siat 3.1.28__py3-none-any.whl → 3.2.2__py3-none-any.whl

siat/capm_beta2.py

@@ -85,7 +85,9 @@ if __name__=='__main__':
     
     reg_result,dretdf3=regression_capm(ticker,start2,end,RF,regtrddays)
 
-def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
+def regression_capm(ticker,start2,end, \
+                    adjust='', \
+                    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
@@ -100,8 +102,9 @@ def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
         print("*** DEBUG:",ticker,start2,end)
     #pricedf=get_price(ticker,start2,end,source=source)
     #pricedf=get_price_security(ticker,start2,end,source=source)
-    pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start2, \
-                                    todate=end,source=source,ticker_type=ticker_type)
+    pricedf,found=get_price_1ticker_mixed(ticker=ticker,fromdate=start2,todate=end, \
+                                          adjust=adjust, \
+                                          source=source,ticker_type=ticker_type)
     
     if pricedf is None:
         print("  #Error(regression_capm): info of security",ticker_name(ticker,ticker_type),"not found or inaccessible")
@@ -124,8 +127,10 @@ def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
             mktidx=get_market_index_code(ticker)
         
     #marketdf=get_price(mktidx,start2,end,source=source)
-    marketdf,found=get_price_1ticker_mixed(ticker=mktidx,fromdate=start2, \
-                                    todate=end,source=source,ticker_type=ticker_type)
+    #大盘指数实际上无复权价？
+    marketdf,found=get_price_1ticker_mixed(ticker=mktidx,fromdate=start2,todate=end, \
+                                           adjust=adjust, \
+                                           source=source,ticker_type=ticker_type)
 
     if marketdf is None:
         print("  #Error(regression_capm): info of market index",mktidx,"not found or inaccessible")
@@ -137,7 +142,11 @@ def regression_capm(ticker,start2,end,RF=0,regtrddays=252, \
     dretdf1=pd.merge(marketdf1,pricedf1,how='inner',left_index=True,right_index=True)
 
     #准备CAPM回归文件
-    dretname='Daily Ret'
+    if adjust == '':
+        dretname='Daily Ret'
+    else:
+        dretname='Daily Adj Ret'
+        
     #计算日无风险利率
     RF_daily=RF / 365 
         
@@ -207,7 +216,7 @@ if __name__=='__main__':
     beta1=get_capm_beta(ticker,start,end,RF,regtrddays)
     beta1.plot()
 
-def get_capm_beta(ticker,start,end,RF=0,regtrddays=252,mktidx='auto', \
+def get_capm_beta(ticker,start,end,adjust='',RF=0,regtrddays=252,mktidx='auto', \
                   source='auto',ticker_type='auto'):
     """
     功能：套壳函数regression_capm，仅返回滚动的贝塔系数，基于日收益率
@@ -217,6 +226,7 @@ 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, \
+                                 adjust=adjust, \
                                  RF=RF, \
                                  regtrddays=regtrddays,mktidx=mktidx, \
                                  source=source,ticker_type=ticker_type)
@@ -248,6 +258,7 @@ if __name__=='__main__':
     betas=compare_mticker_1beta(ticker,start,end)
 
 def compare_mticker_1beta(ticker,start,end, \
+                          adjust='', \
                          RF=0,regression_period=365, \
                          graph=True,axhline_value=1,axhline_label='',facecolor='whitesmoke', \
                          annotate=False,annotate_value=False, \
@@ -289,7 +300,7 @@ def compare_mticker_1beta(ticker,start,end, \
         
         #关闭print输出
         with HiddenPrints():
-            df_tmp=get_capm_beta(t,start,end,RF,regtrddays,mktidx,source,ticker_type=tt)
+            df_tmp=get_capm_beta(t,start,end,adjust,RF,regtrddays,mktidx,source,ticker_type=tt)
         
         if df_tmp is None:
             break
@@ -366,6 +377,7 @@ if __name__=='__main__':
     betas=compare_1ticker_mRF(ticker,start,end,RF)
 
 def compare_1ticker_mRF(ticker,start,end, \
+                        adjust='', \
                          RF=[0,0.02,0.05], \
                          regression_period=365, \
                          graph=True,axhline_value=1,axhline_label='',facecolor='whitesmoke', \
@@ -406,7 +418,7 @@ def compare_1ticker_mRF(ticker,start,end, \
     for t in RF:
         #关闭print输出
         with HiddenPrints():
-            df_tmp=get_capm_beta(ticker,start,end,t,regtrddays,mktidx,source,ticker_type=ticker_type)
+            df_tmp=get_capm_beta(ticker,start,end,adjust,t,regtrddays,mktidx,source,ticker_type=ticker_type)
         
         if df_tmp is None:
             break
@@ -484,6 +496,7 @@ if __name__=='__main__':
     betas=compare_1ticker_mregression_period(ticker,start,end,RF,regression_period)
 
 def compare_1ticker_mregression_period(ticker,start,end, \
+                                       adjust='', \
                          RF=0, \
                          regression_period=[183,365,730], \
                          graph=True,axhline_value=1,axhline_label='',facecolor='whitesmoke', \
@@ -524,7 +537,7 @@ def compare_1ticker_mregression_period(ticker,start,end, \
         
