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

siat/security_prices.py

@@ -571,7 +571,45 @@ if __name__=='__main__':
     
     #有问题
     cvt_stooq_ticker('002504.SZ')
-#==================================================================================
+#==============================================================================
+if __name__=='__main__':
+    ticker='1YCNY.B'
+    
+    market_RF("1YCNY.B")
+    
+def market_RF(ticker='1YCNY.B',start='MRW',end='today',printout=True):
+    """
+    功能：获取一个经济体市场的无风险收益率，以国债收益率替代。
+        默认1年期国债收益率最近一周的均值    
+    """
+    start,end=start_end_preprocess(start,end)
+    
+    #屏蔽函数内print信息输出的类
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+
+    with HiddenPrints():    
+        RFdf=get_price_stooq(ticker,start=start,end=end)
+
+    if RFdf is None:
+        print(f"  #Error(market_RF): yield {ticker} not found or unavailable in the period")
+        return None
+    
+    RF=round(RFdf['Close'].mean()/100,6)
+
+    if printout:
+        print(f"  {round(RF*100,4)}% in average from {start} to {end}")
+
+    return RF
+
+#==============================================================================
 
 if __name__=='__main__':
     ticker='AAPL'
@@ -604,7 +642,7 @@ if __name__=='__main__':
     
     p=get_price_stooq(ticker,start,end)
 
-def get_price_stooq(ticker,start,end='today'):
+def get_price_stooq(ticker,start='MRM',end='today'):
     """
     从stooq抓取单个股价
     """
@@ -2451,12 +2489,14 @@ if __name__ =="__main__":
     vdf=rolling_ret_volatility(retdf, period) 
 
 #==============================================================================
-def expanding_ret_volatility(df0,basedate):
+def expanding_ret_volatility_x(df0,basedate):
     """
     功能：基于日收益率数据集，从起始日期basedate开始的收益率波动风险扩展窗口序列。
     输入：
     日收益率数据集df。
     输出：扩展调整收益率波动风险序列，按照日期升序排列。
+    
+    注意：可能存在计算错误，暂时废弃！！！
     """
     df0["Daily Ret"]=df0['Close'].pct_change()
     df0["Daily Adj Ret"]=df0['Adj Close'].pct_change()
@@ -2485,6 +2525,59 @@ def expanding_ret_volatility(df0,basedate):
     
     return df
 
+#==============================================================================
+def expanding_ret_volatility(df0,basedate,min_periods=1):
+    """
+    功能：基于日收益率数据集，从起始日期basedate开始的收益率波动风险扩展窗口序列。
+    输入：
+    日收益率数据集df。
+    输出：扩展调整收益率波动风险序列，按照日期升序排列。
+    
+    新算法：解决开始部分过度波动问题
+    """
+    collist=list(df0)
+
+    if not ("Daily Ret" in collist):
+        df0["Daily Ret"]=df0['Close'].pct_change()
+        #df0["Daily Ret"]=df0["Daily Ret"].fillna(method='bfill', axis=1)
+        df0["Daily Ret"]=df0["Daily Ret"].interpolate()
+
+    if not ("Daily Adj Ret" in collist):    
+        df0["Daily Adj Ret"]=df0['Adj Close'].pct_change()
+        #df0["Daily Adj Ret"]=df0["Daily Adj Ret"].fillna(method='bfill', axis=1)
+        df0["Daily Adj Ret"]=df0["Daily Adj Ret"].interpolate()
+    
+    import pandas as pd
+    basedate_pd=pd.to_datetime(basedate)
+    df=df0[df0.index >= basedate_pd]
+    
+    # 计算Exp Ret和Exp Adj Ret
+    if not ('Exp Ret' in collist):
+        df['Exp Ret'] = (1 + df['Daily Ret']).cumprod() - 1
+        df['Exp Ret%'] = df['Exp Ret'] * 100.0
+        
+    if not ('Exp Adj Ret' in collist):
+        df['Exp Adj Ret'] = (1 + df['Daily Adj Ret']).cumprod() - 1
+        df['Exp Adj Ret%'] = df['Exp Adj Ret'] * 100.0  
+        
+    #计算扩展窗口调整收益率波动风险：基于普通收益率
+    retname1="Exp Ret Volatility"
+    retname2="Exp Ret Volatility%"
+    #import numpy as np
+    
+    #df[retname1]=df["Exp Ret"].expanding(min_periods=min_periods).std(ddof=1)
+    df[retname1]=df["Exp Ret"].expanding().std(ddof=1)
+    df[retname2]=df[retname1]*100.0
+    
+    #计算扩展窗口调整收益率风险：基于调整收益率
+    retname3="Exp Adj Ret Volatility"
+    retname4="Exp Adj Ret Volatility%"
+    #df[retname3]=df["Exp Adj Ret"].expanding(min_periods=min_periods).std(ddof=1)
+    df[retname3]=df["Exp Adj Ret"].expanding().std(ddof=1)
+    df[retname4]=df[retname3]*100.0
+    
+    return df
+
 if __name__ =="__main__":
     basedate='2019-1-1'
     pricedf=get_price('000002.SZ','2018-1-1','2020-3-16')    
@@ -2526,6 +2619,16 @@ if __name__ =="__main__":
     df=get_price("000002.SZ","2020-1-1","2020-3-16")
     print(lpsd(df['Close']))
 
