siat 3.10.75__py3-none-any.whl → 3.10.125__py3-none-any.whl

siat/security_prices.py

@@ -131,12 +131,17 @@ if __name__=='__main__':
     ticker=['600519','000858']
     ticker_type='bond'
     
-    fromdate="2024-1-1"
-    todate="2024-4-1"
+    ticker='GEM25.CME'
+    
+    ticker=['^SPX']
+    
+    fromdate="2025-1-1"
+    todate="2025-6-1"
     adj=False
     retry_count=3
     pause=1
     source='auto'
+    ticker_type='auto'
 
     prices=get_prices(ticker,fromdate,todate,ticker_type=ticker_type)
 
@@ -151,6 +156,12 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
     retry_count：网络失败时的重试次数，仅用于雅虎
     pause：每次重试前的间隔秒数，仅用于雅虎
     """
+    # yfinance可用性
+    YF=False
+    # pandas_datareader对yahoo可用性
+    PDR_yahoo=False
+    
+    prices=None
     
     #检查日期期间的合理性
     result,start,end=check_period(fromdate,todate)
@@ -178,6 +189,7 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
                     return prices
                 else:
                     prices2=remove_timezone(prices)
+                    #prices2=remove_df_index_timezone(prices)
                     return prices2 #找到有效数据就返回，否则继续       
 
     if source in ['auto','stooq']:
@@ -185,7 +197,7 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
         #注意stooq代码与新浪/stooq的不同
         print("  Trying to capture info from stooq for",ticker)
         try:
-            prices=get_price_stooq(ticker,fromdate,todate) #仅支持单只证券
+            prices=get_prices_stooq(ticker,fromdate,todate) #仅支持单只证券
             #prices=get_prices_stooq(ticker,fromdate,todate)?
         except:
             print("    #Warning(get_prices): info retrieving failed from stooq for",ticker)
@@ -198,6 +210,7 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
                     print("    #Warning(get_prices): zero record found for",ticker)
                 else:
                     prices2=remove_timezone(prices)
+                    #prices2=remove_df_index_timezone(prices)
                     return prices2 #找到有效数据就返回，否则继续      
 
     if source in ['auto','yahoo']:
@@ -205,8 +218,13 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
         #由于雅虎无法访问，建议暂时关闭，2021-10-24
         #抓取证券（列表）价格，需要调整收盘价：yfinance优先，线程极易出错，先尝试关闭线程
         try:
-            print("  Trying to capture info from Yahoo Finance using non-threads")
-            prices=get_prices_yf(ticker,start,end,threads=False) #支持多个证券
+            if YF:
+                print("  Trying to capture info from Yahoo Finance using non-threads")
+                prices=get_prices_yf(ticker,start,end,threads=False) #支持多个证券
+            else:
+                print("  Trying to capture info from Yahoo Finance ...")
+                prices=get_prices_yq(ticker,start,end)
+                
         except:
             print("    #Warning(get_prices): retrieving using non-threads failed from yahoo")
         else:
@@ -218,12 +236,14 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
                     print("    #Warning(get_prices): zero record found")
                 else:
                     prices2=remove_timezone(prices)
+                    #prices2=remove_df_index_timezone(prices)
                     return prices2 #找到有效数据就返回，否则继续      
 
         #抓取证券（列表）价格，需要调整收盘价：yfinance优先，尝试打开线程
         try:
-            print("  Trying to capture info from Yahoo Finance using threads")
-            prices=get_prices_yf(ticker,start,end,threads=True) #支持多个证券
+            if YF:
+                print("  Trying to capture info from Yahoo Finance using threads")
+                prices=get_prices_yf(ticker,start,end,threads=True) #支持多个证券
         except:
             print("    #Warning(get_prices): retrieving using threads failed from yahoo")
         else:
@@ -235,12 +255,14 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
                     print("    #Warning(get_prices): zero record found")
                 else:
                     prices2=remove_timezone(prices)
+                    #prices2=remove_df_index_timezone(prices)
                     return prices2 #找到有效数据就返回，否则继续        
     
