siat 3.1.23__py3-none-any.whl → 3.2.1__py3-none-any.whl

siat/markowitz2.py

@@ -252,6 +252,23 @@ if __name__=='__main__':
     printout=True 
     graph=False
     
+    #测试3
+    Market={'Market':('China','000300.SS','锂电池1号')}
+    Stocks={'300750.SZ':0.4,#宁德时代
+            '002594.SZ':0.3,#比亚迪
+            '300014.SZ':0.2,#亿纬锂能
+            '300207.SZ':0.1,#欣旺达
+            }
+    portfolio=dict(Market,**Stocks)
+
+    indicator='Adj Close'
+    adjust='qfq'; source='auto'; ticker_type='bond'
+    thedate='2024-6-19'
+    pastyears=2
+    printout=True 
+    graph=False
+    
+    
     pf_info=portfolio_build(portfolio,thedate,pastyears,printout,graph)
 
 """
@@ -260,12 +277,30 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
                      printout=True,graph=True):
 """
 def portfolio_build(portfolio,thedate='default',pastyears=1, \
+                    indicator='Adj Close', \
+                    adjust='qfq',source='auto',ticker_type='auto', \
                     printout=True,graph=False):    
     """
     功能：收集投资组合成份股数据，绘制收益率趋势图，并与等权和期间内交易额加权策略组合比较
     注意：此处无需RF，待到优化策略时再指定
     printout=True控制获取股价时是否逐个显示
+    
+    特别注意：若ticker_type='fund'可能导致无法处理股票的复权价！
+    若要指定特定的证券为债券，则需要使用列表逐一指定证券的类型（股票，债券，基金）
     """
+    #判断复权标志
+    indicator_list=['Close','Adj Close']
+    if indicator not in indicator_list:
+        print("  Warning(portfolio_build): invalid indicator",indicator)
+        print("  Supported indicator:",indicator_list)
+        indicator='Adj Close'
+    
+    adjust_list=['','qfq','hfq']
+    if adjust not in adjust_list:
+        print("  Warning(portfolio_build): invalid indicator",adjust)
+        print("  Supported adjust:",adjust_list)
+        adjust='qfq'
+    
     import datetime
     stoday = datetime.date.today()
     if thedate=='default':
@@ -329,18 +364,23 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
     
     # 抓取投资组合股价
     #prices=get_prices(tickerlist,start,thedate)
-    
+    #判断是否赚取复权价
+    if indicator == 'Adj Close' and adjust == '':
+        adjust='qfq'
+    if indicator == 'Close' and adjust != '':
+        indicator = 'Adj Close'
+        
     if printout:
         #prices=get_prices_simple(tickerlist,start,thedate) #有待改造？
         #债券优先
         prices,found=get_price_mticker(tickerlist,start,thedate, \
-                              adjust='',source='auto',ticker_type='bond',fill=False)
+                              adjust=adjust,source=source,ticker_type=ticker_type,fill=False)
     else:
         with HiddenPrints():
             #prices=get_prices_simple(tickerlist,start,thedate) #有待改造？
             prices,found=get_price_mticker(tickerlist,start,thedate, \
-                                  adjust='',source='auto',ticker_type='bond',fill=False)
-            
+                                  adjust=adjust,source=source,ticker_type=ticker_type,fill=False)
+                
     if found == 'Found':
         ntickers=len(list(prices['Close']))
         nrecords=len(prices)
@@ -360,6 +400,14 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
         print("  #Error(portfolio_build): retrieved empty prices for",pname)
         return None
     #..........................................................................
+    #判断是否使用复权价：若是，使用Adj Close直接覆盖Close。方法最简单，且兼容后续处理！
+    if (indicator =='Adj Close') or (adjust !=''):
+        prices_collist=list(prices) 
+        for pc in prices_collist:
+            pc1=pc[0]; pc2=pc[1]
+            if pc1=='Close':
+                pc_adj=('Adj Close',pc2)
+                prices[pc]=prices[pc_adj]
     
     # 取各个成份股的收盘价
     aclose=prices['Close']    

siat/risk_adjusted_return2.py

@@ -81,11 +81,18 @@ def get_rolling_sharpe_sortino(ticker,start,end,rar_name="sharpe", \
 
     start1=date_adjust(start,adjust=-dateahead)
     
