{ "cells": [ { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [], "source": [ "# coding=utf-8\n", "import pandas as pd\n", "import alphalens\n", "\n", "# IC大约某个值的的比例\n", "IC_LGT_STANDARD = 0.02\n", "\n", "MEAN_FACTOR_RETURN_STANDARD = 0.001 #因子收益率均值\n", "IC_MEAN_STANDARD= 0.015 #IC的均值的标准\n", "IC_STD_STANDARD = 0.1 #IC标准差的标注\n", "IC_LGTRATIO_STANDARD = 0.5 #IC大于IC_LGT_STANDARD的比例的标准\n", "IR_STANDARD = 0.15 #IR的标准\n", "\n", "start_date = \"20170101\"\n", "end_date = \"20180101\"\n", "stock_list = industry(\"C27\")\n", "\n", "factor_list = [\n", " \"eod_derivative_indicator.pe_ratio\",\n", " \"eod_derivative_indicator.pcf_ratio\",\n", " \"eod_derivative_indicator.pb_ratio\",\n", " \"eod_derivative_indicator.market_cap\",\n", " \"eod_derivative_indicator.ps_ratio\",\n", " \"financial_indicator.return_on_invested_capital\",\n", " \"financial_indicator.du_return_on_equity\",\n", " \"financial_indicator.return_on_asset_net_profit\",\n", " \"financial_indicator.return_on_equity\",\n", " \"financial_indicator.return_on_asset\",\n", " \"financial_indicator.earnings_per_share\",\n", " \"financial_indicator.net_profit_to_revenue\",\n", " \"financial_indicator.inc_revenue\",\n", " \"financial_indicator.inc_total_asset\",\n", " \"financial_indicator.inc_net_profit\",\n", " \"financial_indicator.inc_earnings_per_share\",\n", " \"financial_indicator.inc_operating_revenue\",\n", "]\n", "\n", "\n", "\n", "\n", "def get_cls(factor_str):\n", " '''把字符串转化为对象'''\n", " _befor, _after = factor_str.split(\".\")\n", " temp_cls = getattr(fundamentals, _befor)\n", " cls = getattr(temp_cls, _after)\n", " return cls\n", "\n", "def build_factor_list():\n", " factor_list = []\n", " eod_derivative_indicator_ = [\"eod_derivative_indicator.\"+i for i in dir(fundamentals.eod_derivative_indicator) if not i.startswith(\"_\")]\n", " factor_list.extend(eod_derivative_indicator_)\n", " income_statement_ = [\"income_statement.\"+i for i in dir(fundamentals.income_statement) if not i.startswith(\"_\")]\n", " factor_list.extend(income_statement_)\n", " financial_indicator_ = [\"financial_indicator.\"+i for i in dir(fundamentals.financial_indicator) if not i.startswith(\"_\")]\n", " factor_list.extend(financial_indicator_)\n", " income_statement_TTM_ = [\"income_statement_TTM.\"+i for i in dir(fundamentals.income_statement_TTM) if not i.startswith(\"_\")]\n", " factor_list.extend(income_statement_TTM_)\n", " # factor_list = [i for i in factor_list if not i.endswith(\"date\") and not i.endswith(\"metadata\")]\n", " # factor_list = [i for i in factor_list if not i.endswith(\"date\") and not i.endswith(\"metadata\") and not i[-1] in string.digits]\n", " endserror = [\"rpt_quarter\",\"rpt_year\",\"stockcode\",\"date\",\"metadata\",\"enterprise_expansion_reserve\",\"exchange_gains_or_losses\"]\n", " endserror.extend(list(string.digits))\n", " final_list = []\n", " for factor in factor_list:\n", " flag = True\n", " for ends in endserror:\n", " if factor.endswith(ends):\n", " flag = False\n", " if flag:\n", " final_list.append(factor)\n", "\n", " return final_list\n", "\n", "# 1. 准备factor\n", "def prepar_factor(start_date, end_date, factor, stock_list):\n", " '''\n", " :param start_date:开始日期\n", " :param end_date: 结束日期\n", " :param factor: 因子名字\n", " :param stock_list: 股票池\n", " :return:factor数据，multiIndex的series\n", " '''\n", " trading_dates = get_trading_dates(start_date=start_date, end_date=end_date)\n", " q = query(get_cls(factor)).filter(fundamentals.stockcode.in_(stock_list))\n", " fund = get_fundamentals(q, entry_date=end_date, interval=\"{}d\".format(len(trading_dates)))\n", " fund = fund[factor.split(\".\")[-1], :, :].stack()\n", " # print(fund)\n", " return fund\n", "\n", "\n", "# 2. 准备price\n", "def prepar_price(start_date, end_date, stock_list):\n", " prices = get_price(stock_list, start_date=start_date, end_date=end_date, fields=\"close\")\n", " return prices\n", "\n", "\n", "# 3. 获取计算IC值需要的数据格式，multiIndex的series,计算IC,计算因子收益率\n", "def get_IC(factor, prices):\n", " factor_data = alphalens.utils.get_clean_factor_and_forward_returns(factor, prices)\n", " IC = alphalens.performance.factor_information_coefficient(factor_data)\n", " factor_return = alphalens.performance.factor_returns(factor_data)\n", " return factor_data, IC, factor_return\n", "\n", "\n", "def get_result( IC, factor_return):\n", " '''\n", " :param IC: 因子的IC\n", " :param factor_return:因子的收益率\n", " :return: mean_factor_return,IC_mean,IC_std,IC_lgtratio,IR,score\n", " '''\n", " # 因子收益率的均值\n", " mean_factor_return = factor_return.iloc[:, 0].mean()\n", " # IC的均值\n", " IC_mean = IC.iloc[:, 0].mean()\n", " # IC的标准差\n", " IC_std = IC.iloc[:, 0].std()\n", " # IC大于标准的比例\n", " IC_lgtratio = IC.iloc[:, 0][IC.iloc[:, 0] > IC_LGT_STANDARD].shape[0] / IC.iloc[:, 0].shape[0]\n", " # IR\n", " IR = IC_mean / IC_std\n", "\n", " #计算当前因子的得分\n", " score = 0\n", " if abs(mean_factor_return)>=MEAN_FACTOR_RETURN_STANDARD:\n", " score+=1\n", " if abs(IC_mean) >=IC_MEAN_STANDARD:\n", " score+=1\n", " if IC_std<=IC_STD_STANDARD:\n", " score+=1\n", " if IC_lgtratio>=IC_LGTRATIO_STANDARD:\n", " score+=1\n", " if abs(IR)>=IR_STANDARD:\n", " score+=1\n", "\n", " return mean_factor_return, IC_mean, IC_std, IC_lgtratio, IR,score\n", "\n", "\n", "# 计算所有的因子的结果\n", "def get_all_result():\n", " all_result_list = [] #最终[[因子1的数据],[因子2的数据],...]