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Commit aaac4c26 authored by Dr.李's avatar Dr.李
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update codes

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attribution/020 brison attribution.ipynb
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......@@ -2,7 +2,7 @@
"cells": [
{
"cell_type": "code",
"execution_count": 2,
"execution_count": 1,
"id": "a1fbf6c8-e22a-4d0d-b3d8-c6c54d60bce1",
"metadata": {},
"outputs": [],
......@@ -26,17 +26,19 @@
},
{
"cell_type": "code",
"execution_count": 3,
"execution_count": 25,
"id": "1813212b-9027-4831-a245-1a19a44e787b",
"metadata": {},
"outputs": [],
"source": [
"trade_dt = adjustDateByCalendar(\"china.sse\", \"2021-06-30\").strftime(\"%Y%m%d\")"
"trade_dt = adjustDateByCalendar(\"china.sse\", \"2021-06-30\").strftime(\"%Y%m%d\")\n",
"end_date = adjustDateByCalendar(\"china.sse\", \"2021-09-30\").strftime(\"%Y%m%d\")\n",
"prev_w = 1.0"
]
},
{
"cell_type": "code",
"execution_count": 4,
"execution_count": 26,
"id": "21a0b455-1eb3-47f0-8a9c-15533dd12939",
"metadata": {},
"outputs": [
......@@ -61,369 +63,185 @@
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>pid</th>\n",
" <th>security_code</th>\n",
" <th>SKNAME</th>\n",
" <th>HOLDMKTCAP</th>\n",
" <th>HOLDAMT</th>\n",
" <th>NAVRTO</th>\n",
" <th>weight_x</th>\n",
" <th>weight_y</th>\n",
" <th>weight</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>1030000006</td>\n",
" <td>2010000045</td>\n",
" <td>海信视像</td>\n",
" <td>71468410.0</td>\n",
" <td>4228900.0</td>\n",
" <td>1.61</td>\n",
" <td>0.021116</td>\n",
" <td>0.000000</td>\n",
" <td>0.021116</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>1030000006</td>\n",
" <td>2010000121</td>\n",
" <td>中青旅</td>\n",
" <td>33714502.5</td>\n",
" <td>3210905.0</td>\n",
" <td>0.76</td>\n",
" <td>0.009961</td>\n",
" <td>0.000000</td>\n",
" <td>0.009961</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>1030000006</td>\n",
" <td>2010000171</td>\n",
" <td>复星医药</td>\n",
" <td>48781519.0</td>\n",
" <td>676300.0</td>\n",
" <td>1.10</td>\n",
" <td>0.014413</td>\n",
" <td>0.000000</td>\n",
" <td>0.014413</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>1030000006</td>\n",
" <td>2010000377</td>\n",
" <td>片仔癀</td>\n",
" <td>89447057.5</td>\n",
" <td>199525.0</td>\n",
" <td>2.02</td>\n",
" <td>0.026428</td>\n",
" <td>0.000000</td>\n",
" <td>0.026428</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>1030000006</td>\n",
" <td>2010000438</td>\n",
" <td>贵州茅台</td>\n",
" <td>136307792.5</td>\n",
" <td>66275.0</td>\n",
" <td>3.08</td>\n",
" <td>0.040273</td>\n",
" <td>0.092662</td>\n",
" <td>0.040273</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" pid security_code SKNAME HOLDMKTCAP HOLDAMT NAVRTO weight\n",
"0 1030000006 2010000045 海信视像 71468410.0 4228900.0 1.61 0.021116\n",
"1 1030000006 2010000121 中青旅 33714502.5 3210905.0 0.76 0.009961\n",
"2 1030000006 2010000171 复星医药 48781519.0 676300.0 1.10 0.014413\n",
"3 1030000006 2010000377 片仔癀 89447057.5 199525.0 2.02 0.026428\n",
"4 1030000006 2010000438 贵州茅台 136307792.5 66275.0 3.08 0.040273"
]
},
