**Return & Volatility:**
|
| 707 |
-
- Expected Return: {self.expected_return:.2%} annually
|
| 708 |
-
- Portfolio Volatility: {self.portfolio_volatility:.2%} annually
|
| 709 |
-
- Sharpe Ratio: {self.sharpe_ratio:.2f}
|
| 710 |
-
- Sortino Ratio: {self.sortino_ratio:.2f}
|
| 711 |
-
|
| 712 |
-
**Downside Risk:**
|
| 713 |
-
- Maximum Drawdown: {self.max_drawdown:.2%}
|
| 714 |
-
- Recovery Time: {self.max_drawdown_recovery_days} days
|
| 715 |
-
- 95% VaR (1-day): {self.var_95:.2%}
|
| 716 |
-
- 95% CVaR: {self.cvar_95:.2%}
|
| 717 |
-
|
| 718 |
-
**Diversification:**
|
| 719 |
-
- Diversification Ratio: {self.diversification_ratio:.2f}
|
| 720 |
-
- Concentration Index (HHI): {self.concentration_index:.3f}
|
| 721 |
|
| 722 |
-
**Risk Contributors:**
|
| 723 |
-
"""
|
| 724 |
-
|
| 725 |
-
for asset, contrib in sorted(self.risk_contribution.items(),
|
| 726 |
-
key=lambda x: x[1], reverse=True):
|
| 727 |
-
md += f"- {asset}: {contrib:.2%}\n"
|
| 728 |
-
|
| 729 |
-
return md
|
| 730 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 731 |
|
| 732 |
-
|
| 733 |
-
|
| 734 |
-
|
| 735 |
-
|
| 736 |
-
|
| 737 |
-
|
| 738 |
-
|
| 739 |
-
cov_matrix: np.ndarray,
|
| 740 |
-
asset_features: List[AssetFeatures]
|
| 741 |
-
) -> RiskReport:
|
| 742 |
-
"""Comprehensive risk analysis"""
|
| 743 |
-
|
| 744 |
-
# Basic metrics
|
| 745 |
-
expected_return = self.expected_return(weights, returns)
|
| 746 |
-
portfolio_vol = self.portfolio_volatility(weights, cov_matrix)
|
| 747 |
-
sharpe = self.sharpe_ratio(expected_return, portfolio_vol)
|
| 748 |
-
|
| 749 |
-
# VaR / CVaR
|
| 750 |
-
var_95 = self.value_at_risk(weights, returns, cov_matrix)
|
| 751 |
-
cvar_95 = self.conditional_var(weights, returns, cov_matrix)
|
| 752 |
-
|
| 753 |
-
# Risk contribution
|
| 754 |
-
risk_contrib = self.risk_contribution_per_asset(weights, cov_matrix)
|
| 755 |
-
risk_contrib_dict = {
|
| 756 |
-
f.symbol: risk_contrib[i]
|
| 757 |
-
for i, f in enumerate(asset_features)
|
| 758 |
-
}
|
| 759 |
-
|
| 760 |
-
# Diversification
|
| 761 |
-
volatilities = np.sqrt(np.diag(cov_matrix))
|
| 762 |
-
div_ratio = calculate_diversification_ratio(weights, volatilities, cov_matrix)
|
| 763 |
-
|
| 764 |
-
# Concentration (HHI)
|
| 765 |
-
hhi = np.sum(weights ** 2)
|
| 766 |
-
|
| 767 |
-
return RiskReport(
|
| 768 |
-
expected_return=expected_return,
|
| 769 |
-
portfolio_volatility=portfolio_vol,
|
| 770 |
-
sharpe_ratio=sharpe,
|
| 771 |
-
var_95=var_95,
|
| 772 |
-
cvar_95=cvar_95,
|
| 773 |
-
risk_contribution=risk_contrib_dict,
|
| 774 |
-
diversification_ratio=div_ratio,
|
| 775 |
-
concentration_index=hhi
|
| 776 |
)
|
| 777 |
-
|
| 778 |
-
def expected_return(self, weights: np.ndarray, returns: np.ndarray) -> float:
|
| 779 |
-
"""E[R_p] = w^T μ"""
|
| 780 |
-
return np.dot(weights, returns)
|
| 781 |
-
|
| 782 |
-
def portfolio_volatility(self, weights: np.ndarray, cov_matrix: np.ndarray) -> float:
|
| 783 |
-
"""σ_p = sqrt(w^T Σ w)"""
|
| 784 |
-
return np.sqrt(weights @ cov_matrix @ weights)
|
| 785 |
-
|
| 786 |
-
def sharpe_ratio(
|
| 787 |
-
self,
|
| 788 |
-
portfolio_return: float,
|
| 789 |
-
portfolio_vol: float,
|
| 790 |
-
risk_free_rate: float = 0.04
|
| 791 |
-
) -> float:
|
| 792 |
-
"""Sharpe = (R_p - R_f) / σ_p"""
|
| 793 |
-
if portfolio_vol == 0:
|
| 794 |
-
return 0.0
|
| 795 |
-
return (portfolio_return - risk_free_rate) / portfolio_vol
|
| 796 |
-
|
| 797 |
-
def value_at_risk(
|
| 798 |
-
self,
|
| 799 |
-
weights: np.ndarray,
|
| 800 |
-
returns: np.ndarray,
|
| 801 |
-
cov_matrix: np.ndarray,
|
| 802 |
-
confidence_level: float = 0.95
|
| 803 |
-
) -> float:
|
| 804 |
-
"""95% VaR: Maximum loss at confidence level"""
|
| 805 |
-
|
| 806 |
-
portfolio_return = returns @ weights
|
| 807 |
-
portfolio_vol = np.sqrt(weights @ cov_matrix @ weights)
|
| 808 |
-
|
| 809 |
-
# Daily VaR (parametric)
|
| 810 |
-
z_score = stats.norm.ppf(1 - confidence_level)
|
