多因子模型分回归和排序两类，其中回归重在解释，而排序旨在选股收益。回归中的因子暴露也有两类求取方式，一类是直接提取因子值，另一类是在时序回归下得到的因子暴露值。
一、提取数据
In [9]:
import pandas as pd
import numpy as np
import datetime
import matplotlib.pyplot as plt
plt.style.use('seaborn')
start_date='2018-01-10'
end_date='2019-01-10'
start_date=datetime.datetime.strptime(start_date,'%Y-%m-%d')
end_date=datetime.datetime.strptime(end_date,'%Y-%m-%d')+datetime.timedelta(days=1)
stock_list1=get_index_stocks('000300.SH',start_date)
stock_list2=get_index_stocks('000300.SH',end_date)
stock_list=list(set(stock_list1).intersection(set(stock_list2)))
#df = get_fundamentals(query(asharevalue.symbol, asharevalue.pb_mrq).filter(asharevalue.symbol.in_(stocklist)),date=start_date)
#df = df.set_index('asharevalue_symbol')
price = get_price(stock_list, start_date,end_date, '1d', ['quote_rate'], True, None, is_panel=1)['quote_rate']
print(price)
000001.SZ 000002.SZ 000063.SZ 000069.SZ 000100.SZ 000157.SZ \
2018-01-10 2.9817 -0.4743 -1.1829 -1.3684 -0.9926 -0.2160
2018-01-11 -0.5197 -1.4578 1.3920 0.4269 -0.7519 -0.8658
2018-01-12 1.1194 1.1380 -1.6474 1.2752 1.0101 -0.6550
2018-01-15 4.7970 4.3319 1.6471 1.4690 0.7500 -1.3187
2018-01-16 0.0000 8.3850 6.0148 0.0000 0.4963 2.0045
2018-01-17 0.2113 -1.0697 -4.1969 5.6877 -3.2099 -0.4367
2018-01-18 3.4434 -0.0251 -1.1087 -1.1742 -0.7653 1.0965
2018-01-19 0.5435 -0.8551 -0.2188 1.0891 0.0000 0.0000
2018-01-22 -2.4324 0.2790 -0.1644 0.0000 -0.2571 1.0846
2018-01-23 1.4543 3.6681 -0.1372 1.5671 -1.0309 -0.2146
2018-01-24 -0.0683 0.3660 1.8417 0.3857 -0.7813 -0.4301
2018-01-25 -3.0055 -2.2611 -2.6721 2.7858 -0.5249 0.8639
2018-01-26 -1.0563 -0.3980 -2.9395 0.8411 -1.8470 -0.8565
2018-01-29 -2.2064 -3.6713 -9.4000 -3.2437 -3.2258 -1.7279
2018-01-30 -0.6550 -5.7298 -1.9237 -1.8199 0.5556 -1.0989
2018-01-31 2.9304 3.3003 0.0643 0.9756 -1.3812 -0.2222
2018-02-01 -0.1423 -0.1597 -9.9936 -2.7053 -4.7619 -3.1180
2018-02-02 0.1426 -0.3200 2.8918 1.0924 1.7647 0.4598
2018-02-05 3.5587 -1.0433 1.5961 0.8841 0.5780 0.9153
2018-02-06 -3.7801 -3.1630 -2.8347 -3.7001 -3.7356 -3.1746
2018-02-07 -7.7143 -7.9285 0.9139 -9.3023 0.0000 0.4684
2018-02-08 -2.9412 -0.6974 3.2741 -1.7837 3.5821 0.9324
2018-02-09 -6.7783 -4.5191 -4.0472 -5.7889 -3.7464 -4.1570
2018-02-12 0.2566 2.0147 3.4095 1.4458 2.0958 1.4458
2018-02-13 1.8771 2.6019 1.0877 1.4252 0.0000 0.7126
2018-02-14 0.5025 1.3443 2.5555 1.4052 0.8798 0.0000
2018-02-22 3.8333 1.5978 2.3607 0.8083 0.8721 0.9434
2018-02-23 1.2039 3.0267 0.3203 0.4582 -1.1527 0.0000
2018-02-26 0.1586 -1.5553 3.9272 -0.7982 6.9971 1.1682
2018-02-27 -2.7712 -3.7449 -0.5530 -2.6437 1.3624 -0.9238
... ... ... ... ... ... ...
