siat 3.0.43__py3-none-any.whl → 3.0.44__py3-none-any.whl

siat/capm_beta2.py

@@ -35,8 +35,8 @@ 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())
+    ticker=tickers_cvt2yahoo(ticker)
+    _,_,suffix=split_prefix_suffix(ticker)
     
     if suffix in ['SS']:
         mktidx='000001.SS' #上证综合指数
@@ -78,15 +78,14 @@ if __name__=='__main__':
     
     start2='2022-10-31'
     end='2024-3-23'
-    ret_type='Annual Ret%'
     RF=0.01759
     regtrddays=252
     
     mktidx='auto'; source='auto'
     
-    reg_result,dretdf3=regression_capm(ticker,start2,end,ret_type,RF,regtrddays)
+    reg_result,dretdf3=regression_capm(ticker,start2,end,RF,regtrddays)
 
-def regression_capm(ticker,start2,end,ret_type='Annual Ret%',RF=0,regtrddays=252, \
+def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
                     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
@@ -138,13 +137,9 @@ def regression_capm(ticker,start2,end,ret_type='Annual Ret%',RF=0,regtrddays=252
     dretdf1=pd.merge(marketdf1,pricedf1,how='inner',left_index=True,right_index=True)
 
     #准备CAPM回归文件
-    ret_type_lower=ret_type.lower()
     dretname='Daily Ret'
     #计算日无风险利率
     RF_daily=RF / 365 
-    if '%' in ret_type_lower:
-        dretname='Daily Ret%'
-        RF_daily=RF_daily * 100
         
     dretx=dretname+'_x' #指数日收益率
     drety=dretname+'_y' #股票日收益率
@@ -194,6 +189,8 @@ def regression_capm(ticker,start2,end,ret_type='Annual Ret%',RF=0,regtrddays=252
     if 'index' in list(dretdf3):
         del dretdf3['index']
     
+    reg_result['mktidx']=mktidx
+    
     return reg_result,dretdf3
 
 #==============================================================================
@@ -220,9 +217,9 @@ def get_capm_beta(ticker,start,end,RF=0,regtrddays=252,mktidx='auto', \
     start2=date_adjust(start,adjust=-365/252 * regtrddays -31*2)
     
     reg_result,_=regression_capm(ticker=ticker,start2=start2,end=end, \
-                                 ret_type="Annual Ret%",RF=RF, \
+                                 RF=RF, \
                                  regtrddays=regtrddays,mktidx=mktidx, \
-                                     source=source,ticker_type=ticker_type)
+                                 source=source,ticker_type=ticker_type)
     
     startpd=pd.to_datetime(date_adjust(start,adjust=-7))
     endpd=pd.to_datetime(end)
@@ -246,6 +243,7 @@ if __name__=='__main__':
     annotate=False
     mktidx='auto'
     source='auto'
+    ticker_type='auto'
     
     betas=compare_mticker_1beta(ticker,start,end)
 
@@ -298,7 +296,7 @@ def compare_mticker_1beta(ticker,start,end, \
         else:
             dft=df_tmp[['beta']]
             dft.rename(columns={'beta':ticker_name(t,tt)},inplace=True)
-            
+            mktidx_name=ticker_name(df_tmp['mktidx'].values[0])
         if len(df)==0: #第一个
             df=dft 
         else:
@@ -310,7 +308,9 @@ def compare_mticker_1beta(ticker,start,end, \
     
     #仅用于绘图和制表
     df1=df.copy()
-    for c in list(df1):
+    beta_list=list(df1)
+    
+    for c in beta_list:
         #是否绘制水平线
         if df1[c].max() > axhline_value and df1[c].min() < axhline_value:
             axhline_label='零线'
@@ -323,7 +323,7 @@ def compare_mticker_1beta(ticker,start,end, \
     else:
         footnote2="假设年化无风险利率为零。"
         
