siat 3.5.11__py3-none-any.whl → 3.6.1__py3-none-any.whl

siat/risk_adjusted_return2.py

@@ -114,7 +114,12 @@ def get_rolling_sharpe_sortino(ticker,start,end,rar_name="sharpe", \
         RF_period=RF
             
     #收益率减去一个常数其实不影响其标准差的数值，即std(ret-RF)=std(ret)
-    rardf2[ret_type]=rardf2[ret_type] - RF_period
+    try:
+        rardf2[ret_type]=rardf2[ret_type] - RF_period
+    except:
+        print("  #Warning(get_rolling_sharpe_sortino): unsupported ret_type",ret_type)
+        return None
+        
     rardf3=rolling_ret_volatility(rardf2, period=ret_period)
     rardf4=rolling_ret_lpsd(rardf3, period=ret_period)   
     
@@ -269,7 +274,7 @@ if __name__=='__main__':
     alpha2y=get_rolling_treynor_alpha(ticker,start,end,rar_name="alpha",ret_type="Annual Ret%",RF=0.01759)
 
 def get_rolling_treynor_alpha(ticker,start,end,rar_name="alpha", \
-                              ret_type="Monthly Ret%",RF=0, \
+                              ret_type="Monthly Adj Ret%",RF=0, \
                               regression_period=365,mktidx='auto',source='auto',ticker_type='auto'):
     """
     功能：获取一只股票的特雷诺比率或阿尔法指数，基于给定的滚动收益率类型，在指定期间内
@@ -804,6 +809,9 @@ if __name__=='__main__':
 
 def compare_1ticker_mrar(ticker,start,end,rar=['sharpe','sortino','treynor','alpha'], \
                          ret_type="Annual Adj Ret%",RF=0,regression_period=365, \
+                             attention_value='', \
+                             attention_point='', \
+
                          graph=True,loc1='best', \
                          axhline_value=0,axhline_label='',facecolor='whitesmoke', \
                          printout=False,sortby='tpw_mean',trailing=7,trend_threshhold=0.01, \
@@ -904,6 +912,9 @@ def compare_1ticker_mrar(ticker,start,end,rar=['sharpe','sortino','treynor','alp
         draw_lines(df1,y_label,x_label=footnotex, \
                    axhline_value=axhline_value,axhline_label=axhline_label, \
                    title_txt=title_txt,data_label=False, \
+                             attention_value=attention_value, \
+                             attention_point=attention_point, \
+
                    annotate=annotate,annotate_value=annotate, \
                    mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                    facecolor=facecolor,loc=loc1)
@@ -962,7 +973,9 @@ if __name__=='__main__':
     rars=compare_mticker_1rar(ticker=["600519.SS","000858.SZ"],start="2024-1-1",end="2024-6-16",rar='sharpe',printout=True)
 
 def compare_mticker_1rar(ticker,start,end,rar='sharpe', \
-                         ret_type="Annual Ret%",RF=0,regression_period=365, \
+                         ret_type="Annual Adj Ret%",RF=0,regression_period=365, \
+                             attention_value='', \
+                             attention_point='', \
                          graph=True,loc1='best', \
                          axhline_value=0,axhline_label='', \
                          printout=False,sortby='tpw_mean',trailing=7,trend_threshhold=0.01, \
@@ -1084,6 +1097,9 @@ def compare_mticker_1rar(ticker,start,end,rar='sharpe', \
         draw_lines(df1,y_label,x_label=footnotex, \
                    axhline_value=axhline_value,axhline_label=axhline_label, \
                    title_txt=title_txt,data_label=False, \
+                             attention_value=attention_value, \
+                             attention_point=attention_point, \
+
                    annotate=annotate,annotate_value=annotate, \
                    mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                    facecolor=facecolor,loc=loc1)
@@ -1138,7 +1154,9 @@ if __name__=='__main__':
     rars=compare_mticker_mrar(ticker,start,end,rar,graph=False,printout=True)
 
 def compare_mticker_mrar(ticker,start,end,rar=['sharpe','alpha','sortino','treynor'], \
-                         ret_type="Annual Ret%",RF=0,regression_period=365, \
+                         ret_type="Annual Adj Ret%",RF=0,regression_period=365, \
+                                             attention_value='', \
+                                             attention_point='', \
                          graph=True,loc1='best', \
                          axhline_value=0,axhline_label='', \
                          printout=True,sortby='tpw_mean',trailing=7,trend_threshhold=0.01, \
@@ -1167,6 +1185,8 @@ def compare_mticker_mrar(ticker,start,end,rar=['sharpe','alpha','sortino','treyn
         #with HiddenPrints(): #此项将压制所有print输出，造成表头脚注不显示
         _,df_tmp=compare_mticker_1rar(ticker=ticker,start=start,end=end,rar=r, \
                                  ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                             attention_value=attention_value, \
+                                             attention_point=attention_point, \
                                  graph=graph,facecolor=facecolor, \
                                  axhline_value=axhline_value,axhline_label=axhline_label, \
                                  printout=printout,sortby=sortby, \
@@ -1340,8 +1360,10 @@ if __name__=='__main__':
     rars=compare_1ticker_1rar_mret(ticker,start,end,rar,ret_type,printout=True)
 
