siat 3.1.6__py3-none-any.whl → 3.1.12__py3-none-any.whl

siat/fund_china.py

@@ -20,18 +20,23 @@ from siat.translate import *
 from siat.grafix import *
 from siat.bond_base import *
 #==============================================================================
-def compare_fund_holding_china(ticker,quarters,rank=10):
+def compare_fund_holding_china(ticker,quarters,rank=10,font_size='14px'):
     """
     功能：套壳函数fund_stock_holding_compare_china
     """
     if len(quarters) < 2:
         print("  #Warning(compare_fund_holding_china): need 2 quarters to compare at",quarters)
         return None
+    """
     if quarters[0] >= quarters[1]:
         print("  #Warning(compare_fund_holding_china):",quarters[0],"is supposed to be earlier than",quarters[1])
         return None
-        
-    df=fund_stock_holding_compare_china(fund=ticker,quarter1=quarters[0],quarter2=quarters[1],rank=rank)
+    """
+    #保证较早的季度排在前面
+    quarters.sort()  
+    
+    df=fund_stock_holding_compare_china(fund=ticker,quarter1=quarters[0],quarter2=quarters[1], \
+                                        rank=rank,font_size=font_size)
     
     return df
 
@@ -43,13 +48,18 @@ if __name__=='__main__':
     df=fund_stock_holding_compare_china(fund,quarter1,quarter2,rank=10)
 
 #比较两个季度之间的基金持仓变化
-def fund_stock_holding_compare_china(fund,quarter1,quarter2,rank=10):
+def fund_stock_holding_compare_china(fund,quarter1,quarter2,rank=10, \
+                                     font_size='14px'):
     """
     功能：基金fund在两个季度quarter1和quarter2的持仓股票对比（股数和金额），前rank名股票
     参数：
     fund,str,基金代码;
     quarter1,str,靠前的季度, 格式为 'YYYYQ1',例如: '2021Q2';
     quarter2,str,靠后的季度, 格式为 'YYYYQ1',例如: '2021Q2';
+    
+    注意：监管仅要求基金披露前十大重仓股，因此其持仓比例之和一般小于100%；若大于100%，
+    则为基金以其净资产作为抵押加了杠杆融资，买进更多成份股，导致成份股总价值（基金总资产）超过了基金的净资产。
+    基金总资产 = 基金负债 + 基金净资产
     """
     print("Searching fund holding info, which may take time, please wait ...\n")
     
@@ -112,6 +122,7 @@ def fund_stock_holding_compare_china(fund,quarter1,quarter2,rank=10):
     
     df1 = df1[['股票代码', '股票名称','持股数','持仓市值','占净值比例']]
     df1 = df1.rename(columns={'持股数':s1_share,'持仓市值':s1_value,'占净值比例':s1_ratio})
+    num1=len(df1)
     
     df2 =data[data['季度']==s2]
     if len(df2)==0:
@@ -120,6 +131,7 @@ def fund_stock_holding_compare_china(fund,quarter1,quarter2,rank=10):
     
     df2 = df2[['股票代码', '股票名称','持股数','持仓市值','占净值比例']]
     df2 = df2.rename(columns={'持股数':s2_share,'持仓市值':s2_value,'占净值比例':s2_ratio})
+    num2=len(df2)
 
     df_merge = pd.merge(df1,df2,on=['股票代码','股票名称'],how='outer')
 
@@ -196,16 +208,17 @@ def fund_stock_holding_compare_china(fund,quarter1,quarter2,rank=10):
     # 替换空值
     df.fillna('---')
     """
-    print("===== 中国基金持仓股票分析："+name+'，'+s1+"对比"+s2,"(按后者持仓比例高低排列，"+order+str(rank)+"名股票) =====\n")
+    print("===== 中国基金持仓股票分析："+name+'，'+s1+"对比"+s2,"(按后者持仓比例高低排列，"+order+str(rank)+"名重仓股) =====\n")
     print(df.to_string(index=False))
     import datetime; today = datetime.date.today()
     print("\n*** 注：持股数为万股，持仓市值为万元，持仓比例为占基金资产净值比例%，包括A股与非A股")
     print("    数据来源：天天基金/东方财富, 期间持仓股票总计"+str(len(df_merge))+"只,",today)      
     """
-    titletxt="基金持仓转移矩阵："+name+'，'+s1+"对比"+s2+"（按后者持仓比例降序排列，"+order+str(rank)+"名成份证券）"
+    titletxt="基金持仓转移明细："+name+'基金，'+s1+"对比"+s2+"（按后者持仓比例降序排列，"+order+str(rank)+"名重仓股）"
     
-    footnote1="【注】持仓数为万股，持仓市值为万元，持仓比例为占基金资产净值比例%；"
-    footnote2="期间内（曾经）持仓证券数合计"+str(len(df_merge))+"只"+'\n'
+    footnote1="【注】持仓数单位为万股，持仓市值单位为万元，持仓比例为成份股价值为占基金资产净值%（以最新期间为准列示）\n"
+    #footnote2=s1+'/'+s2+"期末持仓证券数"+str(num1)+'/'+str(num2)+"只"+'\n'
+    footnote2='监管仅要求披露前十大重仓股，其持仓比例之和一般小于100%；若大于100%则为基金加了杠杆，总资产多于净资产\n'
     import datetime; todaydt = datetime.date.today()
     footnote9="数据来源：天天基金/东方财富，"+str(todaydt)+"统计"
     footnote=footnote1+footnote2+footnote9
@@ -227,21 +240,27 @@ def fund_stock_holding_compare_china(fund,quarter1,quarter2,rank=10):
     df=df[collist1]
     """
     df.replace(0,'---',inplace=True); df.replace('0','---',inplace=True)
+
+    #确定表格字体大小
+    titile_font_size=font_size
+    heading_font_size=data_font_size=str(int(font_size.replace('px',''))-2)+'px'
     