         #抓取证券（列表）价格，不考虑是否需要调整收盘价：pandas_datareader，使用雅虎
         try:    
             print("  Trying to capture info from Yahoo Finance traditionally")
-            prices=get_prices_yahoo(ticker,start,end,retry_count=retry_count,pause=pause)
+            if PDR_yahoo:
+                prices=get_prices_yahoo(ticker,start,end,retry_count=retry_count,pause=pause)
         except:    
             print("    #Warning(get_prices): info retrieving failed from Yahoo traditionally")    
             return None    
@@ -254,6 +276,7 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
                 else:
                     #print("  Successfully retrieved",num,"records for",ticker)
                     prices2=remove_timezone(prices)
+                    #prices2=remove_df_index_timezone(prices)
                     return prices2        
     
     #若能够抓取到数据均已提前返回，到达此处时表面未能抓取到任何数据
@@ -280,6 +303,7 @@ def get_price(ticker,fromdate,todate,adj=False,source='auto',ticker_type='auto')
     df=get_prices(ticker,fromdate,todate,adj=adj,source=source,ticker_type=ticker_type)
     
     df2=remove_timezone(df)
+    #df2=remove_df_index_timezone(df)
     
     return df2
 
@@ -340,9 +364,15 @@ if __name__=='__main__':
     ticker='430047.BJ'
     ticker='600519.SS'
     ticker='000001.SZ'
-    fromdate='2022-11-1'
-    todate='2022-12-15'
-    adjust=''
+    
+    ticker='GEM25.CME'
+    
+    fromdate='2025-1-1'
+    todate='2025-6-15'
+    
+    adjust=''; ticker_type='auto'
+    
+    get_price_ak_em(ticker,fromdate,todate)
 
 #在common中定义SUFFIX_LIST_CN
 
@@ -564,9 +594,14 @@ if __name__=='__main__':
     ticker='XAUUSD' #一盎司黄金的现货美元价格
     
     ticker=['AAPL','MSFT']
-    
     start='2025-6-1'; end='2025-6-1' 
     
+    ticker='BMW.DE'
+    start='2022-6-1'; end='2025-6-15' 
+    
+    ticker='GEM25.CME'
+    start='2024-6-1'; end='2025-6-15' 
+    
     p=get_price_stooq(ticker,start,end)
 
 def get_price_stooq(ticker,start,end):
@@ -645,6 +680,88 @@ if __name__=='__main__':
     get_price_stooq('^N225','2021-11-1','2021-11-5')
     get_price_stooq('^DJI','2021-11-1','2021-11-5')    
 