"execution_count": 4,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# 获取指定基金在基准日的持仓（portfolio date)\n",
"portfolio = fd_skdetail(\"1030000006\", trade_dt=trade_dt)\n",
"portfolio.head()"
]
},
{
"cell_type": "code",
"execution_count": 6,
"id": "82ca3a10-45e2-4b49-8be1-1e77104a1a52",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>trade_date</th>\n",
" <th>security_code</th>\n",
" <th>sname</th>\n",
" <th>weight</th>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000001</td>\n",
" <td>浦发银行</td>\n",
" <td>0.0055</td>\n",
" <th>113</th>\n",
" <td>2010034355</td>\n",
" <td>0.000008</td>\n",
" <td>0.000000</td>\n",
" <td>0.000008</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000010</td>\n",
" <td>上海机场</td>\n",
" <td>0.0022</td>\n",
" <th>114</th>\n",
" <td>2010034356</td>\n",
" <td>0.000013</td>\n",
" <td>0.000000</td>\n",
" <td>0.000013</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000011</td>\n",
" <td>包钢股份</td>\n",
" <td>0.0017</td>\n",
" <th>115</th>\n",
" <td>2010034358</td>\n",
" <td>0.000002</td>\n",
" <td>0.000000</td>\n",
" <td>0.000002</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000012</td>\n",
" <td>华能国际</td>\n",
" <td>0.0009</td>\n",
" <th>116</th>\n",
" <td>2010034359</td>\n",
" <td>0.000003</td>\n",
" <td>0.000000</td>\n",
" <td>0.000003</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000014</td>\n",
" <td>华夏银行</td>\n",
" <td>0.0018</td>\n",
" <th>117</th>\n",
" <td>2010034373</td>\n",
" <td>0.000016</td>\n",
" <td>0.000000</td>\n",
" <td>0.000016</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>118 rows × 4 columns</p>\n",
"</div>"
],
"text/plain": [
" trade_date security_code sname weight\n",
"0 2021-06-30 2010000001 浦发银行 0.0055\n",
"1 2021-06-30 2010000010 上海机场 0.0022\n",
"2 2021-06-30 2010000011 包钢股份 0.0017\n",
"3 2021-06-30 2010000012 华能国际 0.0009\n",
"4 2021-06-30 2010000014 华夏银行 0.0018"
" security_code weight_x weight_y weight\n",
"0 2010000045 0.021116 0.000000 0.021116\n",
"1 2010000121 0.009961 0.000000 0.009961\n",
"2 2010000171 0.014413 0.000000 0.014413\n",
"3 2010000377 0.026428 0.000000 0.026428\n",
"4 2010000438 0.040273 0.092662 0.040273\n",
".. ... ... ... ...\n",
"113 2010034355 0.000008 0.000000 0.000008\n",
"114 2010034356 0.000013 0.000000 0.000013\n",
"115 2010034358 0.000002 0.000000 0.000002\n",
"116 2010034359 0.000003 0.000000 0.000003\n",
"117 2010034373 0.000016 0.000000 0.000016\n",
"\n",
"[118 rows x 4 columns]"
]
},
"execution_count": 6,
"execution_count": 26,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"# 获取指定基金在基准日的持仓（portfolio date)\n",
"portfolio1 = fd_skdetail(\"1030000006\", trade_dt=trade_dt)\n",
"portfolio2 = fd_skdetail(\"1030000006\", trade_dt=end_date)\n",
"portfolio = pd.merge(portfolio1[[\"security_code\", \"weight\"]], portfolio2[[\"security_code\", \"weight\"]], how=\"outer\", on=[\"security_code\"]).fillna(0)\n",
"portfolio[\"weight\"] = prev_w * portfolio[\"weight_x\"] + (1.0 - prev_w) * portfolio[\"weight_y\"]\n",
"portfolio[portfolio.weight != 0]"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "82ca3a10-45e2-4b49-8be1-1e77104a1a52",
"metadata": {},
"outputs": [],
