siat 3.10.131__py3-none-any.whl → 3.10.132__py3-none-any.whl

build/lib/siat/security_trend.py

@@ -0,0 +1,402 @@
+# -*- coding: utf-8 -*-
+"""
+本模块功能：投资组合的风险调整收益率教学插件
+所属工具包：证券投资分析工具SIAT 
+SIAT：Security Investment Analysis Tool
+创建日期：2023年7月15日
+最新修订日期：2023年7月16日
+作者：王德宏 (WANG Dehong, Peter)
+作者单位：北京外国语大学国际商学院
+作者邮件：wdehong2000@163.com
+版权所有：王德宏
+用途限制：仅限研究与教学使用！
+特别声明：作者不对使用本工具进行证券投资导致的任何损益负责！
+"""
+
+#==============================================================================
+#关闭所有警告
+import warnings; warnings.filterwarnings('ignore')
+#==============================================================================
+from siat.common import *
+from siat.translate import *
+from siat.stock import *
+from siat.security_prices import *
+from siat.security_price2 import *
+from siat.risk_adjusted_return import *
+from siat.valuation import *
+from siat.grafix import *
+
+import pandas as pd
+import datetime as dt; today=str(dt.date.today())
+#==============================================================================
+#==============================================================================
+if __name__=='__main__':
+    #测试组1
+    ticker='JD'
+    indicator='Exp Ret%'
+    start='2022-1-1'
+    end='2022-12-31'
+    datatag=False
+    power=1
+    graph=True
+    source='auto'
+    
+    df=security_trend(ticker,indicator=indicator,power=1)
+    
+    #测试组2
+    ticker='AAPL'
+    indicator=['Close','Open']
+    start='default'
+    end='default'
+    datatag=False
+    power=0
+    graph=True
+    twinx=True
+    loc1='upper left'
+    loc2='lower right'
+    source='auto'
+    
+    #测试组3
+    ticker='AAPL'
+    indicator=['Close','Open','High','Low']
+    start='default'
+    end='default'
+    datatag=False
+    power=0
+    graph=True
+    twinx=True
+    loc1='upper left'
+    loc2='lower right'
+    source='auto'
+    
+    df=security_trend(ticker,indicator=indicator)
+    
+    #测试组4
+    ticker=["GCZ25.CMX","GCZ24.CMX"]
+    indicator='Close'
+    start="2020-1-1"
+    end="2020-6-30"
+    
+    
+    
+def security_trend(ticker,indicator='Close', \
+                   start='default',end='default', \
+                   critical_value='', \
+                   average_value=False, \
+                   kline=False,kline_demo=False,mav=[5,10,20], \
+                   stock_dividend=False,stock_split=False, \
+                   market="China",market_index="000300.SS",RF=False,window=252, \
+                   sortby='tpw_mean',trailing=10,trend_threshhold=0.001, \
+                   graph=True,twinx=False,loc1='best',loc2='best', \
+                   datatag=False,power=0, \
+                   smooth=True,date_range=False,date_freq=False,annotate=False, \
+                   preprocess='none',scaling_option='start', \
+                   printout=False, \
+                   source='auto'):
+
+    """
+    功能：描述证券指标走势
+    指标种类：默认为收盘价，包括收益率指标、风险指标、RAR指标、估值指标。
+    窗口：滚动窗口，扩展窗口。
+    数量变换：多种，默认不变换，常用的为scaling。
+    
+    注意：base='Annual Ret%'需要与window=252一致，如果不一致，以base为准。
+    """    
+    
+    # 检查证券代码
+    if isinstance(ticker,str):
+        ticker_num=1
+        tickers=[ticker]
+    elif isinstance(ticker,list):
+        ticker_num=len(ticker)
+        tickers=ticker
+    else:
+        print("  #Error(security_trend): unrecognizable security codes",ticker)
+        return None
+    
+    # 检查日期：截至日期
+    import datetime as dt; today=dt.date.today()
+    end=end.lower()
+    if end in ['default','today']:
+        todate=today
+    else:
+        validdate,todate=check_date2(end)
+        if not validdate:
+            print("  #Warning(security_trend): invalid date for",end)
+            todate=today
+
+    # 检查日期：开始日期
+    start=start.lower()
+    if start in ['default','mrm','l1m']:  # 默认近一个月
+        fromdate=date_adjust(todate,adjust=-31-16) #多几天有利于绘图坐标标示
+    elif start in ['mrq','l3m']:  # 近三个月
+        fromdate=date_adjust(todate,adjust=-31*4-16) #多一个月有利于绘图坐标标示
+    elif start in ['l6m','mrh']:  # 近6个月