     df_display_CSS(df,titletxt=titletxt,footnote=footnote,facecolor='papayawhip',decimals=2, \
                        first_col_align='center',second_col_align='left', \
                        last_col_align='right',other_col_align='right', \
-                       titile_font_size='14px',heading_font_size='12px', \
-                       data_font_size='12px')     
+                       titile_font_size=titile_font_size, \
+                       heading_font_size=heading_font_size, \
+                       data_font_size=data_font_size)     
     
     return df_merge
 
 #==============================================================================
-def fund_holding_china(ticker,rank=10,pastyears=2):
+def fund_holding_china(ticker,rank=10,pastyears=2,reverse=False,font_size='16px'):
     """
     功能：套壳函数fund_stock_holding_rank_china
     """
-    df,data=fund_stock_holding_rank_china(fund=ticker,rank=rank,year_num=pastyears)
+    df,data=fund_stock_holding_rank_china(fund=ticker,rank=rank,year_num=pastyears, \
+                                          reverse=reverse,font_size=font_size)
     
     return df,data
 
@@ -253,8 +272,10 @@ if __name__=='__main__':
     df=fund_stock_holding_rank_china(fund,year_num=2)
     
 # 获取单只基金的十大股票名称信息
-def fund_stock_holding_rank_china(fund,rank=10,year_num=2):
+def fund_stock_holding_rank_china(fund,rank=10,year_num=2, \
+                                  reverse=False,font_size='16px'):
     """
+    基金的成份股持仓转移矩阵
     比较股票型基金fund近year_num年持仓的前10大股票排名变化
     """
     print("Searching fund stock holding info, which takes time, please wait ...\n")
@@ -373,21 +394,27 @@ def fund_stock_holding_rank_china(fund,rank=10,year_num=2):
     name=get_fund_name_china2(fund)
     
     #print("=== 基金持仓股票排行分析："+name+"，按照占净值比例高低排列 ===\n")
-    titletxt="基金持仓转移详情："+name+"，按照占净值比例降序排列，前"+str(rank)+"名成份证券"
+    titletxt="基金持仓转移矩阵："+name+"基金，按照占净值比例降序排列，前"+str(rank)+"名重仓股"
     import datetime; todaydt = datetime.date.today()
     #print("\n*** 注：包括A股与非A股。持股结构：股票简称(占净值比例%，持股数万股),",str(todaydt)) 
     footnote="【注】持仓结构：证券简称(占净值比例%，持仓数万股)，"+str(todaydt)+"统计"
 
-    #最新的日期方前面
-    collist=list(df)
-    collist.sort(reverse=True)
-    df=df[collist]
+    if reverse:
+        #最新的日期放前面
+        collist=list(df)
+        collist.sort(reverse=True)
+        df=df[collist]
+
+    #确定表格字体大小
+    titile_font_size=font_size
+    heading_font_size=data_font_size=str(int(font_size.replace('px',''))-1)+'px'    
     
     df_display_CSS(df,titletxt=titletxt,footnote=footnote,facecolor='papayawhip',decimals=3, \
                        first_col_align='center',second_col_align='left', \
                        last_col_align='left',other_col_align='left', \
-                       titile_font_size='16px',heading_font_size='15px', \
-                       data_font_size='15px')     
+                       titile_font_size=titile_font_size, \
+                       heading_font_size=heading_font_size, \
+                       data_font_size=data_font_size)     
       
     """    
     alignlist=['center']+['left']*(len(list(df))-1)

siat/markowitz2.py

@@ -152,8 +152,12 @@ def cumulative_returns_plot(retgroup,name_list="",titletxt="投资组合策略
     
     if xlabeltxt=="":
         #取出观察期
-        hstart0=retgroup.index[0]; hstart=str(hstart0.date())
-        hend0=retgroup.index[-1]; hend=str(hend0.date())
+        hstart0=retgroup.index[0]
+        #hstart=str(hstart0.date())
+        hstart=str(hstart0)
+        hend0=retgroup.index[-1]
+        #hend=str(hend0.date())
+        hend=str(hend0)
         
         lang = check_language()
         import datetime as dt; stoday=dt.date.today()
@@ -227,31 +231,41 @@ 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}
+    Stocks1={'AAPL':.3,'MSFT':.15,'AMZN':.15,'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'
+    portfolio=dict(Market,**Stocks1)
+    thedate='2024-5-30'
     pastyears=1
-    rate_period='1Y'
-    rate_type='shibor'
-    RF=0.01795
-    printout=True    
+    printout=True 
+    graph=True
+    
+    pf_info=portfolio_build(portfolio,'2024-5-30')
 
 """
 def portfolio_cumret(portfolio,thedate,pastyears=1, \
                      RF=0, \
                      printout=True,graph=True):
 """
-def portfolio_build(portfolio,thedate,pastyears=1, \
-                     RF=0, \
-                     printout=True,graph=True):    
+def portfolio_build(portfolio,thedate='default',pastyears=1, \
+                    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：使用手动输入RF
+    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
     """
+    import datetime
+    stoday = datetime.date.today()
+    if thedate=='default':
+        thedate=str(stoday)
+    else:
+        if not check_date(adate):
+            print("  #Warning(portfolio_build): invalid date",thedate)
+            return None
+    
     print("\n  Searching for portfolio info, which may take time ...")
     # 解构投资组合
     scope,_,tickerlist,sharelist0=decompose_portfolio(portfolio)
@@ -271,13 +285,13 @@ def portfolio_build(portfolio,thedate,pastyears=1, \
     # 计算历史数据的开始日期
     start=get_start_date(thedate,pastyears)
     
