siat 3.0.35__py3-none-any.whl → 3.0.40__py3-none-any.whl

siat/risk_adjusted_return2.py

@@ -181,7 +181,7 @@ def get_expanding_sharpe_sortino(ticker,start,end,rar_name="sharpe", \
     #增加距离开始日期的天数
     date0=pd.to_datetime(rardf2.index[0])
     if 'date' not in list(rardf2):
-        if 'Date' not in list(rardf2):
+        if 'Date' in list(rardf2):
             rardf2['date']=rardf2['Date']
         else:
             rardf2['date']=rardf2.index
@@ -204,6 +204,7 @@ def get_expanding_sharpe_sortino(ticker,start,end,rar_name="sharpe", \
         
         #rardf2[risk_type]=rardf2[ret_type].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1)*np.sqrt(len(x)-1))
         rardf2[risk_type]=rardf2[ret_type].expanding(min_periods=1).apply(lambda x: np.std(x,ddof=1))
+        #rardf2[risk_type]=rardf2[ret_type].expanding(min_periods=5).apply(lambda x: np.std(x,ddof=1))
     elif 'sortino' in rar_name_lower:
         risk_type=ret_type_nopct+' LPSD'
         if pct_flag:
@@ -211,6 +212,7 @@ def get_expanding_sharpe_sortino(ticker,start,end,rar_name="sharpe", \
         
         #rardf2[risk_type]=rardf2[ret_type].expanding(min_periods=1).apply(lambda x: lpsd(x)*np.sqrt(len(x)-1))
         rardf2[risk_type]=rardf2[ret_type].expanding(min_periods=1).apply(lambda x: lpsd(x))
+        #rardf2[risk_type]=rardf2[ret_type].expanding(min_periods=5).apply(lambda x: lpsd(x))
     
     
     #计算RAR
@@ -399,18 +401,21 @@ def get_expanding_treynor_alpha(ticker,start,end,rar_name="alpha", \
         RF_daily=RF/365 * 100
         pretdf[lndretx]=pretdf[lagdretx].apply(lambda x: np.log(1+x/100))
         pretdf[lndrety]=pretdf[lagdrety].apply(lambda x: np.log(1+x/100))
-            
         pretdf[varx]=pretdf[lndretx].expanding(min_periods=1).apply(lambda x: (np.exp(sum(x))-1)*100)
         pretdf[vary]=pretdf[lndrety].expanding(min_periods=1).apply(lambda x: (np.exp(sum(x))-1)*100)
-        
+        """
+        pretdf[varx]=pretdf[lndretx].expanding(min_periods=5).apply(lambda x: (np.exp(sum(x))-1)*100)
+        pretdf[vary]=pretdf[lndrety].expanding(min_periods=5).apply(lambda x: (np.exp(sum(x))-1)*100)
+        """
     else:
         pretdf[lndretx]=pretdf[pretdfcols[0]].apply(lambda x: np.log(1+x))
         pretdf[lndrety]=pretdf[pretdfcols[1]].apply(lambda x: np.log(1+x))
-            
         pretdf[varx]=pretdf[lndretx].expanding(min_periods=1).apply(lambda x: (np.exp(sum(x))-1))
         pretdf[vary]=pretdf[lndrety].expanding(min_periods=1).apply(lambda x: (np.exp(sum(x))-1))
-    
-    
+        """
+        pretdf[varx]=pretdf[lndretx].expanding(min_periods=5).apply(lambda x: (np.exp(sum(x))-1))
+        pretdf[vary]=pretdf[lndrety].expanding(min_periods=5).apply(lambda x: (np.exp(sum(x))-1))
+        """
     pretdf['Date']=pretdf.index
     pretdf['days']=pretdf['Date'].apply(lambda x: days_between_dates(date0,pd.to_datetime(x)))
     

siat/sector_china.py

@@ -672,11 +672,13 @@ def industry_sw_list_all():
     import pandas as pd
     import akshare as ak
     