| 811 |
-
var_daily = -(portfolio_return / 252 + z_score * portfolio_vol / np.sqrt(252))
|
| 812 |
-
|
| 813 |
-
return var_daily
|
| 814 |
-
|
| 815 |
-
def conditional_var(
|
| 816 |
-
self,
|
| 817 |
-
weights: np.ndarray,
|
| 818 |
-
returns: np.ndarray,
|
| 819 |
-
cov_matrix: np.ndarray,
|
| 820 |
-
confidence_level: float = 0.95
|
| 821 |
-
) -> float:
|
| 822 |
-
"""CVaR: Expected loss beyond VaR"""
|
| 823 |
-
|
| 824 |
-
portfolio_return = returns @ weights
|
| 825 |
-
portfolio_vol = np.sqrt(weights @ cov_matrix @ weights)
|
| 826 |
-
|
| 827 |
-
z_score = stats.norm.ppf(1 - confidence_level)
|
| 828 |
-
pdf_at_z = stats.norm.pdf(z_score)
|
| 829 |
-
|
| 830 |
-
cvar = -(portfolio_return / 252 + portfolio_vol / np.sqrt(252) * pdf_at_z / (1 - confidence_level))
|
| 831 |
-
|
| 832 |
-
return cvar
|
| 833 |
-
|
| 834 |
-
def risk_contribution_per_asset(
|
| 835 |
-
self,
|
| 836 |
-
weights: np.ndarray,
|
| 837 |
-
cov_matrix: np.ndarray
|
| 838 |
-
) -> np.ndarray:
|
| 839 |
-
"""Marginal risk contribution of each asset"""
|
| 840 |
-
|
| 841 |
-
portfolio_vol = self.portfolio_volatility(weights, cov_matrix)
|
| 842 |
-
|
| 843 |
-
if portfolio_vol == 0:
|
| 844 |
-
return np.zeros_like(weights)
|
| 845 |
-
|
| 846 |
-
marginal_contrib = cov_matrix @ weights
|
| 847 |
-
risk_contrib = weights * marginal_contrib / portfolio_vol
|
| 848 |
-
|
| 849 |
-
# Normalize to sum to 1
|
| 850 |
-
return risk_contrib / risk_contrib.sum()
|
| 851 |
|
| 852 |
|
| 853 |
-
# ============================================================
|
| 854 |
-
#
|
| 855 |
-
# ============================================================
|
| 856 |
-
|
| 857 |
-
@dataclass
|
| 858 |
-
class StressTestResult:
|
| 859 |
-
"""Result of a stress test scenario"""
|
| 860 |
-
|
| 861 |
-
scenario_name: str
|
| 862 |
-
portfolio_loss_median: float
|
| 863 |
-
portfolio_loss_95th: float
|
| 864 |
-
max_drawdown: float
|
| 865 |
-
recovery_time_days: int
|
| 866 |
-
asset_level_losses: Dict[str, float]
|
| 867 |
-
vs_benchmark: float = 0.0
|
| 868 |
-
|
| 869 |
-
def to_narrative(self) -> str:
|
| 870 |
-
"""Generate human-readable stress summary"""
|
| 871 |
-
|
| 872 |
-
return f"""
|
| 873 |
-
**{self.scenario_name}:**
|
| 874 |
-
- Median loss: {self.portfolio_loss_median:.2%}
|
| 875 |
-
- Worst case (95th percentile): {self.portfolio_loss_95th:.2%}
|
| 876 |
-
- Maximum drawdown: {self.max_drawdown:.2%}
|
| 877 |
-
- Recovery time: {self.recovery_time_days} days
|
| 878 |
-
- vs Benchmark: {self.vs_benchmark:+.2%}
|
| 879 |
-
"""
|
| 880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 881 |
|
| 882 |
-
|
| 883 |
-
|
| 884 |
-
|
| 885 |
-
SCENARIOS = {
|
| 886 |
-
'market_crash': {
|
| 887 |
-
'description': '2008-style market crash',
|
| 888 |
-
'equity_shock': -0.35,
|
| 889 |
-
'vol_multiplier': 2.5,
|
| 890 |
-
'correlation_surge': 0.85,
|
| 891 |
-
'duration_days': 120
|
| 892 |
-
},
|
| 893 |
-
'volatility_spike': {
|
| 894 |
-
'description': 'VIX spikes to 60',
|
| 895 |
-
'equity_shock': -0.20,
|
| 896 |
-
'vol_multiplier': 3.0,
|
| 897 |
-
'correlation_surge': 0.75,
|
| 898 |
-
'duration_days': 30
|
| 899 |
-
},
|
| 900 |
-
'sector_selloff': {
|
| 901 |
-
'description': 'Tech sector crash',
|
| 902 |
-
'sector_shocks': {'Technology': -0.40, 'Consumer': -0.15},
|
| 903 |
-
'vol_multiplier': 2.0,
|
| 904 |
-
'duration_days': 90
|
| 905 |
-
}
|
| 906 |
-
}
|
| 907 |
-
|
| 908 |
-
def run_stress_test(
|
| 909 |
-
self,
|
| 910 |
-
weights: np.ndarray,
|
| 911 |
-
asset_features: List[AssetFeatures],
|
| 912 |
-
scenario_name: str
|
| 913 |
-
) -> StressTestResult:
|
| 914 |
-
"""Simulate portfolio under stress scenario"""
|
| 915 |
-
|
| 916 |
-
scenario = self.SCENARIOS.get(scenario_name, {})
|
| 917 |
-
|
| 918 |
-
# Apply shocks to expected returns
|
| 919 |
-
shocked_returns = np.array([f.expected_return for f in asset_features])
|
| 920 |
-
equity_shock = scenario.get('equity_shock', 0.0)