"source": [
"# 获取基准指数的成分\n",
"idx_comp = index_component(\"2070000060\", trade_dt, trade_dt)\n",
"idx_comp.head()"
"idx_comp1 = index_component(\"2070000669\", trade_dt, trade_dt)\n",
"idx_comp2 = index_component(\"2070000669\", end_date, end_date)\n",
"idx_comp = pd.merge(idx_comp1[[\"security_code\", \"weight\"]], idx_comp2[[\"security_code\", \"weight\"]], how=\"outer\", on=[\"security_code\"]).fillna(0)\n",
"idx_comp[\"weight\"] = prev_w * idx_comp[\"weight_x\"] + (1.0 - prev_w) * idx_comp[\"weight_y\"]\n",
"idx_comp[\"weight\"] /= idx_comp[\"weight\"].sum()\n",
"idx_comp"
]
},
{
"cell_type": "code",
"execution_count": 9,
"execution_count": null,
"id": "6d57d8f9-6c1c-4a41-ae64-87763648a22b",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>trade_date</th>\n",
" <th>security_code</th>\n",
" <th>industry_code</th>\n",
" <th>industry_name</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000001</td>\n",
" <td>480000</td>\n",
" <td>银行</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000005</td>\n",
" <td>420000</td>\n",
" <td>交通运输</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000007</td>\n",
" <td>280000</td>\n",
" <td>汽车</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000008</td>\n",
" <td>430000</td>\n",
" <td>房地产</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2021-06-30</td>\n",
" <td>2010000009</td>\n",
" <td>410000</td>\n",
" <td>公用事业</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" trade_date security_code industry_code industry_name\n",
"0 2021-06-30 2010000001 480000 银行\n",
"1 2021-06-30 2010000005 420000 交通运输\n",
"2 2021-06-30 2010000007 280000 汽车\n",
"3 2021-06-30 2010000008 430000 房地产\n",
"4 2021-06-30 2010000009 410000 公用事业"
]
},
"execution_count": 9,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"# 获取行业分类信息\n",
"ind = sw_industry_daily(trade_dt, trade_dt, 1)\n",
"ind.head()"
"ind.sort_values(\"security_code\")"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "94cc8a8f-6270-4a16-be78-371adaae16cc",
"metadata": {},
"outputs": [],
"source": [
"len(ind.industry_code.unique())"
]
},
{
"cell_type": "code",
"execution_count": 11,
"execution_count": null,
"id": "fa17cc0d-61ad-4958-bf01-7cdc1c17230d",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>security_code</th>\n",
" <th>start_date</th>\n",
" <th>end_date</th>\n",
" <th>chg_pct</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>0</th>\n",
" <td>2010000001</td>\n",
" <td>2021-06-30</td>\n",
" <td>2021-06-30</td>\n",
" <td>0.002004</td>\n",
" </tr>\n",
" <tr>\n",
" <th>1</th>\n",
" <td>2010000005</td>\n",
" <td>2021-06-30</td>\n",
" <td>2021-06-30</td>\n",
" <td>0.001792</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2</th>\n",
" <td>2010000007</td>\n",
" <td>2021-06-30</td>\n",
" <td>2021-06-30</td>\n",
" <td>0.000000</td>\n",
" </tr>\n",
" <tr>\n",
" <th>3</th>\n",
" <td>2010000008</td>\n",
" <td>2021-06-30</td>\n",
" <td>2021-06-30</td>\n",
" <td>0.014689</td>\n",
" </tr>\n",
" <tr>\n",
" <th>4</th>\n",
" <td>2010000009</td>\n",
" <td>2021-06-30</td>\n",
" <td>2021-06-30</td>\n",
