从零开始卷量化(34).ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 112,
   "id": "c9665e89",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-04-18T13:21:26.041032Z",
     "start_time": "2022-04-18T13:21:26.035455Z"
    },
    "scrolled": false
   },
   "outputs": [],
   "source": [
    "import tushare as ts\n",
    "import pandas as pd\n",
    "from datetime import datetime \n",
    "pro = ts.pro_api()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 100,
   "id": "d4eb54a7",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-04-18T13:09:38.787957Z",
     "start_time": "2022-04-18T13:09:37.034318Z"
    }
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "A=0.2373720791211451\n",
      "B=0.5960189888993613\n",
      "C=0.20931873421993563\n",
      "D=0.000552221072677601\n",
      "E=0.659367585411381\n",
      "Z=2.463130144531141\n",
      "002624.SZ当前财务状况为灰色区\n",
      "A=-0.26442297420871724\n",
      "B=-0.8405015431764118\n",
      "C=-0.134858255018074\n",
      "D=0.0005087275380955364\n",
      "E=0.5096087724880183\n",
      "Z=-1.434224049771086\n",
      "300029.SZ当前财务状况为破产区\n"
     ]
    }
   ],
   "source": [
    "def zscore(ts_code):\n",
    "    df_balance = pro.balancesheet(ts_code=ts_code,end_type=4)[:1]\n",
    "    df_balance.fillna(0)\n",
    "    df_income = pro.income(ts_code=ts_code,end_type=4)[:1]\n",
    "    df_income=df_income.fillna(0)\n",
    "    df_basic = pro.daily_basic(ts_code=ts_code)[:1]\n",
    "    \n",
    "    total_assets=df_balance['total_assets'].astype('float').values[0]\n",
    "\n",
    "    #A= 流动资本/总资产 = (流动资产-流动负债)/总资产 \n",
    "    total_cur_assets=df_balance['total_cur_assets'].astype('float').values[0]\n",
    "    total_cur_liab=df_balance['total_cur_liab'].astype('float').values[0]\n",
    "    A=(total_cur_assets-total_cur_liab)/total_assets\n",
    "    print(\"A=\"+str(A))\n",
    "    \n",
    "    \n",
    "    #B = 留存收益/总资产 =(股东权益合计-股本)/总资产 \n",
    "    total_hldr_eqy_inc_min_int =df_balance['total_hldr_eqy_inc_min_int'].astype('float').values[0]\n",
    "    total_share =df_balance['total_share'].astype('float').values[0]\n",
    "    B=(total_hldr_eqy_inc_min_int-total_share)/total_assets\n",
    "    print(\"B=\"+str(B))\n",
    "    \n",
    "    #C = 息税前收益/总资产 =(利润总额+财务费用)/总资产 \n",
    "    total_profit = df_income['total_profit'].astype('float').values[0]\n",
    "    rd_exp = df_income['rd_exp'].astype('float').values[0]\n",
    "    C=(total_profit+rd_exp)/total_assets\n",
    "    print(\"C=\"+str(C))\n",
    "    \n",
    "    #D = 优先股和普通股市值/总负债=(股价*股票总数)/总负债 \n",
    "    total_mv=df_basic['total_mv'].astype('float').values[0]\n",
    "    total_liab=df_balance['total_liab'].astype('float').values[0]\n",
    "    D=total_mv/total_liab\n",
    "    print(\"D=\"+str(D))\n",
    "    \n",
    "    #E= 销售额/总资产\n",
    "    revenue=df_income['revenue'].astype('float').values[0]\n",
    "    E=revenue/total_assets\n",
    "    print(\"E=\"+str(E))\n",
    "    \n",
    "    Z=1.2*A + 1.4*B + 3.3*C + 0.6*D + 0.99*E\n",
    "    print(\"Z=\"+str(Z))\n",
    "    \n",
    "    if(Z < 1.8):\n",
