均值回归中的半衰期计算方式

import statsmodels.api as sm

def get_halflife(s):
    s_lag = s.shift(1)
    s_lag.iloc[0] = s_lag.iloc[1]

    s_ret = s - s_lag
    s_ret.iloc[0] = s_ret.iloc[1]

    s_lag2 = sm.add_constant(s_lag)

    model = sm.OLS(s_ret,s_lag2)
    res = model.fit()
    # print(res.summary())

    halflife = round(-np.log(2) / list(res.params)[1],0)
    return halflife

参考文献：

1. 《算法交易-制胜策略与原理》

2. https://www.pythonheidong.com/blog/article/802315/dc81c419bdca033082dd/