\n", "# factor_list = build_factor_list() #可以去获取所有的因子计算\n", " for factor_str in factor_list:\n", " print(factor_str)\n", " #1. 准备factor\n", " factor = prepar_factor(start_date, end_date, factor_str, stock_list)\n", " #2. 准备价格\n", " prices = prepar_price(start_date, end_date, stock_list)\n", " #3. 计算IC和收益率\n", " try:\n", " factor_data, IC, factor_return = get_IC(factor, prices)\n", " \n", " #4. 得到结果\n", " mean_factor_return, IC_mean, IC_std, IC_lgtratio, IR,score = get_result(IC, factor_return)\n", " all_result_list.append([factor_str,mean_factor_return, IC_mean, IC_std, IC_lgtratio, IR,score])\n", " except:\n", " pass\n", "\n", " all_result_df = pd.DataFrame(all_result_list,columns=[\"facotr\",\"mean_factor_return\", \"IC_mean\", \"IC_std\", \"IC_lgtratio\", \"IR\",\"score\"])\n", " return all_result_df" ] }, { "cell_type": "code", "execution_count": 5, "metadata": { "scrolled": false }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "eod_derivative_indicator.pe_ratio\n", "eod_derivative_indicator.pcf_ratio\n", "eod_derivative_indicator.pb_ratio\n", "eod_derivative_indicator.market_cap\n", "eod_derivative_indicator.ps_ratio\n", "financial_indicator.return_on_invested_capital\n", "financial_indicator.du_return_on_equity\n", "financial_indicator.return_on_asset_net_profit\n", "financial_indicator.return_on_equity\n", "financial_indicator.return_on_asset\n", "financial_indicator.earnings_per_share\n", "financial_indicator.net_profit_to_revenue\n", "financial_indicator.inc_revenue\n", "financial_indicator.inc_total_asset\n", "financial_indicator.inc_net_profit\n", "financial_indicator.inc_earnings_per_share\n", "financial_indicator.inc_operating_revenue\n" ] } ], "source": [ "df = get_all_result()" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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facotrmean_factor_returnIC_meanIC_stdIC_lgtratioIRscore
0eod_derivative_indicator.pe_ratio-0.000616-0.0231120.1177490.367521-0.1962852
1eod_derivative_indicator.pcf_ratio-0.000724-0.0157450.0949810.371795-0.1657733
2eod_derivative_indicator.pb_ratio0.000125-0.0130380.1162750.363248-0.1121280
3eod_derivative_indicator.market_cap0.0003120.0006230.2162320.4487180.0028800
4eod_derivative_indicator.ps_ratio-0.000159-0.0142600.1153990.423077-0.1235670
5financial_indicator.return_on_invested_capital0.0012210.0181680.1346140.4700850.1349662
6financial_indicator.du_return_on_equity0.0012580.0169760.1355260.5000000.1252573
7financial_indicator.return_on_asset_net_profit0.0011220.0161290.1325300.5085470.1217043
8financial_indicator.return_on_equity0.0012580.0169760.1355260.5000000.1252573
9financial_indicator.return_on_asset0.0012010.0171580.1331280.5170940.1288843
10financial_indicator.earnings_per_share0.0009230.0216870.1454360.5299150.1491192
11financial_indicator.net_profit_to_revenue0.0005810.0084530.1035800.5042740.0816051
12financial_indicator.inc_revenue0.0000540.0050990.0704880.4401710.0723381
13financial_indicator.inc_total_asset-0.0000850.0164660.1030280.4786320.1598192
14financial_indicator.inc_net_profit0.0001960.0170350.0794960.5384620.2142874
15financial_indicator.inc_earnings_per_share0.0003170.0204970.0786970.4871790.2604563
16financial_indicator.inc_operating_revenue-0.0000890.0054050.0726100.4102560.0744401
\n", "
" ], "text/plain": [ " facotr mean_factor_return \\\n", "0 eod_derivative_indicator.pe_ratio -0.000616 \n", "1 eod_derivative_indicator.pcf_ratio -0.000724 \n", "2 eod_derivative_indicator.pb_ratio 0.000125 \n", "3 eod_derivative_indicator.market_cap 0.000312 \n", "4 eod_derivative_indicator.ps_ratio -0.000159 \n", "5 financial_indicator.return_on_invested_capital 0.001221 \n", "6 financial_indicator.du_return_on_equity 0.001258 \n", "7 financial_indicator.return_on_asset_net_profit 0.001122 \n", "8 financial_indicator.return_on_equity 0.001258 \n", "9 financial_indicator.return_on_asset 0.001201 \n", "10 financial_indicator.earnings_per_share 0.000923 \n", "11 financial_indicator.net_profit_to_revenue 0.000581 \n", "12 financial_indicator.inc_revenue 0.000054 \n", "13 financial_indicator.inc_total_asset -0.000085 \n", "14 financial_indicator.inc_net_profit 