2018-11-29 -0.7782 -2.2798 -5.2043 -4.3619 -2.7778 -1.3850
2018-11-30 1.5686 0.5931 1.9497 1.5203 0.8163 -0.2809
2018-12-03 2.2201 1.1399 7.9014 2.3295 2.8340 3.6620
2018-12-04 0.0000 -2.3319 -0.7929 -1.1382 0.0000 1.9022
2018-12-05 -1.3220 0.6765 -0.8463 0.1645 -0.3937 -0.5333
2018-12-06 -1.9139 -0.7905 -5.6899 -1.9704 -1.5810 -2.1448
2018-12-07 0.2927 0.9562 0.5028 0.6700 2.8112 1.9178
2018-12-10 -1.0700 -1.3418 0.2501 -2.3295 -5.8594 -2.4194
2018-12-11 0.5900 3.8800 1.4970 2.2147 0.4149 -0.2755
2018-12-12 0.0978 1.4632 -1.6716 1.1667 0.4132 0.5525
2018-12-13 1.4648 2.8463 1.0000 2.6359 0.4115 1.9231
2018-12-14 -2.1174 -2.3616 -2.7228 -1.7657 0.4098 -1.0782
2018-12-17 1.1799 0.2268 -2.0356 0.3268 0.0000 0.8174
2018-12-18 -1.6521 -3.8462 -0.7792 -1.9544 -0.8163 -1.6216
2018-12-19 -1.7787 -0.4706 -0.4188 0.9967 -0.4115 0.2747
2018-12-20 -2.3139 -0.3152 1.7876 -0.4934 -0.4132 -1.0959
2018-12-21 -2.6777 -4.1502 -0.6198 -2.1488 -0.4149 1.1080
2018-12-24 -0.3175 -1.5258 5.3015 0.3378 0.0000 0.5479
2018-12-25 -0.8493 0.3769 0.4936 -0.8418 0.4167 -1.6349
2018-12-26 -0.4283 -0.7092 -2.4558 3.3956 -0.4149 -0.8310
2018-12-27 -0.2151 -1.5126 0.2014 1.1494 0.8333 0.0000
2018-12-28 1.0776 1.6212 -1.5578 3.0844 1.2397 -0.5587
2019-01-02 -2.0256 0.3359 -0.1531 -5.9843 2.4490 -2.5281
2019-01-03 0.9793 0.7113 -3.9877 0.1675 0.7968 1.4409
2019-01-04 5.0647 3.5729 2.2364 2.5084 1.5810 1.1364
2019-01-07 -0.1026 0.4813 4.2708 0.9788 3.5019 1.4045
2019-01-08 -0.8214 -0.1996 -0.5994 -1.1309 6.7669 0.5540
2019-01-09 2.8986 1.3200 0.1005 1.9608 -0.7042 0.2755
2019-01-10 1.6097 -0.8685 0.7530 0.4808 -4.6099 -0.5495
2019-01-11 0.9901 0.7567 2.1923 -0.3190 1.8587 0.2762
000166.SZ 000333.SZ 000338.SZ 000402.SZ ... 601989.SH \
2018-01-10 -0.5597 1.8157 0.5637 -0.6832 ... -1.2987
2018-01-11 0.0000 -1.5522 -2.0179 -0.2580 ... 0.3289
2018-01-12 0.0000 1.9792 -0.8009 1.1207 ... 0.3279
2018-01-15 -1.3133 0.5921 -0.9227 1.1083 ... -2.7778
2018-01-16 1.1407 -0.1145 4.7730 5.8179 ... 0.6723
2018-01-17 2.8195 -3.8304 0.8889 -2.3904 ... 0.5008
2018-01-18 0.0000 0.3404 -0.3304 -0.9796 ... 0.8306
2018-01-19 2.1938 -1.3232 -0.6630 -1.5664 ... 2.1417
2018-01-22 0.0000 5.6043 1.2236 0.4188 ... 0.1613
