siat 3.3.11__py3-none-any.whl → 3.4.1__py3-none-any.whl

siat/common.py

@@ -1571,7 +1571,7 @@ def print_progress_percent(current,total,steps=5,leading_blanks=2):
             
             if pct=="100%":
                 #print("100% completing")
-                print("100%, wrapping up ...")
+                print("100%, completing ...")
             else:
                 print(pct,end=' ')
     
@@ -1620,7 +1620,7 @@ def print_progress_percent2(current,total_list,steps=5,leading_blanks=4):
             pct=pct_list[pos]
             
             if pct=="100%":
-                print("100% wrapping up ...")
+                print("100%, completing ...")
             else:
                 print(pct,end=' ')
     

siat/markowitz2.py

@@ -165,7 +165,7 @@ def cumulative_returns_plot(retgroup,name_list="",titletxt="投资组合策略
             footnote1="观察期间: "+hstart+'至'+hend
             footnote2="\n数据来源：Sina/EM/Stooq/Yahoo，"+str(stoday)
         else:
-            footnote1="Period of observation: "+hstart+' to '+hend
+            footnote1="Period of sample: "+hstart+' to '+hend
             footnote2="\nData source: Sina/EM/Stooq/Yahoo, "+str(stoday)
             
         xlabeltxt=footnote1+footnote2
@@ -743,7 +743,7 @@ def portfolio_expectation_universal(pname,member_returns,portfolio_weights,membe
         print("  Investment portfolio:",pname)
         print("  Date of analysis:",str(hend))
         print("  Value of portfolio:","about "+str(round(portfolio_value_thedate/1000,2))+"K/portfolio unit")
-        print("  Period of observation:",hstart+' to '+hend)
+        print("  Period of sample:",hstart+' to '+hend)
         print("  Annualized return:",round(annual_return,4))
         print("  Annualized std of return:",round(annual_std,4))
         print("  ***Portfolio Constructing Strategy***")
@@ -819,10 +819,13 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='papayawhip'):
     #临时保存，避免影响原值
     pr=portfolio_returns.copy()
     
+    #统一核定小数位数
+    ndecimals=2
+    
     #以pname组合作为基准
     import numpy as np
     mean_return_pname=pr[pname].mean(axis=0)
-    annual_return_pname=round(((1 + mean_return_pname)**252 - 1)*100,4)
+    annual_return_pname=round(((1 + mean_return_pname)**252 - 1)*100,ndecimals)
     """
     if annual_return_pname > 0:
         pct_style=True  #百分比模式
@@ -832,7 +835,7 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='papayawhip'):
     pct_style=False
     
     std_return_pname=pr[pname].std(axis=0)
-    annual_std_pname= round((std_return_pname*np.sqrt(252))*100,4)
+    annual_std_pname= round((std_return_pname*np.sqrt(252))*100,ndecimals)
     
     import pandas as pd  
     #prr=pd.DataFrame(columns=["名称","年化收益率","收益率变化","年化标准差","标准差变化","收益/风险"])    
@@ -843,12 +846,12 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='papayawhip'):
         
         #年化收益率：按列求均值
         mean_return=pr[c].mean(axis=0)
-        annual_return = round(((1 + mean_return)**252 - 1)*100,4)
+        annual_return = round(((1 + mean_return)**252 - 1)*100,ndecimals)
         
         if pct_style:
-            return_chg=round((annual_return - annual_return_pname) / annual_return_pname * 100,4)
+            return_chg=round((annual_return - annual_return_pname) / annual_return_pname * 100,ndecimals)
         else:
-            return_chg=round((annual_return - annual_return_pname),4)
+            return_chg=round((annual_return - annual_return_pname),ndecimals)
         
         #收益率变化    
         if return_chg==0:
@@ -866,15 +869,15 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='papayawhip'):
     
         #年化标准差
         std_return=pr[c].std(axis=0)
-        annual_std = round((std_return*np.sqrt(252))*100,4)
+        annual_std = round((std_return*np.sqrt(252))*100,ndecimals)
         
         #sharpe_ratio=round(annual_return / annual_std,2)
-        sharpe_ratio=round((annual_return) / annual_std,4)
+        sharpe_ratio=round((annual_return) / annual_std,ndecimals)
         
         if pct_style:
-            std_chg=round((annual_std - annual_std_pname) / annual_std_pname * 100,4)
+            std_chg=round((annual_std - annual_std_pname) / annual_std_pname * 100,ndecimals)
         else:
-            std_chg=round((annual_std - annual_std_pname),4)
+            std_chg=round((annual_std - annual_std_pname),ndecimals)
         
         #标准差变化
         if std_chg==0:
@@ -953,19 +956,32 @@ def portfolio_ranks_cn(portfolio_returns,pname,facecolor='papayawhip'):
     
     prr2.rename(columns={"投资组合名称/策略":text_lang("投资组合名称/策略","Strategy"), \
                          "收益排名":text_lang("收益排名","Return#"), \
-                         "年化收益率%":text_lang("年化收益率%","Annualized Return%"), \
+                         "年化收益率%":text_lang("年化收益率%","pa Return%"), \
                          "收益率变化":text_lang("收益率变化","Return%+/-"), \
                          "风险排名":text_lang("风险排名","Risk#"), \
-                         "年化标准差%":text_lang("年化标准差%","Annualized Std%"), \
+                         "年化标准差%":text_lang("年化标准差%","pa Std%"), \
                          "标准差变化":text_lang("标准差变化","Std%+/-"), \
                          "收益率/标准差":text_lang("收益率/标准差","Return/Std")}, \
                 inplace=True)
     
