【量化分析(十七)】防禦型股票填權息探討.ipynb

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          "text": [
            "--2022-03-22 03:18:10--  https://noto-website-2.storage.googleapis.com/pkgs/NotoSansCJKtc-hinted.zip\n",
            "Resolving noto-website-2.storage.googleapis.com (noto-website-2.storage.googleapis.com)... 108.177.125.128, 2404:6800:4008:c01::80\n",
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            "Saving to: ‘NotoSansCJKtc-hinted.zip’\n",
            "\n",
            "NotoSansCJKtc-hinte 100%[===================>] 115.63M   154MB/s    in 0.7s    \n",
            "\n",
            "2022-03-22 03:18:11 (154 MB/s) - ‘NotoSansCJKtc-hinted.zip’ saved [121247366/121247366]\n",
            "\n",
            "Archive:  NotoSansCJKtc-hinted.zip\n",
            "  inflating: /tmp/fonts/LICENSE_OFL.txt  \n",
            "  inflating: /tmp/fonts/NotoSansCJKtc-Black.otf  \n",
            "  inflating: /tmp/fonts/NotoSansCJKtc-Bold.otf  \n",
            "  inflating: /tmp/fonts/NotoSansCJKtc-DemiLight.otf  \n",
            "  inflating: /tmp/fonts/NotoSansCJKtc-Light.otf  \n",
            "  inflating: /tmp/fonts/NotoSansCJKtc-Medium.otf  \n",
            "  inflating: /tmp/fonts/NotoSansCJKtc-Regular.otf  \n",
            "  inflating: /tmp/fonts/NotoSansCJKtc-Thin.otf  \n",
            "  inflating: /tmp/fonts/NotoSansMonoCJKtc-Bold.otf  \n",
            "  inflating: /tmp/fonts/NotoSansMonoCJKtc-Regular.otf  \n",
            "  inflating: /tmp/fonts/README       \n"
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        "!wget 'https://noto-website-2.storage.googleapis.com/pkgs/NotoSansCJKtc-hinted.zip'\n",
        "!mkdir /tmp/fonts\n",
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        "!rm -rf /tmp/fonts\n",
        "!rm NotoSansCJKtc-hinted.zip\n",
        "import matplotlib.font_manager as font_manager\n",
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        "\n",
        "plt.rcParams['font.family'] = \"Noto Sans Mono CJK TC\""
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        "import pandas as pd\n",
        "import numpy as np\n",
        "import matplotlib.pyplot as plt \n",
        "import seaborn as sns\n",
        "import tejapi"
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            "Requirement already satisfied: tejapi in /usr/local/lib/python3.7/dist-packages (0.1.22)\n",
            "Requirement already satisfied: inflection>=0.3.1 in /usr/local/lib/python3.7/dist-packages (from tejapi) (0.5.1)\n",
            "Requirement already satisfied: requests>=2.7.0 in /usr/local/lib/python3.7/dist-packages (from tejapi) (2.23.0)\n",
            "Requirement already satisfied: numpy>=1.8 in /usr/local/lib/python3.7/dist-packages (from tejapi) (1.21.5)\n",
            "Requirement already satisfied: pandas>=0.18.1 in /usr/local/lib/python3.7/dist-packages (from tejapi) (1.3.5)\n",
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            "Requirement already satisfied: more-itertools in /usr/local/lib/python3.7/dist-packages (from tejapi) (8.12.0)\n",
            "Requirement already satisfied: pytz>=2017.3 in /usr/local/lib/python3.7/dist-packages (from pandas>=0.18.1->tejapi) (2018.9)\n",
            "Requirement already satisfied: certifi>=2017.4.17 in /usr/local/lib/python3.7/dist-packages (from requests>=2.7.0->tejapi) (2021.10.8)\n",
            "Requirement already satisfied: idna<3,>=2.5 in /usr/local/lib/python3.7/dist-packages (from requests>=2.7.0->tejapi) (2.10)\n",
            "Requirement already satisfied: urllib3!=1.25.0,!=1.25.1,<1.26,>=1.21.1 in /usr/local/lib/python3.7/dist-packages (from requests>=2.7.0->tejapi) (1.24.3)\n",
            "Requirement already satisfied: chardet<4,>=3.0.2 in /usr/local/lib/python3.7/dist-packages (from requests>=2.7.0->tejapi) (3.0.4)\n"
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        "\n",
        "data=tejapi.get('TWN/EWNPRCSTD' ,chinese_column_name=True )\n",
        "select=data[\"上市別\"].unique()\n",
        "select=select[1:3]\n",
        "condition =(data[\"上市別\"].isin(select)) & ( data[\"證券種類名稱\"]==\"普通股\" )\n",
        "data=data[condition]\n",
        "twid=data[\"證券碼\"].to_list()"
      ],
      "metadata": {
        "id": "078LX46pp2k-"
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      "execution_count": 11,
      "outputs": []
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      "source": [
        "year='2017'\n",
        "start= year+'-01-01'\n",
        "end  = year+\"-12-31\"\n",
        "dividend=tejapi.get('TWN/AREINT' ,\n",
        "                  coid=twid,\n",
        "            mdate={'gt':start,'lt':end},\n",
        "            paginate=True,\n",
        "            chinese_column_name=True)\n",
        "dividend.set_index(\"證券碼\",inplace=True)"
      ],
      "metadata": {
        "id": "omDZALPNp4ws"
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      "execution_count": 80,
      "outputs": []
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        "dividend.head()"
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              "       證券碼       除權息日      股東會日期       分配年度  市場別 除權息類別  現金股息_每股元  股票股利_每股元  \\\n",
              "None                                                                         \n",
