简单收益率=/起始价格
对数收益率=ln
工作中其他常用包记录
from pyspark.sql.window import Window
from pyspark.sql.functions import stddev, avg, pandas_udf, PandasUDFType, expr, array_contains, collect_set, substring, countDistinct, year, month, sum, lag, explode, lit, ceil,posexplode, quarter, first, asc, array, array_intersect, array_distinct, array_except, coalesce, lead
from pyspark.sql.functions import regexp_replace, lower, lit, col, udf, split, when, count, struct, max, collect_list, weekofyear, lpad, date_format, to_date, weekofyear, desc
from pyspark.sql.types import StringType,ArrayType, IntegerType, DoubleType, StructType, StructField, TimestampType
from pyspark.ml import Pipeline
from pyspark.ml.linalg import VectorUDT, Vectors, SparseVector, DenseVector
from pyspark.ml.evaluation import RegressionEvaluator, ClusteringEvaluator
from pyspark.ml.tuning import CrossValidator, ParamGridBuilder, TrainValidationSplit
from pyspark.ml.regression import RandomForestRegressor , RandomForestRegressionModel, LinearRegression, GBTRegressor, GBTRegressionModel
from pyspark.ml.clustering import KMeans
from pyspark.ml.feature import Tokenizer, StopWordsRemover, Word2Vec, VectorAssembler, Word2VecModel, StringIndexer, OneHotEncoder, VectorIndexer
from sklearn.metrics import mean_squared_error, r2_score
from sklearn.ensemble import RandomForestRegressor, GradientBoostingRegressor
from sklearn.neighbors import KNeighborsRegressor
from sklearn.model_selection import GridSearchCV, KFold, TimeSeriesSplit
from tscv import gap_train_通达信指标接口获得,通达信指标接口获得,test_split
from sklearn.svm import SVR
from datetime import datetime
from numpy import dot
from numpy.linalg import norm
from operator import and_
from functools import reduce
from jellyfish import jaro_winkler_similarity
# from xgboost import XGBRegressor
# from catboost import CatBoostRegressor
from lightgbm import LGBMRegressor
import csv
import os
import re
import math
import jieba
import joblib
import random
import warnings
import numpy as np
import networkx as nx
import pyspark.pandas as pd
import matplotlib.pyplot as plt
import matplotlib.ticker as ticker
warnings.filterwarnings("ignore")
plt.rcParams["font.sans-serif"] = ["SimHei"]
plt.rcParams["axes.unicode_minus"] = False
"""
import joblib
joblib.dump("通达信指标接口获得,通达信指标接口获得,test","/tmp/t.txt")
joblib.dump("testtest","/tmp/t.txt")
"""
模型训练
简单收益率可以通过以下公式计算：
导入相关包
收益率是指投资在一定时间内所产生的盈利或损失的百分比。通过计算收益率，投资者可以比较不同资产或策略的表现，判断其相对优劣。
通过计算收益率，投资者可以评估投资的盈利能力、风险水平以及相对于市场或基准的超额收益。这有助于制定投资策略、进行风险管理和决策制定。
数据预处理
for year_num in original_data["Year"].unique():
# Add previous years" data
for i in range(1, 6):
year = year_num - i
print(year)
# lenyear = len(original_data[original_data["Year"] == year])
prefix = f"ya{i:02}"
print(prefix)
print("
")
# lenya01 = len(original_data["Year"]==year)
# lenya02 = len(original_data["Year"]==year-1)
# lenya03 = len(original_data["Year"]==year-2)
# lenya04 = len(original_data["Year"]==year-3)
# lenya05 = len(original_data["Year"]==year-4)
prefix = f"ya{i:02}"
if i==1:
# lenyear = lenya01
lenyear = len(original_data[original_data["Year"] == year])
elif i==2:
# lenyear = lenya01 + lenya02
lenyear = len(original_data[original_data["Year"] == year-1] )+ len(original_data[original_data["Year"] == year])
elif i==3:
# lenyear = lenya01 + lenya02 + lenya03
lenyear = len(original_data[original_data["Year"] == year-2]) + len(original_data[original_data["Year"] == year-1]) + len(original_data[original_data["Year"] == year])
elif i==4:
# lenyear = lenya01 + lenya02 + lenya03 + lenya04
lenyear = len(original_data[original_data["Year"] == year-3]) + len(original_data[original_data["Year"] == year-2]) + len(original_data[original_data["Year"] == year-1]) + len(original_data[original_data["Year"] == year])
elif i==5:
# lenyear = lenya01 + lenya02 + lenya03 + lenya04 + lenya05
lenyear = len(original_data[original_data["Year"] == year-4]) + len(original_data[original_data["Year"] == year-3]) + len(original_data[original_data["Year"] == year-2]) + len(original_data[original_data["Year"] == year-1]) + len(original_data[original_data["Year"] == year])