-    df_display_CSS(prr2,titletxt=titletxt,footnote='',facecolor='papayawhip',decimals=4, \
+    #重新排名：相同的值赋予相同的序号
+    prr2["pa Return%"]=prr2["pa Return%"].apply(lambda x: round(float(x),ndecimals))
+    prr2["Return#"]=prr2["pa Return%"].rank(ascending=False,method='dense')
+    prr2["Return#"]=prr2["Return#"].apply(lambda x: int(x))
+    
+    prr2["pa Std%"]=prr2["pa Std%"].apply(lambda x: round(float(x),ndecimals))
+    prr2["Risk#"]=prr2["pa Std%"].rank(ascending=False,method='dense')
+    prr2["Risk#"]=prr2["Risk#"].apply(lambda x: int(x))
+    
+    prr2["Return/Std"]=prr2["Return/Std"].apply(lambda x: round(float(x),ndecimals))
+    prr2["Ret/Std#"]=prr2["Return/Std"].rank(ascending=False,method='dense')
+    prr2["Ret/Std#"]=prr2["Ret/Std#"].apply(lambda x: int(x))
+    
+    df_display_CSS(prr2,titletxt=titletxt,footnote='',facecolor='papayawhip',decimals=ndecimals, \
                        first_col_align='left',second_col_align='center', \
-                       last_col_align='right',other_col_align='right', \
-                       titile_font_size='16px',heading_font_size='15px', \
-                       data_font_size='15px')
+                       last_col_align='center',other_col_align='center', \
+                       titile_font_size='15px',heading_font_size='14px', \
+                       data_font_size='14px')
     
     """
     print(' ') #空一行
@@ -1110,16 +1126,37 @@ def portfolio_ranks_en(portfolio_returns,pname):
 
 #==============================================================================
 if __name__=='__main__':
-    simulation=1000
+    #Define market information and name of the portfolio: Banking #1
+    Market={'Market':('China','000300.SS','Banking #1')}
+    #First batch of component stocks
+    Stocks1={'601939.SS':.3,#CCB Bank
+             '600000.SS':.3, #SPDB Bank
+             '600036.SS':.2, #CMB Bank
+             '601166.SS':.2,#Industrial Bank
+            }
+    portfolio=dict(Market,**Stocks1)    
+    
+    pf_info=portfolio_build(portfolio,thedate='2024-7-17')
+    
     simulation=50000
+    convex_hull=True; frontier="both"; facecolor='papayawhip'
     
     portfolio_eset(pf_info,simulation=50000)
 
-def portfolio_eset(pf_info,simulation=1000,convex_hull=False,facecolor='papayawhip'):
+def portfolio_feset(pf_info,simulation=50000,convex_hull=True,frontier="both",facecolor='papayawhip'):
+    
+    results=portfolio_eset(pf_info,simulation=simulation,convex_hull=convex_hull,frontier=frontier,facecolor=facecolor)
+    
+    return results
+
+
+def portfolio_eset(pf_info,simulation=50000,convex_hull=False,frontier="both",facecolor='papayawhip'):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年均收益率和标准差，绘制投资组合的可行集
     默认绘制散点图凸包：convex_hull=True
     """
+    DEBUG=True; MORE_DETAIL=False
+    
     [[portfolio,thedate,stock_return,_,_],_]=pf_info
     pname=portfolio_name(portfolio)
     _,_,tickerlist,_,ticker_type=decompose_portfolio(portfolio)
@@ -1138,7 +1175,7 @@ def portfolio_eset(pf_info,simulation=1000,convex_hull=False,facecolor='papayawh
     np.random.seed(RANDOM_SEED)
 
     # 循环模拟n次随机的投资组合
-    print("  Calculating portfolio efficient set, please wait ...")    
+    print("  Calculating portfolio feasible/efficient set, please wait ...")    
     for i in range(simulation):
         # 生成numstocks个随机数，并归一化，得到一组随机的权重数据
         random9 = np.random.random(numstocks)
@@ -1169,7 +1206,6 @@ def portfolio_eset(pf_info,simulation=1000,convex_hull=False,facecolor='papayawh
                          + ['Returns', 'Volatility']
 
     # 绘制散点图
-    print('')
     """
     RandomPortfolios.plot('Volatility','Returns',kind='scatter',color='y',edgecolors='k')
     """
@@ -1186,6 +1222,8 @@ def portfolio_eset(pf_info,simulation=1000,convex_hull=False,facecolor='papayawh
     
     #绘制散点图轮廓线凸包（convex hull）
     if convex_hull:
+        print("  Calculating convex hull ...")
+        
         from scipy.spatial import ConvexHull
         
         #构造散点对的列表
@@ -1197,29 +1235,85 @@ def portfolio_eset(pf_info,simulation=1000,convex_hull=False,facecolor='papayawh
             y=pf_returns_list[pos]
             points=points+[[x,y]]
         
