def get_last_reported_values(financial_indicator, recent_report_type):
# 取出当天所有出现的财报类型
unique_recent_report_type = recent_report_type.unique().tolist()
last_reported_values = pd.Series()
# 循环每一类型的报告，再合并返回
for report_type in unique_recent_report_type:
stock_list = recent_report_type[recent_report_type ==
report_type].index.tolist()
if len(stock_list) == 1:
last_reported_values = last_reported_values.append(
rqdatac.get_financials(
rqdatac.query(financial_indicator).filter(
rqdatac.financials.stockcode.in_(stock_list)),
report_type))
else:
last_reported_values = last_reported_values.append(
rqdatac.get_financials(
rqdatac.query(financial_indicator).filter(
rqdatac.financials.stockcode.in_(stock_list)),
report_type).iloc[0])
return last_reported_values
def get_earnings_growth(date, year, market_cap_on_current_day):
recent_report, annual_report, annual_report_last_year, annual_report_2_year_ago, annual_report_3_year_ago, annual_report_4_year_ago = last_five_annual_report(
date)
growth_listed_date_threshold = (datetime.strptime(date, "%Y-%m-%d") -
timedelta(days=1825)).strftime("%Y-%m-%d")
growth_qualified_stocks = [
i for i in annual_report.index.tolist()
if rqdatac.instruments(i).listed_date < growth_listed_date_threshold
]
factor = pd.DataFrame(index=growth_qualified_stocks, columns=['EGRO'])
for stock in growth_qualified_stocks:
# 实际操作中发现有部分公司会在财报发布后对报表进行多次调整，调整后eps为空，比如'601519.XSHG'，该公司报表在发布后经过多次调整，2014年年报主要财务指标表"基本eps"数据缺失，但是在利润表中"基本eps"数据存在，
# 所以在取数据时进行判断，如果financial_indicator为首选表，income_statement 为备选表
query_f = rqdatac.query(
rqdatac.financials.financial_indicator.earnings_per_share).filter(
rqdatac.financials.stockcode.in_([stock]))
query_i = rqdatac.query(rqdatac.financials.income_statement.
basic_earnings_per_share).filter(
rqdatac.financials.stockcode.in_([stock]))
eps_recent = rqdatac.get_financials(query_f, annual_report[stock], '1q') if \
rqdatac.get_financials(query_f, annual_report[stock], '1q').isnull().sum() == 0 \
else rqdatac.get_financials(query_i, annual_report[stock], '1q')
eps_last_year = rqdatac.get_financials(query_f, annual_report_last_year[stock], '1q') if \
rqdatac.get_financials(query_f, annual_report_last_year[stock], '1q').isnull().sum() == 0 \
else rqdatac.get_financials(query_i, annual_report_last_year[stock], '1q')
eps_2_year_ago = rqdatac.get_financials(query_f, annual_report_2_year_ago[stock], '1q') if \
rqdatac.get_financials(query_f, annual_report_2_year_ago[stock], '1q').isnull().sum() == 0 \
else rqdatac.get_financials(query_i, annual_report_2_year_ago[stock], '1q')
eps_3_year_ago = rqdatac.get_financials(query_f, annual_report_3_year_ago[stock], '1q') if \
rqdatac.get_financials(query_f, annual_report_3_year_ago[stock], '1q').isnull().sum() == 0 \
else rqdatac.get_financials(query_i, annual_report_3_year_ago[stock], '1q')
eps_4_year_ago = rqdatac.get_financials(query_f, annual_report_4_year_ago[stock], '1q') if \
rqdatac.get_financials(query_f, annual_report_4_year_ago[stock], '1q').isnull().sum() == 0 \
else rqdatac.get_financials(query_i, annual_report_4_year_ago[stock], '1q')
regression = linear_model.LinearRegression()
eps = pd.Series([
eps_recent, eps_last_year, eps_2_year_ago, eps_3_year_ago,
eps_4_year_ago
]).fillna(value=0)
regression.fit(year.reshape(-1, 1), eps)
factor['EGRO'][stock] = float(regression.coef_) / abs(eps.mean())
earning_growth = winsorization_and_market_cap_weighed_standardization(
factor['EGRO'], market_cap_on_current_day)
return earning_growth
