過濾KY股財報

安裝套件¶

In [ ]:

!pip install finlab > log.txt

!pip install finlab > log.txt

現金流量策略¶

In [ ]:

from finlab import data
from finlab.backtest import sim

營業現金流 = data.get("financial_statement:營業活動之淨現金流入_流出").deadline()
投資現金流 = data.get("financial_statement:投資活動之淨現金流入_流出").deadline()
融資現金流 = data.get("financial_statement:籌資活動之淨現金流入_流出").deadline()
roe = data.get("fundamental_features:ROE稅後").deadline()
close = data.get("price:收盤價")

position = (營業現金流 > 0) & (投資現金流 > 0) & (融資現金流 < 0) & (roe > 5) & (close > 10)

from finlab import data from finlab.backtest import sim 營業現金流 = data.get("financial_statement:營業活動之淨現金流入_流出").deadline() 投資現金流 = data.get("financial_statement:投資活動之淨現金流入_流出").deadline() 融資現金流 = data.get("financial_statement:籌資活動之淨現金流入_流出").deadline() roe = data.get("fundamental_features:ROE稅後").deadline() close = data.get("price:收盤價") position = (營業現金流 > 0) & (投資現金流 > 0) & (融資現金流 < 0) & (roe > 5) & (close > 10)

過濾 KY 股¶

在台第一上市的海外公司經常爆出財報疑慮，對此敏感者，可在財報策略排除KY股。

基本面指標使用財報公告截止日。

In [ ]:

# 過濾 KY股
sc = data.get("security_categories")
position_col = position.columns
ky_filter = position_col[~position_col.isin(list(sc[sc["name"].str.contains("KY")]["stock_id"]))]
position = position[ky_filter]

report = sim(position,resample="M",name="過濾KY股財報", upload=False)
report.display()

# 過濾 KY股 sc = data.get("security_categories") position_col = position.columns ky_filter = position_col[~position_col.isin(list(sc[sc["name"].str.contains("KY")]["stock_id"]))] position = position[ky_filter] report = sim(position,resample="M",name="過濾KY股財報", upload=False) report.display()

stock_id
1539    0.043478
2303    0.043478
2504    0.043478
2636    0.043478
3093    0.043478
3131    0.043478
3169    0.043478
3557    0.043478
4506    0.043478
4945    0.043478
5534    0.043478
6195    0.043478
6278    0.043478
6281    0.043478
6294    0.043478
6506    0.043478
6542    0.043478
6683    0.043478
6706    0.043478
6747    0.043478
6761    0.043478
8084    0.043478
8421    0.043478
Name: 2022-07-31 00:00:00, dtype: float64

Timestamp('2022-07-31 00:00:00')