同花顺Supermind量化交易 资金面专题2-资金流动强度与风格下股票组合涨跌相关性

一般而言，当市场中资金流动强度平缓时，风格投资者保持原有的风格方向；当资金流动强度强烈时，风格投资者转换原有的风格方向，例如：小市值投资者在资金流动强烈时，会转向大市值风格。本篇文章将从规模因子（大小盘风格）入手，研究关于资金流动强度与风格投资的话题。

1 导入库包

In [2]:

import pandas as pd
import numpy as np
import datetime
import math
import matplotlib.pyplot as plt
plt.style.use('seaborn')

2.资金流入净值取数和计算

In [3]:

#取数平安银行主动买入量
data_buy=get_money_flow_step(security_list='000001.SZ',start_date=None,end_date='20190103',fre_step='1d',\
    fields=['act_buy_xl','act_buy_l','act_buy_m'],count=250,is_panel=0)['000001.SZ']

#取数平安银行主动卖出量
data_sell=get_money_flow_step(security_list='000001.SZ',start_date=None,end_date='20190103',fre_step='1d',\
    fields=['act_sell_xl','act_sell_l','act_sell_m'],count=250,is_panel=0)['000001.SZ']

#横向加总
data_buyall=pd.DataFrame(data_buy.apply(lambda x:x.sum(),axis=1),columns=['buy_all'])
data_sellall=pd.DataFrame(data_sell.apply(lambda x:x.sum(),axis=1),columns=['sell_all'])
data_all=pd.concat([data_buyall,data_sellall],axis=1)

#得出平安银行流入净值
data_all['data_net']=data_all['buy_all']-data_all['sell_all']
data_all.tail()

Out[3]:

	buy_all	sell_all	data_net
2018-12-26	108688097.0	176514956.0	-67826859.0
2018-12-27	191021237.0	258350579.0	-67329342.0
2018-12-28	249609737.0	161550282.0	88059455.0
2019-01-02	115789628.0	270478617.0	-154688989.0
2019-01-03	173588438.0	115469752.0	58118686.0

3. 资金流入强度与风格下股票组合涨跌幅相关性

In [32]:

for days in range(1,6):
    data_return_stdflow_copy['std_flow_pre%dd'%days]=data_return_stdflow_copy['std_flow'].shift(days)  
    data_return_stdflow_copy.dropna(inplace=True)
data_return_stdflow_copy.head()

Out[32]:

	std_flow	return_daily_top	return_daily_bottom	std_flow_pre1d	std_flow_pre2d	std_flow_pre3d	std_flow_pre4d	std_flow_pre5d
2018-01-31	1.239100	-2.833323	1.281957	1.258554	2.440805	0.348983	-0.077692	2.120032
2018-02-01	-0.324186	-4.429560	0.954830	1.239100	1.258554	2.440805	0.348983	-0.077692
2018-02-02	-0.785630	-0.661970	0.658227	-0.324186	1.239100	1.258554	2.440805	0.348983
2018-02-05	0.438010	-0.280377	1.333043	-0.785630	-0.324186	1.239100	1.258554	2.440805
2018-02-06	4.561510	-5.433270	-2.090997	0.438010	-0.785630	-0.324186	1.239100	1.258554

3.1 选取标准化后资金流入强度 >1.96

In [33]:

data_return_stdflow_select=data_return_stdflow_copy[data_return_stdflow_copy['std_flow_pre1d']>1.96]
data_return_stdflow_select.head()

Out[33]:

	std_flow	return_daily_top	return_daily_bottom	std_flow_pre1d	std_flow_pre2d	std_flow_pre3d	std_flow_pre4d	std_flow_pre5d
2018-02-07	4.418203	-0.236470	-3.370983	4.561510	0.438010	-0.785630	-0.324186	1.239100
2018-02-08	4.364126	1.742569	-2.693657	4.418203	4.561510	0.438010	-0.785630	-0.324186
2018-02-09	3.445064	-4.361552	-3.945407	4.364126	4.418203	4.561510	0.438010	-0.785630
2018-02-12	-0.228793	1.627772	-0.072117	3.445064	4.364126	4.418203	4.561510	0.438010
2018-02-28	1.443578	0.639150	-1.548810	3.406240	0.607778	-0.752558	-0.724143	-0.505014

3.2 风格下资金流入强度与风格组合后一日涨跌幅的相关性

1. 前一日资金流入强度

In [34]:

corr_1=data_return_stdflow_select[['return_daily_top','return_daily_bottom','std_flow_pre1d','std_flow']].corr()
corr_1

Out[34]:

	return_daily_top	return_daily_bottom	std_flow_pre1d	std_flow
return_daily_top	1.000000	0.518051	-0.085800	-0.166893
return_daily_bottom	0.518051	1.000000	-0.769177	-0.884400
std_flow_pre1d	-0.085800	-0.769177	1.000000	0.852448
std_flow	-0.166893	-0.884400	0.852448	1.000000

In [35]:

import seaborn
plt.figure(figsize=(10,8))
plt.title('Pearson Correlation of pre1',y=1.05,size=20)
seaborn.heatmap(data_return_stdflow_select[['return_daily_top','return_daily_bottom','std_flow_pre1d','std_flow']].astype(float).corr(),linewidths=0.1,vmax=1.0,
            square=True,linecolor='white',annot=True)
plt.show()

2. 前第二日资金流入强度

In [36]:

data_return_stdflow_select2=data_return_stdflow_copy[data_return_stdflow_copy['std_flow_pre2d']>1.96]

plt.figure(figsize=(10,8))
plt.title('Pearson Correlation of pre2',y=1.05,size=20)
seaborn.heatmap(data_return_stdflow_select2[['return_daily_top','return_daily_bottom','std_flow_pre2d','std_flow']].astype(float).corr(),linewidths=0.1,vmax=1.0,
            square=True,linecolor='white',annot=True)
plt.show()

3. 前第三日资金流入强度

In [37]:

data_return_stdflow_select3=data_return_stdflow_copy[data_return_stdflow_copy['std_flow_pre3d']>1.96]

plt.figure(figsize=(10,8))
plt.title('Pearson Correlation of pre3',y=1.05,size=20)
seaborn.heatmap(data_return_stdflow_select3[['return_daily_top','return_daily_bottom','std_flow_pre3d','std_flow']].astype(float).corr(),linewidths=0.1,vmax=1.0,
            square=True,linecolor='white',annot=True)
plt.show()

4. 前第四日资金流入强度

In [38]:

data_return_stdflow_select4=data_return_stdflow_copy[data_return_stdflow_copy['std_flow_pre4d']>1.96]

plt.figure(figsize=(10,8))
plt.title('Pearson Correlation of pre4',y=1.05,size=20)
seaborn.heatmap(data_return_stdflow_select4[['return_daily_top','return_daily_bottom','std_flow_pre4d','std_flow']].astype(float).corr(),linewidths=0.1,vmax=1.0,
            square=True,linecolor='white',annot=True)
plt.show()

5. 前第五日资金流入强度

In [39]:

data_return_stdflow_select5=data_return_stdflow_copy[data_return_stdflow_copy['std_flow_pre5d']>1.96]

plt.figure(figsize=(10,8))
plt.title('Pearson Correlation of pre5',y=1.05,size=20)
seaborn.heatmap(data_return_stdflow_select5[['return_daily_top','return_daily_bottom','std_flow_pre5d','std_flow']].astype(float).corr(),linewidths=0.1,vmax=1.0,
            square=True,linecolor='white',annot=True)
plt.show()

In [ ]:

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