+        #寻找最左侧的坐标：在x最小的同时，y要最大
+        points_df = pd.DataFrame(points, columns=['x', 'y'])
+        points_df.sort_values(by=['x','y'],ascending=[True,False],inplace=True)
+        x1,y1=points_df.head(1).values[0]
+        if DEBUG and MORE_DETAIL:
+            print("\n*** Leftmost point (x1,y1):",x1,y1)
+        
+        #寻找最高点的坐标：在y最大的同时，x要最小
+        points_df.sort_values(by=['y','x'],ascending=[False,True],inplace=True)
+        x2,y2=points_df.head(1).values[0]
+        if DEBUG and MORE_DETAIL:
+            print("*** Highest point (x2,y2):",x2,y2)
+        
+        if DEBUG:
+            plt.plot([x1,x2],[y1,y2],ls=':',lw=2,alpha=0.5)
+        
+        #建立最左侧和最高点之间的拟合直线方程y=a+bx
+        a=(x1*y2-x2*y1)/(x1-x2); b=(y1-y2)/(x1-x2)
+        def y_bar(x_bar):
+            return a+b*x_bar
+        
         # 计算散点集的外轮廓
-        hull = ConvexHull(points)    
+        hull = ConvexHull(points)  
+        
         # 绘制外轮廓线
+        firsttime_efficient=True; firsttime_inefficient=True
         for simplex in hull.simplices:
+            #p1中是一条线段起点和终点的横坐标
+            p1=[points[simplex[0]][0], points[simplex[1]][0]]
+            px1=p1[0];px2=p1[1]
+            #p2中是一条线段起点和终点的纵坐标
+            p2=[points[simplex[0]][1], points[simplex[1]][1]]
+            py1=p2[0]; py2=p2[1]
+            
+            if DEBUG and MORE_DETAIL:
+                print("\n*** Hull line start (px1,py1):",px1,py1)
+                print("*** Hull line end (px2,py2):",px2,py2)
+
+            """
             plt.plot([points[simplex[0]][0], points[simplex[1]][0]],
                      [points[simplex[0]][1], points[simplex[1]][1]], 'k-.')   
-    
-    """
-    #滚动法寻找上边沿
-    points_sorted=points
-    points_sorted.sort(key=lambda x: x[0])
-    points_df=pd.DataFrame(points_sorted,columns=['x','y'])
-    
-    window=100
-    nwindow=int(len(points_df)/window)
-    upper_points=[]
-    for n in range(nwindow):
-        tmp_df=points_df[n*window:n*window+window]
-        max_y=max(tmp_df['y'])
-        max_x=tmp_df[tmp_df['y']==max_y]['x'].values[0]
-        
-        upper_points=upper_points+[[max_x,max_y]]
-    """    
+            """
+            
+            #线段起点：px1,py1；线段终点：px2,py2
+            if DEBUG and MORE_DETAIL:
+                is_efficient=(py1>=y_bar(px1) or py1==y1) and (py2>=y_bar(px2) or py2==y2)
+                print("\n*** is_efficient:",is_efficient)
+                print("py1=",py1,"y_bar1",y_bar(px1),"y1=",y1,"py2=",py2,"ybar2=",y_bar(px2),"y2=",y2)
+                if px1==x1 and py1==y1:
+                    print("====== This is the least risk point !")
+                if px2==x2 and py2==y2:
+                    print("====== This is the highest return point !")
+            
+            #坐标对[px1,py1]既可能作为开始点，也可能作为结束点，[px2,py2]同样
+            if ((py1>=y_bar(px1) or py1==y1) and (py2>=y_bar(px2) or py2==y2)) or \
+               ((py1>=y_bar(px2) or py1==y2) and (py2>=y_bar(px1) or py2==y1)):
+                   
+                #有效边界
+                if frontier.lower() in ['both','efficient']:
+                    if firsttime_efficient:
+                        plt.plot(p1,p2, 'r--',label=text_lang("有效边界","Efficient Frontier"),lw=3,alpha=0.5)   
+                        firsttime_efficient=False
+                    else:
+                        plt.plot(p1,p2, 'r--',lw=3,alpha=0.5)   
+                else:
+                    pass
+            else:
+                #其余边沿
+                if frontier.lower() in ['both','inefficient']:
+                    if firsttime_inefficient:
+                        plt.plot(p1,p2, 'k-.',label=text_lang("无效边界","Inefficient Frontier"),alpha=0.5)
+                        firsttime_inefficient=False
+                    else:
+                        plt.plot(p1,p2, 'k-.',alpha=0.5)
+                else:
+                    pass
+    else:
+        print('')
+      
     
     import datetime as dt; stoday=dt.date.today()
     lang = check_language()
@@ -1243,12 +1337,13 @@ def portfolio_eset(pf_info,simulation=1000,convex_hull=False,facecolor='papayawh
         
         footnote1="Annualized Std -->\n\n"
         footnote2="Based on given securities, constructed "+str(simulation)+" portfolios\n"
-        footnote3="Period of observation: "+hstart+" to "+hend
+        footnote3="Period of sample: "+hstart+" to "+hend
         footnote4="\nData source: Sina/EM/Stooq/Yahoo, "+str(stoday)
     
     plt.xlabel(footnote1+footnote2+footnote3+footnote4,fontsize=xlabel_txt_size)
     
     plt.gca().set_facecolor(facecolor)
+    plt.legend(loc='best')
     plt.show()
 
     return [pf_info,RandomPortfolios]
@@ -1268,7 +1363,7 @@ if __name__=='__main__':
     rate_period='1Y'
     rate_type='treasury'
 