+#==============================================================================
+if __name__=='__main__':
+    ticker=['AAPL','MSFT']
+    ticker=['^SPX']
+    fromdate,todate='2025-1-1','2025-1-31'
+    
+    prices=get_prices_stooq(ticker,fromdate,todate)
+
+def get_prices_stooq(ticker,fromdate,todate):
+    """
+    功能：获取stooq股票或指数的历史行情，多个股票
+    注意：stooq不能抓取深交所和北交所的股票
+    """
+    #检查是否为多个证券:单个证券代码
+    if isinstance(ticker,str):
+        if security_in_China(ticker):
+            df=get_price_ak(ticker,fromdate,todate)
+        else:
+            df=get_price_stooq(ticker,fromdate,todate)
+        return df
+    
+    #检查是否为多个证券:空的列表
+    if isinstance(ticker,list) and len(ticker) == 0:
+        pass
+        return None        
+    
+    #检查是否为多个证券:列表中只有一个代码
+    if isinstance(ticker,list) and len(ticker) == 1:
+        ticker1=ticker[0]
+        #抓取单个证券
+        if security_in_China(ticker1):
+            df=get_price_ak(ticker1,fromdate,todate)
+        else:
+            df=get_price_stooq(ticker1,fromdate,todate)
+        return df       
+    
+    import pandas as pd
+    #处理列表中的第一个证券
+    i=0
+    df=None
+    while df is None:
+        #注意列表序号超界
+        if i <= len(ticker)-1:
+            t=ticker[i]
+        else:
+            return df
+
+        #抓取单个证券
+        if security_in_China(t):
+            df=get_price_ak(t,fromdate,todate)
+        else:
+            df=get_price_stooq(t,fromdate,todate)
+            
+        if not (df is None):
+            columns=create_tuple_for_columns(df,t)
+            df.columns=pd.MultiIndex.from_tuples(columns)
+        else:
+            i=i+1
+            
+    if (i+1) == len(ticker):
+        pass
+        #已经到达代码列表末尾
+        return df
+        
+    #处理列表中的其余证券
+    if i+1 <= len(ticker)-1:
+        for t in ticker[(i+1):]:
+            #抓取单个证券
+            if security_in_China(t):
+                df=get_price_ak(t,fromdate,todate)
+            else:
+                df=get_price_stooq(t,fromdate,todate)
+                
+            if not (dft is None):
+                columns=create_tuple_for_columns(dft,t)
+                dft.columns=pd.MultiIndex.from_tuples(columns)
+            
+                df=pd.merge(df,dft,how='inner',left_index=True,right_index=True)
+     
+    return df
+
+
 #==============================================================================
 if __name__=='__main__':
     ticker='600340.SS'
@@ -981,8 +1098,9 @@ if __name__=='__main__':
 #==============================================================================
 if __name__=='__main__':
     symbol='AAPL'
+    symbol='GEM25.CME'
     fromdate='2024-5-1'
-    todate='2024-5-20'
+    todate='2025-5-20'
     adjust="qfq"
     
     get_price_ak_us(symbol, fromdate, todate, adjust)
@@ -1187,7 +1305,11 @@ def get_prices_ak(ticker,fromdate,todate,adjust='none',ticker_type='auto'):
     i=0
     df=None
     while df is None:
-        t=ticker[i]
+        if i <= len(ticker)-1:
+            t=ticker[i]
+        else:
+            return df
+
         #抓取单个证券
         df=get_price_ak(t,fromdate,todate,adjust=adjust,ticker_type=ticker_type)
         if not (df is None):
@@ -1200,14 +1322,15 @@ def get_prices_ak(ticker,fromdate,todate,adjust='none',ticker_type='auto'):
         return df
         
     #处理列表中的其余证券
-    for t in ticker[(i+1):]:
-        #抓取单个证券
-        dft=get_price_ak(t,fromdate,todate,adjust=adjust,ticker_type=ticker_type)
-        if not (dft is None):
-            columns=create_tuple_for_columns(dft,t)
-            dft.columns=pd.MultiIndex.from_tuples(columns)
-        
-        df=pd.merge(df,dft,how='inner',left_index=True,right_index=True)
+    if i+1 <= len(ticker)-1:
+        for t in ticker[(i+1):]:
+            #抓取单个证券
+            dft=get_price_ak(t,fromdate,todate,adjust=adjust,ticker_type=ticker_type)
+            if not (dft is None):
+                columns=create_tuple_for_columns(dft,t)
+                dft.columns=pd.MultiIndex.from_tuples(columns)
+            
+            df=pd.merge(df,dft,how='inner',left_index=True,right_index=True)
      
     return df
 
@@ -1387,7 +1510,7 @@ if __name__=='__main__':
 
 def get_prices_yf(ticker,start,end,threads=False):
     """
-    功能：从新浪/stooq抓取股价，使用yfinance(对非美股抓取速度快，但有时不太稳定)
+    功能：抓取股价，使用yfinance(对非美股抓取速度快，但有时不太稳定)
     输入：股票代码或股票代码列表，开始日期，结束日期
     ticker: 股票代码或股票代码列表。大陆股票代码加上后缀.SZ或.SS或.BJ，港股代码去掉前导0加后缀.HK
     start: 样本开始日期，尽量远的日期，以便取得足够多的原始样本，yyyy-mm-dd
@@ -1462,6 +1585,9 @@ if __name__=='__main__':
     ticker='AAPL'
     start='2020-12-1'; end='2025-1-31'
 