0.000196 \n", "15 financial_indicator.inc_earnings_per_share 0.000317 \n", "16 financial_indicator.inc_operating_revenue -0.000089 \n", "\n", " IC_mean IC_std IC_lgtratio IR score \n", "0 -0.023112 0.117749 0.367521 -0.196285 2 \n", "1 -0.015745 0.094981 0.371795 -0.165773 3 \n", "2 -0.013038 0.116275 0.363248 -0.112128 0 \n", "3 0.000623 0.216232 0.448718 0.002880 0 \n", "4 -0.014260 0.115399 0.423077 -0.123567 0 \n", "5 0.018168 0.134614 0.470085 0.134966 2 \n", "6 0.016976 0.135526 0.500000 0.125257 3 \n", "7 0.016129 0.132530 0.508547 0.121704 3 \n", "8 0.016976 0.135526 0.500000 0.125257 3 \n", "9 0.017158 0.133128 0.517094 0.128884 3 \n", "10 0.021687 0.145436 0.529915 0.149119 2 \n", "11 0.008453 0.103580 0.504274 0.081605 1 \n", "12 0.005099 0.070488 0.440171 0.072338 1 \n", "13 0.016466 0.103028 0.478632 0.159819 2 \n", "14 0.017035 0.079496 0.538462 0.214287 4 \n", "15 0.020497 0.078697 0.487179 0.260456 3 \n", "16 0.005405 0.072610 0.410256 0.074440 1 " ] }, "execution_count": 6, "metadata": {}, "output_type": "execute_result" } ], "source": [ "df" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "def build_factor_list():\n", " factor_list = []\n", " eod_derivative_indicator_ = [\"eod_derivative_indicator.\"+i for i in dir(fundamentals.eod_derivative_indicator) if not i.startswith(\"_\")]\n", " factor_list.extend(eod_derivative_indicator_)\n", " income_statement_ = [\"income_statement.\"+i for i in dir(fundamentals.income_statement) if not i.startswith(\"_\")]\n", " factor_list.extend(income_statement_)\n", " financial_indicator_ = [\"financial_indicator.\"+i for i in dir(fundamentals.financial_indicator) if not i.startswith(\"_\")]\n", " factor_list.extend(financial_indicator_)\n", " income_statement_TTM_ = [\"income_statement_TTM.\"+i for i in dir(fundamentals.income_statement_TTM) if not i.startswith(\"_\")]\n", " factor_list.extend(income_statement_TTM_)\n", " # factor_list = [i for i in factor_list if not i.endswith(\"date\") and not i.endswith(\"metadata\")]\n", " # factor_list = [i for i in factor_list if not i.endswith(\"date\") and not i.endswith(\"metadata\") and not i[-1] in string.digits]\n", " endserror = [\"rpt_quarter\",\"rpt_year\",\"stockcode\",\"announce_date\",\"metadata\"]\n", " endserror.extend(list(string.digits))\n", " final_list = []\n", " for factor in factor_list:\n", " flag = True\n", " for ends in endserror:\n", " if factor.endswith(ends):\n", " flag = False\n", " if flag:\n", " final_list.append(factor)\n", "\n", " return final_list" ] }, { "cell_type": "code", "execution_count": 19, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "2017-12-29 002030.XSHE 0\n", " 002317.XSHE 0\n", " 002219.XSHE -151804\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-12-28 002030.XSHE 0\n", " 002317.XSHE 0\n", " 002219.XSHE -151804\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-12-27 002030.XSHE 0\n", " 002317.XSHE 0\n", " 002219.XSHE -151804\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-12-26 002030.XSHE 0\n", " 002317.XSHE 0\n", " 002219.XSHE -151804\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-12-25 002030.XSHE 0\n", " 002317.XSHE 0\n", " 002219.XSHE -151804\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-12-22 002030.XSHE 0\n", " 002317.XSHE 0\n", " 002219.XSHE -151804\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", " ... \n", "2017-01-12 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-01-11 002030.XSHE 0\n", " 002317.XSHE 0\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-01-10 002030.XSHE 0\n", " 002317.XSHE 0\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-01-09 002030.XSHE 0\n", " 002317.XSHE 0\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-01-06 002030.XSHE 0\n", " 002317.XSHE 0\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-01-05 002030.XSHE 0\n", " 002317.XSHE 0\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-01-04 002030.XSHE 0\n", " 002317.XSHE 0\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "2017-01-03 002030.XSHE 0\n", " 002317.XSHE 0\n", " 000756.XSHE 0\n", " 000518.XSHE 0\n", "dtype: object" ] }, "execution_count": 19, "metadata": {}, "output_type": "execute_result" } ], "source": [ "#检查因子 \"eod_derivative_indicator.announce_date\"\n", "factor_str= \"income_statement.exchange_gains_or_losses\"\n", "factor = prepar_factor(start_date, end_date, factor_str, stock_list)\n", "prices = prepar_price(start_date, end_date, stock_list)\n", "# factor\n", "factor\n", "# factor_data, IC, factor_return = get_IC(factor, prices)" ] }, { "cell_type": "code", "execution_count": 72, "metadata": { "scrolled": true }, "outputs": [ { "data": { "text/plain": [ "2017-10-30 000538.XSHE 70.495\n", " 600196.XSHG 11.7849\n", " 