85 lines
2.8 KiB
Python
85 lines
2.8 KiB
Python
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"""
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Super Quality strategy implementation.
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"""
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from datetime import date
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from decimal import Decimal
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from app.services.strategy.base import BaseStrategy
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from app.schemas.strategy import StockFactor, StrategyResult, UniverseFilter
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class QualityStrategy(BaseStrategy):
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"""Super Quality strategy using F-Score and quality factors."""
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strategy_name = "quality"
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def run(
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self,
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universe_filter: UniverseFilter,
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top_n: int,
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base_date: date = None,
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min_fscore: int = 7,
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) -> StrategyResult:
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if base_date is None:
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base_date = date.today()
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# Get universe
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stocks = self.get_universe(universe_filter)
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tickers = [s.ticker for s in stocks]
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stock_map = {s.ticker: s for s in stocks}
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if not tickers:
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return StrategyResult(
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strategy_name=self.strategy_name,
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base_date=base_date,
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universe_count=0,
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result_count=0,
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stocks=[],
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)
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# Get data
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valuations = self.factor_calc.get_valuations(tickers, base_date)
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sectors = self.factor_calc.get_sectors(tickers)
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fscores = self.factor_calc.calculate_fscore(tickers)
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quality_scores = self.factor_calc.calculate_quality_scores(tickers, base_date)
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# Filter by F-Score
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qualified_tickers = [t for t in tickers if fscores.get(t, 0) >= min_fscore]
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# Build results
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results = []
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for ticker in qualified_tickers:
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stock = stock_map[ticker]
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val = valuations.get(ticker)
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q_score = quality_scores.get(ticker, Decimal("0"))
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fscore = fscores.get(ticker, 0)
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results.append(StockFactor(
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ticker=ticker,
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name=stock.name,
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market=stock.market,
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sector_name=sectors.get(ticker),
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market_cap=int(stock.market_cap / 100_000_000) if stock.market_cap else None,
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close_price=Decimal(str(stock.close_price)) if stock.close_price else None,
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per=Decimal(str(val.per)) if val and val.per else None,
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pbr=Decimal(str(val.pbr)) if val and val.pbr else None,
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dividend_yield=Decimal(str(val.dividend_yield)) if val and val.dividend_yield else None,
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quality_score=q_score,
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total_score=q_score,
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fscore=fscore,
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))
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# Sort by quality score
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results.sort(key=lambda x: x.total_score or Decimal("0"), reverse=True)
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for i, r in enumerate(results[:top_n], 1):
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r.rank = i
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return StrategyResult(
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strategy_name=self.strategy_name,
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base_date=base_date,
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universe_count=len(stocks),
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result_count=min(top_n, len(results)),
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stocks=results[:top_n],
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)
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