siat 3.2.1__py3-none-any.whl → 3.2.3__py3-none-any.whl

siat/fund_china.py

@@ -2375,14 +2375,14 @@ def compare_metf_china(fund_list,start,end,ftype='单位净值',graph=True):
             
     #绘图
     y_label=ftype
-    import datetime; today = datetime.date.today()
+    import datetime; todaydt = datetime.date.today()
     
     lang=check_language()
     if lang == 'English':
-        x_label="Source: eastmoney/tiantian funds, "+str(today)
+        x_label="Source: eastmoney/tiantian funds, "+str(todaydt)
         title_txt="Compare Multiple ETF Fund Performance"
     else:
-        x_label="数据来源: 东方财富/天天基金，"+str(today)
+        x_label="数据来源: 东方财富/天天基金，"+str(todaydt)
         title_txt="比较多只ETF基金的净值指标"
 
     draw_lines(fdf,y_label,x_label,axhline_value=0,axhline_label='',title_txt=title_txt, \

siat/markowitz2.py

@@ -1442,6 +1442,9 @@ def portfolio_es_alpha(pf_info,simulation=1000,RF=0):
     mkt1=pd.DataFrame(mkt['Mkt'])
 
     stock_return0m=pd.merge(stock_return0,mkt1,how='left',left_index=True,right_index=True)
+    #必须舍弃空值，否则下面的回归将得不到系数!!!
+    stock_return0m.dropna(inplace=True)
+    
     #处理期间内无风险利率
     """
     if RF:
@@ -1492,8 +1495,7 @@ def portfolio_es_alpha(pf_info,simulation=1000,RF=0):
         stock_return['pReta']=(1+stock_return['pRet'])**252 - 1
         stock_return['Mkta']=(1+stock_return['Mkt'])**252 - 1
         """
-        #回归求截距项作为阿尔法指数
-     
+        #回归求截距项作为阿尔法指数：参与回归的变量不能有空值，否则回归系数将为空值！！！
         (beta,alpha,_,_,_)=stats.linregress(stock_return['Mkt'],stock_return['pRet'])        
         """
         mean_return=stock_return[tickerlist].mul(random_weight,axis=1).sum(axis=1).mean(axis=0)
@@ -1938,7 +1940,9 @@ if __name__=='__main__':
     
     
 #==============================================================================
-
+if __name__=='__main__':
+    graph=True; convex_hull=False
+    
 def portfolio_optimize_alpha(es_info,graph=True,convex_hull=False):
     """
     功能：计算投资组合的最高詹森阿尔法组合，并绘图
@@ -2020,7 +2024,9 @@ def portfolio_optimize_treynor(es_info,graph=True,convex_hull=False):
     return name_hiret,hiret_weights,name_lorisk,lorisk_weights,portfolio_returns
 
 #==============================================================================
-    
+if __name__=='__main__':
+    col_ratio,col_y,col_x,name_hiret,name_lorisk,colorbartxt,title_ext,ylabeltxt,x_axis_name= \
+        ('Sharpe', 'alpha', 'beta', 'MAR', 'GMBA', '阿尔法指数', '阿尔法指数', '阿尔法指数', '贝塔系数')
     
 def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk, \
                            colorbartxt,title_ext,ylabeltxt,x_axis_name,graph=True, \
@@ -2132,6 +2138,7 @@ if __name__=='__main__':
     
     RF=0
     graph=True;hirar_return=False;lorisk=True
+    convex_hull=False
 
 def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
                        graph=True,hirar_return=False,lorisk=True,convex_hull=False):

siat/stock_technical.py

@@ -2438,6 +2438,7 @@ if __name__ =="__main__":
     technical='EMV'; indicator='Close'
     
     attention_values=[0,25,50,75]
+    more_details=False
     ticker_type='auto'; source='auto'
     ahead_days=30*4
     resample_freq='6H'; smooth=True;linewidth=1.5
@@ -2449,8 +2450,7 @@ if __name__ =="__main__":
     price_line_style='dotted'; price_line_color='red'; price_line_width=5; price_line_marker='.'
     