-def portfolio_es_sharpe(pf_info,simulation=1000,RF=0):
+def portfolio_es_sharpe(pf_info,simulation=50000,RF=0):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年均风险溢价及其标准差，绘制投资组合的可行集
     """
@@ -1362,7 +1457,7 @@ if __name__=='__main__':
     rate_period='1Y'
     rate_type='treasury'
 
-def portfolio_es_sortino(pf_info,simulation=1000,RF=0):
+def portfolio_es_sortino(pf_info,simulation=50000,RF=0):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年均风险溢价及其下偏标准差，绘制投资组合的可行集
     """
@@ -1462,7 +1557,7 @@ if __name__=='__main__':
     rate_period='1Y'
     rate_type='treasury'
 
-def portfolio_es_alpha(pf_info,simulation=1000,RF=0):
+def portfolio_es_alpha(pf_info,simulation=50000,RF=0):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年化标准差和阿尔法指数，绘制投资组合的可行集
     """
@@ -1580,7 +1675,7 @@ if __name__=='__main__':
     rate_period='1Y'
     rate_type='treasury'
 
-def portfolio_es_treynor(pf_info,simulation=1000,RF=0):
+def portfolio_es_treynor(pf_info,simulation=50000,RF=0):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的风险溢价和贝塔系数，绘制投资组合的可行集
     """
@@ -1691,7 +1786,7 @@ if __name__=='__main__':
 #==============================================================================
 def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
                           ylabeltxt,x_axis_name,pname,simulation,hstart,hend, \
-                          hiret_point,lorisk_point,convex_hull=True, \
+                          hiret_point,lorisk_point,convex_hull=True,frontier='efficient', \
                           facecolor="papayawhip"):
     """
     功能：将生成的马科维茨可行集RandomPortfolios绘制成彩色散点图
@@ -1719,7 +1814,8 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
     plt.xlabel(footnote1+footnote2+footnote3+footnote4)
     plt.show()
     """    
-    print('')
+    DEBUG=False
+    
     #RandomPortfolios.plot(col_x,col_y,kind='scatter',color='y',edgecolors='k')
     
     pf_ratio = np.array(RandomPortfolios[col_y] / RandomPortfolios[col_x])
@@ -1732,6 +1828,7 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
 
     #绘制散点图轮廓线凸包（convex hull）
     if convex_hull:
+        print("  Calculating convex hull ...")
         from scipy.spatial import ConvexHull
         
         #构造散点对的列表
@@ -1743,13 +1840,65 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
             y=pf_returns_list[pos]
             points=points+[[x,y]]
         
+        #寻找最左侧的坐标：在x最小的同时，y要最大
+        points_df = pd.DataFrame(points, columns=['x', 'y'])
+        points_df.sort_values(by=['x','y'],ascending=[True,False],inplace=True)
+        x1,y1=points_df.head(1).values[0]
+        
+        #寻找最高点的坐标：在y最大的同时，x要最小
+        points_df.sort_values(by=['y','x'],ascending=[False,True],inplace=True)
+        x2,y2=points_df.head(1).values[0]
+        
+        if DEBUG:
+            plt.plot([x1,x2],[y1,y2],ls=':',lw=2,alpha=0.5)
+        
+        #建立最左侧和最高点之间的拟合直线方程y=a+bx
+        a=(x1*y2-x2*y1)/(x1-x2); b=(y1-y2)/(x1-x2)
+        def y_bar(x_bar):
+            return a+b*x_bar
+        
         # 计算散点集的外轮廓
-        hull = ConvexHull(points)    
+        hull = ConvexHull(points)  
+        
         # 绘制外轮廓线
+        firsttime_efficient=True; firsttime_inefficient=True
         for simplex in hull.simplices:
+            #p1中是一条线段起点和终点的横坐标
+            p1=[points[simplex[0]][0], points[simplex[1]][0]]
+            px1=p1[0];px2=p1[1]
+            #p2中是一条线段起点和终点的纵坐标
+            p2=[points[simplex[0]][1], points[simplex[1]][1]]
+            py1=p2[0]; py2=p2[1]
+
+            """
             plt.plot([points[simplex[0]][0], points[simplex[1]][0]],
-                     [points[simplex[0]][1], points[simplex[1]][1]], 'k-')   
-
+                     [points[simplex[0]][1], points[simplex[1]][1]], 'k-.')   
+            """
+            #线段起点：px1,py1；线段终点：px2,py2。但也可能互换起点和终点
+            if ((py1>=y_bar(px1) or py1==y1) and (py2>=y_bar(px2) or py2==y2)) or \
+               ((py1>=y_bar(px2) or py1==y2) and (py2>=y_bar(px1) or py2==y1)) :
+                #有效边界
+                if frontier.lower() in ['both','efficient']:
+                    if firsttime_efficient:
+                        plt.plot(p1,p2, 'r--',label=text_lang("有效边界","Efficient Frontier"),lw=3,alpha=0.5)   
+                        firsttime_efficient=False
+                    else:
+                        plt.plot(p1,p2, 'r--',lw=3,alpha=0.5)   
+                else:
+                    pass
+            else:
+                #其余边沿
+                if frontier.lower() in ['both','inefficient']:
+                    if firsttime_inefficient:
+                        plt.plot(p1,p2, 'k-.',label=text_lang("无效边界","Inefficient Frontier"),alpha=0.5)
+                        firsttime_inefficient=False
+                    else:
+                        plt.plot(p1,p2, 'k-.',alpha=0.5)
+                else:
+                    pass
+    else:
+        #无convex hull
+        print('')
 
