siat 3.2.10__py3-none-any.whl → 3.2.16__py3-none-any.whl

siat/__init__.py

@@ -28,15 +28,12 @@ try:
     latest_list=latest_version.split('.')
     
     newest=True
-    if current_list[0] < latest_list[0]:
-        newest=False
-    elif current_list[1] < latest_list[1]:
-        newest=False
-    elif current_list[2] < latest_list[2]:
-        newest=False  
-    else:
-        pass
+    for i in range(3):
+        #print(i)
+        if int(current_list[i]) < int(latest_list[i]):
+            newest=False
     
+    """
     if not newest:
         print("The latest version of siat is",latest_version,'\n')
         print("*** If you expect to upgrade siat in Anaconda Prompt, use the instruction below:")
@@ -52,6 +49,15 @@ try:
     
         print("If you have done any of the above, restart the Python (eg. restarting the kernel)")
         print("Provided you still need additional help, please contact wdehong2000@163.com")
+    """
+    if not newest:
+        #print("The latest version of siat is",latest_version,'\n')
+        print("Now there is a newer version of siat",latest_version,'\n')
+        print("*** How to upgrade siat?")
+        print("Upgrade directly from official source? use command: upgrade_siat()")
+        print("Upgrade from Tsinghua? use command: upgrade_siat(alternative='tsinghua')")
+        print("Upgrade from Alibaba? use command: upgrade_siat(alternative='alibaba')")
+    
 except:
     pass
     

siat/assets_liquidity.py

@@ -111,7 +111,7 @@ def roll_spread_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -192,7 +192,7 @@ def amihud_illiquidity_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -338,7 +338,7 @@ def ps_liquidity_portfolio(portfolio,start,end,printout=True):
             '-'+str(sp.index[-1].day)            
         print("\n===== 投资组合的流动性风险 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -423,7 +423,7 @@ def plot_liquidity_monthly(portfolio,start,end,liquidity_type):
     ylabeltxt=ectranslate(liquidity_type)
     titletxt="证券流动性风险的月度指标"
     
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     if len(tickerlist)==1:
         product=str(ticker_name(tickerlist,'bond'))
     else:
@@ -521,7 +521,7 @@ def plot_liquidity_annual(portfolio,start,end,liquidity_type):
     ylabeltxt=ectranslate(liquidity_type)
     titletxt="证券流动性风险的年度指标"
 
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     if len(tickerlist)==1:
         product=str(ticker_name(tickerlist,'bond'))
     else:
@@ -565,7 +565,7 @@ def draw_liquidity(liqs):
     ylabeltxt=ectranslate(liqs['Type'][0])
     titletxt="证券流动性风险的滚动趋势"
     
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     if len(tickerlist)==1:
         product=str(ticker_name(tickerlist))
     else:
@@ -721,12 +721,12 @@ def compare_liquidity_rolling(portfolio1,portfolio2,start,end,liquidity_type,win
     ylabeltxt=ectranslate(liquidity_type)
     titletxt="证券流动性风险走势比较"
     
-    _,_,tickerlist1,sharelist1=decompose_portfolio(portfolio1)
+    _,_,tickerlist1,sharelist1,ticker_type1=decompose_portfolio(portfolio1)
     if len(tickerlist1)==1:
         product1=str(ticker_name(tickerlist1,'bond'))
     else:
         product1=str(ticker_name(tickerlist1,'bond'))+'，持仓'+str(sharelist1)    
-    _,_,tickerlist2,sharelist2=decompose_portfolio(portfolio2)
+    _,_,tickerlist2,sharelist2,ticker_type2=decompose_portfolio(portfolio2)
     if len(tickerlist2)==1:
         product2=str(ticker_name(tickerlist2,'bond'))
     else:

siat/capm_beta2.py

@@ -119,7 +119,7 @@ def regression_capm(ticker,start2,end, \
         mktidx=get_market_index_code(ticker)
     """
     if isinstance(ticker,dict):
-        _,mktidx,pftickerlist,_=decompose_portfolio(ticker)
+        _,mktidx,pftickerlist,_,ticker_type=decompose_portfolio(ticker)
         if 'auto' in mktidx.lower():
             mktidx=get_market_index_code(pftickerlist[0])
     else:

siat/common.py

@@ -432,6 +432,15 @@ if __name__ =="__main__":
     portfolio={'Market':('US','^GSPC'),'EDU':0.4,'TAL':0.3,'TEDU':0.2}
     
     portfolio={'Market':('China','000001.SS','股债基组合'),'600519.SS':50,'sh010504':150,'sh010504':300}
+    
+    Market={'Market':('China','000300.SS','股债基组合')}
+    Stocks={'600519.SS':0.4,#股票：贵州茅台
+            'sh010504':[0.3,'bond'],#05国债⑷
+            '010504':('fund',0.2),#招商稳兴混合C基金
+            }
+    portfolio=dict(Market,**Stocks)
+    
+    decompose_portfolio(portfolio)
 
 def decompose_portfolio(portfolio):
     """
@@ -439,6 +448,9 @@ def decompose_portfolio(portfolio):
     投资组合的结构：{'Market':('US','^GSPC'),'AAPL':0.5,'MSFT':0.3,'IBM':0.2}
     输入：投资组合
     输出：市场，市场指数，股票代码列表和份额列表
+    
+    注意：字典中相同的键会被合并为一个
+    新功能：分辨股票、债券和基金
     """
     #从字典中提取信息
     keylist=list(portfolio.keys()) #注意：字典中相同的键会被合并为一个
@@ -452,13 +464,49 @@ def decompose_portfolio(portfolio):
         plist=plist+[value]
     stocklist=slist[1:]    
     portionlist=plist[1:]
+    
+    #识别证券类别
+    stype_list=['auto','stock','bond','fund']
+    ticker_type=[]
+    new_portionlist=[]
+    for p in portionlist:
+        if isinstance(p,int) or isinstance(p,float):
+            ticker_type=ticker_type+['auto']
+            new_portionlist=new_portionlist+[p]
+        elif isinstance(p,list) or isinstance(p,tuple):
+            ptype=False; pportion=False
+            p0=p[0]; p1=p[1]
+            
+            if isinstance(p0,int) or isinstance(p0,float):
+                pportion=True
+                new_portionlist=new_portionlist+[p0]
+            elif isinstance(p0,str):
+                ptype=True
+                if p0 not in stype_list:
+                    p0='auto'
+                ticker_type=ticker_type+[p0]
+            
+            if isinstance(p1,int) or isinstance(p1,float):
+                pportion=True
+                new_portionlist=new_portionlist+[p1]
+            elif isinstance(p1,str):
+                ptype=True
+                if p1 not in stype_list:
+                    p1='auto'
+                ticker_type=ticker_type+[p1]         
+            
+            #未能确定
+            if ptype==False: 
+                ticker_type=ticker_type+['auto']
+            if pportion==False:
+                new_portionlist=new_portionlist+[0]
+        
 
-    return scope,mktidx,stocklist,portionlist    
+    return scope,mktidx,stocklist,new_portionlist,ticker_type
 
 if __name__=='__main__':
     portfolio1={'Market':('US','^GSPC'),'EDU':0.4,'TAL':0.3,'TEDU':0.2}
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio1)
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio1)
+    decompose_portfolio(portfolio1)
 
 def portfolio_name(portfolio):
     """
@@ -497,7 +545,7 @@ def isinstance_portfolio(portfolio):
     result=True
     
     try:
-        scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+        scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     except:
         result=False
         
