use standard target selector to select stocks

zenabc · Nov 20, 2019 · 1451a99 · 1451a99
1 parent 1868f6f
commit 1451a99
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Showing 4 changed files with 16 additions and 18 deletions.
diff --git a/zvt/factors/factor.py b/zvt/factors/factor.py
@@ -90,7 +90,7 @@ def __init__(self,
                  # child added arguments
                  keep_all_timestamp: bool = False,
                  fill_method: str = 'ffill',
-                 effective_number: int = 10,
+                 effective_number: int = None,
                  transformer: Transformer = None,
                  accumulator: Accumulator = None,
                  persist_factor: bool = True,

diff --git a/zvt/factors/fundamental_factor.py b/zvt/factors/fundamental_factor.py
@@ -51,7 +51,7 @@ def __init__(self, data_schema=FinanceFactor,
                                   FinanceFactor.op_income_growth_yoy,
                                   FinanceFactor.net_profit_growth_yoy,
                                   FinanceFactor.report_period],
-                 filters: List = [FinanceFactor.roe > 0.03,
+                 filters: List = [FinanceFactor.roe >= 0.03,
                                   FinanceFactor.op_income_growth_yoy >= 0.1,
                                   FinanceFactor.net_profit_growth_yoy >= 0.1],
                  order: object = None,
@@ -61,16 +61,16 @@ def __init__(self, data_schema=FinanceFactor,
                  category_field: str = 'entity_id',
                  time_field: str = 'timestamp',
                  computing_window: int = None,
-                 keep_all_timestamp: bool = False,
+                 keep_all_timestamp: bool = True,
                  fill_method: str = 'ffill',
-                 effective_number: int = 10,
+                 effective_number: int = None,
                  transformer: Transformer = None,
                  accumulator: Accumulator = None,
                  persist_factor: bool = False,
                  dry_run: bool = False,
                  # 3 years
                  window='1095d',
-                 count=12
+                 count=10
                  ) -> None:
         self.window = window
         self.count = count
@@ -89,7 +89,7 @@ def filter_df(df):
                 elif row.report_period == 'season3':
                     se[index] = (row.roe >= 0.09)
                 elif row.report_period == 'half_year':
-                    se[index] = (row.roe >= 0.08)
+                    se[index] = (row.roe >= 0.06)
                 else:
                     se[index] = (row.roe >= 0.03)
             return se

diff --git a/zvt/factors/target_selector.py b/zvt/factors/target_selector.py
@@ -7,12 +7,12 @@
 from pandas import DataFrame
 
 from zvdata import IntervalLevel
-from zvt.drawer.drawer import Drawer
-from zvt.factors.factor import FilterFactor, ScoreFactor, Factor
 from zvdata.normal_data import NormalData
 from zvdata.utils.pd_utils import index_df, pd_is_not_null
-from zvdata.utils.time_utils import to_pd_timestamp, now_pd_timestamp
+from zvdata.utils.time_utils import to_pd_timestamp
 from zvt.api.quote import get_securities_in_blocks
+from zvt.drawer.drawer import Drawer
+from zvt.factors.factor import FilterFactor, ScoreFactor, Factor
 
 
 class TargetType(Enum):
@@ -187,8 +187,8 @@ def generate_targets(self):
             long_result = self.score_result[self.score_result.score >= self.long_threshold]
             short_result = self.score_result[self.score_result.score <= self.short_threshold]
         else:
-            long_result = self.filter_result[self.filter_result.score]
-            short_result = self.filter_result[~self.filter_result.score]
+            long_result = self.filter_result[self.filter_result.score == True]
+            short_result = self.filter_result[self.filter_result.score == False]
 
         # filter in blocks
         if self.block_selector:

diff --git a/zvt/scheds/report2.py b/zvt/scheds/report2.py
@@ -2,7 +2,6 @@
 import logging
 import time
 
-import pandas as pd
 from apscheduler.schedulers.background import BackgroundScheduler
 
 from zvdata.api import get_entities
@@ -28,15 +27,14 @@ def every_day_report():
 
             today = to_time_str(t)
 
-            my_selector = TargetSelector(start_timestamp='2005-01-01', end_timestamp=today)
+            my_selector = TargetSelector(start_timestamp='2015-01-01', end_timestamp=today)
             # add the factors
-            good_factor = GoodCompanyFactor(start_timestamp='2005-01-01', end_timestamp=today)
+            good_factor = GoodCompanyFactor(start_timestamp='2015-01-01', end_timestamp=today)
 
-            from_half_year = t - pd.Timedelta(days=140)
-            df = good_factor.result_df.reset_index()
-            df = df.loc[(df.timestamp >= from_half_year) & df['count']]
+            my_selector.add_filter_factor(good_factor)
+            my_selector.run()
 
-            long_targets = df.entity_id.to_list()
+            long_targets = my_selector.get_open_long_targets(today)
             if long_targets:
                 long_targets = list(set(long_targets))
                 df = get_entities(provider='eastmoney', entity_schema=Stock, entity_ids=long_targets,