+    ticker='GEM25.CME'
+    start='2025-1-1'; end='2025-5-30'
+    
     p=get_price_yq(ticker,start,end)
     
 def get_price_yq(ticker,start,end):
@@ -1539,6 +1665,78 @@ def get_price_yq(ticker,start,end):
     return p
 
 #==============================================================================
+if __name__=='__main__':
+    ticker=['600519.SS','000858.SZ']
+    fromdate='2020-12-1'
+    todate='2021-1-31'
+    
+    ticker=['ICBC','SNP','HNP']
+    fromdate,todate='2025-6-1','2025-6-20'    
+
+    
+    prices=get_prices_yq(ticker,fromdate,todate)
+
+def get_prices_yq(ticker,fromdate,todate):
+    """
+    功能：获取yahooquery股票或指数的历史行情，多个股票
+    """
+    #检查是否为多个证券:单个证券代码
+    if isinstance(ticker,str):
+        df=get_price_yq(ticker,fromdate,todate)
+        return df
+    
+    #检查是否为多个证券:空的列表
+    if isinstance(ticker,list) and len(ticker) == 0:
+        pass
+        return None        
+    
+    #检查是否为多个证券:列表中只有一个代码
+    if isinstance(ticker,list) and len(ticker) == 1:
+        ticker1=ticker[0]
+        #抓取单个证券
+        df=get_price_yq(ticker1,fromdate,todate)
+        return df       
+    
+    import pandas as pd
+    #处理列表中的第一个证券
+    i=0
+    df=None
+    while df is None:
+        if i <= len(ticker)-1:
+            t=ticker[i]
+        else:
+            return df
+        
+        #抓取单个证券
+        df=get_price_yq(t,fromdate,todate)
+        if not (df is None):
+            columns=create_tuple_for_columns(df,t)
+            df.columns=pd.MultiIndex.from_tuples(columns)
+        else:
+            i=i+1
+            
+    if (i+1) == len(ticker):
+        pass
+        #已经到达代码列表末尾
+        return df
+        
+    #处理列表中的其余证券
+    if i+1 <= len(ticker)-1:
+        for t in ticker[(i+1):]:
+            #抓取单个证券
+            dft=get_price_yq(t,fromdate,todate)
+            if not (dft is None):
+                columns=create_tuple_for_columns(dft,t)
+                dft.columns=pd.MultiIndex.from_tuples(columns)
+            
+            df=pd.merge(df,dft,how='inner',left_index=True,right_index=True)
+     
+    return df
+
+if __name__=='__main__':
+    dfm=get_prices_yq(['600519.SS','000858.SZ'],'2020-12-1','2021-1-31')
+    dfm2=get_prices_yq(['600519.SS','AAPL'],'2020-12-1','2021-1-31')
+#==============================================================================
 if __name__=='__main__':
     ticker='AMZN'
     ticker='AAPL'
@@ -2412,6 +2610,7 @@ if __name__ =="__main__":
     portfolio={'Market':('US','^GSPC'),'AAPL':1}
     portfolio={'Market':('China','^HSI'),'0823.HK':1.0}
     portfolio={'Market':('China','000001.SS'),'000661.SZ':2,'603392.SS':3,'300601.SZ':4}
+    portfolio={'Market':('US','^SPX'),'^SPX':1}
     
     fromdate='2019-7-19'
     todate='2020-7-20'

siat/security_trend2.py

@@ -289,7 +289,7 @@ def security_trend(ticker,indicator='Close',adjust='', \
             fromdate=date_adjust(todate,adjust=-60)
         if not isinstance(mav,list):
             mav=[mav]
-        df=candlestick(stkcd=tickers[0],fromdate=fromdate,todate=todate,mav=mav, \
+        df=candlestick(stkcd=tickers[0],start=fromdate,end=todate,mav=mav, \
                        ticker_type=ticker_type,facecolor=facecolor,loc=loc1)
         return df
 
