基于tushare数据进行Treynor-Black模型投资组合的分析-CSDN博客

本文链接：https://blog.csdn.net/weixin_47853754/article/details/134235025

本文主要基于tushare数据进行Treynor-Black模型投资组合的分析（个人的tushareID：498867）

Treynor-Black 方法旨在利用若干 alpha 值不为 0 的资产构建积极投资组合，并与被动组合搭配成为最优的风险资产组合。

Treynor ratio=（总收益-无风险收益）/投资组合贝塔值

import statsmodels.api as sm
from statsmodels import regression
import pandas as pd

# 导入tushare
import tushare as ts
import pandas as pd
dff=pd.DataFrame()
df_close=pd.DataFrame()
df_open=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": "20191231",
            "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
        df_close[i]=df['close'].values
        df_open[i]=df['open'].values
    except:
        pass

print(df_close)
print(df)
print(df_open)

得到以下三个表输出

dff['trade_date']=df['trade_date'].values
dff=dff.sort_values('trade_date')
df_close['trade_date']=df['trade_date'].values
df_close=df_close.sort_values('trade_date')
df_open['trade_date']=df['trade_date'].values
df_open=df_open.sort_values('trade_date')

dff=dff.set_index('trade_date')
df_close=df_close.set_index('trade_date')
df_open=df_open.set_index('trade_date')

df_close.loc['return2020']=df_close.loc['20201231']/df_close.loc['20191231']-1
df_close=df_close.drop('return2020')

def linreg(x,y):
    x=sm.add_constant(x)
    model=regression.linear_model.OLS(y,x).fit()
    x=x[:,1]
    return model.params[0],model.params[1]

X500=dff['000905.SH'].values
Y1=dff[name[0]].values
alpha,beta=linreg(X500,Y1)
print("alpha:",alpha)
print("beta:",beta)
alpha_sum=[]
beta_sum=[]
for i in range(20):
    yy=dff[name[i]].values
    alpha,beta=linreg(X500,yy)
    alpha_sum.append(alpha)
    beta_sum.append(beta)
dff.describe().loc['mean'].values[0:20]*243
df3=pd.DataFrame()
df3['alpha']=alpha_sum
df3['beta']=beta_sum
df3['returnMean']=dff.describe().loc['mean'].values[0:20]*243
df3.set_index('')
df3