siat 2.13.43__py3-none-any.whl → 2.14.2__py3-none-any.whl

siat/security_prices.py

@@ -53,7 +53,11 @@ def upper_ticker(ticker):
     elif isinstance(ticker,list):
         tlist=[]
         for t in ticker:
-            tlist=tlist+[t.upper()]
+            try:
+                tupper=t.upper()
+            except:
+                tupper=t
+            tlist=tlist+[tupper]
         return tlist
     
 if __name__=='__main__':
@@ -988,8 +992,10 @@ if __name__=='__main__':
 
 if __name__=='__main__':
     ticker='AAPL'
-    start='2020-12-1'
-    end='2021-1-31'
+    ticker='^JN0U.JO'
+    
+    start='2023-12-1'
+    end='2024-3-31'
     retry_count=3
     pause=1
     
@@ -1235,28 +1241,38 @@ def create_tuple_for_columns(df_a, multi_level_col):
 #==============================================================================
 #==============================================================================
 #==============================================================================
-def get_price_portfolio(tickerlist,sharelist,fromdate,todate,adj=False):
+def get_price_portfolio(tickerlist,sharelist,fromdate,todate,adj=False,source='auto'):
     """
     套壳函数get_prices_portfolio
+    经测试，已经能够支持capm_beta2
     """
-    df=get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=adj)
+    df=get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=adj,source=source)
     return df
 
 if __name__=='__main__':
     tickerlist=['INTC','MSFT']
     sharelist=[0.6,0.4]
     
+    tickerlist=['600519.SS', '000858.SZ', '600809.SS']
+    sharelist=[0.4,0.3,0.3]
+    
     tickerlist=['JD']
     sharelist=[1000]
     
     tickerlist=['601988.SS']
     sharelist=[1000]
     
-    fromdate='2023-1-1'
-    todate='2023-3-8'
+    fromdate='2024-1-1'
+    todate='2024-3-23'
     adj=False
+    source='auto'
+    
+    security={'Market':('US','^SPX','中概教培组合'),'EDU':0.4,'TAL':0.3,'TCTM':0.2}
+    _,_,tickerlist,sharelist=decompose_portfolio(security)
+
+    p=get_prices_portfolio(tickerlist,sharelist,fromdate,todate,source='auto')
 
-def get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=False):
+def get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=False,source='auto'):
     """
     功能：抓取投资组合的每日价值
     输入：股票代码列表，份额列表，开始日期，结束日期
@@ -1267,6 +1283,7 @@ def get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=False):
     
     输出：投资组合的价格序列，按照日期升序排列
     """
+    import pandas as pd
     
     #检查股票列表个数与份额列表个数是否一致
     if len(tickerlist) != len(sharelist):
@@ -1274,9 +1291,14 @@ def get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=False):
         return None        
     
     #抓取股票价格
-    p=get_prices(tickerlist,fromdate,todate,adj=adj)
+    p=get_prices(tickerlist,fromdate,todate,adj=adj,source=source)
     if p is None: return None
     
+    #删除无用的空列preclose，避免引起后续程序误判
+    try:
+        del p['prevclose']
+    except: pass
+    
     #结果非空时，检查整列为空的证券代码
     nancollist=[] 
     collist=list(p)
@@ -1298,10 +1320,12 @@ def get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=False):
         #删除投资组合中相关的权重
         for w in wrongtickers:
             pos=tickerlist.index(w)
-            del sharelist[pos]
+            try:
+                del tickerlist[pos]
+                del sharelist[pos]
+            except: pass
 
     if len(sharelist) > 1:    
-        import pandas as pd
         #计算投资者的开盘价
         op=p['Open']
         #计算投资组合的价值
@@ -1341,12 +1365,15 @@ def get_prices_portfolio(tickerlist,sharelist,fromdate,todate,adj=False):
 
