siat 3.10.132__py3-none-any.whl → 3.11.1__py3-none-any.whl

build/lib/build/lib/siat/capm_beta.py

@@ -1,783 +0,0 @@
-# -*- coding: utf-8 -*-
-"""
-本模块功能：CAPM模型贝塔系数计算
-所属工具包：证券投资分析工具SIAT 
-SIAT：Security Investment Analysis Tool
-创建日期：2018年7月16日
-最新修订日期：2020年1月15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，不可商用！商用需要额外授权。
-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！
-"""
-
-#==============================================================================
-import warnings; warnings.filterwarnings('ignore')
-from siat.common import *
-from siat.translate import *
-from siat.security_prices import *
-from siat.security_price2 import *
-#==============================================================================
-import matplotlib.pyplot as plt
-
-#处理绘图汉字乱码问题
-import sys; czxt=sys.platform
-if czxt in ['win32','win64']:
-    plt.rcParams['font.sans-serif'] = ['SimHei']  # 设置默认字体
-    mpfrc={'font.family': 'SimHei'}
-
-if czxt in ['darwin']: #MacOSX
-    plt.rcParams['font.family']= ['Heiti TC']
-    mpfrc={'font.family': 'Heiti TC'}
-
-if czxt in ['linux']: #website Jupyter
-    plt.rcParams['font.family']= ['Heiti TC']
-    mpfrc={'font.family':'Heiti TC'}
-
-# 解决保存图像时'-'显示为方块的问题
-plt.rcParams['axes.unicode_minus'] = False 
-#==============================================================================
-def get_price_excel(ticker,fromdate,todate,excelfile,sheetname='Sheet1'):
-    """
-    功能：抓取股价，保存到Excel文件中
-    输出：指定收盘价格序列，最新日期的股价排列在前
-    ticker: 股票代码。大陆股票代码加上后缀.SZ或.SS，港股代码去掉前导0加后缀.HK
-    fromdate: 样本开始日期，尽量远的日期，以便取得足够多的原始样本
-    todate: 样本结束日期，既可以是今天日期，也可以是一个历史日期
-    excelfile：保存到Excel文件名，含目录。如果目录不存在，将会导致错误。
-    """
-    
-    #仅为调试用的函数入口参数，正式使用前需要注释掉！
-    #ticker='000300.SS'
-    #fromdate='01/01/2018'
-    #todate='06/30/2019'
-    #---------------------------------------------
-    
-    #仅为测试使用
-    #ticker='601857.SS'
-    #fromdate='2019-1-1'
-    #todate='2019-8-31'
-    #excelfile='C:/temp/myexcel1.xlsx'
-    #sheetname='601857.SS'
-
-    price=get_price(ticker,fromdate,todate)
-    if price is None:
-        print("  #Error(get_price_excel): failed to retrieve stock data")
-        print("  Information:",ticker,fromdate,todate) 
-        return
-    try:
-        price.to_excel(excelfile,sheetname,encoding='utf-8')             
-    except:
-        print("  #Error((get_price_excel): failed to stock data to excel file")        
-        print("  Information:",excelfile,sheetname)
-        return
-    print("***Results saved in",excelfile,"with sheet",sheetname)
-    return 
-    
-
-if __name__=='__main__':
-    df601857=get_price_excel('601857.SS','2019-1-1','2019-12-31', \
-                             'C:/temp/myexcel1.xlsx','601857.SS')
-
-
-#==============================================================================
-def prepare_capm_data(stkcd,mktidx,start,end):
-    """
-    函数功能：准备计算一只股票CAPM模型贝塔系数的数据，并标记年度
-    输入参数：
-    stkcd: 股票代码
-    mktidx: 指数代码
-    start：使用股票价格数据的开始日期，MM/DD/YYYY
-    end：使用股票价格数据的结束日期，MM/DD/YYYY
-    输出数据：
-    返回数据：带年度标记的可直接用于capm回归的股票收益率数据
-    """
-        
-    #仅用于调试，正式使用前应注释掉
-    #stkcd='600028.SS'; mktidx='000001.SS'
-    #start="12/31/2011"; end="12/31/2018"
-
-    #抓取股价和指数
