数据为收盘价,求夏普比率
概念说明:
夏普比率:(return-Rf)/vol
return为年化收益;Rf为无风险利率一般使用 三个月的短期国债 或 三个月的银行存款利率 (0.011); vol为年化收益波动率
Rf本文取三个月银行存款
http://www.pbc.gov.cn/zhengcehuobisi/125207/125213/125440/125838/125888/2968982/index.html
使用:夏普比率越大越好
代码:
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
%matplotlib inline
df_aapl = pd.read_csv('AAPL.csv',encoding='utf-8')
df_aapl.head()
df_aapl['ret'] = df_aapl['Close'].pct_change()
# 1. 年化收益率
# 1.1 日平均收益率
r_daily_mean = ((1+df_aapl['ret']).prod())**(1/df_aapl.shape[0])-1
r_daily_mean
# out: 0.0006941719590121131
def annualize_rets(returns,n_periods):
'''
给定一系列的收益率和期数,算出年化收益率
'''
# 每一期的平均收益
r_periodic_mean = ((1+returns).prod())**(1/returns.shape[0])-1
return (1+r_periodic_mean)**n_periods-1
annualize_rets(df_aapl['ret'],252)
# out: 0.19109213356890775
# 2. 年化波动率
# 2.1 年化方差
annual_var = df_aapl['ret'].var()*252
annual_var
# out: 0.20305560031619677
# 2.2 年化波动率,标准差
annual_std = df_aapl['ret'].std()*np.sqrt(252)
annual_std
# out: 0.45061691081915334
def annualize_std(returns,n_periods):
'''
给定一系列的收益率,算出年化的标准差
'''
return returns.std()*np.sqrt(n_periods)
annualize_std(df_aapl['ret'],252)
# out: 0.45061691081915334
# 3. 计算夏普比率
sharp_ratio = (annual_rets-0.011)/annual_std
sharp_ratio
# out: 0.3996568465251948
def annual_sharpe_ratio(returns,n_periods,risk_free_rate):
'''
给定一系列的收益率,计算年化的夏普比率
'''
annual_r = annualize_rets(returns,n_periods)
annual_v = annualize_std(returns,n_periods)
return (annual_r-risk_free_rate)/annual_v
annual_sharpe_ratio(df_aapl['ret'],252,0.011)
# out: 0.3996568465251948