    "        print(ts_code+'当前财务状况为破产区')\n",
    "    elif (Z > 2.99):\n",
    "        print(ts_code+'当前财务状况为安全区')\n",
    "    else:\n",
    "        print(ts_code+'当前财务状况为灰色区')\n",
    "\n",
    "zscore('002624.SZ') #完美世界\n",
    "zscore('300029.SZ') #ST天龙"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 99,
   "id": "5041fb95",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-04-18T13:09:17.448706Z",
     "start_time": "2022-04-18T13:09:15.571485Z"
    }
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "TA=15506930273.09\n",
      "GNP=700\n",
      "TL=4324538166.79\n",
      "WC=3360571013.16\n",
      "CL=4203704700.16\n",
      "CA=7884616979.87\n",
      "X=0\n",
      "NI=1504287486.34\n",
      "FFO=1504287486.34\n",
      "T=-7.658163712052047\n",
      "002624.SZ破产的概率为:0.05%\n",
      "TA=220807920.85\n",
      "GNP=700\n",
      "TL=206397319.07\n",
      "WC=-86224358.95\n",
      "CL=206391413.11\n",
      "CA=148004725.95\n",
      "X=0\n",
      "NI=-31974400.4\n",
      "FFO=-31974400.4\n",
      "T=0.45380180114493657\n",
      "300029.SZ破产的概率为:61.15%\n"
     ]
    }
   ],
   "source": [
    "import math\n",
    "from math import e\n",
    "def oscore(ts_code):\n",
    "    df_balance = pro.balancesheet(ts_code=ts_code,end_type=4)[:1]\n",
    "    df_income = pro.income(ts_code=ts_code,end_type=4)[:1]\n",
    "    df_basic = pro.daily_basic(ts_code=ts_code)[:1]\n",
    "    df_ind = pro.fina_indicator(ts_code=ts_code,end_type=4)[:1]\n",
    "    df_cashflow=pro.cashflow(ts_code=ts_code,end_type=4)[:1]\n",
    "    \n",
    "    # TA(Total Assets) = 总资产\n",
    "    TA=df_balance['total_assets'].astype('float').values[0]    \n",
    "    print(\"TA=\"+str(TA))\n",
    "    \n",
    "    # GNP(gross national product price index level) = 国民生产总值价格指数水平\n",
    "    GNP=700\n",
    "    print(\"GNP=\"+str(GNP))\n",
    "    \n",
    "    # TL(Total Liabilities) = 总负债\n",
    "    TL=df_balance['total_liab'].astype('float').values[0]\n",
    "    print(\"TL=\"+str(TL))\n",
    "    \n",
    "    # WC(Working Capital) = 营运资金\n",
    "    WC=df_ind['working_capital'].astype('float').values[0]\n",
    "    print(\"WC=\"+str(WC))\n",
    "    \n",
    "    # CL(Current Liabilities) = 流动负债\n",
    "    CL=df_balance['total_cur_liab'].astype('float').values[0]\n",
    "    print(\"CL=\"+str(CL))\n",
    "    \n",
    "    # CA(Current Assets) = 流动资产\n",
    "    CA=df_balance['total_cur_assets'].astype('float').values[0]\n",
    "    print(\"CA=\"+str(CA))\n",
    "    \n",
    "    # X = 如果 总负责TL>总资产TA，则为1，否则为 0\n",
    "    X=1 if TL>TA else 0\n",
    "    print(\"X=\"+str(X))\n",
    "    \n",
    "    # NI(Net income) = 净收入\n",
    "    NI=df_income['n_income'].astype('float').values[0]\n",
    "    print(\"NI=\"+str(NI))\n",
    "    \n",
    "    # FFO(Funds From Operations) = 运营资金\n",
    "    # FFO = 净收入 +（折旧费用 + 摊销费用 + 资产出售损失）-（资产出售收益 + 利息收入）\n",
    "    depr_fa_coga_dpba=df_cashflow['depr_fa_coga_dpba'].astype('float').values[0]\n",
    "    amort_intang_assets=df_cashflow['amort_intang_assets'].astype('float').values[0]\n",
    "    FFO=NI #上面那些费用取不出来\n",