600568.XSHG -17.2253\n", " 000423.XSHE 119.21\n", " 002107.XSHE 47.5695\n", " 600329.XSHG -1224.16\n", " 000756.XSHE 88.7603\n", " 600781.XSHG 24.4708\n", " 603229.XSHG 6.8758\n", " 603707.XSHG -23.7961\n", " 000566.XSHE 6.4079\n", " 600079.XSHG 41.8378\n", " 000919.XSHE 26.35\n", " 600488.XSHG -14.542\n", " 603387.XSHG 329.9\n", " 600267.XSHG -24.848\n", " 600613.XSHG 43.7376\n", " 000931.XSHE 9.5587\n", " 600085.XSHG 53.5314\n", " 002393.XSHE -42.9231\n", "2017-10-27 000538.XSHE 67.9972\n", " 300497.XSHE 18.5069\n", " 300363.XSHE -18.0558\n", " 600196.XSHG 12.1692\n", " 600568.XSHG -17.2945\n", " 000423.XSHE 119.906\n", " 600385.XSHG -665.397\n", " 002107.XSHE 48.7864\n", " 600222.XSHG 110.187\n", " 300452.XSHE 15.9505\n", " ... \n", "2017-02-16 600227.XSHG 30.9666\n", " 002349.XSHE -98.9661\n", "2017-02-15 002107.XSHE 1654.95\n", " 600227.XSHG 30.7909\n", " 002349.XSHE -98.0521\n", "2017-02-14 002107.XSHE 1646.23\n", " 600227.XSHG 31.2741\n", " 002349.XSHE -98.4874\n", "2017-02-13 002107.XSHE 1658.22\n", " 600227.XSHG 31.4937\n", " 002349.XSHE -98.7485\n", "2017-02-10 002107.XSHE 1629.87\n", " 600227.XSHG 31.3619\n", " 002349.XSHE -97.5299\n", "2017-02-09 002107.XSHE 1641.87\n", " 600227.XSHG 31.6694\n", " 002349.XSHE -103.623\n", "2017-02-08 002107.XSHE 1617.88\n", " 600227.XSHG 31.4058\n", "2017-02-07 002107.XSHE 1617.88\n", " 600227.XSHG 30.9227\n", "2017-02-06 002107.XSHE 1628.78\n", " 600227.XSHG 30.7909\n", "2017-02-03 002107.XSHE 1608.07\n", " 600227.XSHG 30.747\n", "2017-01-26 002107.XSHE 1602.62\n", " 600227.XSHG 30.9227\n", "2017-01-25 002107.XSHE 1600.44\n", " 600227.XSHG 30.9666\n", "2017-01-24 600227.XSHG 30.7909\n", "dtype: object" ] }, "execution_count": 72, "metadata": {}, "output_type": "execute_result" } ], "source": [ "factor" ] }, { "cell_type": "code", "execution_count": 50, "metadata": { "collapsed": true }, "outputs": [ { "data": { "text/plain": [ "2017-12-29 000538.XSHE 2.0171e+07\n", " 300497.XSHE 2.0171e+07\n", " 002826.XSHE 2.0171e+07\n", " 002680.XSHE 2.0171e+07\n", " 600201.XSHG 2.0171e+07\n", " 603880.XSHG 2.0171e+07\n", " 300119.XSHE 2.0171e+07\n", " 600276.XSHG 2.0171e+07\n", " 300363.XSHE 2.0171e+07\n", " 002773.XSHE 2.0171e+07\n", " 002365.XSHE 2.0171e+07\n", " 600196.XSHG 2.0171e+07\n", " 603456.XSHG 2.0171e+07\n", " 000952.XSHE 2.0171e+07\n", " 300558.XSHE 2.0171e+07\n", " 603538.XSHG 2.0171e+07\n", " 300009.XSHE 2.0171e+07\n", " 600572.XSHG 2.0171e+07\n", " 000661.XSHE 2.0171e+07\n", " 600568.XSHG 2.0171e+07\n", " 002675.XSHE 2.0171e+07\n", " 603567.XSHG 2.0171e+07\n", " 000423.XSHE 2.0171e+07\n", " 000153.XSHE 2.0171e+07\n", " 600867.XSHG 2.0171e+07\n", " 000590.XSHE 2.0171e+07\n", " 600385.XSHG 2.0171e+07\n", " 002562.XSHE 2.0171e+07\n", " 300147.XSHE 2.0171e+07\n", " 000004.XSHE 2.0171e+07\n", " ... \n", "2017-01-03 002038.XSHE 2.0161e+07\n", " 002275.XSHE 2.0161e+07\n", " 600332.XSHG 2.0161e+07\n", " 300108.XSHE 2.0161e+07\n", " 002007.XSHE 2.0161e+07\n", " 603520.XSHG 2.0161e+07\n", " 002390.XSHE 2.0161e+07\n", " 002099.XSHE 2.0161e+07\n", " 002693.XSHE 2.0161e+07\n", " 300573.XSHE 2.01611e+07\n", " 603858.XSHG 2.0161e+07\n", " 600056.XSHG 2.0161e+07\n", " 600750.XSHG 2.0161e+07\n", " 002262.XSHE 2.0161e+07\n", " 600530.XSHG 2.0161e+07\n", " 000518.XSHE 2.0161e+07\n", " 300143.XSHE 2.0161e+07\n", " 002688.XSHE 2.0161e+07\n", " 600521.XSHG 2.0161e+07\n", " 600085.XSHG 2.0161e+07\n", " 603998.XSHG 2.0161e+07\n", " 300519.XSHE 2.0161e+07\n", " 000403.XSHE 2.0161e+07\n", " 002102.XSHE 2.0161e+07\n", " 600299.XSHG 2.0161e+07\n", " 002393.XSHE 2.0161e+07\n", " 000739.XSHE 2.0161e+07\n", " 600252.XSHG 2.0161e+07\n", " 600771.XSHG 2.0161e+07\n", " 000597.XSHE 2.0161e+07\n", "dtype: object" ] }, "execution_count": 50, "metadata": {}, "output_type": "execute_result" } ], "source": [ "factor= \"eod_derivative_indicator.announce_date\"\n", "trading_dates = get_trading_dates(start_date=start_date, end_date=end_date)\n", "q = query(get_cls(factor)).filter(fundamentals.stockcode.in_(stock_list))\n", "fund = get_fundamentals(q, entry_date=end_date, interval=\"{}d\".format(len(trading_dates)))\n", "fund = fund[0, :, :].stack()\n", "fund" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 如何把所有的因子计算一遍" ] }, { "cell_type": "code", "execution_count": 28, "metadata": {}, "outputs": [], "source": [ "eod_derivative_indicator_ = [i for i in dir(fundamentals.eod_derivative_indicator) if not i.startswith(\"_\")]\n", "income_statement_ = [i for i in dir(fundamentals.income_statement) if not i.startswith(\"_\")]\n", "financial_indicator_ = [i for i in dir(fundamentals.financial_indicator) if not i.startswith(\"_\")]\n", "income_statement_TTM_ = [i for i in dir(fundamentals.income_statement_TTM) if not