-    import siat.security_prices as ssp
-    stock=get_price(stkcd,start,end)
-    if stock is None:
-        print("  #Error(prepare_capm_data): failed to get stock price")
-        print("  Information:",stkcd,start,end)              
-        return None    
-    market=get_price(mktidx,start,end)
-    if market is None:
-        print("  #Error(prepare_capm_data): failed to get market index")
-        print("  Information:",mktidx,start,end)              
-        return None
-
-    #计算日收益率
-    import pandas as pd
-    stkret=pd.DataFrame(stock['Close'].pct_change())
-    mktret=pd.DataFrame(market['Close'].pct_change())
-
-    #合并，去掉空缺
-    R=pd.merge(mktret,stkret,how='left',left_index=True,right_index=True)
-    R=R.dropna()
-
-    #标记各个年度
-    R['Year']=R.index.strftime("%Y")
-
-    #返回带年份的股票收益率序列
-    return R
-
-#==============================================================================
-def capm_beta(ticker,mktidx,start,end='today'):
-    """
-    函数功能：计算一只股票的静态CAPM模型贝塔系数
-    输入参数：
-    ticker: 股票代码
-    mktidx: 指数代码
-    start：使用股票价格数据的开始日期，MM/DD/YYYY
-    end：使用股票价格数据的结束日期，MM/DD/YYYY
-    输出数据：
-    显示CAPM市场模型回归的alpha, beta, 以及显著性和拟合优度
-    无返回数据
-    """
-    start,end=start_end_preprocess(start,end)
-        
-    #读取股价并准备好收益率数据
-    R=prepare_capm_data(ticker,mktidx,start,end)
-    if R is None:
-        print("  #Error(capm_beta): failed to prepare capm data")
-        print("  Info:",ticker,mktidx,start,end)              
-        return   
-
-    #全数据OLS回归
-    from scipy import stats 
-    (beta,alpha,r_value,p_value,std_err)= \
-        stats.linregress(R['Close_x'],R['Close_y'])
-
-    #显示回归结果
-    print(" \n===== 计算CAPM贝塔系数 =====")
-    print("回归模型：市场模型")
-    print(equalwidth("股票",16), ticker_name(ticker))
-    print(equalwidth("市场指数",16), ticker_name(mktidx))
-    print(equalwidth("样本期间开始于",16), start)
-    print(equalwidth("样本期间结束于",16), end)
-    print(equalwidth("截距项",16), round(alpha,4))
-    print(equalwidth("贝塔系数",16), round(beta,4))
-    print(equalwidth("R-square",16), round(r_value**2,4))
-    print(equalwidth("p-value",16), round(p_value,4))
-    
-    import datetime
-    today = datetime.date.today()
-    print("*数据来源: 新浪/stooq/fred,",today)
-
-    return  beta  
-    
-if __name__=='__main__':
-    capm_beta('002504.SZ','000001.SS','12/31/2011','12/31/2018')    
-
-#==============================================================================
-
-def plot_trend(titletxt,footnotetxt,df,power=1,axhline_value=1,axhline_label=''):
-    """
-    功能：绘制散点数据的平滑曲线图及其趋势线
-    titletxt: 标题
-    footnotetxt：脚注
-    df: 数据框，其索引为字符型年份，第1列与年份对应的数值1，
-    第2列与年份对应的数值2，。。。
-    power: 趋势线拟合的幂阶数，默认为三阶多项式
-    """
-    #将字符型年份转化为整数型
-    yearstr=df.index
-    year=[]
-    for t in yearstr:
-        tt=int(t)
-        year=year+[tt]    
-    
-    #取得列名
-    rowlist=df.columns.values.tolist()
-    n=len(rowlist)
-    
-    import numpy as np
-    import scipy.interpolate as itp
-
-    #由于年度为连续整数，为插值方便，先将所有年度放大10倍
-    year0=[]
-    for t in year:
-        tt=t*10
-        year0=year0+[tt]
-
-    #形成用于插值的连续整数自变量xx
-    x1=year0[0]
-    x2=year0[-1]+1
-    xx=np.array(range(x1,x2,1))   
-    
-    #将用于插值的自变量缩小10倍，以便自变量在x轴上的尺度统一
-    x=[]
