import pandas as pd import numpy as npimport matplotlib.pyplot as plt plt.rcParams['font.sans-serif'] = ['SimHei'] # 字體設置 import matplotlib matplotlib.rcParams['axes.unicode_minus']=False # 負號顯示問題from arch.unitroot import ADF # pip install arch import statsmodels.api as sm #導入數據 import tushare as ts #后面自己研究何種股票，何種方式 data1 = ts.get_k_data('002966', '2013-06-01', '2021-12-31')[['date','close']] data2 = ts.get_k_data('600919', '2013-06-01', '2021-12-31')[['date','close']] #建立新的數據 sh = pd.merge(data1,data2,on='date') sh.set_index('date',inplace = True) stocks_pair = ['601988','600000'] sh.columns = stocks_pair sh.head() #計算相關性，這里使用日線級別，計算相關性 sh[['601988','600000']].corr() #計算價差 sh['jc'] = sh['600000']-sh['601988'] sh.head() #計算新的價差數據組 sh = sh['jc'].reset_index() sh.set_index('date',inplace=True) sh.index = pd.to_datetime(sh.index) sh.head() #計算每周收益，百分比 sh['ret'] = sh['jc'].pct_change() #計算每周收益，固定值 sh['ret2'] = sh['jc']-sh['jc'].shift(1) sh['jc'].plot() #設計信號 sh['sig'] = sh['jc'].apply(lambda x:-1 if(x>8) else 0)#價差超過-7，買601988，賣60000 sh['sig2'] = sh['jc'].apply(lambda x:1 if(x<5) else 0)#價差低于-9，賣601988，60000 #未出現信號，則繼續持有 sh[['sig','sig2']].replace(0,np.nan,inplace=True) sh[['sig','sig2']].bfill(inplace=True) #計算每次交易收益 sh['rr'] = (sh['ret2']*sh['sig2']+sh['ret2']*sh['sig2']) #收益畫圖。圖為累計可以獲得的價差累加值收益 sh['lr'] = sh['rr'].cumsum() sh['lr'].plot() #粗略計算收益率,9年獲利0.08 0.66/(2.15+5.815) #轉換為周線級別 period_type = 'W' sh2=pd.DataFrame() #sh2[['收盤價','開盤價','最高價','最低價']] = 0 sh2['收盤價'] = sh['jc'].resample(period_type).last() sh2['開盤價'] = sh['jc'].resample(period_type).first() sh2['最高價'] = sh['jc'].resample(period_type).max() sh2['最低價'] = sh['jc'].resample(period_type).min() sh2.head()#計算每周收益，百分比 sh2['ret'] = sh2['收盤價'].pct_change() #計算每周收益，固定值 sh2['ret2'] = sh2['收盤價']-sh2['收盤價'].shift(1) #設計信號 sh2['sig'] = sh2['收盤價'].apply(lambda x:-1 if(x>8) else 0) sh2['sig2'] = sh2['收盤價'].apply(lambda x:1 if(x<7) else 0)#未出現信號，則繼續持有 sh2[['sig','sig2']].replace(0,np.nan,inplace=True) sh2[['sig','sig2']].bfill(inplace=True) #計算每次交易收益 sh2['rr'] = (sh2['ret2']*sh2['sig2']+sh2['ret2']*sh2['sig2']) #收益畫圖。圖為累計可以獲得的價差累加值收益 sh2['lr'] = sh2['rr'].cumsum() sh2['lr'].plot()

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