-    #处理无风险利率，根据手动输入的RF构造rf_df以便后续改动量较小
+    #处理无风险利率，不再需要，但为兼容考虑仍保留，根据手动输入的RF构造rf_df以便后续改动量较小
     import pandas as pd
-    date_series = pd.date_range(start=start, end=thedate, freq='D')
+    date_series = pd.date_range(start=start,end=thedate,freq='D')
     rf_df=pd.DataFrame(index=date_series)
     rf_df['date']=rf_df.index
     rf_df['date']=rf_df['date'].apply(lambda x: x.strftime('%Y-%m-%d'))
-    rf_df['RF']=RF
+    rf_df['RF']=RF=0
     rf_df['rf_daily']=RF/365
     """
     #一次性获得无风险利率，传递给后续函数，避免后续每次获取，耗费时间  
@@ -308,19 +322,32 @@ def portfolio_build(portfolio,thedate,pastyears=1, \
     #prices=get_prices(tickerlist,start,thedate)
     
     if printout:
-        prices=get_prices_simple(tickerlist,start,thedate) #有待改造？
+        #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)
     else:
         with HiddenPrints():
-            prices=get_prices_simple(tickerlist,start,thedate) #有待改造？
-            ntickers=len(list(prices['Close']))
-            nrecords=len(prices)
+            #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)
+            
+    if found == 'Found':
+        ntickers=len(list(prices['Close']))
+        nrecords=len(prices)
         #print("  Successfully retrieved",ntickers,"stocks with",nrecords,"record(s) respectively")
-        print("  Successfully retrieved prices of",ntickers,"stocks for",pname)
+        print("  Successfully retrieved prices of",ntickers,"securities for",pname)
+
+        if ntickers != len(tickerlist):
+            print("  However, failed to access some securities, unable to build portfolio",pname)
+            return None
         
-    if prices is None:
+    #if prices is None:
+    if found == 'None':
         print("  #Error(portfolio_build): failed to get portfolio prices",pname)
         return None
-    if len(prices) == 0:
+    #if len(prices) == 0:
+    if found == 'Empty':
         print("  #Error(portfolio_build): retrieved empty prices for",pname)
         return None
     #..........................................................................
@@ -367,9 +394,9 @@ def portfolio_build(portfolio,thedate,pastyears=1, \
         plt.gca().set_facecolor('whitesmoke')
         
         plt.legend(); plt.show(); plt.close()
-    #..........................................................................
-    
-    # 计算原投资组合的持有收益率，并绘图
+        #..........................................................................
+        
+        # 计算原投资组合的持有收益率，并绘图
         name_list=["Portfolio"]
         label_list=[pname]
         
@@ -475,8 +502,8 @@ def portfolio_correlate(pf_info):
     pname=portfolio_name(portfolio)
     
     #取出观察期
-    hstart0=stock_return.index[0]; hstart=str(hstart0.date())
-    hend0=stock_return.index[-1]; hend=str(hend0.date())
+    hstart0=stock_return.index[0]; hstart=str(hstart0)
+    hend0=stock_return.index[-1]; hend=str(hend0)
         
     sr=stock_return.copy()
     collist=list(sr)
@@ -523,8 +550,8 @@ def portfolio_covar(pf_info):
     pname=portfolio_name(portfolio)
     
     #取出观察期
-    hstart0=stock_return.index[0]; hstart=str(hstart0.date())
-    hend0=stock_return.index[-1]; hend=str(hend0.date())
+    hstart0=stock_return.index[0]; hstart=str(hstart0)
+    hend0=stock_return.index[-1]; hend=str(hend0)
 
     # 计算协方差矩阵
     cov_mat = stock_return.cov()
@@ -584,8 +611,12 @@ def portfolio_expectation_universal(pname,member_returns,portfolio_weights,membe
     """
     
     #观察期
-    hstart0=member_returns.index[0]; hstart=str(hstart0.date())
-    hend0=member_returns.index[-1]; hend=str(hend0.date())
+    hstart0=member_returns.index[0]
+    #hstart=str(hstart0.date())
+    hstart=str(hstart0)
+    hend0=member_returns.index[-1]
+    #hend=str(hend0.date())
+    hend=str(hend0)
     tickerlist=list(member_returns)
 
     #合成投资组合的历史收益率，按行横向加权求和
@@ -623,7 +654,7 @@ def portfolio_expectation_universal(pname,member_returns,portfolio_weights,membe
         print("  ***投资组合持仓策略***")
         print_tickerlist_sharelist(tickerlist,portfolio_weights,4)
        
-        print("  *来源：Sina/EM/stooq，"+str(stoday))
+        print("  *来源：Sina/EM/stooq，"+str(stoday)+"统计")
     else:
         print("\n  ======= Investment Portfolio: Return and Risk =======")
         print("  Investment portfolio:",pname)
@@ -703,7 +734,7 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
     #以pname组合作为基准
     import numpy as np
     mean_return_pname=pr[pname].mean(axis=0)
-    annual_return_pname=round(((1 + mean_return_pname)**252 - 1)*100,2)
+    annual_return_pname=round(((1 + mean_return_pname)**252 - 1)*100,4)
     """
     if annual_return_pname > 0:
         pct_style=True  #百分比模式
@@ -713,22 +744,23 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
     pct_style=False
     
     std_return_pname=pr[pname].std(axis=0)
-    annual_std_pname= round((std_return_pname*np.sqrt(252))*100,2)
+    annual_std_pname= round((std_return_pname*np.sqrt(252))*100,4)
     
     import pandas as pd  
     #prr=pd.DataFrame(columns=["名称","年化收益率","收益率变化","年化标准差","标准差变化","收益/风险"])    
-    prr=pd.DataFrame(columns=["名称","年化收益率%","收益率变化","年化标准差%","标准差变化","收益/风险"])    
+    #prr=pd.DataFrame(columns=["名称","年化收益率%","收益率变化","年化标准差%","标准差变化","收益/风险"])
+    prr=pd.DataFrame(columns=["名称","年化收益率%","收益率变化","年化标准差%","标准差变化","收益率/标准差"])    
     cols=list(pr)
     for c in cols:
         
