siat 3.1.23__py3-none-any.whl → 3.2.1__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- siat/capm_beta2.py +41 -19
- siat/markowitz2-20240620.py +2614 -0
- siat/markowitz2.py +52 -4
- siat/risk_adjusted_return2.py +45 -6
- siat/sector_china.py +17 -9
- siat/security_price2.py +12 -1
- siat/security_prices.py +38 -17
- siat/security_trend2-20240620.py +493 -0
- siat/security_trend2.py +17 -11
- siat/stock.py +76 -22
- siat/stock_technical-20240620.py +2736 -0
- siat/stock_technical.py +207 -52
- siat/valuation_china.py +7 -5
- {siat-3.1.23.dist-info → siat-3.2.1.dist-info}/METADATA +1 -1
- {siat-3.1.23.dist-info → siat-3.2.1.dist-info}/RECORD +17 -14
- {siat-3.1.23.dist-info → siat-3.2.1.dist-info}/WHEEL +0 -0
- {siat-3.1.23.dist-info → siat-3.2.1.dist-info}/top_level.txt +0 -0
siat/capm_beta2.py
CHANGED
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@@ -85,7 +85,9 @@ if __name__=='__main__':
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reg_result,dretdf3=regression_capm(ticker,start2,end,RF,regtrddays)
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-
def regression_capm(ticker,start2,end,
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def regression_capm(ticker,start2,end, \
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adjust='', \
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RF=0,regtrddays=252, \
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mktidx='auto',source='auto',ticker_type='auto'):
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"""
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功能：进行CAPM回归，R-Rf=beta*(Rm-Rf)，无截距项回归
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@@ -100,8 +102,9 @@ def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
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print("*** DEBUG:",ticker,start2,end)
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#pricedf=get_price(ticker,start2,end,source=source)
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#pricedf=get_price_security(ticker,start2,end,source=source)
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pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start2, \
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pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start2,todate=end, \
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adjust=adjust, \
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source=source,ticker_type=ticker_type)
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if pricedf is None:
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print(" #Error(regression_capm): info of security",ticker_name(ticker,ticker_type),"not found or inaccessible")
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@@ -124,8 +127,10 @@ def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
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mktidx=get_market_index_code(ticker)
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#marketdf=get_price(mktidx,start2,end,source=source)
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-
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-
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#大盘指数实际上无复权价？
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marketdf,found=get_price_1ticker_mixed(ticker=mktidx,fromdate=start2,todate=end, \
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adjust=adjust, \
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source=source,ticker_type=ticker_type)
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if marketdf is None:
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print(" #Error(regression_capm): info of market index",mktidx,"not found or inaccessible")
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@@ -137,7 +142,11 @@ def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
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dretdf1=pd.merge(marketdf1,pricedf1,how='inner',left_index=True,right_index=True)
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#准备CAPM回归文件
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-
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if adjust == '':
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dretname='Daily Ret'
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else:
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dretname='Daily Adj Ret'
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#计算日无风险利率
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RF_daily=RF / 365
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@@ -207,7 +216,7 @@ if __name__=='__main__':
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beta1=get_capm_beta(ticker,start,end,RF,regtrddays)
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beta1.plot()
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-
def get_capm_beta(ticker,start,end,RF=0,regtrddays=252,mktidx='auto', \
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def get_capm_beta(ticker,start,end,adjust='',RF=0,regtrddays=252,mktidx='auto', \
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source='auto',ticker_type='auto'):
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"""
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功能：套壳函数regression_capm，仅返回滚动的贝塔系数，基于日收益率
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@@ -217,6 +226,7 @@ def get_capm_beta(ticker,start,end,RF=0,regtrddays=252,mktidx='auto', \
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start2=date_adjust(start,adjust=-365/252 * regtrddays -31*2)
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reg_result,_=regression_capm(ticker=ticker,start2=start2,end=end, \
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adjust=adjust, \
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RF=RF, \
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regtrddays=regtrddays,mktidx=mktidx, \
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source=source,ticker_type=ticker_type)
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@@ -248,6 +258,7 @@ if __name__=='__main__':
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betas=compare_mticker_1beta(ticker,start,end)
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def compare_mticker_1beta(ticker,start,end, \
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adjust='', \
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RF=0,regression_period=365, \
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graph=True,axhline_value=1,axhline_label='',facecolor='whitesmoke', \
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annotate=False,annotate_value=False, \
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@@ -289,7 +300,7 @@ def compare_mticker_1beta(ticker,start,end, \
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#关闭print输出
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with HiddenPrints():
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df_tmp=get_capm_beta(t,start,end,RF,regtrddays,mktidx,source,ticker_type=tt)
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df_tmp=get_capm_beta(t,start,end,adjust,RF,regtrddays,mktidx,source,ticker_type=tt)
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if df_tmp is None:
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break
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@@ -366,6 +377,7 @@ if __name__=='__main__':
