def test_ticker_selection(self):
policy = StockSelectionPolicy()
policy.ignore_new_stock_period = dt.timedelta(days=360)
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)
def test_compact_factor(self):
compact_factor = CompactFactor('证券名称', self.db_interface)
print(compact_factor.get_data(dates=[dt.datetime(2015, 5, 15)]))
policy = StockSelectionPolicy(select_st=True)
print(
compact_factor.get_data(
dates=[dt.datetime(2015, 5, 15)],
ticker_selector=StockTickerSelector(policy)))
def setUp(self):
set_global_config('config.json')
self.data_reader = AShareDataReader()
forward_return = self.data_reader.forward_return
factors = self.data_reader.log_cap
ticker_selector = StockTickerSelector(StockSelectionPolicy())
market_cap = self.data_reader.stock_free_floating_market_cap
start_date = dt.datetime(2020, 8, 1)
end_date = dt.datetime(2021, 2, 1)
dates = TradingCalendar().first_day_of_month(start_date, end_date)
self.t = CrossSectionalPortfolioAnalysis(forward_return, factors=factors, dates=dates, market_cap=market_cap,
ticker_selector=ticker_selector)
self.t.cache()
def test_beta_factor(self):
ids: Union[str, Sequence[str]] = ['000001.SZ', '600000.SH']
dates: Sequence[dt.datetime] = [
dt.datetime(2020, 1, 15),
dt.datetime(2020, 5, 13)
]
look_back_period: int = 60
min_trading_days: int = 40
policy = StockSelectionPolicy(
ignore_new_stock_period=dt.timedelta(days=365), ignore_st=True)
ticker_selector = StockTickerSelector(policy)
beta_factor = BetaFactor(db_interface=self.db_interface)
print(
beta_factor.get_data(dates,
ids,
look_back_period=look_back_period,
min_trading_days=min_trading_days))
print(
beta_factor.get_data(dates,
ticker_selector=ticker_selector,
look_back_period=look_back_period,
min_trading_days=min_trading_days))
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()