              "0     1101 2017-07-25 2017-06-28 2016-01-01  TSE    除息      1.45       0.0   \n",
              "1     1102 2017-08-30 2017-06-27 2016-01-01  TSE    除息      0.90       0.0   \n",
              "2     1103 2017-08-24 2017-06-19 2016-01-01  TSE    除息      0.20       0.0   \n",
              "3     1104 2017-07-14 2017-06-14 2016-01-01  TSE  除權除息      1.20       0.3   \n",
              "4     1108 2017-07-26 2017-06-07 2016-01-01  TSE    除息      0.60       0.0   \n",
              "\n",
              "      除權息前收盤價  除息前指數收盤價  ...       填權息日  填權息日最高價  填權息日收盤價  填權息天數 除權息日前一週報酬率  \\\n",
              "None                     ...                                                  \n",
              "0       36.00  10461.28  ... 2017-12-25    36.25    36.15    108     2.1337   \n",
              "1       27.40  10496.57  ... 2017-09-01    27.60    27.45      3     0.9258   \n",
              "2       10.90  10406.81  ... 2017-08-24    11.00    10.95      1    -1.4019   \n",
              "3       25.15  10460.15  ...        NaT      NaN      NaN      0    -0.7969   \n",
              "4        9.54  10463.15  ...        NaT      NaN      NaN      0     0.9574   \n",
              "\n",
              "      除權息日後一週報酬率    現金股利發放日    股票股利發放日  填權息日_收盤價註記  填權息(Y/N)  \n",
              "None                                                          \n",
              "0         1.3025 2017-08-25        NaT          HC         Y  \n",
              "1         3.5344 2017-09-27        NaT          HC         Y  \n",
              "2        12.1026 2017-09-15        NaT          HC         Y  \n",
              "3        -1.0851 2017-08-18 2017-08-18                     N  \n",
              "4        -0.6219 2017-08-15        NaT                     N  \n",
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              "        const buttonEl =\n",
              "          document.querySelector('#df-c52b6ae5-cb8c-449e-b800-ba5ea9449579 button.colab-df-convert');\n",
              "        buttonEl.style.display =\n",
              "          google.colab.kernel.accessAllowed ? 'block' : 'none';\n",
              "\n",
              "        async function convertToInteractive(key) {\n",
              "          const element = document.querySelector('#df-c52b6ae5-cb8c-449e-b800-ba5ea9449579');\n",
              "          const dataTable =\n",
              "            await google.colab.kernel.invokeFunction('convertToInteractive',\n",
              "                                                     [key], {});\n",
              "          if (!dataTable) return;\n",
              "\n",
              "          const docLinkHtml = 'Like what you see? Visit the ' +\n",
              "            '<a target=\"_blank\" href=https://colab.research.google.com/notebooks/data_table.ipynb>data table notebook</a>'\n",
              "            + ' to learn more about interactive tables.';\n",
              "          element.innerHTML = '';\n",
              "          dataTable['output_type'] = 'display_data';\n",
              "          await google.colab.output.renderOutput(dataTable, element);\n",
              "          const docLink = document.createElement('div');\n",
              "          docLink.innerHTML = docLinkHtml;\n",
              "          element.appendChild(docLink);\n",
              "        }\n",
              "      </script>\n",
              "    </div>\n",
              "  </div>\n",
              "  "
            ]
          },
          "metadata": {},
          "execution_count": 14
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "start= year+'-05-09'\n",
        "end=   year+\"-05-11\"\n",
        "opts={'columns': ['coid','mdate', 'beta_1y']}\n",
        "beta = tejapi.get('TWN/ABETA',\n",
        "                  coid=twid,\n",
        "            mdate={'gt':start,'lt':end},\n",
        "             opts=opts,\n",
        "            paginate=True,\n",
        "            chinese_column_name=True\n",
        ")\n",
        "beta.set_index(\"證券代碼\",inplace=True) #方便合併"
      ],
      "metadata": {
        "id": "BZe5Zm1MsX0e"
      },
      "execution_count": 17,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "beta.head()"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 237
        },
        "id": "XEKIzFMYsave",
        "outputId": "d57a625b-166d-4a6c-a96b-d267aa48c9b4"
      },
      "execution_count": 18,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "             日期  CAPM_Beta 一年\n",
              "證券代碼                         \n",
              "1101 2017-05-10        1.1461\n",
              "1102 2017-05-10        1.1382\n",
              "1103 2017-05-10        0.5984\n",
              "1104 2017-05-10        0.5603\n",
              "1108 2017-05-10        0.2470"
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              "      <th>1101</th>\n",
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              "    <tr>\n",
              "      <th>1102</th>\n",
              "      <td>2017-05-10</td>\n",
              "      <td>1.1382</td>\n",
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              "    <tr>\n",
              "      <th>1103</th>\n",
