本文基于tushare数据构建最优投资组合以20个股票为例(个人的tushareID:498867)
# 导入tushare
import tushare as ts
import pandas as pd
dff=pd.DataFrame()
# 初始化pro接口
pro = ts.pro_api('你的token')
name=['600418.SH', '603355.SH', '002429.SZ', '002945.SZ', '002423.SZ',
'300376.SZ', '000656.SZ', '600985.SH', '600392.SH', '002085.SZ',
'601106.SH', '600188.SH', '002958.SZ', '601611.SH', '688321.SH',
'300724.SZ', '603267.SH', '002152.SZ', '603056.SH', '600968.SH']
for i in name:
# 导入tushare
# 拉取数据
try:
df = pro.daily(**{
"ts_code": i,
"trade_date": "",
"start_date": "20200101",
"end_date": "20220101",
"offset": "",
"limit": ""
}, fields=[
"ts_code",
"trade_date",
"open",
"high",
"low",
"close",
"pre_close",
"change",
"pct_chg",
"vol",
"amount"
])
dff[i]=df['pct_chg'].values
except:
pass
输出下图
dff['trade_date']=df['trade_date'].values
dff=dff.sort_values('trade_date')
dff=dff.set_index('trade_date')
# weight夏普比率最大的时候,根据Sharpe-ratio=(资产平均收益率-平均无风险收益率)/资产投资组合收益率标准差(无风险收益率取10期年国债的收益率1.25%)
weight=[10.842,9.93,0.828,0.976,0.485,4.533,5.273,0.515,10.226,0.002,1.443,9.171,4.566,5.115,0.318,9.814,8.419,11.068,3.413,3.064]
dff['best20']=(dff[dff.columns[0]]*weight[0]+dff[dff.columns[1]]*weight[1]+dff[dff.columns[2]]*weight[2]+dff[dff.columns[3]]*weight[3]+dff[dff.columns[4]]*weight[4]+dff[dff.columns[5]]*weight[5]+dff[dff.columns[6]]*weight[6]+dff[dff.columns[7]]*weight[7]+dff[dff.columns[8]]*weight[8]+dff[dff.columns[9]]*weight[9]+dff[dff.columns[10]]*weight[10]+dff[dff.columns[11]]*weight[11]+dff[dff.columns[12]]*weight[12]+dff[dff.columns[13]]*weight[13]+dff[dff.columns[14]]*weight[14]+dff[dff.columns[15]]*weight[15]+dff[dff.columns[16]]*weight[16]+dff[dff.columns[17]]*weight[17]+dff[dff.columns[18]]*weight[18]+dff[dff.columns[19]]*weight[19])/100
dff
输出如下,就可以得到最优投资组合的收益