         #年化收益率：按列求均值
         mean_return=pr[c].mean(axis=0)
-        annual_return = round(((1 + mean_return)**252 - 1)*100,2)
+        annual_return = round(((1 + mean_return)**252 - 1)*100,4)
         
         if pct_style:
-            return_chg=round((annual_return - annual_return_pname) / annual_return_pname * 100,2)
+            return_chg=round((annual_return - annual_return_pname) / annual_return_pname * 100,4)
         else:
-            return_chg=round((annual_return - annual_return_pname),2)
+            return_chg=round((annual_return - annual_return_pname),4)
         
         #收益率变化    
         if return_chg==0:
@@ -746,14 +778,15 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
     
         #年化标准差
         std_return=pr[c].std(axis=0)
-        annual_std = round((std_return*np.sqrt(252))*100,2)
+        annual_std = round((std_return*np.sqrt(252))*100,4)
         
-        sharpe_ratio=round(annual_return / annual_std,2)
+        #sharpe_ratio=round(annual_return / annual_std,2)
+        sharpe_ratio=round((annual_return) / annual_std,4)
         
         if pct_style:
-            std_chg=round((annual_std - annual_std_pname) / annual_std_pname * 100,1)
+            std_chg=round((annual_std - annual_std_pname) / annual_std_pname * 100,4)
         else:
-            std_chg=round((annual_std - annual_std_pname),2)
+            std_chg=round((annual_std - annual_std_pname),4)
         
         #标准差变化
         if std_chg==0:
@@ -771,7 +804,7 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
         
         row=pd.Series({"名称":c,"年化收益率%":annual_return, \
                        "收益率变化":return_chg_str, \
-                       "年化标准差%":annual_std,"标准差变化":std_chg_str,"收益/风险":sharpe_ratio})
+                       "年化标准差%":annual_std,"标准差变化":std_chg_str,"收益率/标准差":sharpe_ratio})
         try:
             prr=prr.append(row,ignore_index=True)
         except:
@@ -790,7 +823,7 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
     #prr2=prr[["名称","收益排名","风险排名","年化收益率","年化标准差","收益率变化","标准差变化","收益/风险"]]
     prr2=prr[["名称","收益排名","年化收益率%","收益率变化", \
               "风险排名","年化标准差%","标准差变化", \
-                  "收益/风险"]]
+                  "收益率/标准差"]]
     prr2.sort_values(by="年化收益率%",ascending=False,inplace=True)
     #prr2.reset_index(inplace=True)
     
@@ -816,7 +849,7 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
     prr2.rename(columns={'名称':'投资组合名称/策略'},inplace=True)
     for c in list(prr2):
         try:
-            prr2[c]=prr2[c].apply(lambda x: str(round(x,2)) if isinstance(x,float) else str(x))
+            prr2[c]=prr2[c].apply(lambda x: str(round(x,4)) if isinstance(x,float) else str(x))
         except: pass
     
     titletxt='投资组合策略排名：平衡收益与风险'
@@ -829,6 +862,14 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
     from IPython.display import display
     display(dispf)
     """
+    
+    df_display_CSS(prr2,titletxt=titletxt,footnote='',facecolor='papayawhip',decimals=4, \
+                       first_col_align='left',second_col_align='center', \
+                       last_col_align='right',other_col_align='right', \
+                       titile_font_size='16px',heading_font_size='15px', \
+                       data_font_size='15px')
+    
+    """
     print(' ') #空一行
     
     disph=prr2.style.hide() #不显示索引列
@@ -853,7 +894,7 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='whitesmoke'):
     display(dispf2)
     
     print('') #空一行
-    
+    """
     return prr2   
 
 if __name__=='__main__':
@@ -910,12 +951,12 @@ def portfolio_ranks_en(portfolio_returns,pname):
         std_return=pr[c].std(axis=0)
         annual_std = std_return*np.sqrt(252)
         
-        sharpe_ratio=round(annual_return / annual_std,2)
+        sharpe_ratio=round(annual_return / annual_std,4)
         
         if pct_style:
-            std_chg=round((annual_std - annual_std_pname) / annual_std_pname *100,1)
+            std_chg=round((annual_std - annual_std_pname) / annual_std_pname *100,4)
         else:
-            std_chg=round((annual_std - annual_std_pname),5)
+            std_chg=round((annual_std - annual_std_pname),4)
         if std_chg==0:
             std_chg_str="base"
         elif std_chg > 0:
@@ -982,8 +1023,8 @@ def portfolio_eset(pf_info,simulation=50000):
     _,_,tickerlist,_=decompose_portfolio(portfolio)
     
     #取出观察期
-    hstart0=stock_return.index[0]; hstart=str(hstart0.date())
-    hend0=stock_return.index[-1]; hend=str(hend0.date())    
+    hstart0=stock_return.index[0]; hstart=str(hstart0)
+    hend0=stock_return.index[-1]; hend=str(hend0)    
     