+import numpy as np
+
+def downside_std(returns, target_return=0):
+    """
+    功能：计算下偏标准差（下方风险）
+    注意：暂时弃用，因为容易引起float divided zero问题。
+    """
+    downside_diff = np.maximum(target_return - returns, 0)
+    return np.sqrt(np.mean(downside_diff ** 2))
+
 #==============================================================================
 def rolling_ret_lpsd(df, period="Weekly"):
     """
@@ -2551,6 +2654,7 @@ def rolling_ret_lpsd(df, period="Weekly"):
     retname2=retname1+'%'
     #import numpy as np
     df[retname1]=df[periodret].rolling(rollingnum,min_periods=1).apply(lambda x: lpsd(x))
+    #df[retname1]=df[periodret].rolling(rollingnum,min_periods=1).apply(downside_std, raw=True)
     df[retname2]=df[retname1]*100.0
     
     #计算滚动下偏标准差：基于调整收益率
@@ -2558,6 +2662,7 @@ def rolling_ret_lpsd(df, period="Weekly"):
     retname3=period+" Adj Ret LPSD"
     retname4=retname3+'%'
     df[retname3]=df[periodadjret].rolling(rollingnum,min_periods=1).apply(lambda x: lpsd(x))
+    #df[retname3]=df[periodadjret].rolling(rollingnum,min_periods=1).apply(downside_std, raw=True)
     df[retname4]=df[retname3]*100.0
     
     return df
@@ -2569,12 +2674,14 @@ if __name__ =="__main__":
     vdf=rolling_ret_lpsd(retdf, period) 
 
 #==============================================================================
-def expanding_ret_lpsd(df0,basedate):
+def expanding_ret_lpsd_x(df0,basedate,min_periods=1):
     """
     功能：基于日收益率数据集，从起始日期basedate开始的收益率损失风险扩展窗口序列。
     输入：
     日收益率数据集df。
     输出：扩展调整收益率波动风险序列，按照日期升序排列。
+    
+    注意：算法可能存在错误，暂时废弃！！！
     """
     df0["Daily Ret"]=df0['Close'].pct_change()
     df0["Daily Adj Ret"]=df0['Adj Close'].pct_change()
@@ -2588,7 +2695,7 @@ def expanding_ret_lpsd(df0,basedate):
     retname2=retname1+'%'
     import numpy as np
     #df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x)*np.sqrt(len(x)))
-    df[retname1]=df["Daily Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x))
+    df[retname1]=df["Daily Ret"].expanding(min_periods=min_periods).apply(lambda x: lpsd(x))
     #df[retname1]=df["Daily Ret"].expanding(min_periods=5).apply(lambda x: lpsd(x))
     df[retname2]=df[retname1]*100.0
     
@@ -2596,12 +2703,67 @@ def expanding_ret_lpsd(df0,basedate):
     retname3="Exp Adj Ret LPSD"
     retname4=retname3+'%'
     #df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x)*np.sqrt(len(x)))
-    df[retname3]=df["Daily Adj Ret"].expanding(min_periods=1).apply(lambda x: lpsd(x))
+    df[retname3]=df["Daily Adj Ret"].expanding(min_periods=min_periods).apply(lambda x: lpsd(x))
     #df[retname3]=df["Daily Adj Ret"].expanding(min_periods=5).apply(lambda x: lpsd(x))
     df[retname4]=df[retname3]*100.0
     
