def data_get(self): self.Price, \ self.LimitStatus, \ self.Status, \ self.listDateNum, \ self.Industry, \ self.Size \ = basic_data(para) self.ROA_,\ self.CFO_, \ self.Accrual_, \ self.ROA_VAR, \ self.Sales_G_TTM_VAR, \ self.RD_MV_, \ self.Sales_MV_, \ self.Expenditure_MV_\ = data_initial_G(para) self.Expenditure_MV_ = stock_dif(self.Expenditure_MV_, self.LimitStatus) self.RD_MV_ = stock_dif(self.RD_MV_, self.LimitStatus) self.Sales_MV_ = stock_dif(self.Sales_MV_, self.LimitStatus) self.Expenditure_MV_ = self.Expenditure_MV_.iloc[ para.backtestwindow:, :] self.RD_MV_ = self.RD_MV_.iloc[para.backtestwindow:, :] self.Sales_MV_ = self.Sales_MV_.iloc[para.backtestwindow:, :] return
def __init__(self, para): # get trading date list as monthly frequancy self.tradingDateList = getTradingDateFromJY(para.startDate, para.endDate, ifTrade=True, Period='M') self.Price, self.LimitStatus, self.Status, self.listDateNum, self.Industry, self.Size = basic_data( para) # self.Factor = pd.read_excel(para.data_path + para.factor + '.xlsx',index_col = 0).T Factor = pd.read_csv(para.data_path + para.factor + '.csv', index_col=0) self.Factor = stock_dif(Factor, self.LimitStatus) # self.Factor = Factor.loc[para.startDate:para.endDate, :] # self.Factor.index = self.LimitStatus.index.copy() # Factor.index.astype('str') # Factor.index = pd.to_datetime(Factor.index, format='%Y%m%d') # self.Price = stock_dif(self.Price,self.Factor) # self.LimitStatus = stock_dif(self.LimitStatus, self.Factor) # self.Status = stock_dif(self.Status, self.Factor) # self.listDateNum = stock_dif(self.listDateNum, self.Factor) # self.Industry = stock_dif(self.Industry, self.Factor) # self.Size = stock_dif(self.Size, self.Factor) # self.Factor.index = self.LimitStatus.index pass
def __init__(self): self.tradingDateList = getTradingDateFromJY(para.startDate, para.endDate, ifTrade=True, Period='M') Factor = loadData(para = para.factor).BasicDailyFactorAlpha.loc[para.startDate:para.endDate, :] self.Factor2 = pd.read_csv(para.result_path+'_'+para.factor2+'.csv',index_col=0) self.Price, self.LimitStatus, self.Status, self.listDateNum, self.Industry, self.Size = basic_data(para) self.Factor = stock_dif(Factor, self.LimitStatus) self.Factor.index = self.LimitStatus.index.copy() # self.Factor2 = stock_dif(Factor2, self.LimitStatus) # self.Factor2.index = self.LimitStatus.index.copy() # _, self.Factor2 = Gmain().every_month() # self.Factor2.columns = self.LimitStatus.columns.copy() pass
def __init__(self, para): # get trading date list as monthly frequancy self.tradingDateList = getTradingDateFromJY(para.startDate, para.endDate, ifTrade=True, Period='M') DATA = loadData(para.factor) Factor = DATA.BasicDailyFactorAlpha.loc[para.startDate:para.endDate, :] self.Price, self.LimitStatus, self.Status, self.listDateNum, self.Industry, self.Size = basic_data( para) self.Factor = stock_dif(Factor, self.LimitStatus) pass
def __init__(self, para): # get trading date list as monthly frequancy self.tradingDateList = getTradingDateFromJY(para.startDate, para.endDate, ifTrade=True, Period='M') self.Price, self.LimitStatus, self.Status, self.listDateNum, self.Industry, self.Size = basic_data( para) Factor = pd.read_csv(para.data_path + 'coverage.csv', index_col=0) self.Factor = stock_dif(Factor.T, self.LimitStatus) pass