def test_major_industry_constitute():
set_global_config('config.json')
provider = '申万'
level = 2
name = '景点'
obj = MajorIndustryConstitutes(provider=provider, level=level)
print(obj.get_major_constitute(name))
def setUp(self) -> None:
set_global_config('config.json')
self.target = ContinuousFactor('自合成指数', '收益率')
self.target.bind_params(ids='ST.IND')
self.benchmark = ContinuousFactor('自合成指数', '收益率')
self.benchmark.bind_params(ids='全市场.IND')
self.start = dt.datetime(2012, 1, 1)
self.end = dt.datetime(2020, 1, 1)
def setUp(self) -> None:
set_global_config('config.json')
self.db_interface = get_db_interface()
self.calendar = TradingCalendar()
self.start_date = dt.datetime(2002, 3, 1)
self.end_date = dt.datetime(2002, 3, 30)
self.ids = ['000001.SZ', '000002.SZ']
self.close = ContinuousFactor('股票日行情', '收盘价', self.db_interface)
self.adj = CompactFactor('复权因子', self.db_interface)
def setUp(self) -> None:
set_global_config('config.json')
self.db_interface = get_db_interface()
self.calendar = TradingCalendar()
self.start_date = dt.datetime(2020, 12, 1)
self.end_date = dt.datetime(2020, 12, 18)
self.ids = ['000001.SZ', '000002.SZ']
# self.ids = StockTickers().ticker(dt.date(2005, 1, 1))
self.close = ContinuousFactor('股票日行情', '收盘价', self.db_interface)
self.adj = CompactFactor('复权因子', self.db_interface)
def daily_routine(config_loc: str):
set_global_config(config_loc)
with TushareData() as tushare_crawler:
tushare_crawler.update_base_info()
tushare_crawler.get_shibor()
tushare_crawler.get_ipo_info()
tushare_crawler.get_company_info()
tushare_crawler.update_hs_holding()
tushare_crawler.get_hs_constitute()
tushare_crawler.update_stock_names()
tushare_crawler.update_dividend()
tushare_crawler.update_index_daily()
tushare_crawler.update_hk_stock_daily()
tushare_crawler.update_fund_daily()
tushare_crawler.update_fund_dividend()
tushare_crawler.update_financial_data()
with WindData() as wind_data:
wind_data.update_stock_daily_data()
wind_data.update_stock_adj_factor()
wind_data.update_stock_units()
wind_data.update_industry()
wind_data.update_pause_stock_info()
wind_data.update_convertible_bond_daily_data()
wind_data.update_cb_convertible_price()
wind_data.update_future_daily_data()
wind_data.update_fund_extra_info()
wind_data.update_fund_info()
wind_data.update_stock_option_daily_data()
with JQData() as jq_data:
jq_data.update_stock_morning_auction_data()
with TDXData() as tdx_data:
tdx_data.update_stock_minute()
tdx_data.update_convertible_bond_minute()
# compute data
ConstLimitStockFactorCompositor().update()
NegativeBookEquityListingCompositor().update()
IndexUpdater().update()
# model data
SMBandHMLCompositor().update()
UMDCompositor().update()
def setUp(self):
set_global_config('config.json')
self.data_reader = AShareDataReader()
forward_return = self.data_reader.forward_return
factors = self.data_reader.log_cap
ticker_selector = StockTickerSelector(StockSelectionPolicy())
market_cap = self.data_reader.stock_free_floating_market_cap
start_date = dt.datetime(2020, 8, 1)
end_date = dt.datetime(2021, 2, 1)
dates = TradingCalendar().first_day_of_month(start_date, end_date)
self.t = CrossSectionalPortfolioAnalysis(forward_return, factors=factors, dates=dates, market_cap=market_cap,
ticker_selector=ticker_selector)
self.t.cache()
def test_ff_model():
set_global_config('config.json')
date = dt.datetime(2020, 3, 3)
model = FamaFrench3FactorModel()
# self = model
print(model.compute_daily_factor_return(date))
import sys
from AShareData import ConstLimitStockFactorCompositor, set_global_config, TDXData, TushareData
if __name__ == '__main__':
# set_global_config(sys.argv[1])
set_global_config("config.json")
tushare_crawler = TushareData()
tushare_crawler.update_base_info()
tushare_crawler.get_shibor()
tushare_crawler.get_ipo_info()
tushare_crawler.get_company_info()
tushare_crawler.update_hs_holding()
tushare_crawler.get_hs_constitute()
tushare_crawler.update_stock_names()
tushare_crawler.update_dividend()
tushare_crawler.update_index_daily()
tushare_crawler.update_hk_stock_daily()
tushare_crawler.update_fund_daily()
tushare_crawler.update_fund_dividend()
# with WindData() as wind_data:
# wind_data.update_stock_daily_data()
# wind_data.update_stock_adj_factor()
# wind_data.update_stock_units()
# wind_data.update_industry()
def setUp(self):
set_global_config('config.json')
def setUp(self):
set_global_config('config.json')
self.portfolio_analysis = ASharePortfolioAnalysis()
self.data_reader = self.portfolio_analysis.data_reader
def setUp(self) -> None:
set_global_config('config.json')
self.jq_data = JQData()
def setUp(self) -> None:
set_global_config('config.json')
self.downloader = TushareData()
def setUp(self) -> None:
config_loc = 'config.json'
set_global_config('config.json')
self.wind_data = WindData.from_config(config_loc)
def setUp(self) -> None:
set_global_config('config.json')
db_interface = get_db_interface()
self.industry_obj = IndustryComparison(index='000905.SH',
industry_provider='中信',
industry_level=2)
def test_index_highlighter():
set_global_config('config.json')
obj = IndexHighlighter()
obj.summary()
import datetime as dt
import sys
from AShareData import AShareDataReader, set_global_config
from AShareData.factor_compositor import FactorPortfolio, FactorPortfolioPolicy
from AShareData.utils import StockSelectionPolicy
if __name__ == '__main__':
set_global_config(sys.argv[1])
data_reader = AShareDataReader()
stock_selection_policy = StockSelectionPolicy()
stock_selection_policy.ignore_new_stock_period = 244
stock_selection_policy.ignore_st = True
stock_selection_policy.ignore_pause = True
policy = FactorPortfolioPolicy()
policy.bins = [5, 10]
policy.stock_selection_policy = stock_selection_policy
policy.start_date = dt.datetime(2010, 1, 1)
policy.industry = data_reader.industry('申万', 1)
policy.weight = data_reader.stock_free_floating_market_cap
policy.name = data_reader.beta.name
policy.factor = data_reader.beta
sub_port = FactorPortfolio(factor_portfolio_policy=policy)
sub_port.update()
import sys
from AShareData import generate_db_interface_from_config, set_global_config, TushareData
from AShareData.model import FamaFrench3FactorModel, FamaFrenchCarhart4FactorModel, SMBandHMLCompositor, UMDCompositor
from update_routine import daily_routine
if __name__ == '__main__':
config_loc = sys.argv[1]
db_interface = generate_db_interface_from_config(config_loc, init=True)
set_global_config(config_loc)
with TushareData() as tushare_data:
tushare_data.init_db()
tushare_data.init_accounting_data()
daily_routine(config_loc)
SMBandHMLCompositor(FamaFrench3FactorModel()).update()
UMDCompositor(FamaFrenchCarhart4FactorModel()).update()
def setUp(self) -> None:
set_global_config('config.json')
