历史股价分析-python

历史股价分析-python

今天，我们来讲解一个利用numpy 进行历史股价分析的实例
这里用到了一个data.csv的文件，分别有成交日期，开市价，成交最高值，成交最低值，收市价

下面，我们就来对这个股票信息文件进行统计
首先我们先读取数据

###利用NumPy进行历史股价分析
import sys
#读入文件
c,v=np.loadtxt('data.csv', delimiter=',', usecols=(6,7), unpack=True)

这里就把文件的第七列数据和第八列数据赋值给c和v

下面进行相关统计量分分析

#计算成交量加权平均价格
vwap = np.average(c, weights=v)print( "VWAP =", vwap) 
#算术平均值函数
print( "mean =", np.mean(c)) 
#时间加权平均价格
t = np.arange(len(c))
print( "twap =", np.average(c, weights=t)) 
#寻找成交价格最大值和最小值
h,l=np.loadtxt('data.csv', delimiter=',', usecols=(4,5), unpack=True)
print( "highest =", np.max(h))
print( "lowest =", np.min(l))
print( (np.max(h) + np.min(l)) /2) 
print( "Spread high price", np.ptp(h))#求取值范围，极差，最大值减最低值
print( "Spread low price", np.ptp(l))

统计分析
求中位数和方差

#统计分析 
c=np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True)
print( "median =", np.median(c))#求中位数，收盘价
sorted = np.msort(c)
print( "sorted =", sorted) 
N = len(c)
print( "middle =", sorted[(N - 1)/2])
print( "average middle =", (sorted[N /2] + sorted[(N - 1) / 2]) / 2) 
print( "variance =", np.var(c)))#方差
print( "variance from definition =", np.mean((c - c.mean())**2))#方差计算公式

股票收益率分析

#股票收益率
c=np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True) #收盘价
returns = np.diff( c ) / c[ : -1]#股票收益率
print( "Standard deviation =", np.std(returns)) 
logreturns = np.diff( np.log(c) ) #对数收益率
posretindices = np.where(returns > 0)#收易率大于0
print( "Indices with positive returns", posretindices) 

annual_volatility = np.std(logreturns)/np.mean(logreturns)
annual_volatility = annual_volatility / np.sqrt(1./252.)
print( "Annual volatility", annual_volatility) #年度波动率
print( "Monthly volatility", annual_volatility * np.sqrt(1./12.))#月度波动率

日期分析

#日期分析
from datetime import datetime 
# Monday 0# Tuesday 1# Wednesday 2
# Thursday 3# Friday 4# Saturday 5# Sunday 6
def datestr2num(s):   
      return datetime.strptime(s, "%d-%m-%Y").date().weekday() #日期格式转换
dates, close=np.loadtxt('data.csv', delimiter=',', usecols=(1,6),                         
converters={1: datestr2num}, unpack=True)
print( "Dates =", dates) #将日期转换成0-6
averages = np.zeros(5) 
for i in range(5):   
    indices = np.where(dates == i)    
    prices = np.take(close, indices)   
    avg = np.mean(prices)   
    print( "Day", i, "prices", prices, "Average", avg)   #求出各个工作日的收盘价，和平均收盘价
    averages[i] = avg  
top = np.max(averages)
print( "Highest average", top)#最高均值
print( "Top day of the week", np.argmax(averages)) #一周中的·第几天
bottom = np.min(averages)
print( "Lowest average", bottom)#最低均值
print( "Bottom day of the week", np.argmin(averages))

周汇总

 #周汇总
def datestr2num(s):   
    return datetime.strptime(s, "%d-%m-%Y").date().weekday() 
dates, open, high, low, close=np.loadtxt('data.csv', delimiter=',',          usecols=(1, 3, 4, 5, 6), converters={1: datestr2num}, unpack=True)
close = close[:16]
dates = dates[:16] 
# get first Monday
first_monday = np.ravel(np.where(dates == 0))[0]
print( "The first Monday index is", first_monday) 
# get last Friday
last_friday = np.ravel(np.where(dates == 4))[-1]
print( "The last Friday index is", last_friday) 
weeks_indices = np.arange(first_monday, last_friday + 1)
print( "Weeks indices initial", weeks_indices) 
weeks_indices = np.split(weeks_indices, 3)
print( "Weeks indices after split", weeks_indices) 

def summarize(a, o, h, l, c):     
    monday_open = o[a[0]]    
    week_high = np.max( np.take(h, a) )    
    week_low = np.min( np.take(l, a) )    
    friday_close = c[a[-1]]     
    return("APPL", monday_open, week_high, week_low, friday_close)
weeksummary = np.apply_along_axis(summarize, 1, weeks_indices, open, high, low, close)
print( "Week summary", weeksummary) #周汇总数据，成交最高价，成交最低价

np.savetxt("weeksummary.csv", weeksummary, delimiter=",", fmt="%s") 