              "      <td>2017-05-10</td>\n",
              "      <td>0.5984</td>\n",
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              "      <td>2017-05-10</td>\n",
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              "            await google.colab.kernel.invokeFunction('convertToInteractive',\n",
              "                                                     [key], {});\n",
              "          if (!dataTable) return;\n",
              "\n",
              "          const docLinkHtml = 'Like what you see? Visit the ' +\n",
              "            '<a target=\"_blank\" href=https://colab.research.google.com/notebooks/data_table.ipynb>data table notebook</a>'\n",
              "            + ' to learn more about interactive tables.';\n",
              "          element.innerHTML = '';\n",
              "          dataTable['output_type'] = 'display_data';\n",
              "          await google.colab.output.renderOutput(dataTable, element);\n",
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              "  "
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          "metadata": {},
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    {
      "cell_type": "code",
      "source": [
        "start= year+'-05-9'\n",
        "end=   year+\"-05-11\"\n",
        "getperatio=tejapi.get('TWN/APRCD' ,\n",
        "                  coid=twid,\n",
        "                  mdate={'gt':start,'lt':end},\n",
        "                  paginate=True,\n",
        "                  chinese_column_name=True )\n",
        "getperatio.set_index(\"證券代碼\",inplace=True)"
      ],
      "metadata": {
        "id": "oRjEiCoit__5"
      },
      "execution_count": 19,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "getperatio.head()"
      ],
      "metadata": {
        "colab": {
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          "height": 449
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        "id": "pWp6_DL6uBxO",
        "outputId": "b443e0f3-faa5-46ed-f3d4-5040d7bb9000"
      },
      "execution_count": 21,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "            年月日  開盤價(元)  最高價(元)  最低價(元)  收盤價(元)   成交量(千股)     成交值(千元)    報酬率％  \\\n",
              "證券代碼                                                                            \n",
              "1101 2017-05-10   34.65   34.75   34.50   34.75  3403.788  117819.026  0.2886   \n",
              "1102 2017-05-10   28.70   29.15   28.70   28.90  1689.301   48835.807  0.6969   \n",
              "1103 2017-05-10   10.35   10.50   10.30   10.35   325.728    3381.795  0.0000   \n",
              "1104 2017-05-10   25.80   26.00   25.80   25.85    71.168    1841.327 -0.1931   \n",
              "1108 2017-05-10    9.55    9.63    9.55    9.63   162.277    1552.246  0.6270   \n",
              "\n",
              "        週轉率％  流通在外股數(千股)  ...  現金股利率  股價漲跌(元)   高低價差%  次日開盤參考價  次日漲停價  次日跌停價  \\\n",
              "證券代碼                      ...                                                  \n",
              "1101  0.0922     3692176  ...   4.17     0.10  0.7215    34.75  38.20  31.30   \n",
              "1102  0.0502     3361447  ...   3.11     0.20  1.5679    28.90  31.75  26.05   \n",
              "1103  0.0419      774781  ...   0.97     0.00  1.9324    10.35  11.35   9.32   \n",
              "1104  0.0112      634572  ...   4.64    -0.05  0.7722    25.85  28.40  23.30   \n",
              "1108  0.0400      404738  ...   6.23     0.06  0.8359     9.63  10.55   8.67   \n",
              "\n",
              "      注意股票(A)  處置股票(D)  全額交割(Y)  市場別  \n",
              "證券代碼                                  \n",
              "1101                             TSE  \n",
              "1102                             TSE  \n",
              "1103                             TSE  \n",
              "1104                             TSE  \n",
              "1108                             TSE  \n",
              "\n",
              "[5 rows x 34 columns]"
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              "      <td>2017-05-10</td>\n",
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              "      <td>1689.301</td>\n",
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              "      <th>1103</th>\n",
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              "\n",
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              "                                                     [key], {});\n",
              "          if (!dataTable) return;\n",
              "\n",
              "          const docLinkHtml = 'Like what you see? Visit the ' +\n",
              "            '<a target=\"_blank\" href=https://colab.research.google.com/notebooks/data_table.ipynb>data table notebook</a>'\n",
              "            + ' to learn more about interactive tables.';\n",
              "          element.innerHTML = '';\n",
              "          dataTable['output_type'] = 'display_data';\n",
              "          await google.colab.output.renderOutput(dataTable, element);\n",
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              "    </div>\n",
              "  </div>\n",