2018-01-23 -0.3578 1.1232 0.8791 2.0017 ... 0.4831
2018-01-24 2.3339 -2.7527 -1.7429 -0.3271 ... 2.0833
2018-01-25 -2.4561 1.4733 -0.4435 -2.1329 ... 0.3140
2018-01-26 0.7194 1.1419 -0.2227 2.4308 ... -0.6260
2018-01-29 0.0000 -3.4355 1.0045 -1.1457 ... -2.0472
2018-01-30 -2.1429 -1.8540 -1.5470 -3.3940 ... 0.3215
2018-01-31 -2.3723 1.8039 -1.4590 1.1140 ... -0.3205
2018-02-01 -0.5607 -0.8024 -1.4806 -2.3729 ... -3.6977
2018-02-02 0.9398 0.9437 4.0462 -1.8229 ... 2.1703
2018-02-05 0.0000 -4.3072 0.0000 1.6799 ... -0.8170
2018-02-06 -0.7449 -3.1752 -3.7778 -3.9130 ... -3.2949
2018-02-07 -2.2514 -4.8829 -4.1570 -3.1674 ... 0.6814
2018-02-08 0.3839 1.8564 0.9639 0.5607 ... 0.6768
2018-02-09 -4.2065 -3.3290 -7.5179 -6.1338 ... -9.2437
2018-02-12 -0.7984 4.6941 2.7097 0.0990 ... 0.7407
2018-02-13 -0.2012 1.6354 1.5075 0.1978 ... 0.1838
2018-02-14 0.4032 2.9109 1.3614 -0.2962 ... -0.3670
2018-02-22 0.2008 2.1434 4.5177 1.7822 ... 1.6575
2018-02-23 0.2004 -1.0148 -0.4673 1.8482 ... 0.1812
2018-02-26 1.6000 0.2606 1.8779 0.8596 ... 1.2658
2018-02-27 -0.7874 -5.3726 -2.9954 -2.5568 ... 0.5357
... ... ... ... ... ... ...
2018-11-29 -1.7738 -3.0485 -0.7968 -2.2857 ... -0.7126
2018-11-30 0.2257 -0.2835 0.6693 -0.8772 ... 1.4354
2018-12-03 2.7027 5.5311 2.2606 3.3923 ... 1.4151
2018-12-04 0.8772 -0.7103 0.7802 -0.7133 ... -0.2326
2018-12-05 -1.7391 -1.3320 -0.7742 -1.0057 ... -0.4662
2018-12-06 -1.9912 -2.6000 -1.1704 -1.7417 ... -0.7026
2018-12-07 0.4515 -1.2320 0.2632 0.4431 ... 0.4717
2018-12-10 -1.3483 -3.6902 -1.4436 -2.2059 ... -0.4695
2018-12-11 0.0000 -0.0540 0.5326 0.9023 ... 0.2358
2018-12-12 0.0000 1.8898 0.5298 1.0432 ... 0.2353
2018-12-13 0.6834 6.3063 1.7128 2.2124 ... 0.7042
2018-12-14 -3.8462 -0.9222 -0.2591 -1.7316 ... -1.8648
2018-12-17 -0.7059 -0.7296 2.0779 1.9090 ... 0.4751
2018-12-18 -0.4739 -1.6472 -0.6361 -3.3141 ... 0.0000
2018-12-19 -0.9524 -1.4429 0.3841 -1.7884 ... -0.9456
2018-12-20 1.6827 0.2092 -0.7653 0.3035 ... -0.9547
2018-12-21 -2.1277 -1.0697 0.3856 -0.1513 ... -1.6867
2018-12-24 0.2415 -0.4747 -0.6402 1.3636 ... 3.4314
2018-12-25 -1.9277 -0.9539 -1.2887 -1.9432 ... -0.4739
2018-12-26 -1.4742 -0.6688 -0.7833 -0.3049 ... -0.4762
2018-12-27 -0.4988 -0.8888 0.3947 -1.5291 ... 1.9139