     return df
 
+#==============================================================================
+def expanding_ret_lpsd(df0,basedate,min_periods=1):
+    """
+    功能：基于日收益率数据集，从起始日期basedate开始的收益率损失风险扩展窗口序列。
+    输入：
+    日收益率数据集df。
+    输出：扩展调整收益率波动风险序列，按照日期升序排列。
+    
+    新算法：解决开始部分过度波动的诡异现象
+    """
+    collist=list(df0)
+    
+    if not ("Daily Ret" in collist):
+        df0["Daily Ret"]=df0['Close'].pct_change()
+        #df0["Daily Ret"]=df0["Daily Ret"].fillna(method='bfill', axis=1)
+        df0["Daily Ret"]=df0["Daily Ret"].interpolate()
+
+    if not ("Daily Adj Ret" in collist):
+        df0["Daily Adj Ret"]=df0['Adj Close'].pct_change()
+        #df0["Daily Adj Ret"]=df0["Daily Adj Ret"].fillna(method='bfill', axis=1)
+        df0["Daily Adj Ret"]=df0["Daily Adj Ret"].interpolate()
+    
+    import pandas as pd
+    basedate_pd=pd.to_datetime(basedate)
+    df=df0[df0.index >= basedate_pd]
+    
+    # 计算Exp Ret和Exp Adj Ret
+    if not ('Exp Ret' in collist):
+        df['Exp Ret'] = (1 + df['Daily Ret']).cumprod() - 1
+        df['Exp Ret%'] = df['Exp Ret'] * 100.0
+        
+    if not ('Exp Adj Ret' in collist):
+        df['Exp Adj Ret'] = (1 + df['Daily Adj Ret']).cumprod() - 1
+        df['Exp Adj Ret%'] = df['Exp Adj Ret'] * 100.0  
+    
+    #计算扩展窗口调整收益率下偏标准差：基于普通收益率
+    retname1="Exp Ret LPSD"
+    retname2=retname1+'%'
+    import numpy as np
+    #df[retname1]=df["Exp Ret"].expanding(min_periods=min_periods).apply(lambda x: lpsd(x))
+    df[retname1]=df["Exp Ret"].expanding().apply(lambda x: lpsd(x))
+    #df[retname1]=df["Exp Ret"].expanding().apply(downside_std, raw=True)
+    df[retname2]=df[retname1]*100.0
+    
+    #计算扩展窗口调整下偏标准差：基于调整收益率
+    retname3="Exp Adj Ret LPSD"
+    retname4=retname3+'%'
+    #df[retname3]=df["Exp Adj Ret"].expanding(min_periods=min_periods).apply(lambda x: lpsd(x))
+    df[retname3]=df["Exp Adj Ret"].expanding().apply(lambda x: lpsd(x))
+    #df[retname3]=df["Exp Adj Ret"].expanding().apply(downside_std, raw=True)
+    df[retname4]=df[retname3]*100.0
+    
+    return df
+
+
 if __name__ =="__main__":
     basedate='2019-1-1'
     pricedf=get_price('000002.SZ','2018-1-1','2020-3-16')    

siat/security_trend2.py

@@ -575,7 +575,7 @@ def security_trend(ticker,indicator='Close',adjust='', \
                                      attention_value=attention_value,attention_value_area=attention_value_area, \
                                      attention_point=attention_point,attention_point_area=attention_point_area, \
                                          band_area=band_area, \
-                                 graph=graph,axhline_value=0,axhline_label='', \
+                                 graph=graph,axhline_value=0,axhline_label='',power=power, \
                                  loc1=loc1, \
                                  printout=printout, \
                                  sortby=sortby,trailing=trailing,trend_threshhold=trend_threshhold, \
@@ -599,7 +599,7 @@ def security_trend(ticker,indicator='Close',adjust='', \
                     attention_value=attention_value,attention_value_area=attention_value_area, \
                     attention_point=attention_point,attention_point_area=attention_point_area, \
                         band_area=band_area, \
-                graph=graph,facecolor=facecolor,loc=loc1, \
+                graph=graph,facecolor=facecolor,loc=loc1,power=power, \
                 annotate=annotate,annotate_value=annotate_value, \
                 mark_top=mark_top,mark_bottom=mark_bottom, \
                 mark_start=mark_start,mark_end=mark_end, \

siat/stock.py

@@ -566,13 +566,18 @@ def all_calculate(pricedf,ticker1,fromdate,todate,ticker_type='auto'):
     
     # 横向拼接合并
     result=pd.concat([df1a,df1b,df1c,df1d],axis=1,join='outer')
+    # 合并后产生的重复字段仅保留第一次出现的
+    result3 = result.loc[:, ~result.columns.duplicated(keep='first')]
+
     
     # 去掉重复的列，但要避免仅仅因为数值相同而去掉有用的列，比如误删'Close'列
+    """
     result1=result.T
     result1['item']=result1.index #在行中增加临时列名，避免误删
     result2=result1.drop_duplicates(subset=None,keep='first',ignore_index=False)
     result2.drop("item", axis=1, inplace=True) #去掉临时列名
     result3=result2.T
+    """
     
     return result3
 
@@ -649,7 +654,12 @@ if __name__ =="__main__":
     indicator='Close'
     fromdate='2025-1-1'; todate='2025-6-15'
     
-    zeroline=False
+    # 测试组9
+    ticker='JD'
+    indicator='Exp Ret%'
+    fromdate='2025-4-1'; todate='2025-6-30'
+    
+    zeroline=False; adjust=''
     attention_value='';attention_value_area=''
     attention_point='';attention_point_area=''
     average_value=False