Tushare Day6—— 第18章 资产收益计算（嘻嘻嘻）

资产收益计算

import  numpy as np
import pandas as pd
import matplotlib
matplotlib.use('TkAgg')
import matplotlib.pyplot as plt
%matplotlib inline
from  scipy import stats
import  matplotlib
import tushare as ts
#指定默认字体  
matplotlib.rcParams['font.sans-serif'] = ['SimHei']   
matplotlib.rcParams['font.family']='sans-serif'  
#解决负号'-'显示为方块的问题  
matplotlib.rcParams['axes.unicode_minus'] = False  

通过接口导入茅台股2019至今的数据

pro = ts.pro_api('my_token')

df = pro.daily(ts_code='600519.SH', start_date='20190101', end_date='20210220')
stock = df.set_index(["trade_date"])
stock.head(10)

	ts_code	open	high	low	close	pre_close	change	pct_chg	vol	amount
trade_date
20210219	600519.SH	2451.16	2496.66	2381.6	2460.00	2471.00	-11.00	-0.4452	59385.46	1.452516e+07
20210218	600519.SH	2587.98	2627.88	2465.0	2471.00	2601.00	-130.00	-4.9981	65912.32	1.670414e+07
20210210	600519.SH	2485.00	2601.20	2485.0	2601.00	2456.43	144.57	5.8854	61370.57	1.567593e+07
20210209	600519.SH	2368.80	2456.43	2350.0	2456.43	2368.80	87.63	3.6993	33296.55	7.972930e+06
20210208	600519.SH	2337.00	2378.88	2313.0	2368.80	2313.00	55.80	2.4125	35785.73	8.420759e+06
20210205	600519.SH	2325.00	2364.60	2291.0	2313.00	2320.85	-7.85	-0.3382	39729.06	9.253566e+06
20210204	600519.SH	2191.00	2330.00	2191.0	2320.85	2189.91	130.94	5.9792	63851.01	1.459693e+07
20210203	600519.SH	2150.00	2198.27	2140.0	2189.91	2145.00	44.91	2.0937	38714.15	8.384049e+06
20210202	600519.SH	2112.22	2149.99	2102.1	2145.00	2109.32	35.68	1.6915	34582.25	7.372234e+06
20210201	600519.SH	2130.00	2160.00	2095.0	2109.32	2116.18	-6.86	-0.3242	29340.59	6.219639e+06

获取收盘价列并错位合并求单期收益率

获取收盘价列

close=stock.close 
close.head(10)

trade_date
20210219    2460.00
20210218    2471.00
20210210    2601.00
20210209    2456.43
20210208    2368.80
20210205    2313.00
20210204    2320.85
20210203    2189.91
20210202    2145.00
20210201    2109.32
Name: close, dtype: float64

索引设置为时间列

close.index=pd.to_datetime(close.index) #转换为时间索引
close.index.name="Date" #日期
close.head(10)

Date
2021-02-19    2460.00
2021-02-18    2471.00
2021-02-10    2601.00
2021-02-09    2456.43
2021-02-08    2368.80
2021-02-05    2313.00
2021-02-04    2320.85
2021-02-03    2189.91
2021-02-02    2145.00
2021-02-01    2109.32
Name: close, dtype: float64

下移得到延迟一期收盘价

lagclose=close.shift(1) #设置第一行为nan.,数据往下移动
lagclose.head(10)

Date
2021-02-19        NaN
2021-02-18    2460.00
2021-02-10    2471.00
2021-02-09    2601.00
2021-02-08    2456.43
2021-02-05    2368.80
2021-02-04    2313.00
2021-02-03    2320.85
2021-02-02    2189.91
2021-02-01    2145.00
Name: close, dtype: float64

close.head(10)

Date
2021-02-19    2460.00
2021-02-18    2471.00
2021-02-10    2601.00
2021-02-09    2456.43
2021-02-08    2368.80
2021-02-05    2313.00
2021-02-04    2320.85
2021-02-03    2189.91
2021-02-02    2145.00
2021-02-01    2109.32
Name: close, dtype: float64

lagclose.head(10)

Date
2021-02-19        NaN
2021-02-18    2460.00
2021-02-10    2471.00
2021-02-09    2601.00
2021-02-08    2456.43
2021-02-05    2368.80
2021-02-04    2313.00
2021-02-03    2320.85
2021-02-02    2189.91
2021-02-01    2145.00
Name: close, dtype: float64

将收盘价与延迟一期收盘价合并为表格

CalcClose=pd.DataFrame({
   "close":close,"lagclose":lagclose})
CalcClose.head(10)

	close	lagclose
Date
2021-02-19	2460.00	NaN
2021-02-18	2471.00	2460.00
2021-02-10	2601.00	2471.00
2021-02-09	2456.43	2601.00
2021-02-08	2368.80	2456.43
2021-02-05	2313.00	2368.80
2021-02-04	2320.85	2313.00
2021-02-03	2189.91	2320.85
2021-02-02	2145.00	2189.91
2021-02-01	2109.32	2145.00

计算延迟一期收益率

dayret1=(close-lagclose)/lagclose
dayret1.name="dayret1"
dayret1.head(10)

Date
2021-02-19         NaN
2021-02-18    0.004472
2021-02-10    0.052610
2021-02-09   -0.055582
2021-02-08   -0.035674
2021-02-05   -0.023556
2021-02-04    0.003394
2021-02-03   -0.056419
2021-02-02   -0.020508
2021-02-01   -0.016634
Name: dayret1, dtype: float64

计算多期收益

将收盘价、延迟一期收盘价及收益率合并为一个表格

calcret=pd.merge(CalcClose,pd.DataFrame