     lang = check_language()
     if lang == 'Chinese':
@@ -1772,7 +1921,7 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
         import datetime as dt; stoday=dt.date.today()
         footnote1=x_axis_name+" -->\n\n"
         footnote2="Based on given securities, constructed "+str(simulation)+" portfolios"
-        footnote3="\nPeriod of observation: "+hstart+" to "+hend
+        footnote3="\nPeriod of sample: "+hstart+" to "+hend
         footnote4="\nData source: Sina/EM/Stooq/Yahoo, "+str(stoday)
     
     plt.xlabel(footnote1+footnote2+footnote3+footnote4,fontsize=xlabel_txt_size)
@@ -1780,11 +1929,11 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
     #解析最大比率点和最低风险点信息，并绘点
     [hiret_x,hiret_y,name_hiret]=hiret_point
     #plt.scatter(hiret_x, hiret_y, color='red',marker='*',s=150,label=name_hiret)
-    plt.scatter(hiret_x, hiret_y, color='blue',marker='*',s=200,label=name_hiret)
+    plt.scatter(hiret_x, hiret_y, color='red',marker='*',s=300,label=name_hiret,alpha=0.5)
     
     [lorisk_x,lorisk_y,name_lorisk]=lorisk_point
     #plt.scatter(lorisk_x, lorisk_y, color='m',marker='8',s=100,label=name_lorisk)
-    plt.scatter(lorisk_x, lorisk_y, color='red',marker='8',s=150,label=name_lorisk)
+    plt.scatter(lorisk_x, lorisk_y, color='blue',marker='8',s=150,label=name_lorisk,alpha=0.5)
     
     plt.legend(loc='best')
     
@@ -1866,7 +2015,7 @@ def cvt_portfolio_name(pname,portfolio_returns):
 
 #==============================================================================
 
-def portfolio_optimize_sharpe(es_info,graph=True,convex_hull=False,facecolor='papayawhip'):
+def portfolio_optimize_sharpe(es_info,graph=True,convex_hull=False,frontier='efficient',facecolor='papayawhip'):
     """
     功能：计算投资组合的最高夏普比率组合，并绘图
     MSR: Maximium Sharpe Rate, 最高夏普指数方案
@@ -1920,7 +2069,7 @@ def portfolio_optimize_sharpe(es_info,graph=True,convex_hull=False,facecolor='pa
     hiret_weights,lorisk_weights,portfolio_returns = \
         portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk, \
                            colorbartxt,title_ext,ylabeltxt,x_axis_name,graph=graph, \
-                           convex_hull=convex_hull,facecolor=facecolor)
+                           convex_hull=convex_hull,frontier=frontier,facecolor=facecolor)
 
     print(text_lang("【注释】","[Notes]"))
     print("★MSR ：Maximized Sharpe Ratio"+text_lang("，最大夏普比率点",''))
@@ -1943,7 +2092,7 @@ if __name__=='__main__':
 
 #==============================================================================
 
-def portfolio_optimize_sortino(es_info,graph=True,convex_hull=False,facecolor="papayawhip"):
+def portfolio_optimize_sortino(es_info,graph=True,convex_hull=False,frontier='efficient',facecolor="papayawhip"):
     """
     功能：计算投资组合的最高索替诺比率组合，并绘图
     MSO: Maximium Sortino ratio, 最高索替诺比率方案
@@ -1961,7 +2110,7 @@ def portfolio_optimize_sortino(es_info,graph=True,convex_hull=False,facecolor="p
     title_ext=text_lang("索替诺比率","Sortino Ratio")   #用于标题区别
     colorbartxt=text_lang("索替诺比率","Sortino Ratio") #用于彩色棒标签
     ylabeltxt=text_lang("年化风险溢价","Annualized Risk Premium") #用于纵轴名称
-    x_axis_name=text_lang("年化风险溢价之下偏标准差","Annualized Std of Risk Premium")   #用于横轴名称 
+    x_axis_name=text_lang("年化风险溢价之下偏标准差","Annualized Risk Premium LPSD")   #用于横轴名称 
 
     #定制部分结束...............................................................
     
@@ -1969,7 +2118,7 @@ def portfolio_optimize_sortino(es_info,graph=True,convex_hull=False,facecolor="p
     hiret_weights,lorisk_weights,portfolio_returns = \
         portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk, \
                            colorbartxt,title_ext,ylabeltxt,x_axis_name,graph=graph, \
-                           convex_hull=convex_hull,facecolor=facecolor)
+                           convex_hull=convex_hull,frontier=frontier,facecolor=facecolor)
 
     print(text_lang("【注释】","[Notes]"))
     print("★MSO：Maximum SOrtino ratio"+text_lang("，最大索替诺比率点",''))
@@ -1994,7 +2143,7 @@ if __name__=='__main__':
 if __name__=='__main__':
     graph=True; convex_hull=False
     