-    symboltypes=["市场表征", "一级行业", "二级行业", "风格指数"] 
-    indextypecodes=['F','I','T','S']
+    symboltypes=["市场表征", "一级行业", "二级行业", "风格指数","大类风格指数","金创指数"] 
+    indextypecodes=['F','1','2','S','B','C']
     industry=pd.DataFrame()
     for s in symboltypes:
-        dft = ak.index_realtime_sw(symbol=s)
+        try:
+            dft = ak.index_realtime_sw(symbol=s)
+        except: continue
         
         pos=symboltypes.index(s)
         dft['指数类别代码']=indextypecodes[pos]
@@ -742,8 +744,8 @@ def display_industry_sw(sw_level='1',numberPerLine=4,colalign='left'):
     """
     按照类别打印申万行业列表，名称(代码)，每行5个, 套壳函数
     """
-    itype_list=['I','T','3','F','S']
-    sw_level_list=['1','2','3','F','S']
+    itype_list=['1','2','3','F','S','B','C']
+    sw_level_list=['1','2','3','F','S','B','C']
     pos=sw_level_list.index(sw_level)
     itype=itype_list[pos]
 
@@ -769,15 +771,15 @@ def print_industry_sw(itype='I',numberPerLine=5,colalign='left'):
     df1=df[df['type']==itype]
     df1['name_code']=df1.apply(lambda x: x['name']+'('+x['code']+'.SW'+')',axis=1)
     
-    symboltypes=["市场表征", "一级行业", "二级行业", "三级行业", "风格指数"] 
-    indextypecodes=['F','I','T','3','S']
+    symboltypes=["市场表征", "一级行业", "二级行业", "三级行业", "风格指数", "大类风格指数","金创指数"] 
+    indextypecodes=['F','1','2','3','S','B','C']
     pos=indextypecodes.index(itype)
     iname=symboltypes[pos]
     
     ilist=list(df1['name_code'])
     print("\n*** 申万行业分类："+iname+"，共计"+str(len(ilist))+'个行业(板块)')
     
-    if itype=='T': numberPerLine=4
+    if itype=='2': numberPerLine=4
     if itype=='3': numberPerLine=3
     
     printInLine_md(ilist,numberPerLine=numberPerLine,colalign=colalign)
@@ -952,7 +954,7 @@ def industry_ranking_sw(start,end,measure='Exp Ret%', \
     """
     完整版，全流程
     功能：模板，遍历某类申万指数，计算某项业绩指标，汇集排序
-    itype: F表征指数，I行业指数，S风格指数
+    itype: F表征指数，n=1/2/3行业指数，S风格指数，B大类风格指数，C金创指数
     period="day"; choice of {"day", "week", "month"}
     绘图：柱状图，可选
     """
@@ -973,11 +975,17 @@ def industry_ranking_sw(start,end,measure='Exp Ret%', \
     df=pd.DataFrame(columns=['date','ticker','start','end','item','value'])
 
     print("\nSearching industry prices, it may take great time, please wait ...")
+    
+    fail_list=[]
     for i in ilist:
         
         print("  Processing industry",i,"\b, please wait ...")
         #抓取指数价格，选取期间范围
-        dft = ak.index_hist_sw(symbol=i,period="day")
+        try:
+            dft = ak.index_hist_sw(symbol=i,period="day")
+        except:
+            fail_list=fail_list+[i]
+            continue
         
         dft['ticker']=dft['代码']
         dft['date']=dft['日期'].apply(lambda x: pd.to_datetime(x))
@@ -1017,7 +1025,7 @@ def industry_ranking_sw(start,end,measure='Exp Ret%', \
     df['name']=df['ticker'].apply(lambda x: industry_sw_name(x))
     df.set_index('name',inplace=True)
     colname='value'
-    titletxt="行业板块分析：业绩排名"
+    titletxt="行业分析：业绩排名"
     import datetime; today=datetime.date.today()
     footnote0=ectranslate(measure)+' ==>\n'
     footnote1='申万行业分类，观察期：'+start+'至'+iend+'\n'
@@ -1026,6 +1034,13 @@ def industry_ranking_sw(start,end,measure='Exp Ret%', \
     
