pd.qcut, pd.cut, df.groupby()等在分組和聚合方面的應用

pd.qcut, pd.cut, df.groupby()等在分組和聚合方面的應用

量化交易裏, 須要進行大量的分組和統計, 以方便本身處優點的位置/機會.
好比對股價進行趨勢分析, 波動性分析, 量化以後, 進行歸類統計, 再進行勝算機率的統計.

依據D8和T8的區間, 可以組合出來16種情形, 每一種case都是人們搭建起來的一幅美麗的場景.
研究和觀察每一幅場景出現之後, 隨後的幾天裏的表現, 那是很是使人期待的事情.

TD圖的統計展現, 尚未作完, 先留下部分結果:

代碼:

def study_t_d_map():
    stk=load_symbol('000895.sz', start='2016-01-01')
    c=stk.ohlc.close
    dft=pd.DataFrame()
    
    n=32
    dft['c']=c
    #dft['std']  = ttr.stddev(c,32)
    #dft['std_'] = c.rolling(32).std()
    #dft['lr'] = ttr.linreg(c,n)
    #slope = ta.LINEARREG_SLOPE(c,n)
    dft['trendNorm'] = trendNorm(c,32)
    dft['trend16'] = trendNorm(c,16)
    dft['trend8'] = trendNorm(c,8)
    beta = ttr.estimateBeta(dft.trend16+15, dft.trend8+15)
    print('beta(T16, T8): ', beta) # 0.10
    fig,ax = plt.subplots(1,1)
    ax.scatter(dft.trend8, dft.trend16)
    
    
    
    
    
    dft['v32'] =   ttr.stddev(c,32)/ ta.LINEARREG(c,32)
    dft['v16'] =   ttr.stddev(c,16)/ ta.LINEARREG(c,16)
    dft['v8'] =   ttr.stddev(c,8)/ ta.LINEARREG(c,8)
    
    dft['D']  = (c-ttr.linreg(c,n) )/ ta.STDDEV(c,n)
    n=16; dft['D16']  = (c-ttr.linreg(c,n) )/ ta.STDDEV(c,n)
    n=8; dft['D8']  = (c-ttr.linreg(c,n) )/ ta.STDDEV(c,n)
    print('==>數據的長度是: {}'.format(len(c)))
    beta2 = ttr.estimateBeta(dft.D16+5, dft.D8+5)
    print('beta(D16, D8): ', beta2) # 0.67
    fig,(ax1,ax2) = plt.subplots(1,2)
    ax1.scatter(dft.D8, dft.D16)
    ax2.scatter(dft.D8, dft.trend8)
    ax2.set_title('D8 - T8 map')
    
    beta3 = ttr.estimateBeta(dft.D8+15, dft.trend8+15)
    print('beta(D8, T8): ', beta3)  # 0.23
    
    
    roc2 = ttr.roc(c,2).shift(-2)
    
    
    
    D8 = dft['D8']
    T8 = dft['trend8']
    #whichCut=value_cut # quantile_cut
    whichCut= 'cut'
    if whichCut== 'qcut':
        cut=quantile=[0,0.25,0.5,0.75,1]
        d_key = pd.qcut(D8, q=quantile, 
                        labels=['BDL', 'NDL','NDR','BDR'])
        t_key = pd.qcut(T8, q=quantile, 
                        labels=['BTD', 'NTD','NTU','BTU'])
    else:
        cut=[-8,-1,0 ,1,8]
        d_key = pd.cut(D8, bins=cut)
        t_key = pd.cut(T8, bins=cut)
        
    r=pd.DataFrame()
    #r['c'] = c
    r['roc2'] = roc2.dropna()
    r['d_key'] = d_key
    r['t_key'] = t_key
    
    
    def count_positive_returns(x):
        count,countp,countn=0,0,0
        cumr=1.0
        for e in x:
            cumr *= (1.+e)
            count += 1
            if e>=0:
                countp += 1
            else:
                countn += 1
        return ( count, countp, countn ,round(cumr,3)  )

    groupby = r['roc2'].groupby([r['d_key'], r['t_key']])
    tot_count = groupby.count()
    p_count = groupby.apply(count_positive_returns)
    p_count


    #把一片一片的分組數據作成 字典
    
    pian = OrderedDict(list(groupby))
    D8T8, count_list= [],[]
    for k in pian.keys():
#    pian[('BDL','BTD')]
        len_=len(pian[k])
        print(len_)
        count_list.append(len_)
        D8T8.append( pd.DataFrame({'T8':T8,'D8':D8}, index=pian[k].index))

    fig,ax=plt.subplots(1,1)
    y=x=[-1.5,-0.5,0, 1.5,2.5]
    for i,_df in enumerate(D8T8):
        ax.scatter(_df.D8, _df.T8, label='Q' + str(i+1)+\
                   ':'+str(count_list[i]))
#    for row in range(4):
#        for col in range(4):
#            print (x[row], y[col])
#            pos=row*col
#            print(count_list[pos])
#        ax.text(x,y, count_list[i])
    ax.set_title('D8 - T8 map by cut:'+str(cut))
    ax.legend()
    xticks = [-2,-1. ,  0. ,   1. ,2]
    ax.set_xticks(xticks)
    ax.set_yticks(xticks)
    ax.grid()