i.startswith(\"_\")]" ] }, { "cell_type": "code", "execution_count": 29, "metadata": { "scrolled": true }, "outputs": [ { "data": { "text/plain": [ "['announce_date',\n", " 'asset_depreciation',\n", " 'asset_impairment',\n", " 'basic_earnings_per_share',\n", " 'cost_of_goods_sold',\n", " 'disposal_loss_on_asset',\n", " 'end_date',\n", " 'enterprise_expansion_reserve',\n", " 'exchange_gains_or_losses',\n", " 'fair_value_change_income',\n", " 'financing_expense',\n", " 'ga_expense',\n", " 'gross_profit',\n", " 'income_tax',\n", " 'interest_expense',\n", " 'interest_income',\n", " 'inventory_shrinkage',\n", " 'invest_income_associates',\n", " 'investment_income',\n", " 'metadata',\n", " 'net_operating_revenue',\n", " 'net_profit',\n", " 'net_profit_parent_company',\n", " 'non_operating_expense',\n", " 'non_operating_net_profit',\n", " 'non_operating_revenue',\n", " 'operating_expense',\n", " 'operating_revenue',\n", " 'ordinary_stock_dividends',\n", " 'other_income',\n", " 'other_operating_cost',\n", " 'other_operating_income',\n", " 'other_operating_revenue',\n", " 'other_surplus_reserve',\n", " 'pnl_adjustment',\n", " 'preferred_stock_dividends',\n", " 'profit_available_for_distribution',\n", " 'profit_available_for_owner_distribution',\n", " 'profit_before_tax',\n", " 'profit_from_ma',\n", " 'profit_from_operation',\n", " 'retained_profit_at_beginning',\n", " 'revenue',\n", " 'rpt_quarter',\n", " 'rpt_year',\n", " 'sales_discount',\n", " 'sales_tax',\n", " 'selling_expense',\n", " 'staff_incentive_welfare_reserve',\n", " 'statutory_welfare_reserve',\n", " 'stockcode',\n", " 'subsidy_income',\n", " 'total_expense',\n", " 'total_income',\n", " 'total_income_minority',\n", " 'total_income_parent_company',\n", " 'tradedate']" ] }, "execution_count": 29, "metadata": {}, "output_type": "execute_result" } ], "source": [ "income_statement_" ] }, { "cell_type": "code", "execution_count": 30, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "['account_payable_turnover_days',\n", " 'account_payable_turnover_rate',\n", " 'account_receivable_turnover_days',\n", " 'account_receivable_turnover_rate',\n", " 'adjusted_diluted_earnings_per_share',\n", " 'adjusted_earnings_per_share',\n", " 'adjusted_fully_diluted_earnings_per_share',\n", " 'adjusted_net_profit',\n", " 'adjusted_profit_to_total_profit',\n", " 'adjusted_return_on_equity_average',\n", " 'adjusted_return_on_equity_diluted',\n", " 'adjusted_return_on_equity_weighted_average',\n", " 'announce_date',\n", " 'annual_return_on_asset',\n", " 'annual_return_on_asset_net_profit',\n", " 'annual_return_on_equity',\n", " 'book_value_per_share',\n", " 'capital_reserve_per_share',\n", " 'cash_flow_from_operations_per_share',\n", " 'cost_to_sales',\n", " 'current_asset_to_total_asset',\n", " 'current_asset_turnover',\n", " 'current_debt_to_total_debt',\n", " 'current_ratio',\n", " 'debt_to_asset_ratio',\n", " 'debt_to_equity_ratio',\n", " 'depreciation_and_amortization',\n", " 'diluted_earnings_per_share',\n", " 'dividend_per_share',\n", " 'du_asset_turnover_ratio',\n", " 'du_equity_multiplier',\n", " 'du_profit_margin',\n", " 'du_return_on_equity',\n", " 'du_return_on_sales',\n", " 'earned_reserve_per_share',\n", " 'earnings_per_share',\n", " 'ebit',\n", " 'ebit_per_share',\n", " 'ebit_to_debt',\n", " 'ebit_to_revenue',\n", " 'ebitda',\n", " 'end_date',\n", " 'equity_multiplier',\n", " 'equity_to_debt_ratio',\n", " 'equity_to_interest_bearing_debt',\n", " 'ev',\n", " 'ev_2',\n", " 'ev_to_ebit',\n", " 'ev_to_ebitda',\n", " 'expense_to_revenue',\n", " 'fcfe',\n", " 'fcff',\n", " 'fixed_asset_turnover',\n", " 'free_cash_flow_company_per_share',\n", " 'free_cash_flow_equity_per_share',\n", " 'fully_diluted_earnings_per_share',\n", " 'gross_profit_margin',\n", " 'inc_adjusted_net_profit',\n", " 'inc_book_per_share',\n", " 'inc_cash_from_operations',\n", " 'inc_diluted_earnings_per_share',\n", " 'inc_earnings_per_share',\n", " 'inc_gross_profit',\n", " 'inc_net_profit',\n", " 'inc_operating_revenue',\n", " 'inc_profit_before_tax',\n", " 'inc_return_on_equity',\n", " 'inc_revenue',\n", " 'inc_total_asset',\n", " 'income_tax_to_profit_before_tax',\n", " 'interest_bearing_debt',\n", " 'interest_bearing_debt_to_capital',\n", " 'inventory_turnover',\n", " 'invesment_profit_to_profit_before_tax',\n", " 'invested_capital',\n", " 'long_term_debt_to_working_capital',\n", " 'metadata',\n", " 'net_debt',\n", " 'net_profit_margin',\n", " 'net_profit_to_revenue',\n", " 'net_working_capital',\n", " 'non_current_asset_to_total_asset',\n", " 'non_current_debt_to_total_debt',\n", " 'non_interest_bearing_current_debt',\n", " 'non_interest_bearing_non_current_debt',\n", " 'non_operating_profit_to_profit_before_tax',\n", " 'non_recurring_profit_and_loss',\n", " 