" <td>-0.006601</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" security_code start_date end_date chg_pct\n",
"0 2010000001 2021-06-30 2021-06-30 0.002004\n",
"1 2010000005 2021-06-30 2021-06-30 0.001792\n",
"2 2010000007 2021-06-30 2021-06-30 0.000000\n",
"3 2010000008 2021-06-30 2021-06-30 0.014689\n",
"4 2010000009 2021-06-30 2021-06-30 -0.006601"
]
},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"# 获取股票的区间收益，brison分解针对指定区间进行\n",
"# 下面的例子，分解20210630到20211231区间的收益\n",
"\n",
"rtns = stk_return(trade_dt, trade_dt)\n",
"rtns.head()"
"rtns = stk_return(trade_dt, end_date)"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "e17f2462-6fe6-4b43-9dda-902a83f7a419",
"metadata": {},
"outputs": [],
"source": [
"rtns"
]
},
{
......@@ -443,25 +261,15 @@
"* **TR**: 总超额收益\n",
"* **SR**: 证券选择收益\n",
"* **AR**: 行业配置收益\n",
"* **IR**: 交互收益\n",
"\n",
"以下的归因我们都只做了 **一天** 的结果，区间归因即为每日归因的累加。"
"* **IR**: 交互收益"
]
},
{
"cell_type": "code",
"execution_count": 12,
"execution_count": null,
"id": "41d6c18d-2ff7-4592-89cb-d19c4e8cc3e1",
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Wall time: 86.1 ms\n"
]
}
],
"outputs": [],
"source": [
"%%time\n",
"\n",
......@@ -470,434 +278,10 @@
},
{
"cell_type": "code",
"execution_count": 13,
"execution_count": null,
"id": "b31e7832-ee3f-43c8-b931-022e2f855919",
"metadata": {},
"outputs": [
{
"data": {
"text/html": [
"<div>\n",
"<style scoped>\n",
" .dataframe tbody tr th:only-of-type {\n",
" vertical-align: middle;\n",
" }\n",
"\n",
" .dataframe tbody tr th {\n",
" vertical-align: top;\n",
" }\n",
"\n",
" .dataframe thead th {\n",
" text-align: right;\n",
" }\n",
"</style>\n",
"<table border=\"1\" class=\"dataframe\">\n",
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>portfolio</th>\n",
" <th>benchmark</th>\n",
" <th>p_ret</th>\n",
" <th>b_ret</th>\n",
" <th>TR</th>\n",
" <th>SR</th>\n",
" <th>AR</th>\n",
" <th>IR</th>\n",
" </tr>\n",
" <tr>\n",
" <th>industry</th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>交通运输</th>\n",
" <td>0.000000</td>\n",
" <td>0.0294</td>\n",
" <td>0.000000</td>\n",
" <td>0.013769</td>\n",
" <td>-4.048145e-04</td>\n",
" <td>-0.000405</td>\n",
" <td>-0.000405</td>\n",
" <td>4.048145e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>休闲服务</th>\n",
" <td>0.039602</td>\n",
" <td>0.0149</td>\n",
" <td>-0.006466</td>\n",
" <td>-0.004642</td>\n",
" <td>-1.868824e-04</td>\n",
" <td>-0.000027</td>\n",
" <td>-0.000115</td>\n",
" <td>-4.504017e-05</td>\n",
" </tr>\n",
" <tr>\n",
" <th>传媒</th>\n",
" <td>0.036138</td>\n",
" <td>0.0140</td>\n",
" <td>-0.012678</td>\n",
" <td>0.000715</td>\n",
" <td>-4.681614e-04</td>\n",
" <td>-0.000188</td>\n",
" <td>0.000016</td>\n",
" <td>-2.964908e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>公用事业</th>\n",
" <td>0.000012</td>\n",
" <td>0.0177</td>\n",
" <td>0.042125</td>\n",
" <td>0.003800</td>\n",
" <td>-6.675646e-05</td>\n",
" <td>0.000678</td>\n",
" <td>-0.000067</td>\n",
" <td>-6.778995e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>农林牧渔</th>\n",
" <td>0.000003</td>\n",
" <td>0.0161</td>\n",
" <td>-0.007081</td>\n",
" <td>-0.005968</td>\n",
" <td>9.606328e-05</td>\n",
" <td>-0.000018</td>\n",
" <td>0.000096</td>\n",