@@ -634,7 +682,7 @@ def sample_selection(df,start,end):
     
 if __name__=='__main__':
     portfolio={'Market':('US','^GSPC'),'AAPL':1.0}
-    market,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    market,mktidx,tickerlist,sharelist,_=decompose_portfolio(portfolio)
     start='2020-1-1'; end='2020-3-31'
     pfdf=get_portfolio_prices(tickerlist,sharelist,start,end)
     start2='2020-1-10'; end2='2020-3-18'
@@ -3560,7 +3608,7 @@ def ticker_type_preprocess_1portfolio(ticker,ticker_type='auto'):
     功能：根据ticker情况(单个投资组合)处理ticker_type，使之与ticker对应    
     """    
     if isinstance(ticker,dict):
-        _,_,tickerlist,_=decompose_portfolio(ticker)
+        _,_,tickerlist,_,ticker_type=decompose_portfolio(ticker)
         if len(tickerlist)==1:
             ticker_type9=ticker_type_preprocess_1str(tickerlist[0],ticker_type)
         else:
@@ -3718,7 +3766,7 @@ if __name__=='__main__':
 
 def upgrade_siat(module_list=['siat','akshare','pandas','pandas_datareader', \
                  'yfinance','yahooquery','urllib3','tabulate','twine','mplfinance','openpyxl'], \
-                 pipcmd="pip install --upgrade"):
+                 pipcmd="pip install --upgrade",alternative=""):
     """
     功能：一次性升级siat及其相关插件
     
@@ -3727,7 +3775,8 @@ def upgrade_siat(module_list=['siat','akshare','pandas','pandas_datareader', \
     或python -m pip install --upgrade pip
     如果上述方法不适用，您可能需要重新安装Python，并确保在安装过程中选中了“Add Python to PATH”
     """
-    print("  Try upgrading siat and related modules, please wait ... ...")
+    print("Upgrading siat and related modules, please wait ... ...")
+    
     #获取系统目录
     import sys
     syspath=sys.path
@@ -3757,34 +3806,56 @@ def upgrade_siat(module_list=['siat','akshare','pandas','pandas_datareader', \
     #生成pip命令字符串前半段，仅缺插件名
     cmdstr=sp+sep_flag+'Scripts'+sep_flag+pipcmd+' '
     
+    #检查是否使用镜像源
+    if alternative == "":
+        alter_source=''
+    elif alternative == "tsinghua":
+        alter_source="-i https://pypi.tuna.tsinghua.edu.cn/simple/"
+    elif alternative in ["alibaba","ali","aliyun"]:
+        alter_source="-i https://mirrors.aliyun.com/pypi/simple/"
+    elif alternative == "bfsu":
+        alter_source="-i https://mirrors.bfsu.edu.cn/pypi/"
+    elif alternative == "baidu":
+        alter_source="-i https://mirror.baidu.com/pypi/simple/"        
+    elif alternative == "tencent":
+        alter_source="-i https://mirrors.cloud.tencent.com/pypi/simple/"  
+    else:
+        alter_source="-i https://mirrors.aliyun.com/pypi/simple/"
+        
     #逐个升级插件
     import subprocess
     fail_list=[]
-    for m in module_list:
+    
+    """
+    tqdm进度条：
+    100%|██████████| 9/11 [02:18<02:30, 12.59s/it]
+    9/11：一共11项，正在进行第9项
+    02:18<02:30：已经花费时间02:18，预计花费时间02:30
+    12.59s/it：平均每项花费时间12.59秒
+    """
+    from tqdm import tqdm
+    for m in tqdm(module_list):
         #print("Upgrading",m,"... ...",end='')
-        print_progress_percent2(m,module_list,steps=5,leading_blanks=2)
+        #print_progress_percent2(m,module_list,steps=5,leading_blanks=2)
         
-        cmdstr1=cmdstr+m
+        if alternative == "":
+            cmdstr1=cmdstr+m
+        else:
+            cmdstr1=cmdstr+m+' '+alter_source
         #print(cmdstr1)
+        
         #proc=subprocess.run(cmdstr1.split(' '),stdout=subprocess.PIPE)
         proc=subprocess.run(cmdstr1.split(' '))
         rcode=proc.returncode
         if rcode !=0: fail_list=fail_list+[m]
-        
-        """
-        if rcode==0: result='done✓'
-        else: result='FAILed❌, try again manually'
-        print(result)
-        """
     
     if len(fail_list) == 0:
-        print("  All specified modules are successfully upgraded!")
+        print("All specified modules are successfully upgraded!")
     else:
-        print("  All specified modules are successfully upgraded except",end='')
+        print("All specified modules are successfully upgraded except",end='')
         print_list(fail_list,leading_blanks=1)
         
     return
-#==============================================================================
 
 def df_index_timezone_remove(df):
     """

siat/esg.py

@@ -297,7 +297,7 @@ def portfolio_esg(portfolio):
     企业最新的可持续性发展数据，数据框    
     """
     #解构投资组合
-    _,_,stocklist,_=decompose_portfolio(portfolio)
+    _,_,stocklist,_,ticker_type=decompose_portfolio(portfolio)
     
     #抓取数据
     try:
@@ -439,7 +439,7 @@ def portfolio_esg2(portfolio):
     企业最新的可持续性发展数据，数据框    
     """
     #解构投资组合
-    _,_,stocklist,_=decompose_portfolio(portfolio)
+    _,_,stocklist,_,ticker_type=decompose_portfolio(portfolio)
     
     #抓取数据
     try:

siat/grafix.py

@@ -1121,7 +1121,7 @@ def draw_lines(df0,y_label,x_label,axhline_value,axhline_label,title_txt, \
     
     #插值平滑
     if smooth:
-        print("  Rendering graphics ...")
+        #print("  Rendering graphics ...")
         try:
             df=df_smooth_manual(df0,resample_freq=resample_freq)
         except:

siat/holding_risk.py

@@ -87,7 +87,7 @@ def get_portfolio_prices0(portfolio,fromdate,todate):
     """
     
     #解构投资组合
-    _,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     
     #检查股票列表个数与份额列表个数是否一致
     if len(tickerlist) != len(sharelist):
@@ -562,7 +562,7 @@ def get_VaR_portfolio(portfolio,today,future_days=1,alpha=0.99, \
     
     #输出VaR金额和比率
     print("\n===== 投资组合的在险价值VaR =====")
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     print("成分股列表  :",tickerlist)
     print("成分股的配置:",sharelist)
     print("当前日期    :",today)
@@ -686,7 +686,7 @@ def get_ES_portfolio(portfolio,today,future_days=1,alpha=0.99, \
     
     #输出ES金额和比率
     print("\n===== 投资组合的预期不足ES =====")
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     print("成分股列表  :",tickerlist)
     print("成分股配置  :",sharelist)
     print("当前日期    :",today)
@@ -770,7 +770,7 @@ def portfolio_ret_Normality_SW(portfolio,fromdate,todate, \
     
     if not printout: return W,p_value,S,K
     
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     print("*** Shapiro-Wilk Normality Test ***")
     print("    Stock(s):",tickerlist)
     print("    Holding proportion:",sharelist)    
@@ -812,7 +812,7 @@ def portfolio_rets_curve(portfolio,fromdate,todate):
     num=len(prices)
     rets=prices['Ret']
     W,p_value,S,K=ret_Normality_SW(rets)
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     #计算收益率的均值和标准差
     mu=rets.mean()
     sigma=rets.std()

siat/markowitz.py

@@ -250,7 +250,7 @@ def portfolio_cumret(portfolio,thedate,pastyears=1, \
     """
     print("\n  Searching for portfolio info, which may take time ...")
     # 解构投资组合
-    scope,_,tickerlist,sharelist0=decompose_portfolio(portfolio)
+    scope,_,tickerlist,sharelist0,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
 