     plot_barh(df,colname,titletxt,footnote,axisamp=axisamp) 
     #plot_barh2(df,colname,titletxt,footnote)
+    
+    if len(fail_list) > 0:
+        print("  Unable to retrieve",len(fail_list),"industry(ies) as follows:")
+        if len(fail_list) >= 10:
+            printInLine_md(fail_list,numberPerLine=10,colalign='left',font_size='16px')
+        else:
+            printInLine_md(fail_list,numberPerLine=len(fail_list),colalign='left',font_size='16px')
 
     return df
     
@@ -1122,7 +1137,7 @@ def industry_ranking_sw2(industrylist,start,end,measure='Exp Ret%', \
     df.dropna(inplace=True)
     
     colname='value'
-    titletxt="行业板块分析：业绩排名"
+    titletxt="行业分析：业绩排名"
     import datetime; today=datetime.date.today()
     footnote0=ectranslate(measure)+' ==>\n'
     footnote1='申万行业分类，观察期：'+start+'至'+iend+'\n'
@@ -1151,11 +1166,11 @@ def get_industry_sw(itype='I',period="day",industry_list='all'):
     """
     
     #检查itype的合理性
-    typelist=['F','I','T','3','S','A']
+    typelist=['F','1','2','3','S','B','C','A']
     if not (itype in typelist):
         print("  #Error(get_industry_sw): unsupported industry category",itype)
         print("  Supported industry category",typelist)
-        print("  F: Featured, I-Industry, S-Styled, A-All (more time))")
+        print("  F: Featured, n-Level n Industry, S-Styled, B- Big Styled, C- Financial Innovation, A-All (more time))")
         return None
     
     #获得指数代码
@@ -1176,7 +1191,7 @@ def get_industry_sw(itype='I',period="day",industry_list='all'):
     import datetime
     df=pd.DataFrame()
 
-    print("  *** Searching industry information, please wait ...")
+    print("  Searching industry information, please wait ...")
     num=len(ilist)
     if num <= 10:
         steps=5
@@ -1184,6 +1199,7 @@ def get_industry_sw(itype='I',period="day",industry_list='all'):
         steps=10
         
     total=len(ilist)
+    fail_list=[]
     for i in ilist:
         
         #print("  Retrieving information for industry",i)
@@ -1192,7 +1208,8 @@ def get_industry_sw(itype='I',period="day",industry_list='all'):
         try:
             dft = ak.index_hist_sw(symbol=i,period="day")
         except:
-            print("  #Warning(get_industry_sw): unsupported industry",i)
+            #print("  #Warning(get_industry_sw): unsupported industry",i)
+            fail_list=fail_list+[i]
             continue
         
         dft['ticker']=dft['代码']
@@ -1217,8 +1234,19 @@ def get_industry_sw(itype='I',period="day",industry_list='all'):
         print_progress_percent(current,total,steps=steps,leading_blanks=2)
     
     #num=list(set(list(df['ticker'])))
-    print("  Successfully retrieved",len(df),"records in",len(ilist),"industries")
+    if len(fail_list)==0: 
+        print("  Successfully retrieved",len(df),"records in",len(ilist),"industries")
+    else:
+        print("\n  Successfully retrieved",len(df),"records in",len(ilist),"industries")
     #print("  Successfully retrieved",len(df),"records in",num,"industries")
+    
+    if len(fail_list) > 0:
+        print("  Failed to retrieve",len(fail_list),"industry(ies) as follows:")
+        if len(fail_list) >= 10:
+            printInLine_md(fail_list,numberPerLine=10,colalign='left',font_size='16px')
+        else:
+            printInLine_md(fail_list,numberPerLine=len(fail_list),colalign='left',font_size='16px')
+    
     return df
 
     
@@ -1260,15 +1288,15 @@ def get_industry_sw2(industry_list,period="day"):
         steps=10
         
     total=len(ilist)
+    fail_list=[]
     for i in ilist:
-        
         #print("  Retrieving information for industry",i)
-        
         #抓取指数价格
         try:
             dft = ak.index_hist_sw(symbol=i,period="day")
         except:
-            print("  #Warning(get_industry_sw): unsupported industry",i)
+            #print("  #Warning(get_industry_sw): unsupported industry",i)
+            fail_list=fail_list+[i]
             continue
         
         dft['ticker']=dft['代码']
@@ -1293,8 +1321,19 @@ def get_industry_sw2(industry_list,period="day"):
         print_progress_percent(current,total,steps=steps,leading_blanks=2)
     