-    for t in xx:
-        tt=t/10.0
-        x=x+[tt]
-    
-    #循环处理每个因变量
-    for i in np.array(range(0,n,1)):
-        number=df[rowlist[i]]
-
-        #进行插值: linear=线性插值, cubic=立方插值
-        y=itp.interp1d(year0,number,kind='cubic')
-        #生成插值出来的模拟数据因变量
-        y2=y(xx)
-        #绘图1：插值出来的大量模拟点构成的平滑曲线
-        plt.plot(x,y2)
-        #绘图2：原数据点
-
-        #进行拟合: 1=线性拟合, 2=二次拟合，3=三次拟合
-        p=np.polyfit(year0,number,power)
-        #生成拟合出来的模拟数据因变量
-        p2=np.polyval(p,xx)
-        #绘图2：拟合出来的大量模拟点构成的平滑趋势曲线
-        plt.plot(x,p2,linestyle=':',linewidth=3)
-
-        #绘图3：原数据点
-        plt.plot(year,number,'*',label=rowlist[i])
-    
-    #是否绘制水平线
-    if axhline_label !="":
-        if '市场' in axhline_label:
-            axhline_label=''
-        plt.axhline(y=axhline_value,label=axhline_label,color='black',linestyle=':',linewidth=2)  
-        #plt.axhline(y=axhline_value,color='purple',linestyle=':',linewidth=1.5)
-    
-    #x轴刻度：使用原数据点的自变量
-    plt.xticks(year,rotation=30)
-    plt.legend(loc='best')
-    plt.title(titletxt)
-    plt.xlabel(footnotetxt)
-    
-    plt.gca().set_facecolor('whitesmoke')
-    plt.show()
-    
-    return
-#==============================================================================
-
-def capm_beta_yearly(ticker,mktidx,yearlist):
-    """
-    函数功能：分年度计算一只股票的CAPM模型贝塔系数
-    输入参数：
-    ticker: 股票代码
-    mktidx: 指数代码
-    yearlist: 年度列表，start日期要给第一个年份留出至少一年数据供回归使用
-    输出数据：
-    按年份显示CAPM市场模型回归的alpha, beta, 以及显著性和拟合优度
-    无返回数据
-    """
-    
-    #运行开始信息
-    print("*** Analysing yearly CAPM betas, please wait ...")
-    
-    #生成开始结束日期
-    Y4=str(int(yearlist[0])-1)
-    start=Y4+'-01-01'
-    end=yearlist[-1]+'-12-31' 
-        
-    #读取股价并准备好收益率数据
-    R=prepare_capm_data(ticker,mktidx,start,end)
-    if R is None:
-        print("  #Error(capm_beta_yearly): failed to prepare capm data")
-        print("  Information:",ticker,mktidx,start,end)              
-        return      
-
-    #print("\n***CAPM yearly beta: Stock_return=alpha+beta*Market_return")
-    #print("Stock code:",ticker)
-    #print("Market index:",mktidx)
-    #print("Year Beta   R-sqr  p-value")
-
-    #用于保存beta(CAPM)
-    import pandas as pd
-    betas=pd.DataFrame(columns=('Year','Beta','alpha','R-sqr','p-value'))
-    
-    #分年度OLS回归
-    from scipy import stats
-    for year in yearlist:
-        #print(year,' ',end='')
-        r=R[R['Year']==year]
-        if len(r)==0: continue
-        try:
-            output=stats.linregress(r['Close_x'],r['Close_y'])
-        except:
-            print("  #Error(capm_beta_yearly): no data for regression")
-            print("  Information:",stkcd,year,R,r)
-            return             
-        (beta,alpha,r_value,p_value,std_err)=output
-        
-        row=pd.Series({'Year':year,'Beta':beta,'alpha':alpha, \
-                       'R-sqr':r_value**2,'p-value':p_value})
-        try:
-            betas=betas.append(row,ignore_index=True)
-        except:
-            betas=betas._append(row,ignore_index=True)
-        #print(year,round(beta,4),round(r_value**2,3),round(p_value,4))
-    
-    betas['Significance']=betas['p-value'].apply(lambda x: '***' if x<0.01 \
