def __init__(self,
provider: str,
level: int,
cap: CompactFactor = None,
db_interface: DBInterface = None):
self.db_interface = db_interface if db_interface else get_db_interface(
)
self.calendar = TradingCalendar(self.db_interface)
self.date = self.calendar.yesterday()
self.data_reader = AShareDataReader(self.db_interface)
self.industry = self.data_reader.industry(provider=provider,
level=level)
self.cap = cap if cap else self.data_reader.stock_free_floating_market_cap
class MajorIndustryConstitutes(object):
def __init__(self,
provider: str,
level: int,
cap: CompactFactor = None,
db_interface: DBInterface = None):
self.db_interface = db_interface if db_interface else get_db_interface(
)
self.calendar = TradingCalendar(self.db_interface)
self.date = self.calendar.yesterday()
self.data_reader = AShareDataReader(self.db_interface)
self.industry = self.data_reader.industry(provider=provider,
level=level)
self.cap = cap if cap else self.data_reader.stock_free_floating_market_cap
def get_major_constitute(self, name: str, n: int = None):
assert name in self.industry.all_industries, 'unknown industry'
constitute = self.industry.list_constitutes(date=self.date,
industry=name)
sec_name = self.data_reader.sec_name.get_data(ids=constitute,
dates=self.date)
val = self.cap.get_data(ids=constitute, dates=self.date) / 1e8
ret = pd.concat([sec_name, val], axis=1).sort_values(val.name,
ascending=False)
if n:
ret = ret.head(n)
return ret
def setUp(self) -> None:
set_global_config('config.json')
self.db_interface = get_db_interface()
self.calendar = TradingCalendar()
self.start_date = dt.datetime(2002, 3, 1)
self.end_date = dt.datetime(2002, 3, 30)
self.ids = ['000001.SZ', '000002.SZ']
self.close = ContinuousFactor('股票日行情', '收盘价', self.db_interface)
self.adj = CompactFactor('复权因子', self.db_interface)
def setUp(self) -> None:
set_global_config('config.json')
self.db_interface = get_db_interface()
self.calendar = TradingCalendar()
self.start_date = dt.datetime(2020, 12, 1)
self.end_date = dt.datetime(2020, 12, 18)
self.ids = ['000001.SZ', '000002.SZ']
# self.ids = StockTickers().ticker(dt.date(2005, 1, 1))
self.close = ContinuousFactor('股票日行情', '收盘价', self.db_interface)
self.adj = CompactFactor('复权因子', self.db_interface)
def __init__(self,
date: dt.datetime = None,
db_interface: DBInterface = None):
self.db_interface = db_interface if db_interface else get_db_interface(
)
self.calendar = TradingCalendar(self.db_interface)
if date is None:
date = dt.datetime.combine(dt.date.today(), dt.time())
self.date = date
records = utils.load_excel('自编指数配置.xlsx')
self.tickers = [it['ticker'] for it in records]
self.tbd_indexes = list(
set(self.tickers) - set(self.must_keep_indexes))
start_date = self.calendar.offset(date, -22)
index_factor = ContinuousFactor('自合成指数',
'收益率',
db_interface=self.db_interface)
self.cache = index_factor.get_data(start_date=start_date,
end_date=date).unstack()
self.industry_cache = []
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()
class IndexHighlighter(object):
must_keep_indexes = ['全市场.IND', '全市场等权.IND', '次新股等权.IND', 'ST.IND']
def __init__(self,
date: dt.datetime = None,
db_interface: DBInterface = None):
self.db_interface = db_interface if db_interface else get_db_interface(
)
self.calendar = TradingCalendar(self.db_interface)
if date is None:
date = dt.datetime.combine(dt.date.today(), dt.time())
self.date = date
records = utils.load_excel('自编指数配置.xlsx')
self.tickers = [it['ticker'] for it in records]
self.tbd_indexes = list(
set(self.tickers) - set(self.must_keep_indexes))
start_date = self.calendar.offset(date, -22)
index_factor = ContinuousFactor('自合成指数',
'收益率',
db_interface=self.db_interface)
self.cache = index_factor.get_data(start_date=start_date,
end_date=date).unstack()
self.industry_cache = []
def featured_data(self, look_back_period: int, n: int) -> pd.DataFrame:
data = self.cache.iloc[-look_back_period:, :]
data = (data + 1).cumprod()
tmp = data.loc[data.index[-1], self.tbd_indexes].sort_values()
ordered_index = tmp.index.tolist()
cols = ordered_index[:n] + ordered_index[-n:]
self.industry_cache.extend(cols)
return data.loc[:, cols + self.must_keep_indexes] - 1
@staticmethod
def disp_data(data):
print(data.loc[data.index[-1], :].T.sort_values(ascending=False) * 100)
def plot_index(self, period: int, n: int, ax: plt.Axes = None):
plot_data = self.featured_data(period, n) * 100
if ax is None:
_, ax = plt.subplots(1, 1)
plot_data.plot(ax=ax)
ax.set_xlim(left=plot_data.index[0], right=plot_data.index[-1])
ax.grid(True)
ax.yaxis.set_major_formatter(mtick.PercentFormatter())
return ax
def summary(self):
for i, it in enumerate([(3, 3), (5, 3), (20, 3)]):
print(f'回溯{it[0]}天:')
self.disp_data(self.featured_data(it[0], it[1]))
print('')
self.plot_index(20, 3)
mentioned_industry = [
it[2:-4] for it in set(self.industry_cache) if it.startswith('申万')
]
constitute = MajorIndustryConstitutes(provider='申万', level=2)
for it in mentioned_industry:
print(f'申万2级行业 - {it}')
print(constitute.get_major_constitute(it, 10))
print('')