'ocf_to_current_ratio',\n", " 'ocf_to_debt',\n", " 'ocf_to_interest_bearing_debt',\n", " 'ocf_to_net_debt',\n", " 'operating_cash_flow_per_share',\n", " 'operating_profit_to_profit_before_tax',\n", " 'operating_revenue_per_share',\n", " 'operating_total_revenue_per_share',\n", " 'profit_from_operation_to_revenue',\n", " 'quick_ratio',\n", " 'retained_earnings',\n", " 'retained_earnings_per_share',\n", " 'return_on_asset',\n", " 'return_on_asset_net_profit',\n", " 'return_on_equity',\n", " 'return_on_equity_diluted',\n", " 'return_on_equity_weighted_average',\n", " 'return_on_invested_capital',\n", " 'rpt_quarter',\n", " 'rpt_year',\n", " 'stockcode',\n", " 'super_quick_ratio',\n", " 'tangible_asset_to_debt',\n", " 'tangible_asset_to_interest_bearing_debt',\n", " 'tangible_assets',\n", " 'time_interest_earned_ratio',\n", " 'total_asset_turnover',\n", " 'tradedate',\n", " 'undistributed_profit_per_share',\n", " 'working_capital']" ] }, "execution_count": 30, "metadata": {}, "output_type": "execute_result" } ], "source": [ "financial_indicator_" ] }, { "cell_type": "code", "execution_count": 34, "metadata": { "scrolled": true }, "outputs": [ { "data": { "text/plain": [ "['__add__',\n", " '__class__',\n", " '__contains__',\n", " '__delattr__',\n", " '__delitem__',\n", " '__dir__',\n", " '__doc__',\n", " '__eq__',\n", " '__format__',\n", " '__ge__',\n", " '__getattribute__',\n", " '__getitem__',\n", " '__gt__',\n", " '__hash__',\n", " '__iadd__',\n", " '__imul__',\n", " '__init__',\n", " '__iter__',\n", " '__le__',\n", " '__len__',\n", " '__lt__',\n", " '__mul__',\n", " '__ne__',\n", " '__new__',\n", " '__reduce__',\n", " '__reduce_ex__',\n", " '__repr__',\n", " '__reversed__',\n", " '__rmul__',\n", " '__setattr__',\n", " '__setitem__',\n", " '__sizeof__',\n", " '__str__',\n", " '__subclasshook__',\n", " 'append',\n", " 'clear',\n", " 'copy',\n", " 'count',\n", " 'extend',\n", " 'index',\n", " 'insert',\n", " 'pop',\n", " 'remove',\n", " 'reverse',\n", " 'sort']" ] }, "execution_count": 34, "metadata": {}, "output_type": "execute_result" } ], "source": [ "dir(income_statement_TTM_)\n", "# print(income_statement_TTM_.__class__)" ] }, { "cell_type": "code", "execution_count": 65, "metadata": {}, "outputs": [], "source": [ "def build_factor_list():\n", " factor_list = []\n", " eod_derivative_indicator_ = [\"eod_derivative_indicator.\"+i for i in dir(fundamentals.eod_derivative_indicator) if not i.startswith(\"_\")]\n", " factor_list.extend(eod_derivative_indicator_)\n", " income_statement_ = [\"income_statement.\"+i for i in dir(fundamentals.income_statement) if not i.startswith(\"_\")]\n", " factor_list.extend(income_statement_)\n", " financial_indicator_ = [\"financial_indicator.\"+i for i in dir(fundamentals.financial_indicator) if not i.startswith(\"_\")]\n", " factor_list.extend(financial_indicator_)\n", " income_statement_TTM_ = [\"income_statement_TTM.\"+i for i in dir(fundamentals.income_statement_TTM) if not i.startswith(\"_\")]\n", " factor_list.extend(income_statement_TTM_)\n", " factor_list = [i for i in factor_list if not i.endswith(\"date\") and not i.endswith(\"metadata\")]\n", " return factor_list" ] }, { "cell_type": "code", "execution_count": 66, "metadata": {}, "outputs": [], "source": [ "factor_list = build_factor_list()" ] }, { "cell_type": "code", "execution_count": 67, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "['eod_derivative_indicator.a_share_market_val',\n", " 'eod_derivative_indicator.a_share_market_val_2',\n", " 'eod_derivative_indicator.dividend_yield',\n", " 'eod_derivative_indicator.enterprise_value',\n", " 'eod_derivative_indicator.enterprise_value_2',\n", " 'eod_derivative_indicator.market_cap',\n", " 'eod_derivative_indicator.market_cap_2',\n", " 'eod_derivative_indicator.pb_ratio',\n", " 'eod_derivative_indicator.pcf_ratio',\n", " 'eod_derivative_indicator.pcf_ratio_1',\n", " 'eod_derivative_indicator.pcf_ratio_2',\n", " 'eod_derivative_indicator.pcf_ratio_3',\n", " 'eod_derivative_indicator.pe_ratio',\n", " 'eod_derivative_indicator.pe_ratio_1',\n", " 'eod_derivative_indicator.pe_ratio_2',\n", " 'eod_derivative_indicator.peg_ratio',\n", " 'eod_derivative_indicator.ps_ratio',\n", " 'eod_derivative_indicator.rpt_quarter',\n", " 'eod_derivative_indicator.rpt_year',\n", " 'eod_derivative_indicator.stockcode',\n", " 'eod_derivative_indicator.val_of_stk_right',\n", " 'income_statement.asset_depreciation',\n", " 'income_statement.asset_impairment',\n", " 'income_statement.basic_earnings_per_share',\n", " 'income_statement.cost_of_goods_sold',\n", " 'income_statement.disposal_loss_on_asset',\n", " 'income_statement.enterprise_expansion_reserve',\n", " 'income_statement.exchange_gains_or_losses',\n", " 