     
-    df=security_technical2(ticker,start,end,technical=technical, \
-                                   loc1='lower left',loc2='lower right')
+    df=security_technical2(ticker,start,end,technical=technical,marker_sizes=[20,150,300])
     
     tlist=['RSI','OBV','MACD','KDJ','VOL','PSY','ARBR','CR','EMV','Bollinger', \
            'TRIX','DMA','BIAS','CCI','W%R','ROC','DMI']
@@ -2459,50 +2459,55 @@ if __name__ =="__main__":
     
 def security_technical2(ticker,start='default',end='default', \
                         technical=['MACD'],indicator='Close', \
-                        ticker_type='auto',source='auto', \
+                        more_details=False, \
                         attention_values=[0,25,50,75,100], \
 
-
-                RSI_days=[6,24], \
-                OBV_days=5, \
-                    
-                MA_days=[5,20], \
-                MACD_fastperiod=12,MACD_slowperiod=26,MACD_signalperiod=9, \
-                    
-                KDJ_fastk_period=9,KDJ_slowk_period=5,KDJ_slowk_matype=1, \
-                KDJ_slowd_period=5,KDJ_slowd_matype=1, \
-                    
-                VOL_fastperiod=5,VOL_slowperiod=10, \
-                PSY_days=12, \
-                ARBR_days=26, \
-                CR_day=16,CR_madays=[5,20], \
-                EMV_day=14,EMV_madays=9, \
-                    
-                BULL_days=20,BULL_nbdevup=2,BULL_nbdevdn=2,BULL_matype=0, \
-                    
-                DMA_fastperiod=10,DMA_slowperiod=50,DMA_madays=10, \
-                    
-                TRIX_day=12,TRIX_madays=20, \
-                BIAS_days=[6,24], \
-                CCI_days=14, \
-                WR_days=[10,6], \
-                ROC_day=12,ROC_madays=6, \
-                DMI_DIdays=14,DMI_ADXdays=6, \
-                       
-                ahead_days=30*4, \
-                resample_freq='6H',smooth=True,linewidth=1.5, \
-                date_range=False,date_freq=False,annotate=False, \
-                    
-                graph=['ALL'],printout=False, \
-                loc1='best',loc2='best', \
-                    
-                facecolor=['whitesmoke','papayawhip'], \
-               #price_line_style=(0,(1,1)), \
-                price_line_style='dotted', \
-                price_line_color=['red','green'], \
-                price_line_width=5,price_line_marker='o', \
-                
-                more_details=False):
+                        ticker_type='auto',source='auto', \
+                        
+                        #指标的默认参数
+                        RSI_days=[6,24], \
+                        OBV_days=5, \
+                        
+                        MA_days=[5,20], \
+                        MACD_fastperiod=12,MACD_slowperiod=26,MACD_signalperiod=9, \
+                        
+                        KDJ_fastk_period=9,KDJ_slowk_period=5,KDJ_slowk_matype=1, \
+                        KDJ_slowd_period=5,KDJ_slowd_matype=1, \
+                        
+                        VOL_fastperiod=5,VOL_slowperiod=10, \
+                        PSY_days=12, \
+                        ARBR_days=26, \
+                        CR_day=16,CR_madays=[5,20], \
+                        EMV_day=14,EMV_madays=9, \
+                        
+                        BULL_days=20,BULL_nbdevup=2,BULL_nbdevdn=2,BULL_matype=0, \
+                        
+                        DMA_fastperiod=10,DMA_slowperiod=50,DMA_madays=10, \
+                        
+                        TRIX_day=12,TRIX_madays=20, \
+                        BIAS_days=[6,24], \
+                        CCI_days=14, \
+                        WR_days=[10,6], \
+                        ROC_day=12,ROC_madays=6, \
+                        DMI_DIdays=14,DMI_ADXdays=6, \
+                        
+                        #数据提前量    
+                        ahead_days=30*4, \
+                            
+                        #绘图参数
+                        resample_freq='6H',smooth=True,linewidth=1.5, \
+                        date_range=False,date_freq=False,annotate=False, \
+                        
+                        graph=['ALL'],printout=False, \
+                        loc1='best',loc2='best', \
+                        
+                        facecolor=['whitesmoke','papayawhip'], \
+                        #price_line_style=(0,(1,1)), \
+                        price_line_style='dotted', \
+                        price_line_color=['red','green'], \
+                        price_line_width=5,price_line_marker='o', \
+                        marker_sizes=[30,120,250], \
+                        ):
     """
     功能：计算和绘制证券技术分析指标的简易图，仅供进一步探索使用，仅用于单个证券(股债基)
     
