def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股的BTOP因子载荷
Paramters:
--------
:param code: str
个股代码, 如SH600000, 600000
:param calc_date: datetime-like, str
计算日期, 格式: YYYY-MM-DD
:return: pd.Series
--------
个股的BTOP因子载荷
0. code
1. btop
如果计算失败, 返回None
"""
# 读取个股的财务数据
fin_report_date = Utils.get_fin_report_date(calc_date)
fin_basic_data = Utils.get_fin_basic_data(code, fin_report_date)
if fin_basic_data is None:
return None
# 读取个股的市值因子(LNCAP)
df_lncap = cls._LNCAP_Cache.get(Utils.datetimelike_to_str(calc_date, dash=False))
if df_lncap is None:
lncap_path = os.path.join(factor_ct.FACTOR_DB.db_path, risk_ct.LNCAP_CT.db_file)
df_lncap = Utils.read_factor_loading(lncap_path, Utils.datetimelike_to_str(calc_date, dash=False))
cls._LNCAP_Cache.set(Utils.datetimelike_to_str(calc_date, dash=False), df_lncap)
secu_lncap = df_lncap[df_lncap['id'] == Utils.code_to_symbol(code)]
if secu_lncap.empty:
return None
flncap = secu_lncap.iloc[0]['factorvalue']
# 账面市值比=净资产/市值
btop = (fin_basic_data['TotalAsset'] - fin_basic_data['TotalLiability']) * 10000 / np.exp(flncap)
return pd.Series([Utils.code_to_symbol(code), btop], index=['code', 'btop'])
def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股DTOA因子载荷
Parameters:
--------
:param code: str
个股代码, 如SH600000, 600000
:param calc_date: datetime-like, str
计算日期, 格式: YYYY-MM-DD
:return: pd.Series
--------
个股的DTOA因子载荷
0. code
1. dtoa
如果计算失败, 返回None
"""
code = Utils.code_to_symbol(code)
report_date = Utils.get_fin_report_date(calc_date)
# 读取最新主要财务指标数据
fin_basic_data = Utils.get_fin_basic_data(code, report_date)
if fin_basic_data is None:
return None
# td为负债总额, ta为总资产
td = fin_basic_data['TotalLiability']
if np.isnan(td):
return None
ta = fin_basic_data['TotalAsset']
if np.isnan(ta):
return None
if abs(ta) < utils_con.TINY_ABS_VALUE:
return None
# dtoa = td / ta
dtoa = td / ta
return pd.Series([code, dtoa], index=['code', 'dtoa'])
def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股的价值因子，包含ep_ttm, bp_lr, ocf_ttm
Parameters:
--------
:param code: str
个股代码：如600000或SH600000
:param calc_date: datetime-like or str
计算日期，格式YYYY-MM-DD, YYYYMMDD
:return: pd.Series
--------
价值类因子值
0. ep_ttm: TTM净利润/总市值
1. bp_lr: 净资产（最新财报）/总市值
2. ocf_ttm: TTM经营性现金流/总市值
若计算失败，返回None
"""
code = Utils.code_to_symbol(code)
calc_date = Utils.to_date(calc_date)
# 读取TTM财务数据
ttm_fin_data = Utils.get_ttm_fin_basic_data(code, calc_date)
if ttm_fin_data is None:
return None
# 读取最新财报数据
report_date = Utils.get_fin_report_date(calc_date)
fin_basic_data = Utils.get_fin_basic_data(code, report_date)
if fin_basic_data is None:
return None
# 计算总市值
mkt_daily = Utils.get_secu_daily_mkt(code,
calc_date,
fq=False,
range_lookup=True)
if mkt_daily.shape[0] == 0:
return None
cap_struct = Utils.get_cap_struct(code, calc_date)
if cap_struct is None:
return None
total_cap = cap_struct.total - cap_struct.liquid_b - cap_struct.liquid_h
total_mkt_cap = total_cap * mkt_daily.close
# 计算价值类因子
ep_ttm = ttm_fin_data[
'NetProfit'] * util_ct.FIN_DATA_AMOUNT_UNIT / total_mkt_cap
ocf_ttm = ttm_fin_data[
'NetOperateCashFlow'] * util_ct.FIN_DATA_AMOUNT_UNIT / total_mkt_cap
bp_lr = fin_basic_data[
'ShareHolderEquity'] * util_ct.FIN_DATA_AMOUNT_UNIT / total_mkt_cap
return Series([round(ep_ttm, 6),
round(bp_lr, 6),
round(ocf_ttm, 6)],
index=['ep_ttm', 'bp_lr', 'ocf_ttm'])
def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股MLEV因子载荷
Parameters:
--------
:param code: str
个股代码, 如Sh600000, 600000
:param calc_date: datetime-like, str
计算日期, 格式: YYYY-MM-DD
:return: pd.Series
--------
个股的MLEV因子载荷
0. code
1. mlev
如果计算失败, 返回None
"""
code = Utils.code_to_symbol(code)
report_date = Utils.get_fin_report_date(calc_date)
# 读取个股最新财务报表摘要数据
fin_summary_data = Utils.get_fin_summary_data(code, report_date)
# ld为个股长期负债的账面价值, 如果缺失长期负债数据, 则用负债总计代替
if fin_summary_data is None:
return None
ld = fin_summary_data['TotalNonCurrentLiabilities']
if np.isnan(ld):
ld = fin_summary_data['TotalLiabilities']
if np.isnan(ld):
return None
ld *= 10000.0
# pe为优先股账面价值, 对于A股pe设置为0
pe = 0.0
# 读取个股市值数据
lncap_path = os.path.join(factor_ct.FACTOR_DB.db_path,
risk_ct.LNCAP_CT.db_file)
lncap_factor_loading = Utils.read_factor_loading(
lncap_path, Utils.datetimelike_to_str(calc_date, dash=False), code)
if lncap_factor_loading.empty:
return None
me = np.exp(lncap_factor_loading['factorvalue'])
# mlev = (me + pe + ld)/me
mlev = (me + pe + ld) / me
return pd.Series([code, mlev], index=['code', 'mlev'])
def _calc_factor_loading(cls, code, calc_date):
"""
计算指定日期、指定个股BLEV因子载荷
Parameters:
--------
:param code: str
个股代码, 如SH600000, 600000
:param calc_date: datetime-like, str
计算日期, 格式: YYYY-MM-DD
:return: pd.Series
--------
个股的BLEV因子载荷
0. code
1. blev
如果计算失败, 返回None
"""
code = Utils.code_to_symbol(code)
report_date = Utils.get_fin_report_date(calc_date)
# 读取个股最新财务报表摘要数据
fin_summary_data = Utils.get_fin_summary_data(code, report_date)
if fin_summary_data is None:
return None
be = fin_summary_data['TotalShareholderEquity']
if np.isnan(be):
return None
if abs(be) < utils_con.TINY_ABS_VALUE:
return None
ld = fin_summary_data['TotalNonCurrentLiabilities']
if np.isnan(ld):
ld = fin_summary_data['TotalLiabilities']
if np.isnan(ld):
return None
pe = 0
# blev = (be + pe + ld) / be
blev = (be + pe + ld) / be
return pd.Series([code, blev], index=['code', 'blev'])
