实战：价值投资筛选与异常值排查

import requests

BASE = "https://api.ashareapi.com/v1"
H = {"Authorization": "Bearer ct-你的Key"}

EXPR = ("intersect([PE_TTM > 0, PE_TTM < 20, ROETTM > 15, "
        "DebtAssetsRatio < 60, NetOperateCashFlowTTM > 0])")

r = requests.get(f"{BASE}/screen",
                 params={"expr": EXPR, "orderby": "ROETTM", "desc": "1", "limit": 10},
                 headers=H, timeout=40)
body = r.json()
assert body["ok"], body

rows = body["structured"]
print("命中 %d 只（最多返回 limit 条）" % len(rows))
for i, row in enumerate(rows, 1):
    print("%2d. %s %-8s PE=%-7s ROE=%-10s 负债=%-8s"
          % (i, row["code"], row["name"], row["PE_TTM"],
             row["ROETTM"], row.get("DebtAssetsRatio", "-")))

CODE = "sz000656"

r = requests.get(f"{BASE}/finance", params={"code": CODE, "limit": 1}, headers=H, timeout=40)
tables = r.json()["data"]                 # [利润表, 资产负债表, 现金流]
income, balance = tables[0][0], tables[1][0]

print("=== 第二步：ROE 多口径对比 ===")
for k in ("ROE", "ROETTM", "ROEWeighted", "ROECut"):
    print("  %-14s %s" % (k, income.get(k)))

print("=== 第三步：当期 vs TTM ===")
print("  当期归母净利   ", income.get("NPParentCompanyOwners"))
print("  归母净利 TTM   ", income.get("NPParentCompanyOwnersTTM"))

print("=== 第四步：交叉验证 ===")
print("  扣非归母净利   ", income.get("NPDeductNonRecurringPL"))
print("  产权比率       ", balance.get("DebtEquityRatio"))
print("  股东权益       ", balance.get("TotalShareholderEquity"))
print("  总负债         ", balance.get("TotalLiability"))

def check_factor_health(code: str) -> list:
    # 返回风险提示列表；空列表 = 未发现明显异常
    r = requests.get(f"{BASE}/finance", params={"code": code, "limit": 1},
                     headers=H, timeout=40)
    tables = r.json()["data"]
    income, balance = tables[0][0], tables[1][0]
    flags = []

    def f(d, k):
        try:
            return float(d.get(k) or 0)
        except (TypeError, ValueError):
            return 0.0

    # ① 扣非为负 -> 利润可能来自非经常性损益
    if f(income, "ROECut") < 0:
        flags.append("扣非 ROE 为负（利润或含非经常性损益）")

    # ② 多口径 ROE 量级不一致 -> 其中某个口径失真
    roe, roettm = f(income, "ROE"), f(income, "ROETTM")
    if roettm and roe and (abs(roettm) > abs(roe) * 10 or abs(roe) > abs(roettm) * 10):
        flags.append("ROE(%.2f) 与 ROETTM(%.2f) 量级不一致" % (roe, roettm))

    # ③ TTM 与当期净利脱节
    cur, ttm = f(income, "NPParentCompanyOwners"), f(income, "NPParentCompanyOwnersTTM")
    if cur > 0 and ttm and (ttm > cur * 10 or cur > ttm * 10):
        flags.append("当期净利(%.2f) 与 TTM(%.2f) 脱节" % (cur, ttm))

    # ④ 高杠杆
    if f(balance, "DebtAssetsRatio") > 70:
        flags.append("资产负债率 %.1f%%（偏高）" % f(balance, "DebtAssetsRatio"))

    return flags


for row in body["structured"][:10]:
    flags = check_factor_health(row["code"])
    mark = " ".join(flags) if flags else "OK"
    print("%s %-8s %s" % (row["code"], row["name"], mark))

sz000656 金科股份  ROE(0.44) 与 ROETTM(883.05) 量级不一致 | 扣非 ROE 为负（利润或含非经常性损益） | 当期净利(0.19) 与 TTM(368.66) 脱节 | 资产负债率 200.7%（偏高）
sz300972 万辰集团  OK
sh600132 重庆啤酒  OK
sh688331 荣昌生物  OK
sz001309 德明利    OK