 def compare_1ticker_1rar_mret(ticker,start,end,rar='sharpe', \
-                         ret_type=["Annual Ret%","Monthly Ret%"], \
+                         ret_type=["Annual Adj Ret%","Monthly Adj Ret%"], \
                          RF=0,regression_period=365, \
+                             attention_value='', \
+                             attention_point='', \
                          graph=True,loc1='best', \
                          axhline_value=0,axhline_label='',facecolor='whitesmoke', \
                          printout=False,sortby='tpw_mean',trailing=7,trend_threshhold=0.01, \
@@ -1373,7 +1395,7 @@ def compare_1ticker_1rar_mret(ticker,start,end,rar='sharpe', \
         RF=RF[0]
     if isinstance(regression_period,list):
         regression_period=regression_period[0]
-    print("  Starting to retrieve and calculate",rar,"for",ticker_name(ticker,ticker_type),"on different types of return, please wait ......\n")
+    print("  Working on",rar,"for",ticker_name(ticker,ticker_type),"in different returns, please wait ......\n")
         
     df=pd.DataFrame() 
     for t in ret_type:
@@ -1435,6 +1457,8 @@ def compare_1ticker_1rar_mret(ticker,start,end,rar='sharpe', \
         draw_lines(df1,y_label,x_label=footnotex, \
                    axhline_value=axhline_value,axhline_label=axhline_label, \
                    title_txt=title_txt,data_label=False, \
+                                             attention_value=attention_value, \
+                                             attention_point=attention_point, \
                    annotate=annotate,annotate_value=annotate, \
                    mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                    facecolor=facecolor,loc=loc1)
@@ -1490,7 +1514,9 @@ if __name__=='__main__':
     rars=compare_1ticker_1rar_1ret_mRF(ticker,start,end,rar,ret_type,RF)
 
 def compare_1ticker_1rar_1ret_mRF(ticker,start,end,rar='sharpe', \
-                         ret_type="Annual Ret%",RF=[0,0.02,0.05],regression_period=365, \
+                         ret_type="Annual Adj Ret%",RF=[0,0.02,0.05],regression_period=365, \
+                                             attention_value='', \
+                                             attention_point='', \
                          graph=True,loc1='best', \
                          axhline_value=0,axhline_label='',facecolor='whitesmoke', \
                          printout=False,sortby='tpw_mean',trailing=7,trend_threshhold=0.01, \
@@ -1579,6 +1605,8 @@ def compare_1ticker_1rar_1ret_mRF(ticker,start,end,rar='sharpe', \
         draw_lines(df1,y_label,x_label=footnotex, \
                    axhline_value=axhline_value,axhline_label=axhline_label, \
                    title_txt=title_txt,data_label=False, \
+                                             attention_value=attention_value, \
+                                             attention_point=attention_point, \
                    annotate=annotate,annotate_value=annotate, \
                    mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                    facecolor=facecolor,loc=loc1)
@@ -1652,6 +1680,8 @@ def compare_rar_security(ticker,start,end,rar='sharpe', \
                          ret_type="Annual Adj Ret%", \
                          RF=0, \
                          regression_period=365, \
+                            attention_value='', \
+                            attention_point='', \
                          graph=True,loc1='best', \
                          axhline_value=0,axhline_label='',facecolor='whitesmoke', \
                          printout=False,sortby='tpw_mean',trailing=7,trend_threshhold=0.05, \
@@ -1683,6 +1713,9 @@ def compare_rar_security(ticker,start,end,rar='sharpe', \
             if rar_num ==1:   #一个RAR             
                 df=compare_mticker_1rar(ticker=ticker,start=start,end=end,rar=rar, \
                                          ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                             attention_value=attention_value, \
+                                             attention_point=attention_point, \
+
                                          graph=graph,loc1=loc1, \
                                          axhline_value=axhline_value,axhline_label=axhline_label, \
                                          printout=printout, \
@@ -1697,6 +1730,9 @@ def compare_rar_security(ticker,start,end,rar='sharpe', \
                 printout=True #否则无法运行descriptive_statistics2函数
                 df=compare_mticker_mrar(ticker=ticker,start=start,end=end,rar=rar, \
                                         ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                            attention_value=attention_value, \
+                                            attention_point=attention_point, \
+
                                         graph=graph,loc1=loc1, \
                                         axhline_value=axhline_value,axhline_label=axhline_label, \
                                         printout=printout, \
@@ -1720,6 +1756,9 @@ def compare_rar_security(ticker,start,end,rar='sharpe', \
                 