def get_recent_financial_report(date):
previous_year = datetime.strptime(date, '%Y-%m-%d').year - 1
# 取出最近一期财务报告类型，例如 '2016q3' 或 '2016q4'， 其中 '2016q3' 表示前三季度累计； '2016q4' 表示年报
recent_report_type = rqdatac.get_fundamentals(
rqdatac.query(rqdatac.fundamentals.income_statement.net_profit),
entry_date=date,
report_quarter=True)['report_quarter']
annual_report_type = recent_report_type.copy() # 深拷贝
# 若上市公司未发布去年的财报，则取前年的年报为最新年报
if recent_report_type.T.iloc[0].values[0][:4] == str(previous_year):
annual_report_type[annual_report_type != str(previous_year) +
'q4'] = str(previous_year - 1) + 'q4'
else:
annual_report_type[annual_report_type != str(previous_year) +
'q4'] = str(previous_year) + 'q4'
# recent_report_type 和 annual_report_type 均为 dataframe 格式，输出时转为 Series 格式
return recent_report_type.T[date], annual_report_type.T[date]
def get_ttm_sum(financial_indicator, recent_report_type):
def _get_ttm_date(quarter):
# 假设最新的为年报，则为年报数值
if quarter[-2:] == "q4":
return [np.nan, np.nan, quarter]
# 假设当前为1/2/3季度报
elif quarter[-2:] == "q3" or quarter[-2:] == "q2" or quarter[
-2:] == "q1":
return [
str(int(quarter[:4]) - 1) + quarter[-2:],
str(int(quarter[:4]) - 1) + "q4", quarter
]
else:
print(quarter)
raise Exception("what?")
# 获得所有股票中最新的quarter
max_quarter = max(recent_report_type)
# 获得所有股票前8期的财报数据
financial_data = rqdatac.get_financials(rqdatac.query(financial_indicator),
quarter=max_quarter,
interval="8q",
country='cn').T
effective_quarter = pd.DataFrame(
recent_report_type.apply(_get_ttm_date).to_dict()).T
# 获得每个股票计算ttm需要的三个财报日期
effective_quarter = effective_quarter.unstack()
effective_quarter.index = effective_quarter.index.droplevel(0)
merged_data = pd.DataFrame(effective_quarter)
merged_data['mask'] = 1
previous_quarters_mask = merged_data.dropna().reset_index().pivot(
index='index', columns=0, values='mask').reindex(
columns=financial_data.columns).astype(float).replace(
np.nan, 0).astype(bool)
latest_data = financial_data.where(previous_quarters_mask)
# （最近一期年报财务数据 + 最近一期报告财务数据 - 去年同期报告财务数据）
def _calc_ttm(data):
# print(data)
data = data.dropna().sort_index()
if len(data) > 1:
return data.iloc[-2:].sum() - data.iloc[0]
elif len(data) == 1:
return data.iloc[0]
else:
return np.nan
financial_values = {
item[0]: _calc_ttm(item[1])
for item in latest_data.iterrows()
}
return pd.Series(financial_values)
def query(*entities):
return rqdatac.query(*entities)
def factor_return_estimation(date, factor_exposure, industry_factors):
latest_trading_date = rqdatac.get_previous_trading_date(
datetime.strptime(date, "%Y-%m-%d") + timedelta(days=1))
previous_trading_date = rqdatac.get_previous_trading_date(
latest_trading_date)
# 计算无风险日收益率
daily_return = rqdatac.get_price(
order_book_ids=factor_exposure.index.tolist(),
start_date=previous_trading_date,
end_date=latest_trading_date,
fields='close').pct_change()[-1:].T
compounded_risk_free_return = rqdatac.get_yield_curve(
start_date=latest_trading_date,
end_date=latest_trading_date,
tenor='3M')['3M']
daily_risk_free_return = (((1 + compounded_risk_free_return)**(1 / 252)) -
1)
daily_excess_return = daily_return.subtract(
daily_risk_free_return.values).T
# 以市场平方根作为加权最小二乘法的加权系数
market_cap = rqdatac.get_factor(
id_or_symbols=factor_exposure.index.tolist(),
factor='a_share_market_val',
start_date=previous_trading_date,
end_date=previous_trading_date)
if market_cap.isnull().sum() >= 30:
market_cap_df = rqdatac.get_fundamentals(
rqdatac.query(rqdatac.fundamentals.eod_derivative_indicator.
