claude_dev
a68cf4905e
把聚宽"全天候轮动"(post48819)搬到 BulletTrade。融合=pip+扩展点注入 (SanguoMiniQmtProvider 继承 MiniQMTProvider 只 override get_fundamentals, set_data_provider 公开 API 注入, BulletTrade 源码 0 改动)。 - providers: SanguoMiniQmtProvider 补 get_fundamentals(PershareIndex+自算PE/PS/PB/PCF/市值/ROIC) - strategies/all_weather: 4选股函数+大小盘轮动+ETF兜底+涨停止损(聚宽风格翻译) - factors(估值/ROIC自算) + filters(ST/涨跌停/次新/停牌) - 88/88 测试 Mac+VPS 双过; VPS 回测 pipeline 跑通(修9bug:Capital单位/日期格式/百分数口径/11字段alias) - 实盘 runner_live+runbook 就绪等交易日; DEFAULT_DATA_PROVIDER=miniqmt env 不装 jqdatasdk - 文档: sanguo_portfolio_plan / portfolio_backtest_result / portfolio_live_runbook
125 lines
5.0 KiB
Python
125 lines
5.0 KiB
Python
"""ROIC(Return on Invested Capital)= NOPAT / 投入资本。
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聚宽因子库 ``roic_ttm`` 在 miniQMT 没有直接对应字段,需自算。
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公式:NOPAT = 营业利润 × (1 - 实际税率);投入资本 = 归母权益 + 有息负债 - 现金等价物。
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字段来源(miniQMT 已实证可用):
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- ``oper_profit`` ← Income 表 营业利润
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- ``actual_tax_rate`` ← PershareIndex 实际税率(口径见下)
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- ``tot_shrhldr_eqy`` ← Balance 表 归母权益(合计权益 - 少数股东权益)
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- ``interest_bearing_debt`` ← Balance 表(短期借款 + 长期借款 + 应付债券)
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- ``cash_equivalents`` ← Balance 表 货币资金
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actual_tax_rate 口径警告:PershareIndex 的 ``actual_tax_rate`` 实证时茅台 NaN,
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且有"百分数(20.0)"与"小数(0.2)"两种口径风险。这里用启发式:
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- 若 |值| > 1,认为是百分数 → 除以 100
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- 若 |值| <= 1,认为是小数 → 直接用
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- 若 NaN,返回 NaN(不强行兜底,留给上层用 Income.inc_tax / 利润总额 兜底)
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"""
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from __future__ import annotations
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import math
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from typing import Optional, Union
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import numpy as np
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import pandas as pd
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NumberLike = Union[float, int, "pd.Series", "np.ndarray"]
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_EPS = 1e-9
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def normalize_tax_rate(actual_tax_rate: Optional[NumberLike]) -> NumberLike:
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"""把 actual_tax_rate 归一化到小数(0.2 = 20%)。
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启发式:|v| > 1 → 原值是百分数,除以 100;|v| <= 1 → 已经是小数。
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NaN 透传(让上层用兜底算法处理)。
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"""
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if actual_tax_rate is None:
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return float("nan")
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if isinstance(actual_tax_rate, (pd.Series, np.ndarray)):
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arr = pd.Series(actual_tax_rate) if isinstance(actual_tax_rate, np.ndarray) else actual_tax_rate
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# |v|>1 视为百分数;注意 NaN 比较返回 False,自动透传
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need_div = arr.abs() > 1
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return arr.where(~need_div, arr / 100.0)
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if isinstance(actual_tax_rate, float) and math.isnan(actual_tax_rate):
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return float("nan")
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if abs(actual_tax_rate) > 1:
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return actual_tax_rate / 100.0
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return float(actual_tax_rate)
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def fallback_tax_rate(
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inc_tax: Optional[NumberLike], profit_before_tax: Optional[NumberLike]
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) -> NumberLike:
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"""actual_tax_rate NaN 时的兜底:所得税 / 利润总额。
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聚宽口径:``actual_tax_rate = income_tax / profit_before_tax``(利润总额为正时)。
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利润总额 <= 0 时返回 0(避免负税率扭曲 NOPAT)。
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"""
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if inc_tax is None or profit_before_tax is None:
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return float("nan")
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if isinstance(profit_before_tax, (pd.Series, np.ndarray)):
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arr = pd.Series(profit_before_tax) if isinstance(profit_before_tax, np.ndarray) else profit_before_tax
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tax = pd.Series(inc_tax) if isinstance(inc_tax, np.ndarray) else inc_tax
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# 利润总额>0 才算,否则 0
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safe = arr.where(arr > _EPS, _EPS)
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rate = tax / safe
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return rate.where(arr > _EPS, 0.0)
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if profit_before_tax <= _EPS:
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return 0.0
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return inc_tax / profit_before_tax
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def calc_roic(
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oper_profit: NumberLike,
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actual_tax_rate: Optional[NumberLike],
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tot_shrhldr_eqy: NumberLike,
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interest_bearing_debt: NumberLike,
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cash_equivalents: NumberLike,
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*,
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inc_tax: Optional[NumberLike] = None,
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profit_before_tax: Optional[NumberLike] = None,
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) -> NumberLike:
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"""ROIC = NOPAT / 投入资本。
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NOPAT = 营业利润 × (1 - 实际税率)
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投入资本 = 归母权益 + 有息负债 - 现金等价物
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参数:
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oper_profit: 营业利润(单期,**不是 TTM**,对账聚宽 roic_ttm 时注意)
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actual_tax_rate: 实际税率(百分数或小数都行,内部归一)
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tot_shrhldr_eqy: 归母权益(时点值)
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interest_bearing_debt: 有息负债(短期+长期借款+应付债券)
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cash_equivalents: 货币资金
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inc_tax / profit_before_tax: 可选兜底,actual_tax_rate NaN 时启用
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分母(投入资本) <= 0 时返回 NaN(避免负/零投入资本产生误导性 ROIC)。
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"""
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# Step 1: 税率(actual_tax_rate → 兜底)
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rate = normalize_tax_rate(actual_tax_rate)
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if isinstance(rate, (pd.Series, np.ndarray)):
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arr = pd.Series(rate)
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if inc_tax is not None and profit_before_tax is not None:
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fb = fallback_tax_rate(inc_tax, profit_before_tax)
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fb = pd.Series(fb) if isinstance(fb, np.ndarray) else fb
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rate = arr.where(arr.notna(), fb)
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else:
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if (rate != rate) and inc_tax is not None and profit_before_tax is not None:
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rate = fallback_tax_rate(inc_tax, profit_before_tax)
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nopat = oper_profit * (1 - rate)
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invested_capital = tot_shrhldr_eqy + interest_bearing_debt - cash_equivalents
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if isinstance(invested_capital, (pd.Series, np.ndarray)):
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arr = pd.Series(invested_capital) if isinstance(invested_capital, np.ndarray) else invested_capital
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safe = arr.where(arr > _EPS, _EPS)
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result = nopat / safe
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return result.where(arr > _EPS, float("nan"))
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if invested_capital <= _EPS:
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return float("nan")
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return nopat / invested_capital
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__all__ = ["calc_roic", "normalize_tax_rate", "fallback_tax_rate"]
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