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betas=compare_1ticker_mRF(ticker,start,end,RF)
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def compare_1ticker_mRF(ticker,start,end, \
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adjust='', \
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RF=[0,0.02,0.05], \
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regression_period=365, \
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graph=True,axhline_value=1,axhline_label='',facecolor='whitesmoke', \
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@@ -406,7 +418,7 @@ def compare_1ticker_mRF(ticker,start,end, \
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for t in RF:
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#关闭print输出
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with HiddenPrints():
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df_tmp=get_capm_beta(ticker,start,end,t,regtrddays,mktidx,source,ticker_type=ticker_type)
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df_tmp=get_capm_beta(ticker,start,end,adjust,t,regtrddays,mktidx,source,ticker_type=ticker_type)
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if df_tmp is None:
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break
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@@ -484,6 +496,7 @@ if __name__=='__main__':
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betas=compare_1ticker_mregression_period(ticker,start,end,RF,regression_period)
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def compare_1ticker_mregression_period(ticker,start,end, \
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adjust='', \
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RF=0, \
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regression_period=[183,365,730], \
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graph=True,axhline_value=1,axhline_label='',facecolor='whitesmoke', \
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@@ -524,7 +537,7 @@ def compare_1ticker_mregression_period(ticker,start,end, \
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#关闭print输出
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with HiddenPrints():
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df_tmp=get_capm_beta(ticker,start,end,RF,regtrddays,mktidx,source,ticker_type=ticker_type)
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df_tmp=get_capm_beta(ticker,start,end,adjust,RF,regtrddays,mktidx,source,ticker_type=ticker_type)
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if df_tmp is None:
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break
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@@ -601,7 +614,9 @@ if __name__=='__main__':
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betas=compare_beta_security(ticker,start,end,RF)
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def compare_beta_security(ticker,start,end,
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def compare_beta_security(ticker,start,end, \
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adjust='', \
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RF=0,regression_period=365, \
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graph=True,facecolor='whitesmoke', \
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annotate=False,annotate_value=False, \
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mark_top=False,mark_bottom=False,mark_end=False, \
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@@ -618,8 +633,10 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
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if isinstance(RF,list):
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RF=RF[0]
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df=compare_mticker_1beta(ticker,start,end,
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df=compare_mticker_1beta(ticker,start,end, \
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adjust=adjust, \
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RF=RF,regression_period=regression_period, \
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graph=graph,facecolor=facecolor, \
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annotate=annotate,annotate_value=annotate, \
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mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
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mktidx=mktidx,source=source, \
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@@ -632,8 +649,10 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
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#情形2：1只证券，多个RF。时间区间要尽可能短，不然难以看出差异！
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if isinstance(RF,list):
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if len(RF) > 1:
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df=compare_1ticker_mRF(ticker,start,end,
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df=compare_1ticker_mRF(ticker,start,end, \
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adjust=adjust, \
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RF=RF,regression_period=regression_period, \
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graph=graph,facecolor=facecolor, \
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annotate=annotate,annotate_value=annotate, \
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mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
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mktidx=mktidx,source=source, \
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if isinstance(regression_period,list):
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if len(regression_period) > 1:
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df=compare_1ticker_mregression_period(ticker,start,end, \
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adjust=adjust, \
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RF=RF,regression_period=regression_period, \
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graph=graph,facecolor=facecolor, \
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annotate=annotate,annotate_value=annotate, \
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mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
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mktidx=mktidx,source=source, \
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regression_period=regression_period[0]
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#情形4：1只证券，1个RF，1个回归天数?
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df=compare_mticker_1beta(ticker,start,end,
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df=compare_mticker_1beta(ticker,start,end, \
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adjust=adjust, \
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RF=RF,regression_period=regression_period, \
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graph=graph,facecolor=facecolor, \
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annotate=annotate,annotate_value=annotate, \
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mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
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mktidx=mktidx,source=source, \
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