基本面选股

数据处理

def winsorize(df):
    q = df.quantile([0.025, 0.975])
    if isinstance(q, pd.Series) and len(q) == 2:
        df[df < q.iloc[0]] = q.iloc[0]
        df[df > q.iloc[1]] = q.iloc[1]
    return df
def standardize(df):
    df_std = df.std()
    df_mean = df.mean()
    return (df - df_mean) / df_std
S_PE = standardize(winsorize(PN.minor_xs('PE')))
S_PB = standardize(winsorize(PN.minor_xs('PB')))
S_PS = standardize(winsorize(PN.minor_xs('PS')))
S_PCF = standardize(winsorize(PN.minor_xs('PCF')))

算法设计

S = -(S_PE+2*S_PB+2*S_PS+0.5*S_PCF)
factor = S.stack()