@@ -301,7 +301,7 @@ def security_trend(ticker,indicator='Close',adjust='', \
         if start in ['default']:
             fromdate=date_adjust(todate,adjust=-7)
         
-        df=candlestick_demo(tickers[0],fromdate=fromdate,todate=todate, \
+        df=candlestick_demo(tickers[0],start=fromdate,end=todate, \
                             ticker_type=ticker_type,facecolor=facecolor)
         return df
 
@@ -570,7 +570,7 @@ def security_trend(ticker,indicator='Close',adjust='', \
             print("attention_point=",attention_point)
         
         # ret_type要使用复权价
-        df=compare_rar_security(ticker=tickers,start=fromdate,end=todate,rar=measures, \
+        df=compare_rar_security(ticker=tickers,start=fromdate,end=todate,indicator=measures, \
                                  ret_type=ret_type,RF=RF,regression_period=regression_period, \
                                      attention_value=attention_value,attention_value_area=attention_value_area, \
                                      attention_point=attention_point,attention_point_area=attention_point_area, \

siat/stock.py

@@ -638,6 +638,17 @@ if __name__ =="__main__":
     ticker='XAUUSD'
     indicator='Close'
     fromdate='2024-5-1'; todate='2024-5-20'
+    
+    # 测试组7
+    ticker='BMW.DE'
+    indicator='Close'
+    fromdate='2025-6-1'; todate='2025-6-15'
+    
+    # 测试组8
+    ticker='GEM25.CME'
+    indicator='Close'
+    fromdate='2025-1-1'; todate='2025-6-15'
+    
     zeroline=False
     attention_value='';attention_value_area=''
     attention_point='';attention_point_area=''
@@ -1968,6 +1979,27 @@ if __name__ =="__main__":
     start="2020-1-1"
     end="2020-6-30"
     
+    # 测试组3
+    tickers=["MBG.DE", "BMW.DE"]
+    measure='Close'
+    start="2025-6-1"
+    end="2025-6-15"    
+    
+    attention_value='';attention_value_area=''
+    attention_point='';attention_point_area=''
+    adjust=''
+    axhline_value=0;axhline_label=''
+    preprocess='none';linewidth=1.5
+    scaling_option='start'
+    plus_sign=False
+    band_area=''
+    graph=True;loc='best';facecolor='whitesmoke'
+    annotate=False;annotate_value=False
+    smooth=True
+    source='auto'
+    mark_top=True;mark_bottom=True
+    mark_start=False;mark_end=False
+    ticker_type='auto'
     
 def compare_msecurity(tickers,measure,start,end, \
                         attention_value='',attention_value_area='', \

siat/translate.py

@@ -1243,7 +1243,9 @@ def codetranslate0(code):
         ["VOO",'Vanguard标普500ETF'],['VOOG','Vanguard标普500成长优先ETF'],
         ["VOOV",'Vanguard标普500价值优先ETF'],['IVV','iShares标普500ETF'],        
         ["DGT",'SPDR Global Dow ETF'],['ICF','iShares C&S REIT ETF'], 
-        ["FRI",'FT S&P REIT Index Fund'],['IEMG','iShares核心MSCI新兴市场ETF'],    
+        #["FRI",'FT S&P REIT Index Fund'],
+        ["FRI",'FT标普REIT指数基金'],
+        ['IEMG','iShares核心MSCI新兴市场ETF'],    
         ['245710.KS','KINDEX越南VN30指数ETF'],['02801.HK','iShares核心MSCI中国指数ETF'],
         
