期权 Pair trading 策略

Pair trading 策略 - 期权

0. 引库

import pandas as pd
import numpy as np
import tushare as ts
import seaborn
from matplotlib import pyplot as plt
plt.style.use('seaborn')
%matplotlib inline
stocks_pair = ['cu', 'zn']

1. 数据准备

# 加载数据
data1 = pd.read_csv('cu.csv')[['date','close']]
data2 = pd.read_csv('zn.csv')['close']
# 按行拼接收盘价
data = pd.concat([data1, data2], axis=1)
data.set_index('date',inplace = True)
# 重命名列（'cu'、'zn'）
data.columns = stocks_pair
data.head()

	cu	zn
date
2016/10/18	37300	18080
2016/10/19	37260	18200
2016/10/20	37270	18255
2016/10/21	37150	18245
2016/10/24	37320	18175

data.plot(figsize= (8,6));

2. 策略开发思路

data.corr()  # 协方差矩阵

	cu	zn
cu	1.000000	0.941114
zn	0.941114	1.000000

# 数据可视化，看相关关系
plt.figure(figsize =(8,6))
plt.title('Stock Correlation')
plt.plot(data['cu'], data['zn'], '.');
plt.xlabel(