    "    print(\"FFO=\"+str(FFO))\n",
    "    \n",
    "    # Y = 如果过去两年净亏损，则为1，否则为0\n",
    "    Y=0 #懒得算了，先写成0\n",
    "    \n",
    "    T=-1.32-0.407*math.log(TA/GNP)+6.03*(TL/TA)-1.43*(WC/TA)+0.0757*(CL/CA)-1.72*X-2.37*(NI/TA)-1.83*(FFO/TL)+0.285*Y-0.521*0\n",
    "    prob=(e**T)/(1+e**T)\n",
    "    print(\"T=\"+str(T))\n",
    "    \n",
    "    print(ts_code+\"破产的概率为:\"+str(round(prob*100,2))+\"%\")\n",
    "\n",
    "oscore('002624.SZ') #完美世界\n",
    "oscore('300029.SZ') #ST天龙"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 111,
   "id": "1fac4fba",
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-04-18T13:20:22.270362Z",
     "start_time": "2022-04-18T13:20:20.627071Z"
    }
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "DSRI=0.44999269262861763\n",
      "GMI=1.0844061668238596\n",
      "AQI=1.2324143324865937\n",
      "SGI=1.271892039683023\n",
      "DEPI=1.2404320042147092\n",
      "SGAI=1.0431665981294453\n",
      "LVGI=0.9351976535085863\n",
      "TATA=-0.201923738785604\n",
      "MScore=-3.512037585143696\n",
      "002624.SZ财务造假嫌疑低\n",
      "DSRI=121.75280767309881\n",
      "GMI=1.0694407447390188\n",
      "AQI=1\n",
      "SGI=6.547216265692907\n",
      "DEPI=0.3767387379625849\n",
      "SGAI=0.10696148434728352\n",
      "LVGI=1.0824958669207672\n",
      "TATA=-0.00241144216181318\n",
      "MScore=113.64098956871203\n",
      "300029.SZ财务造假嫌疑高\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "/tmp/ipykernel_25942/3186124987.py:37: RuntimeWarning: invalid value encountered in double_scalars\n",
      "  AQI=AQ0/AQ1\n"
     ]
    }
   ],
   "source": [
    "def mscore(ts_code):\n",
    "    df_balance = pro.balancesheet(ts_code=ts_code,end_type=4)\n",
    "    df_balance=df_balance.drop_duplicates('end_date', keep='first', inplace=False)[:2]\n",
    "    df_income = pro.income(ts_code=ts_code,end_type=4)\n",
    "    df_income=df_income.drop_duplicates('end_date', keep='first', inplace=False)[:2]\n",
    "    df_basic = pro.daily_basic(ts_code=ts_code,end_type=4)\n",
    "    df_ind = pro.fina_indicator(ts_code=ts_code,end_type=4)\n",
    "    df_ind=df_ind.drop_duplicates('end_date', keep='first', inplace=False)[:2]\n",
    "    df_cashflow=pro.cashflow(ts_code=ts_code,end_type=4)\n",
    "    df_cashflow=df_cashflow.drop_duplicates('end_date', keep='first', inplace=False)[:2]\n",
    "    \n",
    "    df_balance=df_balance.fillna(0)\n",
    "    df_cashflow=df_cashflow.fillna(0)\n",
    "    df_income=df_income.fillna(0)\n",
    "    df_ind=df_ind.fillna(0)\n",
    "    \n",
    "    # DSRI =（ 本期 应收账款 / 营业收入 ）/（ 上期 应收账款 / 营业收入 ）\n",
    "    accounts_receiv=df_balance['accounts_receiv'].astype('float').values\n",
    "    revenue=df_income['revenue'].astype('float').values\n",
    "    DSRI=(accounts_receiv[0]/revenue[0])/(accounts_receiv[1]/revenue[1])\n",
    "    print(\"DSRI=\"+str(DSRI))\n",
    "    \n",
    "    # GMI = 上期 毛利率 ％ / 本期 毛利率 ％\n",
    "    grossprofit_margin=df_ind['grossprofit_margin'].astype('float').values\n",
    "    GMI=grossprofit_margin[0]/grossprofit_margin[1]\n",
    "    print(\"GMI=\"+str(GMI))\n",