|
| 921 |
-
shocked_returns += equity_shock
|
| 922 |
-
|
| 923 |
-
# Portfolio loss
|
| 924 |
-
portfolio_loss_median = np.dot(weights, shocked_returns)
|
| 925 |
-
portfolio_loss_95th = portfolio_loss_median * 1.5 # Simplified
|
| 926 |
-
|
| 927 |
-
# Asset-level losses
|
| 928 |
-
asset_losses = {
|
| 929 |
-
f.symbol: shocked_returns[i]
|
| 930 |
-
for i, f in enumerate(asset_features)
|
| 931 |
-
}
|
| 932 |
-
|
| 933 |
-
# Recovery time (simplified)
|
| 934 |
-
recovery_days = scenario.get('duration_days', 90)
|
| 935 |
-
|
| 936 |
-
return StressTestResult(
|
| 937 |
-
scenario_name=scenario_name,
|
| 938 |
-
portfolio_loss_median=portfolio_loss_median,
|
| 939 |
-
portfolio_loss_95th=portfolio_loss_95th,
|
| 940 |
-
max_drawdown=portfolio_loss_95th,
|
| 941 |
-
recovery_time_days=recovery_days,
|
| 942 |
-
asset_level_losses=asset_losses
|
| 943 |
)
|
|
|
|
| 944 |
|
|
|
|
|
|
|
| 945 |
|
| 946 |
-
|
| 947 |
-
|
| 948 |
-
|
| 949 |
-
|
| 950 |
-
@dataclass
|
| 951 |
-
class RegimeState:
|
| 952 |
-
"""Current market regime state"""
|
| 953 |
-
regime: str
|
| 954 |
-
confidence: float
|
| 955 |
-
transition_probability: float = 0.0
|
| 956 |
-
|
| 957 |
-
|
| 958 |
-
class RegimeAdaptiveAllocator:
|
| 959 |
-
"""Layer 8: Dynamically adjust allocations by regime"""
|
| 960 |
-
|
| 961 |
-
REGIME_RULES = {
|
| 962 |
-
'bull': {
|
| 963 |
-
'strategy': 'maximize_sharpe',
|
| 964 |
-
'equity_target': (0.70, 0.90),
|
| 965 |
-
'cash_target': (0.00, 0.10),
|
| 966 |
-
'rebalance_frequency': 'weekly'
|
| 967 |
-
},
|
| 968 |
-
'bear': {
|
| 969 |
-
'strategy': 'minimum_variance',
|
| 970 |
-
'equity_target': (0.30, 0.50),
|
| 971 |
-
'cash_target': (0.20, 0.40),
|
| 972 |
-
'rebalance_frequency': 'daily'
|
| 973 |
-
},
|
| 974 |
-
'sideways': {
|
| 975 |
-
'strategy': 'risk_parity',
|
| 976 |
-
'equity_target': (0.50, 0.70),
|
| 977 |
-
'cash_target': (0.10, 0.20),
|
| 978 |
-
'rebalance_frequency': 'monthly'
|
| 979 |
-
}
|
| 980 |
-
}
|
| 981 |
-
|
| 982 |
-
def detect_current_regime(
|
| 983 |
-
self,
|
| 984 |
-
market_data: pd.DataFrame,
|
| 985 |
-
asset_features: List[AssetFeatures]
|
| 986 |
-
) -> RegimeState:
|
| 987 |
-
"""Detect current market regime"""
|
| 988 |
-
|
| 989 |
-
# Aggregate regime signals from individual assets
|
| 990 |
-
regime_votes = {}
|
| 991 |
-
for feature in asset_features:
|
| 992 |
-
regime = feature.current_regime
|
| 993 |
-
regime_votes[regime] = regime_votes.get(regime, 0) + feature.regime_probability
|
| 994 |
-
|
| 995 |
-
# Most probable regime
|
| 996 |
-
if regime_votes:
|
| 997 |
-
current_regime = max(regime_votes, key=regime_votes.get)
|
| 998 |
-
confidence = regime_votes[current_regime] / len(asset_features)
|
| 999 |
-
else:
|
| 1000 |
-
current_regime = 'sideways'
|
| 1001 |
-
confidence = 0.5
|
| 1002 |
-
|
| 1003 |
-
return RegimeState(regime=current_regime, confidence=confidence)
|
| 1004 |
-
|
| 1005 |
-
def apply_regime_rules(
|
| 1006 |
-
self,
|
| 1007 |
-
weights: np.ndarray,
|
| 1008 |
-
regime: RegimeState,
|
| 1009 |
-
asset_features: List[AssetFeatures]
|
| 1010 |
-
) -> np.ndarray:
|
| 1011 |
-
"""Apply regime-specific adjustments to weights"""
|
| 1012 |
-
|
| 1013 |
-
rules = self.REGIME_RULES.get(regime.regime, self.REGIME_RULES['sideways'])
|
| 1014 |
-
|
| 1015 |
-
# For bear markets, increase defensive assets
|
| 1016 |
-
if regime.regime == 'bear' and regime.confidence > 0.7:
|
| 1017 |
-
# Identify defensive assets (low beta, commodities)
|
| 1018 |
-
for i, feature in enumerate(asset_features):
|
| 1019 |
-
if feature.sector in ['Commodities', 'Utilities'] or feature.beta < 0.8:
|
| 1020 |
-
weights[i] *= 1.3 # Increase defensive weight
|
| 1021 |
-
elif feature.beta > 1.2:
|
| 1022 |
-
weights[i] *= 0.7 # Reduce high-beta weight
|
| 1023 |
-
|
| 1024 |
-
# Renormalize
|
| 1025 |
-
weights = weights / weights.sum()
|
| 1026 |
-
|
| 1027 |
-
return weights
|
| 1028 |
-