-def portfolio_optimize_alpha(es_info,graph=True,convex_hull=False,facecolor='papayawhip'):
+def portfolio_optimize_alpha(es_info,graph=True,convex_hull=False,frontier='efficient',facecolor='papayawhip'):
     """
     功能：计算投资组合的最高詹森阿尔法组合，并绘图
     MAR: Maximium Alpha Ratio, 最高阿尔法指数方案
@@ -2019,7 +2168,7 @@ def portfolio_optimize_alpha(es_info,graph=True,convex_hull=False,facecolor='pap
     hiret_weights,lorisk_weights,portfolio_returns = \
         portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk, \
                            colorbartxt,title_ext,ylabeltxt,x_axis_name,graph=graph, \
-                           convex_hull=convex_hull,facecolor=facecolor)
+                           convex_hull=convex_hull,frontier=frontier,facecolor=facecolor)
 
     print(text_lang("【注释】","[Notes]"))
     print("★MAR ：Maximum Alpha Ratio"+text_lang("，最大阿尔法点",''))
@@ -2041,7 +2190,7 @@ if __name__=='__main__':
     
 #==============================================================================
 
-def portfolio_optimize_treynor(es_info,graph=True,convex_hull=False,facecolor='papayawhip'):
+def portfolio_optimize_treynor(es_info,graph=True,convex_hull=False,frontier='efficient',facecolor='papayawhip'):
     """
     功能：计算投资组合的最高特雷诺比率组合，并绘图
     MTR: Maximium Treynor Ratio, 最高特雷诺指数方案
@@ -2066,7 +2215,7 @@ def portfolio_optimize_treynor(es_info,graph=True,convex_hull=False,facecolor='p
     hiret_weights,lorisk_weights,portfolio_returns = \
         portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk, \
                            colorbartxt,title_ext,ylabeltxt,x_axis_name,graph=graph, \
-                           convex_hull=convex_hull,facecolor=facecolor)
+                           convex_hull=convex_hull,frontier=frontier,facecolor=facecolor)
 
     print(text_lang("【注释】","[Notes]"))
     print("★MTR ：Maximum Treynor Ratio"+text_lang("，最大特雷诺比率点",''))
@@ -2081,7 +2230,7 @@ if __name__=='__main__':
     
 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, \
-                           convex_hull=False,facecolor='papayawhip'):
+                           convex_hull=False,frontier='efficient',facecolor='papayawhip'):
     """
     功能：提供rar比率优化的共同处理部分
     基于RandomPortfolios中的随机投资组合，计算相应的指数，寻找最大指数点和风险最小点，并绘图标注两个点
@@ -2156,7 +2305,8 @@ def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk,
     if graph:
         RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
                               ylabeltxt,x_axis_name,pname,simulation,hstart,hend, \
-                              hiret_point,lorisk_point,convex_hull=convex_hull,facecolor=facecolor)    
+                              hiret_point,lorisk_point,convex_hull=convex_hull, \
+                              frontier=frontier,facecolor=facecolor)    
 
     #返回数据，供进一步分析
     portfolio_returns=StockReturns.copy()
@@ -2191,9 +2341,9 @@ if __name__=='__main__':
     graph=True;hirar_return=False;lorisk=True
     convex_hull=False
 
-def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
+def portfolio_optimize(pf_info,ratio='sharpe',simulation=50000,RF=0, \
                        graph=True,hirar_return=False,lorisk=True, \
-                       convex_hull=False,facecolor='papayawhip'):
+                       convex_hull=True,frontier='efficient',facecolor='papayawhip'):
     """
     功能：集成式投资组合优化策略
     注意：实验发现RF较小时对于结果的影响极其微小难以观察，默认设为不使用无风险利率调整收益
@@ -2224,7 +2374,8 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
         eval(func_optimize)(es_info=es_info,RF=RF,graph=graph)
     """
     name_hiret,hiret_weights,name_lorisk,lorisk_weights,portfolio_returns= \
-        eval(func_optimize)(es_info=es_info,graph=graph,convex_hull=convex_hull,facecolor=facecolor)
+        eval(func_optimize)(es_info=es_info,graph=graph,convex_hull=convex_hull, \
+                            frontier=frontier,facecolor=facecolor)
     
     
     lang = check_language()
@@ -2232,12 +2383,12 @@ def portfolio_optimize(pf_info,ratio='sharpe',simulation=10000,RF=0, \
         zhuhe_txt='组合'
         mingcheng_txt='投资组合名称/策略'
         titletxt="投资组合策略：业绩比较"
-        ylabeltxt="持有收益率"
+        ylabeltxt="持有期收益率"
     else:
         zhuhe_txt=''
         mingcheng_txt='Strategy'
         titletxt="Investment Portfolio Strategy: Performance Comparison"
-        ylabeltxt="Holding Return"
+        ylabeltxt="Holding Period Return"
     
     #打印投资组合构造和业绩表现
     hi_name=modify_portfolio_name(name_hiret+zhuhe_txt)
@@ -2508,7 +2659,7 @@ if __name__=='__main__':
 def cm2inch(x,y):
     return x/2.54,y/2.54
 