         #基金REITs
@@ -1292,7 +1294,7 @@ def codetranslate0(code):
         ["S=F",'CBT大豆期货'],["C=F",'CBT玉米期货'],
         ["ES=F",'CME标普500指数期货'],["YM=F",'CBT道指期货'],
         ["NQ=F",'CME纳指100期货'],["RTY=F",'罗素2000指数期货'],
-        ["ZB=F",'10年期以上美债期货'],["ZT=F",'2年期美债期货'],
+        ["ZB=F",'30年期美债期货'],["ZT=F",'2年期美债期货'],
         ["ZF=F",'5年期美债期货'],["ZN=F",'10年期美债期货'],        
         
         #======================================================================
@@ -2136,7 +2138,7 @@ def codetranslate1(code):
         ["S=F",'CBT大豆期货'],["C=F",'CBT玉米期货'],
         ["ES=F",'CME标普500指数期货'],["YM=F",'CBT道指期货'],
         ["NQ=F",'CME纳指100期货'],["RTY=F",'罗素2000指数期货'],
-        ["ZB=F",'10年期以上美债期货'],["ZT=F",'2年期美债期货'],
+        ["ZB=F",'30年期美债期货'],["ZT=F",'2年期美债期货'],
         ["ZF=F",'5年期美债期货'],["ZN=F",'10年期美债期货'],        
         
         #======================================================================
@@ -2405,6 +2407,7 @@ if __name__=='__main__':
     fund='sh510170'
     fund='018021.SS'
     fund='320019.SS'
+    fund='510580'
     
     get_fund_name_china2('sh510170')
     get_fund_name_china2(fund)
@@ -2507,8 +2510,9 @@ def get_bond_name_china(bond):
 if __name__=='__main__':
     bond="185851.SS"
     bond="102229.SZ"
+    bond='sh111015'
     
-    get_exchange_bond_name_china("018021.SS")
+    get_exchange_bond_name_china(bond)
 
 def get_exchange_bond_name_china(bond):
     """
@@ -2523,10 +2527,12 @@ def get_exchange_bond_name_china(bond):
         bond2=bond1[:6]
         bond3='sh'+bond2
         
-    if '.sz' in bond1:
+    elif '.sz' in bond1:
         bond2=bond1[:6]
         bond3='sz'+bond2        
-    
+    else:
+        bond3=bond1
+        
     import akshare as ak
     df=ak.bond_zh_hs_spot()
     try:
@@ -2540,8 +2546,9 @@ def get_exchange_bond_name_china(bond):
 if __name__=='__main__':
     bond="185851.SS"
     bond="102229.SZ"
+    bond="sh111015"
     
-    get_exchange_bond_name_china2("018021.SS")
+    get_exchange_bond_name_china2(bond)
 
 def get_exchange_bond_name_china2(bond):
     """
@@ -2557,10 +2564,12 @@ def get_exchange_bond_name_china2(bond):
         bond2=bond1[:6]
         bond3='sh'+bond2
         
-    if '.sz' in bond1:
+    elif '.sz' in bond1:
         bond2=bond1[:6]
         bond3='sz'+bond2        
-    
+    else:
+        bond3=bond1
+        
     import akshare as ak
     import pandas as pd
     

siat/var_model_validation.py

@@ -262,6 +262,7 @@ def backtest_VaR(tickerlist,sharelist,today,future_days=1, \
         result="高估"
     