     #如果持仓份额总数不为1，则将其转换为总份额为1
@@ -934,7 +934,7 @@ def portfolio_es(pf_info,simulation=50000):
     """
     [[portfolio,thedate,stock_return,_,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    _,_,tickerlist,_=decompose_portfolio(portfolio)
+    _,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return.index[0]; hstart=str(hstart0.date())
@@ -1050,7 +1050,7 @@ def portfolio_es_sharpe(pf_info,simulation=1000,rate_period='1Y',rate_type='trea
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,_,tickerlist,_=decompose_portfolio(portfolio)
+    scope,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1137,7 +1137,7 @@ def portfolio_es_sortino(pf_info,simulation=1000,rate_period='1Y',rate_type='tre
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,_,tickerlist,_=decompose_portfolio(portfolio)
+    scope,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1230,7 +1230,7 @@ def portfolio_es_alpha(pf_info,simulation=1000,rate_period='1Y',rate_type='treas
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1338,7 +1338,7 @@ def portfolio_es_treynor(pf_info,simulation=1000,rate_period='1Y',rate_type='tre
     
     [[portfolio,_,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.date())
@@ -1754,7 +1754,7 @@ def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk,
     """    
     #解析传入的数据
     [[[portfolio,thedate,stock_return,_,_],[StockReturns,_,_,_]],RandomPortfolios]=es_info
-    _,_,tickerlist,_=decompose_portfolio(portfolio)
+    _,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     numstocks=len(tickerlist)  
     pname=portfolio_name(portfolio)
     
@@ -1887,7 +1887,7 @@ def portfolio_optimize_strategy(pf_info,ratio='sharpe',simulation=50000,RF=False
     portfolio_expectation(hi_name,pf_info,hiret_weights)
     
     if MSR_return:
-        scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+        scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
         hwdf=pd.DataFrame(hiret_weights)
         hwdft=hwdf.T
         hwdft.columns=tickerlist
@@ -2289,7 +2289,7 @@ def describe_portfolio(portfolio):
     输出：市场，市场指数，股票代码列表和份额列表
     """
     
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
     
     print("*** 投资组合信息:",pname)
@@ -2321,7 +2321,7 @@ def portfolio_drop(portfolio,last=0,droplist=[],new_name=''):
     """
     功能：删除最后几个成分股
     """
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)  
+    scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)  
     pname=portfolio_name(portfolio)
     
     if not (last ==0):

siat/markowitz2.py

@@ -247,24 +247,35 @@ if __name__=='__main__':
               }
     portfolio=dict(Market,**porkbig,**porksmall)    
 
-    thedate='2024-5-30'
-    pastyears=1
-    printout=True 
-    graph=False
-    
     #测试3
-    Market={'Market':('China','000300.SS','锂电池1号')}
-    Stocks={'300750.SZ':0.4,#宁德时代
-            '002594.SZ':0.3,#比亚迪
-            '300014.SZ':0.2,#亿纬锂能
-            '300207.SZ':0.1,#欣旺达
+    Market={'Market':('China','000300.SS','股债基组合')}
+    Stocks={'600519.SS':0.3,#股票：贵州茅台
+            'sh010504':[0.5,'bond'],#05国债⑷
+            '010504.SS':('fund',0.2),#招商稳兴混合C基金
             }
     portfolio=dict(Market,**Stocks)
 
+    printout=True 
+    graph=False
+    
     indicator='Adj Close'
     adjust='qfq'; source='auto'; ticker_type='bond'
     thedate='2024-6-19'
     pastyears=2
+
+    
+    #测试3
+    Market={'Market':('China','000300.SS','股债基组合')}
+    Stocks={'600519.SS':0.3,#股票：贵州茅台
+            'sh010504':[0.5,'bond'],#05国债⑷
+            '010504.SS':('fund',0.2),#招商稳兴混合C基金
+            }
+    portfolio=dict(Market,**Stocks)
+
+    indicator='Close'
+    adjust=''; source='auto'; ticker_type='auto'
+    thedate='2024-6-19'
+    pastyears=1
     printout=True 
     graph=False
     
@@ -312,7 +323,7 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
     
     print("\n  Searching for portfolio info, which may take time ...")
     # 解构投资组合
-    scope,_,tickerlist,sharelist0=decompose_portfolio(portfolio)
+    scope,_,tickerlist,sharelist0,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
 
     #如果持仓份额总数不为1，则将其转换为总份额为1
@@ -440,7 +451,7 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
         
         title_txt=text_lang("投资组合: 日收益率的变化趋势","Investment Portfolio: Daily Return")
         ylabel_txt=text_lang("日收益率","Daily Return")
-        source_txt=text_lang("来源: 综合Sina/EM/stooq, ","Source: sina/eastmoney/stooq, ")
+        source_txt=text_lang("来源: 综合新浪/东方财富/stooq/雅虎等, ","Source: sina/eastmoney/stooq, ")
         
         plt.title(title_txt)
         plt.ylabel(ylabel_txt)
@@ -460,7 +471,7 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
         
         titletxt=text_lang("投资组合: 持有收益率的变化趋势","Investment Portfolio: Holding Return")
         ylabeltxt=text_lang("持有收益率","Holding Return")
-        xlabeltxt1=text_lang("来源: 综合Sina/EM/stooq, ","Source: sina/eastmoney/stooq, ")
+        xlabeltxt1=text_lang("来源: 综合新浪/东方财富/stooq/雅虎等, ","Source: sina/eastmoney/stooq, ")
         xlabeltxt=xlabeltxt1+str(stoday)
     
     #绘制持有收益率曲线
@@ -476,22 +487,29 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
     StockReturns['Portfolio_EW']=stock_return.mul(portfolio_weights_ew,axis=1).sum(axis=1)
     #..........................................................................
     
-    # 创建交易额加权组合：按照成交金额计算期间内交易额均值
-    tamount=prices['Close']*prices['Volume']
-    tamountlist=tamount.mean(axis=0)    #求列的均值
-    tamountlist_array = np.array(tamountlist)
-    # 计算成交金额权重
-    portfolio_weights_lw = tamountlist_array / np.sum(tamountlist_array)
-    # 计算成交金额加权的组合收益
-    StockReturns['Portfolio_LW'] = stock_return.mul(portfolio_weights_lw, axis=1).sum(axis=1)
+    # 创建交易额加权组合：按照成交金额计算期间内交易额均值。债券和基金信息中无交易量！
+    if ('bond' not in ticker_type) and ('fund' not in ticker_type):
+        tamount=prices['Close']*prices['Volume']
+        tamountlist=tamount.mean(axis=0)    #求列的均值
+        tamountlist_array = np.array(tamountlist)
+        # 计算成交金额权重
+        portfolio_weights_lw = tamountlist_array / np.sum(tamountlist_array)
+        # 计算成交金额加权的组合收益
+        StockReturns['Portfolio_LW'] = stock_return.mul(portfolio_weights_lw, axis=1).sum(axis=1)
 
     #绘制累计收益率对比曲线
     title_txt=text_lang("投资组合策略：业绩对比","Portfolio Strategies: Performance Comparison")
     Portfolio_EW_txt=text_lang("等权重策略","Equal-weight")
-    Portfolio_LW_txt=text_lang("交易额加权策略","Amount-weight")
+    if ('bond' not in ticker_type) and ('fund' not in ticker_type):
+        Portfolio_LW_txt=text_lang("交易额加权策略","Amount-weight")
     