" <td>1.792142e-05</td>\n",
" </tr>\n",
" <tr>\n",
" <th>化工</th>\n",
" <td>0.000096</td>\n",
" <td>0.0347</td>\n",
" <td>0.032804</td>\n",
" <td>0.004375</td>\n",
" <td>-1.486653e-04</td>\n",
" <td>0.000986</td>\n",
" <td>-0.000151</td>\n",
" <td>-9.837681e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>医药生物</th>\n",
" <td>0.541291</td>\n",
" <td>0.1119</td>\n",
" <td>0.002162</td>\n",
" <td>0.001370</td>\n",
" <td>1.016734e-03</td>\n",
" <td>0.000089</td>\n",
" <td>0.000588</td>\n",
" <td>3.399191e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>商业贸易</th>\n",
" <td>0.000000</td>\n",
" <td>0.0026</td>\n",
" <td>0.000000</td>\n",
" <td>0.000918</td>\n",
" <td>-2.386400e-06</td>\n",
" <td>-0.000002</td>\n",
" <td>-0.000002</td>\n",
" <td>2.386400e-06</td>\n",
" </tr>\n",
" <tr>\n",
" <th>国防军工</th>\n",
" <td>0.000000</td>\n",
" <td>0.0129</td>\n",
" <td>0.000000</td>\n",
" <td>0.014161</td>\n",
" <td>-1.826710e-04</td>\n",
" <td>-0.000183</td>\n",
" <td>-0.000183</td>\n",
" <td>1.826710e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>家用电器</th>\n",
" <td>0.050703</td>\n",
" <td>0.0363</td>\n",
" <td>-0.002778</td>\n",
" <td>0.005931</td>\n",
" <td>-3.561571e-04</td>\n",
" <td>-0.000316</td>\n",
" <td>0.000085</td>\n",
" <td>-1.254411e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>建筑材料</th>\n",
" <td>0.000000</td>\n",
" <td>0.0111</td>\n",
" <td>0.000000</td>\n",
" <td>-0.001708</td>\n",
" <td>1.896090e-05</td>\n",
" <td>0.000019</td>\n",
" <td>0.000019</td>\n",
" <td>-1.896090e-05</td>\n",
" </tr>\n",
" <tr>\n",
" <th>建筑装饰</th>\n",
" <td>0.000007</td>\n",
" <td>0.0122</td>\n",
" <td>-0.021015</td>\n",
" <td>-0.002694</td>\n",
" <td>3.272320e-05</td>\n",
" <td>-0.000224</td>\n",
" <td>0.000033</td>\n",
" <td>2.233851e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>房地产</th>\n",
" <td>0.000000</td>\n",
" <td>0.0206</td>\n",
" <td>0.000000</td>\n",
" <td>-0.000414</td>\n",
" <td>8.521000e-06</td>\n",
" <td>0.000009</td>\n",
" <td>0.000009</td>\n",
" <td>-8.521000e-06</td>\n",
" </tr>\n",
" <tr>\n",
" <th>有色金属</th>\n",
" <td>0.000007</td>\n",
" <td>0.0243</td>\n",
" <td>0.013247</td>\n",
" <td>0.019732</td>\n",
" <td>-4.794005e-04</td>\n",
" <td>-0.000158</td>\n",
" <td>-0.000479</td>\n",
" <td>1.575546e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>机械设备</th>\n",
" <td>0.050724</td>\n",
" <td>0.0246</td>\n",
" <td>-0.000273</td>\n",
" <td>0.018532</td>\n",
" <td>-4.697309e-04</td>\n",
" <td>-0.000463</td>\n",
" <td>0.000484</td>\n",
" <td>-4.912561e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>汽车</th>\n",
" <td>0.000005</td>\n",
" <td>0.0324</td>\n",
" <td>-0.009157</td>\n",
" <td>-0.003305</td>\n",
" <td>1.070463e-04</td>\n",
" <td>-0.000190</td>\n",
" <td>0.000107</td>\n",
" <td>1.895696e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>电子</th>\n",
" <td>0.065804</td>\n",
" <td>0.1012</td>\n",
" <td>0.017476</td>\n",
" <td>0.019454</td>\n",
" <td>-8.187368e-04</td>\n",
" <td>-0.000200</td>\n",
" <td>-0.000689</td>\n",
" <td>7.000751e-05</td>\n",
" </tr>\n",
" <tr>\n",
" <th>电气设备</th>\n",
" <td>0.000005</td>\n",
