def cashflow_free_y():
'''投资:自由现金流'''
return MetricsMeta('f_cashflow_free_y',
expr.Sub(expr.Get('n_cashflow_act', period='y'),
expr.Get('c_pay_acq_const_fiolta',
period='y')),
display='自由现金流')
def days_prepayment_y():
'''预付账款周转天数'''
return MetricsMeta('f_days_prepayment_y',
expr.Div(
expr.Multi(expr.Get('f_prepayment_ave_y'),
expr.Value(360)),
expr.Get('oper_cost', period='y')),
display='预付账款周转天数')
def days_adv_receipts_y():
'''预收账款周转天数'''
return MetricsMeta('f_days_adv_receipts_y',
expr.Div(
expr.Multi(expr.Get('f_adv_receipts_ave_y'),
expr.Value(360)),
expr.Get('revenue', period='y')),
display='预收账款周转天数')
def interest_bearing_liab_ratio_y():
''' 有息负债率 = 有息负债 / 总资产
同行比较，越高风险越大
'''
return MetricsMeta('f_interest_bearing_liab_y.r',
expr.Div(expr.Get('f_interest_bearing_liab_y'),
expr.Get('f_total_assets_y')),
display='有息负债率')
def gross_profit_ratio():
'''毛利率%'''
return MetricsMeta('f_gross_profit.r',
expr.Sub(
expr.Value(1),
expr.Div(expr.Get('oper_cost'),
expr.Get('revenue'))),
display='毛利率')
def exp_3_ratio():
'''三费占比'''
return MetricsMeta('f_exp_3.r',
expr.Div(
expr.Sum(expr.Get('sell_exp'),
expr.Get('admin_exp'),
expr.Get('fin_exp')), expr.Get('revenue')),
display='三费占比')
def days_inventory_y():
'''存货周转天数'''
return MetricsMeta('f_days_inventory_y',
expr.Div(
expr.Multi(expr.Get('f_inventory_ave_y'),
expr.Value(360)),
expr.Get('oper_cost', period='y')),
display='存货周转天数')
def test_market_cap(self):
m = goose.market_cap(7, 2)
v = m.eval(self.stock, 2019, 1)
s1 = expr.Get('total_hldr_eqy_exc_min_int').eval(self.stock, 2019, 1)
s2 = expr.Get('f_roe_ttm').eval(self.stock, 2019, 1)
s3 = goose.growth_factor().eval(self.stock, 2019, 1)
self.assertEqual(s1*math.pow((1+s2), (7+2+s3)), v)
def inventroy_ave_y():
'''平均存货'''
return MetricsMeta(
'f_inventory_ave_y',
expr.Div(
expr.Sum(
expr.Get('inventories', period='y'),
expr.Before(expr.Get('inventories', period='y'), past_year=1)),
expr.Value(2)))
def interest_bearing_liab():
''' 有息负债
= 短期借款 + 1年内到期的长期负债 + 长期借款 + 应付债券 + 长期应付款
'''
return MetricsMeta(
'f_interest_bearing_liab',
expr.Sum(expr.Get('lt_borr'), expr.Get('st_borr'),
expr.Get('bond_payable'), expr.Get('lt_payable'),
expr.Get('non_cur_liab_due_1y')))
def leverage():
''' 杠杆倍数
= 资产/所有者权益 = 资产/(资产-负债)
= 1/(1-资产负债率)
'''
return MetricsMeta('f_leverage',
expr.Div(expr.Get('f_total_assets'),
expr.Get('total_hldr_eqy_exc_min_int')),
display='杠杆倍数')
def assets_liab_ratio_y():
''' 资产负债率
＞50%需小心
同行比较，越高风险越大
'''
return MetricsMeta(
'f_assets_liab_y.r',
expr.Div(expr.Get('total_liab', period='y'),
expr.Get('f_total_assets_y')))
def run(y, q):
v = m.expr.eval(self.stock, y, 4)
s1 = expr.Get('n_income_attr_p').eval(self.stock, y, q)
s2 = expr.Get('total_hldr_eqy_exc_min_int').eval(self.stock, y, q)
s3 = expr.Get('total_hldr_eqy_exc_min_int').eval(
self.stock, y - 1, q)
a = s1 / ((s2 + s3) / 2)
print(y, q, a, v)
self.assertEqual(a, v, '{} {}'.format(y, q))
def days_acct_payable_y():
'''应付账款周转天数'''
return MetricsMeta('f_days_acct_payable_y',
expr.Div(
expr.Multi(expr.Get('f_acct_payable_ave_y'),
expr.Value(360)),
expr.Sub(expr.Get('oper_cost', period='y'),