-    name_list=['Portfolio', 'Portfolio_EW', 'Portfolio_LW']
-    label_list=[pname, Portfolio_EW_txt, Portfolio_LW_txt]
+        name_list=['Portfolio', 'Portfolio_EW', 'Portfolio_LW']
+        label_list=[pname, Portfolio_EW_txt, Portfolio_LW_txt]
+    else:
+        name_list=['Portfolio', 'Portfolio_EW']
+        label_list=[pname, Portfolio_EW_txt]
+        
+        
     titletxt=title_txt
     
     #绘制各个投资组合的持有收益率曲线
@@ -501,9 +519,11 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
     #打印各个投资组合的持股比例
     member_returns=stock_return
     if printout:
-        portfolio_expectation_universal(pname,member_returns,portfolio_weights,member_prices)
-        portfolio_expectation_universal(Portfolio_EW_txt,member_returns,portfolio_weights_ew,member_prices)
-        portfolio_expectation_universal(Portfolio_LW_txt,member_returns,portfolio_weights_lw,member_prices)
+        portfolio_expectation_universal(pname,member_returns,portfolio_weights,member_prices,ticker_type)
+        portfolio_expectation_universal(Portfolio_EW_txt,member_returns,portfolio_weights_ew,member_prices,ticker_type)
+        
+        if ('bond' not in ticker_type) and ('fund' not in ticker_type):
+            portfolio_expectation_universal(Portfolio_LW_txt,member_returns,portfolio_weights_lw,member_prices,ticker_type)
 
     #返回投资组合的综合信息
     member_returns=stock_return
@@ -516,8 +536,14 @@ def portfolio_build(portfolio,thedate='default',pastyears=1, \
     if printout:
         portfolio_ranks(portfolio_returns,pname)
     
-    return [[portfolio,thedate,member_returns,rf_df,member_prices], \
-            [portfolio_returns,portfolio_weights,portfolio_weights_ew,portfolio_weights_lw]]
+    #
+    if ('bond' not in ticker_type) and ('fund' not in ticker_type):
+        return [[portfolio,thedate,member_returns,rf_df,member_prices], \
+                [portfolio_returns,portfolio_weights,portfolio_weights_ew,portfolio_weights_lw]]
+    else:
+        return [[portfolio,thedate,member_returns,rf_df,member_prices], \
+                [portfolio_returns,portfolio_weights,portfolio_weights_ew,None]]
+        
 
 if __name__=='__main__':
     X=portfolio_build(portfolio,'2021-9-30')
@@ -656,10 +682,10 @@ if __name__=='__main__':
     portfolio=dict(Market,**Stocks1,**Stocks2)
     pf_info=portfolio_expret(portfolio,'2019-12-31')
     
-    portfolio_expectation(pf_info)
+    portfolio_expectation_original(pf_info)
 
 #==============================================================================
-def portfolio_expectation_universal(pname,member_returns,portfolio_weights,member_prices):
+def portfolio_expectation_universal(pname,member_returns,portfolio_weights,member_prices,ticker_type):
     """
     功能：计算给定成份股收益率和持股权重的投资组合年均收益率和标准差
     输入：投资组合名称，成份股历史收益率数据表，投资组合权重series
@@ -704,12 +730,12 @@ def portfolio_expectation_universal(pname,member_returns,portfolio_weights,membe
         print("  投资组合:",pname)
         print("  分析日期:",str(hend))
     # 投资组合中即使持股比例最低的股票每次交易最少也需要1手（100股）
-        print("  期末1手组合单位价值:","约"+str(round(portfolio_value_thedate/10000*100,2))+"万")
+        print("  1手组合单位价值:","约"+str(round(portfolio_value_thedate/10000*100,2))+"万")
         print("  观察期间:",hstart+'至'+hend)
         print("  年化收益率:",round(annual_return,4))
         print("  年化标准差:",round(annual_std,4))
         print("  ***投资组合持仓策略***")
-        print_tickerlist_sharelist(tickerlist,portfolio_weights,leading_blanks=4,ticker_type='bond')
+        print_tickerlist_sharelist(tickerlist,portfolio_weights,leading_blanks=4,ticker_type=ticker_type)
        
         print("  *来源：Sina/EM/stooq，"+str(stoday)+"统计")
     else:
@@ -740,7 +766,7 @@ if __name__=='__main__':
     portfolio_expectation2(pname,member_returns, portfolio_weights)
 
 #==============================================================================
-def portfolio_expectation(pname,pf_info,portfolio_weights):
+def portfolio_expectation(pname,pf_info,portfolio_weights,ticker_type):
     """
     功能：计算给定pf_info和持仓权重的投资组合年均收益率和标准差
     输入：投资组合名称，pf_info，投资组合权重series
@@ -749,7 +775,7 @@ def portfolio_expectation(pname,pf_info,portfolio_weights):
     """
     [[_,_,member_returns,_,member_prices],_]=pf_info
     
-    portfolio_expectation_universal(pname,member_returns,portfolio_weights,member_prices)
+    portfolio_expectation_universal(pname,member_returns,portfolio_weights,member_prices,ticker_type)
     
     return 
 
@@ -1080,7 +1106,7 @@ def portfolio_eset(pf_info,simulation=1000,convex_hull=False):
     """
     [[portfolio,thedate,stock_return,_,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    _,_,tickerlist,_=decompose_portfolio(portfolio)
+    _,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return.index[0]; hstart=str(hstart0.strftime("%Y-%m-%d"))
@@ -1233,7 +1259,7 @@ def portfolio_es_sharpe(pf_info,simulation=1000,RF=0):
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,_,tickerlist,_=decompose_portfolio(portfolio)
+    scope,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.strftime("%Y-%m-%d"))
@@ -1327,7 +1353,7 @@ def portfolio_es_sortino(pf_info,simulation=1000,RF=0):
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,_,tickerlist,_=decompose_portfolio(portfolio)
+    scope,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.strftime("%Y-%m-%d"))
@@ -1427,7 +1453,7 @@ def portfolio_es_alpha(pf_info,simulation=1000,RF=0):
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.strftime("%Y-%m-%d"))
@@ -1545,7 +1571,7 @@ def portfolio_es_treynor(pf_info,simulation=1000,RF=0):
     
     [[portfolio,_,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
-    scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     
     #取出观察期
     hstart0=stock_return0.index[0]; hstart=str(hstart0.strftime("%Y-%m-%d"))
@@ -2049,7 +2075,7 @@ def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk,
     """    
     #解析传入的数据
     [[[portfolio,thedate,stock_return,_,_],[StockReturns,_,_,_]],RandomPortfolios]=es_info
-    _,_,tickerlist,_=decompose_portfolio(portfolio)
+    _,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
     numstocks=len(tickerlist)  
     pname=portfolio_name(portfolio)
     
@@ -2158,6 +2184,7 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
     
     [[portfolio,_,_,_,_],_]=pf_info
     pname=portfolio_name(portfolio)
+    _,_,_,_,ticker_type=decompose_portfolio(portfolio)
     
     #观察马科维茨可行集：风险溢价-标准差，用于夏普比率优化
     func_es="portfolio_es_"+ratio
@@ -2189,10 +2216,10 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
     #打印投资组合构造和业绩表现
     hi_name=modify_portfolio_name(name_hiret+zhuhe_txt)
     lo_name=modify_portfolio_name(name_lorisk+zhuhe_txt)
-    portfolio_expectation(hi_name,pf_info,hiret_weights)
+    portfolio_expectation(hi_name,pf_info,hiret_weights,ticker_type)
     
     if hirar_return:
-        scope,mktidx,tickerlist,_=decompose_portfolio(portfolio)
+        scope,mktidx,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
         hwdf=pd.DataFrame(hiret_weights)
         hwdft=hwdf.T
         hwdft.columns=tickerlist
@@ -2207,7 +2234,7 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
         portfolio_new=dict(Market,**stocks_new)
         
     if lorisk:
-        portfolio_expectation(lo_name,pf_info,lorisk_weights)
+        portfolio_expectation(lo_name,pf_info,lorisk_weights,ticker_type)
 