|
| 1029 |
-
|
| 1030 |
-
# ============================================================================
|
| 1031 |
-
# LAYER 9: EXPLAINABILITY & NARRATIVE
|
| 1032 |
-
# ============================================================================
|
| 1033 |
-
|
| 1034 |
-
class PortfolioNarrativeGenerator:
|
| 1035 |
-
"""Layer 9: Generate human-readable investment rationale"""
|
| 1036 |
-
|
| 1037 |
-
def generate_full_report(
|
| 1038 |
-
self,
|
| 1039 |
-
weights: np.ndarray,
|
| 1040 |
-
asset_features: List[AssetFeatures],
|
| 1041 |
-
risk_metrics: RiskReport,
|
| 1042 |
-
regime: str,
|
| 1043 |
-
optimization_mode: str
|
| 1044 |
-
) -> str:
|
| 1045 |
-
"""Create investor-grade portfolio summary"""
|
| 1046 |
-
|
| 1047 |
-
report = f"""
|
| 1048 |
-
# 📊 PORTFOLIO INTELLIGENCE REPORT
|
| 1049 |
|
| 1050 |
-
|
| 1051 |
-
|
| 1052 |
-
|
| 1053 |
|
| 1054 |
-
|
|
|
|
| 1055 |
|
| 1056 |
-
## 🎯 PORTFOLIO SNAPSHOT
|
| 1057 |
|
| 1058 |
-
|
|
|
|
|
|
|
| 1059 |
|
| 1060 |
-
|
|
|
|
|
|
|
|
|
|
|
|
|
| 1061 |
|
| 1062 |
-
|
|
|
|
|
|
|
| 1063 |
|
| 1064 |
-
|
| 1065 |
-
|
| 1066 |
-
|
| 1067 |
-
|
| 1068 |
-
|
| 1069 |
-
report += f"""
|
| 1070 |
-
### {feature.symbol} - {weight:.1%}
|
| 1071 |
|
| 1072 |
-
**Key Metrics:**
|
| 1073 |
-
- Expected Return: {feature.expected_return:.2%} (AI Confidence: {feature.expected_return_confidence:.0%})
|
| 1074 |
-
- Volatility: {feature.predicted_volatility:.2%}
|
| 1075 |
-
- Sector: {feature.sector or 'Unknown'}
|
| 1076 |
-
- Beta: {feature.beta:.2f}
|
| 1077 |
-
- Risk Contribution: {risk_metrics.risk_contribution.get(feature.symbol, 0):.2%}
|
| 1078 |
|
| 1079 |
-
|
| 1080 |
-
|
|
|
|
| 1081 |
|
| 1082 |
-
|
| 1083 |
-
|
| 1084 |
-
|
| 1085 |
-
|
| 1086 |
-
|
| 1087 |
-
|
| 1088 |
-
self
|
| 1089 |
-
|
| 1090 |
-
|
| 1091 |
-
regime: str
|
| 1092 |
-
) -> str:
|
| 1093 |
-
"""Explain why a specific asset has its allocation"""
|
| 1094 |
-
|
| 1095 |
-
reasons = []
|
| 1096 |
-
|
| 1097 |
-
if feature.expected_return_confidence > 0.75:
|
| 1098 |
-
reasons.append(f"High AI forecast confidence ({feature.expected_return_confidence:.0%})")
|
| 1099 |
-
|
| 1100 |
-
if feature.current_regime == regime:
|
| 1101 |
-
reasons.append(f"Favorable in {regime} regime")
|
| 1102 |
-
|
| 1103 |
-
if feature.beta < 0.8:
|
| 1104 |
-
reasons.append("Defensive characteristics (low beta)")
|
| 1105 |
-
elif feature.beta > 1.2:
|
| 1106 |
-
reasons.append("Growth characteristics (high beta)")
|
| 1107 |
-
|
| 1108 |
-
if weight > 0.15:
|
| 1109 |
-
reasons.append("High conviction position")
|
| 1110 |
-
elif weight < 0.05:
|
| 1111 |
-
reasons.append("Diversification play")
|
| 1112 |
-
|
| 1113 |
-
return " | ".join(reasons) if reasons else "Balanced allocation"
|
| 1114 |
|
|
|
|
|
|
|
|
|
|
| 1115 |
|
| 1116 |
-
|
| 1117 |
-
|
| 1118 |
-
|
|
|
|
|
|
|
|
|
|
| 1119 |
|
| 1120 |
-
|
| 1121 |
-
|
| 1122 |
-
"""Complete portfolio construction result"""
|
| 1123 |
-
|
| 1124 |
-
weights: np.ndarray
|
| 1125 |
-
symbols: List[str]
|
| 1126 |
-
risk_metrics: RiskReport
|
| 1127 |
-
stress_tests: List[StressTestResult]
|
| 1128 |
-
narrative: str
|
| 1129 |
-
regime: RegimeState
|
| 1130 |
-
timestamp: datetime = field(default_factory=datetime.now)
|
| 1131 |
-
|
| 1132 |
-
def to_dict(self) -> Dict:
|
| 1133 |
-
"""Export as dictionary"""
|
| 1134 |
-
return {
|
| 1135 |
-
'weights': {self.symbols[i]: float(self.weights[i]) for i in range(len(self.symbols))},
|
| 1136 |
-
'expected_return': float(self.risk_metrics.expected_return),
|
| 1137 |
-
'volatility': float(self.risk_metrics.portfolio_volatility),
|
| 1138 |
-
'sharpe_ratio': float(self.risk_metrics.sharpe_ratio),
|
| 1139 |
-
'regime': self.regime.regime,
|
| 1140 |
-
'timestamp': self.timestamp.isoformat()
|
| 1141 |
-
}
|
| 1142 |
|
|
|
|
|
|
|
|
|
|
| 1143 |
|
| 1144 |
-
|
| 1145 |
-
|
| 1146 |
-
|
| 1147 |
-
|
| 1148 |
-
Integrates all 10 layers into a single workflow.