     prices['Portfolio']=str(tickerlist)
     prices['Shares']=str(sharelist)
-    prices['Adjustment']=prices.apply(lambda x: \
-          False if x['Close']==x['Adj Close'] else True, axis=1)
-
-    stockdf=prices[['Portfolio','Shares','Date','Weekday', \
-                    'Open','Close','Adj Close','Adjustment']]  
-
+    try:
+        prices['Adjustment']=prices.apply(lambda x: \
+              False if x['Close']==x['Adj Close'] else True, axis=1)
+    
+        stockdf=prices[['Portfolio','Shares','Date','Weekday', \
+                        'Open','Close','Adj Close','Adjustment']]  
+    except:
+        return None
+    
     return stockdf      
 
 if __name__=='__main__':
@@ -1614,11 +1641,13 @@ def rolling_price_volatility(df, period="Weekly"):
     #计算滚动期间的调整标准差价格风险：基于收盘价
     retname1=period+" Price Volatility"
     import numpy as np
-    df[retname1]=df["Close"].rolling(rollingnum).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    #df[retname1]=df["Close"].rolling(rollingnum).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    df[retname1]=df["Close"].rolling(rollingnum).apply(lambda x: np.std(x,ddof=1)/np.mean(x))
     
     #计算滚动期间的调整标准差价格风险：基于调整收盘价
     retname3=period+" Adj Price Volatility"
-    df[retname3]=df["Adj Close"].rolling(rollingnum).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    #df[retname3]=df["Adj Close"].rolling(rollingnum).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    df[retname3]=df["Adj Close"].rolling(rollingnum).apply(lambda x: np.std(x,ddof=1)/np.mean(x))
     
     return df
 
@@ -1642,11 +1671,13 @@ def expanding_price_volatility(df0,basedate):
     #计算扩展窗口调整价格风险：基于收盘价
     retname1="Exp Price Volatility"
     import numpy as np
-    df[retname1]=df["Close"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    #df[retname1]=df["Close"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    df[retname1]=df["Close"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)/np.mean(x))
     
     #计算扩展窗口调整价格风险：基于调整收盘价
     retname3="Exp Adj Price Volatility"
-    df[retname3]=df["Adj Close"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    #df[retname3]=df["Adj Close"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)/np.mean(x)*np.sqrt(len(x)))
+    df[retname3]=df["Adj Close"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)/np.mean(x))
     
     return df
 
@@ -1717,13 +1748,15 @@ def expanding_ret_volatility(df0,basedate):
     retname2="Exp Ret Volatility%"
     import numpy as np
     
-    df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)*np.sqrt(len(x)))
+    #df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)*np.sqrt(len(x)))
+    df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1))
     df[retname2]=df[retname1]*100.0
     
     #计算扩展窗口调整收益率风险：基于调整收益率
     retname3="Exp Adj Ret Volatility"
     retname4="Exp Adj Ret Volatility%"
-    df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)*np.sqrt(len(x)))
+    #df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)*np.sqrt(len(x)))
+    df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1))
     df[retname4]=df[retname3]*100.0
     
     return df
@@ -1830,13 +1863,15 @@ def expanding_ret_lpsd(df0,basedate):
     retname1="Exp Ret LPSD"
     retname2=retname1+'%'
     import numpy as np
-    df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x)*np.sqrt(len(x)))
+    #df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x)*np.sqrt(len(x)))
+    df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x))
     df[retname2]=df[retname1]*100.0
     
     #计算扩展窗口调整下偏标准差：基于调整收益率
     retname3="Exp Adj Ret LPSD"
     retname4=retname3+'%'
-    df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x)*np.sqrt(len(x)))
+    #df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x)*np.sqrt(len(x)))
+    df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x))
     df[retname4]=df[retname3]*100.0
     
     return df
@@ -2044,7 +2079,7 @@ def recent_stock_split(ticker):
     
     import datetime
     today = datetime.date.today()
-    print("数据来源: 新浪/stooq,",today)
+    print("数据来源: 综合新浪/yahoo,",today)
     
     return divdf
     
@@ -2096,6 +2131,48 @@ def get_last_close(ticker):
 if __name__ =="__main__":
     get_last_close('AAPL')
 