     #现有投资组合的排名
     ranks=portfolio_ranks(portfolio_returns,pname)
@@ -2594,7 +2621,7 @@ def describe_portfolio(portfolio):
     输出：市场，市场指数，股票代码列表和份额列表
     """
     
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
     
     print("*** 投资组合信息:",pname)
@@ -2626,7 +2653,7 @@ def portfolio_drop(portfolio,last=0,droplist=[],new_name=''):
     """
     功能：删除最后几个成分股
     """
-    scope,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)  
+    scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)  
     pname=portfolio_name(portfolio)
     
     if not (last ==0):

siat/risk_adjusted_return.py

@@ -143,7 +143,7 @@ def print_rar_ratio(regdf,portfolio,ret_mean,ratio_name,ratio):
     """
 
     #从字典中提取信息
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
     stocklist1,_=cvt_yftickerlist(stocklist)
     
     date_start=str(regdf.index[0].year)+'-'+str(regdf.index[0].month)+ \
@@ -199,7 +199,7 @@ def treynor_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
         return None,None    
     
     #从字典中提取信息
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
     
     #第2步：计算投资组合的日收益率序列
     #抓取日投资组合价格
@@ -280,7 +280,7 @@ def rar_ratio_portfolio(portfolio,start,end,ratio_name='treynor',RF=True,printou
         return None,None    
     
     #从字典中提取信息
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
     
     #第2步：计算投资组合的日收益率序列
     #抓取日投资组合价格
@@ -373,7 +373,7 @@ def rar_ratio_rolling(portfolio,start,end,ratio_name='treynor',RF=True, \
     startdate1=date_adjust(startdate, adjust=-startdate_delta)
     
     #从字典中提取信息
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
     
     #第2步：计算投资组合的日收益率序列
     #抓取日投资组合价格
@@ -465,7 +465,7 @@ def draw_rar_ratio(rars,portfolio,ratio_name):
     输入：滚动数据df，投资组合，指数名称
     """
     
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
     stocklist1,_=cvt_yftickerlist(stocklist)
     
     """
@@ -545,7 +545,7 @@ def sharpe_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
         return None,None       
 
     #从字典中提取信息
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
     
     #检查份额配比是否合理
     """
@@ -597,7 +597,7 @@ def sharpe_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
             '-'+str(reg.index[-1].day)            
         print("\n===== 风险调整收益率 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -640,7 +640,7 @@ def sortino_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
         return None,None           
 
     #从字典中提取信息
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)
     
     #检查份额配比是否合理
     """
@@ -693,7 +693,7 @@ def sortino_ratio_portfolio(portfolio,start,end,RF=True,printout=True):
             '-'+str(reg.index[-1].day)            
         print("\n===== 风险调整收益率 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -738,7 +738,7 @@ def jensen_alpha_portfolio(portfolio,start,end,RF=True,printout=True):
         return None,None          
     
     #从字典中提取信息
-    scope,mktidx,stocklist,portionlist=decompose_portfolio(portfolio)    
+    scope,mktidx,stocklist,portionlist,ticker_type=decompose_portfolio(portfolio)    
     #检查份额配比是否合理
     """
     if round(sum(portionlist),1) != 1.0:
@@ -798,7 +798,7 @@ def jensen_alpha_portfolio(portfolio,start,end,RF=True,printout=True):
             '-'+str(reg.index[-1].day)            
         print("\n===== 风险调整收益率 =====")
         
-        _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+        _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
         if len(tickerlist)==1:
             product=str(ticker_name(tickerlist,'bond'))
         else:
@@ -1120,14 +1120,14 @@ def compare_rar_portfolio(portfolio1,portfolio2,start,end,ratio_name='sharpe', \
     ylabeltxt=label1 
     titletxt="证券风险调整收益的滚动趋势对比"
     
-    _,_,tickers1,shares1=decompose_portfolio(portfolio1)
+    _,_,tickers1,shares1,ticker_type=decompose_portfolio(portfolio1)
     if len(tickers1) == 1:
         ticker1=tickers1[0]
         pf1str=tickers1[0]
     else:
         pf1str=ticker1+'：成分'+str(tickers1)+'，比例'+str(shares1)
     
-    _,_,tickers2,shares2=decompose_portfolio(portfolio2)
+    _,_,tickers2,shares2,ticker_type=decompose_portfolio(portfolio2)
     if len(tickers2) == 1:
         ticker2=tickers2[0]
         pf2str=tickers2[0]

siat/security_price2.py

@@ -364,13 +364,13 @@ def get_price_1portfolio(ticker,fromdate,todate, \
         return df,found
     
     #拆分投资组合为成份股列表和份额列表
-    _,_,tickerlist,sharelist=decompose_portfolio(ticker) 
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(ticker) 
     
     #处理份额列表，确保其和为1
     share_sum=sum(sharelist)
     sharelist1=[x / share_sum for x in sharelist]
 
-    #预处理ticker_type
+    #预处理ticker_type，是否还需要？
     ticker_type=ticker_type_preprocess_1portfolio(ticker,ticker_type)
     
     #抓取各个成份股的价格信息

siat/security_prices.py

@@ -78,9 +78,9 @@ def get_prices_all(ticker,fromdate,todate,adj=False,source='auto',ticker_type='a
 
         #投资组合            
         if isinstance(ticker_list[0],dict):
-            _,_,tickerlist,sharelist=decompose_portfolio(ticker_list[0])
+            _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(ticker_list[0])
             df=get_price_portfolio(tickerlist,sharelist,fromdate,todate,adj=adj, \
-                                    source=source,ticker_type='bond')
+                                    source=source,ticker_type=ticker_type)
         return df
 
     #多个证券
@@ -95,9 +95,9 @@ def get_prices_all(ticker,fromdate,todate,adj=False,source='auto',ticker_type='a
 
         #投资组合            
         if isinstance(t,dict):
-            _,_,tickerlist,sharelist=decompose_portfolio(t)
+            _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(t)
             dft=get_price_portfolio(tickerlist,sharelist,fromdate,todate,adj=adj, \
-                                    source=source,ticker_type='bond')
+                                    source=source,ticker_type=ticker_type)
             t=portfolio_name(t)
             
         columns=create_tuple_for_columns(dft,t)
@@ -1522,7 +1522,7 @@ if __name__=='__main__':
     ticker_type='auto'
     
     ticker={'Market':('China','000001.SS','白酒组合'),'600519.SS':0.4,'000858.SZ':0.6}
-    _,_,tickerlist,sharelist=decompose_portfolio(ticker)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(ticker)
 
     p=get_prices_portfolio(tickerlist,sharelist,fromdate,todate,source='auto')
 
@@ -2176,7 +2176,7 @@ def get_portfolio_prices(portfolio,fromdate,todate,adj=False,source='auto'):
     """
     
     #解构投资组合
-    _,mktidx,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     
     #检查股票列表个数与份额列表个数是否一致
     if len(tickerlist) != len(sharelist):
@@ -2424,7 +2424,7 @@ def get_price_security(security,start,end,source='auto'):
     """
     
     if isinstance(security,dict): #投资组合
-        scope,mktidx,tickerlist,sharelist=decompose_portfolio(security)
+        scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(security)
         prices=get_price_portfolio(tickerlist,sharelist,start,end,source=source)  
 
         pname=portfolio_name(security)

siat/stock.py

@@ -3531,7 +3531,7 @@ def portfolio_esg2(portfolio):
     企业最新的可持续性发展数据，数据框    
     """
     #解构投资组合
-    _,_,stocklist,_=decompose_portfolio(portfolio)
+    _,_,stocklist,_,ticker_type=decompose_portfolio(portfolio)
     