-                                                 else '**' if x<0.05 else '*' if x<0.1 else '')
-    
-    #设置打印标题与数据对齐
-    """
-    pd.set_option('display.unicode.ambiguous_as_wide', True)
-    pd.set_option('display.unicode.east_asian_width', True)
-    pd.set_option('display.width', 180) # 设置打印宽度(**重要**)
-    
-    print("\n ===== 分年度静态贝塔系数:",ticker_name(ticker),"=====")
-    print(betas.to_string(index=False))
-    import datetime as dt; todaydt=dt.date.today()    
-    print("数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+'，'+str(dttoday))
-    print('') #空一行
-    """
-    titletxt="分年度静态贝塔系数: "+ticker_name(ticker)
-    import datetime as dt; todaydt=dt.date.today()
-    footnote="数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+', '+str(todaydt)
-    df_display_CSS(betas,titletxt=titletxt,footnote=footnote,facecolor='papayawhip', \
-                   decimals=4, \
-                       first_col_align='center',second_col_align='center', \
-                       last_col_align='center',other_col_align='center')
-
-    #准备绘图
-    betas.set_index('Year',inplace=True)
-    
-    #绘图：年度贝塔系数趋势
-    df=pd.DataFrame(betas['Beta'])
-    title="分年度静态贝塔系数: "+ticker_name(ticker)
-    foot="\n数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+'，'+str(todaydt)
-    plot_trend(title,foot,df,power=3,axhline_value=1,axhline_label='市场风险线')
-    
-    return betas   
-    
-if __name__=='__main__':
-    yearlist=['2013','2014','2015','2016','2017','2018','2019']
-    capm_beta_yearly('AAPL','^GSPC',yearlist)    
-
-#==============================================================================
-#新增投资组合贝塔系数部分
-#==============================================================================
-#==============================================================================
-def prepare_capm_portfolio(tickerlist,sharelist,mktidx,start,end):
-    """
-    函数功能：准备计算股票投资组合CAPM模型贝塔系数的数据，并标记年度
-    输入参数：
-    tickerlist: 股票代码列表
-    sharelist：持有份额列表
-    mktidx: 市场指数代码
-    start：使用股票价格数据的开始日期，'YYYY-MM-DD'
-    end：使用股票价格数据的结束日期
-    输出数据：
-    返回数据：带年度标记的可直接用于capm模型回归的数据表
-    """
-        
-    #仅用于调试，正式使用前应注释掉
-    #tickerlist=['AAPL','MSFT']
-    #sharelist=[2,1]
-    #mktidx='^GSPC'
-    #start="1/1/2019"; end="8/31/2019"
-
-    #抓取投资组合股价和指数
-    import siat.security_prices as ssp
-    stock=get_price_portfolio(tickerlist,sharelist,start,end)
-    if (stock is None) or (len(stock)==0):
-        print("  #Error(prepare_capm_portfolio): failed to get stock prices")
-        print("  Info:",tickerlist,start,end)              
-        return None    
-    market=get_price(mktidx,start,end)
-    if (market is None) or (len(market)==0):
-        print("  #Error(prepare_capm_portfolio): failed to get market index")
-        print("  Info:",mktidx,start,end)              
-        return None
-
-    #计算日收益率
-    import pandas as pd
-    stkret=pd.DataFrame(stock['Close'].pct_change())
-    mktret=pd.DataFrame(market['Close'].pct_change())
-
-    #合并：mktret作为Close_x，stkret作为Close_y，去掉空缺
-    R=pd.merge(mktret,stkret,how='left',left_index=True,right_index=True)
-    R=R.dropna()
-
-    #标记各个年度
-    R['Year']=R.index.strftime("%Y")
-
-    #返回带年份的股票收益率序列
-    return R
-