     #num=list(set(list(df['ticker'])))
-    print("  Successfully retrieved",len(df),"records in",len(ilist),"industries")
+    if len(fail_list) > 0:
+        print("\n  Successfully retrieved",len(df),"records in",len(ilist),"industries")
+    else:
+        print("  Successfully retrieved",len(df),"records in",len(ilist),"industries")
     #print("  Successfully retrieved",len(df),"records in",num,"industries")
+    if len(fail_list) > 0:
+        print("  Failed to retrieve",len(fail_list),"industry(ies) as follows:")
+        if len(fail_list) >= 10:
+            printInLine_md(fail_list,numberPerLine=10,colalign='left',font_size='16px') 
+        else:
+            printInLine_md(fail_list,numberPerLine=len(fail_list),colalign='left',font_size='16px')
+        
+    
     return df
 
 #==============================================================================
@@ -1336,7 +1375,7 @@ def calc_industry_sw(df,start,end):
     idf=pd.DataFrame()
     idfall=pd.DataFrame()
 
-    print("  *** Calculating industry performance, please wait ...")
+    print("  Calculating industry performance, please wait ...")
     num=len(ilist)
     if num <= 10:
         steps=5
@@ -1413,7 +1452,7 @@ if __name__=='__main__':
     
 def rank_industry_sw(idf,measure='Exp Ret%',industries=[], \
                      graph=True,axisamp=0.8,px=False,maxitems=32, \
-                         printout=False):
+                     printout=False,facecolor='papayawhip',font_size='16px'):
     """
     功能：遍历某类申万指数的某项业绩指标，汇集排序
     绘图：水平柱状图
@@ -1483,11 +1522,18 @@ def rank_industry_sw(idf,measure='Exp Ret%',industries=[], \
         gdf2.reset_index(inplace=True)
         gdf2.index=gdf2.index+1
         gdf2.columns=['行业名称','行业代码',ectranslate(measure),'开始日期','结束日期']
-        
+        """
         print("***",titletxt,'\n')
         alignlist=['center']+['left']*(len(list(gdf2))-1)
         print(gdf2.to_markdown(index=True,tablefmt='plain',colalign=alignlist))
+        """
+        #确定表格字体大小
+        titile_font_size=font_size
+        heading_font_size=data_font_size=str(int(font_size.replace('px',''))-1)+'px'
         
+        df_display_CSS(gdf2,titletxt=titletxt,footnote=footnote,facecolor=facecolor, \
+                       titile_font_size=titile_font_size,heading_font_size=heading_font_size, \
+                           data_font_size=data_font_size)
 
     if graph:
         if (len(gdf1) <= maxitems):
@@ -2094,12 +2140,12 @@ def get_industry_data_sw(start,end,sw_level='1'):
     功能：获得申万行业历史数据, 套壳函数
     start: 开始日期
     end: 结束日期
-    sw_level: '1', '2', '3', 'F', 'S'
+    sw_level: '1', '2', '3', 'F', 'S', 'B', 'C'
     
     返回：idf, idfall，供进一步分析使用。
     """
-    itype_list=['I','T','3','F','S']
-    sw_level_list=['1','2','3','F','S']
+    itype_list=['1','2','3','F','S', 'B', 'C']
+    sw_level_list=['1','2','3','F','S', 'B', 'C']
     pos=sw_level_list.index(sw_level)
     itype=itype_list[pos]
 
@@ -2112,7 +2158,7 @@ if __name__ =="__main__":
     
     # 新冠疫情三年
     start='2023-1-1'; end='2023-4-10'
-    itype='T'
+    itype='F'
     
     idf,idfall=get_industry_info_sw(start,end,itype='I')
 