+    #判断复权价
+    if ('adj' in ret_type_lower):
+        adjust='qfq'
+    else:
+        adjust=''
+    
     #抓取股价
     #pricedf=get_price(ticker,start1,end,source=source)
     #pricedf=get_price_security(ticker,start1,end,source=source)
-    pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start1, \
-                                    todate=end,source=source,ticker_type=ticker_type)
+    pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start1,todate=end, \
+                                          adjust=adjust, \
+                                          source=source,ticker_type=ticker_type)
     
     if found !='Found':
         print("  #Error(get_rolling_sharpe_sortino): no records found for",ticker)
@@ -115,6 +122,12 @@ def get_rolling_sharpe_sortino(ticker,start,end,rar_name="sharpe", \
     #开始日期富余一段时间，有助于绘图时显示出期望的开始日期
     startpd=pd.to_datetime(date_adjust(start,adjust=-7))
     endpd=pd.to_datetime(end)
+
+    rardf4['index_tmp']=rardf4.index
+    rardf4['index_tmp']=rardf4['index_tmp'].apply(lambda x: pd.to_datetime(x))
+    rardf4.set_index(['index_tmp'],inplace=True)  
+    #rardf4.drop(['index_tmp'],inplace=True)
+    
     rardf5=rardf4[(rardf4.index >=startpd) & (rardf4.index <=endpd)]
     
     #确定风险字段名
@@ -169,11 +182,19 @@ def get_expanding_sharpe_sortino(ticker,start,end,rar_name="sharpe", \
     dateahead=7
     start1=date_adjust(start,adjust=-dateahead)
     
+    #判断复权价
+    ret_type=ret_type.title()
+    if ('Adj' in ret_type):
+        adjust='qfq'
+    else:
+        adjust=''
+    
     #抓取股价
     #pricedf=get_price(ticker,start1,end,source=source)
     #pricedf=get_price_security(ticker,start1,end,source=source)
-    pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start1, \
-                                    todate=end,source=source,ticker_type=ticker_type)
+    pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start1,todate=end, \
+                                          adjust=adjust, \
+                                          source=source,ticker_type=ticker_type)
     
     #计算收益率和收益率标准差
     rardf2=calc_expanding_return(pricedf,start)
@@ -285,8 +306,17 @@ def get_rolling_treynor_alpha(ticker,start,end,rar_name="alpha", \
     #计算CAPM需要的日期提前量
     start2=date_adjust(start1,adjust=-regression_period-7*2)
     
+    #判断复权价
+    ret_type=ret_type.title()
+    if ('Adj' in ret_type):
+        adjust='qfq'
+    else:
+        adjust=''
+    
     #CAPM回归，计算贝塔系数
-    reg_result,dretdf3=regression_capm(ticker,start2,end,RF=RF, \
+    reg_result,dretdf3=regression_capm(ticker,start2,end, \
+                                       adjust=adjust, \
+                                       RF=RF, \
                                        regtrddays=regtrddays,mktidx=mktidx, \
                                        source=source,ticker_type=ticker_type)
     
@@ -371,8 +401,17 @@ def get_expanding_treynor_alpha(ticker,start,end,rar_name="alpha", \
     #计算CAPM需要的日期提前量
     start2=date_adjust(start1,adjust=-regression_period-7*2)
     
+    #判断复权价
+    ret_type=ret_type.title()
+    if ('Adj' in ret_type):
+        adjust='qfq'
+    else:
+        adjust=''
+    
     #CAPM回归，计算贝塔系数
-    reg_result,dretdf3=regression_capm(ticker,start2,end,RF=RF, \
+    reg_result,dretdf3=regression_capm(ticker,start2,end, \
+                                       adjust=adjust, \
+                                       RF=RF, \
                                        regtrddays=regtrddays,mktidx=mktidx, \
                                        source=source,ticker_type=ticker_type)
     

siat/sector_china.py

@@ -1161,7 +1161,7 @@ if __name__=='__main__':
     period="day"
     industry_list='all'    
     
-def get_industry_sw(itype='1',period="day",industry_list='all'):
+def get_industry_sw(itype='1',period="day",industry_list='all',max_sleep=8):
     """
     功能：遍历某类申万指数，下载数据
     itype: F表征指数，n=1/2/3行业指数，S风格指数，B大类风格，C金创类
@@ -1174,7 +1174,7 @@ def get_industry_sw(itype='1',period="day",industry_list='all'):
     if not (itype in typelist):
         print("  #Error(get_industry_sw): unsupported industry category",itype)
         print("  Supported industry category",typelist)
-        print("  F: Featured, n-Level n Industry, S-Styled, B- Big Styled, C- Financial Innovation, 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
@@ -1192,10 +1192,10 @@ def get_industry_sw(itype='1',period="day",industry_list='all'):
     #循环获取指标
     import pandas as pd
     import akshare as ak
-    import datetime
+    import datetime; import random; import time
     df=pd.DataFrame()
 