a_share_market_val),
entry_date=previous_trading_date,
interval='1d').major_xs(previous_trading_date)[
'a_share_market_val'].loc[factor_exposure.index]
if market_cap_df.isnull().sum() >= 30:
raise ValueError('市值出现大量缺失')
else:
market_cap = market_cap_df
else:
market_cap = market_cap.dropna()
normalized_regression_weight = market_cap.pow(0.5) / market_cap.pow(
0.5).sum()
# 各行业市值之和，用于行业收益率约束条件
industry_total_market_cap = market_cap.dot(
factor_exposure.loc[market_cap.index][industry_factors])
#factor_return_series = pd.DataFrame()
# 对10个风格因子不添加约束，对 GICS 32个行业添加约束
factor_return_series = constrainted_weighted_least_square(Y = daily_excess_return[market_cap.index].values[0], X = factor_exposure.loc[market_cap.index], weight = normalized_regression_weight,\
industry_total_market_cap = industry_total_market_cap, unconstrained_variables = 10, constrained_variables = len(industry_total_market_cap))
return factor_return_series.replace(np.nan, 0)
def recent_five_annual_values(financial_indicator, date, recent_report_type):
previous_year = datetime.strptime(date, '%Y-%m-%d').year - 1
# 获得最近一期报告为年报的股票列表
annual_report_published_stocks = recent_report_type[
recent_report_type == str(previous_year) + 'q4'].index.tolist()
# 把 index 和 list 转为集合类型，再计算补集
annual_report_not_published_stocks = list(
set(recent_report_type.index) - set(annual_report_published_stocks))
# 对于去年年报已经发布的上市公司，最近五期年报的列表
annual_report_published_list = [
str(previous_year) + 'q4',
str(previous_year - 1) + 'q4',
str(previous_year - 2) + 'q4',
str(previous_year - 3) + 'q4',
str(previous_year - 4) + 'q4'
]
# 对于去年年报尚未经发布的上市公司，最近五期年报的列表
annual_report_not_published_list = [
str(previous_year - 1) + 'q4',
str(previous_year - 2) + 'q4',
str(previous_year - 3) + 'q4',
str(previous_year - 4) + 'q4',
str(previous_year - 5) + 'q4'
]
# 获得最近一期报告为年报的股票列表
recent_five_reports = rqdatac.get_financials(
rqdatac.query(financial_indicator),
str(previous_year) + 'q4', '25q').T
annual_report_published_values = recent_five_reports[
annual_report_published_list].loc[annual_report_published_stocks]
annual_report_not_published_values = recent_five_reports[
annual_report_not_published_list].loc[
annual_report_not_published_stocks]
# 重新命名 columns，方便合并 dataframes
annual_report_published_values.columns = [
'first', 'second', 'third', 'fourth', 'fifth'
]
annual_report_not_published_values.columns = [
'first', 'second', 'third', 'fourth', 'fifth'
]
recent_five_reports_values = pd.concat(
[annual_report_published_values, annual_report_not_published_values],
axis=0)
return recent_five_reports_values
def get_sales_growth(date, year, market_cap_on_current_day):
recent_report, annual_report, annual_report_last_year, annual_report_2_year_ago, annual_report_3_year_ago, annual_report_4_year_ago = last_five_annual_report(
date)
growth_listed_date_threshold = (datetime.strptime(date, "%Y-%m-%d") -
timedelta(days=1825)).strftime("%Y-%m-%d")
growth_qualified_stocks = [
i for i in annual_report.index.tolist()
if rqdatac.instruments(i).listed_date < growth_listed_date_threshold
]
factor = pd.DataFrame(index=growth_qualified_stocks, columns=['SGRO'])