" <td>0.0541</td>\n",
" <td>-0.010346</td>\n",
" <td>0.014837</td>\n",
" <td>-8.027072e-04</td>\n",
" <td>-0.001362</td>\n",
" <td>-0.000803</td>\n",
" <td>1.362263e-03</td>\n",
" </tr>\n",
" <tr>\n",
" <th>纺织服装</th>\n",
" <td>0.000027</td>\n",
" <td>0.0000</td>\n",
" <td>-0.000558</td>\n",
" <td>0.000000</td>\n",
" <td>-1.485314e-08</td>\n",
" <td>-0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>-1.485314e-08</td>\n",
" </tr>\n",
" <tr>\n",
" <th>综合</th>\n",
" <td>0.000007</td>\n",
" <td>0.0000</td>\n",
" <td>0.019664</td>\n",
" <td>0.000000</td>\n",
" <td>1.281863e-07</td>\n",
" <td>0.000000</td>\n",
" <td>0.000000</td>\n",
" <td>1.281863e-07</td>\n",
" </tr>\n",
" <tr>\n",
" <th>计算机</th>\n",
" <td>0.000015</td>\n",
" <td>0.0273</td>\n",
" <td>0.117384</td>\n",
" <td>0.017953</td>\n",
" <td>-4.883305e-04</td>\n",
" <td>0.002714</td>\n",
" <td>-0.000490</td>\n",
" <td>-2.712942e-03</td>\n",
" </tr>\n",
" <tr>\n",
" <th>轻工制造</th>\n",
" <td>0.014181</td>\n",
" <td>0.0034</td>\n",
" <td>-0.035708</td>\n",
" <td>-0.001493</td>\n",
" <td>-5.013087e-04</td>\n",
" <td>-0.000116</td>\n",
" <td>-0.000016</td>\n",
" <td>-3.688828e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>通信</th>\n",
" <td>0.000000</td>\n",
" <td>0.0108</td>\n",
" <td>0.000000</td>\n",
" <td>0.010520</td>\n",
" <td>-1.136123e-04</td>\n",
" <td>-0.000114</td>\n",
" <td>-0.000114</td>\n",
" <td>1.136123e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>采掘</th>\n",
" <td>0.000000</td>\n",
" <td>0.0080</td>\n",
" <td>0.000000</td>\n",
" <td>0.005232</td>\n",
" <td>-4.185280e-05</td>\n",
" <td>-0.000042</td>\n",
" <td>-0.000042</td>\n",
" <td>4.185280e-05</td>\n",
" </tr>\n",
" <tr>\n",
" <th>钢铁</th>\n",
" <td>0.000000</td>\n",
" <td>0.0059</td>\n",
" <td>0.000000</td>\n",
" <td>0.000734</td>\n",
" <td>-4.333400e-06</td>\n",
" <td>-0.000004</td>\n",
" <td>-0.000004</td>\n",
" <td>4.333400e-06</td>\n",
" </tr>\n",
" <tr>\n",
" <th>银行</th>\n",
" <td>0.000000</td>\n",
" <td>0.1239</td>\n",
" <td>0.000000</td>\n",
" <td>0.009456</td>\n",
" <td>-1.171629e-03</td>\n",
" <td>-0.001172</td>\n",
" <td>-0.001172</td>\n",
" <td>1.171629e-03</td>\n",
" </tr>\n",
" <tr>\n",
" <th>非银金融</th>\n",
" <td>0.000000</td>\n",
" <td>0.1111</td>\n",
" <td>0.000000</td>\n",
" <td>0.007316</td>\n",
" <td>-8.128087e-04</td>\n",
" <td>-0.000813</td>\n",
" <td>-0.000813</td>\n",
" <td>8.128087e-04</td>\n",
" </tr>\n",
" <tr>\n",
" <th>食品饮料</th>\n",
" <td>0.201270</td>\n",
" <td>0.1391</td>\n",
" <td>0.001934</td>\n",
" <td>0.000774</td>\n",
" <td>2.815118e-04</td>\n",
" <td>0.000161</td>\n",
" <td>0.000048</td>\n",
" <td>7.208423e-05</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" portfolio benchmark p_ret b_ret TR SR \\\n",
"industry \n",
"交通运输 0.000000 0.0294 0.000000 0.013769 -4.048145e-04 -0.000405 \n",
"休闲服务 0.039602 0.0149 -0.006466 -0.004642 -1.868824e-04 -0.000027 \n",
"传媒 0.036138 0.0140 -0.012678 0.000715 -4.681614e-04 -0.000188 \n",
"公用事业 0.000012 0.0177 0.042125 0.003800 -6.675646e-05 0.000678 \n",
"农林牧渔 0.000003 0.0161 -0.007081 -0.005968 9.606328e-05 -0.000018 \n",
"化工 0.000096 0.0347 0.032804 0.004375 -1.486653e-04 0.000986 \n",