@@ -2190,7 +2236,8 @@ if __name__ =="__main__":
 
 def rank_msecurity_performance(tickers,start,end, \
                             measures=['Exp Ret%'], \
-                            market_index='000001.SS',window=252,colalign='right'):
+                            market_index='000001.SS',window=252,colalign='right', \
+                            facecolor='papayawhip',font_size='16px'):
     """
     功能：列示多只股票多个指标的对比，从高到低
     
@@ -2264,6 +2311,7 @@ def rank_msecurity_performance(tickers,start,end, \
     df1.reset_index(inplace=True)
     df1.rename(columns={'index':'股票'},inplace=True)
     
+    """
     alignlist=['left']+[colalign]*(len(allmeasures)-1)
     
     print("\n*** 股票多重指标比较：按夏普比率降序排列\n")
@@ -2273,6 +2321,22 @@ def rank_msecurity_performance(tickers,start,end, \
     print("    表中的夏普比率/索替诺比率/阿尔法值均为TTM滚动值")
     import datetime; today=datetime.date.today()
     print("    数据来源：新浪财经/东方财富，"+str(today)+'统计')
+    """
+    titletxt="股票多重指标分析：按夏普比率降序排列"
+    footnote1="观察期："+start+'至'+end+'，表中数据为'+end+'快照'
+    footnote2="表中的夏普比率/索替诺比率/阿尔法值均为TTM滚动值"
+    import datetime; todaydt=datetime.date.today()
+    footnote3="数据来源：新浪财经/东方财富，"+str(todaydt)+'统计'
+    footnote=footnote1+'\n'+footnote2+'n'+footnote3
+    
+    #确定表格字体大小
+    titile_font_size=font_size
+    heading_font_size=data_font_size=str(int(font_size.replace('px',''))-1)+'px'
+    
+    df_display_CSS(fsdf6,titletxt=titletxt,footnote=footnote,facecolor=facecolor, \
+                   titile_font_size=titile_font_size,heading_font_size=heading_font_size, \
+                       data_font_size=data_font_size)
+    
     
     return df1
 #==============================================================================
@@ -2440,7 +2504,8 @@ if __name__=='__main__':
     top=10
     printout=True
 
-def mixed_industry_stocks(industries=['煤炭','医药生物'],top=10,printout=True):
+def mixed_industry_stocks(industries=['煤炭','医药生物'],top=10,printout=True, \
+                          facecolor='papayawhip',font_size='16px'):
     """
     功能：将不同行业指数(industries)中的前top个(按指数内权重降序)成分股合成为字典，等权重
     """
@@ -2475,16 +2540,27 @@ def mixed_industry_stocks(industries=['煤炭','医药生物'],top=10,printout=T
     df_print=df[['序号','证券名称','证券代码','初始权重','行业名称','行业代码']]
     
     if printout:
-        alignlist=['center']+['center']*(len(list(df_print))-1)
+        #alignlist=['center']+['center']*(len(list(df_print))-1)
         
         if len(industries) > 1:
-            print("\n*** 混合行业投资组合的成分股：初始等权重\n")
+            #print("\n*** 混合行业投资组合的成分股：初始等权重\n")
+            titletxt="多行业投资组合的成分股：初始等权重"
         else:
-            print("\n*** 单一行业投资组合的成分股：初始等权重\n")
+            #print("\n*** 单一行业投资组合的成分股：初始等权重\n")
+            titletxt="单一行业投资组合的成分股：初始等权重"
             
-        print(df_print.to_markdown(index=False,tablefmt='plain',colalign=alignlist))
-        import datetime; today=datetime.date.today()
-        print("\n*** 数据来源：申万宏源，统计日期："+str(today))
+        #print(df_print.to_markdown(index=False,tablefmt='plain',colalign=alignlist))
+        import datetime; todaydt=datetime.date.today()
+        #print("\n*** 数据来源：申万宏源，统计日期："+str(today))
+        footnote="数据来源：申万宏源，统计日期："+str(todaydt)
+    
+        #确定表格字体大小
+        titile_font_size=font_size
+        heading_font_size=data_font_size=str(int(font_size.replace('px',''))-1)+'px'
+        
+        df_display_CSS(df_print,titletxt=titletxt,footnote=footnote,facecolor=facecolor, \
+                       titile_font_size=titile_font_size,heading_font_size=heading_font_size, \
+                           data_font_size=data_font_size)
     
