python股票数据分析

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最新推荐文章于 2023-07-28 10:06:29 发布

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分类专栏： data 文章标签： python 数据分析

本文链接：https://blog.csdn.net/s7777777777777/article/details/117573131

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介绍

项目地址 https://github.com/zouxlin3/StockDataAnalysis
使用python分析csv格式的股票数据
使用方法如下

from StockData import StockData  # 从源代码下载StockData.py和666666.SZ.csv虚拟数据

1 读取csv

虚拟数据的股票代码为000001
每个股票代码应对应一个csv文件
read(symbols: List[str])

stockdata = StockData('data')  # 虚拟数据文件所在目录
symbols = ['000001']  # symbols为股票代码列表
stockdata.read(symbols)
stockdata.dataframes['000001']  # 查看内容

	Unnamed: 0	OBJECT_ID	S_INFO_WINDCODE	TRADE_DT	CRNCY_CODE	S_DQ_PRECLOSE	S_DQ_OPEN	S_DQ_HIGH	S_DQ_LOW	S_DQ_CLOSE	...	S_DQ_ADJPRECLOSE	S_DQ_ADJOPEN	S_DQ_ADJHIGH	S_DQ_ADJLOW	S_DQ_ADJCLOSE	S_DQ_ADJFACTOR	S_DQ_AVGPRICE	S_DQ_TRADESTATUS	OPDATE	OPMODE
0	336601	-488126	000001.SZ	1991-04-03	CNY	61.49	49.00	49.00	49.00	49.00	...	61.49	49.00	49.00	49.00	49.00	1.000000	50.0000	??	2016-12-27 10:24:33	0
1	336602	-488127	000001.SZ	1991-04-04	CNY	49.00	48.76	48.76	48.76	48.76	...	49.00	48.76	48.76	48.76	48.76	1.000000	50.0000	??	2016-12-27 10:24:33	0
2	336603	-488128	000001.SZ	1991-04-05	CNY	48.76	48.52	48.52	48.52	48.52	...	48.76	48.52	48.52	48.52	48.52	1.000000	50.0000	??	2016-12-27 10:24:33	0
3	336605	-488130	000001.SZ	1991-04-08	CNY	48.52	48.04	48.04	48.04	48.04	...	48.52	48.04	48.04	48.04	48.04	1.000000	50.0000	??	2016-12-27 10:24:33	0
4	336606	-488131	000001.SZ	1991-04-09	CNY	48.04	47.80	47.80	47.80	47.80	...	48.04	47.80	47.80	47.80	47.80	1.000000	47.5000	??	2016-12-27 10:24:33	0
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
6298	6864894	{D1A958FC-E2CC-11E6-9220-6C0B84A6895D}	000001.SZ	2017-01-25	CNY	9.27	9.27	9.28	9.25	9.26	...	971.11	971.11	972.16	969.01	970.06	104.758253	9.2633	??	2017-01-25 15:10:52	0
6299	1717817	{1930026C-E396-11E6-9CA9-4437E6DAC6D1}	000001.SZ	2017-01-26	CNY	9.26	9.27	9.34	9.26	9.33	...	970.06	971.11	978.44	970.06	977.39	104.758253	9.3138	??	2017-01-26 15:26:14	0
6300	3288514	{518B8FC9-E9DF-11E6-84F4-6C0B84A6895D}	000001.SZ	2017-02-03	CNY	9.33	9.34	9.36	9.23	9.26	...	977.39	978.44	980.54	966.92	970.06	104.758253	9.2756	??	2017-02-03 15:09:52	0
6301	6878988	{D21CCA60-EC3A-11E6-85F7-6C0B84A6895D}	000001.SZ	2017-02-06	CNY	9.26	9.26	9.32	9.26	9.31	...	970.06	970.06	976.35	970.06	975.30	104.758253	9.2967	??	2017-02-06 15:20:12	0
6302	1204979	{0700EF99-ED04-11E6-A728-6C0B84A6895D}	000001.SZ	2017-02-07	CNY	9.31	9.31	9.32	9.27	9.30	...	975.30	975.30	976.35	971.11	974.25	104.758253	9.2912	??	2017-02-07 15:12:19	0

6303 rows × 24 columns

2 根据条件查看数据

2.1 根据时间段查看

查看一个股票在时间段的open high low close四个标签的数据
get_data_by_symbol(symbol: str, start_date: str, end_date: str)

stockdata.get_data_by_symbol('000001', '19910409', '19910419')

	date	open	high	low	close
4	1991-04-09	47.80	47.80	47.80	47.80
5	1991-04-10	47.56	47.56	47.56	47.56
6	1991-04-11	47.56	47.56	47.56	47.56
7	1991-04-12	47.08	47.08	47.08	47.08
8	1991-04-16	46.38	46.38	46.38	46.38
9	1991-04-17	46.15	46.15	46.15	46.15
10	1991-04-18	45.92	45.92	45.92	45.92
11	1991-04-19	45.69	45.69	45.69	45.69