+        fromdate=date_adjust(todate,adjust=-31*7-16)         
+    elif start in ['mry','l12m']:  # 近一年
+        fromdate=date_adjust(todate,adjust=-31*13-16)  
+    elif start in ['l2y']:  # 近两年以来
+        fromdate=date_adjust(todate,adjust=-31*25-16)  
+    elif start in ['l3y']:  # 近三年以来
+        fromdate=date_adjust(todate,adjust=-31*37-16)  
+    elif start in ['l5y']:  # 近五年以来
+        fromdate=date_adjust(todate,adjust=-31*61-16)  
+    elif start in ['l8y']:  # 近八年以来
+        fromdate=date_adjust(todate,adjust=-31*97-16)   
+    elif start in ['l10y']:  # 近十年以来
+        fromdate=date_adjust(todate,adjust=-31*121-16)        
+    elif start in ['ytd']:  # 今年以来
+        fromdate=str(today.year-1)+'-12-1'        
+    else:
+        validdate,fromdate=check_date2(start)
+        if not validdate:
+            print("  #Warning(security_trend): invalid date for",start,"/b, reset to MRM")
+            fromdate=date_adjust(todate,adjust=-31-16)    
+
+    # 检查窗口长度
+    if isinstance(window,str):
+        if window.lower() == "weekly":
+            window=5
+        elif window.lower() == "monthly":
+            window=21
+        elif window.lower() == "quarterly":
+            window=63
+        elif window.lower() == "annual":
+            window=252
+        else:
+            print("  #Warning(security_trend): invalid window size, reset to annual")
+            window=252
+
+    # 处理K线图=================================================================
+    if kline and not kline_demo:
+        # 跟踪
+        #print(tickers[0],fromdate,todate)
+        if start in ['default']:
+            fromdate=date_adjust(todate,adjust=-60)
+        if not isinstance(mav,list):
+            mav=[mav]
+        df=candlestick(stkcd=tickers[0],fromdate=fromdate,todate=todate,mav=mav)
+        return df
+
+    if kline and kline_demo:
+        if start in ['default']:
+            fromdate=date_adjust(todate,adjust=-7)
+        
+        df=candlestick_demo(tickers[0],fromdate=fromdate,todate=todate)
+        return df
+
+    # 处理股票分红和股票分拆：需要访问雅虎财经=====================================
+    if stock_dividend:
+        if start in ['default']:
+            fromdate=date_adjust(todate,adjust=-365*5)  
+            
+        df=stock_dividend(ticker=tickers[0],fromdate=fromdate,todate=todate)
+        return df
+
+    if stock_split:
+        if start in ['default']:
+            fromdate=date_adjust(todate,adjust=-365*5)  
+        
+        df=stock_split(ticker=tickers[0],fromdate=fromdate,todate=todate)
+        return df
+    
+
+    # 检查指标：是否字符串或列表=================================================
+    if isinstance(indicator,str):
+        measures=[indicator]
+        indicator_num=1
+    elif isinstance(indicator,list):
+        measures=indicator
+        indicator_num=len(indicator)
+    else:
+        print("  #Error(security_trend): invalid indicator(s) for",indicator)
+        return None
+            
+    # 检查指标
+    indicator_list1=['Open','Close','Adj Close','High','Low',
+             'Daily Ret','Daily Ret%','Daily Adj Ret','Daily Adj Ret%',
+             'log(Daily Ret)','log(Daily Adj Ret)','Weekly Ret','Weekly Ret%',
+             'Weekly Adj Ret','Weekly Adj Ret%','Monthly Ret','Monthly Ret%',
+             'Monthly Adj Ret','Monthly Adj Ret%','Quarterly Ret','Quarterly Ret%',
+             'Quarterly Adj Ret','Quarterly Adj Ret%','Annual Ret','Annual Ret%',
+             'Annual Adj Ret','Annual Adj Ret%','Exp Ret','Exp Ret%','Exp Adj Ret',
+             'Exp Adj Ret%','Weekly Price Volatility','Weekly Adj Price Volatility',
+             'Monthly Price Volatility','Monthly Adj Price Volatility',
+             'Quarterly Price Volatility','Quarterly Adj Price Volatility',
+             'Annual Price Volatility','Annual Adj Price Volatility',
+             'Exp Price Volatility','Exp Adj Price Volatility',
+             'Weekly Ret Volatility','Weekly Ret Volatility%',
+             'Weekly Adj Ret Volatility','Weekly Adj Ret Volatility%',