'income_statement.fair_value_change_income',\n", " 'income_statement.financing_expense',\n", " 'income_statement.ga_expense',\n", " 'income_statement.gross_profit',\n", " 'income_statement.income_tax',\n", " 'income_statement.interest_expense',\n", " 'income_statement.interest_income',\n", " 'income_statement.inventory_shrinkage',\n", " 'income_statement.invest_income_associates',\n", " 'income_statement.investment_income',\n", " 'income_statement.net_operating_revenue',\n", " 'income_statement.net_profit',\n", " 'income_statement.net_profit_parent_company',\n", " 'income_statement.non_operating_expense',\n", " 'income_statement.non_operating_net_profit',\n", " 'income_statement.non_operating_revenue',\n", " 'income_statement.operating_expense',\n", " 'income_statement.operating_revenue',\n", " 'income_statement.ordinary_stock_dividends',\n", " 'income_statement.other_income',\n", " 'income_statement.other_operating_cost',\n", " 'income_statement.other_operating_income',\n", " 'income_statement.other_operating_revenue',\n", " 'income_statement.other_surplus_reserve',\n", " 'income_statement.pnl_adjustment',\n", " 'income_statement.preferred_stock_dividends',\n", " 'income_statement.profit_available_for_distribution',\n", " 'income_statement.profit_available_for_owner_distribution',\n", " 'income_statement.profit_before_tax',\n", " 'income_statement.profit_from_ma',\n", " 'income_statement.profit_from_operation',\n", " 'income_statement.retained_profit_at_beginning',\n", " 'income_statement.revenue',\n", " 'income_statement.rpt_quarter',\n", " 'income_statement.rpt_year',\n", " 'income_statement.sales_discount',\n", " 'income_statement.sales_tax',\n", " 'income_statement.selling_expense',\n", " 'income_statement.staff_incentive_welfare_reserve',\n", " 'income_statement.statutory_welfare_reserve',\n", " 'income_statement.stockcode',\n", " 'income_statement.subsidy_income',\n", " 'income_statement.total_expense',\n", " 'income_statement.total_income',\n", " 'income_statement.total_income_minority',\n", " 'income_statement.total_income_parent_company',\n", " 'financial_indicator.account_payable_turnover_days',\n", " 'financial_indicator.account_payable_turnover_rate',\n", " 'financial_indicator.account_receivable_turnover_days',\n", " 'financial_indicator.account_receivable_turnover_rate',\n", " 'financial_indicator.adjusted_diluted_earnings_per_share',\n", " 'financial_indicator.adjusted_earnings_per_share',\n", " 'financial_indicator.adjusted_fully_diluted_earnings_per_share',\n", " 'financial_indicator.adjusted_net_profit',\n", " 'financial_indicator.adjusted_profit_to_total_profit',\n", " 'financial_indicator.adjusted_return_on_equity_average',\n", " 'financial_indicator.adjusted_return_on_equity_diluted',\n", " 'financial_indicator.adjusted_return_on_equity_weighted_average',\n", " 'financial_indicator.annual_return_on_asset',\n", " 'financial_indicator.annual_return_on_asset_net_profit',\n", " 'financial_indicator.annual_return_on_equity',\n", " 'financial_indicator.book_value_per_share',\n", " 'financial_indicator.capital_reserve_per_share',\n", " 'financial_indicator.cash_flow_from_operations_per_share',\n", " 'financial_indicator.cost_to_sales',\n", " 'financial_indicator.current_asset_to_total_asset',\n", " 'financial_indicator.current_asset_turnover',\n", " 'financial_indicator.current_debt_to_total_debt',\n", " 'financial_indicator.current_ratio',\n", " 'financial_indicator.debt_to_asset_ratio',\n", " 'financial_indicator.debt_to_equity_ratio',\n", " 'financial_indicator.depreciation_and_amortization',\n", " 'financial_indicator.diluted_earnings_per_share',\n", " 'financial_indicator.dividend_per_share',\n", " 'financial_indicator.du_asset_turnover_ratio',\n", " 'financial_indicator.du_equity_multiplier',\n", " 'financial_indicator.du_profit_margin',\n", " 'financial_indicator.du_return_on_equity',\n", " 'financial_indicator.du_return_on_sales',\n", " 'financial_indicator.earned_reserve_per_share',\n", " 'financial_indicator.earnings_per_share',\n", " 'financial_indicator.ebit',\n", " 'financial_indicator.ebit_per_share',\n", " 'financial_indicator.ebit_to_debt',\n", " 'financial_indicator.ebit_to_revenue',\n", " 'financial_indicator.ebitda',\n", " 'financial_indicator.equity_multiplier',\n", " 'financial_indicator.equity_to_debt_ratio',\n", " 'financial_indicator.equity_to_interest_bearing_debt',\n", " 'financial_indicator.ev',\n", " 'financial_indicator.ev_2',\n", " 'financial_indicator.ev_to_ebit',\n", " 'financial_indicator.ev_to_ebitda',\n", " 'financial_indicator.expense_to_revenue',\n", " 'financial_indicator.fcfe',\n", " 'financial_indicator.fcff',\n", " 'financial_indicator.fixed_asset_turnover',\n", " 'financial_indicator.free_cash_flow_company_per_share',\n", " 