2.2 根据时间段查看

查看指定日期一些股票的open high low close四个标签的数据
get_data_by_date( adate: str, symbols: List[str])

stockdata.get_data_by_date('20170207', symbols)

	symbols	open	high	low	close
0	000001	9.31	9.32	9.27	9.3

2.3 根据时间段查看

查看一些股票指定标签的数据
get_data_by_field(field: str, symbols: List[str])

stockdata.get_data_by_field('open', symbols)

	date	000001
0	1991-04-03	49.00
1	1991-04-04	48.76
2	1991-04-05	48.52
3	1991-04-08	48.04
4	1991-04-09	47.80
...	...	...
6298	2017-01-25	9.27
6299	2017-01-26	9.27
6300	2017-02-03	9.34
6301	2017-02-06	9.26
6302	2017-02-07	9.31

6303 rows × 2 columns

3 绘制走势图

需要指定一个标签，volume和turnover标签时绘制柱状图，其余为折线图
plot(symbol: str, field: str)

stockdata.plot('000001', 'open')

4 数据处理

4.1 价格复权计算

对open high low close四类价格从后往前复权
adjust_data(symbol: str)

stockdata.adjust_data('000001')
stockdata.dataframes['000001']

	Unnamed: 0	OBJECT_ID	S_INFO_WINDCODE	TRADE_DT	CRNCY_CODE	S_DQ_PRECLOSE	S_DQ_OPEN	S_DQ_HIGH	S_DQ_LOW	S_DQ_CLOSE	...	S_DQ_ADJFACTOR	S_DQ_AVGPRICE	S_DQ_TRADESTATUS	OPDATE	OPMODE	forward_af	forward_adjust_open	forward_adjust_high	forward_adjust_low	forward_adjust_close
0	336601	-488126	000001.SZ	1991-04-03	CNY	61.49	49	49.00	49.00	49.00	...	1.000000	50.0000	??	2016-12-27 10:24:33	0	0.01051	49.0	49.00	49.00	49.00
1	336602	-488127	000001.SZ	1991-04-04	CNY	49.00	48	48.76	48.76	48.76	...	1.000000	50.0000	??	2016-12-27 10:24:33	0	0.01051	48.0	48.76	48.76	48.76
2	336603	-488128	000001.SZ	1991-04-05	CNY	48.76	48	48.52	48.52	48.52	...	1.000000	50.0000	??	2016-12-27 10:24:33	0	0.01051	48.0	48.52	48.52	48.52
3	336605	-488130	000001.SZ	1991-04-08	CNY	48.52	48	48.04	48.04	48.04	...	1.000000	50.0000	??	2016-12-27 10:24:33	0	0.01051	48.0	48.04	48.04	48.04
4	336606	-488131	000001.SZ	1991-04-09	CNY	48.04	47	47.80	47.80	47.80	...	1.000000	47.5000	??	2016-12-27 10:24:33	0	0.01051	47.0	47.80	47.80	47.80
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
6298	6864894	{D1A958FC-E2CC-11E6-9220-6C0B84A6895D}	000001.SZ	2017-01-25	CNY	9.27	9	9.28	9.25	9.26	...	104.758253	9.2633	??	2017-01-25 15:10:52	0	1.00000	9.0	9.28	9.25	9.26
6299	1717817	{1930026C-E396-11E6-9CA9-4437E6DAC6D1}	000001.SZ	2017-01-26	CNY	9.26	9	9.34	9.26	9.33	...	104.758253	9.3138	??	2017-01-26 15:26:14	0	1.00000	9.0	9.34	9.26	9.33
6300	3288514	{518B8FC9-E9DF-11E6-84F4-6C0B84A6895D}	000001.SZ	2017-02-03	CNY	9.33	9	9.36	9.23	9.26	...	104.758253	9.2756	??	2017-02-03 15:09:52	0	1.00000	9.0	9.36	9.23	9.26
6301	6878988	{D21CCA60-EC3A-11E6-85F7-6C0B84A6895D}	000001.SZ	2017-02-06	CNY	9.26	9	9.32	9.26	9.31	...	104.758253	9.2967	??	2017-02-06 15:20:12	0	1.00000	9.0	9.32	9.26	9.31
6302	1204979	{0700EF99-ED04-11E6-A728-6C0B84A6895D}	000001.SZ	2017-02-07	CNY	9.31	9	9.32	9.27	9.30	...	104.758253	9.2912	??	2017-02-07 15:12:19	0	1.00000	9.0	9.32	9.27	9.30

