def load_data(code, type, period, index_name):
"""
按照周期加载三类数据：基金/股票；指数（市场）；国债（无风险）
:param code: 代码
:param type: stock|fund
:param period: 期间：day,week,month,year
:param index_name:指数名称，中文的
:return:
"""
# 加载基金/股票数据
if type == const.FUND:
data = data_utils.load_fund_data(code)
if data is None:
logger.warning("[%s]数据有问题，忽略它...", code)
return -999, None, None
data_rate = calculate_rate(data, const.COL_ACCUMULATIVE_NET, period,
'price')
elif type == const.STOCK:
data = data_utils.load_stock_data(code)
data_rate = calculate_rate(data, 'close', period, 'price')
else:
raise ValueError("type不合法：" + type)
# 加载指数数据
index_data = data_utils.load_index_data_by_name(index_name, period)
index_rate = data_utils.calculate_rate(index_data, 'close', period)
# 加载无风险利率(/365=每天利率）
bond_rate = data_utils.load_bond_interest_data() / PERIOD_NUM[period]
bond_rate = calculate_rate(bond_rate, '收盘', period, 'rate')
return data_rate, index_rate, bond_rate
def calculate_one_fund_by_period(fund, period):
# # 不计算今年才开始的基金
# if fund.start_date > datetime.strptime('2020-1-1', DATE_FORMAT).date():
# logger.debug("此基金开始日期[%r]，太新了，不具备分析价值")
# return None
start_year = fund.start_date.year
end_year = datetime.now().date().year
periods = []
for year in range(start_year, end_year + 1):
periods += date_utils.get_peroid(year, period)
trade_data = data_utils.load_fund_data(fund.code)
if trade_data is None:
return None
data = filter_trade_by_period(trade_data, periods)
logger.debug("过滤出%d条基金净值记录，%r~%r", len(data), data.index[0],
data.index[-1])
bond_interests = data_utils.load_bond_interest_data(data.index)
bond_interests = calculate_rate(bond_interests, '收盘', period)
logger.debug("过滤出%d条基准利率记录", len(bond_interests))
# assert len(data) == len(bond_interests), "基金净值数据 ~ 基准利率 个数不一致"
sharpe_ratio = calculate_sharpe(data, bond_interests, period)
return sharpe_ratio
def load_data(self, args):
data = data_utils.load_fund_data(args.code)
if data is None:
raise ValueError("数据不存在，代码：" + args.code)
index_data = data_utils.load_index_data_by_name('上证指数')
index_rate = data_utils.calculate_rate(index_data, 'close')
self.load_info(args.code)
return data, index_data, index_rate