2018-12-28 2.0050 0.1630 0.9174 0.0000 ... -0.2347
2019-01-02 -0.7371 -1.1394 -1.8182 -1.5528 ... 0.2353
2019-01-03 2.2277 -0.6586 -0.9259 -1.7350 ... 2.1127
2019-01-04 7.0218 2.1823 1.6021 3.8523 ... 3.6782
2019-01-07 -0.9050 0.0000 0.6570 2.9366 ... 2.6608
2019-01-08 0.4566 -0.3514 0.0000 0.3003 ... -2.1598
2019-01-09 0.0000 5.8058 1.3055 2.3952 ... -1.3245
2019-01-10 -1.5909 0.7436 0.7732 -0.8772 ... -0.4474
2019-01-11 0.6928 1.3998 1.0230 0.0000 ... 0.6742
601991.SH 601992.SH 601997.SH 601998.SH 603160.SH 603799.SH \
2018-01-10 -0.7059 -1.1551 0.7117 1.8519 0.4359 -0.6992
2018-01-11 0.9479 -1.5025 -0.7067 1.8182 -0.4038 2.0799
2018-01-12 0.2347 1.1864 0.1423 1.9345 -2.0878 -2.7698
2018-01-15 -3.7471 -2.3451 1.7768 1.7518 -3.9437 -5.8939
2018-01-16 0.0000 4.1166 2.3045 0.4304 0.1293 2.5168
2018-01-17 0.0000 -2.6359 0.4096 -1.2857 0.4628 -5.3513
2018-01-18 -0.4866 -0.1692 0.8158 4.1968 -1.5533 0.0956
2018-01-19 0.9780 0.5085 3.1018 0.0000 0.3156 2.6869
2018-01-22 1.2107 -0.8432 -1.9621 -1.1111 0.9003 1.3374
2018-01-23 0.2392 0.0000 2.0013 3.6517 0.6128 6.2084
2018-01-24 0.4773 0.6803 0.5886 0.2710 1.3997 0.9941
2018-01-25 0.2375 0.8446 1.9506 -1.8919 -2.3077 0.3745
2018-01-26 0.0000 -0.3350 0.0638 1.5152 -0.9276 3.3362
2018-01-29 0.2370 -1.0084 8.0943 -1.2212 -3.5928 5.1882
2018-01-30 -0.7092 -2.2071 0.2948 -1.7857 -0.7340 -8.7860
2018-01-31 -2.3810 -2.9514 1.9400 0.9790 -3.4130 7.5038
2018-02-01 -3.1707 -5.3667 -4.1522 2.2161 -5.6537 -2.1800
2018-02-02 0.7557 -0.3781 0.9627 0.5420 -0.0624 2.8726
2018-02-05 0.0000 0.1898 4.2908 9.7035 -0.8245 -5.5749
2018-02-06 -3.7500 -7.9545 -4.2857 -1.5971 -8.1496 -6.6723
2018-02-07 -1.0390 0.0000 -2.8060 -3.2459 1.4399 -0.8796
2018-02-08 1.5748 1.8519 -0.7985 -6.4516 2.9877 4.4482
2018-02-09 -3.3592 -6.4646 -6.1300 -4.8276 -0.3807 -5.2282
2018-02-12 0.2674 1.0799 -0.6596 -2.7536 3.3206 9.4587
2018-02-13 -0.8000 1.7094 0.7304 1.4903 -0.8417 0.7350
2018-02-14 -0.5376 0.4202 -0.9888 -1.0279 -1.8650 4.2214
2018-02-22 1.3514 9.6234 2.0639 5.4896 4.7969 10.0010
2018-02-23 0.5333 1.5267 0.6523 0.4219 -0.6628 3.5731
2018-02-26 1.0610 3.1955 1.2314 0.0000 4.1672 0.5355
2018-02-27 0.7874 -2.5501 -1.9206 -1.5406 2.0425 -1.8947
... ... ... ... ... ... ...