     #抓取数据
     try:

siat/translate.py

@@ -2988,7 +2988,7 @@ if __name__=='__main__':
 
 #==============================================================================
 if __name__=='__main__':
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     leading_blanks=2
 
 def print_tickerlist_sharelist(tickerlist,sharelist,leading_blanks=2,ticker_type='auto'):

siat/var_model_validation.py

@@ -313,7 +313,7 @@ def backtest_VaR_portfolio(portfolio,today,future_days=1, \
     if not check_date(today): return
     
     #解构投资组合
-    _,_,tickerlist,sharelist=decompose_portfolio(portfolio)
+    _,_,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     
     #计算开始日期
     startdate=get_start_date(today,pastyears)

siat-3.2.16.dist-info/METADATA

@@ -0,0 +1,125 @@
+Metadata-Version: 2.1
+Name: siat
+Version: 3.2.16
+Summary: Securities Investment Analysis Tools (siat)
+Home-page: https://pypi.org/project/siat/
+Author: Prof. WANG Dehong, International Business School, Beijing Foreign Studies University
+Author-email: wdehong2000@163.com
+License: Copyright (C) WANG Dehong, 2024. For educational purpose only!
+Description-Content-Type: text/markdown
+Requires-Dist: pandas-datareader
+Requires-Dist: yfinance
+Requires-Dist: tqdm
+Requires-Dist: plotly-express
+Requires-Dist: akshare
+Requires-Dist: urllib3
+Requires-Dist: mplfinance
+Requires-Dist: statsmodels
+Requires-Dist: yahoo-earnings-calendar
+Requires-Dist: yahooquery
+Requires-Dist: pypinyin
+Requires-Dist: seaborn
+Requires-Dist: numpy
+Requires-Dist: scipy
+Requires-Dist: pandas
+Requires-Dist: scikit-learn
+Requires-Dist: baostock
+Requires-Dist: pyproject.toml
+Requires-Dist: pathlib
+Requires-Dist: ruamel-yaml
+Requires-Dist: prettytable
+Requires-Dist: graphviz
+Requires-Dist: luddite
+Requires-Dist: pendulum
+
+=== Notes on the Upgrade of siat ===
+
+*** What is siat? ***
+siat is a Python plug-in, which stands for security investment analysis toolkit. It is specially designed for teaching and learning purposes on security investment in universities for undergraduate and postgraduate programs.
+
+*** What sort of securities does siat support?
+1. Public company profile:  world-wide
+2. Stock & stock market index: world-wide
+3. Stock valuation: primarily in China (mainland and HK) and the U.S.
+4. Stock option chain: primarily in the U.S.
+5. Bond: primarily in China and the U.S.
+6. Markowitz portfolio: with all the supported stocks and bonds
+7. Fund: primarily in China and the U.S.
+8. Futures: primarily in China and the U.S.
+9. Options: primarily in China and the U.S.
+10. Digital currency:  world-wide (some may be restricted by data sources)
+11. Balance sheet: in China (full function) and world-wide (basic function)
+12. Income statement: in China mainland (full function) and world-wide (basic function)
+13. Cash flow statement: in China mainland (full function) and world-wide (basic function)
+14. Du Pont Identity:  world-wide
+15. Sector trend and valuation: primarily in China
+
+*** What sort of analysis does siat support?
+1. Trend analysis
+2. Panel comparation
+3. Return analysis: rolling returns, holding period returns
+4. Risk analysis: rolling volatility, holding period volatility, LPSD
+5. Technical analysis: more than 15 indicators
+6. Risk-adjusted return: sharpe, sortino, treynor, Jensen alpha
+7. Portfolio optimization: four risk-adjusted returns
+8. CAPM beta trend
+9. Beta adjustments: simple adjustment, Scholes-Williams, Dimson
+10. Beta leverage: Hamada Model
+11. Fama-French three-factor model
+12. Fama-French-Carhart four-factor model
+13. Fama-French five-factor model
+14. Future pricing
+15. Option pricing: European style, American style, with/without dividends
+16. VaR & ES: variance-covariance, historic simulation, Monte Carlo, multiple periods
+17. Liquidity risk: Roll spread, Amihud, Pastor-Stambaugh
+18. ESG: basic function
+
+*** Do I have to download data first before using siat?
+NO
+siat will search the internet data sources for all the required data during analysis.
+The main data sources siat uses:
+1. Yahoo Finance
+2. Sina Finance
+3. East Money
+4. Stooq (Polish)
+5. FRED
+6. OECD
+7. IMF
+8. Shanghai Stock Exchange
+9. Shenzhen Stock Exchange
+10. Tokyo Stock Exchange
+11. HKEX
+12. Sustainalytics
+
+Thanks the above websites for their valuable data supply!
+
+*** How is siat version numbered? ***
+siat version format: X.Y.Z
+X is the major version number. 
+If the major number X changes, it means a primary upgrade, usually there are some big changes in the architecure. However, user's habits will remain for most of the cases.
+
+Y is the revision number. 
+If the revision number Y changes, it usually indicates some new functions have been compiled into the package.
+
+Z is the build number. 
+A build number Z change usually reveals a new compilation over the package for the purpose of debug only.
+
+*** When to upgrade siat? ***
+If you have been using the existing copy very well, there is no need to follow up the newest version. However, if you do find
+some bugs in using siat, most of the time it is a quick solution to upgrade siat as well as the dependent modules that siat relies on.
+
+*** How to upgrade siat? ***
+It is strongly recommended to use siat in Jupyter Notebook or Jupyter Lab. In Jupyter, there is an easy way to directly upgrade siat and its relevent modules together in the following command:
+upgrade_siat()
+
+If Jupyter prompts that pip command not found during the upgrade, it usually means that you need tick the checkbox 
+"Add Python to your path" or something like this during Anaconda installation. If you forget to tick the checkbox, you may need to remedy the situation case by case. In some of the situations, the following command may work in Anaconda Prompt, but not for all the cases:
+python -m ensurepip
+
+*** Are there detailed case studies on using siat? ***
+YES, hundreds of video case studies in the author's channel (most in Chinese, some in English).
+https://space.bilibili.com/284812153
+Welcome to follow the channel!
+
+*** How to report a bug and look for help? ***
+Write to the author, Prof. WANG Dehong, wdehong2000@163.com