     # 生成成分股字典
     stock_dict=df.set_index(['证券代码'])['初始权重'].to_dict()
@@ -2503,8 +2579,7 @@ def find_peers_china(industry='',top=20,rank=20,sw_level='2'):
     """
     功能：
     当industry = ''，显示申万二级行业分类
-    
-    sw_level：申万一级行业'1'，二级行业'2'，三级行业'3'，其他'F'和'S'
+    sw_level：申万一级行业'1'，二级行业'2'，三级行业'3'，其他'F'、'S'、'B'、'C'
     """
     
     # 避免混淆
@@ -2513,8 +2588,8 @@ def find_peers_china(industry='',top=20,rank=20,sw_level='2'):
     
     # 默认情形处理
     if industry == '':
-        itype_list=['I','T','3','F','S']
-        sw_level_list=['1','2','3','F','S']
+        itype_list=['1','2','3','F','S','B','C']
+        sw_level_list=['1','2','3','F','S','B','C']
         pos=sw_level_list.index(sw_level)
         itype=itype_list[pos]
         
@@ -2612,7 +2687,13 @@ def get_sw_index(ticker,start,end):
     
     import akshare as ak
     import pandas as pd
-    dft = ak.index_hist_sw(symbol=symbol,period="day")
+    
+    try:
+        dft = ak.index_hist_sw(symbol=symbol,period="day")
+    except:
+        print("  #Error(get_sw_index): failed to retrieve info for Shenwan industry index",symbol)
+        return None
+        
     dft['ticker']=dft['代码'].apply(lambda x: x+'.SW')
     
     dft['name']=dft['代码'].apply(lambda x:industry_sw_name(x)) 
@@ -2636,6 +2717,7 @@ def get_sw_index(ticker,start,end):
     dft4.sort_index(inplace=True)
     
     df=dft4
+    
     return df
 
 #==============================================================================
@@ -2722,19 +2804,26 @@ if __name__ =="__main__":
     printout='smart'
 
 
-def industry_scan_china(sw_level='F',indicator='Exp Ret%', \
+def industry_scan_china(sw_level='F', \
                         start='MRY',end='default', \
-                        printout='smart'):
+                        RF=0, \
+                        printout='smart', \
+                        facecolor='papayawhip',font_size='16px'):
+    """
+    功能：扫描申万行业指数，按照投资收益率排名
+    申万行业分类sw_level：F--市场表征（默认），S--投资风格（策略），B--大类风格，C--金创，
+    1--一级行业，2--二级行业，3--三级行业
+    评估期间start与end：允许MRM/MRQ/MRY（默认）/YTD/L3Y(近三年)/L5Y(近五年)
+    RF：年化无风险收益率，默认0，可参照一年期国债收益率
+    筛选方式printout：smart--收益前10名与后10名（默认），winner--仅限收益为正的行业，
+    loser--仅限收益为负的行业，50--收益前50名，-10--收益后10名，all--所有行业
     """
-    功能：扫描申万行业指数，默认一级行业分类
-    时间区间：start与end，允许MRM/MRQ/MRY/YTD/LTY(近三年)/LFY(近五年)
-    显示：smart--指数增长前五名与后五名，'winner'--仅限增长的行业，'loser'--仅限下降的行业，
-    '50'--前50名，'-10'--后10名，'all'--所有行业
-    """
-    print("  Scanning Shenwan industry performance, which may take up to several hours ...")
+    indicator='Exp Ret%'
+    
+    print("  Collecting industry info, it may take very long time ... ...")
     