              "  "
            ]
          },
          "metadata": {},
          "execution_count": 21
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "twid1=twid \n",
        "groups = []\n",
        "while True:\n",
        "    if len(twid1) >= 50:\n",
        "        groups.append(twid1[:50])\n",
        "        twid1 = twid1[50:]\n",
        "    elif 0 <= len(twid1) < 50:\n",
        "        groups.append(twid1)\n",
        "        break\n"
      ],
      "metadata": {
        "id": "JFBSJ5zbuuQu"
      },
      "execution_count": 24,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "\n",
        "fin_data = pd.DataFrame()\n",
        "\n",
        "start=year+'-01-01'\n",
        "end=  year+\"-03-22\"\n",
        "for group in groups:\n",
        "    fin_data = fin_data.append(tejapi.get('TWN/EWIFINQ',\n",
        "                  coid = group,\n",
        "                  mdate={'gt':start,'lt':end},\n",
        "                 \n",
        "                  chinese_column_name = True,\n",
        "                  paginate = True)).reset_index(drop=True)\n",
        "\n",
        "\n",
        "fin_data.set_index(\"證券碼\",inplace=True)"
      ],
      "metadata": {
        "id": "Jl2Ic4Yzu2_X"
      },
      "execution_count": 26,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "fin_data.head()"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 553
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        "id": "QVbq_hEZvNUC",
        "outputId": "1a147141-20e4-4f7f-efcf-469daad399f0"
      },
      "execution_count": 27,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "          財務資料日 季別 合併(Y/N) 單季(Q)/單半年(H)  月份   幣別      財報發布日  ROA(C) 稅前息前折舊前  \\\n",
              "證券碼                                                                           \n",
              "1101 2017-03-01  1       Y            Q  03  NTD 2017-05-15            5.92   \n",
              "1102 2017-03-01  1       Y            Q  03  NTD 2017-05-15            3.04   \n",
              "1103 2017-03-01  1       Y            Q  03  NTD 2017-05-15            0.32   \n",
              "1104 2017-03-01  1       Y            Q  03  NTD 2017-05-15            6.20   \n",
              "1108 2017-03-01  1       Y            Q  03  NTD 2017-05-15            5.28   \n",
              "\n",
              "      ROE(A)-稅後  營業毛利率  ...  歸屬母公司淨利（損）  每股盈餘  普通股每股現金股利（盈餘及公積）  普通股每股股票股利－盈餘  \\\n",
              "證券碼                     ...                                                     \n",
              "1101       3.16  14.16  ...    832244.0  0.92              None          None   \n",
              "1102       0.40   7.19  ...    236681.0  0.32              None          None   \n",
              "1103      -2.64  22.15  ...   -111320.0 -0.68              None          None   \n",
              "1104       6.80  12.63  ...    283869.0  1.80              None          None   \n",
              "1108       1.56   9.03  ...     18766.0  0.20              None          None   \n",
              "\n",
              "      普通股每股股票股利－公積     折舊－CFO   攤提－CFO  來自營運之現金流量  投資活動之現金流量  籌資活動之現金流量  \n",
              "證券碼                                                                      \n",
              "1101          None  1530197.0  96971.0  1408140.0   306706.0 -3768585.0  \n",
              "1102          None  1218619.0  50727.0  -282365.0 -5983834.0  8780653.0  \n",
              "1103          None    91393.0      0.0   411500.0  -426352.0  -889892.0  \n",
              "1104          None    24219.0    433.0    15565.0  -111139.0   201117.0  \n",
              "1108          None    68523.0   2464.0   -10179.0    56463.0   -79592.0  \n",
              "\n",
              "[5 rows x 65 columns]"
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              "      <th>1101</th>\n",
              "      <td>2017-03-01</td>\n",
              "      <td>1</td>\n",
              "      <td>Y</td>\n",
              "      <td>Q</td>\n",
              "      <td>03</td>\n",
              "      <td>NTD</td>\n",
              "      <td>2017-05-15</td>\n",
              "      <td>5.92</td>\n",
              "      <td>3.16</td>\n",
              "      <td>14.16</td>\n",
              "      <td>...</td>\n",
              "      <td>832244.0</td>\n",
              "      <td>0.92</td>\n",
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              "      <td>None</td>\n",
              "      <td>1530197.0</td>\n",
              "      <td>96971.0</td>\n",
              "      <td>1408140.0</td>\n",
              "      <td>306706.0</td>\n",
              "      <td>-3768585.0</td>\n",
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              "      <th>1102</th>\n",
              "      <td>2017-03-01</td>\n",
              "      <td>1</td>\n",
              "      <td>Y</td>\n",
              "      <td>Q</td>\n",
              "      <td>03</td>\n",
              "      <td>NTD</td>\n",
              "      <td>2017-05-15</td>\n",
              "      <td>3.04</td>\n",
              "      <td>0.40</td>\n",
              "      <td>7.19</td>\n",
              "      <td>...</td>\n",
              "      <td>236681.0</td>\n",
              "      <td>0.32</td>\n",