-#==============================================================================
-def capm_beta_portfolio(tickerlist,sharelist,mktidx,start,end):
-    """
-    函数功能：计算投资组合的静态CAPM模型贝塔系数
-    输入参数：
-    tickerlist: 股票代码列表
-    sharelist：持有份额列表
-    mktidx: 指数代码
-    start：使用股票价格数据的开始日期，MM/DD/YYYY
-    end：使用股票价格数据的结束日期，MM/DD/YYYY
-    输出数据：
-    显示CAPM市场模型回归的截距, beta, 以及显著性和拟合优度
-    无返回数据
-    """
-        
-    #读取股价并准备好收益率数据
-    R=prepare_capm_portfolio(tickerlist,sharelist,mktidx,start,end)
-    if R is None:
-        print("  #Error(capm_beta_portfolio): failed to prepare capm data")
-        print("  Information:",tickerlist,sharelist,mktidx,start,end)              
-        return   
-
-    #全数据OLS回归
-    from scipy import stats 
-    (beta,alpha,r_value,p_value,std_err)= \
-        stats.linregress(R['Close_x'],R['Close_y'])
-
-    #显示回归结果
-    print("\n *** Portfolio CAPM Beta Coefficient \
-          \n Model: Stock_return=intercept + beta * Market_return")
-    print(" Portfolio stocks:",tickerlist)
-    print(" Stock portions  :",sharelist)
-    print(" Market index    :",mktidx)
-    print(" Intercept       :",round(alpha,4))
-    print(" Portfolio beta  :",round(beta,4))
-    print(" R-sqr       :",round(r_value**2,4))
-    print(" p-value         :",round(p_value,4))
-
-    return beta
-
-
-#==============================================================================
-def capm_beta_portfolio_yearly(tickerlist,sharelist,mktidx,yearlist):
-    """
-    函数功能：分年度计算投资组合的CAPM模型贝塔系数，并绘图
-    输入参数：
-    tickerlist: 投资组合中各个成分股的股票代码
-    sharelist: 各个成分股的持股比例
-    mktidx: 指数代码
-    yearlist: 年度列表，start日期要给第一个年份留出至少一年数据供回归使用
-    输出数据：
-    按年份绘图beta
-    无返回数据
-    """
-    
-    #运行开始信息
-    print("*** Analysing yearly portfolio CAPM betas, please wait ...")
-    
-    #生成开始结束日期
-    Y4=str(int(yearlist[0])-1)
-    start=Y4+'-01-01'
-    end=yearlist[-1]+'-12-31' 
-        
-    #读取股价并准备好收益率数据
-    R=prepare_capm_portfolio(tickerlist,sharelist,mktidx,start,end)
-    if (R is None) or (len(R)==0):
-        print("  #Error(capm_beta_portfolio_yearly): failed to prepare capm data")
-        print("  Info:",tickerlist,sharelist,mktidx,start,end)              
-        return      
-
-    #用于保存beta(CAPM)和beta
-    import pandas as pd
-    betas=pd.DataFrame(columns=('Year','Beta','intercept','R-sqr','p-value'))
-    
-    #分年度OLS回归
-    from scipy import stats
-    for year in yearlist:
-        #print(year,' ',end='')
-        r=R[R['Year']==year]
-        if len(r)==0: continue
-        try:
-            output=stats.linregress(r['Close_x'],r['Close_y'])
-        except:
-            print("  #Error(capm_beta_portfolio_yearly): no data for regression")
-            print("  Information:",year,R,r)
-            return         
-        (beta,alpha,r_value,p_value,std_err)=output
-        
-        row=pd.Series({'Year':year,'Beta':beta,'intercept':alpha, \
-                       'R-sqr':r_value**2,'p-value':p_value})
-        try:
-            betas=betas.append(row,ignore_index=True)
-        except:
-            betas=betas._append(row,ignore_index=True)
-
-    betas['Significance']=betas['p-value'].apply(lambda x: '***' if x<0.01 \
