量化投资的线性回归

多元线性回归
预测平安银行的股价利润

欢迎访问: https://github.com/cuixuage/Machine_Learning

#coding=utf-8
import numpy as ny
import pandas as pd
import matplotlib as mp
import scipy as sp
import sklearn as sl

# 本金10万元  初始股票价格9.22元  买入100000/9.22=10846支股票
#
# 注意:   由于计算过程中没有考虑复利情况(不考虑由于获得利润或者亏本的情况下导致的股票动态增加、减少)
#   故此假设在后续计算利润中均按照10846支股票进行计算利润和

N = 100000/9.22;
data = pd.read_table('D:\\Pycharm\\projects\\test\\datafromSZ0001_day.txt')
feature_cols = ['BOLL', 'UPR', 'DWN']
X = data[['BOLL', 'UPR', 'DWN']]
y = data['CLOSE']
y = data.CLOSE
y_CLOSE = pd.Series.as_matrix(y)
# print type(y_CLOSE),len(y_CLOSE)
# print y_CLOSE

average_close=[]   ################close_price  average
for i in range(0,len(y_CLOSE)-1):
   temp = 0
   if i<len(y_CLOSE)-7:
      for j in range(0,7):
         temp += y_CLOSE[i+j]