              "      <td>None</td>\n",
              "      <td>None</td>\n",
              "      <td>None</td>\n",
              "      <td>1218619.0</td>\n",
              "      <td>50727.0</td>\n",
              "      <td>-282365.0</td>\n",
              "      <td>-5983834.0</td>\n",
              "      <td>8780653.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1103</th>\n",
              "      <td>2017-03-01</td>\n",
              "      <td>1</td>\n",
              "      <td>Y</td>\n",
              "      <td>Q</td>\n",
              "      <td>03</td>\n",
              "      <td>NTD</td>\n",
              "      <td>2017-05-15</td>\n",
              "      <td>0.32</td>\n",
              "      <td>-2.64</td>\n",
              "      <td>22.15</td>\n",
              "      <td>...</td>\n",
              "      <td>-111320.0</td>\n",
              "      <td>-0.68</td>\n",
              "      <td>None</td>\n",
              "      <td>None</td>\n",
              "      <td>None</td>\n",
              "      <td>91393.0</td>\n",
              "      <td>0.0</td>\n",
              "      <td>411500.0</td>\n",
              "      <td>-426352.0</td>\n",
              "      <td>-889892.0</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1104</th>\n",
              "      <td>2017-03-01</td>\n",
              "      <td>1</td>\n",
              "      <td>Y</td>\n",
              "      <td>Q</td>\n",
              "      <td>03</td>\n",
              "      <td>NTD</td>\n",
              "      <td>2017-05-15</td>\n",
              "      <td>6.20</td>\n",
              "      <td>6.80</td>\n",
              "      <td>12.63</td>\n",
              "      <td>...</td>\n",
              "      <td>283869.0</td>\n",
              "      <td>1.80</td>\n",
              "      <td>None</td>\n",
              "      <td>None</td>\n",
              "      <td>None</td>\n",
              "      <td>24219.0</td>\n",
              "      <td>433.0</td>\n",
              "      <td>15565.0</td>\n",
              "      <td>-111139.0</td>\n",
              "      <td>201117.0</td>\n",
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              "    <tr>\n",
              "      <th>1108</th>\n",
              "      <td>2017-03-01</td>\n",
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              "      <td>Y</td>\n",
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              "      <td>2017-05-15</td>\n",
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              "      <td>1.56</td>\n",
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              "      <td>2464.0</td>\n",
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              "      <td>-79592.0</td>\n",
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              "                                                     [key], {});\n",
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              "\n",
              "          const docLinkHtml = 'Like what you see? Visit the ' +\n",
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          },
          "metadata": {},
          "execution_count": 27
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "opts={'columns': ['coid','mdate','d0007']}\n",
        "\n",
        "start=year+'-04-30'\n",
        "end=year+\"-05-15\"\n",
        "trade=tejapi.get('TWN/ASALE' ,\n",
        "            coid=twid,\n",
        "            mdate={'gt':start,'lt':end},\n",
        "            opts=opts,\n",
        "            paginate=True,\n",
        "            chinese_column_name=True)   \n",
        "trade.set_index(\"公司\",inplace=True)"
      ],
      "metadata": {
        "id": "H7MfkmFAwNx6"
      },
      "execution_count": 28,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "trade.head()"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 237
        },
        "id": "clVdEQtiwO7y",
        "outputId": "861e9daf-f4c4-475b-951b-60f8958a48d7"
      },
      "execution_count": 29,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "             年月  累計營收成長率%\n",
              "公司                       \n",
              "1101 2017-05-01     15.77\n",
              "1102 2017-05-01     -1.74\n",
              "1103 2017-05-01    -15.59\n",
              "1104 2017-05-01     -5.83\n",
              "1108 2017-05-01    -13.99"
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              "    <tr>\n",
              "      <th>1102</th>\n",
              "      <td>2017-05-01</td>\n",
              "      <td>-1.74</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1103</th>\n",
              "      <td>2017-05-01</td>\n",
              "      <td>-15.59</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1104</th>\n",
              "      <td>2017-05-01</td>\n",
              "      <td>-5.83</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1108</th>\n",
              "      <td>2017-05-01</td>\n",
              "      <td>-13.99</td>\n",
              "    </tr>\n",
              "  </tbody>\n",
              "</table>\n",
              "</div>\n",
              "      <button class=\"colab-df-convert\" onclick=\"convertToInteractive('df-ef14921c-e055-492a-befe-180d39517cf3')\"\n",