{siat-3.2.10.dist-info → siat-3.2.16.dist-info}/RECORD

@@ -1,7 +1,7 @@
-siat/__init__.py,sha256=0N9ER3IIQkOVCLiX2nvfOmYfaYpt4OMd-r0Hbh2DSJc,2496
+siat/__init__.py,sha256=gP5uajXnJesnH5SL0ZPwq_Qhv59AG1bs4qwZv26Fo2Y,2894
 siat/allin.py,sha256=f1VWxZLvPLR57ilk9GOziZMWjyAYOYLXbvQI4z38r50,2708
 siat/alpha_vantage_test.py,sha256=tKr-vmuFH3CZAqwmISz6jzjPHzV1JJl3sPfZdz8aTfM,747
-siat/assets_liquidity.py,sha256=deAJ60YcqMUgrXY7jy7BfzLutoy4uOEtfXqqMSujCRo,28889
+siat/assets_liquidity.py,sha256=o_UZdLs693uNWPEQB2OzxDH0mdWimOmq4qe_vx1pue0,28987
 siat/assets_liquidity_test.py,sha256=UWk6HIUlizU7LQZ890fGx8LwU1jMMrIZswg8cFUJWZ8,1285
 siat/barrons_scraping_test.py,sha256=jSRVPxyYylcgG3fAsuqE-9WH3sDfJ3CdZUcU8VBVdoU,10110
 siat/beta_adjustment.py,sha256=LZWrEWP-yw7spQjeSldLXpmZu7pFqF5jR3EHym7wNys,37286
@@ -14,10 +14,10 @@ siat/bond_china.py,sha256=eYv-nMoWSS5fZ4VxnuJ29QFY9GUS6meGiIc0Xjm1fQI,3038
 siat/bond_test.py,sha256=yUOFw7ddGU-kb1rJdnsjkJWziDNgUR7OLDA7F7Ub91A,5246
 siat/bond_zh_sina.py,sha256=26BohGcS120utwqg9dJvdGm5OkuNpNu5bco80uOuQpU,4423
 siat/capm_beta.py,sha256=cxXdRVBQBllhbfz1LeTJAIWvyRYhW54nhtNUXv4HwS0,29063
-siat/capm_beta2.py,sha256=1URX23ugY9uyeut3gdLn3rA3CHZ4Y455gt4IoqY89D8,26892
+siat/capm_beta2.py,sha256=07y3q4nJdkM-anpZepj4gK0gvTKj-BB0ppDDI5-TCcY,26904
 siat/capm_beta_test.py,sha256=ImR0c5mc4hIl714XmHztdl7qg8v1E2lycKyiqnFj6qs,1745
 siat/cmat_commons.py,sha256=Nj9Kf0alywaztVoMVeVVL_EZk5jRERJy8R8kBw88_Tg,38116
-siat/common.py,sha256=v6j1Qm1IrSh62mLxfxlgZU7eIigamxrmemfkevU5JI4,142207
+siat/common.py,sha256=bybxwy6m7KHvObW_tqmNIIFO_hqu-DQ1KJYYh9E1tm0,144843
 siat/compare_cross.py,sha256=3iP9TH2h3w27F2ARZc7FjKcErYCzWRc-TPiymOyoVtw,24171
 siat/compare_cross_test.py,sha256=xra5XYmQGEtfIZL2h-GssdH2hLdFIhG3eoCrkDrL3gY,3473
 siat/concepts_iwencai.py,sha256=m1YEDtECRT6FqtzlKm91pt2I9d3Z_XoP59BtWdRdu8I,3061
@@ -29,7 +29,7 @@ siat/derivative.py,sha256=qV8n09799eqLc26ojR6vN5n_X-xd7rGwdYjgq-wBih8,41483
 siat/economy-20230125.py,sha256=vxZZlPnLkh7SpGMVEPLwxjt0yYLSVmdZrO-s2NYLyoM,73848
 siat/economy.py,sha256=J0-xBtp6gg6CNP9N-UvpKLJ-0Tw5O_DKaDvEq1R35Fw,73853
 siat/economy_test.py,sha256=6vjNlPz7W125pJb7simCddobSEp3jmLIMvVkLRZ7zW8,13339
-siat/esg.py,sha256=PRgZo6rwlldAG9qNRnFWX0fnLdPHXIPVQOIFOJ2azmQ,19016
+siat/esg.py,sha256=GMhaonIKtvOK83rhpQUH5aJt2OL3HQBSVfD__Yw-0oo,19040
 siat/esg_test.py,sha256=Z9m6GUt8O7oHZSEG9aDYpGdvvrv2AiRJdHTiU6jqmZ0,2944
 siat/exchange_bond_china.pickle,sha256=zDqdPrFacQ0nqjP_SuF6Yy87EgijIRsFvFroW7FAYYY,1265092
 siat/fama_french.py,sha256=aUTC-67t_CEPbLk4u79woW_zfZ7OCP6Fo4z5EdWCSkQ,48051
@@ -59,15 +59,15 @@ siat/future_china.py,sha256=F-HsIf2Op8Z22RzTjet1g8COzldgnMjFNSXsAkeGyWo,17595
 siat/future_china_test.py,sha256=BrSzmDVaOHki6rntOtosmRn-6dkfOBuLulJNqh7MOpc,1163
 siat/global_index_test.py,sha256=hnFp3wqqzzL-kAP8mgxDZ54Bd5Ijf6ENi5YJlGBgcXw,2402
 siat/google_authenticator.py,sha256=ZUbZR8OW0IAKDbcYtlqGqIpZdERpFor9NccFELxg9yI,1637
-siat/grafix.py,sha256=r-tQUxxBW-O53oPUFFHO7-lnDPO0TlK78d6nsEtxSDI,85008
+siat/grafix.py,sha256=afR5QAJvPVCxuIx_UQPXj3FJRuW5GZBVjdBnRhQQpWE,85009
 siat/grafix_test.py,sha256=kXvcpLgQNO7wd30g_bWljLj5UH7bIVI0_dUtXbfiKR0,3150
-siat/holding_risk.py,sha256=X3vL_2rU0zpjiiRtStWxWOXZrAJ323huSsZK3jGgABc,30633
+siat/holding_risk.py,sha256=G3wpaewAKF9CwEqRpr4khyuDu9SU2EGyQUHdk7cmHOA,30693
 siat/holding_risk_test.py,sha256=FRlw_9wFG98BYcg_cSj95HX5WZ1TvkGaOUdXD7-V86s,474
 siat/local_debug_test.py,sha256=CDAOffW1Rvs-TcNN5giWVvHMlch1w4dp-w5SIV9jXL0,3936
 siat/market_china.py,sha256=nabx24qm7N51OafTrwUw542pNeFJ3JaQ1wqyv-nLN5I,37883
-siat/markowitz.py,sha256=c06gCRhMABnrb30F-npJsKVv8nFfEoNNR3bzrkMCyGg,97406
+siat/markowitz.py,sha256=glHikhabFAF6Hb6df1pYfhkxid2IZXBYAVQng5wd9Wk,97526
 siat/markowitz2-20240620.py,sha256=irZAPnjaatFsKQmFRMENP-cO6bEUl2narYtkU5NKTWI,108019
-siat/markowitz2.py,sha256=yu3I90RQUxk8k8D7kCa7b0wNfckOjKWHQZNTUq8512o,110060
+siat/markowitz2.py,sha256=csHIjqTbIsHMYQ_LEur9K0Jg8pOm8deEVdQfAGCOG5o,111461
 siat/markowitz_ccb_test.py,sha256=xBkkoaNHdq9KSUrNuHGgKTdNYUvgi84kNYcf719eoyE,1593
 siat/markowitz_ef_test.py,sha256=wjNlICkgRIqnonPeSIHo4Mu2GRtb9dr21wDt2kMNEcI,4032
 siat/markowitz_old.py,sha256=Lf7O_4QWT8RsdkHiUyc_7kKY3eZjKDtFR89Fz3pwYnY,33046
@@ -85,7 +85,7 @@ siat/option_pricing_test.py,sha256=eeorV5Ja5vjlRXnP6fWJHetGU5Vb8SnLopkC6RV3GfA,2
 siat/option_sina_api_test.py,sha256=dn-k_wrQnAaNKHoROvWJEc7lqlU0bwiV2Aa4usWAFGM,5908
 siat/proxy_test.py,sha256=erQJrmGs2X46z8Gb1h-7GYQ0rTUcaR8dxHExWoBz2eM,2610
 siat/quandl_test.py,sha256=EcPoXnLuqzPl5dKyVEZi3j3PJZFpsnU_iNPhLWC9p-A,1552
-siat/risk_adjusted_return.py,sha256=L5FoeOFzvItT03gNBTCaIo32hUvncOJkbchtHOveSBM,54929
+siat/risk_adjusted_return.py,sha256=dWVrCDnoxvMmI6cVtrL_FC18QZFrGb6-k9lOoyy5JGE,55085
 siat/risk_adjusted_return2.py,sha256=mI2ynVICzSIHV4_-jZyZ4vbwI1-zen7Byug31lzViS4,65957
 siat/risk_adjusted_return_test.py,sha256=m_VHL5AtT74cJv5i7taTeTfnkX48y0AFJk5phawyYWg,3416
 siat/risk_evaluation.py,sha256=I6B3gty-t--AkDCO0tKF-291YfpnF-IkXcFjqNKCt9I,76286
@@ -95,15 +95,15 @@ siat/risk_free_rate_test.py,sha256=CpmhUf8aEAEZeNu4gvWP2Mz2dLoIgBX5bI41vfUBEr8,4
 siat/sector_china.py,sha256=nP6kfYsnaQWZj8dK-zklwSDW8FDS-obZWp_zL0ec2Ig,118603
 siat/sector_china_test.py,sha256=1wq7ef8Bb_L8F0h0W6FvyBrIcBTEbrTV7hljtpj49U4,5843
 siat/security_price.py,sha256=2oHskgiw41KMGfqtnA0i2YjNNV6cYgtlUK0j3YeuXWs,29185
-siat/security_price2.py,sha256=nz31_RimYG7HySD_06Y_M1t2uuWQw8Q2TcR_tSLQqPQ,25922
-siat/security_prices.py,sha256=eKcKG15LQcOY5Sa0gtUPcwrNzivVdum8rOuO3zew66E,105258
+siat/security_price2.py,sha256=NKlk5VRA-WeSK8dU960PRfWUOzj4BQ4HbUw3t4j9cv8,25955
+siat/security_prices.py,sha256=ChiVcubRiPzUvYm8a5X5qjxWtawRQdYHFQXLIevGFC4,105328
 siat/security_prices_test.py,sha256=OEphoJ87NPKoNow1QA8EU_5MUYrJF-qKoWKNapVfZNI,10779
 siat/security_trend.py,sha256=o0vpWdrJkmODCP94X-Bvn-w7efHhj9HpUYBHtLl55D0,17240
 siat/security_trend2-20240620.py,sha256=QVnEcb7AyVbO77jVqfFsJffGXrX8pgJ9xCfoAKmWBPk,24854
 siat/security_trend2.py,sha256=kCFi8NW4uOkSnl4MkWZB5_rfvDqUiQlVH8tGsvUluEY,25219
 siat/setup.py,sha256=up65rQGLmTBkhtaMLowjoQXYmIsnycnm4g1SYmeQS6o,1335
 siat/shenwan index history test.py,sha256=JCVAzOSEldHalhSFa3pqD8JI_8_djPMQOxpkuYU-Esg,1418
-siat/stock.py,sha256=vNHqpYbwPnQM_wnvZ2XwW8oyMOX10h_EAC1hLyOI4Vo,142341
+siat/stock.py,sha256=tHGEI4yuceM6ZcfQ52y500KU8Bauy70-932nfWhM5Ko,142353
 siat/stock_advice_linear.py,sha256=-twT7IGP-NEplkL1WPSACcNJjggRB2j4mlAQCkzOAuo,31655
 siat/stock_base.py,sha256=uISvbRyOGy8p9QREA96CVydgflBkn5L3OXOGKl8oanc,1312
 siat/stock_china.py,sha256=zyUyghIrkkkYWlHRRP7Hoblxzfp-jrck60pTJpwMahg,91553
@@ -129,14 +129,14 @@ siat/transaction_test.py,sha256=Z8g1LJCN4-mnUByXMUMoFmN0t105cbmsz2QmvSuIkbU,1858
 siat/translate-20230125.py,sha256=NPPSXhT38s5t9fzMvl_fvi4ckSB73ThLmZetVI-xGdU,117953
 siat/translate-20230206.py,sha256=-vtI125WyaJhmPotOpDAmclt_XnYVaWU9ByLWZ6FyYE,118133
 siat/translate-20230215.py,sha256=TJgtPE3n8IjljmZ4Pefy8dmHoNdFF-1zpML6BhA9FKE,121657
-siat/translate.py,sha256=mldxeFwkxFrh_7EV1O_nRju8W0wIPnKAtN_mbN621w8,215280
+siat/translate.py,sha256=d-qS-LsOmeeweaJKgc52EpApGxeym9ax9KjvItWslh8,215292
 siat/translate_20240606.py,sha256=63IyHWEU3Uz9mjwyuAX3fqY4nUMdwh0ICQAgmgPXP7Y,215121
 siat/universal_test.py,sha256=CDAOffW1Rvs-TcNN5giWVvHMlch1w4dp-w5SIV9jXL0,3936
 siat/valuation.py,sha256=NKfeZMdDJOW42oLVHob6eSVBXUqlN1OCnnzwyGAst8c,48855
 siat/valuation_china.py,sha256=EkZQaVkoBjM0c4MCNbaX-bMnlG0e3FXeaWczZDnkptU,67784
 siat/valuation_market_china_test.py,sha256=gbJ0ioauuo4koTPH6WKUkqcXiQPafnbhU5eKJ6lpdLA,1571
-siat/var_model_validation.py,sha256=f-oDewg7bPzyNanz_Y_jLH68NowAA3gXFehW_weKGG0,14898
-siat-3.2.10.dist-info/METADATA,sha256=n5ioDoJo8Nko34gIACjKskk82wgPQ3aXBYubHIe9iDs,1448
-siat-3.2.10.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
-siat-3.2.10.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
-siat-3.2.10.dist-info/RECORD,,
+siat/var_model_validation.py,sha256=R0caWnuZarrRg9939hxh3vJIIpIyPfvelYmzFNZtPbo,14910
+siat-3.2.16.dist-info/METADATA,sha256=AYKaInQ92nqx-lpb--Om1h_2MGJ7Nr-6khzgnvIjWJ4,5407
+siat-3.2.16.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
+siat-3.2.16.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
+siat-3.2.16.dist-info/RECORD,,