|
| 1149 |
-
"""
|
| 1150 |
-
|
| 1151 |
-
def __init__(
|
| 1152 |
-
self,
|
| 1153 |
-
constraints: PortfolioConstraints,
|
| 1154 |
-
chronos_pipeline = None, # Existing AI forecaster
|
| 1155 |
-
regime_detector = None # Existing regime detector
|
| 1156 |
-
):
|
| 1157 |
-
self.constraints = constraints
|
| 1158 |
-
self.chronos_pipeline = chronos_pipeline
|
| 1159 |
-
self.regime_detector = regime_detector
|
| 1160 |
-
|
| 1161 |
-
# Initialize layer components
|
| 1162 |
-
self.data_layer = DataFeatureLayer()
|
| 1163 |
-
self.correlation_layer = CovarianceEstimator()
|
| 1164 |
-
self.forecast_aggregator = ForecastAggregator()
|
| 1165 |
-
self.optimizer = OptimizationEngine()
|
| 1166 |
-
self.risk_analytics = PortfolioRiskAnalytics()
|
| 1167 |
-
self.stress_tester = StressTestEngine()
|
| 1168 |
-
self.regime_allocator = RegimeAdaptiveAllocator()
|
| 1169 |
-
self.narrative_generator = PortfolioNarrativeGenerator()
|
| 1170 |
-
|
| 1171 |
-
def construct_portfolio(
|
| 1172 |
-
self,
|
| 1173 |
-
symbols: List[str],
|
| 1174 |
-
historical_data: Dict[str, pd.DataFrame],
|
| 1175 |
-
forecast_results: Dict[str, Dict],
|
| 1176 |
-
regime_results: Dict[str, Dict],
|
| 1177 |
-
optimization_mode: str = 'ai_weighted'
|
| 1178 |
-
) -> PortfolioResult:
|
| 1179 |
-
"""
|
| 1180 |
-
End-to-end portfolio construction pipeline.
|
| 1181 |
-
|
| 1182 |
-
Args:
|
| 1183 |
-
symbols: List of asset tickers
|
| 1184 |
-
historical_data: Dict of symbol -> DataFrame with OHLCV data
|
| 1185 |
-
forecast_results: Dict of symbol -> AI forecast result
|
| 1186 |
-
regime_results: Dict of symbol -> regime detection result
|
| 1187 |
-
optimization_mode: 'min_variance' | 'max_sharpe' | 'risk_parity' | 'ai_weighted'
|
| 1188 |
-
|
| 1189 |
-
Returns:
|
| 1190 |
-
PortfolioResult with allocations, metrics, narratives
|
| 1191 |
-
"""
|
| 1192 |
-
|
| 1193 |
-
# Layer 1: Validate
|
| 1194 |
-
validation = self.constraints.validate()
|
| 1195 |
-
if not validation.is_valid:
|
| 1196 |
-
raise ValueError(f"Invalid constraints: {validation.errors}")
|
| 1197 |
-
|
| 1198 |
-
# Layer 2: Compute features for each asset
|
| 1199 |
-
asset_features = []
|
| 1200 |
-
for symbol in symbols:
|
| 1201 |
-
hist_data = historical_data.get(symbol)
|
| 1202 |
-
forecast = forecast_results.get(symbol, {})
|
| 1203 |
-
regime = regime_results.get(symbol, {})
|
| 1204 |
-
|
| 1205 |
-
if hist_data is not None:
|
| 1206 |
-
features = self.data_layer.compute_asset_features(
|
| 1207 |
-
symbol, hist_data, forecast, regime
|
| 1208 |
-
)
|
| 1209 |
-
asset_features.append(features)
|
| 1210 |
-
|
| 1211 |
-
if not asset_features:
|
| 1212 |
-
raise ValueError("No valid asset features computed")
|
| 1213 |
-
|
| 1214 |
-
# Layer 3: Build correlation/covariance
|
| 1215 |
-
returns_df = pd.DataFrame({
|
| 1216 |
-
f.symbol: f.historical_returns
|
| 1217 |
-
for f in asset_features if f.historical_returns is not None
|
| 1218 |
-
})
|
| 1219 |
-
|
| 1220 |
-
# Layer 4: Aggregate forecasts
|
| 1221 |
-
current_regime = self.regime_allocator.detect_current_regime(
|
| 1222 |
-
returns_df, asset_features
|
| 1223 |
-
)
|
| 1224 |
-
|
| 1225 |
-
opt_inputs = self.forecast_aggregator.aggregate_to_optimization_inputs(
|
| 1226 |
-
asset_features, current_regime.regime
|
| 1227 |
-
)
|
| 1228 |
-
|
| 1229 |
-
# Layer 5: Optimize
|
| 1230 |
-
if optimization_mode == 'min_variance':
|
| 1231 |
-
weights = self.optimizer.minimize_variance(
|
| 1232 |
-
opt_inputs.cov_matrix, self.constraints
|
| 1233 |
-
)
|
| 1234 |
-
elif optimization_mode == 'max_sharpe':
|
| 1235 |
-
weights = self.optimizer.maximize_sharpe(
|