真实波动幅度均值

#真实波动幅度均值 
h, l, c = np.loadtxt('data.csv', delimiter=',', usecols=(4, 5, 6), unpack=True) 
N =20
h = h[-N:]
l = l[-N:] 
print( "len(h)", len(h), "len(l)", len(l))
print( "Close", c)previousclose = c[-N -1: -1] 
print( "len(previousclose)", len(previousclose))
print( "Previous close", previousclose)
truerange = np.maximum(h - l, h - previousclose, previousclose - l)  
print( "True range", truerange) atr = np.zeros(N) atr[0] = np.mean(truerange) 
for i in range(1, N):   
    atr[i] = (N - 1) * atr[i - 1] + truerange[i]   
    atr[i] /= N 
    print( "ATR", atr)

指数移动平均线

x = np.arange(5)
print( "Exp", np.exp(x))
print( "Linspace", np.linspace(-1, 0, 5)) 
N = 5  weights = np.exp(np.linspace(-1., 0., N))
weights /= weights.sum()
print( "Weights", weights) 
c = np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True)
ema = np.convolve(weights, c)[N-1:-N+1]
t = np.arange(N - 1, len(c))
plot(t, c[N-1:], lw=1.0)
plot(t, ema, lw=2.0)
show()

布林带

#布林带
N = 5 
weights = np.ones(N) / N
print( "Weights", weights) 
c = np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True)
sma = np.convolve(weights, c)[N-1:-N+1]
deviation = []C = len(c) 
for i in range(N - 1, C):   if i + N < C:      
    dev = c[i: i + N]   else:      
    dev = c[-N:]      
    averages = np.zeros(N)   
    averages.fill(sma[i - N - 1])   
    dev = dev - averages    
    dev = dev ** 2   
    dev = np.sqrt(np.mean(dev))   
    deviation.append(dev) 
deviation = 2 * np.array(deviation)
print( len(deviation), len(sma))upperBB = sma + deviationlowerBB = sma - deviation c_slice = c[N-1:]
between_bands = np.where((c_slice < upperBB) & (c_slice > lowerBB)) 
print( lowerBB[between_bands])
print( c[between_bands])
print( upperBB[between_bands])
between_bands = len(np.ravel(between_bands))
print( "Ratio between bands", float(between_bands)/len(c_slice)) 
t = np.arange(N - 1, C)
plot(t, c_slice, lw=1.0)
plot(t, sma, lw=2.0)
plot(t, upperBB, lw=3.0)
plot(t, lowerBB, lw=4.0)show()

线性模型

#线性模型
N = int(sys.argv[1]) 
c = np.loadtxt('data.csv', delimiter=',', usecols=(6,), unpack=True) 
b = c[-N:]b = b[::-1]
print( "b", b) A = np.zeros((N, N), float)
print( "Zeros N by N", A) 
for i in range(N):   
   A[i, ] = c[-N - 1 - i: - 1 - i] 
print( "A", A)(x, residuals, rank, s) = np.linalg.lstsq(A, b) 
print( x, residuals, rank, s) print( np.dot(b, x)) 
#趋势线
def fit_line(t, y):   
   A = np.vstack([t, np.ones_like(t)]).T    
   return np.linalg.lstsq(A, y)[0] 
h, l, c = np.loadtxt('data.csv', delimiter=',', usecols=(4, 5, 6), unpack=True) 
pivots = (h + l + c) / 3print( "Pivots", pivots) 
t = np.arange(len(c))
sa, sb = fit_line(t, pivots - (h - l)) 
ra, rb = fit_line(t, pivots + (h - l)) 
support = sa * t + sb
resistance = ra * t + rb 
condition = (c > support) & (c < resistance)
print( "Condition", condition)
between_bands = np.where(condition) 
print( support[between_bands])
print( c[between_bands])
print( resistance[between_bands])
between_bands = len(np.ravel(between_bands))
print( "Number points between bands", between_bands)
print( "Ratio between bands", float(between_bands)/len(c) ) 
print( "Tomorrows support", sa * (t[-1] + 1) + sb)
print( "Tomorrows resistance", ra * (t[-1] + 1) + rb) 
a1 = c[c > support]a2 = c[c < resistance]
print( "Number of points between bands 2nd approach" ,len(np.intersect1d(a1, a2))) 
plot(t, c)
plot(t, support)
plot(t, resistance)show()

data.csv我上传了，可以下载练习