     #获得成份股个数
     numstocks=len(tickerlist)
@@ -1098,8 +1139,8 @@ def portfolio_es_sharpe(pf_info,simulation=1000,RF=0):
     scope,_,tickerlist,_=decompose_portfolio(portfolio)
     
     #取出观察期
-    hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
-    hend0=stock_return0.index[-1]; hend=str(hend0.date())    
+    hstart0=stock_return0.index[0]; hstart=str(hstart0)
+    hend0=stock_return0.index[-1]; hend=str(hend0)    
 
     import pandas as pd
     #处理无风险利率
@@ -1192,8 +1233,8 @@ def portfolio_es_sortino(pf_info,simulation=1000,RF=0):
     scope,_,tickerlist,_=decompose_portfolio(portfolio)
     
     #取出观察期
-    hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
-    hend0=stock_return0.index[-1]; hend=str(hend0.date())    
+    hstart0=stock_return0.index[0]; hstart=str(hstart0)
+    hend0=stock_return0.index[-1]; hend=str(hend0)    
 
     import pandas as pd
     #处理无风险利率
@@ -1292,8 +1333,8 @@ def portfolio_es_alpha(pf_info,simulation=1000,RF=0):
     scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
     
     #取出观察期
-    hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
-    hend0=stock_return0.index[-1]; hend=str(hend0.date())    
+    hstart0=stock_return0.index[0]; hstart=str(hstart0)
+    hend0=stock_return0.index[-1]; hend=str(hend0)    
 
     #计算市场指数的收益率
     import pandas as pd
@@ -1408,8 +1449,8 @@ def portfolio_es_treynor(pf_info,simulation=1000,RF=0):
     scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
     
     #取出观察期
-    hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
-    hend0=stock_return0.index[-1]; hend=str(hend0.date())    
+    hstart0=stock_return0.index[0]; hstart=str(hstart0)
+    hend0=stock_return0.index[-1]; hend=str(hend0)    
 
     #计算市场指数的收益率
     import pandas as pd
@@ -1588,6 +1629,31 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
     
     return
 #==============================================================================
+#==============================================================================
+if __name__=='__main__':
+    pname="MSR组合"
+    modify_portfolio_name(pname)
+
+def modify_portfolio_name(pname):
+    """
+    功能：将原来的类似于MSR组合修改为更易懂的名称，仅供打印时使用
+    """
+    pclist=['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']
+    
+    pclist1=['等权重组合','交易额加权组合', \
+            '最佳夏普比率组合(MSR)','夏普比率最小风险组合(GMVS)', \
+            '最佳索替诺比率组合(MSO)','索替诺比率最小风险组合(GML)', \
+            '最佳阿尔法指标组合(MAR)','阿尔法指标最小风险组合(GMBA)', \
+            '最佳特雷诺比率组合(MTR)','特雷诺比率最小风险组合(GMBT)']
+    
+    if pname not in pclist:
+        return pname
+    
+    pos=pclist.index(pname)
+    
+    return pclist1[pos]
+    
 #==============================================================================
 def cvt_portfolio_name(pname,portfolio_returns):
     """
@@ -1601,8 +1667,16 @@ def cvt_portfolio_name(pname,portfolio_returns):
 
     lang=check_language()
     if lang == "Chinese":
+        """
         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']
+        """
+        pclist=[pname,'等权重组合','交易额加权组合', \
+                '最佳夏普比率组合(MSR)','夏普比率最小风险组合(GMVS)', \
+                '最佳索替诺比率组合(MSO)','索替诺比率最小风险组合(GML)', \
+                '最佳阿尔法指标组合(MAR)','阿尔法指标最小风险组合(GMBA)', \
+                '最佳特雷诺比率组合(MTR)','特雷诺比率最小风险组合(GMBT)']
+        
     else:
         pclist=[pname,'Equal-weight','Amount-weight','MSR','GMVS','MSO','GML', \
                 'MAR','GMBA', 'MTR','GMBT']
@@ -1621,7 +1695,7 @@ def cvt_portfolio_name(pname,portfolio_returns):
 
 #==============================================================================
 
-def portfolio_optimize_sharpe(es_info,RF=0,graph=True):
+def portfolio_optimize_sharpe(es_info,graph=True):
     """
     功能：计算投资组合的最高夏普比率组合，并绘图
     MSR: Maximium Sharpe Rate, 最高夏普指数方案
@@ -1697,7 +1771,7 @@ if __name__=='__main__':
 
 #==============================================================================
 
-def portfolio_optimize_sortino(es_info,RF=0,graph=True):
+def portfolio_optimize_sortino(es_info,graph=True):
     """
     功能：计算投资组合的最高索替诺比率组合，并绘图
     MSO: Maximium Sortino ratio, 最高索替诺比率方案
@@ -1745,7 +1819,7 @@ if __name__=='__main__':
     
 #==============================================================================
 
-def portfolio_optimize_alpha(es_info,RF=0,graph=True):
+def portfolio_optimize_alpha(es_info,graph=True):
     """
     功能：计算投资组合的最高詹森阿尔法组合，并绘图
     MAR: Maximium Alpha Ratio, 最高阿尔法指数方案
@@ -1791,7 +1865,7 @@ if __name__=='__main__':
     
 #==============================================================================
 
-def portfolio_optimize_treynor(es_info,RF=0,graph=True):
+def portfolio_optimize_treynor(es_info,graph=True):
     """
     功能：计算投资组合的最高特雷诺比率组合，并绘图
     MTR: Maximium Treynor Ratio, 最高特雷诺指数方案
@@ -1851,8 +1925,8 @@ def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk,
     pname=portfolio_name(portfolio)
     
