siat 3.0.3__py3-none-any.whl → 3.0.10__py3-none-any.whl

siat/markowitz.py

@@ -188,6 +188,8 @@ def cumulative_returns_plot(retgroup,name_list="",titletxt="投资组合策略
     plt.axhline(y=0,ls=":",c="red")
     plt.legend(loc='best')
     plt.title(titletxt); plt.ylabel(ylabeltxt); plt.xlabel(xlabeltxt)
+    
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()
     
     return
@@ -223,10 +225,13 @@ def portfolio_hpr(portfolio,thedate,pastyears=1, \
 
 #==============================================================================
 if __name__=='__main__':
+    Market={'Market':('US','^GSPC')}
     Market={'Market':('US','^GSPC','我的组合001')}
     Stocks1={'AAPL':.3,'MSFT':.15,'AMZN':.15,'FB':.01,'GOOG':.01}
     Stocks2={'XOM':.02,'JNJ':.02,'JPM':.01,'TSLA':.3,'SBUX':.03}
     portfolio=dict(Market,**Stocks1,**Stocks2)
+
+    ticker_name(portfolio)
     
     thedate='2023-2-17'
     pastyears=1
@@ -239,7 +244,7 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
                      rate_period='1Y',rate_type='shibor',RF=False, \
                          printout=True,graph=True):
     """
-    功能：绘制投资组合的累计收益率趋势图，并与等权和市值加权组合比较
+    功能：绘制投资组合的累计收益率趋势图，并与等权和期间内交易额加权组合比较
     注意：中国部分历史区段的treasury历史可能无法取得；
     无论是shibor还是treasury的近期利率均可能空缺，只能以最近期的数值填补
     """
@@ -351,6 +356,8 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
         stoday = datetime.date.today()
         plt.xlabel(source_txt+str(stoday))
         plt.legend()
+        
+        plt.gca().set_facecolor('whitesmoke')
         plt.show()
     #..........................................................................
     
@@ -380,7 +387,7 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
     StockReturns['Portfolio_EW']=stock_return.mul(portfolio_weights_ew,axis=1).sum(axis=1)
     #..........................................................................
     
-    # 创建流动性组合：按照成交金额计算流动性
+    # 创建交易额加权组合：按照成交金额计算期间内交易额均值
     tamount=prices['Close']*prices['Volume']
     tamountlist=tamount.mean(axis=0)    #求列的均值
     tamountlist_array = np.array(tamountlist)
@@ -393,11 +400,11 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
     if lang == 'Chinese':
         title_txt="投资组合策略：业绩对比"
         Portfolio_EW_txt="等权重策略"
-        Portfolio_LW_txt="流动性策略"
+        Portfolio_LW_txt="交易额加权策略"
     else:
         title_txt="Investment Portfolio Strategies: Performance Comparison"
         Portfolio_EW_txt="Equal-weight"
-        Portfolio_LW_txt="OMCap"
+        Portfolio_LW_txt="Amount-weight"
     
     name_list=['Portfolio', 'Portfolio_EW', 'Portfolio_LW']
     label_list=[pname, Portfolio_EW_txt, Portfolio_LW_txt]
@@ -439,7 +446,7 @@ if __name__=='__main__':
 def portfolio_expret(portfolio,today,pastyears=1, \
                      rate_period='1Y',rate_type='shibor',RF=False,printout=True,graph=True):
     """
-    功能：绘制投资组合的持有期收益率趋势图，并与等权和市值加权组合比较
+    功能：绘制投资组合的持有期收益率趋势图，并与等权和期间内交易额加权组合比较
     套壳原来的portfolio_cumret函数，以维持兼容性
     expret: expanding return，以维持与前述章节名词的一致性
     hpr: holding period return, 持有（期）收益率
@@ -493,6 +500,8 @@ def portfolio_corr(pf_info):
     footnote2="\n来源：Sina/EM/stooq，"+str(stoday)
     plt.xlabel(footnote1+footnote2)
     plt.xticks(rotation=90); plt.yticks(rotation=0) 
+    
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()
 
     return    
@@ -536,6 +545,8 @@ def portfolio_covar(pf_info):
     plt.xlabel(footnote1+footnote2)
     plt.xticks(rotation=90)
     plt.yticks(rotation=0) 
+    
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()
 
     return 
@@ -589,7 +600,7 @@ def portfolio_expectation_universal(pname,member_returns,portfolio_weights,membe
     portfolio_values=member_prices.mul(portfolio_weights_1,axis=1).sum(axis=1)
     portfolio_value_thedate=portfolio_values[-1:].values[0]
 