@@ -2520,7 +2525,7 @@ def security_technical2(ticker,start='default',end='default', \
         return None        
 
     #检查indicator
-    if indicator not in ['Open','Close','High','Low']:
+    if indicator not in ['Open','Close','High','Low','Adj Close']:
         print("  #Warning(security_technical2): not a valid price type for",indicator)
         return None        
         
@@ -2555,7 +2560,21 @@ def security_technical2(ticker,start='default',end='default', \
         print("  #Warning(security_technical2): no prices found for",ticker,'as type',ticker_type)
         return None        
 
+    #当日涨跌
     price['up_down']=price['Close']-price['Open']
+    price['up_down_abs']=abs(price['up_down'])
+    
+    #分位数
+    import numpy as np
+    """
+    max(price['up_down_abs'])
+    min(price['up_down_abs'])
+    """
+    q70=np.percentile(price['up_down_abs'],70)
+    q30=np.percentile(price['up_down_abs'],30)
+    
+    small_size=marker_sizes[0]; mid_size=marker_sizes[1]; big_size=marker_sizes[2]
+    price['marker_size']=price['up_down_abs'].apply(lambda x: big_size if x>=q70 else mid_size if x>=q30 else small_size)
     
     #计算技术指标
     df=calc_technical(price,fromdate,todate, \
@@ -2673,7 +2692,7 @@ def security_technical2(ticker,start='default',end='default', \
     
     #字段排序
     tech_line_collist.sort()
-    df1=df[tech_line_collist+[indicator,'Volume','up_down']]
+    df1=df[tech_line_collist+[indicator,'Volume','up_down','marker_size']]
     
     #绘图----------------------------------------------------------------------
     import matplotlib.pyplot as plt
@@ -2802,12 +2821,12 @@ def security_technical2(ticker,start='default',end='default', \
     seg_list=list(set(list(df1['segment'])))
     
     ax2 = ax.twinx()
-    ylabeltxt2='收盘价'
+    ylabeltxt2=ectranslate(indicator)
     ax2.set_ylabel(ylabeltxt2,fontsize=ylabel_txt_size)
 
     #细灰线先画出轮廓
     ax2.plot(df1.index,df1[indicator],label='', \
-             linestyle=price_line_style,color='grey',lw=1)   
+             linestyle=price_line_style,color='grey',lw=2)   
 
     #不同颜色绘制涨跌价格线
     first_time=True; second_time=False
@@ -2834,8 +2853,10 @@ def security_technical2(ticker,start='default',end='default', \
         ax2.plot(df1seg.index,df1seg[indicator],label=labeltxt, \
                  linestyle=':',color=seg_color,lw=price_line_width,marker=price_line_marker)   
         """
-        ax2.scatter(df1seg.index,df1seg[indicator],label=labeltxt, \
-                 linestyle=':',color=seg_color,lw=price_line_width,marker=price_line_marker)   
+        ax2.scatter(df1seg.index,df1seg[indicator], \
+                    s=df1seg['marker_size'], \
+                    label=labeltxt, \
+                    linestyle=':',color=seg_color,lw=price_line_width,marker=price_line_marker)   
         
         
     """
@@ -2853,6 +2874,16 @@ def security_technical2(ticker,start='default',end='default', \
     
     ax3.set_ylabel("交易量(百万)",fontsize=ylabel_txt_size -4)
     
+    footnote1="\n注：快线自下而上穿过慢线为金叉，自上而下穿过慢线为死叉。"
+    footnote2="价格曲线上端点的大中小对应当日涨跌幅度三分位数的高中低部分。\n"
+    footnote3="横轴日期上的空白处为非交易日（周末或公共节假日）。"
+    
+    import datetime; todaydt = str(datetime.date.today())
+    footnote4="数据来源：新浪/雅虎/stooq/东方财富等，"+todaydt+"统计"
+    
+    footnote=footnote1+footnote2+footnote3+footnote4
+    ax3.set_xlabel(footnote,fontsize=ylabel_txt_size -2)
+    
     #fig.text(0.5, 0.04, 'x', ha='center')
     plt.subplots_adjust(hspace=0.2)
     

