116 lines
3.4 KiB
Python
116 lines
3.4 KiB
Python
"""
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财务因子模块
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包含基于股票截面的财务因子实现
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"""
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import numpy as np
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import polars as pl
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from main.factor.operator_framework import DateWiseFactor, StockWiseFactor
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class CashflowToEVFactor(StockWiseFactor):
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"""现金流-to-企业价值因子"""
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def __init__(self):
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super().__init__(
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name="cashflow_to_ev",
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parameters={},
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required_factor_ids=["n_cashflow_act", "total_liab", "money_cap", "total_mv"]
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)
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def calc_factor(self, group_df: pl.DataFrame) -> pl.Series:
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# 计算企业价值
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total_mv = group_df["total_mv"]
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total_liab = group_df["total_liab"]
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money_cap = group_df["money_cap"]
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# 企业价值 = 市值 + 负债合计 - 货币资金
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enterprise_value = total_mv + total_liab - money_cap
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# 计算现金流-to-EV比率
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n_cashflow_act = group_df["n_cashflow_act"]
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cashflow_ev_ratio = n_cashflow_act / (enterprise_value + 1e-8) # 避免除零
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return cashflow_ev_ratio.alias(self.factor_id)
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class BookToPriceFactor(StockWiseFactor):
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"""账面价值-to-价格因子"""
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def __init__(self):
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super().__init__(
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name="book_to_price",
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parameters={},
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required_factor_ids=["bps", "close"]
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)
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def calc_factor(self, group_df: pl.DataFrame) -> pl.Series:
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# 计算账面价值-to-价格比率
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bps = group_df["bps"]
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close = group_df["close"]
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book_to_price = bps / (close + 1e-8) # 避免除零
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return book_to_price.alias(self.factor_id)
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class DebtToEquityFactor(StockWiseFactor):
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"""资产负债率因子"""
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def __init__(self):
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super().__init__(
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name="debt_to_equity",
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parameters={},
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required_factor_ids=["total_liab", "equity"]
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)
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def calc_factor(self, group_df: pl.DataFrame) -> pl.Series:
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# 计算资产负债率
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total_liab = group_df["total_liab"]
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equity = group_df["equity"]
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debt_to_equity = total_liab / (equity + 1e-8) # 避免除零
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return debt_to_equity.alias(self.factor_id)
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class ProfitMarginFactor(StockWiseFactor):
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"""净利润率因子"""
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def __init__(self):
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super().__init__(
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name="profit_margin",
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parameters={},
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required_factor_ids=["net_profit", "revenue"]
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)
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def calc_factor(self, group_df: pl.DataFrame) -> pl.Series:
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# 计算净利润率
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net_profit = group_df["net_profit"]
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revenue = group_df["revenue"]
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profit_margin = net_profit / (revenue + 1e-8) # 避免除零
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return profit_margin.alias(self.factor_id)
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class BMFactor(StockWiseFactor):
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"""账面市值比（Book-to-Market, BM）因子"""
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def __init__(self):
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super().__init__(
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name="bm",
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parameters={},
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required_factor_ids=["total_hldr_eqy_exc_min_int", "total_mv"]
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)
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def calc_factor(self, group_df: pl.DataFrame) -> pl.Series:
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book_value = group_df["total_hldr_eqy_exc_min_int"]
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market_cap = group_df["total_mv"]
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bm = book_value / (market_cap + 1e-8)
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# 可选：过滤无效值（如负权益）
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# bm = pl.when((book_value > 0) & (market_cap > 0)).then(bm).otherwise(None)
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return bm.alias(self.factor_id) |