SUCCESSFUL ALGORITHMIC TRADING(附代码)
代码片段和文件信息
属性 大小 日期 时间 名称
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目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter10
文件 2481 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter10cadf.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter11
文件 4129 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter11forecast.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter12
文件 2780 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter12sharpe.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter13
文件 922 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter13var.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14
文件 4445 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14acktest.py
文件 7340 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14data.py
文件 4954 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14event.py
文件 2263 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14execution.py
文件 6968 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14ib_execution.py
文件 3515 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14mac.py
文件 1431 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14performance.py
文件 8898 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14portfolio.py
文件 1071 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14strategy.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15
文件 4445 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15acktest.py
文件 1860 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15create_lagged_series.py
文件 7464 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15data.py
文件 4954 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15event.py
文件 2263 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15execution.py
文件 5509 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15hft_data.py
文件 9070 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15hft_portfolio.py
文件 6968 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15ib_execution.py
文件 5391 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15intraday_mr.py
文件 3603 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15mac.py
文件 1431 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15performance.py
............此处省略22个文件信息
#!/usr/bin/python
# -*- coding: utf-8 -*-
# cadf.py
import datetime
import numpy as np
import matplotlib.pyplot as plt
import matplotlib.dates as mdates
import pandas as pd
import pandas.io.data as web
import pprint
import statsmodels.tsa.stattools as ts
from pandas.stats.api import ols
def plot_price_series(df ts1 ts2):
months = mdates.MonthLocator() # every month
fig ax = plt.subplots()
ax.plot(df.index df[ts1] label=ts1)
ax.plot(df.index df[ts2] label=ts2)
ax.xaxis.set_major_locator(months)
ax.xaxis.set_major_formatter(mdates.DateFormatter(‘%b %Y‘))
ax.set_xlim(datetime.datetime(2012 1 1) datetime.datetime(2013 1 1))
ax.grid(True)
fig.autofmt_xdate()
plt.xlabel(‘Month/Year‘)
plt.ylabel(‘Price ($)‘)
plt.title(‘%s and %s Daily Prices‘ % (ts1 ts2))
plt.legend()
plt.show()
def plot_scatter_series(df ts1 ts2):
plt.xlabel(‘%s Price ($)‘ % ts1)
plt.ylabel(‘%s Price ($)‘ % ts2)
plt.title(‘%s and %s Price Scatterplot‘ % (ts1 ts2))
plt.scatter(df[ts1] df[ts2])
plt.show()
def plot_residuals(df):
months = mdates.MonthLocator() # every month
fig ax = plt.subplots()
ax.plot(df.index df[“res“] label=“Residuals“)
ax.xaxis.set_major_locator(months)
ax.xaxis.set_major_formatter(mdates.DateFormatter(‘%b %Y‘))
ax.set_xlim(datetime.datetime(2012 1 1) datetime.datetime(2013 1 1))
ax.grid(True)
fig.autofmt_xdate()
plt.xlabel(‘Month/Year‘)
plt.ylabel(‘Price ($)‘)
plt.title(‘Residual Plot‘)
plt.legend()
plt.plot(df[“res“])
plt.show()
if __name__ == “__main__“:
start = datetime.datetime(2012 1 1)
end = datetime.datetime(2013 1 1)
arex = web.DataReader(“AREX“ “yahoo“ start end)
wll = web.DataReader(“WLL“ “yahoo“ start end)
df = pd.Dataframe(index=arex.index)
df[“AREX“] = arex[“Adj Close“]
df[“WLL“] = wll[“Adj Close“]
# Plot the two time series
plot_price_series(df “AREX“ “WLL“)
# Display a scatter plot of the two time series
plot_scatter_series(df “AREX“ “WLL“)
# Calculate optimal hedge ratio “beta“
res = ols(y=df[‘WLL‘] x=df[“AREX“])
beta_hr = res.beta.x
# Calculate the residuals of the linear combination
df[“res“] = df[“WLL“] - beta_hr*df[“AREX“]
# Plot the residuals
plot_residuals(df)
# Calculate and output the CADF test on the residuals
cadf = ts.adfuller(df[“res“])
pprint.pprint(cadf)
属性 大小 日期 时间 名称
----------- --------- ---------- ----- ----
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter10
文件 2481 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter10cadf.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter11
文件 4129 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter11forecast.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter12
文件 2780 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter12sharpe.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter13
文件 922 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter13var.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14
文件 4445 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14acktest.py
文件 7340 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14data.py
文件 4954 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14event.py
文件 2263 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14execution.py
文件 6968 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14ib_execution.py
文件 3515 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14mac.py
文件 1431 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14performance.py
文件 8898 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14portfolio.py
文件 1071 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter14strategy.py
目录 0 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15
文件 4445 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15acktest.py
文件 1860 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15create_lagged_series.py
文件 7464 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15data.py
文件 4954 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15event.py
文件 2263 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15execution.py
文件 5509 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15hft_data.py
文件 9070 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15hft_portfolio.py
文件 6968 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15ib_execution.py
文件 5391 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15intraday_mr.py
文件 3603 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15mac.py
文件 1431 2015-06-18 08:55 algo-ebook-full-source-code-20150618chapter15performance.py
............此处省略22个文件信息
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