def NetProfitYOY(beg_date, end_date):
"""
因子说明: 当季净利润的同比增长
披露日期 为 最近财报
"""
# param
#################################################################################
factor_name = 'NetProfitYOY'
ipo_num = 90
# read data
#################################################################################
net_profit = Stock().get_factor_h5("NetProfit", None, "primary_mfc").T
net_profit_4 = net_profit.shift(4)
netprofit_yoy = net_profit / net_profit_4 - 1.0
netprofit_yoy = netprofit_yoy.T
netprofit_yoy = StockFactorOperate(
).change_quarter_to_daily_with_report_date(netprofit_yoy, beg_date,
end_date)
# data precessing
#################################################################################
pass
# calculate data daily
#################################################################################
res = netprofit_yoy.T.dropna(how='all').T
# save data
#############################################################################
Stock().write_factor_h5(res, factor_name, "alpha_dfc")
return res
def NetprofitYOYBiasDaily(beg_date, end_date):
"""
因子说明：当季 净利润 同比增长 的 环减值
披露日期 为 最近财报
"""
# param
#################################################################################
factor_name = 'NetprofitYOYBiasDaily'
ipo_num = 90
# read data
#################################################################################
profit = Stock().get_factor_h5("NetProfit", None, "primary_mfc").T
profit_4 = profit.shift(4)
profit_yoy = profit / profit_4 - 1.0
profit_yoy_speed = profit_yoy.diff().T
report_data = Stock().get_factor_h5("NetProfit" + "Daily", "ReportDate",
'primary_mfc')
profit_yoy_speed = StockFactorOperate().\
change_quarter_to_daily_with_disclosure_date(profit_yoy_speed, report_data, beg_date, end_date)
# data precessing
#################################################################################
pass
# calculate data daily
#################################################################################
res = profit_yoy_speed.T.dropna(how='all').T
# save data
#############################################################################
Stock().write_factor_h5(res, factor_name, "alpha_dfc")
return res
def NetProfitQOQ(beg_date, end_date):
"""
因子说明: 净利润环比增长率
披露日期 为 最近财报
"""
# param
#################################################################################
factor_name = 'NetProfitQOQ'
ipo_num = 90
# read data
#################################################################################
netprofit = Stock().get_factor_h5("NetProfit", None, "primary_mfc").T
netprofit_1 = netprofit.shift(1)
netprofit_qoq = netprofit.div(netprofit_1) - 1.0
netprofit_qoq = netprofit_qoq.T
netprofit_qoq = StockFactorOperate(
).change_quarter_to_daily_with_report_date(netprofit_qoq, beg_date,
end_date)
# data precessing
#################################################################################
pass
# calculate data daily
#################################################################################
res = netprofit_qoq.T.dropna(how='all').T
# save data
#############################################################################
Stock().write_factor_h5(res, factor_name, "alpha_dfc")
return res
def IncomeYOYDaily(beg_date, end_date):
"""
因子说明: 当季营收的同比增长
披露日期 为 最近财报
"""
# param
#################################################################################
factor_name = 'IncomeYOYDaily'
ipo_num = 90
# read data
#################################################################################
net_profit = Stock().get_factor_h5("NetProfit", None, "primary_mfc").T
net_profit_4 = net_profit.shift(4)
netprofit_yoy = net_profit / net_profit_4 - 1.0
netprofit_yoy = netprofit_yoy.T
report_data = Stock().get_factor_h5("NetProfit" + "Daily", "ReportDate", 'primary_mfc')
netprofit_yoy = StockFactorOperate().change_quarter_to_daily_with_disclosure_date(netprofit_yoy, report_data, beg_date, end_date)
# data precessing
#################################################################################
pass
# calculate data daily
#################################################################################
res = netprofit_yoy.T.dropna(how='all').T
# save data
#############################################################################
Stock().write_factor_h5(res, factor_name, "alpha_dfc")
return res
def PEG(beg_date, end_date):
"""
因子说明：PE_TTM / 净利润增长速度
当两者都是负数的时候 结果也为负数
披露日期 为 最近财报
"""
# param
#################################################################################
factor_name = 'PEG'
ipo_num = 90
# read data
#################################################################################
net_profit = Stock().get_factor_h5("NetProfit", None, "primary_mfc")