-    footnote3="贝塔系数基于日收益率，回归期间跨度为"+str(regression_period)+"个自然日。"
+    footnote3="基于"+mktidx_name+"，回归期间为"+str(regression_period)+"个自然日。"
     
     import datetime; todaydt = datetime.date.today()
     footnote4="数据来源: 综合新浪/stooq/Yahoo，"+str(todaydt)+"统计"
@@ -361,6 +361,7 @@ if __name__=='__main__':
     annotate=False
     mktidx='auto'
     source='auto'
+    ticker_type='auto'
     
     betas=compare_1ticker_mRF(ticker,start,end,RF)
 
@@ -412,7 +413,8 @@ def compare_1ticker_mRF(ticker,start,end, \
         else:
             dft=df_tmp[['beta']]
             dft.rename(columns={'beta':"基于无风险利率"+str(round(t*100,4))+'%'},inplace=True)
-            
+            mktidx_name=ticker_name(df_tmp['mktidx'].values[0])
+
         if len(df)==0: #第一个
             df=dft 
         else:
@@ -424,7 +426,9 @@ def compare_1ticker_mRF(ticker,start,end, \
     
     #仅用于绘图和制表
     df1=df.copy()
-    for c in list(df1):
+    beta_list=list(df1)
+    
+    for c in beta_list:
         #是否绘制水平线
         if df1[c].max() > axhline_value and df1[c].min() < axhline_value:
             axhline_label='零线'
@@ -438,7 +442,8 @@ def compare_1ticker_mRF(ticker,start,end, \
     footnote1="注："
     footnote2=""
         
-    footnote3="贝塔系数基于日收益率，回归期间跨度为"+str(regression_period)+"个自然日。"
+    #footnote3="贝塔系数基于日收益率，回归期间跨度为"+str(regression_period)+"个自然日。"
+    footnote3="基于"+mktidx_name+"，回归期间为"+str(regression_period)+"个自然日。"
     
     import datetime; todaydt = datetime.date.today()
     footnote4="数据来源: 综合新浪/stooq/Yahoo，"+str(todaydt)+"统计"
@@ -526,7 +531,7 @@ def compare_1ticker_mregression_period(ticker,start,end, \
         else:
             dft=df_tmp[['beta']]
             dft.rename(columns={'beta':"基于"+str(t)+"自然日回归"},inplace=True)
-            
+            mktidx_name=ticker_name(df_tmp['mktidx'].values[0])
         if len(df)==0: #第一个
             df=dft 
         else:
@@ -538,7 +543,9 @@ def compare_1ticker_mregression_period(ticker,start,end, \
     
     #仅用于绘图和制表
     df1=df.copy()
-    for c in list(df1):
+    beta_list=list(df1)
+    
+    for c in beta_list:
         #是否绘制水平线
         if df1[c].max() > axhline_value and df1[c].min() < axhline_value:
             axhline_label='零线'
@@ -548,8 +555,9 @@ def compare_1ticker_mregression_period(ticker,start,end, \
     footnote1="注："
     footnote2=""
         
-    footnote3="贝塔系数基于日收益率，无风险利率为"+str(round(RF*100,4))+'%'
-    
+    #footnote3="贝塔系数基于日收益率，无风险利率为"+str(round(RF*100,4))+'%'
+    footnote3="基于"+mktidx_name+"，回归期间为"+str(regression_period)+"个自然日。"
+
     import datetime; todaydt = datetime.date.today()
     footnote4="数据来源: 综合新浪/stooq/Yahoo，"+str(todaydt)+"统计"
     if footnote3 !='':

siat/common.py

@@ -1155,7 +1155,7 @@ def split_prefix_suffix(ticker):
     """
     将证券代码拆分为前后两部分
     """
-    ticker=ticker.upper()
+    #ticker=ticker.upper()
     result=False
     try:
         pos=ticker.index('.')

siat/risk_adjusted_return2.py

@@ -282,7 +282,7 @@ def get_rolling_treynor_alpha(ticker,start,end,rar_name="alpha", \
     start2=date_adjust(start1,adjust=-regression_period-7*2)
     