-                                                 else '**' if x<0.05 else '*' if x<0.1 else '')        
-    #print("\n",betas)
-    
-    titletxt="投资组合的静态年度贝塔系数"
-    import datetime as dt; todaydt=dt.date.today()
-    footnote="数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+', '+str(todaydt)
-    df_display_CSS(betas,titletxt=titletxt,footnote=footnote,facecolor='papayawhip', \
-                   decimals=4, \
-                       first_col_align='center',second_col_align='center', \
-                       last_col_align='center',other_col_align='center')    
-    
-    betas.set_index('Year',inplace=True)
-    
-    #绘图：年度贝塔系数变化
-    df=pd.DataFrame(betas['Beta'])
-    title="投资组合的静态年度贝塔系数"+ \
-            "\n成分股: "+str(ticker_name(tickerlist,'bond'))+"\n持仓权重: "+str(sharelist)
-    import datetime; today = datetime.date.today()
-    foot="数据来源: 新浪/stooq/fred，"+str(today)
-    plot_trend(title,foot,df,power=2,axhline_value=1,axhline_label='市场风险线')
-    
-    return  betas  
-    
-if __name__=='__main__':
-    yearlist=['2013','2014','2015','2016','2017','2018','2019']
-    capm_beta_portfolio_yearly(['AAPL','MSFT'],[2,1],'^GSPC',yearlist)
-    capm_beta_portfolio_yearly(['600028.SS','600036.SS'],[2,1],'000001.SS',yearlist)    
-
-#==============================================================================
-def capm_beta_portfolio_yearly_excel(tickerlist,sharelist,mktidx,yearlist, \
-                                     excelfile,sheetname='Sheet1'):
-    """
-    函数功能：分年度计算投资组合的CAPM模型贝塔系数，绘图，结果保存到Excel
-    输入参数：
-    tickerlist: 投资组合中各个成分股的股票代码
-    sharelist: 各个成分股的持股比例
-    mktidx: 指数代码
-    yearlist: 年度列表
-    excelfile: 带目录的Excel文件名，如果目录不存在则出错
-    sheetname：Excel文件中的sheet名
-    输出：
-    按年份绘图beta系数, 并保存到Excel文件
-    无返回数据
-    """
-    
-    #运行开始信息
-    print("\n*** Analysing yearly portfolio CAPM betas, please wait ...")
-    
-    #生成开始结束日期
-    Y4=str(int(yearlist[0])-1)
-    start=Y4+'-01-01'
-    end=yearlist[-1]+'-12-31' 
-        
-    #读取股价并准备好收益率数据
-    R=prepare_capm_portfolio(tickerlist,sharelist,mktidx,start,end)
-    if R is None:
-        print("  #Error(capm_beta_portfolioyearly_excel): failed to prepare capm data")
-        print("  Information:",tickerlist,sharelist,mktidx,start,end)              
-        return      
-
-    #用于保存beta(CAPM)和beta
-    import pandas as pd
-    betas=pd.DataFrame(columns=('Year','Beta','intercept','R-sqr','p-value'))
-    
-    #分年度OLS回归
-    from scipy import stats
-    for year in yearlist:
-        #print(year,' ',end='')
-        r=R[R['Year']==year]
-        if len(r)==0: continue
-        try:
-            output=stats.linregress(r['Close_x'],r['Close_y'])
-        except:
-            print("  #Error(capm_beta_portfolio_yearly_excel): no data available for regressing beta")
-            print("  Information:",year,R,r)
-            return         
-        (beta,alpha,r_value,p_value,std_err)=output
-        
-        row=pd.Series({'Year':year,'Beta':beta,'intercept':alpha, \
-                       'R-sqr':r_value**2,'p-value':p_value})
-        try:
-            betas=betas.append(row,ignore_index=True)
-        except:
-            betas=betas._append(row,ignore_index=True)
-        