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              "\n",
              "        async function convertToInteractive(key) {\n",
              "          const element = document.querySelector('#df-ef14921c-e055-492a-befe-180d39517cf3');\n",
              "          const dataTable =\n",
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              "                                                     [key], {});\n",
              "          if (!dataTable) return;\n",
              "\n",
              "          const docLinkHtml = 'Like what you see? Visit the ' +\n",
              "            '<a target=\"_blank\" href=https://colab.research.google.com/notebooks/data_table.ipynb>data table notebook</a>'\n",
              "            + ' to learn more about interactive tables.';\n",
              "          element.innerHTML = '';\n",
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              "    </div>\n",
              "  </div>\n",
              "  "
            ]
          },
          "metadata": {},
          "execution_count": 29
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "dividend[\"累計營收成長率%\"]=trade[\"累計營收成長率%\"]\n",
        "dividend[\"股利殖利率-TSE\"]=getperatio[\"股利殖利率-TSE\" ]\n",
        "dividend[\"現金股利率\"]=getperatio[\"現金股利率\" ]\n",
        "dividend[\"營業毛利率\"]=fin_data[\"營業毛利率\"]\n",
        "dividend[\"CAPM_Beta 一年\"]=beta['CAPM_Beta 一年']\n",
        "dividend[\"填權息(Y/N)\"]=dividend[\"填權息(Y/N)\"].apply(lambda x : 1 if x == \"Y\" else 0)\n",
        "dividend[\"填權息(Y/N)\"].value_counts() \n",
        "dividend[\"本益比\"]=getperatio[\"本益比-TSE\" ]\n",
        "dividend[\"營業毛利成長率\"]=fin_data[\"營業利益成長率\"]\n"
      ],
      "metadata": {
        "id": "BPGxgE0Pwwf9"
      },
      "execution_count": 81,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "dividend.head()"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/",
          "height": 518
        },
        "id": "AC4_j5-0wyY8",
        "outputId": "9a486eb1-0c07-4960-d81d-3f29bf210228"
      },
      "execution_count": 50,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "           除權息日      股東會日期       分配年度  市場別 除權息類別  現金股息_每股元  股票股利_每股元  除權息前收盤價  \\\n",
              "證券碼                                                                             \n",
              "1101 2017-07-25 2017-06-28 2016-01-01  TSE    除息      1.45       0.0    36.00   \n",
              "1102 2017-08-30 2017-06-27 2016-01-01  TSE    除息      0.90       0.0    27.40   \n",
              "1103 2017-08-24 2017-06-19 2016-01-01  TSE    除息      0.20       0.0    10.90   \n",
              "1104 2017-07-14 2017-06-14 2016-01-01  TSE  除權除息      1.20       0.3    25.15   \n",
              "1108 2017-07-26 2017-06-07 2016-01-01  TSE    除息      0.60       0.0     9.54   \n",
              "\n",
              "      除息前指數收盤價  除息前市值比重  ...    現金股利發放日    股票股利發放日  填權息日_收盤價註記 填權息(Y/N)  \\\n",
              "證券碼                      ...                                              \n",
              "1101  10461.28    0.429  ... 2017-08-25        NaT          HC        1   \n",
              "1102  10496.57    0.297  ... 2017-09-27        NaT          HC        1   \n",
              "1103  10406.81    0.027  ... 2017-09-15        NaT          HC        1   \n",
              "1104  10460.15    0.051  ... 2017-08-18 2017-08-18                    0   \n",
              "1108  10463.15    0.012  ... 2017-08-15        NaT                    0   \n",
              "\n",
              "      累計營收成長率%  股利殖利率-TSE  現金股利率  營業毛利率  CAPM_Beta 一年     本益比  \n",
              "證券碼                                                            \n",
              "1101     15.77       4.17   4.17  14.16        1.1461   20.20  \n",
              "1102     -1.74       3.11   3.11   7.19        1.1382   24.70  \n",
              "1103    -15.59       0.97   0.97  22.15        0.5984  258.75  \n",
              "1104     -5.83       5.80   4.64  12.63        0.5603    9.65  \n",
              "1108    -13.99       6.23   6.23   9.03        0.2470   12.35  \n",
              "\n",
              "[5 rows x 29 columns]"
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              "      <th>除息前指數收盤價</th>\n",
              "      <th>除息前市值比重</th>\n",
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              "  <tbody>\n",
              "    <tr>\n",
              "      <th>1101</th>\n",
              "      <td>2017-07-25</td>\n",
              "      <td>2017-06-28</td>\n",
              "      <td>2016-01-01</td>\n",
              "      <td>TSE</td>\n",
              "      <td>除息</td>\n",
              "      <td>1.45</td>\n",
              "      <td>0.0</td>\n",
              "      <td>36.00</td>\n",
              "      <td>10461.28</td>\n",
              "      <td>0.429</td>\n",
              "      <td>...</td>\n",
              "      <td>2017-08-25</td>\n",
              "      <td>NaT</td>\n",
              "      <td>HC</td>\n",
              "      <td>1</td>\n",
              "      <td>15.77</td>\n",
              "      <td>4.17</td>\n",
              "      <td>4.17</td>\n",
              "      <td>14.16</td>\n",
              "      <td>1.1461</td>\n",
              "      <td>20.20</td>\n",