2018-11-29 0.3236 -3.0812 -1.4311 -0.5300 0.7013 -2.8872
2018-11-30 1.2903 -0.2890 0.7260 0.7105 0.3900 5.3267
2018-12-03 1.5924 3.1884 1.7117 1.0582 5.2026 2.9697
2018-12-04 0.3135 2.5281 0.1771 0.0000 2.8617 -0.1428
2018-12-05 -0.6250 2.4658 -1.0610 -0.6981 1.3205 3.3743
2018-12-06 -0.3145 -1.0695 -0.8043 -1.2302 -5.5802 0.2490
2018-12-07 -0.9464 4.5946 0.1802 0.1779 1.8092 -2.0419
2018-12-10 0.3185 -0.5168 -1.1691 -1.4210 0.4344 -4.6197
2018-12-11 -0.9524 -2.5974 0.8189 0.1802 1.0092 0.1477
2018-12-12 -0.3205 0.5333 0.1805 0.1799 2.5950 0.5898
2018-12-13 0.9646 1.0610 0.8108 0.3591 4.9450 1.1434
2018-12-14 -0.6369 -1.5748 -1.6979 -0.7156 -0.5182 -3.1884
2018-12-17 0.0000 3.4667 -0.4545 0.3604 -6.4930 2.2156
2018-12-18 -0.3205 -3.8660 -0.7306 -0.8977 -0.4793 0.7616
2018-12-19 0.6431 -1.0724 -0.4600 -0.3623 1.6532 -1.7442
2018-12-20 -0.3195 0.5420 -0.4621 -1.0909 1.2037 -0.3254
2018-12-21 -0.6410 -2.9650 -0.6500 -0.5515 -1.4425 -4.1852
2018-12-24 0.0000 -0.2778 0.2804 1.2939 2.9144 0.1859
2018-12-25 -0.6452 -1.9499 -0.3728 -1.6423 -3.1687 -4.0816
2018-12-26 -0.9740 1.7045 -0.2806 0.0000 -0.0129 -2.0954
2018-12-27 1.3115 -1.3966 -0.7505 -0.3711 2.4353 -1.9756
2018-12-28 1.9417 -0.8499 0.9452 1.4898 -1.0063 1.1421
2019-01-02 -0.6349 -4.0000 -1.0300 -2.2018 -7.3062 -2.6237
2019-01-03 0.0000 -2.3810 0.3784 0.1876 -0.7265 0.2387
2019-01-04 1.5974 2.1341 2.6390 1.8727 0.1105 2.8241
2019-01-07 1.2579 1.7910 -0.0918 -0.3676 2.0000 1.1251
2019-01-08 0.3106 -0.2933 -0.7353 0.1845 0.8790 -1.4071
2019-01-09 -0.9288 0.5882 0.3704 0.9208 -0.0804 -2.6884
2019-01-10 -0.3125 0.5848 -0.6458 -1.0949 -0.1878 -0.0341
2019-01-11 0.3135 2.9070 0.3714 0.1845 0.0000 0.7506
603833.SH 603858.SH 603993.SH
2018-01-10 0.0937 -1.7554 -0.4144
2018-01-11 -2.4809 0.0971 7.7670
2018-01-12 3.4080 -1.0283 -1.6731
2018-01-15 4.1931 -2.6857 -1.7016
2018-01-16 3.5714 -0.3425 7.7230
2018-01-17 -0.3298 1.4756 -0.2472
2018-01-18 1.8341 -0.4382 0.1239
2018-01-19 -3.2490 3.8615 0.2475
2018-01-22 1.0147 -1.9649 2.7160
2018-01-23 3.1293 0.0000 -0.2404
2018-01-24 -2.5718 0.0393 -1.6867
2018-01-25 -0.2877 -0.8250 0.1225
2018-01-26 2.0775 0.0000 -4.7736
2018-01-29 -4.3106 -1.0299 0.5141
2018-01-30 -1.7798 0.2802 -4.7315
2018-01-31 7.4737 -1.5167 1.4765
2018-02-01 -3.6169 -3.6677 -1.4550
2018-02-02 1.5315 -0.0841 5.3691
2018-02-05 -0.4647 2.5474 0.2548
2018-02-06 -5.8177 -3.9622 -8.7675
2018-02-07 1.4032 1.1543 -2.5070
2018-02-08 0.9777 0.8876 -1.5714
2018-02-09 -5.3921 -4.0846 -10.0145
2018-02-12 7.8800 1.5287 4.5161
2018-02-13 2.8240 4.3665 1.5432
2018-02-14 3.8180 5.1113 2.4316
2018-02-22 3.2401 -0.4118 9.9407
2018-02-23 -0.7482 -1.9295 8.2321
2018-02-26 -2.2815 1.8671 7.3566
2018-02-27 -3.0653 -1.2810 -4.4135
... ... ... ...