-    #计算年化收益率：按列求均值
+    #计算年化收益率：按列求均值，需要有选项：滚动的年化收益率或月度收益率？
     mean_return=preturns['Portfolio'].mean(axis=0)
     annual_return = (1 + mean_return)**252 - 1
     
@@ -922,7 +933,7 @@ def portfolio_es(pf_info,simulation=50000):
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年均收益率和标准差，绘制投资组合的可行集
     """
     [[portfolio,thedate,stock_return,_,_],_]=pf_info
-    pname=pname=portfolio_name(portfolio)
+    pname=portfolio_name(portfolio)
     _,_,tickerlist,_=decompose_portfolio(portfolio)
     
     #取出观察期
@@ -932,14 +943,14 @@ def portfolio_es(pf_info,simulation=50000):
     #获得成份股个数
     numstocks=len(tickerlist)
 
-    # 设置空的numpy数组，用于存储每次模拟得到的成份股权重、组合的收益率和标准差
+    # 设置空的numpy数组，用于存储每次模拟得到的成份股权重、投资组合的收益率和标准差
     import numpy as np
     random_p = np.empty((simulation,numstocks+2))
     # 设置随机数种子，这里是为了结果可重复
     np.random.seed(RANDOM_SEED)
 
     # 循环模拟n次随机的投资组合
-    print("\n  Calculating possible portfolio combinations, please wait ...")    
+    print("\n  Calculating portfolio efficient set, please wait ...")    
     for i in range(simulation):
         # 生成numstocks个随机数，并归一化，得到一组随机的权重数据
         random9 = np.random.random(numstocks)
@@ -986,27 +997,32 @@ def portfolio_es(pf_info,simulation=50000):
     
     import datetime as dt; stoday=dt.date.today()
     lang = check_language()
-    if lang == 'Chinese':    
+    if lang == 'Chinese':  
+        if pname == '': pname='投资组合'
+        
         plt.colorbar(label='收益率/标准差')
-        plt.title("投资组合: 马科维茨可行(有效)集",fontsize=title_txt_size)
+        plt.title(pname+": 马科维茨可行(有效)集",fontsize=title_txt_size)
         plt.ylabel("年化收益率",fontsize=ylabel_txt_size)
         
         footnote1="年化收益率标准差-->"
-        footnote2="\n\n基于"+pname+"之成份股构造"+str(simulation)+"个投资组合"
+        footnote2="\n\n基于给定的成份证券构造"+str(simulation)+"个投资组合"
         footnote3="\n观察期间："+hstart+"至"+hend
         footnote4="\n来源: Sina/EM/stooq, "+str(stoday)
     else:
+        if pname == '': pname='Investment Portfolio'
+        
         plt.colorbar(label='Return/Std')
-        plt.title("Investment Portfolio: Efficient Set",fontsize=title_txt_size)
+        plt.title(pname+": Efficient Set",fontsize=title_txt_size)
         plt.ylabel("Annualized Return",fontsize=ylabel_txt_size)
         
         footnote1="Annualized Std -->\n\n"
-        footnote2="Based on "+pname+"\'s stocks, constructed "+str(simulation)+" portfolios\n"
+        footnote2="Based on given component securities, constructed "+str(simulation)+" portfolios\n"
         footnote3="Period of observation: "+hstart+" to "+hend
         footnote4="\nSource: sina/eastmoney/stooq, "+str(stoday)
     
     plt.xlabel(footnote1+footnote2+footnote3+footnote4,fontsize=xlabel_txt_size)
     