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              "    <tr>\n",
              "      <th>1102</th>\n",
              "      <td>2017-08-30</td>\n",
              "      <td>2017-06-27</td>\n",
              "      <td>2016-01-01</td>\n",
              "      <td>TSE</td>\n",
              "      <td>除息</td>\n",
              "      <td>0.90</td>\n",
              "      <td>0.0</td>\n",
              "      <td>27.40</td>\n",
              "      <td>10496.57</td>\n",
              "      <td>0.297</td>\n",
              "      <td>...</td>\n",
              "      <td>2017-09-27</td>\n",
              "      <td>NaT</td>\n",
              "      <td>HC</td>\n",
              "      <td>1</td>\n",
              "      <td>-1.74</td>\n",
              "      <td>3.11</td>\n",
              "      <td>3.11</td>\n",
              "      <td>7.19</td>\n",
              "      <td>1.1382</td>\n",
              "      <td>24.70</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1103</th>\n",
              "      <td>2017-08-24</td>\n",
              "      <td>2017-06-19</td>\n",
              "      <td>2016-01-01</td>\n",
              "      <td>TSE</td>\n",
              "      <td>除息</td>\n",
              "      <td>0.20</td>\n",
              "      <td>0.0</td>\n",
              "      <td>10.90</td>\n",
              "      <td>10406.81</td>\n",
              "      <td>0.027</td>\n",
              "      <td>...</td>\n",
              "      <td>2017-09-15</td>\n",
              "      <td>NaT</td>\n",
              "      <td>HC</td>\n",
              "      <td>1</td>\n",
              "      <td>-15.59</td>\n",
              "      <td>0.97</td>\n",
              "      <td>0.97</td>\n",
              "      <td>22.15</td>\n",
              "      <td>0.5984</td>\n",
              "      <td>258.75</td>\n",
              "    </tr>\n",
              "    <tr>\n",
              "      <th>1104</th>\n",
              "      <td>2017-07-14</td>\n",
              "      <td>2017-06-14</td>\n",
              "      <td>2016-01-01</td>\n",
              "      <td>TSE</td>\n",
              "      <td>除權除息</td>\n",
              "      <td>1.20</td>\n",
              "      <td>0.3</td>\n",
              "      <td>25.15</td>\n",
              "      <td>10460.15</td>\n",
              "      <td>0.051</td>\n",
              "      <td>...</td>\n",
              "      <td>2017-08-18</td>\n",
              "      <td>2017-08-18</td>\n",
              "      <td></td>\n",
              "      <td>0</td>\n",
              "      <td>-5.83</td>\n",
              "      <td>5.80</td>\n",
              "      <td>4.64</td>\n",
              "      <td>12.63</td>\n",
              "      <td>0.5603</td>\n",
              "      <td>9.65</td>\n",
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              "    <tr>\n",
              "      <th>1108</th>\n",
              "      <td>2017-07-26</td>\n",
              "      <td>2017-06-07</td>\n",
              "      <td>2016-01-01</td>\n",
              "      <td>TSE</td>\n",
              "      <td>除息</td>\n",
              "      <td>0.60</td>\n",
              "      <td>0.0</td>\n",
              "      <td>9.54</td>\n",
              "      <td>10463.15</td>\n",
              "      <td>0.012</td>\n",
              "      <td>...</td>\n",
              "      <td>2017-08-15</td>\n",
              "      <td>NaT</td>\n",
              "      <td></td>\n",
              "      <td>0</td>\n",
              "      <td>-13.99</td>\n",
              "      <td>6.23</td>\n",
              "      <td>6.23</td>\n",
              "      <td>9.03</td>\n",
              "      <td>0.2470</td>\n",
              "      <td>12.35</td>\n",
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              "  </tbody>\n",
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              "<p>5 rows × 29 columns</p>\n",
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              "        async function convertToInteractive(key) {\n",
              "          const element = document.querySelector('#df-1e67f364-1ad0-4a2c-a3aa-59982cdc0e74');\n",
              "          const dataTable =\n",
              "            await google.colab.kernel.invokeFunction('convertToInteractive',\n",
              "                                                     [key], {});\n",
              "          if (!dataTable) return;\n",
              "\n",
              "          const docLinkHtml = 'Like what you see? Visit the ' +\n",
              "            '<a target=\"_blank\" href=https://colab.research.google.com/notebooks/data_table.ipynb>data table notebook</a>'\n",
              "            + ' to learn more about interactive tables.';\n",
              "          element.innerHTML = '';\n",
              "          dataTable['output_type'] = 'display_data';\n",
              "          await google.colab.output.renderOutput(dataTable, element);\n",
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              "  "
            ]
          },
          "metadata": {},
          "execution_count": 50
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "def count(x):\n",