     #取出观察期
-    hstart0=StockReturns.index[0]; hstart=str(hstart0.date())
-    hend0=StockReturns.index[-1]; hend=str(hend0.date())
+    hstart0=StockReturns.index[0]; hstart=str(hstart0)
+    hend0=StockReturns.index[-1]; hend=str(hend0)
     
     #识别并计算指数..........................................................
     if col_ratio in ['Alpha']:
@@ -1932,12 +2006,16 @@ if __name__=='__main__':
     ratio='treynor'
     simulation=1000
     simulation=50000
+    
+    RF=0
+    graph=True;hirar_return=False;lorisk=True
 
-def portfolio_optimize(pf_info,ratio='sharpe',simulation=50000,RF=0, \
-                       graph=True,MSR_return=False,GMVS=True):
+def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
+                       graph=True,hirar_return=False,lorisk=True):
     """
     功能：集成式投资组合优化策略
-    注意：实验发现RF对于结果的影响极其微小难以观察，默认设为不使用无风险利率调整收益
+    注意：实验发现RF较小时对于结果的影响极其微小难以观察，默认设为不使用无风险利率调整收益
+    但RF较大时对于结果的影响明显变大，已经不能忽略！
     """   
     
     ratio_list=['treynor','sharpe','sortino','alpha']
@@ -1956,11 +2034,16 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=50000,RF=0, \
     es_info=eval(func_es)(pf_info=pf_info,simulation=simulation,RF=RF)
 
 
-    #寻找比率最优点：最大夏普比率策略MSR和最小风险策略GMV
+    #寻找比率最优点：最大比率策略和最小风险策略
     func_optimize="portfolio_optimize_"+ratio
+    """
     name_hiret,hiret_weights,name_lorisk,lorisk_weights,portfolio_returns= \
         eval(func_optimize)(es_info=es_info,RF=RF,graph=graph)
-
+    """
+    name_hiret,hiret_weights,name_lorisk,lorisk_weights,portfolio_returns= \
+        eval(func_optimize)(es_info=es_info,graph=graph)
+    
+    
     lang = check_language()
     if lang == 'Chinese':
         zhuhe_txt='组合'
@@ -1974,11 +2057,11 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=50000,RF=0, \
         ylabeltxt="Holding Return"
     
     #打印投资组合构造和业绩表现
-    hi_name=name_hiret+zhuhe_txt
-    lo_name=name_lorisk+zhuhe_txt
+    hi_name=modify_portfolio_name(name_hiret+zhuhe_txt)
+    lo_name=modify_portfolio_name(name_lorisk+zhuhe_txt)
     portfolio_expectation(hi_name,pf_info,hiret_weights)
     
-    if MSR_return:
+    if hirar_return:
         scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
         hwdf=pd.DataFrame(hiret_weights)
         hwdft=hwdf.T
@@ -1993,7 +2076,7 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=50000,RF=0, \
         Market={'Market':(scope,mktidx,pname)}
         portfolio_new=dict(Market,**stocks_new)
         
-    if GMVS:
+    if lorisk:
         portfolio_expectation(lo_name,pf_info,lorisk_weights)
 
     #现有投资组合的排名
@@ -2011,7 +2094,7 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=50000,RF=0, \
     if graph:
         portfolio_expret_plot(portfolio_returns,name_list,titletxt=titletxt,ylabeltxt=ylabeltxt)
     
-    if MSR_return:
+    if hirar_return:
         return portfolio_new
     else:
         return

siat/sector_china.py

@@ -3033,38 +3033,149 @@ def industry_scan_china(sw_level='F', \
     
     return df2   
     
+
+#==============================================================================
+if __name__=='__main__':
+    ticker='600791.SS'
+    ticker='东阿阿胶'
+
+    contains_chinese(ticker)
+ 
+def contains_chinese(text):
+    """
+    功能：判断字符串是否含有汉字
+    """
+    import re
+    return re.search(r'[\u4e00-\u9fff]', text) is not None
+
 #==============================================================================
 if __name__=='__main__':
     ticker='600791.SS'
+    
+    ticker=['600791.SS','东阿阿胶']
+    level='1'
+    
     find_industry_sw(ticker)
     
-def find_industry_sw(ticker):
+def find_industry_sw(ticker,level='1',ticker_order=True):
     """
-    功能：寻找一只股票所属的申万行业，细分行业
+    功能：寻找一只股票所属的申万行业
     """
-    ticker6=ticker[:6]
+    print("  Searching shenwan industries for securities ... ...")
+    
+    if isinstance(ticker,str):
+        ticker=[ticker]
+        
+    tickerlist=[]
+    for t in ticker:
+        if not contains_chinese(t):
+            tt=t[:6]
+            tickerlist=tickerlist+[tt]
+        else:
+            tickerlist=tickerlist+[t]
     
     import akshare as ak
-    #df3 = ak.sw_index_third_info()
-    df2 = ak.sw_index_second_info()
-    df2['industry_code']=df2['行业代码'].apply(lambda x: x[:6])
-    industry_list=list(df2['industry_code'])
+    if level == '3':
+        df = ak.sw_index_third_info()
+    elif level == '2':
+        df = ak.sw_index_second_info()
+    else:
+        df = ak.sw_index_first_info()
+    
+    df['industry_code']=df['行业代码'].apply(lambda x: x[:6])
+    industry_list=list(df['industry_code'])
+    
+    import pandas as pd; import random; import time
+    result=pd.DataFrame(columns=['序号','证券名称','证券代码','行业名称','行业代码'])
     