-    print("  Searching industry information, please wait ...")
+    print("  Start searching industry data, it takes time, please wait ...")
     num=len(ilist)
     if num <= 10:
         steps=5
@@ -1205,7 +1205,7 @@ def get_industry_sw(itype='1',period="day",industry_list='all'):
     total=len(ilist)
     fail_list=[]
     for i in ilist:
-        
+        print_progress_percent2(i,ilist,steps=5,leading_blanks=4)
         #print("  Retrieving information for industry",i)
         
         #抓取指数价格
@@ -1235,7 +1235,11 @@ def get_industry_sw(itype='1',period="day",industry_list='all'):
             df=df._append(dft2)
         
         current=ilist.index(i)
-        print_progress_percent(current,total,steps=steps,leading_blanks=2)
+        #print_progress_percent(current,total,steps=steps,leading_blanks=2)
+        
+        #生成随机数睡眠，试图防止被反爬虫，不知是否管用！
+        random_int=random.randint(1,max_sleep)
+        time.sleep(random_int)        
     
     #num=list(set(list(df['ticker'])))
     if len(fail_list)==0: 
@@ -1266,7 +1270,7 @@ if __name__=='__main__':
     industry_list=['850831.SW','801785.SW','801737.SW','801194.SW',
                    '801784.SW','801783.SW','801782.SW']    
     
-def get_industry_sw2(industry_list,period="day"):
+def get_industry_sw2(industry_list,period="day",max_sleep=8):
     """
     功能：遍历指定的申万指数列表，下载数据
     period="day"; choice of {"day", "week", "month"}
@@ -1280,10 +1284,10 @@ def get_industry_sw2(industry_list,period="day"):
     #循环获取指标
     import pandas as pd
     import akshare as ak
-    import datetime
+    import datetime; import random; import time
     df=pd.DataFrame()
 
-    print("Searching industry information, please wait ...")
+    print("  Searching industry information, it takes time, please wait ...")
     ilist=industry_list
     num=len(ilist)
     if num <= 10:
@@ -1323,6 +1327,10 @@ def get_industry_sw2(industry_list,period="day"):
         
         current=ilist.index(i)
         print_progress_percent(current,total,steps=steps,leading_blanks=2)
+        
+        #生成随机数睡眠，试图防止被反爬虫，不知是否管用！
+        random_int=random.randint(1,max_sleep)
+        time.sleep(random_int)        
     
     #num=list(set(list(df['ticker'])))
     if len(fail_list) > 0:

siat/security_price2.py

@@ -89,7 +89,7 @@ def get_price_1ticker(ticker,fromdate,todate, \
     #检查复权选项合理性
     ak_fq_list=['','qfq','hfq','qfq-factor','hfq-factor']
     if adjust not in ak_fq_list:
-        adjust=''
+        adjust='qfq'
     
     #变换ticker为内部格式（yahoo格式）
     ticker1=ticker1_cvt2yahoo(ticker)
@@ -231,6 +231,17 @@ if __name__=='__main__':
     source='auto'
     fill=True
     
+    #测试复权价
+    ticker=['300750.SZ','300014.SZ']
+    fromdate="2023-4-20"
+    todate="2023-4-30"
+    ticker_type='fund'
+    
+    adjust='qfq'
+    source='auto'
+    fill=False
+    
+    
     prices,found=get_price_mticker(ticker,fromdate,todate,adjust,source,ticker_type,fill)
 
 def get_price_mticker(ticker,fromdate,todate, \

siat/security_prices.py

@@ -766,7 +766,11 @@ def get_price_ak_cn(ticker,fromdate,todate,adjust='',ticker_type='auto'):
         if ticker_type in ['auto','stock'] and suffix not in ['SW']:
             try:
                 #仅用于股票的历史行情数据（考虑复权）
-                df=ak.stock_zh_a_daily(ticker2,start1,end1,adjust=adjust)
+                dffqno=ak.stock_zh_a_daily(ticker2,start1,end1,adjust='')
+                dffq=ak.stock_zh_a_daily(ticker2,start1,end1,adjust=adjust)
+                dffq.rename(columns={'close':'Adj Close'},inplace=True)
+                
+                df=pd.merge(dffqno,dffq[['date','Adj Close']],on=['date'])
                 df['Date']=df['date']
             except:
                 df=None
@@ -901,7 +905,6 @@ def get_price_ak_cn(ticker,fromdate,todate,adjust='',ticker_type='auto'):
         #设置新的索引
         df.set_index(['Date'],inplace=True)
         df.rename(columns={'open':'Open','high':'High','low':'Low','close':'Close','volume':'Volume'},inplace=True)
-        df['Adj Close']=df['Close']
 