siat-3.2.10.dist-info/METADATA

@@ -1,40 +0,0 @@
-Metadata-Version: 2.1
-Name: siat
-Version: 3.2.10
-Summary: Securities Investment Analysis Tools (siat)
-Home-page: https://pypi.org/project/siat/
-Author: Prof. WANG Dehong, International Business School, Beijing Foreign Studies University
-Author-email: wdehong2000@163.com
-License: Copyright (C) WANG Dehong, 2024. For educational purpose only!
-Requires-Dist: pandas-datareader
-Requires-Dist: yfinance
-Requires-Dist: plotly-express
-Requires-Dist: akshare
-Requires-Dist: urllib3
-Requires-Dist: mplfinance
-Requires-Dist: statsmodels
-Requires-Dist: yahoo-earnings-calendar
-Requires-Dist: yahooquery
-Requires-Dist: pypinyin
-Requires-Dist: seaborn
-Requires-Dist: numpy
-Requires-Dist: scipy
-Requires-Dist: pandas
-Requires-Dist: scikit-learn
-Requires-Dist: baostock
-Requires-Dist: pyproject.toml
-Requires-Dist: pathlib
-Requires-Dist: ruamel-yaml
-Requires-Dist: prettytable
-Requires-Dist: graphviz
-Requires-Dist: luddite
-Requires-Dist: pendulum
-
-
-    Security Investment Analysis Toolkit (siat) is designed to use for making case studies in learning security investment, 
-    where cases can be replayed, updated and re-created in different securities, 
-    different time lines and different measurements. 
-    The plug-in is only licensed for teaching and learning purposes, not for commercial use. 
-    The author is not responsible for any results of applying this plug-in in real 
-    investment activities.
-