     #CAPM回归，计算贝塔系数
-    reg_result,dretdf3=regression_capm(ticker,start2,end,ret_type=ret_type,RF=RF, \
+    reg_result,dretdf3=regression_capm(ticker,start2,end,RF=RF, \
                                        regtrddays=regtrddays,mktidx=mktidx, \
                                        source=source,ticker_type=ticker_type)
     
@@ -368,7 +368,7 @@ def get_expanding_treynor_alpha(ticker,start,end,rar_name="alpha", \
     start2=date_adjust(start1,adjust=-regression_period-7*2)
     
     #CAPM回归，计算贝塔系数
-    reg_result,dretdf3=regression_capm(ticker,start2,end,ret_type=ret_type,RF=RF, \
+    reg_result,dretdf3=regression_capm(ticker,start2,end,RF=RF, \
                                        regtrddays=regtrddays,mktidx=mktidx, \
                                        source=source,ticker_type=ticker_type)
     
@@ -910,7 +910,7 @@ def compare_mticker_mrar(ticker,start,end,rar=['sharpe','alpha','sortino','treyn
         from IPython.display import display
         display(df3)
         """
-        
+        """
         disph=df1.style.hide() #不显示索引列
         dispp=disph.format(precision=3) #设置带有小数点的列精度调整为小数点后3位
         #设置标题/列名
@@ -931,7 +931,7 @@ def compare_mticker_mrar(ticker,start,end,rar=['sharpe','alpha','sortino','treyn
     
         from IPython.display import display
         display(dispf2)
-        
+        """
         
         """
         print(df1.to_string(justify='left'))
@@ -977,7 +977,10 @@ def compare_mticker_mrar(ticker,start,end,rar=['sharpe','alpha','sortino','treyn
             
         footnote3=''
         if 'treynor' in rar or 'alpha' in rar:
-            footnote3="贝塔系数回归期间"+str(regression_period)+"个自然日"
+            if mktidx=='auto':
+                mktidx=get_market_index_code(ticker[0] if isinstance(ticker,list) else ticker)
+            mktidx_name=ticker_name(mktidx)
+            footnote3="贝塔系数基于"+mktidx_name+"，回归期间"+str(regression_period)+"个自然日"
         
         import datetime; todaydt = datetime.date.today()
         footnote4="数据来源: 综合新浪/stooq/Yahoo，"+str(todaydt)+"统计"
@@ -987,7 +990,9 @@ def compare_mticker_mrar(ticker,start,end,rar=['sharpe','alpha','sortino','treyn
             footnotex=footnote1+footnote2+'\n'+footnote4
     
         #print("\n"+footnotex)
-        print(footnotex)
+        #print(footnotex)
+        
+        df_display_CSS(df1,titletxt=titletxt,footnote=footnotex,decimals=4)
  
     return df
 

{siat-3.0.43.dist-info → siat-3.0.44.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siat
-Version: 3.0.43
+Version: 3.0.44
 Summary: Securities Investment Analysis Tools (siat)
 Home-page: https://pypi.org/project/siat/
 Author: Prof. WANG Dehong, International Business School, Beijing Foreign Studies University