2018-11-29 -1.8509 -1.0674 0.0000
2018-11-30 1.2530 -0.7068 2.3196
2018-12-03 4.8750 4.6459 3.0227
2018-12-04 1.3826 2.1482 -0.4890
2018-12-05 -1.2462 0.5608 1.4742
2018-12-06 -1.3214 -1.6731 -1.6949
2018-12-07 1.3512 -2.9422 -0.2463
2018-12-10 -4.9756 -2.5566 -1.9753
2018-12-11 2.4677 0.2249 1.2594
2018-12-12 3.3374 -1.0845 1.7413
2018-12-13 5.4655 0.6805 1.4670
2018-12-14 -2.7818 -2.3282 -1.6867
2018-12-17 -0.4846 0.8074 1.7157
2018-12-18 1.6464 -1.2967 0.0000
2018-12-19 -4.9618 -1.9320 -1.4458
2018-12-20 -0.5041 0.5910 -0.9780
2018-12-21 -0.9771 -0.9792 -2.9630
2018-12-24 2.3267 0.7120 0.5089
2018-12-25 -1.4524 -0.1571 -1.5190
2018-12-26 -1.5221 0.3147 -1.2853
2018-12-27 -0.8832 -0.9412 -2.0833
2018-12-28 -1.3366 0.0792 0.0000
2019-01-02 -3.0231 -1.2263 -1.3298
2019-01-03 -1.8497 -0.4806 0.8086
2019-01-04 2.3458 2.5352 2.4064
2019-01-07 4.1463 0.9027 1.5666
2019-01-08 -1.0509 -0.3112 -1.0283
2019-01-09 3.0489 -0.1561 0.2597
2019-01-10 2.1584 -0.7034 -1.5544
2019-01-11 -0.9970 -0.1181 0.7895
[245 rows x 249 columns]
二、获取每日因子收益率
In [10]:
flag1=True
while start_date<=end_date:
next_date=start_date+datetime.timedelta(days=1)
#print(next_date)
#取全市场股票各股票市值因子
df = get_fundamentals(query(asharevalue.symbol, asharevalue.total_mv).filter(\
asharevalue.symbol.in_(stock_list)).order_by(asharevalue.total_mv.asc()),date=start_date)
df.set_index('asharevalue_symbol',inplace=True)
df.index.name='symbol'
stocklist_cap_top=list(df[:int(len(df)*0.3)].index)
stocklist_cap_bottom=list(df[int(len(df)*0.7):].index)
try:
value_top = get_price(stocklist_cap_top,None, start_date, '1d', \
['quote_rate'],True, None,1,is_panel=1)['quote_rate']
return_sum_top=value_top.apply(lambda x:x.mean(),axis=1)
value_bottom = get_price(stocklist_cap_bottom,None, start_date, '1d', \
['quote_rate'], True, None,1,is_panel=1)['quote_rate']
return_sum_bottom=value_bottom.apply(lambda x:x.mean(),axis=1)
return_factor=return_sum_top-return_sum_bottom
except:
start_date=start_date+datetime.timedelta(days=1)
continue
if flag1:
flag1=False
return_date_total_factor = return_factor
else:
return_date_total_factor = return_date_total_factor.append(return_factor)
start_date=start_date+datetime.timedelta(days=1)
return_date_total_factor_array=np.array(return_date_total_factor)
return_date_total_factor_array
Out[10]:
array([-1.00484001, 0.62972498, -1.16946325, -2.49245642, -0.19890814,
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0.95962838, -0.16407027, -0.82504459, 0.0534529 , -0.10627517])
查看以上策略详情请到supermind量化交易官网查看：同花顺Supermind量化交易 多因子专题（一）--因子暴露值的不同取法 附源代码