expr.Get('inventories', period='y'))),
display='应付账款周转天数')
def adv_receipts_ave_y():
'''平均预收账款'''
return MetricsMeta(
'f_adv_receipts_ave_y',
expr.Div(
expr.Sum(
expr.Get('adv_receipts', period='y'),
expr.Before(expr.Get('adv_receipts', period='y'),
past_year=1)), expr.Value(2)))
def prepayment_ave_y():
'''平均预付账款'''
return MetricsMeta(
'f_prepayment_ave_y',
expr.Div(
expr.Sum(
expr.Get('prepayment', period='y'),
expr.Before(expr.Get('prepayment', period='y'), past_year=1)),
expr.Value(2)))
def market_cap(base: int, moat: int):
''' 估算总市值
= 净资产 * (1+滚动roe) ^ (基本因子+护城河因子+成长因子)
'''
return expr.Multi(expr.Get('total_hldr_eqy_exc_min_int'),
expr.Power(expr.Sum(expr.Value(1),
expr.Get('f_roe_ttm')),
expr.Sum(base_factor(base),
moat_factor(moat),
growth_factor())))
def net_operating_cycle():
'''营销:净营业周期'''
return MetricsMeta('f_net_op_cycle_y',
expr.Sub(
expr.Sum(expr.Get('f_days_inventory_y'),
expr.Get('f_days_accounts_receiv_y'),
expr.Get('f_days_prepayment_y')),
expr.Get('f_days_acct_payable_y'),
expr.Get('f_days_adv_receipts_y')),
display='净营业周期')
def acct_payable_ave_y():
'''平均应付账款'''
return MetricsMeta(
'f_acct_payable_ave_y',
expr.Div(
expr.Sum(
expr.Get('acct_payable', period='y'),
expr.Get('notes_payable', period='y'),
expr.Before(expr.Get('acct_payable', period='y'), past_year=1),
expr.Before(expr.Get('notes_payable', period='y'),
past_year=1)), expr.Value(2)))
def accounts_receiv_ave_y():
'''平均应收账款'''
return MetricsMeta(
'f_accounts_receiv_ave_y',
expr.Div(
expr.Sum(
expr.Get('accounts_receiv', period='y'),
expr.Before(expr.Get('accounts_receiv', period='y'),
past_year=1), expr.Get('notes_receiv', period='y'),
expr.Before(expr.Get('notes_receiv', period='y'),
past_year=1)), expr.Value(2)))
def income_attr_p_ttm():
# 滚动净利润：最近连续4个季度
ttm_q3 = [expr.Before(expr.Get('n_income_attr_p',
increment=True,
var_type='f'),
past_quarter=i)
for i in range(1, 4)]
return MetricsMeta('f_income_attr_p_ttm',
expr.Sum(expr.Get('n_income_attr_p',
increment=True,
var_type='f'),
ttm_q3))
def test_roe_ttm(self):
m = roe.roe_ttm()
# n_income_arrt_p(2019.1) / ((total_hldr_eqy_exc_min_int(2018.4)
# +total_hldr_eqy_exc_min_int(2019.1))
# /2)
v = m.expr.eval(self.stock, 2019, 1)
s1 = expr.Get('f_income_attr_p_ttm').eval(self.stock, 2019, 1)
s2 = expr.Get('total_hldr_eqy_exc_min_int').eval(self.stock, 2019, 1)
s3 = expr.Get('total_hldr_eqy_exc_min_int').eval(self.stock, 2018, 1)
self.assertEqual(s1 / (s2 + s3) * 2, v)
def net_profit_growth_pay_10_years_ratio():
'''10年净利润增长/10年资本开支比'''
return MetricsMeta(
'f_n_income_attr_p_pay_10_y.r',
expr.Div(
expr.Sub(
expr.Get('n_income_attr_p', period='y'),
expr.Before(expr.Get('n_income_attr_p', period='y'),
past_year=9)),
expr.Sum(expr.Get('c_pay_acq_const_fiolta', period='y'), [
expr.Before(expr.Get('c_pay_acq_const_fiolta', period='y'),
past_year=n) for n in range(1, 10)
])),
display='10年净利润增长与资本开支比')
def cashflow_free_pay_10_years_ratio():
'''10年自由现金流/10年资本开支比'''
return MetricsMeta(
'f_cashflow_free_pay_10_y.r',
expr.Div(
expr.Sum(expr.Get('f_cashflow_free_y'), [
expr.Before(expr.Get('f_cashflow_free_y'), past_year=n)
for n in range(1, 10)