+             'Monthly Ret Volatility', 'Monthly Ret Volatility%',
+             'Monthly Adj Ret Volatility', 'Monthly Adj Ret Volatility%',
+             'Quarterly Ret Volatility', 'Quarterly Ret Volatility%',
+             'Quarterly Adj Ret Volatility', 'Quarterly Adj Ret Volatility%',
+             'Annual Ret Volatility', 'Annual Ret Volatility%',
+             'Annual Adj Ret Volatility', 'Annual Adj Ret Volatility%',
+             'Exp Ret Volatility', 'Exp Ret Volatility%', 'Exp Adj Ret Volatility',
+             'Exp Adj Ret Volatility%', 'Weekly Ret LPSD', 'Weekly Ret LPSD%',
+             'Weekly Adj Ret LPSD', 'Weekly Adj Ret LPSD%', 'Monthly Ret LPSD',
+             'Monthly Ret LPSD%', 'Monthly Adj Ret LPSD', 'Monthly Adj Ret LPSD%',
+             'Quarterly Ret LPSD', 'Quarterly Ret LPSD%', 'Quarterly Adj Ret LPSD',
+             'Quarterly Adj Ret LPSD%', 'Annual Ret LPSD', 'Annual Ret LPSD%',
+             'Annual Adj Ret LPSD', 'Annual Adj Ret LPSD%', 'Exp Ret LPSD',
+             'Exp Ret LPSD%', 'Exp Adj Ret LPSD', 'Exp Adj Ret LPSD%',
+             ]
+
+    indicator_list2=['treynor','sharpe','sortino','alpha','Treynor','Sharpe','Sortino','Alpha']
+    indicator_list3=['pe','pb','mv','PE','PB','MV','Pe','Pb','Mv','ROE','roe','Roe']
+    
+    # 是否属于支持的指标
+    for m in measures:
+        if not (m in indicator_list1 + indicator_list2 + indicator_list3):
+            print("  #Error(security_trend): unsupported indicator for",m)
+            print("  Supported indicators:")
+            printlist(indicator_list1,numperline=4,beforehand='  ',separator='   ')
+            printlist(indicator_list2,numperline=5,beforehand='  ',separator='   ')
+            printlist(indicator_list3,numperline=5,beforehand='  ',separator='   ')
+            return None
+        
+    # 不能同时支持indicator_list1、indicator_list2和indicator_list3的指标，即不能跨组比较！
+    indicator_group1=False
+    indicator_group2=False
+    indicator_group3=False
+    
+    list_group1=list_group2=list_group3=0
+    for m in measures:
+        if m in indicator_list3:
+            list_group3=1
+            indicator_group3=True    
+            measures = [x.upper() for x in measures]
+            
+        if m in indicator_list2:
+            list_group2=1
+            indicator_group2=True
+            measures = [x.lower() for x in measures]
+            
+        if m in indicator_list1:
+            list_group1=1
+            indicator_group1=True
+            measures = [x.title() for x in measures]
+            measures = [x.replace('Lpsd','LPSD') if 'Lpsd' in x else x for x in measures]
+            
+    if list_group1+list_group2+list_group3 >= 2:
+        print("  #Error(security_trend): cannot support in different indicator groups together for",measures)
+        return None
+    
+    # 情形1：单个证券，单个普通指标===============================================
+    # 绘制横线
+    zeroline=False
+    if (critical_value != ''):
+        if isinstance(critical_value,float) or isinstance(critical_value,int):
+            zeroline=critical_value
+    
+    if ticker_num==1 and indicator_num==1 and indicator_group1:
+        df=security_indicator(ticker=tickers[0],indicator=measures[0], \
+                              fromdate=fromdate,todate=todate, \
+                              zeroline=zeroline, \
+                              average_value=average_value, \
+                              datatag=datatag,power=power,graph=graph, \
+                              source=source)
+        return df
+    
+    # 情形2：单个证券，两个普通指标，twinx==True =================================
+    if ticker_num==1 and indicator_num == 2 and indicator_group1 and twinx:
+        df=compare_security(tickers=tickers[0],measures=measures[:2], \
+                            fromdate=fromdate,todate=todate,twinx=twinx, \
+                            loc1=loc1,loc2=loc2,graph=graph,source=source)
+        return df
+    
+    # 情形3：单个证券，两个及以上普通指标=========================================