     for i in industry_list:
-        cdf = ak.index_component_sw(i)
-        component_list=list(cdf)
+        print_progress_percent2(i,industry_list,steps=10,leading_blanks=2)
+        
+        iname=df[df['industry_code']==i]['行业名称'].values[0]
+        
+        try:
+            cdf = ak.index_component_sw(i)
+        except:
+            print("  #Warning(find_industry_sw): server banned this ip becos of too many requests") 
+            print("  Solution: change to another ip or another computer, or try a few hours later.")
+            return 
+        """
+        component_list=list(cdf['证券代码'])
         
         if ticker6 in component_list:
             stock_name=cdf[cdf["证券代码"]==ticker6]['证券名称'].values[0]
-            print("股票：",ticker,"，",stock_name)
+            print("\n\n股票代码："+ticker+"，"+stock_name)
             
             isi=i+'.SI'
-            industry_name=df3[df3[行业代码]==isi]['行业名称'].values[0]
-            print("申万三级行业代码：",i+".SW","，",industry_name)
+            industry_name=df[df['行业代码']==isi]['行业名称'].values[0]
+            print("申万"+str(level)+"级行业代码："+i+".SW，"+industry_name)
             
             break
+        """
+        for t in tickerlist:
+            torder=tickerlist.index(t)+1
+            
+            if not contains_chinese(t):
+                dft=cdf[cdf['证券代码']==t]
+                if len(dft)==0: continue
+                else:
+                    tname=cdf[cdf['证券代码']==t]['证券名称'].values[0]
+                    s=pd.Series({'序号':torder,'证券名称':tname,'证券代码':t,'行业名称':iname,'行业代码':i})
+                    try:
+                        result=result.append(s,ignore_index=True)
+                    except:
+                        result=result._append(s,ignore_index=True)   
+            else:
+                dft=cdf[cdf['证券名称']==t]
+                if len(dft)==0: continue
+                else:
+                    tcode=cdf[cdf['证券名称']==t]['证券代码'].values[0]
+                    s=pd.Series({'序号':torder,'证券名称':t,'证券代码':tcode,'行业名称':iname,'行业代码':i})
+                    try:
+                        result=result.append(s,ignore_index=True)
+                    except:
+                        result=result._append(s,ignore_index=True)   
+                
+        #是否都找到了？
+        if len(result) == len(tickerlist): break
         
-    return    
+        #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(1,5)
+        time.sleep(random_int)
+    
+    #排序
+    if not ticker_order:
+        #按行业代码排序
+        result.sort_values(by='行业代码',inplace=True)
+    else:
+        #按ticker顺序排序
+        result.sort_values(by='序号',inplace=True)
+        """
+        if contains_chinese(tickerlist[0]):
+            result.sort_values(by='证券名称',key=lambda x: x.map(dict(zip(tickerlist,range(len(tickerlist))))))
+        else:
+            result.sort_values(by='证券代码',key=lambda x: x.map(dict(zip(tickerlist,range(len(tickerlist))))))
+        """
+    #result.reset_index(drop=True,inplace=True)
+    
+    #显示结果
+    titletxt="证券所属行业：申万"+str(level)+"级行业"
+    import datetime; todaydt = datetime.date.today()
+    footnote="数据来源：申万宏源，"+str(todaydt)+"统计"
+    """
+    collist=list(result)
+    result['序号']=result.index+1
+    result=result[['序号']+collist]
+    """
+    print('')
+    df_display_CSS(result,titletxt=titletxt,footnote=footnote,facecolor='papayawhip',decimals=2, \
+                       first_col_align='center',second_col_align='left', \
+                       last_col_align='left',other_col_align='left', \
+                       titile_font_size='16px',heading_font_size='15px', \
+                       data_font_size='15px')
+    
+    return result
+
 #==============================================================================
 #==============================================================================
 #==============================================================================

siat/stock_technical.py

@@ -2009,7 +2009,7 @@ def security_bollinger(ticker,fromdate,todate,boll_days=20, \
         print("  #Error(security_bollinger): price info not found for",ticker)
         return None
     if found not in ['Found']:
-        print("  #Error(): ticker info either inaccessible or not found for",ticker)
+        print("  #Error(security_bollinger): ticker info either inaccessible or not found for",ticker)
         return None
         
     # 滚动均值与标准差
@@ -2045,7 +2045,7 @@ def security_bollinger(ticker,fromdate,todate,boll_days=20, \
                data_label=False,resample_freq='6H',smooth=smooth, \
                date_range=date_range,date_freq=date_freq,date_fmt='%Y-%m-%d', \
                colorlist=colorlist,lslist=lslist,lwlist=lwlist, \
-               band_area=['上(压力)线','下(支撑)线'],mark_end=mark_end)
+               band_area=['上(压力)线','下(支撑)线'],mark_end=mark_end,loc=loc)
 
     return df1
 

{siat-3.1.6.dist-info → siat-3.1.12.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siat
-Version: 3.1.6
+Version: 3.1.12
 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-3.1.6.dist-info → siat-3.1.12.dist-info}/RECORD