             df=compare_1ticker_mrar(ticker=ticker,start=start,end=end,rar=rar, \
                                      ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                         attention_value=attention_value, \
+                                         attention_point=attention_point, \
+
                                      graph=graph,loc1=loc1, \
                                      axhline_value=axhline_value,axhline_label=axhline_label, \
                                      printout=printout,facecolor=facecolor, \
@@ -1741,6 +1780,9 @@ def compare_rar_security(ticker,start,end,rar='sharpe', \
                 
             df=compare_1ticker_1rar_mret(ticker=ticker,start=start,end=end,rar=rar, \
                                      ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                         attention_value=attention_value, \
+                                         attention_point=attention_point, \
+
                                      graph=graph,loc1=loc1, \
                                      axhline_value=axhline_value,axhline_label=axhline_label, \
                                      printout=printout, \
@@ -1760,6 +1802,9 @@ def compare_rar_security(ticker,start,end,rar='sharpe', \
                 
             df=compare_1ticker_1rar_1ret_mRF(ticker=ticker,start=start,end=end,rar=rar, \
                                      ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                         attention_value=attention_value, \
+                                         attention_point=attention_point, \
+
                                      graph=graph,loc1=loc1, \
                                      axhline_value=axhline_value,axhline_label=axhline_label, \
                                      printout=printout,facecolor=facecolor, \
@@ -1776,6 +1821,9 @@ def compare_rar_security(ticker,start,end,rar='sharpe', \
     #情形5：1只证券，1个RAR，1个收益率类型，1个RF
     df=compare_1ticker_mrar(ticker=ticker,start=start,end=end,rar=rar, \
                              ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                     attention_value=attention_value, \
+                                     attention_point=attention_point, \
+
                              graph=graph,loc1=loc1, \
                              axhline_value=axhline_value,axhline_label=axhline_label, \
                              printout=printout,sortby=sortby, \

siat/security_prices.py

@@ -2850,6 +2850,7 @@ def fetch_price_swindex(ticker,start,end,info_types=['Close','Volume'],adjust=-2
     info_types：信息测度，默认['Close']，还可以为['Close','Open','High','Low',
                                      'Volume','Adj Close']
     特点：为compare_indicator使用，包括指数名称
+    
     """
     df=None
     
@@ -2867,6 +2868,7 @@ def fetch_price_swindex(ticker,start,end,info_types=['Close','Volume'],adjust=-2
         ticker=ticker+'.SW'
     ticker6=ticker[:6]
     try:
+        # 注意：如果失败，尝试升级akshare
         prices= ak.index_hist_sw(symbol=ticker6,period="day")
     except: 
         try:

siat/security_trend2.py

@@ -123,21 +123,28 @@ if __name__=='__main__':
     
 def security_trend(ticker,indicator='Close',adjust='', \
                    start='default',end='default', \
-                       
+                   #纵轴水平线
                    attention_value='',average_value=False, \
+                   #横轴垂直线
+                   attention_point='', \
                        
-                   kline=False,kline_demo=False,mav=[5,10,20], \
+                   kline=False,kline_demo=False,mav=[5,20], \
                        
                    dividend=False,split=False, \
-                       
+                   
+                   #计算RAR和贝塔系数的基础参数    
                    ret_type='Annual Adj Ret%',RF=0,regression_period=365,market_index="auto", \
                    sortby='tpw_mean',trailing=7,trend_threshhold=0.05, \
-                       
+                   
+                   #绘制河流图的上下边界    
                    band_area='', \
+                   
+                       
                    graph=True,twinx=False,loc1='best',loc2='best', \
                    datatag=False,power=0, \
                    smooth=True,date_range=False,date_freq=False, \
-                       
+                   
+                   #数据预处理    
                    preprocess='none',scaling_option='change%', \
                        
                    annotate=False,annotate_value=False, \
@@ -211,7 +218,9 @@ def security_trend(ticker,indicator='Close',adjust='', \
     source参数：指定证券基础数据来源，默认由系统决定。当系统找到的数据不理想时，可手动指定。
     若指定雅虎财经数据源，需要拥有访问该网站的权限。
     """    
-    critical_value=attention_value
+    DEBUG=False
+    
+    #critical_value=attention_value
         