+#==============================================================================
+
+if __name__=='__main__':
+    security={'Market':('US','^SPX','中概教培组合'),'EDU':0.4,'TAL':0.3,'TCTM':0.2}
+    security={'Market':('US','^SPX','China Edtraining'),'X01':0.4,'X02':0.3,'X03':0.2}
+    security={'Market':('China','000300.SS','China Edtraining'),'600519.SS':0.4,'000858.SZ':0.3,'600809.SS':0.2}
+    security={'Market':('China','auto','China Edtraining'),'600519.SS':0.4,'000858.SZ':0.3,'600809.SS':0.2}
+    security='600519.SS'
+    
+    start='2024-1-1'; end='2024-3-23'
+    source='auto'
+    
+    prices=get_price_security(security,start,end)
+    
+def get_price_security(security,start,end,source='auto'):
+    """
+    功能：获取股票或投资组合的价格
+    经测试已经可以支持capm_beta2，risk_adjusted_return待测试？
+    """
+    
+    if isinstance(security,dict): #投资组合
+        scope,mktidx,tickerlist,sharelist=decompose_portfolio(security)
+        prices=get_price_portfolio(tickerlist,sharelist,start,end,source=source)  
+
+        pname=portfolio_name(security)
+        if prices is None:
+            print("  #Error(get_price_security): no price info retrieved for portfolio",pname)
+            return None
+        if len(prices) ==0:
+            print("  #Error(get_price_security): zero info retrieved for portfolio",pname)  
+            return None
+    else: #股票或股票列表
+        prices=get_price(security,start,end,source=source)  
+        if prices is None:
+            print("  #Error(get_price_security): no price info retrieved for",security)
+            return None
+        if len(prices) ==0:
+            print("  #Error(get_price_security): zero info retrieved for",security)  
+            return None
+
+    return prices        
+        
 #==============================================================================
 #==============================================================================
 #==============================================================================

siat/security_trend.py

@@ -94,8 +94,12 @@ def security_trend(ticker,indicator='Close', \
                    source='auto'):
 
     """
-    国内：描述证券指标走势
+    功能：描述证券指标走势
+    指标种类：默认为收盘价，包括收益率指标、风险指标、RAR指标、估值指标。
+    窗口：滚动窗口，扩展窗口。
+    数量变换：多种，默认不变换，常用的为scaling。
     
+    注意：base='Annual Ret%'需要与window=252一致，如果不一致，以base为准。
     """    
     
     # 检查证券代码
@@ -162,7 +166,7 @@ def security_trend(ticker,indicator='Close', \
             print("  #Warning(security_trend): invalid window size, reset to annual")
             window=252
 
-    # 处理K线图
+    # 处理K线图=================================================================
     if kline and not kline_demo:
         # 跟踪
         #print(tickers[0],fromdate,todate)
@@ -180,7 +184,7 @@ def security_trend(ticker,indicator='Close', \
         df=candlestick_demo(tickers[0],fromdate=fromdate,todate=todate)
         return df
 
-    # 处理股票分红和股票分拆：需要访问雅虎财经
+    # 处理股票分红和股票分拆：需要访问雅虎财经=====================================
     if stock_dividend:
         if start in ['default']:
             fromdate=date_adjust(todate,adjust=-365*5)  
@@ -196,7 +200,7 @@ def security_trend(ticker,indicator='Close', \
         return df
     
 
-    # 检查指标：是否字符串或列表
+    # 检查指标：是否字符串或列表=================================================
     if isinstance(indicator,str):
         measures=[indicator]
         indicator_num=1
@@ -251,7 +255,7 @@ def security_trend(ticker,indicator='Close', \
             printlist(indicator_list3,numperline=5,beforehand='  ',separator='   ')
             return None
         
