siat 3.10.125__py3-none-any.whl → 3.10.126__py3-none-any.whl

siat/markowitz_ccb_test.py

@@ -1,37 +0,0 @@
-# -*- coding: utf-8 -*-
-
-#==============================================================================
-import os; os.chdir("S:/siat"); from siat import *
-#==============================================================================
-
-#启用Python的证券爬虫和分析工具
-from siat import *
-
-#定义投资组合：银行概念基金1号
-Market={'Market':('China','000300.SS','银行概念基金1号')}
-Stocks1={'601939.SS':.3,'601398.SS':.2,'601288.SS':.15,'601988.SS':.1}
-Stocks2={'601328.SS':.1,'000001.SZ':.05,'601168.SS':.05,'601229.SS':.05}
-portfolio=dict(Market,**Stocks1,**Stocks2)
-
-#比较业绩表现：银行概念基金1号，等权重组合，流动性组合
-pf_info=portfolio_expret(portfolio,'2021-12-3')
-
-#观察投资组合成分股收益率之间的相关性
-portfolio_corr(pf_info)
-
-#观察马科维茨可行集：收益率-标准差，接近椭圆形，可用于解释有效边界（左上沿）
-es=portfolio_es(pf_info,simulation=5000)
-#------------------------------------------------------------------------------
-
-portfolio_optimize_strategy(pf_info,ratio='sharpe',simulation=1000)
-
-portfolio_optimize_strategy(pf_info,ratio='sortino',simulation=1000)
-portfolio_optimize_strategy(pf_info,ratio='sortino',simulation=1000,RF=False)
-
-portfolio_optimize_strategy(pf_info,ratio='alpha',simulation=1000)
-portfolio_optimize_strategy(pf_info,ratio='alpha',simulation=1000,RF=False)
-
-portfolio_optimize_strategy(pf_info,ratio='treynor',simulation=1000)
-portfolio_optimize_strategy(pf_info,ratio='treynor',simulation=1000,RF=False)
-
-

siat/markowitz_ef_test.py

@@ -1,136 +0,0 @@
-# -*- coding: utf-8 -*-
-
-import os; os.chdir("S:/siat")
-from siat import *
-#------------------------------------------------------------------------------
-#导入包
-import pandas as pd
-import numpy as np
-import matplotlib.pyplot as plt
-import scipy.optimize as sco
-
-#------------------------------------------------------------------------------
-#获取股票数据
-
-start='2021-01-01'
-end='2021-11-30'
-
-df = pd.DataFrame()
-df = get_prices('600519.SS', start, end) 
-df['p_change']=df['Close'].pct_change()
-s600519 = df['p_change']
-s600519.name = '600519'
-
-df = pd.DataFrame()
-df = get_prices('000651.SZ', start, end) 
-df['p_change']=df['Close'].pct_change()
-s000651 = df['p_change']
-s000651.name = '000651'
-
-df = pd.DataFrame()
-df = get_prices('000002.SZ', start, end) 
-df['p_change']=df['Close'].pct_change()
-s000002 = df['p_change']
-s000002.name = '000002'
-
-df = pd.DataFrame()
-df = get_prices('601318.SS', start, end) 
-df['p_change']=df['Close'].pct_change()
-s601318 = df['p_change']
-s601318.name = '601318'
-
-df = pd.DataFrame()
-df = get_prices('601857.SS', start, end) 
-df['p_change']=df['Close'].pct_change()
-s601857 = df['p_change']
-s601857.name = '601857'
-
-data = pd.DataFrame({'600519':s600519,'000651':s000651,'000002':s000002, '601318':s601318,'601857':s601857})
-data = data.dropna()
-#------------------------------------------------------------------------------
-#计算年化收益率和协方差矩阵（以一年252个交易日计算）
-returns_annual = data.mean() * 252
-cov_annual = data.cov() * 252
-
-#------------------------------------------------------------------------------
-"""
-模拟投资组合
-为了得到有效边界，我们模拟了50000个投资组合
-"""
-
-number_assets = 5
-weights = np.random.random(number_assets)
-weights /= np.sum(weights)
-
-portfolio_returns = []
-portfolio_volatilities = []
-sharpe_ratio = []
-for single_portfolio in range (50000):
-      weights = np.random.random(number_assets)
-      weights /= np.sum(weights) 
-      returns = np.dot(weights, returns_annual)
-      volatility = np.sqrt(np.dot(weights.T, np.dot(cov_annual, weights)))
-      portfolio_returns.append(returns)
-      portfolio_volatilities.append(volatility)
-      sharpe = returns / volatility
-      sharpe_ratio.append(sharpe)
-
-portfolio_returns = np.array(portfolio_returns)
-portfolio_volatilities = np.array(portfolio_volatilities)
-
-"""
-RandomPortfolios['sharpe_ratio']=RandomPortfolios['Returns'] / RandomPortfolios['Volatility']
-sharpe_ratio = np.array(RandomPortfolios['sharpe_ratio'])
-portfolio_returns = np.array(RandomPortfolios['Returns'])
-portfolio_volatilities = np.array(RandomPortfolios['Volatility'])
-"""
-
-#------------------------------------------------------------------------------
-#作图
-plt.style.use('seaborn-dark')
-plt.figure(figsize=(9, 5))
-plt.scatter(portfolio_volatilities, portfolio_returns, c=sharpe_ratio,cmap='RdYlGn', edgecolors='black',marker='o') 
-plt.grid(True)
-plt.xlabel('expected volatility')
-plt.ylabel('expected return')
-plt.colorbar(label='Sharpe ratio')
-
-#------------------------------------------------------------------------------
-#找出最优组合
-def statistics(weights):        
-    weights = np.array(weights)
-    pret = np.sum(data.mean() * weights) * 252
-    pvol = np.sqrt(np.dot(weights.T, np.dot(data.cov() * 252, weights)))
-    return np.array([pret, pvol, pret / pvol])
-
-def min_func_sharpe(weights):
-    return -statistics(weights)[2]
-
-bnds = tuple((0, 1) for x in range(number_assets))
-cons = ({'type': 'eq', 'fun': lambda x: np.sum(x) - 1})
-opts = sco.minimize(min_func_sharpe, number_assets * [1. / number_assets,], method='SLSQP',  bounds=bnds, constraints=cons)
-opts['x'].round(3)  #得到各股票权重
-statistics(opts['x']).round(3)  #得到投资组合预期收益率、预期波动率以及夏普比率
-
-#------------------------------------------------------------------------------
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