net_profit = StockFactorOperate().change_single_quarter_to_ttm_quarter(
net_profit).T
net_profit_4 = net_profit.shift(4)
net_profit_g = net_profit / net_profit_4 - 1.0
net_profit_g_mean = net_profit_g.rolling(window=4).median().T
report_data = Stock().get_factor_h5("NetProfit" + "Daily", "ReportDate",
'primary_mfc')
net_profit_g_mean = StockFactorOperate().\
change_quarter_to_daily_with_disclosure_date(net_profit_g_mean, report_data, beg_date, end_date)
pe_ttm = Stock().get_factor_h5("PE_ttm", None, "primary_mfc")
[pe_ttm, net_profit_g_mean
] = Stock().make_same_index_columns([pe_ttm, net_profit_g_mean])
pe_ttm_negative = pe_ttm < 0.0
net_profit_g_mean_negative = net_profit_g_mean < 0.0
double_negative = pe_ttm_negative & net_profit_g_mean_negative
peg = pe_ttm.div(net_profit_g_mean)
peg[double_negative] = -peg[double_negative]
# data precessing
#################################################################################
pass
# calculate data daily
#################################################################################
res = peg.T.dropna(how='all').T
# save data
#############################################################################
Stock().write_factor_h5(res, factor_name, "alpha_dfc")
return res
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
profit = Stock().read_factor_h5("TotalAsset").T
profit_4 = profit.shift(4)
profit_yoy = profit / profit_4 - 1.0
profit_yoy = profit_yoy.T
report_data = Stock().read_factor_h5("ReportDateDaily")
profit_yoy = Stock().change_quarter_to_daily_with_disclosure_date(profit_yoy, report_data, beg_date, end_date)
res = profit_yoy.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
profit = Stock().read_factor_h5("OperatingIncome").T
profit_4 = profit.shift(4)
profit_yoy = profit / profit_4 - 1.0
yoy_bias = profit_yoy.diff().T
report_data = Stock().read_factor_h5("ReportDateDaily")
yoy_bias = Stock().change_quarter_to_daily_with_disclosure_date(yoy_bias, report_data, beg_date, end_date)
res = yoy_bias.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
income = Stock().read_factor_h5("OperatingIncome").T
income_4 = income.shift(4)
income_yoy = income / income_4 - 1.0
income_yoy = income_yoy.T
report_data = Stock().read_factor_h5("ReportDateDaily")
income_yoy = Stock().change_quarter_to_daily_with_disclosure_date(
income_yoy, report_data, beg_date, end_date)
res = income_yoy.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
cfno = Stock().read_factor_h5("NetOperateCashFlow").T
cfno_4 = cfno.shift(4)
cfno_yoy = cfno / cfno_4 - 1.0
cfno_yoy = cfno_yoy.T
report_data = Stock().read_factor_h5("ReportDateDaily")
cfno_yoy = Stock().change_quarter_to_daily_with_disclosure_date(
cfno_yoy, report_data, beg_date, end_date)
res = cfno_yoy.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
income = Stock().read_factor_h5("OperatingIncome")
income_ttm = Stock().change_single_quarter_to_ttm_quarter(income).T
income_ttm_1 = income_ttm.shift(1)
income_qoq = income_ttm.div(income_ttm_1) - 1.0
income_qoq = income_qoq.T
report_data = Stock().read_factor_h5("ReportDateDaily")
income_qoq = Stock().change_quarter_to_daily_with_disclosure_date(
income_qoq, report_data, beg_date, end_date)
res = income_qoq.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
# read data
advance = Stock().read_factor_h5("AdvanceReceipts").T
advance_4 = advance.shift(4)
advance_yoy = advance / advance_4 - 1.0
advance_yoy = advance_yoy.T
report_data = Stock().read_factor_h5("ReportDateDaily")
advance_yoy = Stock().change_quarter_to_daily_with_disclosure_date(
advance_yoy, report_data, beg_date, end_date)
res = advance_yoy.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
profit = Stock().read_factor_h5("NetProfitDeducted")
profit_ttm = Stock().change_single_quarter_to_ttm_quarter(profit).T
profit_ttm_1 = profit_ttm.shift(1)
profit_qoq = profit_ttm.div(profit_ttm_1) - 1.0
profit_qoq = profit_qoq.T
report_data = Stock().read_factor_h5("ReportDateDaily")
profit_qoq = Stock().change_quarter_to_daily_with_disclosure_date(
profit_qoq, report_data, beg_date, end_date)
res = profit_qoq.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
def cal_factor_exposure(self, beg_date, end_date):
""" 计算因子暴露 """
# read data
debt = Stock().read_factor_h5("TotalCurrentLiability").T
debt_4 = debt.shift(4)
debt_yoy = debt / debt_4 - 1.0
debt_yoy = debt_yoy.T
report_data = Stock().read_factor_h5("ReportDateDaily")
advance_yoy = Stock().change_quarter_to_daily_with_disclosure_date(
debt_yoy, report_data, beg_date, end_date)
res = advance_yoy.T.dropna(how='all').T
self.save_alpha_factor_exposure(res, self.raw_factor_name)
