siat 2.14.2__py3-none-any.whl → 3.0.1__py3-none-any.whl

siat/capm_beta2.py

@@ -34,7 +34,7 @@ def get_market_index_code(ticker):
     """
     功能：基于股票ticker确定其所在市场的大盘指数代码
     """
-    
+    ticker=ticker1_cvt2yahoo(ticker)
     _,_,suffix=split_prefix_suffix(ticker.upper())
     
     if suffix in ['SS']:
@@ -86,7 +86,7 @@ if __name__=='__main__':
     reg_result,dretdf3=regression_capm(ticker,start2,end,ret_type,RF,regtrddays)
 
 def regression_capm(ticker,start2,end,ret_type='Annual Ret%',RF=0,regtrddays=252, \
-                    mktidx='auto',source='auto'):
+                    mktidx='auto',source='auto',ticker_type='auto'):
     """
     功能：进行CAPM回归，R-Rf=beta*(Rm-Rf)，无截距项回归
     x为(Rm-Rf)，y为R-Rf，均为日收益率，默认回归样本长度一年（365日历日或252交易日）
@@ -99,9 +99,12 @@ def regression_capm(ticker,start2,end,ret_type='Annual Ret%',RF=0,regtrddays=252
     if DEBUG:
         print("*** DEBUG:",ticker,start2,end)
     #pricedf=get_price(ticker,start2,end,source=source)
-    pricedf=get_price_security(ticker,start2,end,source=source)
+    #pricedf=get_price_security(ticker,start2,end,source=source)
+    pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start2, \
+                                    todate=end,source=source,ticker_type=ticker_type)
+    
     if pricedf is None:
-        print("  #Error(regression_capm): info of security",ticker_name(ticker),"not found or inaccessible")
+        print("  #Error(regression_capm): info of security",ticker_name(ticker,ticker_type),"not found or inaccessible")
         return None,None
     
     #计算股票滚动收益率
@@ -120,7 +123,10 @@ def regression_capm(ticker,start2,end,ret_type='Annual Ret%',RF=0,regtrddays=252
         if 'auto' in mktidx.lower():
             mktidx=get_market_index_code(ticker)
         
-    marketdf=get_price(mktidx,start2,end,source=source)
+    #marketdf=get_price(mktidx,start2,end,source=source)
+    marketdf,found=get_price_1ticker_mixed(ticker=mktidx,fromdate=start2, \
+                                    todate=end,source=source,ticker_type=ticker_type)
+
     if marketdf is None:
         print("  #Error(regression_capm): info of market index",mktidx,"not found or inaccessible")
         return None,None
@@ -203,7 +209,8 @@ if __name__=='__main__':
     beta1=get_capm_beta(ticker,start,end,RF,regtrddays)
     beta1.plot()
 
-def get_capm_beta(ticker,start,end,RF=0,regtrddays=252,mktidx='auto',source='auto'):
+def get_capm_beta(ticker,start,end,RF=0,regtrddays=252,mktidx='auto', \
+                  source='auto',ticker_type='auto'):
     """
     功能：套壳函数regression_capm，仅返回滚动的贝塔系数，基于日收益率
     滚动窗口长度为regtrddays，默认为一年的交易日
@@ -213,7 +220,8 @@ def get_capm_beta(ticker,start,end,RF=0,regtrddays=252,mktidx='auto',source='aut
     
     reg_result,_=regression_capm(ticker=ticker,start2=start2,end=end, \
                                  ret_type="Annual Ret%",RF=RF, \
-                                 regtrddays=regtrddays,mktidx=mktidx,source=source)
+                                 regtrddays=regtrddays,mktidx=mktidx, \
+                                     source=source,ticker_type=ticker_type)
     
     startpd=pd.to_datetime(date_adjust(start,adjust=-7))
     endpd=pd.to_datetime(end)
@@ -243,7 +251,7 @@ if __name__=='__main__':
 def compare_mticker_1beta(ticker,start,end, \
                          RF=0,regression_period=365, \
                          graph=True,axhline_value=1,axhline_label='', \
-                         annotate=False,mktidx='auto',source='auto'):
+                         annotate=False,mktidx='auto',source='auto',ticker_type='auto'):
     """
     功能：多只股票，对比其贝塔系数
     """
@@ -269,18 +277,24 @@ def compare_mticker_1beta(ticker,start,end, \
         
     #计算日历日regression_period对应的交易日数
     regtrddays=int(252 / 365 * regression_period)
+
+    #预处理ticker_type
+    ticker_type_list=ticker_type_preprocess_mticker_mixed(ticker,ticker_type)  
     
     df=pd.DataFrame() 
     for t in ticker:
+        pos=ticker.index(t)
+        tt=ticker_type_list[pos] 
+        
         #关闭print输出
         with HiddenPrints():
-            df_tmp=get_capm_beta(t,start,end,RF,regtrddays,mktidx,source)
+            df_tmp=get_capm_beta(t,start,end,RF,regtrddays,mktidx,source,ticker_type=tt)
         
         if df_tmp is None:
             break
         else:
             dft=df_tmp[['beta']]
-            dft.rename(columns={'beta':ticker_name(t)},inplace=True)
+            dft.rename(columns={'beta':ticker_name(t,tt)},inplace=True)
             
         if len(df)==0: #第一个
             df=dft 
@@ -297,7 +311,7 @@ def compare_mticker_1beta(ticker,start,end, \
         #是否绘制水平线
         if df1[c].max() > axhline_value and df1[c].min() < axhline_value:
             axhline_label='零线'
-        #df1.rename(columns={c:codetranslate(c)},inplace=True)
+        #df1.rename(columns={c:ticker_name(c)},inplace=True)
     
