from Data import YahooData
import numpy as np
import pandas as pd
from Data import Utility
universe = Utility.get_stock_universe('stock_universe.csv')
u_tick = universe['Tick'].unique().tolist()
universe.set_index('Tick', inplace=True)
returns = YahooData.get_returns(u_tick)
ev_ebitda = YahooData.get_ev_ebitda(u_tick)
ocf_ev = YahooData.get_ocf_ev(u_tick)
ratios = YahooData.get_ratios(u_tick, ['Price', 'PS', 'PB', 'PE', '50ma', '200ma'])
comp_info = YahooData.get_sector_industry(u_tick)
df = universe.join(comp_info)
df = df.join(ratios)
df = df.join(ev_ebitda)
df = df.join(ocf_ev)
df = df.join(returns)
df = df.replace('N/A', np.nan)
df['ma_ratio'] = df['50ma'].astype(float) / df['200ma'].astype(float)
df['ebitda_ev_rank'] = df['ebitda_ev'].astype(float).rank(ascending=True)
df['ocf_ev_rank'] = df['ocf_ev'].astype(float).rank(ascending=True)
df['PS_rank'] = df['PS'].astype(float).rank(ascending=False)
df['PB_rank'] = df['PB'].astype(float).rank(ascending=False)
df['PE_rank'] = df['PE'].astype(float).rank(ascending=False)
df['ma_ratio_rank'] = df['ma_ratio'].rank(ascending=True)
df['return_rank'] = df['1yr_rtn'].rank(ascending=True)
STAY.U STAY
BF.B BF-B
BF.A BF-A
BRK.B BRK-B
LEN.B LEN-B
"""
universe = Utility.get_stock_universe("stock_universe.csv")
u_tick = universe["Tick"].unique().tolist()
# comp_MF_data = Utility.get_compustat_data('CQA_MF_data.csv', exchanges=['11', '12', '14'])
# comp_MOH_ad_data = Utility.get_compustat_data('CQA_MOH_AD_data.csv', exchanges=['11', '12', '14'])
# MOH_result = MOH_calc.Calc(comp_MOH_data, u_tick, comp_MOH_ad_data)
# get data from Yahoo
returns = YahooData.get_returns(u_tick)
values = YahooData.get_ev_ebitda(u_tick)
df = universe.join(values)
mkt_cap_df = YahooData.get_value(u_tick, "Mkt_cap")
"""
mkt_cap_df.ix['FLOW'] = 22720
mkt_cap_df.ix['MSG'] = 4450
mkt_cap_df.ix['ALLE'] = 5730
mkt_cap_df.ix['GHC'] = 3370
mkt_cap_df.ix['HME'] = 4370
"""
# if 'N/A' in mkt_cap_df['Mkt_cap']:
mkt_cap_df[mkt_cap_df["Mkt_cap"] == "N/A"] = np.nan
# calculate score based on compustat data
def Calc(PIO_data, tickers=None, details=False):
if tickers is not None:
raw_data = PIO_data[PIO_data['tic'].isin(tickers)].copy()
else:
raw_data = PIO_data.copy()
raw_data[['revtq', 'cogsq', 'ibq', 'atq', 'dlttq', 'actq', 'lctq', 'cshoq']] = raw_data[['revtq', 'cogsq', 'ibq', 'atq', 'dlttq', 'actq', 'lctq', 'cshoq']].fillna(0)
raw_data[['revtq', 'cogsq', 'ibq', 'atq', 'dlttq', 'actq', 'lctq', 'cshoq']] = raw_data[['revtq', 'cogsq', 'ibq', 'atq', 'dlttq', 'actq', 'lctq', 'cshoq']].astype(float)
#keep the first eight rows of each tic
f_8q = lambda x:x.sort('datadate', ascending=False).head(8)
raw_data = raw_data.groupby('tic').apply(f_8q)
data = raw_data.copy()
data['profit'] = data['revtq'] - data['cogsq']
#calculate two year's trailling ibq, profit. rev
f1st_y = lambda x:x.sort('datadate', ascending=False)[0:4]
group_cur = data.groupby('tic').apply(f1st_y)
f2nd_y = lambda x:x.sort('datadate', ascending=False)[4:8]
group_pre = data.groupby('tic').apply(f2nd_y)
cur_trail = group_cur.groupby(['tic'])[['ibq','profit', 'revtq']].sum()