]),
expr.Sum(expr.Get('c_pay_acq_const_fiolta', period='y'), [
expr.Before(expr.Get('c_pay_acq_const_fiolta', period='y'),
past_year=n) for n in range(1, 10)
])),
display='10年自由现金流与资本开支比')
def roe():
''' 年度ROE(平均)
=净利润/净资产
=归母净利润/（期初+期末归母净资产）/2
=每股净利润/每股净资产
=销售净利率*总资产周转率*杠杆系数
'''
return MetricsMeta(
'f_roe',
expr.Div(
expr.Get('n_income_attr_p'),
expr.Div(
expr.Sum(
expr.Get('total_hldr_eqy_exc_min_int'),
expr.Get('total_hldr_eqy_exc_min_int', period_begin=True)),
expr.Value(2))))
def run(y, q):
rm = expr.Range(expr.Before(expr.Get('f_roe_y'), past_year=1),
year_count=6)
nm = self.roe_ge_15_pct_now()
v = rm.eval(self.stock, y, 4)
v2 = expr.Ge(rm, expr.Value(0.15)).eval(self.stock, y, 4)
print('last 6 years', v, v2)
v3 = nm.eval(self.stock, y, q)
print('current', v3, expr.Get('f_roe').eval(self.stock, y, q))
v4 = expr.And(expr.Ge(rm, expr.Value(0.15)),
nm).eval(self.stock, y, q)
print('last 7 years', v4)
def test_price_share(self):
mc = goose.market_cap(7, 2)
ps = goose.price_share(mc)
v = ps.eval(self.stock, 2019, 1)
s1 = mc.eval(self.stock, 2019, 1)
s2 = expr.Get('total_share').eval(self.stock, 2019, 1)
self.assertEqual(s1/s2, v)
def roe_ge_15_pct_now(self):
def fv(stock: expr.ExprCtx, year: int, quarter: int):
v = {
4: 0.15,
3: 0.15 / 4 * 3,
2: 0.15 / 4 * 2,
1: 0.15 / 4,
}
return v[quarter]
return expr.Ge(expr.Get('f_roe'), expr.FuncValue(fv))
def show(self, ts_code: str, year: int, quarter: int, metrics: []):
db = StockDb(**self.__cfg)
stocks = db.list()
filter = expr.Eq(expr.Get('i_ts_code'), expr.Value(ts_code))
selected = stocks.query_by_basic_info(filter)
stock = selected[0]
Report = self.__get_metrics_report()
report = Report(stock)
report.set_metrics(metrics)
report.eval(year, quarter)
report.show(f'{stock["ts_code"]}({stock["name"]})')
def eval(self, ts_code: str, year: int, quarter: int, path: str,
report='w'):
'''Evalute the value of a stock.
Args:
ts_code: stock code
year: report year
quarter: report quarter
path: the path to be
report: report type. w=white horse.default is w.
'''
db = StockDb(**self.__cfg)
stocks = db.list()
filter = expr.Eq(expr.Get('i_ts_code'), expr.Value(ts_code))
if ts_code is None:
filter = expr.Eq(expr.Value(1), expr.Value(1))
selected = stocks.query_by_basic_info(filter)
Report = self.__get_report(report)
def do_report(stock, y, q):
try:
print(stock['ts_code'], stock['name'], 'to_excel')
report = Report(stock)
report.eval(year, quarter)
report.to_excel(
f'{path}/{stock["ts_code"]}_{stock["name"]}_{year}_{quarter}.xlsx')
return report
except Exception as e:
print(stock['ts_code'], stock['name'], e)
fs = []
for stock in selected:
with concurrent.futures.ThreadPoolExecutor() as executor:
fs.append(
{
'r': executor.submit(do_report, stock, year, quarter),
'ts_code': stock['ts_code'],
'name': stock['name'],
})
for stock in fs:
try:
report = stock['r'].result()
if report is None:
continue
print(stock['ts_code'], stock['name'], 'to_chart')
report.to_chart(
f'{path}/{stock["ts_code"]}_{stock["name"]}_{year}_{quarter}.pdf',
f'{stock["ts_code"]} {stock["name"]} {year}年{quarter}季'
)
except Exception as e:
print(e)
