/
compute_vert_perc_features.py
executable file
·185 lines (175 loc) · 4.49 KB
/
compute_vert_perc_features.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
#!/usr/bin/python2.7
import argparse
import os
import util
# https://docs.google.com/spreadsheets/d/1XwI_qtsYzTwNhEnxPhGf2ftEl0EwXCc_c_1KVS1_w8w/edit#gid=400608303&vpid=A1
# with coverage > 0
SF1_ITEMS = [
'ACCOCI-ARQ',
'ASSETS-ARQ',
'ASSETSAVG-ART',
'ASSETSC-ARQ',
'ASSETSNC-ARQ',
'ASSETS_EQUITY-ARQ',
'ASSETTURNOVER-ART',
'BVPS-ARQ',
'CAPEX-ARQ',
'CAPEX-ART',
'CASHNEQ-ARQ',
'CASHNEQ_ASSETS-ARQ',
'COR-ARQ',
'COR-ART',
'CURRENTRATIO-ARQ',
'DE-ARQ',
'DEBT-ARQ',
'DEPAMOR-ARQ',
'DEPAMOR-ART',
'DILUTIONRATIO-ARQ',
'DILUTIONRATIO-ART',
'DIVYIELD-ND',
'DPS-ARQ',
'DPS-ART',
'EBIT-ARQ',
'EBIT-ART',
'EBITDA-ARQ',
'EBITDA-ART',
'EBITDAMARGIN-ART',
'EBIT_INTEXP-ARQ',
'EBIT_INTEXP-ART',
'EBIT_REVENUE-ARQ',
'EBIT_REVENUE-ART',
'EBT-ARQ',
'EBT-ART',
'EPS-ARQ',
'EPS-ART',
'EPSDIL-ARQ',
'EPSDIL-ART',
'EPSDILGROWTH1YR-ART',
'EPSGROWTH1YR-ART',
'EQUITY-ARQ',
'EQUITYAVG-ART',
'EV-ND',
'EVEBIT-ART',
'EVEBITDA-ART',
'FCF-ARQ',
'FCF-ART',
'FCFPS-ARQ',
'FCFPS-ART',
'FCF_REVENUE-ARQ',
'FCF_REVENUE-ART',
'GP-ARQ',
'GP-ART',
'GROSSMARGIN-ART',
'INTANGIBLES-ARQ',
'INTANGIBLES_ASSETS-ARQ',
'INTERESTBURDEN-ART',
'INTEXP-ARQ',
'INTEXP-ART',
'LEVERAGERATIO-ART',
'LIABILITIES-ARQ',
'LIABILITIESC-ARQ',
'LIABILITIESC_ASSETSC-ARQ',
'LIABILITIESNC-ARQ',
'MARKETCAP-ND',
'NCF-ARQ',
'NCF-ART',
'NCFF-ARQ',
'NCFF-ART',
'NCFI-ARQ',
'NCFI-ART',
'NCFO-ARQ',
'NCFO-ART',
'NCFOGROWTH1YR-ART',
'NCFX-ARQ',
'NCFX-ART',
'NETINC-ARQ',
'NETINC-ART',
'NETINCCMN-ARQ',
'NETINCCMN-ART',
'NETINCDIS-ARQ',
'NETINCDIS-ART',
'NETINCGROWTH1YR-ART',
'NETMARGIN-ART',
'PAYABLES-ARQ',
'PAYOUTRATIO-ART',
'PB-ARQ',
'PE-ART',
'PE1-ART',
'PREFDIVIS-ARQ',
'PREFDIVIS-ART',
'PS-ART',
'PS1-ART',
'RECEIVABLES-ARQ',
'RECEIVABLES_REVENUE-ARQ',
'REVENUE-ARQ',
'REVENUE-ART',
'REVENUEGROWTH1YR-ART',
'RND-ARQ',
'RND-ART',
'ROA-ART',
'ROE-ART',
'ROS-ART',
'SGNA-ARQ',
'SGNA-ART',
'SGNA_REVENUE-ARQ',
'SGNA_REVENUE-ART',
'SHARESWA-ARQ',
'SHARESWA-ART',
'SHARESWADIL-ARQ',
'SHARESWADIL-ART',
'SHARESWAGROWTH1YR-ART',
'SPS-ART',
'TANGIBLES-ARQ',
'TAXEFFICIENCY-ART',
'TAXEXP-ARQ',
'TAXEXP-ART',
'TAXRATE-ARQ',
'TAXRATE-ART',
'TBVPS-ARQ',
'WORKINGCAPITAL-ARQ',
]
SF1_WINDOWS = '0,1,2,3,4,8,16'
PRICE_ITEMS = ['adjprice']
PRICE_WINDOWS = '0,1,2,3,6,9,12,15,18,21,24,27,30,33,36,39,42,45,48'
def shouldRun(output_dir, info_dir, feature, windows):
""" Returns whether feature computation should run on the specified dir.
It should run if: no info file is present, indicating either there
is no previous run or the previous run has failed.
Output feature dir is prepared upon output.
"""
windows = [int(w) for w in windows.split(',')]
missing_info = False
for window in windows:
target_file = '%s_vp-%d' % (feature, window)
if not os.path.isfile('%s/%s' % (info_dir, target_file)):
missing_info = True
target_dir = '%s/%s' % (output_dir, target_file)
if not os.path.isdir(target_dir):
os.mkdir(target_dir)
else:
assert len(os.listdir(target_dir)) == 0, 'non-empty dir: %s' % target_dir
return missing_info
def maybeRun(args, input_dir, feature, windows):
if not shouldRun(args.feature_base_dir, args.info_dir, feature, windows):
return
cmd = ('%s --input_dir=%s --output_dir=%s --feature=%s --windows=%s '
'--ticker_file=%s --info_base_dir=%s' % (
args.computer, input_dir, args.feature_base_dir, feature, windows,
args.ticker_file, args.info_dir))
util.run(cmd)
def main():
parser = argparse.ArgumentParser()
parser.add_argument('--computer',
default='/Users/lnyang/lab/qd2/qd2/compute_vert_perc_feature.py')
parser.add_argument('--sf1_input_dir', required=True)
parser.add_argument('--price_input_dir', required=True)
parser.add_argument('--ticker_file', required=True)
parser.add_argument('--feature_base_dir', required=True)
parser.add_argument('--info_dir', required=True)
args = parser.parse_args()
for feature in SF1_ITEMS:
maybeRun(args, args.sf1_input_dir, feature, SF1_WINDOWS)
for feature in PRICE_ITEMS:
maybeRun(args, args.price_input_dir, feature, PRICE_WINDOWS)
if __name__ == '__main__':
main()