{siat-3.0.43.dist-info → siat-3.0.44.dist-info}/RECORD

@@ -14,10 +14,10 @@ siat/bond_china.py,sha256=eYv-nMoWSS5fZ4VxnuJ29QFY9GUS6meGiIc0Xjm1fQI,3038
 siat/bond_test.py,sha256=yUOFw7ddGU-kb1rJdnsjkJWziDNgUR7OLDA7F7Ub91A,5246
 siat/bond_zh_sina.py,sha256=26BohGcS120utwqg9dJvdGm5OkuNpNu5bco80uOuQpU,4423
 siat/capm_beta.py,sha256=cxXdRVBQBllhbfz1LeTJAIWvyRYhW54nhtNUXv4HwS0,29063
-siat/capm_beta2.py,sha256=hta-X1iWPjNbG1YYIVlQF-YvKA8An3KuEyLmUEZ3hH8,25562
+siat/capm_beta2.py,sha256=UOI4sCz3ld7yezlARqPHvgHzfduDiGeRqNa82dDTCZ8,25849
 siat/capm_beta_test.py,sha256=ImR0c5mc4hIl714XmHztdl7qg8v1E2lycKyiqnFj6qs,1745
 siat/cmat_commons.py,sha256=Nj9Kf0alywaztVoMVeVVL_EZk5jRERJy8R8kBw88_Tg,38116
-siat/common.py,sha256=F83kondrh_QRJB5bAw8fKSoh29Vg8AvivdqDDcbg0Hw,142991
+siat/common.py,sha256=0_fT64-X80rOPOqc6x6D_3WOLN2mKQ4UWZTuRqoLIAc,142992
 siat/compare_cross.py,sha256=3iP9TH2h3w27F2ARZc7FjKcErYCzWRc-TPiymOyoVtw,24171
 siat/compare_cross_test.py,sha256=xra5XYmQGEtfIZL2h-GssdH2hLdFIhG3eoCrkDrL3gY,3473
 siat/concepts_iwencai.py,sha256=m1YEDtECRT6FqtzlKm91pt2I9d3Z_XoP59BtWdRdu8I,3061
@@ -85,7 +85,7 @@ siat/option_sina_api_test.py,sha256=dn-k_wrQnAaNKHoROvWJEc7lqlU0bwiV2Aa4usWAFGM,
 siat/proxy_test.py,sha256=erQJrmGs2X46z8Gb1h-7GYQ0rTUcaR8dxHExWoBz2eM,2610
 siat/quandl_test.py,sha256=EcPoXnLuqzPl5dKyVEZi3j3PJZFpsnU_iNPhLWC9p-A,1552
 siat/risk_adjusted_return.py,sha256=L5FoeOFzvItT03gNBTCaIo32hUvncOJkbchtHOveSBM,54929
-siat/risk_adjusted_return2.py,sha256=y9Eux9bbQgprFs_a-0J-7pC9P4yEpJHssDbcbFct0K0,64338
+siat/risk_adjusted_return2.py,sha256=0HtLKvXSZ8NO3lyVPRAj55axtvqsvpnHkzIi4NOdhmc,64593
 siat/risk_adjusted_return_test.py,sha256=m_VHL5AtT74cJv5i7taTeTfnkX48y0AFJk5phawyYWg,3416
 siat/risk_evaluation.py,sha256=I6B3gty-t--AkDCO0tKF-291YfpnF-IkXcFjqNKCt9I,76286
 siat/risk_evaluation_test.py,sha256=YEXM96gKzTfwN4U61AS4Rr1tV7KgUvn4rRC6f3iMw9s,3731
@@ -132,7 +132,7 @@ siat/valuation.py,sha256=NKfeZMdDJOW42oLVHob6eSVBXUqlN1OCnnzwyGAst8c,48855
 siat/valuation_china.py,sha256=Tde2LzPDQy3Z7xOQQDw4ckQMPdROp_z0-GjFE6Z5_lI,67639
 siat/valuation_market_china_test.py,sha256=gbJ0ioauuo4koTPH6WKUkqcXiQPafnbhU5eKJ6lpdLA,1571
 siat/var_model_validation.py,sha256=f-oDewg7bPzyNanz_Y_jLH68NowAA3gXFehW_weKGG0,14898
-siat-3.0.43.dist-info/METADATA,sha256=8x9wW6A3GWrxYLw-PKD4UfzcY4MPZby_RNo1socVEyw,1448
-siat-3.0.43.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
-siat-3.0.43.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
-siat-3.0.43.dist-info/RECORD,,
+siat-3.0.44.dist-info/METADATA,sha256=lpYsF83FvwNlChiPm7slWucBOXtr6f2JcxFVEiMDSps,1448
+siat-3.0.44.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
+siat-3.0.44.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
+siat-3.0.44.dist-info/RECORD,,