         #关闭print输出
         with HiddenPrints():
-            df_tmp=get_capm_beta(ticker,start,end,RF,regtrddays,mktidx,source,ticker_type=ticker_type)
+            df_tmp=get_capm_beta(ticker,start,end,adjust,RF,regtrddays,mktidx,source,ticker_type=ticker_type)
         
         if df_tmp is None:
             break
@@ -601,7 +614,9 @@ if __name__=='__main__':
     
     betas=compare_beta_security(ticker,start,end,RF)
 
-def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
+def compare_beta_security(ticker,start,end, \
+                          adjust='', \
+                          RF=0,regression_period=365, \
                           graph=True,facecolor='whitesmoke', \
                           annotate=False,annotate_value=False, \
                           mark_top=False,mark_bottom=False,mark_end=False, \
@@ -618,8 +633,10 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
             if isinstance(RF,list):
                 RF=RF[0]  
                 
-            df=compare_mticker_1beta(ticker,start,end,RF,regression_period, \
-                                     graph,facecolor=facecolor, \
+            df=compare_mticker_1beta(ticker,start,end, \
+                                     adjust=adjust, \
+                                     RF=RF,regression_period=regression_period, \
+                                     graph=graph,facecolor=facecolor, \
                                      annotate=annotate,annotate_value=annotate, \
                                      mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                                      mktidx=mktidx,source=source, \
@@ -632,8 +649,10 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
     #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！
     if isinstance(RF,list):
         if len(RF) > 1:
-            df=compare_1ticker_mRF(ticker,start,end,RF,regression_period, \
-                                     graph,facecolor=facecolor, \
+            df=compare_1ticker_mRF(ticker,start,end, \
+                                   adjust=adjust, \
+                                   RF=RF,regression_period=regression_period, \
+                                     graph=graph,facecolor=facecolor, \
                                      annotate=annotate,annotate_value=annotate, \
                                      mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                                      mktidx=mktidx,source=source, \
@@ -647,8 +666,9 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
     if isinstance(regression_period,list):
         if len(regression_period) > 1:
             df=compare_1ticker_mregression_period(ticker,start,end, \
-                                     RF,regression_period, \
-                                     graph,facecolor=facecolor, \
+                                                  adjust=adjust, \
+                                     RF=RF,regression_period=regression_period, \
+                                     graph=graph,facecolor=facecolor, \
                                      annotate=annotate,annotate_value=annotate, \
                                      mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                                      mktidx=mktidx,source=source, \
@@ -659,8 +679,10 @@ def compare_beta_security(ticker,start,end,RF=0,regression_period=365, \
             regression_period=regression_period[0]  
             
     #情形4：1只证券，1个RF，1个回归天数?
-    df=compare_mticker_1beta(ticker,start,end,RF,regression_period, \
-                             graph,facecolor=facecolor, \
+    df=compare_mticker_1beta(ticker,start,end, \
+                             adjust=adjust, \
+                             RF=RF,regression_period=regression_period, \
+                             graph=graph,facecolor=facecolor, \
                              annotate=annotate,annotate_value=annotate, \
                              mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                              mktidx=mktidx,source=source, \

siat/fund_china.py

@@ -2375,14 +2375,14 @@ def compare_metf_china(fund_list,start,end,ftype='单位净值',graph=True):
             
     #绘图
     y_label=ftype
-    import datetime; today = datetime.date.today()
+    import datetime; todaydt = datetime.date.today()
     
     lang=check_language()
     if lang == 'English':
-        x_label="Source: eastmoney/tiantian funds, "+str(today)
+        x_label="Source: eastmoney/tiantian funds, "+str(todaydt)
         title_txt="Compare Multiple ETF Fund Performance"
     else:
-        x_label="数据来源: 东方财富/天天基金，"+str(today)
+        x_label="数据来源: 东方财富/天天基金，"+str(todaydt)
         title_txt="比较多只ETF基金的净值指标"
 
     draw_lines(fdf,y_label,x_label,axhline_value=0,axhline_label='',title_txt=title_txt, \

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/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)

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')