@@ -52,7 +52,7 @@ siat/financials_test.py,sha256=HJ3CPo_Xckz2wXi3AEP6ZNWCF1Duc1pLi0Y10USiImc,23829
 siat/fred_test.py,sha256=KF50ssSbsfpa_kT6iuomD0vG4eXztAcOasZxg1OGX5w,1201
 siat/fund.py,sha256=wMDORsCBV8ZXfgwbtq-0bu3qqWY66dHnbqgllW0gWCo,24637
 siat/fund_china.pickle,sha256=QI3IjV46EeJ5ryO3xocmByc-6b_6_nDxgcXDhBHzop0,2380915
-siat/fund_china.py,sha256=Sa9_s1A_dTT_sBu_pYYw2WaNZF0MIrNy-5X2FO4Lm00,97528
+siat/fund_china.py,sha256=5ZgF4G9GFQa7hPufqol-qDg_EZj8CtmYd0UR9L2zIDI,99025
 siat/fund_china_test.py,sha256=-Bh6m0J0GPpIbYXx-H2vpzJoNFI6pE2C2jVPa8DazgE,6649
 siat/fund_test.py,sha256=V4ADb8Gsp8gyeFTwcgRsJBpnUih_O-Q2V1ILc5oKjK8,1116
 siat/future_china.py,sha256=F-HsIf2Op8Z22RzTjet1g8COzldgnMjFNSXsAkeGyWo,17595
@@ -66,7 +66,7 @@ siat/holding_risk_test.py,sha256=FRlw_9wFG98BYcg_cSj95HX5WZ1TvkGaOUdXD7-V86s,474
 siat/local_debug_test.py,sha256=CDAOffW1Rvs-TcNN5giWVvHMlch1w4dp-w5SIV9jXL0,3936
 siat/market_china.py,sha256=nabx24qm7N51OafTrwUw542pNeFJ3JaQ1wqyv-nLN5I,37883
 siat/markowitz.py,sha256=c06gCRhMABnrb30F-npJsKVv8nFfEoNNR3bzrkMCyGg,97406
-siat/markowitz2.py,sha256=dBjxbb4K3jQkehzNLj8lQQXmkSAgE8Zs5_wDZLLvaEM,100759
+siat/markowitz2.py,sha256=r8lqLhp0MrswkaPeLMEQvk4b5qC_Wc8U04PlJ45Y9o4,104269
 siat/markowitz_ccb_test.py,sha256=xBkkoaNHdq9KSUrNuHGgKTdNYUvgi84kNYcf719eoyE,1593
 siat/markowitz_ef_test.py,sha256=wjNlICkgRIqnonPeSIHo4Mu2GRtb9dr21wDt2kMNEcI,4032
 siat/markowitz_old.py,sha256=Lf7O_4QWT8RsdkHiUyc_7kKY3eZjKDtFR89Fz3pwYnY,33046
@@ -91,7 +91,7 @@ siat/risk_evaluation.py,sha256=I6B3gty-t--AkDCO0tKF-291YfpnF-IkXcFjqNKCt9I,76286
 siat/risk_evaluation_test.py,sha256=YEXM96gKzTfwN4U61AS4Rr1tV7KgUvn4rRC6f3iMw9s,3731
 siat/risk_free_rate.py,sha256=ZMr4cHikPvXvywr54gGqiI3Nvb69am6tq3zj2hwzANE,12384
 siat/risk_free_rate_test.py,sha256=CpmhUf8aEAEZeNu4gvWP2Mz2dLoIgBX5bI41vfUBEr8,4285
-siat/sector_china.py,sha256=zbN8MdQJi84femJFB9vxu1XgfPPCWGH7SPV44EjZCNI,113475
+siat/sector_china.py,sha256=o8t4amM6NKGwYiT4N1Vqb3UdDpky_JY_jQwL-Q2Ygd8,117754
 siat/sector_china_test.py,sha256=1wq7ef8Bb_L8F0h0W6FvyBrIcBTEbrTV7hljtpj49U4,5843
 siat/security_price.py,sha256=2oHskgiw41KMGfqtnA0i2YjNNV6cYgtlUK0j3YeuXWs,29185
 siat/security_price2.py,sha256=kuYh0V5cqclkM6MjZUd-N361fv3oxGVVerYINuTzZrE,24622
@@ -112,7 +112,7 @@ siat/stock_list_china_test.py,sha256=gv14UwMMvkZqtb6G7DCTSuehIwVHuVwu7w60p6gyHoo
 siat/stock_prices_kneighbors.py,sha256=WfZvo5EyeBsm-T37zDj7Sl9dPSRq5Bx4JxIJ9IUum6s,36738
 siat/stock_prices_linear.py,sha256=-OUKRr27L2aStQgJSlJOrJ4gay_G7P-m-7t7cU2Yoqk,13991
 siat/stock_profile.py,sha256=B3eIwzEmiCqiCaxIlhfdEPsQBoW1PFOe1hkiY3mVF6Y,26038
-siat/stock_technical.py,sha256=c9kv_ih1BxxBGk2bcfkFUfKxy3I4_1jNFfoYMk-j0gY,112833
+siat/stock_technical.py,sha256=YGfvsV5Uu9xaZgJO7dwl1FsvszwX3jsGyJxqJgNamQk,112859
 siat/stock_test.py,sha256=E9YJAvOw1VEGJSDI4IZuEjl0tGoisOIlN-g9UqA_IZE,19475
 siat/stooq.py,sha256=dOc_S5HLrYg48YAKTCs1eX8UTJOOkPM8qLL2KupqlLY,2470
 siat/temp.py,sha256=gbJ0ioauuo4koTPH6WKUkqcXiQPafnbhU5eKJ6lpdLA,1571
@@ -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-3.1.6.dist-info/METADATA,sha256=7I1oTuPz1RUF3cmw1c0t_zAdexvckE9P8x9U5sCp16c,1447
-siat-3.1.6.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
-siat-3.1.6.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
-siat-3.1.6.dist-info/RECORD,,
+siat-3.1.12.dist-info/METADATA,sha256=rgKgLVsy_yr30SZbLNHZCCzjVMz2_TOVSuGIV2HVOAM,1448
+siat-3.1.12.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
+siat-3.1.12.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
+siat-3.1.12.dist-info/RECORD,,