     # 检查申万行业
-    sw_level_list=['1','2','3','F','S']
+    sw_level_list=['1','2','3','F','S','B','C']
     if sw_level not in sw_level_list:
         print("  #Warning(industry_scan_china): invalid Shenwan industry types for",sw_level)
         print("  Valid Shenwan industry types:",end='')
@@ -2751,7 +2840,11 @@ def industry_scan_china(sw_level='F',indicator='Exp Ret%', \
         return None
 
     
-    # 检查日期：截至日期
+    # 检查日期：
+    fromdate,todate=start_end_preprocess(start,end)
+    import datetime as dt; todaydt=dt.date.today().strftime('%Y-%m-%d')
+    """
+    #截至日期
     import datetime as dt; todaydt=dt.date.today().strftime('%Y-%m-%d')
     end=end.lower()
     if end in ['default','today']:
@@ -2761,7 +2854,6 @@ def industry_scan_china(sw_level='F',indicator='Exp Ret%', \
         if not validdate:
             print("  #Warning(industry_scan_china): invalid date for",end)
             todate=todaydt
-
     # 检查日期：开始日期
     start=start.lower()
     if start in ['default','mrm']:  # 默认近一个月
@@ -2781,9 +2873,9 @@ def industry_scan_china(sw_level='F',indicator='Exp Ret%', \
         if not validdate:
             print("  #Warning(industry_scan_china): invalid date for",start,"/b, set to MRM")
             fromdate=date_adjust(todate,adjust=-31)      
-    
+    """
     # 获取申万行业类别内部标识
-    itype_list=['I','T','3','F','S']
+    itype_list=['1','2','3','F','S','B','C']
     pos=sw_level_list.index(sw_level)
     itype=itype_list[pos]
     
@@ -2802,8 +2894,12 @@ def industry_scan_china(sw_level='F',indicator='Exp Ret%', \
     # 计算基础数据，本步骤所需时间较长
     idf,idfall=calc_industry_sw(df,fromdate,todate)  
     
-    idf['sharpe']=idf['Exp Ret%'] / idf['Exp Ret Volatility%']
-    idf['sortino']=idf['Exp Ret%'] / idf['Exp Ret LPSD%']
+    RF_daily=RF/365*100 #百分数
+    #RF_daily=RF/365
+    RF_days=RF_daily * calculate_days(fromdate, todate)
+    
+    idf['sharpe']=(idf['Exp Ret%']-RF_days) / idf['Exp Ret Volatility%']
+    idf['sortino']=(idf['Exp Ret%']-RF_days) / idf['Exp Ret LPSD%']
     
     # 排序
     idf.sort_values(indicator,ascending=False,inplace=True)
@@ -2858,12 +2954,67 @@ def industry_scan_china(sw_level='F',indicator='Exp Ret%', \
                   inplace=True)
     
     # 显示
-    titletxt="申万行业业绩指标排行榜："+"层级/类别"+sw_level+'，共'+str(len(idf))+"个指数"
-    print("\n***",titletxt,'\n')
+    if sw_level=='F':
+        sw_level_txt='申万市场表征指数'
+    elif sw_level=='S':
+        sw_level_txt='申万投资风格指数'
+    elif sw_level=='B':
+        sw_level_txt='申万大类风格指数'
+    elif sw_level=='C':
+        sw_level_txt='申万金创指数'
+    elif sw_level=='1':
+        sw_level_txt='申万一级行业'
+    elif sw_level=='2':
+        sw_level_txt='申万二级行业'
+    elif sw_level=='3':
+        sw_level_txt='申万三级行业'
+    else:
+        sw_level_txt='未知类别'
+
+    if printout=='all':
+        printout_txt='所有指数'
+    elif printout=='smart':
+        printout_txt='收益最高最低者各十名'
+        if len(df2) <=20:
+            printout_txt='所有指数'
+    elif printout=='winner':
+        printout_txt='收益为正者'
+    elif printout=='loser':
+        printout_txt='收益为负者'
+    else:
+        try:
+            num=int(printout)
+            if len(df2) > abs(num):
+                if num > 0:
+                    printout_txt='收益前'+printout+"名"
+                else:
+                    printout_txt='收益后'+str(abs(num))+"名"
+            else:
+                printout_txt='所有指数'
+        except:
+            printout_txt='未知筛选方式'
+        
+    #titletxt="申万行业业绩排行榜："+sw_level_txt+'，共'+str(len(df_prt))+"个指数符合条件"
+    titletxt="行业业绩排行榜："+sw_level_txt+'，筛选方式：'+printout_txt
+    #print("\n***",titletxt,'\n')
+    """
     alignlist=['center']+['left']*(len(list(df_prt))-1)
     print(df_prt.to_markdown(index=True,tablefmt='plain',colalign=alignlist))  
+    """
+    #print("\n *** 数据来源：综合申万宏源/东方财富/新浪财经,",todaydt,"\b；分析期间:",fromdate+'至'+todate)
+    #footnote1="筛选方式：all-所有，smart-收益最高最低各10个，winner-收益为正，loser-收益为负"
+    footnote2="数据来源：综合申万宏源/东方财富/新浪财经，"+str(fromdate)+'至'+str(todate)+"。"+str(todaydt)+"统计"
+    #footnote=footnote1+'\n'+footnote2
+    footnote=footnote2
+    
+    #确定表格字体大小
+    titile_font_size=font_size
+    heading_font_size=data_font_size=str(int(font_size.replace('px',''))-1)+'px'
     
