未解决问题01

import pandas  as pd
import numpy as np
import matplotlib.pyplot  as plt
cqlq = pd.read_excel("cqlq.xls",sep='\s+')
dxnt = pd.read_excel("dxnt.xls",sep='\s+')
cqlq.columns=["","date","open","high","low","close","vol","",""]

dxnt.columns=["","date","open","high","low","close","vol","",""]
ccqlq=cqlq['close']
cdxnt=dxnt['close']


rcqlq=(ccqlq-ccqlq.shift(1))/ccqlq.shift(1)
rdxnt=(cdxnt-cdxnt.shift(1))/cdxnt.shift(1)
r=pd.concat([rcqlq,rdxnt],axis =1)

r.dropna()
u=r.mean()+0.003
jz=r.cov()
yi=np.ones(2)

u=np.mat(u)

jz=np.mat(jz)

yi=np.mat(yi)

nijz=jz

a = u*nijz*u.T

b = yi*nijz*u.T

c = yi*nijz*yi.T

deta = a*c-b*b

sgp =[]
sy = []

for i in range(5):
  rp = 0.0001*i

  sy.append(rp)

  ld1= (rp*c-b)/deta
  ld2 = (a-rp*b)/deta

  sgpi=np.sqrt(( c/deta)*(rp-b/c)**2+1/c)

  sgpi = sgpi.max()
  sgp.append(sgpi)

plt.plot(sgp,sy)
plt.show()

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2020-05-27