def __get_filter(self, filter: str):
if filter == 'g':
from stockpy.filter.goose import gooseFilter
return gooseFilter()
elif filter == 'a':
return expr.Eq(expr.Value(1), expr.Value(1))
from stockpy.filter import horse
return horse.horseFilter()
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)
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 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 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_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 moat_factor(c: int):
''' 护城河等级系数
-1 负
0 无
1 弱
2 强
'''
return expr.Value(c)
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 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 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 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 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 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 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 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 growth_factor():
''' 成长等级系数,最近5年同比增长率
-1 负增长, 净利润同比 < 5%
1 慢速增长, 5 <= 净利润同比 <= 20%
2 快速增长，净利润同比 > 20%
'''
income_attr_p_y = expr.Range(
expr.Get('f_income_attr_p_y.r_y2y'), year_count=5)
return expr.Switch(
expr.Case(
expr.Gt(income_attr_p_y, expr.Value(0.2)),
expr.Value(2)),
expr.Case(
expr.Ge(income_attr_p_y, expr.Value(0.05)),
expr.Value(1)),
expr.Case(
expr.Le(income_attr_p_y, expr.Value(0.05)),
expr.Value(-1)),
default=expr.Value(0))
def current_y_gt_1_3_years():
return expr.Or(
expr.And(
expr.Gt(expr.Get('f_current_y.r'), expr.Value(1)),
expr.Gt(expr.Before(expr.Get('f_current_y.r'), past_year=1),
expr.Value(1))),
expr.And(
expr.Gt(expr.Before(expr.Get('f_current_y.r'), past_year=1),
expr.Value(1)),
expr.Gt(expr.Before(expr.Get('f_current_y.r'), past_year=2),
expr.Value(1))),
expr.And(
expr.Gt(expr.Before(expr.Get('f_current_y.r'), past_year=2),
expr.Value(1)),
expr.Gt(expr.Before(expr.Get('f_current_y.r'), past_year=3),
expr.Value(1))))
def roe_ttm():
''' 年度ROE(加权平均)
根据中国证监会发布的《公开发行证券公司信息披露编报规则》第9号的通知的规定：加权平均净资产收益率(ROE)的计算公式如下：ROE= P/（E0 + NP÷2 + Ei×Mi÷M0 - Ej×Mj÷M0）
其中：
P为报告期利润；
NP为报告期净利润；
E0为期初净资产；
Ei为报告期发行新股或债转股等新增净资产；
Ej为报告期回购或现金分红等减少净资产；
M0为报告期月份数；
Mi为新增净资产下一月份起至报告期期末的月份数；
Mj为减少净资产下一月份起至报告期期末的月份数。
'''
return MetricsMeta('f_roe_ttm',
expr.Div(
expr.Get('f_income_attr_p_ttm'),
expr.Div(
expr.Sum(
expr.Get('total_hldr_eqy_exc_min_int'),
expr.Before(
expr.Get('total_hldr_eqy_exc_min_int'),
past_quarter=4)), expr.Value(2))),
display='ROE(滚动)')
def eq_ts_code(ts_code: str):
return expr.Eq(expr.Get('i_ts_code'), expr.Value(ts_code))
def test_crawl(self):
filter = expr.Eq(expr.Get('i_ts_code'), expr.Value('688399.SH'))
# filter = expr.Eq(expr.Get('i_ts_code'), expr.Value('000001.SZ'))
ts = self.stocks.query_by_basic_info(filter)
crawler = Crawler()
crawler.crawl(ts, 2019, 2018)
def revenue_r_gt_0():
return expr.And(expr.Gt(last_year_f_revenue_y_r_y2y(), expr.Value(0)),
expr.Gt(last_quarter_f_revenue_q_r_y2y(), expr.Value(0)))
def income_attr_p_r_gt_0():
return expr.And(
expr.Gt(last_year_f_income_attr_p_y_r_y2y(), expr.Value(0)),
expr.Gt(last_quarter_f_income_attr_p_q_r_y2y(), expr.Value(0)))
def roe_ge_15_pct_before_6_years():
return expr.Ge(
expr.Range(expr.Before(expr.Get('f_roe_y'), past_year=1),
year_count=6), expr.Value(0.15))
def premium_rate():
'''溢价率'''
return expr.Value(1)
def safety_factor():
'''安全边际系数
50%到90%
'''
return expr.Value(0.9)
def base_factor(c: int):
''' 基本因子
'''
return expr.Value(c)