pre_trail = group_pre.groupby(['tic'])[['ibq','profit', 'revtq']].sum()
cur_trail.columns = ['trail_ibq', 'trail_profit', 'trail_rev']
pre_trail.columns = ['trail_ibq', 'trail_profit', 'trail_rev']
#calculate most recent and one year before most recent values
f3 = lambda x:x.sort('datadate', ascending=False)[0:1]
cur_q = data.groupby('tic').apply(f3)
f4 = lambda x:x.sort('datadate', ascending=False)[4:5]
pre_q = data.groupby('tic').apply(f4)
trail_cfo = YahooData.get_cfo(tickers)
#combine trailing data with most recent data
cur = cur_q.join(cur_trail)
cur = cur.join(trail_cfo)
#calculate current year's ratios
cur['roa'] = cur['trail_ibq'] / cur['atq']
cur['cfo'] = cur['trail_cfo'] / cur['atq']
cur['lever'] = cur['dlttq'] / cur['atq']
cur['liquid'] = cur['actq'] / cur['lctq']
cur['eq_offer'] = cur['cshoq']
cur['margin'] = cur['trail_profit'] / cur['trail_rev']
cur['turnover'] = cur['trail_rev'] / cur['atq']
cur['accrual'] = cur['trail_ibq'] - cur['trail_cfo']
#calculate last year's ratios
pre = pre_q.join(pre_trail)
pre['roa'] = pre['trail_ibq'] / pre['atq']
pre['lever'] = pre['dlttq'] / pre['atq']
pre['liquid'] = pre['actq'] / pre['lctq']
pre['eq_offer'] = pre['cshoq']
pre['margin'] = pre['trail_profit'] / pre['trail_rev']
pre['turnover'] = pre['trail_rev'] / pre['atq']
data_set = pd.concat([cur, pre])
#calculate pio score
def pio_score_calc(x):
x = x.sort('datadate', ascending=False)
score = 0
if (x['roa'].head(1) > x['roa'].tail(1)).bool():
score = score + 1
if (x['cfo'].head(1) > 0).bool():
score = score + 1
if (x['roa'].head(1) > 0).bool():
score = score + 1
if (x['accrual'].head(1) <= 0).bool():
score = score + 1
if (x['lever'].head(1) <= x['lever'].tail(1)).bool():
score = score + 1
if (x['liquid'].head(1) > x['liquid'].tail(1)).bool():
score = score + 1
if (x['eq_offer'].head(1) <= x['eq_offer'].tail(1)).bool():
score = score + 1
if (x['margin'].head(1) > x['margin'].tail(1)).bool():
score = score + 1
if (x['turnover'].head(1) > x['turnover'].tail(1)).bool():
score = score + 1
return score
PIO_result = data_set.groupby('tic').apply(pio_score_calc)
PIO_result.name = 'pio_score'
#cur.reset_index(inplace=True)
cur.set_index('tic', inplace=True)
pre.set_index('tic', inplace=True)
PIO_score = cur.join(PIO_result)
if details:
detailed_result = pd.concat([PIO_score, pre])
detailed_result['ticker'] = detailed_result.index.tolist()
detailed_result = detailed_result.sort(['ticker', 'datadate'], ascending=[True, False])
detailed_result = detailed_result[['datadate', 'trail_ibq', 'trail_cfo', 'trail_profit', 'trail_rev', 'dlttq', 'atq', 'actq', 'lctq', 'cshoq', 'roa', 'cfo', 'accrual', 'lever', 'liquid', 'eq_offer', 'margin', 'turnover', 'pio_score']]
detailed_result.columns = ['datadate', 'trail_ibq', 'trail_cfo', 'trail_profit', 'trail_rev', 'long_term_debt', 'total_assets', 'current_assets', 'current_liability', 'shares_outstanding', 'roa', 'cfo', 'accrual', 'lever', 'liquid', 'eq_offer', 'margin', 'turnover', 'pio_score']
return detailed_result
else:
return PIO_result