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()
 
     return [pf_info,RandomPortfolios]
@@ -1456,21 +1472,25 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
 
     lang = check_language()
     if lang == 'Chinese':
-        plt.title("投资组合: 马科维茨有效(可行)集，基于"+title_ext,fontsize=title_txt_size)
+        if pname == '': pname='投资组合'
+        
+        plt.title(pname+": 马科维茨有效(可行)集，基于"+title_ext,fontsize=title_txt_size)
         plt.ylabel(ylabeltxt,fontsize=ylabel_txt_size)
         
         import datetime as dt; stoday=dt.date.today()
         footnote1=x_axis_name+" -->\n\n"
-        footnote2="基于"+pname+"之成份股构造"+str(simulation)+"个投资组合"
+        footnote2="基于设定的成份证券构造"+str(simulation)+"个投资组合"
         footnote3="\n观察期间："+hstart+"至"+hend
         footnote4="\n来源: Sina/EM/stooq/FRED, "+str(stoday)
     else:
-        plt.title("Portfolio: Efficient Set, Based on "+title_ext,fontsize=title_txt_size)
+        if pname == '': pname='Investment Portfolio'
+        
+        plt.title(pname+": Efficient Set, Based on "+title_ext,fontsize=title_txt_size)
         plt.ylabel(ylabeltxt,fontsize=ylabel_txt_size)
         
         import datetime as dt; stoday=dt.date.today()
         footnote1=x_axis_name+" -->\n\n"
-        footnote2="Based on "+pname+"\'s stocks, constructed "+str(simulation)+" portfolios"
+        footnote2="Based on given component securities, constructed "+str(simulation)+" portfolios"
         footnote3="\nPeriod of observation: "+hstart+" to "+hend
         footnote4="\nSource: sina/eastmoney/stooq/FRED, "+str(stoday)
     
@@ -1486,6 +1506,8 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
     plt.scatter(lorisk_x, lorisk_y, color='red',marker='8',s=150,label=name_lorisk)
     
     plt.legend(loc='best')
+    
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()
     
     return
@@ -1503,10 +1525,10 @@ def cvt_portfolio_name(pname,portfolio_returns):
 
     lang=check_language()
     if lang == "Chinese":
-        pclist=[pname,'等权重组合','流动性组合','MSR组合','GMVS组合','MSO组合','GML组合', \
+        pclist=[pname,'等权重组合','交易额加权组合','MSR组合','GMVS组合','MSO组合','GML组合', \
                 'MAR组合','GMBA组合', 'MTR组合','GMBT组合']
     else:
-        pclist=[pname,'Equal-weight','OMCap','MSR','GMVS','MSO','GML', \
+        pclist=[pname,'Equal-weight','Amount-weight','MSR','GMVS','MSO','GML', \
                 'MAR','GMBA', 'MTR','GMBT']
         
     pecols=list(portfolio_returns)
@@ -2021,6 +2043,8 @@ def portfolio_ef_0(stocks,fromdate,todate):
     plt.figtext(x_left,y_left-0.05,' '+str(stocks))
     plt.figtext(x_left,y_left-0.1,'观察期间：'+str(fromdate)+'至'+str(todate))
     plt.plot(out_std,out_mean,color='r',ls=':',lw=4)
+    
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()    
     
     return
@@ -2104,6 +2128,7 @@ def portfolio_ef(stocks,fromdate,todate):
     plt.plot(out_std_min,out_mean_min,'g*-',markersize=16,label='风险最低点')
     
     plt.legend(loc='best')
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()    
     
     return
@@ -2247,6 +2272,8 @@ def security_correlation(tickers,start,end,info_type='Close'):
     fontxlabel={'size':6}
     plt.xlabel(footnote1+footnote2+footnote3+footnote4,fontxlabel)
     #plt.xticks(rotation=45)
+    
+    plt.gca().set_facecolor('whitesmoke')
     plt.show()
     
     return df_coor