     portfolio_flag=False #标志：ticker中是否含有投资组合
     ticker=tickers_cvt2yahoo(ticker) #支持多种形式证券代码格式
@@ -307,8 +316,9 @@ def security_trend(ticker,indicator='Close',adjust='', \
     # 检查趋势指标
     indicator_list1=['Open','Close','Adj Close','High','Low',
              'Daily Ret','Daily Ret%','Daily Adj Ret','Daily Adj Ret%',
-             'log(Daily Ret)','log(Daily Adj Ret)','Weekly Ret','Weekly Ret%',
-             'Weekly Adj Ret','Weekly Adj Ret%','Monthly Ret','Monthly Ret%',
+             'log(Daily Ret)','log(Daily Adj Ret)',
+             'Weekly Ret','Weekly Ret%','Weekly Adj Ret','Weekly Adj Ret%',
+             'Monthly Ret','Monthly Ret%',
              'Monthly Adj Ret','Monthly Adj Ret%','Quarterly Ret','Quarterly Ret%',
              'Quarterly Adj Ret','Quarterly Adj Ret%','Annual Ret','Annual Ret%',
              'Annual Adj Ret','Annual Adj Ret%','Exp Ret','Exp Ret%','Exp Adj Ret',
@@ -327,7 +337,8 @@ def security_trend(ticker,indicator='Close',adjust='', \
              'Annual Adj Ret Volatility', 'Annual Adj Ret Volatility%',
              'Exp Ret Volatility', 'Exp Ret Volatility%', 'Exp Adj Ret Volatility',
              'Exp Adj Ret Volatility%', 'Weekly Ret LPSD', 'Weekly Ret LPSD%',
-             'Weekly Adj Ret LPSD', 'Weekly Adj Ret LPSD%', 'Monthly Ret LPSD',
+             'Weekly Adj Ret LPSD', 'Weekly Adj Ret LPSD%', 
+             'Monthly Ret LPSD',
              'Monthly Ret LPSD%', 'Monthly Adj Ret LPSD', 'Monthly Adj Ret LPSD%',
              'Quarterly Ret LPSD', 'Quarterly Ret LPSD%', 'Quarterly Adj Ret LPSD',
              'Quarterly Adj Ret LPSD%', 'Annual Ret LPSD', 'Annual Ret LPSD%',
@@ -390,17 +401,20 @@ def security_trend(ticker,indicator='Close',adjust='', \
         return None
     """
     # 情形1：单个证券，单个普通指标===============================================
-    # 绘制横线
+    # 绘制零线：由绘图函数自动判断
     zeroline=False
+    """
     if (critical_value != ''):
         if isinstance(critical_value,float) or isinstance(critical_value,int):
             zeroline=critical_value
-    
+    """
     if ticker_num==1 and indicator_num==1 and indicator_group1:
         df=security_indicator(ticker=tickers[0],indicator=measures[0],adjust=adjust, \
                               fromdate=fromdate,todate=todate, \
                               zeroline=zeroline, \
+                              attention_value=attention_value, \
                               average_value=average_value, \
+                              attention_point=attention_point, \
                               datatag=datatag,power=power,graph=graph, \
                               source=source, \
                               mark_top=mark_top,mark_bottom=mark_bottom, \
@@ -410,18 +424,32 @@ def security_trend(ticker,indicator='Close',adjust='', \
     
     # 情形2：单个证券，两个普通指标，twinx==True =================================
     if ticker_num==1 and indicator_num == 2 and indicator_group1 and twinx:
+        if DEBUG:
+            print("Scenario 2: ticker_num==1 and indicator_num == 2 and indicator_group1 and twinx")
+            print("attention_value=",attention_value)
+            print("attention_point=",attention_point)
+        
         df=compare_security(tickers=tickers[0],measures=measures[:2], \
                             adjust=adjust, \
                             fromdate=fromdate,todate=todate,twinx=twinx, \
+                                attention_value=attention_value, \
+                                attention_point=attention_point, \
                             loc1=loc1,loc2=loc2,graph=graph,source=source, \
                             ticker_type=ticker_type,facecolor=facecolor)
         return df
     