-    betas2=betas.copy() #用于保存excel   
-    betas2['Year']=betas2['Year'].astype('int')
-    betas2['Portfolio']=str(tickerlist)
-    betas2['Share Ratio']=str(sharelist)
-    betas2['Market Index']=mktidx
-    
-    betas.set_index('Year',inplace=True)    #用于绘图
-    
-    #绘图：年度贝塔系数变化
-    df=pd.DataFrame(betas['Beta'])
-    title="Investment Portfolio's Annual CAPM Betas"+ \
-            "\nPortfolio: "+str(tickerlist)+"\nComposition: "+str(sharelist)
-    foot="\nSource: Sina Finance/Yahoo Finance"
-    plot_trend(title,foot,df,power=2)
-    
-    """
-    #为折线加数据标签
-    for a,b in zip(betas.index,betas['Beta']):
-        plt.text(a,b+0.02,str(round(b,2)),ha='center',va='bottom',fontsize=7)
-    plt.show()
-    """
-    
-    #保存到Excel   
-    import pandas as pd
-    try:
-        file1=pd.ExcelFile(excelfile)
-    except:
-        #不存在excelfile文件，直接写入
-        betas2.to_excel(excelfile,sheet_name=sheetname, \
-                       header=True,encoding='utf-8')
-        print("***Results saved in",excelfile,"@ sheet",sheetname)
-        return
-    else:
-        #已存在excelfile文件，先将所有已有内容读出        
-        dict=pd.read_excel(file1, None)
-    file1.close()
-    
-    #获得所有sheet名字
-    sheetlist=list(dict.keys())
-    
-    #检查新的sheet名字是否已存在
-    try:
-        pos=sheetlist.index(sheetname)
-    except:
-        #不存在重复
-        dup=False
-    else:
-        #存在重复，合并内容
-        dup=True
-        #print(dict[sheetlist[pos]],betas2)
-        df1=dict[sheetlist[pos]][['Year','Beta','intercept','R-sqr','p-value','Portfolio','Share Ratio','Market Index']]
-        df=pd.concat([df1,betas2],axis=0,ignore_index=True)        
-        dict[sheetlist[pos]]=df
-    
-    #将原有内容写回excelfile    
-    result=pd.ExcelWriter(excelfile)
-    for s in sheetlist:
-        df1=dict[s][['Year','Beta','intercept','R-sqr','p-value','Portfolio','Share Ratio','Market Index']]
-        df1.to_excel(result,s,header=True,index=True,encoding='utf-8')
-    #写入新内容
-    if not dup: #sheetname未重复
-        betas2.to_excel(result,sheetname,header=True,index=True,encoding='utf-8')
-    try:
-        result.save()
-        result.close()
-    except:
-        print("  #Error(capm_beta_portfolio_yearly_excel): writing file permission denied")
-        print("  Information:",excelfile)  
-        return
-    print("***Results saved in",excelfile,"@ sheet",sheetname)
-    return  betas  
-    
-if __name__=='__main__':
-    yearlist=['2013','2014','2015','2016','2017','2018','2019']
-    excelfile='C:/temp/myexcel.xls'
-    capm_beta_portfolio_yearly_excel(['AAPL','MSFT'],[2,1],'^GSPC',yearlist, excelfile,'p01')
-
-#==============================================================================
-def compare2_betas_yearly(ticker1,ticker2,mktidx,yearlist):
-    """
-    函数功能：分年度计算两只股票的CAPM模型贝塔系数，并绘图对比其风险特征的对冲性
-    输入参数：
-    ticker1: 股票代码
-    ticker2: 股票代码
-    mktidx: 指数代码
-    yearlist: 年度列表，start日期要给第一个年份留出至少一年数据供回归使用
-    输出数据：
-    按年份绘图贝塔系数的变化
-    无返回数据
-    """
-    #仅用于测试，完成后应注释掉
-    #stkcd1='600028.SS'
-    #stkcd2='600036.SS'
-    #mktidx='000001.SS'
-    #yearlist=['2013','2014','2015','2016','2017','2018','2019']
-
-    
-    #运行开始信息
-    print("  Comparing stock CAPM betas, please wait ...")