-    print("\n *** 数据来源：综合申万宏源/东方财富/新浪财经,",todaydt,"\b；分析期间:",fromdate+'至'+todate)
+    df_display_CSS(df_prt,titletxt=titletxt,footnote=footnote,facecolor=facecolor, \
+                   first_col_align='left',second_col_align='left', \
+                   titile_font_size=titile_font_size,heading_font_size=heading_font_size, \
+                       data_font_size=data_font_size)
     
     return df2   
     

siat/security_prices.py

@@ -1786,6 +1786,7 @@ def calc_expanding_return(drdf0,basedate):
     retname2="Exp Ret%"
     import numpy as np
     #drdf[retname1]=np.exp(drdf["log(Daily Ret)"].expanding(min_periods=1).sum())-1.0
+    #drdf[retname1]=np.exp(drdf["log(Daily Ret)"].expanding(min_periods=5).sum())-1.0
     first_close=drdf.head(1)['Close'].values[0]
     drdf[retname1]=drdf['Close']/first_close-1
     drdf[retname2]=drdf[retname1]*100.0  
@@ -1794,6 +1795,7 @@ def calc_expanding_return(drdf0,basedate):
     retname3="Exp Adj Ret"
     retname4="Exp Adj Ret%"
     #drdf[retname3]=np.exp(drdf["log(Daily Adj Ret)"].expanding(min_periods=1).sum())-1.0
+    #drdf[retname3]=np.exp(drdf["log(Daily Adj Ret)"].expanding(min_periods=5).sum())-1.0
     first_aclose=drdf.head(1)['Adj Close'].values[0]
     drdf[retname3]=drdf['Adj Close']/first_aclose-1
     drdf[retname4]=drdf[retname3]*100.0  
@@ -1859,11 +1861,13 @@ def expanding_price_volatility(df0,basedate):
     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))
+    #df[retname1]=df["Close"].expanding(min_periods=5).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))
+    #df[retname3]=df["Adj Close"].expanding(min_periods=5).apply(lambda x: np.std(x,ddof=1)/np.mean(x))
     
     return df
 
@@ -1936,6 +1940,7 @@ def expanding_ret_volatility(df0,basedate):
     
     #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[retname1]=df["Daily Ret"].expanding(min_periods=5).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
@@ -1943,6 +1948,7 @@ def expanding_ret_volatility(df0,basedate):
     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))
+    #df[retname3]=df["Daily Adj Ret"].expanding(min_periods=5).apply(lambda x: np.std(x,ddof=1))
     df[retname4]=df[retname3]*100.0
     
     return df
@@ -2051,6 +2057,7 @@ def expanding_ret_lpsd(df0,basedate):
     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))
+    #df[retname1]=df["Daily Ret"].expanding(min_periods=5).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
@@ -2058,6 +2065,7 @@ def expanding_ret_lpsd(df0,basedate):
     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))
+    #df[retname3]=df["Daily Adj Ret"].expanding(min_periods=5).apply(lambda x: lpsd(x))
     df[retname4]=df[retname3]*100.0
     
     return df