| 1236 |
-
opt_inputs.expected_returns,
|
| 1237 |
-
opt_inputs.cov_matrix,
|
| 1238 |
-
risk_free_rate=0.04,
|
| 1239 |
-
constraints=self.constraints
|
| 1240 |
-
)
|
| 1241 |
-
elif optimization_mode == 'risk_parity':
|
| 1242 |
-
weights = self.optimizer.risk_parity_allocation(
|
| 1243 |
-
opt_inputs.cov_matrix, self.constraints
|
| 1244 |
-
)
|
| 1245 |
-
elif optimization_mode == 'ai_weighted':
|
| 1246 |
-
weights = self.optimizer.ai_weighted_allocation(
|
| 1247 |
-
opt_inputs.expected_returns,
|
| 1248 |
-
opt_inputs.cov_matrix,
|
| 1249 |
-
opt_inputs.confidence_weights,
|
| 1250 |
-
regime_scores=[f.regime_probability for f in asset_features],
|
| 1251 |
-
constraints=self.constraints
|
| 1252 |
-
)
|
| 1253 |
-
else:
|
| 1254 |
-
raise ValueError(f"Unknown optimization mode: {optimization_mode}")
|
| 1255 |
-
|
| 1256 |
-
# Layer 6: Risk analytics
|
| 1257 |
-
risk_report = self.risk_analytics.compute_all_metrics(
|
| 1258 |
-
weights, opt_inputs.expected_returns, opt_inputs.cov_matrix, asset_features
|
| 1259 |
-
)
|
| 1260 |
-
|
| 1261 |
-
# Layer 7: Stress testing
|
| 1262 |
-
stress_results = []
|
| 1263 |
-
for scenario_name in ['market_crash', 'volatility_spike', 'sector_selloff']:
|
| 1264 |
-
stress_result = self.stress_tester.run_stress_test(
|
| 1265 |
-
weights, asset_features, scenario_name
|
| 1266 |
-
)
|
| 1267 |
-
stress_results.append(stress_result)
|
| 1268 |
-
|
| 1269 |
-
# Layer 8: Regime adaptation
|
| 1270 |
-
regime_adjusted_weights = self.regime_allocator.apply_regime_rules(
|
| 1271 |
-
weights, current_regime, asset_features
|
| 1272 |
-
)
|
| 1273 |
-
|
| 1274 |
-
# Layer 9: Generate narrative
|
| 1275 |
-
narrative = self.narrative_generator.generate_full_report(
|
| 1276 |
-
regime_adjusted_weights,
|
| 1277 |
-
asset_features,
|
| 1278 |
-
risk_report,
|
| 1279 |
-
current_regime.regime,
|
| 1280 |
-
optimization_mode
|
| 1281 |
-
)
|
| 1282 |
-
|
| 1283 |
-
return PortfolioResult(
|
| 1284 |
-
weights=regime_adjusted_weights,
|
| 1285 |
-
symbols=[f.symbol for f in asset_features],
|
| 1286 |
-
risk_metrics=risk_report,
|
| 1287 |
-
stress_tests=stress_results,
|
| 1288 |
-
narrative=narrative,
|
| 1289 |
-
regime=current_regime,
|
| 1290 |
-
timestamp=datetime.now()
|
| 1291 |
-
)
|
| 1292 |
|
| 1293 |
|
| 1294 |
-
# ============================================================
|
| 1295 |
-
#
|
| 1296 |
-
# ============================================================
|
| 1297 |
|
| 1298 |
if __name__ == "__main__":
|
| 1299 |
-
|
| 1300 |
-
|
| 1301 |
-
|
| 1302 |
-
# Define constraints
|
| 1303 |
-
constraints = PortfolioConstraints(
|
| 1304 |
-
assets=['AAPL', 'MSFT', 'GLD', 'TLT'],
|
| 1305 |
-
asset_types={
|
| 1306 |
-
'AAPL': 'equity',
|
| 1307 |
-
'MSFT': 'equity',
|
| 1308 |
-
'GLD': 'commodity',
|
| 1309 |
-
'TLT': 'bond'
|
| 1310 |
-
},
|
| 1311 |
-
min_weight={'AAPL': 0.05, 'MSFT': 0.05, 'GLD': 0.0, 'TLT': 0.0},
|
| 1312 |
-
max_weight={'AAPL': 0.30, 'MSFT': 0.30, 'GLD': 0.25, 'TLT': 0.25},
|
| 1313 |
-
sector_caps={'Technology': 0.60},
|
| 1314 |
-
risk_profile='balanced',
|
| 1315 |
-
rebalance_frequency='weekly'
|
| 1316 |
-
)
|
| 1317 |
-
|
| 1318 |
-
# Validate
|
| 1319 |
-
validation = constraints.validate()
|
| 1320 |
-
print(f"Constraints valid: {validation.is_valid}")
|
| 1321 |
-
if validation.warnings:
|
| 1322 |
-
print(f"Warnings: {validation.warnings}")
|
| 1323 |
-
|
| 1324 |
-
# Initialize portfolio mode (without actual AI models for demo)
|
| 1325 |
-
portfolio_mode = PortfolioMode(constraints=constraints)
|
| 1326 |
-
|
| 1327 |
-
print("\n✅ Portfolio Intelligence Engine initialized successfully!")
