基于 xalpha 的逐年指数涨幅拆解与分析

ia.py

import xalpha as xa
import pandas as pd
import datetime as dt

def _percent(r):
    return round((r-1)*100, 2)

def index_analysis(code, start, end):
    dfe = xa.get_daily("peb-"+code, end=end, prev=20).iloc[-1]
    end = dfe["date"].strftime("%Y%m%d")
    dfs = xa.get_daily("peb-"+code, end=start, prev=20).iloc[-1]
    start = dfs["date"].strftime("%Y%m%d")
    d = {}
    r2 = dfe["pe"]/dfs["pe"]
    
    r1= xa.get_daily(code, end=end, prev=20).iloc[-1]["close"]\
          /xa.get_daily(code, end=start, prev=20).iloc[-1]["close"]
    r3 = dfe["pb"]/dfs["pb"]
       
    r4 = (float(xa.get_daily("teb-"+code, end=end, prev=20).iloc[-1]["e"])\
          /float(xa.get_daily("teb-"+code, end=start, prev=20).iloc[-1]["e"])) 
    r5 = (float(xa.get_daily("teb-"+code, end=end, prev=20).iloc[-1]["m"])\
          /float(xa.get_daily("teb-"+code, end=start, prev=20).iloc[-1]["m"]))
    r6 = (float(xa.get_daily("teb-"+code, end=end, prev=20).iloc[-1]["b"])\
          /float(xa.get_daily("teb-"+code, end=start, prev=20).iloc[-1]["b"])) 
    d["指数涨幅"] = _percent(r1)
    d["估值涨幅"] = _percent(r2)
#     d["市值加权估值涨幅"] = _percent(r5/r4)
    d["净资产估值涨幅"] = _percent(r3)
    d["总利润涨幅"] = _percent(r4)
    d["总净资产涨幅"] = _percent(r6)
    d["有效利润涨幅"] = _percent(r1/r2)
#     d["有效利润涨幅市值加权"] = _percent(r1*r4/r5)
    d["有效净资产涨幅"] = _percent(r1/r3)
    d["指数利润涨幅损益"] = _percent(r1/r2/r4)
    d["指数净资产涨幅损益"] = _percent(r1/r3/r6)
    
#     d["指数分红增发回购利润增益"] = round( (r6-1)*100, 3)
#     d["指数权重利润增益"] = round(((1+r1/100)/(1+r2/100)/r4/r6-1)*100, 3)
    return d

r = {}
for d in pd.date_range("2014", "2020", freq="Y"):
    r["%s"%d.strftime("%Y")]\
          =index_analysis("SH000827", start=(d-dt.timedelta(days=365)).strftime("%Y%m%d"), end=d.strftime("%Y%m%d"))
pd.DataFrame(r).T