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

build/lib/build/lib/siat/security_trend.py

@@ -1,402 +0,0 @@
-# -*- 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
-
-#==============================================================================
-
-#==============================================================================
-#==============================================================================
-#==============================================================================
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