def test_ticker_selection(self):
policy = StockSelectionPolicy()
policy.ignore_new_stock_period = dt.timedelta(days=360)
policy.select_st = False
selector = StockTickerSelector(policy=policy)
dates = [dt.datetime(2020, 1, 7), dt.datetime(2020, 12, 28)]
ret = selector.generate_index(dates)
print(ret)
def test_new_ticker_selection(self):
policy = StockSelectionPolicy()
policy.ignore_new_stock_period = 60
policy.select_new_stock_period = 90
policy.select_st = False
selector = StockTickerSelector(policy=policy, db_interface=self.db_interface)
dates = [dt.datetime(2020, 1, 7), dt.datetime(2020, 12, 28)]
ret = selector.generate_index(dates=dates)
print(ret)
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()