+    if ticker_num==1 and indicator_num >= 2 and indicator_group1 and not twinx:
+        df=security_mindicators(ticker=tickers[0],measures=measures, \
+                         fromdate=fromdate,todate=todate, \
+                         graph=graph,smooth=smooth,loc=loc1, \
+                         date_range=date_range,date_freq=date_freq, \
+                         annotate=annotate, \
+                         source=source)
+        return df
+    
+    # 情形4：两个证券，取第一个普通指标，twinx==True =============================
+    if ticker_num==2 and indicator_group1 and twinx:
+        df=compare_security(tickers=tickers,measures=measures[0], \
+                            fromdate=fromdate,todate=todate,twinx=twinx, \
+                            loc1=loc1,loc2=loc2,graph=graph,source=source)
+        return df
+
+    # 情形5：两个及以上证券，取第一个普通指标=====================================
+    if ticker_num==2:
+        linewidth=2.5
+    elif ticker_num==3:
+        linewidth=2.0
+    else:
+        linewidth=1.5
+    
+    # 绘制横线
+    axhline_value=0
+    axhline_label=''
+    if (critical_value != ''):
+        if isinstance(critical_value,float) or isinstance(critical_value,int):
+            axhline_value=critical_value
+            axhline_label='零线'
+        
+    if ((ticker_num == 2 and not twinx) or ticker_num > 2) and indicator_group1:
+        df=compare_msecurity(tickers=tickers,measure=measures[0], \
+                             start=fromdate,end=todate, \
+                      axhline_value=axhline_value,axhline_label=axhline_label, \
+                      preprocess=preprocess,linewidth=linewidth, \
+                      scaling_option=scaling_option, \
+                      graph=graph,loc=loc1, \
+                      annotate=annotate,smooth=smooth, \
+                      source=source)
+        return df
+
+    # 情形6：单个证券，单个或多个RAR指标=========================================
+    # 特别注意：与收益率对比时若使用扩展收益率可能导致矛盾，要使用滚动收益率
+    if indicator_group2 and ticker_num==1 and indicator_num >= 1:
+        df=compare_1security_mrar(ticker=tickers[0],rar_names=measures, \
+                                  start=fromdate,end=todate, \
+                        market=market,market_index=market_index,RF=RF,window=window, \
+                        axhline_value=0,axhline_label='零线',graph=graph,printout=printout, \
+                        sortby=sortby,source=source,trailing=trailing,trend_threshhold=trend_threshhold, \
+                        annotate=annotate)
+        return df
+
+    # 情形7：多个证券，取第一个RAR指标===========================================
+    # 特别注意：与收益率对比时若使用扩展收益率可能导致矛盾，要使用滚动收益率
+    if indicator_group2 and ticker_num > 1:
+        df=compare_mrar(tickers=tickers,rar_name=measures[0], \
+                        start=fromdate,end=todate, \
+                        market=market,market_index=market_index,RF=RF,window=window, \
+                        axhline_value=0,axhline_label='零线',graph=graph,printout=printout, \
+                        sortby=sortby,source=source,trailing=trailing,trend_threshhold=trend_threshhold, \
+                        annotate=annotate)
+        return df
+    
+    # 情形8：估值指标PE/PB/MV/ROE===============================================
+    if indicator_group3:
+        df=security_valuation(tickers=tickers,indicators=measures,start=fromdate,end=todate, \
+                              preprocess=preprocess,scaling_option=scaling_option, \
+                              twinx=twinx,loc1=loc1,loc2=loc2, \
+                              graph=graph,annotate=annotate)
+        return df
+    
+    # 其他未预料情形
+    print("  Sorry, unsupported combination of security(ies) and indicator(s):-(")
+    return None
+
+#==============================================================================
+
+#==============================================================================
+#==============================================================================
+#==============================================================================
+
+
+
+
+
+
+
+
+
+
+