{siat-3.2.1.dist-info → siat-3.2.3.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siat
-Version: 3.2.1
+Version: 3.2.3
 Summary: Securities Investment Analysis Tools (siat)
 Home-page: https://pypi.org/project/siat/
 Author: Prof. WANG Dehong, International Business School, Beijing Foreign Studies University

{siat-3.2.1.dist-info → siat-3.2.3.dist-info}/RECORD

@@ -52,7 +52,7 @@ siat/financials_test.py,sha256=HJ3CPo_Xckz2wXi3AEP6ZNWCF1Duc1pLi0Y10USiImc,23829
 siat/fred_test.py,sha256=KF50ssSbsfpa_kT6iuomD0vG4eXztAcOasZxg1OGX5w,1201
 siat/fund.py,sha256=wMDORsCBV8ZXfgwbtq-0bu3qqWY66dHnbqgllW0gWCo,24637
 siat/fund_china.pickle,sha256=wJIIvEjWuZylcaQ3c5kvIdKedpFF5T53cJlG-1LVoms,2410657
-siat/fund_china.py,sha256=igo49Cyy46wUM6D1vl3uKCQgdJ0KX07mQHkbNDg_Q4M,111833
+siat/fund_china.py,sha256=rPGnYSPkbZUqtBoJnxLZLIQ8MjD8vD3TovCMfletBP4,111839
 siat/fund_china_test.py,sha256=-Bh6m0J0GPpIbYXx-H2vpzJoNFI6pE2C2jVPa8DazgE,6649
 siat/fund_test.py,sha256=V4ADb8Gsp8gyeFTwcgRsJBpnUih_O-Q2V1ILc5oKjK8,1116
 siat/future_china.py,sha256=F-HsIf2Op8Z22RzTjet1g8COzldgnMjFNSXsAkeGyWo,17595
@@ -67,7 +67,7 @@ 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/markowitz2-20240620.py,sha256=irZAPnjaatFsKQmFRMENP-cO6bEUl2narYtkU5NKTWI,108019
-siat/markowitz2.py,sha256=0FfGv8JzBWTjq3mjCDmT5K-lqpW6RvIggFD4h4SAGzM,109539
+siat/markowitz2.py,sha256=yu3I90RQUxk8k8D7kCa7b0wNfckOjKWHQZNTUq8512o,110060
 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
@@ -115,7 +115,7 @@ siat/stock_prices_kneighbors.py,sha256=WfZvo5EyeBsm-T37zDj7Sl9dPSRq5Bx4JxIJ9IUum
 siat/stock_prices_linear.py,sha256=-OUKRr27L2aStQgJSlJOrJ4gay_G7P-m-7t7cU2Yoqk,13991
 siat/stock_profile.py,sha256=B3eIwzEmiCqiCaxIlhfdEPsQBoW1PFOe1hkiY3mVF6Y,26038
 siat/stock_technical-20240620.py,sha256=A4x18mZgYSA8SSiDz4u_O3gd5oVRgbI6JIiBfFY0tVw,116013
-siat/stock_technical.py,sha256=trbGq72OkzqR3s-GOk0mItIll4DaqnrMxh6LXxQaRZY,121108
+siat/stock_technical.py,sha256=I7AeesRFKAK_8MZcqtV1ppvnqsTZfQYgxU3iTAUzMiQ,122806
 siat/stock_test.py,sha256=E9YJAvOw1VEGJSDI4IZuEjl0tGoisOIlN-g9UqA_IZE,19475
 siat/stooq.py,sha256=dOc_S5HLrYg48YAKTCs1eX8UTJOOkPM8qLL2KupqlLY,2470
 siat/temp.py,sha256=gbJ0ioauuo4koTPH6WKUkqcXiQPafnbhU5eKJ6lpdLA,1571
@@ -136,7 +136,7 @@ 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-3.2.1.dist-info/METADATA,sha256=2yqURMD_EzOYQIUgGiAxhnd33FaB7Nz8zgNdVlWLtvk,1447
-siat-3.2.1.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
-siat-3.2.1.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
-siat-3.2.1.dist-info/RECORD,,
+siat-3.2.3.dist-info/METADATA,sha256=GB36cl3udD6IE5Vaaah6WH_nNbjjruc60CRXLHwliB8,1447
+siat-3.2.3.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
+siat-3.2.3.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
+siat-3.2.3.dist-info/RECORD,,