        "    a,b =  x[\"填權息(Y/N)\"].value_counts() \n",
        "    c=x[\"填權息天數\"].mean()\n",
        "    return f'填息機率 : {a/(a+b)}' , f'填息家數 : {a}' ,f'未填息家數 : {b}', f'填息天數 : {c}'\n",
        "    "
      ],
      "metadata": {
        "id": "I_dj5tEc3b8m"
      },
      "execution_count": 65,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "div5=dividend[dividend[\"股利殖利率-TSE\"]>5]\n",
        "\n"
      ],
      "metadata": {
        "id": "vQZASwD53e0B"
      },
      "execution_count": 82,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "count(div5)"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "eGqWMjo63_O1",
        "outputId": "a86d0503-9c83-4491-a8b4-766584c6feae"
      },
      "execution_count": 83,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "('填息機率 : 0.7810526315789473',\n",
              " '填息家數 : 371',\n",
              " '未填息家數 : 104',\n",
              " '填息天數 : 46.14947368421053')"
            ]
          },
          "metadata": {},
          "execution_count": 83
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "def capmselect(df,b,c):\n",
        "    yy=df[(df[\"股利殖利率-TSE\"]>5)&(df[\"CAPM_Beta 一年\"]>b)&(df[\"CAPM_Beta 一年\"] < c)]\n",
        "    return count(yy)\n",
        "def capmpeselect(df,b,c,d ): ########條件增加月營收的\n",
        "    yy=df[(df[\"股利殖利率-TSE\"]>5)&(df[\"CAPM_Beta 一年\"]>b)&(df[\"CAPM_Beta 一年\"] < c)& (df[\"累計營收成長率%\"] > d )]\n",
        "    return count(yy)\n",
        "def ncapmpeselect(df,b,c,d ):#####累計成長負的\n",
        "    yy=df[(df[\"股利殖利率-TSE\"]>5)&(df[\"CAPM_Beta 一年\"]>b)&(df[\"CAPM_Beta 一年\"] < c)& (df[\"累計營收成長率%\"] < d )]\n",
        "    return count(yy)\n",
        "def allcondition(a,c,d,e,f): #累計營收正 毛利率成長正\n",
        "    allcondition=dividend[(dividend[\"股利殖利率-TSE\"]>a)&(dividend[\"CAPM_Beta 一年\"]>c)&(dividend[\"CAPM_Beta 一年\"]<d)&(dividend[\"累計營收成長率%\"]>e)&(dividend[\"營業毛利成長率\"]>f)]\n",
        "    return count(allcondition)\n",
        "def nallcondition(a ,c,d,e,f): #累計營收負 毛利率成長負\n",
        "    allcondition=dividend[(dividend[\"股利殖利率-TSE\"]>a)&(dividend[\"CAPM_Beta 一年\"]>c)&(dividend[\"CAPM_Beta 一年\"]<d)&(dividend[\"累計營收成長率%\"]< e)&(dividend[\"營業毛利成長率\"]<f)]\n",
        "    return count(allcondition)"
      ],
      "metadata": {
        "id": "igdkqZI9AR9A"
      },
      "execution_count": 84,
      "outputs": []
    },
    {
      "cell_type": "code",
      "source": [
        "capmselect(dividend,0.4,0.6) #capm係數 0.4 ~ 0.6\n"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "PPlSa5M4AUda",
        "outputId": "6a9ade0a-a927-478b-d930-cc77790e1467"
      },
      "execution_count": 87,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "('填息機率 : 0.7476635514018691',\n",
              " '填息家數 : 80',\n",
              " '未填息家數 : 27',\n",
              " '填息天數 : 47.5607476635514')"
            ]
          },
          "metadata": {},
          "execution_count": 87
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "capmpeselect(dividend,0.4,0.6,0) #capm係數 0.4 ~ 0.6 累計月營收正\n"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "4CqEWRCjVmFm",
        "outputId": "b2d82c10-bd1c-4575-f777-2d5000fa0be7"
      },
      "execution_count": 88,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "('填息機率 : 0.8431372549019608',\n",
              " '填息家數 : 43',\n",
              " '未填息家數 : 8',\n",
              " '填息天數 : 44.84313725490196')"
            ]
          },
          "metadata": {},
          "execution_count": 88
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "ncapmpeselect(dividend,0.4,0.6,0) #capm係數 0.4 ~ 0.6 累計月營收負\n"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "hN_B9nTDVoIB",
        "outputId": "482158b5-5420-437e-a795-3902f2a4905b"
      },
      "execution_count": 89,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "('填息機率 : 0.6607142857142857',\n",
              " '填息家數 : 37',\n",
              " '未填息家數 : 19',\n",
              " '填息天數 : 50.035714285714285')"
            ]
          },
          "metadata": {},
          "execution_count": 89
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "allcondition(5,0.4,0.6,0,0) #capm係數 0.4 ~ 0.6 累計月營收毛利率正成長\n"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "3IOKXWCyVsbl",
        "outputId": "55159d9d-e85b-4610-c61a-4171678773ac"
      },
      "execution_count": 90,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "('填息機率 : 0.9411764705882353',\n",
              " '填息家數 : 32',\n",
              " '未填息家數 : 2',\n",
              " '填息天數 : 45.088235294117645')"
            ]
          },
          "metadata": {},
          "execution_count": 90
        }
      ]
    },
    {
      "cell_type": "code",
      "source": [
        "nallcondition(5,0.4,0.6,0,0) #capm係數 0.4 ~ 0.6 累計月營收毛利率負成長\n"
      ],
      "metadata": {
        "colab": {
          "base_uri": "https://localhost:8080/"
        },
        "id": "gOap2OeCVsj5",
        "outputId": "95f7e25b-7abf-405c-c946-e39dbaf1f32f"
      },
      "execution_count": 91,
      "outputs": [
        {
          "output_type": "execute_result",
          "data": {
            "text/plain": [
              "('填息機率 : 0.65625', '填息家數 : 21', '未填息家數 : 11', '填息天數 : 54.125')"
            ]
          },
          "metadata": {},
          "execution_count": 91
        }
      ]
    }
  ]
}