     #打印结果
+    """
     print("\n======= VaR模型：回溯测试 =======")
     #print("投资组合          :",ticker_name(tickerlist))
     print("投资组合          :",end='')
@@ -285,6 +286,36 @@ def backtest_VaR(tickerlist,sharelist,today,future_days=1, \
     print("损失超过VaR的实际天数  :",threshhold_actual,'天')  
     print("实际的置信度水平       : ",round(alpha_actual*100,2),"%",sep='')
     print("模型验证的回溯测试结果 :",result)
+    """
+    
+    titletxt="VaR模型：回溯测试"
+    import datetime as dt; todaydt=dt.date.today()
+    footnote="数据来源：新浪/stooq，"+str(todaydt)
+    ticker_name_list=list2str(ticker_name(tickerlist,'bond'))
+    shares=sharelist
+    if len(sharelist)==1: shares=sharelist[0]
+    
+    data_dict={'持有资产：':ticker_name_list, \
+               '资产配置：':shares, \
+               '持有日期：':today, \
+               '预计持有天数：':str(future_days)+'天', \
+               '置信度：':str(alpha*100)+'%', \
+               "使用的历史样本数据：":str(pastyears)+"年", \
+               "使用的VaR模型：":type, \
+                   
+               "*** 在险价值 ***":'', \
+               "VaR金额：":format(round(VaR,2),','), \
+               "VaR比率：":str(round(ratio*100,2))+"%", \
+               
+               "*** 回溯测试 ***":'', \
+               "期望的置信度水平：":str(alpha*100)+"%", \
+               "损失超过VaR的预期天数：":str(threshhold_expected)+'天', \
+               "损失超过VaR的实际天数：":str(threshhold_actual)+'天', \
+               "实际的置信度水平：":str(round(alpha_actual*100,2))+"%", \
+               "模型验证的回溯测试结果：":result}
+    
+    print2CSS(data_dict,titletxt=titletxt,footnote=footnote)
+    
     
     return
     
@@ -347,6 +378,7 @@ def backtest_VaR_portfolio(portfolio,today,future_days=1, \
         result="高估"
     
     #打印结果
+    """
     print("\n======= VaR模型：回溯测试 =======")
     print("投资组合          :",tickerlist)
     print("成分股票配置      :",sharelist)
@@ -367,6 +399,33 @@ def backtest_VaR_portfolio(portfolio,today,future_days=1, \
     print("损失超过VaR的实际天数  :",threshhold_actual,'天')  
     print("实际的置信度水平       : ",round(alpha_actual*100,2),"%",sep='')
     print("模型验证的回溯测试结果 :",result)
+    """
+    
+    titletxt="VaR模型：回溯测试"
+    import datetime as dt; todaydt=dt.date.today()
+    footnote="数据来源：新浪/stooq，"+str(todaydt)
+    
+    data_dict={'投资组合：':portfolio_name(portfolio), \
+               '持有日期：':today, \
+               "当前头寸：":format(round(position,2),','), \
+               '预计持有天数：':str(future_days)+'天', \
+               '置信度水平：':str(alpha*100)+'%', \
+               "使用的历史样本数据：":str(pastyears)+"年", \
+               "使用的VaR模型：":type, \
+                   
+               "*** 在险价值 ***":'', \
+               "VaR金额：":format(round(VaR,2),','), \
+               "VaR比率：":str(round(ratio*100,2))+"%", \
+               
+               "*** 回溯测试 ***":'', \
+               "期望的置信度水平：":str(alpha*100)+"%", \
+               "损失超过VaR的预期天数：":str(threshhold_expected)+'天', \
+               "损失超过VaR的实际天数：":str(threshhold_actual)+'天', \
+               "实际的置信度水平：":str(round(alpha_actual*100,2))+"%", \
+               "模型验证的回溯测试结果：":result}
+    
+    print2CSS(data_dict,titletxt=titletxt,footnote=footnote)
+    
     
     return
     

{siat-3.10.75.dist-info → siat-3.10.125.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siat
-Version: 3.10.75
+Version: 3.10.125
 Summary: Securities Investment Analysis Tools (siat)
 Home-page: https://pypi.org/project/siat/
 Author: Prof. WANG Dehong, International Business School, Beijing Foreign Studies University