     try:
         df1=df[df.index >= start]
@@ -956,7 +959,15 @@ def get_price_ak_us(symbol, fromdate, todate, adjust=""):
     import akshare as ak
     #print("  Searching info in Sina for",symbol,"... ...")
     try:
-        df=ak.stock_us_daily(symbol=symbol, adjust=adjust)
+        if adjust=='':
+            df=ak.stock_us_daily(symbol=symbol,adjust=adjust)
+        else:
+            dffqno=ak.stock_us_daily(symbol=symbol,adjust='')
+            dffq=ak.stock_us_daily(symbol=symbol,adjust='qfq')
+            dffq.rename(columns={'close':'Adj Close'},inplace=True)
+            
+            df=pd.merge(dffqno,dffq[['date','Adj Close']],on=['date'])
+
     except:
         #print("  #Error(get_price_ak_us): no info found for",symbol)
         return None
@@ -982,7 +993,8 @@ def get_price_ak_us(symbol, fromdate, todate, adjust=""):
     
     df2.rename(columns={'open':'Open','high':'High','low':'Low','close':'Close','volume':'Volume'},inplace=True)
     df2['ticker']=symbol
-    df2['Adj Close']=df2['Close']
+    if 'Adj Close' not in list(df2):
+        df2['Adj Close']=df2['Close']
     df2['source']='新浪'
     df2['footnote']=adjust   
     
@@ -1000,14 +1012,21 @@ if __name__=='__main__':
 if __name__=='__main__':
     symbol='0700.HK'
     symbol='0700.hk'
+    
     symbol='00700.HK'
-    fromdate='2020-12-1'
-    todate='2021-1-31'
+    fromdate='2014-5-1'
+    todate  ='2014-5-31'
+    adjust="qfq"
+    
+    tx=get_price_ak_hk(symbol='00700.HK',fromdate='2014-5-1',todate='2014-5-30',adjust="qfq")
 
-def get_price_ak_hk(symbol, fromdate, todate, adjust=""):
+def get_price_ak_hk(symbol,fromdate,todate,adjust=""):
     """
     抓取单个港股股价，不能处理股指，股指无.HK后缀
     """
+    DEBUG=False
+    if DEBUG:
+        print("Start searching HK stock prices for",symbol,"...")
     
     #检查日期期间
     result,start,end=check_period(fromdate,todate)
@@ -1027,19 +1046,20 @@ def get_price_ak_hk(symbol, fromdate, todate, adjust=""):
         symbol3=symbol2
     
     try:
-        df=ak.stock_hk_daily(symbol=symbol3, adjust="")
+        if adjust == '':
+            df=ak.stock_hk_daily(symbol=symbol3, adjust=adjust)
+        else:
+            dffqno=ak.stock_hk_daily(symbol=symbol3, adjust='')
+            dffq  =ak.stock_hk_daily(symbol=symbol3,adjust='qfq')
+            dffq.rename(columns={'close':'Adj Close'},inplace=True)
+            
+            df=pd.merge(dffqno,dffq[['date','Adj Close']],on=['date'])            
     except:
         print("  #Error(get_price_ak_hk): no info found for",symbol)
         return None
     
-    df['Date']=df.index
-    #去掉可能出现的时区信息，必须使用datetime中的tz_localize
-    import datetime as dt
-    try:
-        df['Date']=df['Date'].dt.tz_localize(None)
-    except:
-        import pandas as pd
-        df['Date']=pd.to_datetime(df['date'])
+    #去掉可能出现的时区信息
+    df['Date']=pd.to_datetime(df['date'])
     #设置新的索引
     df.set_index(['Date'],inplace=True)  
     
@@ -1056,7 +1076,8 @@ def get_price_ak_hk(symbol, fromdate, todate, adjust=""):
     
     df2.rename(columns={'open':'Open','high':'High','low':'Low','close':'Close','volume':'Volume'},inplace=True)
     df2['ticker']=symbol
-    df2['Adj Close']=df2['Close']
+    if 'Adj Close' not in list(df2):
+        df2['Adj Close']=df2['Close']
     df2['source']='新浪'
     
     ptname=ticker_name(symbol,'stock')