'financial_indicator.free_cash_flow_equity_per_share',\n", " 'financial_indicator.fully_diluted_earnings_per_share',\n", " 'financial_indicator.gross_profit_margin',\n", " 'financial_indicator.inc_adjusted_net_profit',\n", " 'financial_indicator.inc_book_per_share',\n", " 'financial_indicator.inc_cash_from_operations',\n", " 'financial_indicator.inc_diluted_earnings_per_share',\n", " 'financial_indicator.inc_earnings_per_share',\n", " 'financial_indicator.inc_gross_profit',\n", " 'financial_indicator.inc_net_profit',\n", " 'financial_indicator.inc_operating_revenue',\n", " 'financial_indicator.inc_profit_before_tax',\n", " 'financial_indicator.inc_return_on_equity',\n", " 'financial_indicator.inc_revenue',\n", " 'financial_indicator.inc_total_asset',\n", " 'financial_indicator.income_tax_to_profit_before_tax',\n", " 'financial_indicator.interest_bearing_debt',\n", " 'financial_indicator.interest_bearing_debt_to_capital',\n", " 'financial_indicator.inventory_turnover',\n", " 'financial_indicator.invesment_profit_to_profit_before_tax',\n", " 'financial_indicator.invested_capital',\n", " 'financial_indicator.long_term_debt_to_working_capital',\n", " 'financial_indicator.net_debt',\n", " 'financial_indicator.net_profit_margin',\n", " 'financial_indicator.net_profit_to_revenue',\n", " 'financial_indicator.net_working_capital',\n", " 'financial_indicator.non_current_asset_to_total_asset',\n", " 'financial_indicator.non_current_debt_to_total_debt',\n", " 'financial_indicator.non_interest_bearing_current_debt',\n", " 'financial_indicator.non_interest_bearing_non_current_debt',\n", " 'financial_indicator.non_operating_profit_to_profit_before_tax',\n", " 'financial_indicator.non_recurring_profit_and_loss',\n", " 'financial_indicator.ocf_to_current_ratio',\n", " 'financial_indicator.ocf_to_debt',\n", " 'financial_indicator.ocf_to_interest_bearing_debt',\n", " 'financial_indicator.ocf_to_net_debt',\n", " 'financial_indicator.operating_cash_flow_per_share',\n", " 'financial_indicator.operating_profit_to_profit_before_tax',\n", " 'financial_indicator.operating_revenue_per_share',\n", " 'financial_indicator.operating_total_revenue_per_share',\n", " 'financial_indicator.profit_from_operation_to_revenue',\n", " 'financial_indicator.quick_ratio',\n", " 'financial_indicator.retained_earnings',\n", " 'financial_indicator.retained_earnings_per_share',\n", " 'financial_indicator.return_on_asset',\n", " 'financial_indicator.return_on_asset_net_profit',\n", " 'financial_indicator.return_on_equity',\n", " 'financial_indicator.return_on_equity_diluted',\n", " 'financial_indicator.return_on_equity_weighted_average',\n", " 'financial_indicator.return_on_invested_capital',\n", " 'financial_indicator.rpt_quarter',\n", " 'financial_indicator.rpt_year',\n", " 'financial_indicator.stockcode',\n", " 'financial_indicator.super_quick_ratio',\n", " 'financial_indicator.tangible_asset_to_debt',\n", " 'financial_indicator.tangible_asset_to_interest_bearing_debt',\n", " 'financial_indicator.tangible_assets',\n", " 'financial_indicator.time_interest_earned_ratio',\n", " 'financial_indicator.total_asset_turnover',\n", " 'financial_indicator.undistributed_profit_per_share',\n", " 'financial_indicator.working_capital',\n", " 'income_statement_TTM.administration_expenseTTM',\n", " 'income_statement_TTM.asset_impairment_lossTTM',\n", " 'income_statement_TTM.ebitTTM',\n", " 'income_statement_TTM.financial_expenseTTM',\n", " 'income_statement_TTM.gross_profitTTM',\n", " 'income_statement_TTM.net_profitTTM',\n", " 'income_statement_TTM.ni_from_operatingTTM',\n", " 'income_statement_TTM.ni_from_value_changeTTM',\n", " 'income_statement_TTM.non_operating_net_incomeTTM',\n", " 'income_statement_TTM.np_parent_company_ownersTTM',\n", " 'income_statement_TTM.operating_costTTM',\n", " 'income_statement_TTM.operating_expenseTTM',\n", " 'income_statement_TTM.operating_payoutTTM',\n", " 'income_statement_TTM.operating_profitTTM',\n", " 'income_statement_TTM.operating_revenueTTM',\n", " 'income_statement_TTM.rpt_quarter',\n", " 'income_statement_TTM.rpt_year',\n", " 'income_statement_TTM.stockcode',\n", " 'income_statement_TTM.total_operating_costTTM',\n", " 'income_statement_TTM.total_operating_revenueTTM',\n", " 'income_statement_TTM.total_profitTTM']" ] }, "execution_count": 67, "metadata": {}, "output_type": "execute_result" } ], "source": [ "factor_list" ] }, { "cell_type": "code", "execution_count": 38, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "224" ] }, "execution_count": 38, "metadata": {}, "output_type": "execute_result" } ], "source": [ "len(factor_list)" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.6.3" } }, "nbformat": 4, "nbformat_minor": 2 }