-    
-    #生成开始结束日期
-    Y4=str(int(yearlist[0])-1)
-    start=Y4+'-01-01'
-    end=yearlist[-1]+'-12-31' 
-        
-    #读取股价并准备好收益率数据
-    R1=prepare_capm_data(ticker1,mktidx,start,end)
-    if R1 is None:
-        print("  #Error(compare2_betas_yearly): failed to prepare capm data")
-        print("  Information:",ticker1,mktidx,start,end)              
-        return      
-
-    R2=prepare_capm_data(ticker2,mktidx,start,end)
-    if R2 is None:
-        print("  #Error(compare2_betas_yearly): failed to prepare capm data")
-        print("  Information:",ticker2,mktidx,start,end)              
-        return 
-
-    #用于保存beta(CAPM)
-    import pandas as pd
-    betas1=pd.DataFrame(columns=('Year','Beta','alpha','R-sqr','p-value'))
-    #分年度OLS回归
-    from scipy import stats
-    for year in yearlist:
-        r=R1[R1['Year']==year]
-        if len(r)==0: continue
-        try:
-            output=stats.linregress(r['Close_x'],r['Close_y'])
-        except:
-            print("  #Error(compare2_betas_yearly): no data for regression")
-            print("  Information:",stkcd1,year,r,R1)
-            continue         
-        (beta,alpha,r_value,p_value,std_err)=output
-        
-        row=pd.Series({'Year':year,'Beta':beta,'alpha':alpha, \
-                       'R-sqr':r_value**2,'p-value':p_value})
-        try:
-            betas1=betas1.append(row,ignore_index=True)   
-        except:
-            betas1=betas1._append(row,ignore_index=True)
-        #print("  Calculated CAPM beta of",stkcd1,'on year',year)
-        
-    betas1.set_index('Year',inplace=True)
-
-    betas2=pd.DataFrame(columns=('Year','Beta','alpha','R-sqr','p-value'))
-    for year in yearlist:
-        #print(year,' ',end='')
-        r=R2[R2['Year']==year]
-        if len(r)==0: continue
-        try:
-            output=stats.linregress(r['Close_x'],r['Close_y'])
-        except:
-            print("  #Error(compare2_betas_yearly): no data for regression")
-            print("  Information:",stkcd2,year,r,R2)
-            continue         
-        (beta,alpha,r_value,p_value,std_err)=output        
-        row=pd.Series({'Year':year,'Beta':beta,'alpha':alpha, \
-                       'R-sqr':r_value**2,'p-value':p_value})
-        try:
-            betas2=betas2.append(row,ignore_index=True)
-        except:
-            betas2=betas2._append(row,ignore_index=True)
-        #print("  Calculated CAPM beta of",stkcd2,'on year',year)
-        
-    betas2.set_index('Year',inplace=True)
-    
-    #绘图：年度贝塔系数变化
-    plt.plot(betas1['Beta'],label=ticker_name(ticker1),c='red',marker='o',lw=1)
-    plt.plot(betas2['Beta'],label=ticker_name(ticker2),c='blue',marker='D',lw=2,linestyle='--')
-    
-    #plt.axhline(y=1.0,color='b',linestyle=':',c='green',label='市场平均风险')  
-    plt.axhline(y=1.0,color='b',linestyle=':',c='black')  
-    
-    plt.ylabel("贝塔系数",fontweight='bold')
-    plt.xticks(rotation=45,fontweight='bold')
-    trtitle="比较证券之间的贝塔系数"+"\n"+ticker_name(ticker1)+" vs "+ticker_name(ticker2)
-    plt.title(trtitle,fontweight='bold')
-    plt.legend(loc='best')
-    
-    import datetime; today = datetime.date.today()
-    plt.xlabel("数据来源：新浪/stooq/fred，基于"+ticker_name(mktidx)+'，'+str(today))
-    
-    plt.gca().set_facecolor('whitesmoke')
-    plt.show()
-    
-    return  betas1,betas2  
-    
-if __name__=='__main__':
-    yearlist=['2013','2014','2015','2016','2017','2018','2019']
-    compare2_betas_yearly('AMZN','WMT','^GSPC',yearlist)    
-    compare2_betas_yearly('601857.SS','600036.SS','000001.SS',yearlist)
-
-#==============================================================================
-#==============================================================================
-#==============================================================================