"医药生物 0.541291 0.1119 0.002162 0.001370 1.016734e-03 0.000089 \n",
"商业贸易 0.000000 0.0026 0.000000 0.000918 -2.386400e-06 -0.000002 \n",
"国防军工 0.000000 0.0129 0.000000 0.014161 -1.826710e-04 -0.000183 \n",
"家用电器 0.050703 0.0363 -0.002778 0.005931 -3.561571e-04 -0.000316 \n",
"建筑材料 0.000000 0.0111 0.000000 -0.001708 1.896090e-05 0.000019 \n",
"建筑装饰 0.000007 0.0122 -0.021015 -0.002694 3.272320e-05 -0.000224 \n",
"房地产 0.000000 0.0206 0.000000 -0.000414 8.521000e-06 0.000009 \n",
"有色金属 0.000007 0.0243 0.013247 0.019732 -4.794005e-04 -0.000158 \n",
"机械设备 0.050724 0.0246 -0.000273 0.018532 -4.697309e-04 -0.000463 \n",
"汽车 0.000005 0.0324 -0.009157 -0.003305 1.070463e-04 -0.000190 \n",
"电子 0.065804 0.1012 0.017476 0.019454 -8.187368e-04 -0.000200 \n",
"电气设备 0.000005 0.0541 -0.010346 0.014837 -8.027072e-04 -0.001362 \n",
"纺织服装 0.000027 0.0000 -0.000558 0.000000 -1.485314e-08 -0.000000 \n",
"综合 0.000007 0.0000 0.019664 0.000000 1.281863e-07 0.000000 \n",
"计算机 0.000015 0.0273 0.117384 0.017953 -4.883305e-04 0.002714 \n",
"轻工制造 0.014181 0.0034 -0.035708 -0.001493 -5.013087e-04 -0.000116 \n",
"通信 0.000000 0.0108 0.000000 0.010520 -1.136123e-04 -0.000114 \n",
"采掘 0.000000 0.0080 0.000000 0.005232 -4.185280e-05 -0.000042 \n",
"钢铁 0.000000 0.0059 0.000000 0.000734 -4.333400e-06 -0.000004 \n",
"银行 0.000000 0.1239 0.000000 0.009456 -1.171629e-03 -0.001172 \n",
"非银金融 0.000000 0.1111 0.000000 0.007316 -8.128087e-04 -0.000813 \n",
"食品饮料 0.201270 0.1391 0.001934 0.000774 2.815118e-04 0.000161 \n",
"\n",
" AR IR \n",
"industry \n",
"交通运输 -0.000405 4.048145e-04 \n",
"休闲服务 -0.000115 -4.504017e-05 \n",
"传媒 0.000016 -2.964908e-04 \n",
"公用事业 -0.000067 -6.778995e-04 \n",
"农林牧渔 0.000096 1.792142e-05 \n",
"化工 -0.000151 -9.837681e-04 \n",
"医药生物 0.000588 3.399191e-04 \n",
"商业贸易 -0.000002 2.386400e-06 \n",
"国防军工 -0.000183 1.826710e-04 \n",
"家用电器 0.000085 -1.254411e-04 \n",
"建筑材料 0.000019 -1.896090e-05 \n",
"建筑装饰 0.000033 2.233851e-04 \n",
"房地产 0.000009 -8.521000e-06 \n",
"有色金属 -0.000479 1.575546e-04 \n",
"机械设备 0.000484 -4.912561e-04 \n",
"汽车 0.000107 1.895696e-04 \n",
"电子 -0.000689 7.000751e-05 \n",
"电气设备 -0.000803 1.362263e-03 \n",
"纺织服装 0.000000 -1.485314e-08 \n",
"综合 0.000000 1.281863e-07 \n",
"计算机 -0.000490 -2.712942e-03 \n",
"轻工制造 -0.000016 -3.688828e-04 \n",
"通信 -0.000114 1.136123e-04 \n",
"采掘 -0.000042 4.185280e-05 \n",
"钢铁 -0.000004 4.333400e-06 \n",
"银行 -0.001172 1.171629e-03 \n",
"非银金融 -0.000813 8.128087e-04 \n",
"食品饮料 0.000048 7.208423e-05 "
]
},
"execution_count": 13,
"metadata": {},
"output_type": "execute_result"
}
],
"outputs": [],
"source": [
"res"
]
......@@ -905,7 +289,27 @@
{
"cell_type": "code",
"execution_count": null,
"id": "e97cd6d4-f302-4e61-95a1-1e6580aebfc5",
"id": "121c95c2-3d4e-456f-babd-cfd439f36c26",
"metadata": {},
"outputs": [],
"source": [
"res.sum()"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "89fc64a3-f802-4141-aa0d-ff32176781c1",
"metadata": {},
"outputs": [],
"source": [
"len(res)"
]
},
{
"cell_type": "code",
"execution_count": null,
"id": "a862b580-4909-48fe-a6c4-4b61b539e85e",
"metadata": {},
"outputs": [],
"source": []
......