     # 情形3：单个证券，两个及以上普通指标，twinx==False ==========================
     if ticker_num==1 and indicator_num >= 2 and indicator_group1 and not twinx:
+        if DEBUG:
+            print("Scenario 3: ticker_num==1 and indicator_num >= 2 and indicator_group1 and not twinx")
+            print("attention_value=",attention_value)
+            print("attention_point=",attention_point)
+        
         df=security_mindicators(ticker=tickers[0],measures=measures, \
                                 adjust=adjust, \
                                 fromdate=fromdate,todate=todate, \
+                                    attention_value=attention_value, \
+                                    attention_point=attention_point, \
                                 graph=graph,smooth=smooth,band_area=band_area,loc=loc1, \
                                 date_range=date_range,date_freq=date_freq, \
                                 annotate=annotate,annotate_value=annotate_value, \
@@ -432,9 +460,16 @@ def security_trend(ticker,indicator='Close',adjust='', \
     
     # 情形4：两个证券，取第一个普通指标，twinx==True =============================
     if ticker_num==2 and indicator_group1 and twinx:
+        if DEBUG:
+            print("Scenario 4: ticker_num==2 and indicator_group1 and twinx")
+            print("attention_value=",attention_value)
+            print("attention_point=",attention_point)
+        
         df=compare_security(tickers=tickers,measures=measures[0], \
                             adjust=adjust, \
                             fromdate=fromdate,todate=todate,twinx=twinx, \
+                                attention_value=attention_value, \
+                                attention_point=attention_point, \
                             loc1=loc1,loc2=loc2,graph=graph,source=source, \
                             ticker_type=ticker_type,facecolor=facecolor)
         return df
@@ -450,14 +485,22 @@ def security_trend(ticker,indicator='Close',adjust='', \
     # 绘制横线
     axhline_value=0
     axhline_label=''
+    """
     if (critical_value != ''):
         if isinstance(critical_value,float) or isinstance(critical_value,int):
             axhline_value=critical_value
             axhline_label='零线'
-        
+    """    
     if ((ticker_num == 2 and not twinx) or ticker_num > 2) and indicator_group1:
+        if DEBUG:
+            print("Scenario 5: ((ticker_num == 2 and not twinx) or ticker_num > 2) and indicator_group1")
+            print("attention_value=",attention_value)
+            print("attention_point=",attention_point)
+
         df=compare_msecurity(tickers=tickers,measure=measures[0], \
                       start=fromdate,end=todate, \
+                        attention_value=attention_value, \
+                        attention_point=attention_point, \
                       adjust=adjust, \
                       axhline_value=axhline_value,axhline_label=axhline_label, \
                       preprocess=preprocess,linewidth=linewidth, \
@@ -474,8 +517,15 @@ def security_trend(ticker,indicator='Close',adjust='', \
     # 注意：收益率类型支持滚动收益率和扩展收益率，但不建议混合使用，因为难以解释结果
     # 复权价：使用ret_type为xx Adj Ret%即可
     if indicator_group2:
+        if DEBUG:
+            print("Scenario 6: indicator_group2 RAR")
+            print("attention_value=",attention_value)
+            print("attention_point=",attention_point)
+
         df=compare_rar_security(ticker=tickers,start=fromdate,end=todate,rar=measures, \
                                  ret_type=ret_type,RF=RF,regression_period=regression_period, \
+                                     attention_value=attention_value, \
+                                     attention_point=attention_point, \
                                  graph=graph,axhline_value=0,axhline_label='', \
                                  loc1=loc1, \
                                  printout=printout, \
@@ -491,7 +541,10 @@ def security_trend(ticker,indicator='Close',adjust='', \
         df=compare_beta_security(ticker=tickers,start=fromdate,end=todate, \
                                  adjust=adjust, \
                                  RF=RF,regression_period=regression_period, \
-                                 graph=graph,facecolor=facecolor, \
+                                     attention_value=attention_value, \
+                                     attention_point=attention_point, \
+                                     
+                                 graph=graph,facecolor=facecolor,loc=loc1, \
                                  annotate=annotate,annotate_value=annotate_value, \
                                  mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end, \
                                  mktidx=market_index,source=source, \
@@ -506,12 +559,15 @@ def security_trend(ticker,indicator='Close',adjust='', \
                               preprocess=preprocess,scaling_option=scaling_option, \
                               twinx=twinx,loc1=loc1,loc2=loc2, \
                               graph=graph,facecolor=facecolor, \
+                                     attention_value=attention_value, \
+                                     attention_point=attention_point, \
+
                               annotate=annotate,annotate_value=annotate_value, \
                               mark_top=mark_top,mark_bottom=mark_bottom,mark_end=mark_end)
         return df
     
     # 其他未预料情形
-    print("  #Error(security_trend): unsupported combination of security(ies) and indicator(s):-(")
+    print("  #Warning(security_trend): unexpected combination of security(ies) and indicator(s):-(")
     
     return None