- 读取数据pe
- if 20天的pe均值 <100天的pe均值 -2*其标准差 则 高配股票。
- elif 20天的pe均值 <100天的pe均值 -0*其标准差 则 股债 0.5:0.5。
- else: 高配债券
- 改进方面,可以加入pd等其他选股条件一起判断。效果更好。
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from datetime import datetime, date
from statsmodels.regression import linear_model
import statsmodels.api as sm
import pymysql
import threading
from queue import Queue
import math
import tushare as ts
import matplotlib
import talib
import seaborn as sns
sns.set(style="darkgrid", palette="muted", color_codes=True)
from scipy import stats,integrate
%matplotlib inline
sns.set(color_codes=True)
matplotlib.rcParams['axes.unicode_minus']=False
plt.rcParams['font.sans-serif'] = ['SimHei'] # 中文显示
plt.rcParams['axes.unicode_minus'] = False # 用来正常显示负号
#读取数据
def dataread():
ts.set_token(' ')
pro = ts.pro_api()
df_base=pro.index_dailybasic(ts_code="000001.SH", fields='trade_date,pe_ttm')
df_stock=pro.index_daily(ts_code="000001.SH", start_date='20120101', end_date='20201010', fields='close,trade_date')
df_bond=df=pro.index_daily(ts_code="000012.SH",start_date='20120101', end_date='20201010' , fields='trade_date,close')
return df_base,df_stock,df_bond
df,df_stock,df_bond=dataread()
class prepare:
#计算单日收益率
#def __init__(self,freq):
# self.freq=freq
def ret_base(self):
df_stock.index=pd.to_datetime(df_stock.trade_date)
ret_stock=(df_stock.close-df_stock.close.shift(-1))/df_stock.close.shift(-1)
df_bond.index=pd.to_datetime( df_bond.trade_date )
ret_bond=(df_bond.close-df_bond.close.shift(-1))/df_bond.close.shift(-1)
return ret_stock,ret_bond
#计算pe均值,标准差及滚动均值
def data_fun(self,freq,df):
df.index=pd.to_datetime(df.trade_date )
df=df.sort_index()
df_=pd.DataFrame(df.pe_ttm )
df_pe_std=df.rolling(window=252).std()[df.index>"20120101"]
df_pe_std=df_pe_std.pe_ttm
df_=df_.sort_index()
df_roll=df_.rolling(window=freq).mean()
df_pe_mean=df.rolling(window=252).mean()[df.index>"20120101"]
df_pe_mean=df_pe_mean.pe_ttm
return df_pe_mean,df_pe_std,df_roll.pe_ttm
mean,std,mean_roll=prepare().data_fun(20,df)
ret_stock,ret_bond=prepare().ret_base()
#class test_fun():
#信号处理
def sig_fun():
"""
例如:
滚动pe_ttm的均值mean_roll<pe_ttm的过去252个交易日的历史方差 股债比例:8:2
"""
sig_stock=pd.Series(0,index=df_stock.index,dtype=float)
sig_bond= pd.Series(0,index=df_bond.index,dtype=float)
for i in range(len(df_bond)):
if mean_roll[i]<mean[i]-1.5*std[i]:
sig_stock[i]=1
sig_bond[i]=0
elif mean_roll[i]<mean[i]-0.5*std[i]:
sig_stock[i]=0.4
sig_bond[i]=0.6
elif mean_roll[i]<mean[i]+1.5*std[i]:
sig_stock[i]=0.2
sig_bond[i]=0.8
else:
sig_stock[i]=0
sig_bond[i]=1
return sig_bond,sig_stock
sig_bond,sig_stock=sig_fun()
def ret_port( ret_bond,ret_stock):
ret=ret_bond*sig_bond+ret_stock*sig_stock
ret=ret.sort_index().dropna()
ret_stock=ret_stock.sort_index()
ret_bond =ret_bond.sort_index()
cum_bond=np.cumprod(1+ret_bond)
cum_stock=np.cumprod(1+ret_stock)
cum=np.cumprod(1+ret)
return cum,cum_stock,cum_bond,ret
cum,cum_stock,cum_bond,ret=ret_port( ret_bond,ret_stock)
def plot_fun():
plt.plot(cum_bond ,label="000012.SH",color='k',linestyle='-')
plt.plot(cum_stock,label="000001.SH",color='b',linestyle='-')
plt.plot(cum,label="组合策略",color='r',linestyle='-')
plt.title("净值走势")
plt.legend(loc="upper left")
def performance(port_ret):
port_ret=port_ret.sort_index(ascending=True)
first_date = port_ret.index[0]
final_date = port_ret.index[-1]
time_interval = (final_date - first_date).days * 250 / 365
# calculate portfolio's indicator
nv = (1 + port_ret).cumprod()
arith_mean = port_ret.mean() * 250
geom_mean = (1 + port_ret).prod() ** (250 / time_interval) - 1
sd = port_ret.std() * np.sqrt(250)
mdd = ((nv.cummax() - nv) / nv.cummax()).max()
sharpe = (geom_mean - 0) / sd
calmar = geom_mean / mdd
result = pd.DataFrame({'算术平均收益': [arith_mean], '几何平均收益': [geom_mean], '波动率': [sd],
'最大回撤率': [mdd], '夏普比率': [sharpe], '卡尔曼比率': [calmar]})
print(result)
return result
if __name__=="__main__":
print("组合、债券、股票分别如下:")
performance(ret)
performance(ret_bond)
performance(ret_stock)
plot_fun()
TTM+PB
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from datetime import datetime, date
from statsmodels.regression import linear_model
import statsmodels.api as sm
import pymysql
import threading