-def security_correlation(tickers,start,end,info_type='Close'):
+def security_correlation(tickers,start,end,info_type='Close',facecolor='papayawhip'):
     """
     功能：股票/指数收盘价之间的相关性
     info_type='Close': 默认Close, 还可为Open/High/Low/Volume
@@ -2567,7 +2718,8 @@ def security_correlation(tickers,start,end,info_type='Close'):
     
     im1 = sns.heatmap(df_coor,annot=True,cmap="YlGnBu"
                         , mask=mask#构造mask，去除重复数据显示
-                        ,vmax=1,vmin=-1
+                        , vmax=1,vmin=-1
+                        , cbar=False
                         , fmt='.2f',ax = ax1,annot_kws={"size": 6})
     
     ax1.tick_params(axis = 'both', length=0)
@@ -2617,21 +2769,27 @@ def security_correlation(tickers,start,end,info_type='Close'):
                     elif  pv< 0.001:
                         ax1.text(n+widthx,m+widthy,'***',ha = 'center',color = 'k',fontdict=font_dict)
     
-    plt.title("证券"+info_type_cn+"之间的相关性")
+    plt.title(text_lang("证券","Security's Correlation among ")+text_lang(info_type_cn,info_type+" Prices")+text_lang("之间的相关性",''),fontsize=10)
     plt.tick_params(labelsize=6)
     
-    footnote1="\n显著性数值：***非常显著(<0.001)，**很显著(<0.01)，*显著(<0.05)，其余为不显著"
-    footnote2="\n系数绝对值：>=0.8极强相关，0.6-0.8强相关，0.4-0.6相关，0.2-0.4弱相关，否则为极弱(不)相关"
+    footnote1=text_lang("\n显著性数值：***非常显著(<0.001)，**很显著(<0.01)，*显著(<0.05)，其余为不显著", \
+                        "\nSig level: *** Extremely sig(p<0.001), ** Very sig(<0.01), * Sig(<0.05), others unsig")
+    footnote2=text_lang("\n系数绝对值：>=0.8极强相关，0.6-0.8强相关，0.4-0.6相关，0.2-0.4弱相关，否则为极弱(不)相关", \
+                        "\nCoef. abs: >=0.8 Extreme corr, 0.6-0.8 Strong corr, 0.4-0.6 Corr, <0.4 Weak or uncorr")
 
-    footnote3="\n观察期间: "+start+'至'+end
+    footnote3=text_lang("\n观察期间: ","\nPeriod of sample: ")+start+text_lang('至',' to ')+end
     import datetime as dt; stoday=dt.date.today()    
-    footnote4="；数据来源：Sina/EM/stooq/Yahoo，"+str(stoday)
+    footnote4=text_lang("；数据来源：Sina/EM/Stooq/Yahoo，",". Data source: Sina/EM/Stooq/Yahoo, ")+str(stoday)
     
     fontxlabel={'size':6}
     plt.xlabel(footnote1+footnote2+footnote3+footnote4,fontxlabel)
     #plt.xticks(rotation=45)
     
-    plt.gca().set_facecolor('papayawhip')
+    plt.gca().set_facecolor(facecolor)
+    
+    plt.xticks(fontsize=6, rotation=90)
+    plt.yticks(fontsize=6, rotation=0)
+    
     plt.show()
     
     return df_coor

siat/markowitz_simple.py

@@ -218,7 +218,7 @@ def markowitz_sharpe(components,start,end,risk_free=0.015,simulation=25000, \
                            {"fun":lambda x:(np.sum(x)-1),"type":"eq"}
                         ])
             if res.success:
-                frontier=frontier.append({"std":std,"ret":-res.fun},ignore_index=True)
+                frontier=frontier._append({"std":std,"ret":-res.fun},ignore_index=True)
         
         # 略微上调有效边界
         frontier2=frontier.copy()

siat/security_prices.py

@@ -163,18 +163,18 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
 
     if source in ['auto']:
         #尝试AkShare+Sina+EM（新浪，对中国内地股票、港股和美股有效，但不包括国外市场指数）
-        print("  Trying to capture prices from sina/EM ... ...")
+        print("  Trying to capture prices from sina/EM for",ticker,"...")
         try:
             prices=get_prices_ak(ticker,fromdate,todate,ticker_type=ticker_type) #支持多个证券
         except:
-            print("    #Warning(get_prices): info retrieving failed from sina/EM")
+            print("    #Warning(get_prices): info retrieving failed from sina/EM for",ticker)
         else:
             if prices is None: 
-                print("    #Warning(get_prices): info not found from sina/EM")
+                print("    #Warning(get_prices): info not found from sina/EM for",ticker)
             else:
                 num=len(prices)
                 if num==0:
-                    print("    #Warning(get_prices): security may suspend trading or already expired")
+                    print("    #Warning(get_prices):",ticker,"may be suspended or delisted")
                     return prices
                 else:
                     prices2=remove_timezone(prices)
@@ -188,14 +188,14 @@ def get_prices(ticker,fromdate,todate,adj=False,source='auto', \
             prices=get_price_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")
+            print("    #Warning(get_prices): info retrieving failed from stooq for",ticker)
         else:
             if prices is None: 
-                print("    #Warning(get_prices): info not found from stooq")
+                print("    #Warning(get_prices): info not found from stooq for",ticker)
             else:
                 num=len(prices)
                 if num==0:
-                    print("    #Warning(get_prices): zero record found")
+                    print("    #Warning(get_prices): zero record found for",ticker)
                 else:
                     prices2=remove_timezone(prices)
                     return prices2 #找到有效数据就返回，否则继续      