|
| 1328 |
-
print(f" - {len(constraints.assets)} assets in universe")
|
| 1329 |
-
print(f" - Risk profile: {constraints.risk_profile}")
|
| 1330 |
-
print(f" - Rebalance frequency: {constraints.rebalance_frequency}")
|
|
|
|
| 1 |
+
# ============================================================
|
| 2 |
+
# PORTFOLIO INTELLIGENCE ENGINE - FULL APP.PY
|
| 3 |
+
# Live + Historical Data Enabled
|
| 4 |
+
# ============================================================
|
|
|
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|
|
|
|
|
| 5 |
|
| 6 |
+
import yfinance as yf
|
| 7 |
import numpy as np
|
| 8 |
import pandas as pd
|
| 9 |
from datetime import datetime, timedelta
|
|
|
|
|
|
|
| 10 |
from scipy.optimize import minimize
|
| 11 |
from scipy import stats
|
| 12 |
+
from dataclasses import dataclass
|
| 13 |
+
from typing import Dict, List
|
| 14 |
import warnings
|
|
|
|
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|
| 15 |
|
| 16 |
+
warnings.filterwarnings("ignore")
|
| 17 |
+
|
| 18 |
+
# ============================================================
|
| 19 |
+
# DATA ENGINE
|
| 20 |
+
# ============================================================
|
| 21 |
+
|
| 22 |
+
class MarketDataLoader:
|
| 23 |
+
def __init__(self, lookback_days=365, interval="1d"):
|
| 24 |
+
self.lookback_days = lookback_days
|
| 25 |
+
self.interval = interval
|
| 26 |
+
|
| 27 |
+
def fetch(self, symbols: List[str]) -> Dict[str, pd.DataFrame]:
|
| 28 |
+
end = datetime.now()
|
| 29 |
+
start = end - timedelta(days=self.lookback_days)
|
| 30 |
+
|
| 31 |
+
data = {}
|
| 32 |
+
for s in symbols:
|
| 33 |
+
df = yf.download(
|
| 34 |
+
s,
|
| 35 |
+
start=start.strftime("%Y-%m-%d"),
|
| 36 |
+
end=end.strftime("%Y-%m-%d"),
|
| 37 |
+
interval=self.interval,
|
| 38 |
+
auto_adjust=True,
|
| 39 |
+
progress=False
|
| 40 |
+
)
|
| 41 |
+
if not df.empty:
|
| 42 |
+
data[s] = df[["Open", "High", "Low", "Close", "Volume"]].dropna()
|
| 43 |
+
return data
|
| 44 |
|
|
|
|
|
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|
|
| 45 |
|
| 46 |
+
# ============================================================
|
| 47 |
+
# AI FORECAST ENGINE (PROXY)
|
| 48 |
+
# ============================================================
|
| 49 |
|
| 50 |
+
class SimpleAIForecaster:
|
| 51 |
+
def forecast(self, prices: pd.Series, horizon=30) -> Dict:
|
| 52 |
+
returns = np.log(prices / prices.shift(1)).dropna()
|
| 53 |
+
mu = returns.mean() * horizon
|
| 54 |
+
sigma = returns.std() * np.sqrt(horizon)
|
| 55 |
|
| 56 |
+
samples = np.random.normal(mu, sigma, 1000)
|
|
|
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|
| 57 |
|
| 58 |
+
return {
|
| 59 |
+
"samples": samples,
|
| 60 |
+
"expected_return": mu,
|
| 61 |
+
"confidence": float(np.clip(1 / (1 + sigma * 10), 0.3, 0.9))
|
|
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|
| 62 |
}
|
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|
| 63 |
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|
| 64 |
|
| 65 |
+
# ============================================================
|
| 66 |
+
# REGIME DETECTOR
|
| 67 |
+
# ============================================================
|
| 68 |
|
| 69 |
+
class RegimeDetector:
|
| 70 |
+
def detect(self, returns: pd.Series) -> Dict:
|
| 71 |
+
vol = returns.std() * np.sqrt(252)
|
| 72 |
+
momentum = returns.rolling(20).mean().iloc[-1]
|
| 73 |
|
| 74 |
+
if momentum > 0 and vol < 0.25:
|
| 75 |
+
return {"regime": "bull", "confidence": 0.7}
|
| 76 |
+
elif momentum < 0:
|
| 77 |
+
return {"regime": "bear", "confidence": 0.7}
|
| 78 |
+
else:
|
| 79 |
+
return {"regime": "sideways", "confidence": 0.6}
|
|
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| 80 |
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| 81 |
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| 82 |
+
# ============================================================
|
| 83 |
+
# FEATURE ENGINE
|
| 84 |
+
# ============================================================
|
| 85 |
|
| 86 |
@dataclass
|
| 87 |
+
class AssetFeature:
|
| 88 |
+
symbol: str
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|
| 89 |
expected_return: float
|
| 90 |
+
confidence: float
|
| 91 |
+
volatility: float
|
| 92 |
+
returns: pd.Series
|
| 93 |
+
regime: str
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| 94 |
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| 95 |
|
| 96 |
+
class FeatureBuilder:
|
| 97 |
+
def build(self, symbol, df, forecast, regime) -> AssetFeature:
|
| 98 |
+
returns = np.log(df["Close"] / df["Close"].shift(1)).dropna()
|
| 99 |
+
vol = returns.std() * np.sqrt(252)
|
| 100 |
|
| 101 |
+
return AssetFeature(
|
| 102 |
+
symbol=symbol,
|
| 103 |
+
expected_return=forecast["expected_return"] * forecast["confidence"],
|
| 104 |
+
confidence=forecast["confidence"],
|
| 105 |
+
volatility=vol,
|
| 106 |
+
returns=returns,
|
| 107 |
+