print(lenyear)
original_data[prefix + "_open"] = original_data["open"].shift(lenyear)
original_data[prefix + "_high"] = original_data["high"].shift(lenyear)
original_data[prefix + "_low"] = original_data["low"].shift(lenyear)
original_data[prefix + "_close"] = original_data["close"].shift(lenyear)
original_data[prefix + "_pre_close"] = original_data["pre_close"].shift(lenyear)
original_data[prefix + "_change"] = original_data["change"].shift(lenyear)
original_data[prefix + "_pct_chg"] = original_data["pct_chg"].shift(lenyear)
original_data[prefix + "_vol"] = original_data["vol"].shift(lenyear)
original_data[prefix + "_amount"] = original_data["amount"].shift(lenyear)
original_data[prefix + "_pe"] = original_data["pe"].shift(lenyear)
original_data[prefix + "_turnover_rate"] = original_data["turnover_rate"].shift(lenyear)
original_data[prefix + "_HolidayName"] = original_data["HolidayName"].shift(lenyear)
对数收益率可以通过以下公式计算：
构建模型
# 将数据按照28比分成观测数据和验证数据，其中观测数据分成训练集和测试集
split_size=round(len(original_data)*0.20) # 验证集
mergeed_pandas_df = original_data[:-split_size].copy()
mergeed_pandas_df = mergeed_pandas_df.fillna( method="pad", axis=0)
mergeed_pandas_df = mergeed_pandas_df[mergeed_pandas_df["Year"] >=2010]
# 测试数据集
# test_split = round(split_size*0.20)
test_split = 60
X = mergeed_pandas_df[[ "Year", "Month", "Day",
# 注释部分的变量都是未知的
# "open", "high", "low",
# "pre_close", "change", "pct_chg", "vol", "amount", "pe",
# "turnover_rate",
"HolidayName","ya01_open", "ya01_high", "ya01_low",
"ya01_close", "ya01_pre_close", "ya01_change", "ya01_pct_chg",
"ya01_vol", "ya01_amount", "ya01_pe", "ya01_turnover_rate",
"ya01_HolidayName", "ya02_open", "ya02_high", "ya02_low", "ya02_close",
"ya02_pre_close", "ya02_change", "ya02_pct_chg", "ya02_vol",
"ya02_amount", "ya02_pe", "ya02_turnover_rate", "ya02_HolidayName",
"ya03_open", "ya03_high", "ya03_low", "ya03_close", "ya03_pre_close",
"ya03_change", "ya03_pct_chg", "ya03_vol", "ya03_amount", "ya03_pe",
"ya03_turnover_rate", "ya03_HolidayName", "ya04_open", "ya04_high",
"ya04_low", "ya04_close", "ya04_pre_close", "ya04_change",
"ya04_pct_chg", "ya04_vol", "ya04_amount", "ya04_pe",
"ya04_turnover_rate", "ya04_HolidayName", "ya05_open", "ya05_high",
"ya05_low", "ya05_close", "ya05_pre_close", "ya05_change",
"ya05_pct_chg", "ya05_vol", "ya05_amount", "ya05_pe",
"ya05_turnover_rate", "ya05_HolidayName"]][:-test_split]
y = mergeed_pandas_df["close"][:-test_split]
# 观测数据集
X_train, X_test, y_train, y_test = gap_train_test_split( X, y, test_size=2, gap_size=25 )
cat_features = ["Year", "Month", "Day","HolidayName" , "ya01_HolidayName","ya03_HolidayName","ya04_HolidayName", "ya05_HolidayName" ]
X_verification = mergeed_pandas_df[[ "Year", "Month", "Day",
# 注释部分的变量都是未知的
# "open", "high", "low",
# "pre_close", "change", "pct_chg", "vol", "amount", "pe",
# "turnover_rate",
"HolidayName","ya01_open", "ya01_high", "ya01_low",
"ya01_close", "ya01_pre_close", "ya01_change", "ya01_pct_chg",
"ya01_vol", "ya01_amount", "ya01_pe", "ya01_turnover_rate",
"ya01_HolidayName", "ya02_open", "ya02_high", "ya02_low", "ya02_close",
"ya02_pre_close", "ya02_change", "ya02_pct_chg", "ya02_vol",
"ya02_amount", "ya02_pe", "ya02_turnover_rate", "ya02_HolidayName",
"ya03_open", "ya03_high", "ya03_low", "ya03_close", "ya03_pre_close",
"ya03_change", "ya03_pct_chg", "ya03_vol", "ya03_amount", "ya03_pe",
"ya03_turnover_rate", "ya03_HolidayName", "ya04_open", "ya04_high",
"ya04_low", "ya04_close", "ya04_pre_close", "ya04_change",
"ya04_pct_chg", "ya04_vol", "ya04_amount", "ya04_pe",
"ya04_turnover_rate", "ya04_HolidayName", "ya05_open", "ya05_high",
"ya05_low", "ya05_close", "ya05_pre_close", "ya05_change",
"ya05_pct_chg", "ya05_vol", "ya05_amount", "ya05_pe",
"ya05_turnover_rate", "ya05_HolidayName"]][-test_split:]
y_verification = mergeed_pandas_df["close"][-test_split:]
需要注意的是，股价仅仅是股票在某一时点的价格，而收益率则提供了更全面的信息，考虑了价格的变化和时间因素，能够更好地反映投资的效果和绩效。在量化投资中，计算收益率是更常见和有意义的做法。
对于股票投资，收益率可以根据股票价格的变动计算得出。常见的收益率计算方法包括简单收益率、对数收益率等。
文章为作者独立观点，不代表股票交易接口观点
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