6303 rows × 29 columns

4.2 日频数据重采样

按照时间窗口进行重采样，采样的时间取区间左端
resample(symbol: str, freq: int)

stockdata.resample('000001', 5)

	date	open	close	high	low	volume	turnover	vwap
0	1991-04-09	49	47.80	49.00	47.80	12.0	59.000	4.9167
1	1991-04-17	47	46.15	47.56	46.15	26.0	123.000	4.7308
2	1991-04-24	45	44.78	45.92	44.78	50.0	225.000	4.5000
3	1991-05-02	44	43.46	44.56	43.46	31.0	137.000	4.4194
4	1991-05-09	43	42.17	43.24	42.17	129.0	546.000	4.2326
...	...	...	...	...	...	...	...	...
1255	2016-12-28	9	9.06	9.16	9.02	1631209.0	1483308.481	0.9093
1256	2017-01-05	9	9.17	9.18	9.05	1894909.0	1729934.514	0.9129
1257	2017-01-12	9	9.15	9.17	9.11	1691727.0	1547168.777	0.9145
1258	2017-01-19	9	9.18	9.24	9.07	2675002.0	2447679.663	0.9150
1259	2017-01-26	9	9.33	9.34	9.17	2008986.0	1858492.536	0.9251

1260 rows × 8 columns

4.3 计算移动平均

计算滑动窗口内数据的平均值
moving_average(symbol: str, field: str, window: int)

stockdata.moving_average('000001', 'open', 5)

TRADE_DT
1991-04-03     NaN
1991-04-04     NaN
1991-04-05     NaN
1991-04-08     NaN
1991-04-09    48.0
              ... 
2017-01-25     9.0
2017-01-26     9.0
2017-02-03     9.0
2017-02-06     9.0
2017-02-07     9.0
Name: forward_adjust_open, Length: 6303, dtype: float64

5 相关指标计算

四类指标
ema(symbol: str, periods: int)
atr(symbol: str, periods: int)
rsi(symbol: str, periods: int)
macd(symbol: str, long: int, short: int, dea_periods: int)

stockdata.ema('000001', 5)

TRADE_DT
1991-04-03          NaN
1991-04-04          NaN
1991-04-05          NaN
1991-04-08          NaN
1991-04-09    49.500000
                ...    
2017-01-25     9.233294
2017-01-26     9.265529
2017-02-03     9.263686
2017-02-06     9.279124
2017-02-07     9.286083
Name: ema_5, Length: 6303, dtype: float64

stockdata.atr('000001', 5)

TRADE_DT
1991-04-03      NaN
1991-04-04      NaN
1991-04-05      NaN
1991-04-08      NaN
1991-04-09    2.738
              ...  
2017-01-25    0.064
2017-01-26    0.062
2017-02-03    0.076
2017-02-06    0.076
2017-02-07    0.070
Name: atr_5, Length: 6303, dtype: float64

stockdata.rsi('000001', 5)

TRADE_DT
1991-04-03          NaN
1991-04-04          NaN
1991-04-05          NaN
1991-04-08          NaN
1991-04-09          NaN
                ...    
2017-01-25    75.156853
2017-01-26    81.025235
2017-02-03    57.391103
2017-02-06    58.812990
2017-02-07    65.561024
Name: rsi_5, Length: 6303, dtype: float64

stockdata.macd('000001', 25, 9, 5)

TRADE_DT
1991-04-03         NaN
1991-04-04         NaN
1991-04-05         NaN
1991-04-08         NaN
1991-04-09         NaN
                ...   
2017-01-25    0.017994
2017-01-26    0.021877
2017-02-03    0.014808
2017-02-06    0.013298
2017-02-07    0.010009
Name: macd, Length: 6303, dtype: float64

6 回报计算

freq可选m、q、h、y，分别代表月、季度、半年、年的时间跨频率

6.1 回报率

calc_return(symbol: str, freq: str)

stockdata.calc_return('000001', 'q')

	date	return_q	return
0	1991-06-28	NaT	-30.6327
1	1991-09-30	NaT	-57.0462
2	1991-12-31	NaT	101.0274
3	1992-03-31	NaT	-11.2436
4	1992-06-30	NaT	61.2284
...	...	...	...
99	2016-03-31	NaT	-11.2594
100	2016-06-30	NaT	-18.2331
101	2016-09-30	NaT	4.2529
102	2016-12-30	NaT	0.3308
103	2017-02-07	NaT	2.1978

104 rows × 3 columns

6.2 夏普比率

calc_sharpe_ratio(symbol: str, freq: str)

stockdata.calc_sharpe_ratio('000001', 'q')

0.04988574991791399

6.3 最大回撤率

calc_max_drawdown_ratio(symbol: str)

stockdata.calc_max_drawdown_ratio('000001')

91.63934426229508

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