量化因子选股模型示例_包含数据读取_因子筛选_因子分类和回测部分_matlab

%此代码用于从万得读取各股各时段的多因子信息 %时间：2005年Q4到2011年Q4 %1.读取每个季度市场上正常交易的股票 %2.读取因子信息 %注意，因子矩阵第i列存放的是第i季度末的值，而收益率矩阵第i列存放的是i+1季度的收益率 w=windmatlab; Quarterend=w.tdays('2005-12-01','2011-12-31','Period=Q'); %% %1.读取上个季度中小板市场上交易的股票，剔除ST，PT，*ST，以及上市时间不满90天 for i=1:length(Quarterend)-1 Date(i)=strcat('date=',Quarterend(i)); w_stock=w.wset('sectorconstituent','sectorid=a001010400000000',Date(i)); index=strncmp('*ST',w_stock(:,3),3)|strncmp('ST',w_stock(:,3),2)|strncmp('PT',w_stock(:,3),2)|strncmp('S*ST',w_stock(:,3),2); w_stock1=w_stock(~index,2); %1.2剔除上市时间不满三个月的股票 IPOdate=w.wsd(w_stock1,'ipo_date','2014-12-01','2014-12-31','Period=Q','PriceAdj=F'); %不知道为什么读ipo时间的入参还要填时间，但是不填会corrupt response index1=find(datenum(Quarterend(i))*ones(length(IPOdate),1)-datenum(IPOdate)>90); w_stock2=w_stock1(index1); %1.3剔除下个季度停牌的股票（下个季度换手率为0） [FT_test,~,~,~,~,~]=w.wsd(w_stock2,'free_turn','ED-1M',Quarterend(i+1),'Period=Q'); index2=find(FT_test>0); stocklist(1:length(index2),i)=w_stock2(index2); Qty(i)=length(index2); end xlswrite('stocklist',stocklist); xlswrite('Qty',Qty); %% %2读取因子信息，收益率 [~,stocklist]=xlsread('stocklist.xls'); %% %收益率 for i=1:length(Quarterend)-1 %股票下个季度收益率 [close,~,~,~,~,~]=w.wsd(stocklist(:,i),'close',Quarterend(i),Quarterend(i+1),'Period=Q','PriceAdj=F'); Rate=close(2,:)./close(1,:)-ones(1,length(close)); Return(1:length(Rate),i)=Rate; %中小板综下个季度收益率 [close,~,~,~,~,~]=w.wsd('399005.SZ','close',Quarterend(i),Quarterend(i+1),'Period=Q','PriceAdj=F'); RM(i)=close(2)/close(1)-1; end xlswrite('0Return', Return); xlswrite('RM', RM); %% for i=1:length(Quarterend)-1 %1账面市值比 [pb,~,~,~,~,~]=w.wsd(stocklist(:,i),'pb_lf','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); B2M(1:length(pb),i)=ones(length(pb),1)./pb; %2盈利收益率 [pe,~,~,~,~,~]=w.wsd(stocklist(:,i),'pe_ttm','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F');%PE PE(1:length(pe),i)=pe; %3PEG [peg,~,~,~,~,~]=w.wsd(stocklist(:,i),'estpeg_FTM','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F');%股息率 PEG(1:length(peg),i)=peg; %4股息收益率 [dividendyield,~,~,~,~,~]=w.wsd(stocklist(:,i),'dividendyield2','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F');%股息率 DividendYield(1:length(dividendyield),i)=dividendyield; %5流动市值 [mkt_cap_float,~,~,~,~,~]=w.wsd(stocklist(:,i),'mkt_cap_float','ED-1M',Quarterend(i),'unit=1','currencyType=','Period=Q','PriceAdj=F'); MCF(1:length(mkt_cap_float),i)=mkt_cap_float; %6换手率 [free_turn,~,~,~,~,~]=w.wsd(stocklist(:,i),'free_turn','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); Freeturn(1:length(free_turn),i)=free_turn; end xlswrite('1B2M',PB); xlswrite('2PE',PE); xlswrite('3PEG',PEG); xlswrite('4DividendYield',DividendYield); xlswrite('5MCF',MCF); xlswrite('6Freeturn',Freeturn); %% %换手率变动 for i=1:length(Quarterend)-1 [free_turn,~,~,~,~,~]=w.wsd(stocklist(:,i),'free_turn','ED-3M',Quarterend(i),'Period=Q','PriceAdj=F'); Dltfreeturn(1:length(free_turn),i)=(free_turn(2,:)-free_turn(1,:))'; end xlswrite('7Dltfreeturn',Dltfreeturn); %% %技术面因子 for i=1:length(Quarterend)-1 %12个月动量 [priceosc12,~,~,~,~,~]=w.wsd(stocklist(:,i),'PRICEOSC',Quarterend(i),Quarterend(i),'PRICEOSC_L=225','PRICEOSC_S=10','TradingCalendar=SZSE','PriceAdj=F'); PRICEOSC12(1:length(priceosc12),i)=priceosc12; %6个月动量 [priceosc6,~,~,~,~,~]=w.wsd(stocklist(:,i),'PRICEOSC',Quarterend(i),Quarterend(i),'PRICEOSC_L=120','PRICEOSC_S=10','TradingCalendar=SZSE','PriceAdj=F'); PRICEOSC6(1:length(priceosc6),i)=priceosc6; %1个月反转 [rsi1,~,~,~,~,~]=w.wsd(stocklist(:,i),'RSI',Quarterend(i),Quarterend(i),'RSI_N=22','TradingCalendar=SZSE','PriceAdj=F'); RSI1(1:length(rsi1),i)=rsi1; end xlswrite('8PRICEOSC6',PRICEOSC6); xlswrite('9PRICEOSC12',PRICEOSC12); xlswrite('10RSI1',RSI1); %% %波动 for i=1:length(Quarterend)-1 [std,~,~,~,~,~]=w.wsd(stocklist(:,i),'STD','ED-1D',Quarterend(i),'STD_N=26','Period=M','TradingCalendar=SZSE','PriceAdj=F'); STD(1:length(std),i)=std; end xlswrite('11STD',STD); %% %震荡指标 for i=1%:length(Quarterend)-1 [high,~,~,~,~,~]=w.wsd(stocklist(:,i),'high','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); [low,~,~,~,~,~]=w.wsd(stocklist(:,i),'low','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); [open,~,~,~,~,~]=w.wsd(stocklist(:,i),'open','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); [close,~,~,~,~,~]=w.wsd(stocklist(:,i),'close','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); Vibrate(1:length(close),i)=(high-low)./(open+close); end xlswrite('12Vibrate',Vibrate); %% %财务因子 for i=1:length(Quarterend)-1 %净利润同比增长 [yoyprofit,~,~,~,~,~]=w.wsd(stocklist(:,i),'yoyprofit','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); %销售毛利率 [grossprofitmargin,~,~,~,~,~]=w.wsd(stocklist(:,i),'wgsd_grossprofitmargin','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); %销售净利率 [netprofitmargin,~,~,~,~,~]=w.wsd(stocklist(:,i),'netprofitmargin','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); %主营业务占比 [optoebt,~,~,~,~,~]=w.wsd(stocklist(:,i),'optoebt','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); %资本固定化比率 [ncatoequity,~,~,~,~,~]=w.wsd(stocklist(:,i),'ncatoequity','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); %营业收入同比增长 [yoy_or,~,~,~,~,~]=w.wsd(stocklist(:,i),'yoy_or','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); %现金净流量同比增长率 [yoycf,~,~,~,~,~]=w.wsd(stocklist(:,i),'yoycf','ED-1M',Quarterend(i),'Period=Q','PriceAdj=F'); [roe,~,~,~,~,~]=w.wsd(stocklist(:,i),'roe','ED-1M',Quarterend(i),'Period=Q','Fill=Previous','PriceAdj=F'); [roa,~,~,~,~,~]=w.wsd(stocklist(:,i),'roa','ED-1M',Quarterend(i),'Period=Q','Fill=Previous','PriceAdj=F'); [d2a,~,~,~,~,~]=w.wsd(stocklist(:,i),'debttoassets','ED-1M',Quarterend(i),'Period=Q','TradingCalendar=SZSE','Fill=Previous','PriceAdj=F'); if isa(yoyprofit,'double') YOYPROFIT(1:length(yoyprofit),i)=yoyprofit; end if isa(netprofitmargin,'double')%毛利增长率 NPM(1:length(netprofitmargin),i)=netprofitmargin; end if isa(grossprofitmargin,'double') GPM(1:length(grossprofitmargin),i)=grossprofitmargin; end if isa(optoebt,'double') OPTEBT(1:length(optoebt),i)=optoebt; end if isa(ncatoequity,'double') NCA(1:length(ncatoequity),i)=ncatoequity; end if isa(yoy_or,'double') YOYOR(1:length(yoy_or),i)=yoy_or; end if isa(yoycf,'double') YOYCF(1:length(yoycf),i)=yoycf; end if isa(roe,'double') ROE(1:length(roe),i)=roe; end if isa(roa,'double') ROA(1:length(roa),i)=roa; end if isa(d2a,'double') D2A(1:length(d2a),i)=d2a; end end xlswrite('13GPM',GPM); xlswrite('14NPM',NPM); xlswrite('15OPTEBT',OPTEBT); xlswrite('16NCA',NCA); xlswrite('17ROA',ROA); xlswrite('18ROE',ROE); xlswrite('19D2A',D2A); xlswrite('20YOYCF',YOYCF); xlswrite('21YOYOR',YOYOR); xlswrite('22YOYPROFIT',YOYPROFIT);