Update: exclude_list新增业绩衰退recession参数
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@ -9,7 +9,8 @@ if __name__ == '__main__':
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data_dir = '/home/lenovo/quant/tools/detail_testing/basic_data'
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save_dir = '/home/lenovo/quant/data/backtest/basic_data'
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for i,f in enumerate(['open_post','close_post','down_limit','up_limit','size','amount_20','opening_info','ipo_days','margin_list','abnormal']):
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for i,f in enumerate(['open_post','close_post','down_limit','up_limit','size','amount_20','opening_info','ipo_days','margin_list',
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'abnormal', 'recession']):
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if f in ['margin_list']:
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tmp = gft.get_stock_factor(f, start='2012-01-01').fillna(0)
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else:
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@ -32,7 +33,7 @@ if __name__ == '__main__':
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# 更新下一日的数据用于筛选
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next_date = gft.days_after(df.index.max(), 1)
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next_list = []
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for i,f in enumerate(['amount_20','opening_info','ipo_days','margin_list','abnormal']):
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for i,f in enumerate(['amount_20','opening_info','ipo_days','margin_list','abnormal','recession']):
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if f in ['margin_list']:
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next_list.append(pd.Series(gft.get_stock_factor(f, start='2012-01-01').fillna(0).iloc[-1], name=f))
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else:
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@ -20,7 +20,6 @@ class DataLoader():
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- column(str): 查询列
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"""
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res = pd.Series(index=target)
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column_map = dict(zip(self.data.index.values, self.data[column].values))
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column_type = self.data[column].dtype
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stock_list = list(set(self.data.index.values) & set(target))
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res.loc[stock_list] = self.data.loc[stock_list, column].values
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14
trader.py
14
trader.py
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@ -35,7 +35,8 @@ class Trader(Account):
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tax (dict): 印花税
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exclude_list (list): 额外的剔除列表,会优先满足该剔除列表中的条件,之后再进行正常的调仓
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- abnormal: 异常公告剔除,包含中止上市、立案调查、警示函等异常情况的剔除
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- report: 财报同比下降50%以上剔除
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- receesion: 财报同比或环比下降50%以上
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- qualified_opinion: 会计保留意见
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account (Account): 账户设置,account.Account
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"""
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def __init__(self,
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@ -147,6 +148,12 @@ class Trader(Account):
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# exclude
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if isinstance(exclude_list, list):
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self.exclude_list = exclude_list
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optional_list = ['abnormal', 'recession']
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for item in exclude_list:
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if item in optional_list:
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pass
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else:
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raise ValueError(f"Unexpected keyword argument '{item}'")
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else:
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raise ValueError('exclude_list should be list.')
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# data_root
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@ -163,7 +170,7 @@ class Trader(Account):
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continue
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else:
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if s not in data_root:
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raise ValueError(f'data for signal {s} is not provided')
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raise ValueError(f"data for signal {s} is not provided")
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self.data_root = data_root
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def load_data(self,
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@ -253,6 +260,9 @@ class Trader(Account):
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if exclude == 'abnormal':
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stock_abnormal = self.today_data['basic'].get(factor.index.values, 'abnormal').sort_index()
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exclude_stock += stock_abnormal.loc[stock_abnormal > 0].index.to_list()
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if exclude == 'recession':
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stock_recession = self.today_data['basic'].get(factor.index.values, 'recession').sort_index()
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exclude_stock += stock_recession.loc[stock_recession > 0].index.to_list()
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exclude_stock = list(set(exclude_stock))
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force_exclude = copy.deepcopy(exclude_stock)
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exclude_stock += stock_ipo_filter.loc[stock_ipo_filter != 1].index.to_list()
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