{siat-3.3.11.dist-info → siat-3.4.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siat
-Version: 3.3.11
+Version: 3.4.1
 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-3.3.11.dist-info → siat-3.4.1.dist-info}/RECORD

@@ -18,7 +18,7 @@ siat/capm_beta.py,sha256=cxXdRVBQBllhbfz1LeTJAIWvyRYhW54nhtNUXv4HwS0,29063
 siat/capm_beta2.py,sha256=lUuCPVSxebkA2yye1PXu1V2Jd2UKEwD_kIA25DCIDTs,29750
 siat/capm_beta_test.py,sha256=ImR0c5mc4hIl714XmHztdl7qg8v1E2lycKyiqnFj6qs,1745
 siat/cmat_commons.py,sha256=Nj9Kf0alywaztVoMVeVVL_EZk5jRERJy8R8kBw88_Tg,38116
-siat/common.py,sha256=Uc_BLjlp6njmGFBMSaM45fcHKgk9kjnKacFcFYljrmE,151620
+siat/common.py,sha256=MjnhlSLKXHXT6TaveSZ5_-RuPNjPuUe-GC0RpzRvnnw,151619
 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
@@ -69,12 +69,12 @@ siat/luchy_draw.py,sha256=8Ue-NKnvSVqINPY1eXat0NJat5MR-gex_K62aOYFdmA,20486
 siat/market_china.py,sha256=EOO-RvdnzJThTrgNHWW3TlWhx4k4rfdjbooOnQsYdQU,50299
 siat/markowitz.py,sha256=DsfS6vG9TAfdJP4GgN-CCArujPi84XjD23CWbxaA2o4,97627
 siat/markowitz2-20240620.py,sha256=irZAPnjaatFsKQmFRMENP-cO6bEUl2narYtkU5NKTWI,108019
-siat/markowitz2.py,sha256=IJloAP3sAotlVs1tWMUXbIu-9tX4D_Dx12pIkfFDRx4,113955
+siat/markowitz2.py,sha256=LK2pDEtE5PUmBtCHmCcRs8FlPqZKmhFXiuLIL4JeQa8,121991
 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
 siat/markowitz_simple-20230709.py,sha256=fSzRrX_3HN3lFGJ3PntJFjfHAOc7vjEUZ6T1uQGdc64,14160
-siat/markowitz_simple.py,sha256=bckFmH3_OUctofdco4ZojZ412Aqci9vAT7WREiP4PGA,14285
+siat/markowitz_simple.py,sha256=aJVvx669ngcCsqoQtA9kvFOQVjsuipYt2fyTc4yMItE,14286
 siat/markowitz_test.py,sha256=fDXoPp6DrKeneYjd0lbb0KfYUJj-VcOvVaPlfsIOstw,5818
 siat/markowitz_test2.py,sha256=FcVZqYU5va4567WGUVUJ7cMQdVbBGxeBAz82Y3BhCTI,2193
 siat/ml_cases.py,sha256=FYDk0O7l9hhHlbrlOVGgbH-h2DA503lhKFi9XugH1f0,86874
@@ -98,7 +98,7 @@ 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=4xvc9AzRhLKJMu6AxVzIqcn1-NrHoeCF2Ao2p9nwYjU,25978
-siat/security_prices.py,sha256=9T4RVZNDlxAGursIb4hZqGeekjYgjBgo3uALhzhWWLw,106181
+siat/security_prices.py,sha256=2aLBSyVRfcZ1-5jqF_r3N02RvlaNNqssJS9GgxGidgM,106235
 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
@@ -139,7 +139,7 @@ siat/valuation_china.py,sha256=EkZQaVkoBjM0c4MCNbaX-bMnlG0e3FXeaWczZDnkptU,67784
 siat/valuation_market_china_test.py,sha256=gbJ0ioauuo4koTPH6WKUkqcXiQPafnbhU5eKJ6lpdLA,1571
 siat/var_model_validation.py,sha256=R0caWnuZarrRg9939hxh3vJIIpIyPfvelYmzFNZtPbo,14910
 siat/yf_name.py,sha256=H1EM8YYXA8nQHIqsJlso0I3HKPiJLT3QujO4gRVQXWs,13945
-siat-3.3.11.dist-info/METADATA,sha256=r7Y7j2sf7516iGiB-pbSzLRC_a0VuYCLWJ2k6zHJOrE,7310
-siat-3.3.11.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siat-3.3.11.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
-siat-3.3.11.dist-info/RECORD,,
+siat-3.4.1.dist-info/METADATA,sha256=0s5TpzHfnUzzwRFnFeoBNXS-3miIuEZglezF2dKX0rs,7309
+siat-3.4.1.dist-info/WHEEL,sha256=2wepM1nk4DS4eFpYrW1TTqPcoGNfHhhO_i5m4cOimbo,92
+siat-3.4.1.dist-info/top_level.txt,sha256=r1cVyL7AIKqeAmEJjNR8FMT20OmEzufDstC2gv3NvEY,5
+siat-3.4.1.dist-info/RECORD,,

{siat-3.3.11.dist-info → siat-3.4.1.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: bdist_wheel (0.41.2)
+Generator: bdist_wheel (0.38.4)
 Root-Is-Purelib: true
 Tag: py3-none-any