     #共同脚注    
     footnote1="注："
@@ -348,7 +362,7 @@ def compare_1ticker_mRF(ticker,start,end, \
                          RF=[0,0.02,0.05], \
                          regression_period=365, \
                          graph=True,axhline_value=1,axhline_label='', \
-                         annotate=False,mktidx='auto',source='auto'):
+                         annotate=False,mktidx='auto',source='auto',ticker_type='auto'):
     """
     功能：一只股票，不同的无风险收益率
     """
@@ -374,12 +388,15 @@ def compare_1ticker_mRF(ticker,start,end, \
         
     #计算日历日regression_period对应的交易日数
     regtrddays=int(252 / 365 * regression_period)
+    
+    #预处理ticker_type
+    ticker_type=ticker_type_preprocess_mticker_mixed(ticker,ticker_type)
         
     df=pd.DataFrame() 
     for t in RF:
         #关闭print输出
         with HiddenPrints():
-            df_tmp=get_capm_beta(ticker,start,end,t,regtrddays,mktidx,source)
+            df_tmp=get_capm_beta(ticker,start,end,t,regtrddays,mktidx,source,ticker_type=ticker_type)
         
         if df_tmp is None:
             break
@@ -423,7 +440,7 @@ def compare_1ticker_mRF(ticker,start,end, \
 
     #绘图
     if graph:
-        title_txt="CAPM贝塔系数："+ticker_name(ticker)
+        title_txt="CAPM贝塔系数："+ticker_name(ticker,ticker_type)
         y_label="贝塔系数"
 
         draw_lines(df1,y_label,x_label=footnotex, \
@@ -453,7 +470,7 @@ def compare_1ticker_mregression_period(ticker,start,end, \
                          RF=0, \
                          regression_period=[183,365,730], \
                          graph=True,axhline_value=1,axhline_label='', \
-                         annotate=False,mktidx='auto',source='auto'):
+                         annotate=False,mktidx='auto',source='auto',ticker_type='auto'):
     """
     功能：一只股票或一个投资组合，不同的回归期间
     """
@@ -476,6 +493,9 @@ def compare_1ticker_mregression_period(ticker,start,end, \
     if isinstance(regression_period,int):
         regression_period=[regression_period]
     print("  Starting to retrive and calculate capm beta on different regression period, please wait ......")
+
+    #预处理ticker_type
+    ticker_type=ticker_type_preprocess_mticker_mixed(ticker,ticker_type)
         
     df=pd.DataFrame() 
     for t in regression_period:
@@ -484,7 +504,7 @@ def compare_1ticker_mregression_period(ticker,start,end, \
         
         #关闭print输出
         with HiddenPrints():
-            df_tmp=get_capm_beta(ticker,start,end,RF,regtrddays,mktidx,source)
+            df_tmp=get_capm_beta(ticker,start,end,RF,regtrddays,mktidx,source,ticker_type=ticker_type)
         
         if df_tmp is None:
             break
@@ -524,7 +544,7 @@ def compare_1ticker_mregression_period(ticker,start,end, \
 
     #绘图
     if graph:
-        title_txt="CAPM贝塔系数："+ticker_name(ticker)
+        title_txt="CAPM贝塔系数："+ticker_name(ticker,ticker_type)
         y_label="贝塔系数"
 
         draw_lines(df1,y_label,x_label=footnotex, \
@@ -556,7 +576,8 @@ if __name__=='__main__':
     betas=compare_beta_security(ticker,start,end,RF)
 
 def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
-                          graph=True,annotate=False,mktidx='auto',source='auto'):
+                          graph=True,annotate=False,mktidx='auto',source='auto', \
+                              ticker_type='auto'):
     """
     功能：组合情况，可能多只股票、多个投资组合或投资组合与股票的混合，多个无风险收益率
     
@@ -570,7 +591,8 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
                 
             df=compare_mticker_1beta(ticker,start,end,RF,regression_period, \
                                      graph, \
-                                     annotate=annotate,mktidx=mktidx,source=source)
+                                     annotate=annotate,mktidx=mktidx,source=source, \
+                                         ticker_type=ticker_type)
             return df
         else:
             #实际上是单个证券
@@ -581,7 +603,8 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
         if len(RF) > 1:
             df=compare_1ticker_mRF(ticker,start,end,RF,regression_period, \
                                      graph, \
-                                     annotate=annotate,mktidx=mktidx,source=source)
+                                     annotate=annotate,mktidx=mktidx,source=source, \
+                                         ticker_type=ticker_type)
             return df
         else:
             #实际上是单个RF
@@ -593,15 +616,18 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
             df=compare_1ticker_mregression_period(ticker,start,end, \
                                      RF,regression_period, \
                                      graph, \
-                                     annotate=annotate,mktidx=mktidx,source=source)
+                                     annotate=annotate,mktidx=mktidx,source=source, \
+                                         ticker_type=ticker_type)
             return df
         else:
             #实际上是单个regression_period
             regression_period=regression_period[0]  
             
-    #情形4：1只证券，1个RF，1个回归天数
+    #情形4：1只证券，1个RF，1个回归天数?
     df=compare_mticker_1beta(ticker,start,end,RF,regression_period, \
-                             graph,annotate=annotate,mktidx=mktidx,source=source)
+                             graph,annotate=annotate,mktidx=mktidx,source=source, \
+                                 ticker_type=ticker_type)
+        
     return df