regime=regime["regime"]
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| 108 |
)
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| 109 |
|
| 110 |
|
| 111 |
+
# ============================================================
|
| 112 |
+
# OPTIMIZATION ENGINE
|
| 113 |
+
# ============================================================
|
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|
| 114 |
|
| 115 |
+
class Optimizer:
|
| 116 |
+
def optimize(self, features: List[AssetFeature]) -> np.ndarray:
|
| 117 |
+
returns = np.array([f.expected_return for f in features])
|
| 118 |
+
returns = np.clip(returns, -0.5, 0.5)
|
| 119 |
|
| 120 |
+
returns_df = pd.concat(
|
| 121 |
+
[f.returns for f in features],
|
| 122 |
+
axis=1
|
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|
| 123 |
)
|
| 124 |
+
returns_df.columns = [f.symbol for f in features]
|
| 125 |
|
| 126 |
+
cov = returns_df.cov().values
|
| 127 |
+
n = len(features)
|
| 128 |
|
| 129 |
+
def objective(w):
|
| 130 |
+
port_ret = w @ returns
|
| 131 |
+
port_vol = np.sqrt(w @ cov @ w)
|
| 132 |
+
return -(port_ret / (port_vol + 1e-8))
|
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|
| 133 |
|
| 134 |
+
bounds = [(0.05, 0.5) for _ in range(n)]
|
| 135 |
+
cons = [{"type": "eq", "fun": lambda w: np.sum(w) - 1}]
|
| 136 |
+
w0 = np.ones(n) / n
|
| 137 |
|
| 138 |
+
res = minimize(objective, w0, bounds=bounds, constraints=cons)
|
| 139 |
+
return res.x if res.success else w0
|
| 140 |
|
|
|
|
| 141 |
|
| 142 |
+
# ============================================================
|
| 143 |
+
# RISK ANALYTICS
|
| 144 |
+
# ============================================================
|
| 145 |
|
| 146 |
+
class RiskEngine:
|
| 147 |
+
def analyze(self, weights, features):
|
| 148 |
+
returns = np.array([f.expected_return for f in features])
|
| 149 |
+
returns_df = pd.concat([f.returns for f in features], axis=1)
|
| 150 |
+
cov = returns_df.cov().values
|
| 151 |
|
| 152 |
+
port_ret = weights @ returns
|
| 153 |
+
port_vol = np.sqrt(weights @ cov @ weights)
|
| 154 |
+
sharpe = (port_ret - 0.04) / port_vol if port_vol > 0 else 0
|
| 155 |
|
| 156 |
+
return {
|
| 157 |
+
"expected_return": port_ret,
|
| 158 |
+
"volatility": port_vol,
|
| 159 |
+
"sharpe": sharpe
|
| 160 |
+
}
|
|
|
|
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|
| 161 |
|
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|
| 162 |
|
| 163 |
+
# ============================================================
|
| 164 |
+
# MAIN ORCHESTRATOR
|
| 165 |
+
# ============================================================
|
| 166 |
|
| 167 |
+
class PortfolioApp:
|
| 168 |
+
def __init__(self, symbols):
|
| 169 |
+
self.symbols = symbols
|
| 170 |
+
self.data_loader = MarketDataLoader()
|
| 171 |
+
self.forecaster = SimpleAIForecaster()
|
| 172 |
+
self.regime_detector = RegimeDetector()
|
| 173 |
+
self.feature_builder = FeatureBuilder()
|
| 174 |
+
self.optimizer = Optimizer()
|
| 175 |
+
self.risk_engine = RiskEngine()
|
|
|
|
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|
| 176 |
|
| 177 |
+
def run(self):
|
| 178 |
+
market_data = self.data_loader.fetch(self.symbols)
|
| 179 |
+
features = []
|
| 180 |
|
| 181 |
+
for s, df in market_data.items():
|
| 182 |
+
forecast = self.forecaster.forecast(df["Close"])
|
| 183 |
+
returns = np.log(df["Close"] / df["Close"].shift(1)).dropna()
|
| 184 |
+
regime = self.regime_detector.detect(returns)
|
| 185 |
+
feature = self.feature_builder.build(s, df, forecast, regime)
|
| 186 |
+
features.append(feature)
|
| 187 |
|
| 188 |
+
weights = self.optimizer.optimize(features)
|
| 189 |
+
risk = self.risk_engine.analyze(weights, features)
|
|
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|
| 190 |
|
| 191 |
+
print("\n📊 PORTFÖY SONUCU\n")
|
| 192 |
+
for i, f in enumerate(features):
|
| 193 |
+
print(f"{f.symbol:5s} | Weight: {weights[i]:.2%} | Regime: {f.regime}")
|
| 194 |
|
| 195 |
+
print("\n--- RISK METRICS ---")
|
| 196 |
+
print(f"Expected Return : {risk['expected_return']:.2%}")
|
| 197 |
+
print(f"Volatility : {risk['volatility']:.2%}")
|
| 198 |
+
print(f"Sharpe Ratio : {risk['sharpe']:.2f}")
|
|
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| 199 |
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# ============================================================
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# RUN
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# ============================================================
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| 205 |
if __name__ == "__main__":
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symbols = ["XOM", "GOOGL", "WMT", "JNJ"]
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app = PortfolioApp(symbols)
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+
app.run()
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