def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
# read data
cfo = Stock().read_factor_h5("NetOperateCashFlow")
cfo_ttm = Stock().change_single_quarter_to_ttm_quarter(cfo)
expense = Stock().read_factor_h5("FinanceExpenseQuarter")
expense_ttm = Stock().change_single_quarter_to_ttm_quarter(
expense) / 100000000.0
tax_rate = Stock().read_factor_h5("TaxRate")
tax_rate = tax_rate.T.fillna(method="pad", limit=5).T
expense_ttm_adjust = expense_ttm.mul(1 - tax_rate)
cfo_ttm_adjust = cfo_ttm.add(expense_ttm_adjust)
holder = Stock().read_factor_h5("TotalShareHoldeRequity") / 100000000.0
debt = Stock().read_factor_h5("InterestDebt") / 100000000.0
cash = Stock().read_factor_h5("CashEquivalents") / 100000000.0
operate_net_asset = holder + debt - cash
cfroi = cfo_ttm_adjust.div(operate_net_asset)
report_data = Stock().read_factor_h5("ReportDateDaily")
cfroi = Stock().change_quarter_to_daily_with_disclosure_date(
cfroi, report_data, beg_date, end_date)
res = cfroi.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def ARAPIncomeTTM(beg_date, end_date):
"""
因子说明：(预收账款 + 应付账款) / 营业总收入 TTM
最近一期财报 实时更新
若有一个为负值 结果为负值
"""
# param
#################################################################################
factor_name = 'ARAPIncomeTTM'
ipo_num = 90
# read data
#################################################################################
income = Stock().get_factor_h5("OperatingIncome", None, "primary_mfc")
advance = Stock().get_factor_h5("AdvanceReceipts", None, "primary_mfc")
payable = Stock().get_factor_h5("AccountsPayable", None, "primary_mfc")
# data precessing
#################################################################################
[advance, payable,
income] = Stock().make_same_index_columns([advance, payable, income])
add = advance.add(payable)
ratio = add.div(income)
ratio = StockFactorOperate().change_quarter_to_daily_with_report_date(
ratio, beg_date, end_date)
res = ratio.T.dropna(how='all').T
# save data
#############################################################################
Stock().write_factor_h5(res, factor_name, "alpha_dfc")
return res
def cal_factor_barra_leverage_book_leverage(self):
"""
账面杠杆 =（普通股账面价值+优先股账面价值+长期负债）/ 普通股账面价值
"""
holder_equity = Stock().read_factor_h5("TotalShareHoldeRequityDaily")
preferred_equity = Stock().read_factor_h5("PreferredEquityDaily")
common_equity = holder_equity.sub(preferred_equity)
long_loan = Stock().read_factor_h5("LongTermLoanDaily")
add = holder_equity.add(long_loan, fill_value=0.0)
book_leverage = add.div(common_equity)
book_leverage = book_leverage.T.dropna(how='all').T
self.save_risk_factor_exposure(book_leverage,
self.raw_factor_name_book_leverage)
book_leverage = FactorPreProcess().remove_extreme_value_mad(
book_leverage)
book_leverage = FactorPreProcess().standardization(book_leverage)
self.save_risk_factor_exposure(book_leverage,
self.factor_name_book_leverage)