-    # 不能同时支持indicator_list1、indicator_list2和indicator_list3的指标，即不能跨组比较
+    # 不能同时支持indicator_list1、indicator_list2和indicator_list3的指标，即不能跨组比较！
     indicator_group1=False
     indicator_group2=False
     indicator_group3=False
@@ -278,7 +282,7 @@ def security_trend(ticker,indicator='Close', \
         print("  #Error(security_trend): cannot support in different indicator groups together for",measures)
         return None
     
-    # 情形1：单个证券，单个普通指标
+    # 情形1：单个证券，单个普通指标===============================================
     # 绘制横线
     zeroline=False
     if (critical_value != ''):
@@ -294,14 +298,14 @@ def security_trend(ticker,indicator='Close', \
                               source=source)
         return df
     
-    # 情形2：单个证券，两个普通指标，twinx==True
+    # 情形2：单个证券，两个普通指标，twinx==True =================================
     if ticker_num==1 and indicator_num == 2 and indicator_group1 and twinx:
         df=compare_security(tickers=tickers[0],measures=measures[:2], \
                             fromdate=fromdate,todate=todate,twinx=twinx, \
                             loc1=loc1,loc2=loc2,graph=graph,source=source)
         return df
     
-    # 情形3：单个证券，两个及以上普通指标
+    # 情形3：单个证券，两个及以上普通指标=========================================
     if ticker_num==1 and indicator_num >= 2 and indicator_group1 and not twinx:
         df=security_mindicators(ticker=tickers[0],measures=measures, \
                          fromdate=fromdate,todate=todate, \
@@ -311,14 +315,14 @@ def security_trend(ticker,indicator='Close', \
                          source=source)
         return df
     
-    # 情形4：两个证券，取第一个普通指标，twinx==True
+    # 情形4：两个证券，取第一个普通指标，twinx==True =============================
     if ticker_num==2 and indicator_group1 and twinx:
         df=compare_security(tickers=tickers,measures=measures[0], \
                             fromdate=fromdate,todate=todate,twinx=twinx, \
                             loc1=loc1,loc2=loc2,graph=graph,source=source)
         return df
 
-    # 情形5：两个及以上证券，取第一个普通指标
+    # 情形5：两个及以上证券，取第一个普通指标=====================================
     if ticker_num==2:
         linewidth=2.5
     elif ticker_num==3:
@@ -345,7 +349,7 @@ def security_trend(ticker,indicator='Close', \
                       source=source)
         return df
 
-    # 情形6：单个证券，单个或多个RAR指标
+    # 情形6：单个证券，单个或多个RAR指标=========================================
     # 特别注意：与收益率对比时若使用扩展收益率可能导致矛盾，要使用滚动收益率
     if indicator_group2 and ticker_num==1 and indicator_num >= 1:
         df=compare_1security_mrar(ticker=tickers[0],rar_names=measures, \
@@ -356,7 +360,7 @@ def security_trend(ticker,indicator='Close', \
                         annotate=annotate)
         return df
 
-    # 情形7：多个证券，取第一个RAR指标
+    # 情形7：多个证券，取第一个RAR指标===========================================
     # 特别注意：与收益率对比时若使用扩展收益率可能导致矛盾，要使用滚动收益率
     if indicator_group2 and ticker_num > 1:
         df=compare_mrar(tickers=tickers,rar_name=measures[0], \
@@ -367,19 +371,20 @@ def security_trend(ticker,indicator='Close', \
                         annotate=annotate)
         return df
     
-    # 情形8：估值指标PE/PB/MV/ROE
+    # 情形8：估值指标PE/PB/MV/ROE===============================================
     if indicator_group3:
         df=security_valuation(tickers=tickers,indicators=measures,start=fromdate,end=todate, \
                               preprocess=preprocess,scaling_option=scaling_option, \
                               twinx=twinx,loc1=loc1,loc2=loc2, \
-                              graph=graph,annotate=annotate,
-                             )
+                              graph=graph,annotate=annotate)
         return df
     
     # 其他未预料情形
     print("  Sorry, unsupported combination of security(ies) and indicator(s):-(")
     return None
 
+#==============================================================================
+
 #==============================================================================
 #==============================================================================
 #==============================================================================