# 根据年报数据计算每只股票过去五年每年的sales per share
for stock in growth_qualified_stocks:
query = rqdatac.query(
rqdatac.financials.income_statement.revenue).filter(
rqdatac.financials.stockcode.in_([stock]))
sales_recent = rqdatac.get_financials(query, annual_report[stock],
'1q')
latest_trading_date_recent = str(
rqdatac.get_previous_trading_date(
datetime.strptime(annual_report[stock][:4] +
'-12-31', '%Y-%m-%d') + timedelta(days=1)))
shares_recent = rqdatac.get_shares(
stock,
start_date=latest_trading_date_recent,
end_date=latest_trading_date_recent,
fields='total')
sales_per_share_recent = sales_recent.values / shares_recent.values
sales_last_year = rqdatac.get_financials(
query, annual_report_last_year[stock], '1q')
latest_trading_date_last_year = str(
rqdatac.get_previous_trading_date(
datetime.strptime(
annual_report_last_year[stock][:4] +
'-12-31', '%Y-%m-%d') + timedelta(days=1)))
shares_last_year = rqdatac.get_shares(
stock,
start_date=latest_trading_date_last_year,
end_date=latest_trading_date_last_year,
fields='total')
sales_per_share_last_year = sales_last_year.values / shares_last_year.values
sales_2_year_ago = rqdatac.get_financials(
query, annual_report_2_year_ago[stock], '1q')
latest_trading_date_2_year_ago = str(
rqdatac.get_previous_trading_date(
datetime.strptime(
annual_report_2_year_ago[stock][:4] +
'-12-31', '%Y-%m-%d') + timedelta(days=1)))
shares_2_year_ago = rqdatac.get_shares(
stock,
start_date=latest_trading_date_2_year_ago,
end_date=latest_trading_date_2_year_ago,
fields='total')
sales_per_share_2_year_ago = sales_2_year_ago.values / shares_2_year_ago.values
sales_3_year_ago = rqdatac.get_financials(
query, annual_report_3_year_ago[stock], '1q')
latest_trading_date_3_year_ago = str(
rqdatac.get_previous_trading_date(
datetime.strptime(
annual_report_3_year_ago[stock][:4] +
'-12-31', '%Y-%m-%d') + timedelta(days=1)))
shares_3_year_ago = rqdatac.get_shares(
stock,
start_date=latest_trading_date_3_year_ago,
end_date=latest_trading_date_3_year_ago,
fields='total')
sales_per_share_3_year_ago = sales_3_year_ago.values / shares_3_year_ago.values
sales_4_year_ago = rqdatac.get_financials(
query, annual_report_4_year_ago[stock], '1q')
latest_trading_date_4_year_ago = str(
rqdatac.get_previous_trading_date(
datetime.strptime(
annual_report_4_year_ago[stock][:4] +
'-12-31', '%Y-%m-%d') + timedelta(days=1)))
shares_4_year_ago = rqdatac.get_shares(
stock,
start_date=latest_trading_date_4_year_ago,
end_date=latest_trading_date_4_year_ago,
fields='total')
sales_per_share_4_year_ago = sales_4_year_ago.values / shares_4_year_ago.values
regression = linear_model.LinearRegression()
sales_per_share = pd.Series([
sales_per_share_recent, sales_per_share_last_year,
sales_per_share_2_year_ago, sales_per_share_3_year_ago,
sales_per_share_4_year_ago
]).fillna(value=0)
regression.fit(year.reshape(-1, 1), sales_per_share)
factor['SGRO'][stock] = float(
regression.coef_) / abs(sales_per_share).mean()
sale_growth = winsorization_and_market_cap_weighed_standardization(
factor['SGRO'], market_cap_on_current_day)
return sale_growth