from queue import Queue
import math
import tushare as ts
import matplotlib
import talib
import seaborn as sns
sns.set(style="darkgrid", palette="muted", color_codes=True)
from scipy import stats,integrate
%matplotlib inline
sns.set(color_codes=True)
matplotlib.rcParams['axes.unicode_minus']=False
plt.rcParams['font.sans-serif'] = ['SimHei'] # 中文显示
plt.rcParams['axes.unicode_minus'] = False # 用来正常显示负号
#读取数据
def Fundamental_plane(code1,start,end,T,freq=1,Freq=100,code2="000012.SH"):
def dataread():
ts.set_token(' ')
pro = ts.pro_api()
df_base=pro.index_dailybasic(ts_code=code1, fields='trade_date,pe_ttm,pb')
df_stock=pro.index_daily(ts_code=code1, start_date=start, end_date=end, fields='close,trade_date')
df_bond=df=pro.index_daily(ts_code=code2,start_date=start, end_date=end , fields='trade_date,close')
return df_base,df_stock,df_bond
df,df_stock,df_bond=dataread()
class prepare:
#计算单日收益率
#def __init__(self,freq):
# self.freq=freq
def ret_base(self):
df_stock.index=pd.to_datetime(df_stock.trade_date)
ret_stock=(df_stock.close-df_stock.close.shift(-1))/df_stock.close.shift(-1)
df_bond.index=pd.to_datetime( df_bond.trade_date )
ret_bond=(df_bond.close-df_bond.close.shift(-1))/df_bond.close.shift(-1)
return ret_stock,ret_bond
#计算pe均值,标准差及滚动均值
def data_fun(self,freq,df):
df.index=pd.to_datetime(df.trade_date )
df=df.sort_index()
df_std=df.rolling(window=Freq).std()[df.index>=start]#[df.index<=end]
df_std=df_std[df_std.index<=end]
df_pe_std=df_std.pe_ttm
df_pb_std=df_std.pb
df_mean=df.rolling(window=Freq).mean()[df.index>=start]#[df.index<=end]
df_mean=df_mean[df_mean.index<=end]
df_pe_mean=df_mean.pe_ttm
df_pb_mean=df_mean.pb
df_roll=df.rolling(window=freq).mean()[df.index>=start]#[df.index<=end]
df_roll=df_roll[df_roll.index<=end]
df_pb_roll_mean=df_roll.pb
df_pe_ttm_roll_mean=df_roll.pe_ttm
return df_pe_mean,df_pb_mean,df_pe_std,df_pb_std,df_pe_ttm_roll_mean,df_pb_roll_mean
mean1,mean2,std1,std2,mean_roll1,mean_roll2=prepare().data_fun(freq,df)
ret_stock,ret_bond=prepare().ret_base()
#class test_fun():
#信号处理
def sig_fun():
"""
例如:
滚动pe_ttm的均值mean_roll<pe_ttm的过去252个交易日的历史方差
...
"""
sig_stock=pd.Series(0,index=ret_stock.sort_index().index,dtype=float)
sig_bond= pd.Series(0,index=ret_bond.sort_index().index,dtype=float)
for i in range( math.floor(len(df_bond)/T)-1):
if mean_roll2[i*T]<mean2[i*T]-1.5*std2[i*T] and mean_roll1[i*T]<mean1[i*T]-0.5*std1[i*T]:
for j in range( i*T,(i+1)*T ):
sig_stock[j+1]=1
sig_bond[j+1]=0
elif mean_roll2[i*T]<mean2[i*T]+0*std2[i*T] and mean_roll1[i*T]<mean1[i*T]+0*std1[i*T]:
for j in range(i*T,(i+1)*T):
sig_stock[j+1]=0
sig_bond[j+1]=1
else:
for j in range(i*T,(i+1)*T):
sig_stock[j+1]=0
sig_bond[j+1]=1
return sig_bond,sig_stock
sig_bond,sig_stock=sig_fun()
def ret_port( ret_bond,ret_stock):
ret=ret_bond*sig_bond+ret_stock*sig_stock
ret=ret.sort_index().dropna()
ret_stock=ret_stock.sort_index()
ret_bond =ret_bond.sort_index()
cum_bond=np.cumprod(1+ret_bond)
cum_stock=np.cumprod(1+ret_stock)
cum=np.cumprod(1+ret)
return cum,cum_stock,cum_bond,ret
cum,cum_stock,cum_bond,ret=ret_port( ret_bond,ret_stock)
def plot_fun():
plt.plot(cum_bond ,label=code2,color='k',linestyle='-')
plt.plot(cum_stock,label=code1,color='b',linestyle='-')
plt.plot(cum,label="组合策略",color='r',linestyle='-')
plt.title("净值走势")
plt.legend(loc="upper left")
def performance(port_ret):
port_ret=port_ret.sort_index(ascending=True)
first_date = port_ret.index[0]
final_date = port_ret.index[-1]
time_interval = (final_date - first_date).days * 250 / 365
# calculate portfolio's indicator
nv = (1 + port_ret).cumprod()
arith_mean = port_ret.mean() * 250
geom_mean = (1 + port_ret).prod() ** (250 / time_interval) - 1
sd = port_ret.std() * np.sqrt(250)
mdd = ((nv.cummax() - nv) / nv.cummax()).max()
sharpe = (geom_mean - 0) / sd
calmar = geom_mean / mdd
result = pd.DataFrame({'算术平均收益': [arith_mean], '几何平均收益': [geom_mean], '波动率': [sd],
'最大回撤率': [mdd], '夏普比率': [sharpe], '卡尔曼比率': [calmar]})
print(result)
return result
print("组合、债券、股票分别如下:")
return performance(ret),performance(ret_bond),performance(ret_stock),plot_fun()
if __name__=="__main__":
Fundamental_plane("000001.SH","20090805","20201001",20,freq=10,Freq=300)