明确策略开发方向

strategy.py

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+import pandas as pd
+
+
+class Selector:
+    def select(self, codes: [str], df: pd.DataFrame) -> [str]:
+        return codes
+
+
+class Strategy:
+    def __init__(self, selectors: [Selector]):
+        self.selectors = selectors
+
+    def select(self, codes: [str], df: pd.DataFrame) -> [str]:
+        return list(map(lambda code: self.selectors.select(code, df), codes))
+
+
+class PeriodSelector(Selector):
+    def __init__(self, period: int = 5):
+        self.__period = period
+
+    def select(self, codes: [str], df: pd.DataFrame) -> [str]:
+        size_df = df.groupby("code").size()
+        return list(filter(lambda code: size_df[code] > self.__period, codes))
+
+
+class PyramidSelector(Selector):
+    def select(self, codes: [str], df: pd.DataFrame) -> [str]:
+        target_df = df[df["code"].isin(codes)]
+        target_df["score"] = 0
+        group_df = target_df.groupby("code")
+
+        target_df["prev_total_stockholder_interest"] = group_df["total_stockholder_interest"].shift(1)
+        target_df["roe"] = target_df["net_income"] / ((target_df["prev_total_stockholder_interest"] + target_df["total_stockholder_interest"]) / 2)
+        target_df["average_roe"] = target_df["roe"].mean()
+        target_df[target_df["average_roe"] >= 35] = target_df["score"] + 550
+        target_df[(target_df["average_roe"] < 35) & (target_df["average_roe"] >= 30)] = target_df["score"] + 500
+        target_df[(target_df["average_roe"] < 30) & (target_df["average_roe"] >= 25)] = target_df["score"] + 450
+        target_df[(target_df["average_roe"] < 25) & (target_df["average_roe"] >= 15)] = target_df["score"] + 300
+        target_df[(target_df["average_roe"] < 15) & (target_df["average_roe"] >= 10)] = target_df["score"] + 250
+
+        target_df["prev_total_assets"] = group_df["total_assets"].shift(1)
+        target_df["roa"] = target_df["net_income"] / ((target_df["prev_total_assets"] + target_df["total_assets"]) / 2)
+
+        return super().select(codes, df)