fof/utility.py
View file @ aaac4c26
......@@ -302,7 +302,7 @@ def fd_skdetail(security_ids, trade_dt):
groups = read_sql(query).sort_values("security_code").groupby("pid")
dfs = []
for k, g in groups:
g = g[g.PUBLISHDATE == np.max(g.PUBLISHDATE)]
# g = g[g.PUBLISHDATE == np.max(g.PUBLISHDATE)]
total_value = g.HOLDMKTCAP.sum()
g["weight"] = g.HOLDMKTCAP / total_value
dfs.append(g)
......@@ -423,7 +423,7 @@ def sw_industry_daily(start_date, end_date, level=1, security_ids=None):
sec_id_strs = _join_ids(security_ids)
if sec_id_strs:
query = f"""
SELECT trade_date, security_code, industry_code{level} as industry_code, industry_name{level} as industry_name FROM sw_industry_daily
SELECT trade_date, security_code, industry_code{level} as industry_code, industry_name{level} as industry_name FROM sw_industry_daily_2021
WHERE
trade_date >= '{_to_yyyy_mm_dd(start_date)}' AND
trade_date <= '{_to_yyyy_mm_dd(end_date)}' AND
......@@ -432,7 +432,7 @@ def sw_industry_daily(start_date, end_date, level=1, security_ids=None):
"""
else:
query = f"""
SELECT trade_date, security_code, industry_code{level} as industry_code, industry_name{level} as industry_name FROM sw_industry_daily
SELECT trade_date, security_code, industry_code{level} as industry_code, industry_name{level} as industry_name FROM sw_industry_daily_2021
WHERE
trade_date >= '{_to_yyyy_mm_dd(start_date)}' AND
trade_date <= '{_to_yyyy_mm_dd(end_date)}' AND
......@@ -445,24 +445,26 @@ def stk_return(start_date, end_date, security_ids=None):
sec_id_strs = _join_ids(security_ids)
if sec_id_strs:
query = f"""
SELECT security_code, min(trade_date) as start_date, max(trade_date) as end_date, exp(sum(ln(1.0 + change_pct / 100.))) - 1.0 AS chg_pct FROM stk_daily_price_pro
SELECT security_code, trade_date, `close`, lat_factor FROM stk_daily_price_pro
WHERE
trade_date >= '{_to_yyyy_mm_dd(start_date)}' AND
trade_date <= '{_to_yyyy_mm_dd(end_date)}' AND
trade_date in ('{_to_yyyy_mm_dd(start_date)}', '{_to_yyyy_mm_dd(end_date)}') AND
security_code IN ({sec_id_strs}) AND
flag = 1
GROUP BY security_code;
"""
else:
query = f"""
SELECT security_code, min(trade_date) as start_date, max(trade_date) as end_date, exp(sum(ln(1.0 + change_pct / 100.))) - 1.0 AS chg_pct FROM stk_daily_price_pro
SELECT security_code, trade_date, `close` * lat_factor AS lat_price FROM stk_daily_price_pro
WHERE
trade_date >= '{_to_yyyy_mm_dd(start_date)}' AND
trade_date <= '{_to_yyyy_mm_dd(end_date)}' AND
trade_date in ('{_to_yyyy_mm_dd(start_date)}', '{_to_yyyy_mm_dd(end_date)}') AND
flag = 1
GROUP BY security_code;
"""
return read_sql(query, source="mysql").sort_values("security_code").reset_index(drop=True)
df = read_sql(query, source="mysql").sort_values("security_code")
df["trade_date"] = df["trade_date"].astype(str)
df = df.pivot(index="security_code", columns="trade_date", values="lat_price").dropna()
df.rename(columns={f'{_to_yyyy_mm_dd(start_date)}': "start_date", f'{_to_yyyy_mm_dd(end_date)}': "end_date"}, inplace=True)
df["chg_pct"] = df["end_date"] / df["start_date"] - 1.0
return df.reset_index()
def fd_manager(manager_ids=None, manager_names=None, start_date=None, end_date=None):
......
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