    "    \n",
    "    # AQI = 本期 资产质量比率 / 上期 资产质量比率\n",
    "    # 资产质量比率 = 1 -（ 流动资产合计 + 固定资产、无形资产和其他长期资产净额 ）/ 资产总计\n",
    "    total_cur_assets=df_balance['total_cur_assets'].astype('float').values\n",
    "    fix_assets=df_balance['fix_assets'].astype('float').values\n",
    "    intan_assets=df_balance['intan_assets'].astype('float').values\n",
    "    oth_nca=df_balance['oth_nca'].astype('float').values\n",
    "    total_assets=df_balance['total_assets'].astype('float').values\n",
    "    AQ0=1-(total_cur_assets[0]+fix_assets[0]+intan_assets[0]+oth_nca[0])/total_assets[0]\n",
    "    AQ1=1-(total_cur_assets[1]+fix_assets[1]+intan_assets[1]+oth_nca[1])/total_assets[1]\n",
    "    AQI=AQ0/AQ1\n",
    "    if math.isnan(AQI):\n",
    "        AQI=1\n",
    "    print(\"AQI=\"+str(AQI))\n",
    "    \n",
    "    # SGI = 本期 营业收入 / 上期 营业收入\n",
    "    SGI=revenue[0]/revenue[1]\n",
    "    print(\"SGI=\"+str(SGI))\n",
    "    \n",
    "    # DEPI = 上期 折旧率 / 本期 折旧率\n",
    "    # 折旧率 = 折旧、损耗和摊销 /（ 折旧、损耗和摊销 + 固定资产、无形资产和其他长期资产净额 ）\n",
    "    depr_fa_coga_dpba=df_cashflow['depr_fa_coga_dpba'].astype('float').values\n",
    "    DEP0=depr_fa_coga_dpba[0]/(depr_fa_coga_dpba[0]+total_cur_assets[0]+fix_assets[0]+intan_assets[0]+oth_nca[0])\n",
    "    DEP1=depr_fa_coga_dpba[1]/(depr_fa_coga_dpba[1]+total_cur_assets[1]+fix_assets[1]+intan_assets[1]+oth_nca[1])\n",
    "    DEPI=DEP0/DEP1\n",
    "    print(\"DEPI=\"+str(DEPI))\n",
    "    \n",
    "    # SGAI =（ 本期 销售及行政开支 / 营业收入 ）/（ 上期 销售及行政开支 / 营业收入 ）\n",
    "    sell_exp=df_income['sell_exp'].astype('float').values\n",
    "    admin_exp=df_income['admin_exp'].astype('float').values\n",
    "    fin_exp=df_income['fin_exp'].astype('float').values\n",
    "    SGA0=(sell_exp[0]+admin_exp[0]+fin_exp[0])/revenue[0]\n",
    "    SGA1=(sell_exp[1]+admin_exp[1]+fin_exp[1])/revenue[1]\n",
    "    SGAI=SGA0/SGA1\n",
    "    print(\"SGAI=\"+str(SGAI))\n",
    "    \n",
    "    #LVGI = 本期 资产负债率 / 上期 资产负债率\n",
    "    #资产负债率 =（ 长期借款和资本化租赁债务 + 流动负债合计 ）/ 资产总计\n",
    "    debt_to_assets=df_ind['debt_to_assets'].astype('float').values\n",
    "    LVGI=debt_to_assets[0]/debt_to_assets[1]\n",
    "    print(\"LVGI=\"+str(LVGI))\n",
    "    \n",
    "    #TATA =（ 归属于母公司股东的净利润 - 非营业利润 - 经营活动产生的现金流量净额 ）/ 资产总计\n",
    "    profit_dedt=df_ind['profit_dedt'].astype('float').values[0]\n",
    "    n_cashflow_act=df_cashflow['n_cashflow_act'].astype('float').values[0]\n",
    "    TATA=(profit_dedt-n_cashflow_act)/total_assets[0]\n",
    "    print(\"TATA=\"+str(TATA))\n",
    "    \n",
    "    MScore=-4.840+0.920*DSRI+0.528*GMI+0.404*AQI+0.892*SGI+0.115*DEPI-0.172*SGAI -0.327*LVGI+4.697*TATA\n",
    "    print(\"MScore=\"+str(MScore))\n",
    "    \n",
    "    if(MScore>-1.78):\n",
    "         print(ts_code+'财务造假嫌疑高')\n",
    "    else:\n",
    "         print(ts_code+'财务造假嫌疑低')\n",
    "mscore('002624.SZ') #完美世界\n",
    "mscore('300029.SZ') #ST天龙"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "90fefae5",
   "metadata": {},
   "outputs": [],
   "source": []
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