Merge pull request #1535 from yutiansut/master

fix bug for beta/ sharpe && update to 1.9.23
yutiansut · May 16, 2020 · e7ac07d · e7ac07d
2 parents 0cf5fb3 + 63010da
commit e7ac07d
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Showing 3 changed files with 8 additions and 6 deletions.
diff --git a/QUANTAXIS/QAARP/QARisk.py b/QUANTAXIS/QAARP/QARisk.py
@@ -409,9 +409,11 @@ def beta(self):
         beta比率 组合的系统性风险
         """
         try:
-            res = round(float(self.calc_beta(self.profit_pct.dropna(),
-                        self.benchmark_profitpct.dropna())),
-                2)
+            # res = round(float(self.calc_beta(self.profit_pct.dropna(),
+            #             self.benchmark_profitpct.dropna())),
+            #     2)
+
+            res = round(float(self.calc_beta(self.assets.pct_change().dropna().values, self.benchmark_assets.pct_change().dropna().values)),2)
         except:
             print('贝塔计算错误。。')
             res = 0
@@ -468,7 +470,7 @@ def calc_annualize_return(self, assets, days):
 
     def calc_profitpctchange(self, assets):
         #return assets[::-1].pct_change()[::-1]
-        return assets.diff().pct_change()
+        return assets.pct_change().fillna(1)
 
     def calc_beta(self, assest_profit, benchmark_profit):
 

diff --git a/QUANTAXIS/QAFetch/QAQuery_Advance.py b/QUANTAXIS/QAFetch/QAQuery_Advance.py
@@ -519,7 +519,7 @@ def QA_fetch_future_day_adv(
     end=None,
     if_drop_index=True,
                                    # 🛠 todo collections 参数没有用到， 且数据库是固定的， 这个变量后期去掉
-    collections=DATABASE.index_day
+    collections=DATABASE.future_day
 ):
     '''
     :param code: code:  字符串str eg 600085

diff --git a/QUANTAXIS/__init__.py b/QUANTAXIS/__init__.py
@@ -31,7 +31,7 @@
 2017/4/8
 """
 
-__version__ = '1.9.20'
+__version__ = '1.9.23'
 __author__ = 'yutiansut'
 
 import argparse