Update: exclude_list新增业绩衰退recession参数

data_handler.py

@@ -9,7 +9,8 @@ if __name__ == '__main__':
     data_dir = '/home/lenovo/quant/tools/detail_testing/basic_data'
     save_dir = '/home/lenovo/quant/data/backtest/basic_data'
 
-    for i,f in enumerate(['open_post','close_post','down_limit','up_limit','size','amount_20','opening_info','ipo_days','margin_list','abnormal']):
+    for i,f in enumerate(['open_post','close_post','down_limit','up_limit','size','amount_20','opening_info','ipo_days','margin_list',
+                          'abnormal', 'recession']):
         if f in ['margin_list']:
             tmp = gft.get_stock_factor(f, start='2012-01-01').fillna(0)
         else:
@@ -32,7 +33,7 @@ if __name__ == '__main__':
     # 更新下一日的数据用于筛选
     next_date = gft.days_after(df.index.max(), 1)
     next_list = []
-    for i,f in enumerate(['amount_20','opening_info','ipo_days','margin_list','abnormal']):
+    for i,f in enumerate(['amount_20','opening_info','ipo_days','margin_list','abnormal','recession']):
         if f in ['margin_list']:
             next_list.append(pd.Series(gft.get_stock_factor(f, start='2012-01-01').fillna(0).iloc[-1], name=f))
         else:

dataloader.py

@@ -20,7 +20,6 @@ class DataLoader():
         - column(str): 查询列
         """
         res = pd.Series(index=target)
-        column_map = dict(zip(self.data.index.values, self.data[column].values))
         column_type = self.data[column].dtype
         stock_list = list(set(self.data.index.values) & set(target))
         res.loc[stock_list] = self.data.loc[stock_list, column].values

trader.py

@@ -35,7 +35,8 @@ class Trader(Account):
         tax (dict):                         印花税
         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
             - 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
-            - report: 财报同比下降50%以上剔除
+            - receesion: 财报同比或环比下降50%以上
+            - qualified_opinion: 会计保留意见
         account (Account):                  账户设置，account.Account
     """
     def __init__(self, 
@@ -147,6 +148,12 @@ class Trader(Account):
         # exclude
         if isinstance(exclude_list, list):
             self.exclude_list = exclude_list
+            optional_list = ['abnormal', 'recession']
+            for item in exclude_list:
+                if item in optional_list:
+                    pass
+                else:
+                    raise ValueError(f"Unexpected keyword argument '{item}'")
         else:
             raise ValueError('exclude_list should be list.')
         # data_root
@@ -163,7 +170,7 @@ class Trader(Account):
                 continue
             else:
                 if s not in data_root:
-                    raise ValueError(f'data for signal {s} is not provided')
+                    raise ValueError(f"data for signal {s} is not provided")
         self.data_root = data_root
 
     def load_data(self, 
@@ -253,6 +260,9 @@ class Trader(Account):
             if exclude == 'abnormal':
                 stock_abnormal = self.today_data['basic'].get(factor.index.values, 'abnormal').sort_index()
                 exclude_stock += stock_abnormal.loc[stock_abnormal > 0].index.to_list()
+            if exclude == 'recession':
+                stock_recession = self.today_data['basic'].get(factor.index.values, 'recession').sort_index()
+                exclude_stock += stock_recession.loc[stock_recession > 0].index.to_list()
         exclude_stock = list(set(exclude_stock))
         force_exclude = copy.deepcopy(exclude_stock)
         exclude_stock += stock_ipo_filter.loc[stock_ipo_filter != 1].index.to_list()