1227 lines
567 KiB
Plaintext
1227 lines
567 KiB
Plaintext
{
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"cells": [
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{
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"metadata": {},
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"cell_type": "raw",
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"source": "课程地址：https://www.bilibili.com/video/BV18M4y1x7FC",
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"id": "3513184200ddb334"
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},
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"metadata": {
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"end_time": "2024-12-29T05:43:42.452488Z",
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}
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},
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"cell_type": "code",
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"source": [
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"import numpy as np\n",
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"import pandas as pd\n",
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"import matplotlib.pyplot as plt\n",
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"\n",
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"%matplotlib inline\n",
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"%config InlineBackend.figure_format = 'svg'"
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],
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"id": "e4ed301b47929483",
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"outputs": [],
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"execution_count": 185
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2024-12-29T05:43:42.480654Z",
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"start_time": "2024-12-29T05:43:42.463155Z"
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}
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},
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"cell_type": "code",
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"source": [
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"# 设置索引，时间格式化，选择指定的列（优先级比设置索引高，先选列，再根据选择的列来设置索引，列命名也在index前面），命名列名\n",
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"df = pd.read_csv(\n",
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" '../document/SZ000001.csv',\n",
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" usecols=[1, 4],\n",
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" names=['date', 'price'],\n",
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" index_col='date',\n",
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" parse_dates=True,\n",
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" date_format='%Y-%m-%d'\n",
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")\n",
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"# 截取2020至2024年的数据\n",
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"df = df.loc['2023':'2024']\n",
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"df"
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],
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"id": "525040c36ae50cdc",
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"outputs": [
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{
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"data": {
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"text/plain": [
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" price\n",
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"date \n",
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"2023-01-03 12.52\n",
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"2023-01-04 13.07\n",
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"2023-01-05 13.23\n",
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"2023-01-06 13.37\n",
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"2023-01-09 13.55\n",
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"... ...\n",
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"2024-12-23 11.73\n",
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"2024-12-24 11.86\n",
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"2024-12-25 11.92\n",
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"2024-12-26 11.86\n",
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"2024-12-27 11.82\n",
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"\n",
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"[482 rows x 1 columns]"
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],
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"text/html": [
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"<div>\n",
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"<style scoped>\n",
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" .dataframe tbody tr th:only-of-type {\n",
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" vertical-align: middle;\n",
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" }\n",
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"\n",
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" .dataframe tbody tr th {\n",
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" vertical-align: top;\n",
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" }\n",
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"\n",
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" .dataframe thead th {\n",
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" text-align: right;\n",
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" }\n",
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"</style>\n",
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"<table border=\"1\" class=\"dataframe\">\n",
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
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" <th>price</th>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>date</th>\n",
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" <th></th>\n",
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" </tr>\n",
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>2023-01-03</th>\n",
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" <td>12.52</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2023-01-04</th>\n",
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" <td>13.07</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2023-01-05</th>\n",
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" <td>13.23</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2023-01-06</th>\n",
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" <td>13.37</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2023-01-09</th>\n",
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" <td>13.55</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>...</th>\n",
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" <td>...</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2024-12-23</th>\n",
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" <td>11.73</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2024-12-24</th>\n",
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" <td>11.86</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2024-12-25</th>\n",
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" <td>11.92</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2024-12-26</th>\n",
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" <td>11.86</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2024-12-27</th>\n",
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" <td>11.82</td>\n",
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" </tr>\n",
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" </tbody>\n",
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"</table>\n",
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"<p>482 rows × 1 columns</p>\n",
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"</div>"
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]
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},
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"execution_count": 186,
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"metadata": {},
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"output_type": "execute_result"
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}
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},
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"cell_type": "code",
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"source": [
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"# plot按列数据来绘制，如果有多个列，就会把多个列绘制在一起\n",
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"df.plot(figsize=(10, 6), subplots=False)"
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],
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"id": "41129f84b03175a6",
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"outputs": [
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{
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"data": {
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"text/plain": [
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"<Axes: xlabel='date'>"
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]
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},
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"execution_count": 187,
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"metadata": {},
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"output_type": "execute_result"
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},
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{
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"data": {
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"text/plain": [
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"<Figure size 1000x600 with 1 Axes>"
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"metadata": {},
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"output_type": "display_data"
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}
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],
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"execution_count": 187
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||
},
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{
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||
"metadata": {
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"ExecuteTime": {
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"end_time": "2024-12-29T05:43:42.638722Z",
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"start_time": "2024-12-29T05:43:42.629987Z"
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}
|
||
},
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"cell_type": "code",
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||
"source": [
|
||
"# 保留2位小数\n",
|
||
"df.describe().round(2)"
|
||
],
|
||
"id": "6956cbc9873a8e7a",
|
||
"outputs": [
|
||
{
|
||
"data": {
|
||
"text/plain": [
|
||
" price\n",
|
||
"count 482.00\n",
|
||
"mean 10.45\n",
|
||
"std 1.27\n",
|
||
"min 8.07\n",
|
||
"25% 9.64\n",
|
||
"50% 10.25\n",
|
||
"75% 11.39\n",
|
||
"max 13.90"
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],
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"<div>\n",
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"<style scoped>\n",
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||
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" <tr style=\"text-align: right;\">\n",
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||
" <th></th>\n",
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||
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||
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|
||
" <tr>\n",
|
||
" <th>count</th>\n",
|
||
" <td>482.00</td>\n",
|
||
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|
||
" <tr>\n",
|
||
" <th>mean</th>\n",
|
||
" <td>10.45</td>\n",
|
||
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|
||
" <tr>\n",
|
||
" <th>std</th>\n",
|
||
" <td>1.27</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>min</th>\n",
|
||
" <td>8.07</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>25%</th>\n",
|
||
" <td>9.64</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>50%</th>\n",
|
||
" <td>10.25</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>75%</th>\n",
|
||
" <td>11.39</td>\n",
|
||
" </tr>\n",
|
||
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|
||
" <th>max</th>\n",
|
||
" <td>13.90</td>\n",
|
||
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|
||
" </tbody>\n",
|
||
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|
||
"</div>"
|
||
]
|
||
},
|
||
"execution_count": 188,
|
||
"metadata": {},
|
||
"output_type": "execute_result"
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||
}
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||
],
|
||
"execution_count": 188
|
||
},
|
||
{
|
||
"metadata": {
|
||
"ExecuteTime": {
|
||
"end_time": "2024-12-29T05:43:42.741755Z",
|
||
"start_time": "2024-12-29T05:43:42.734722Z"
|
||
}
|
||
},
|
||
"cell_type": "code",
|
||
"source": [
|
||
"# 计算各种累计值，也可以传入函数\n",
|
||
"df.aggregate(['min', 'max', 'std', 'mean', 'median'])"
|
||
],
|
||
"id": "4fae9992ff3b233a",
|
||
"outputs": [
|
||
{
|
||
"data": {
|
||
"text/plain": [
|
||
" price\n",
|
||
"min 8.070000\n",
|
||
"max 13.900000\n",
|
||
"std 1.273458\n",
|
||
"mean 10.454066\n",
|
||
"median 10.250000"
|
||
],
|
||
"text/html": [
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||
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|
||
"<style scoped>\n",
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||
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||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
" .dataframe thead th {\n",
|
||
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|
||
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|
||
"</style>\n",
|
||
"<table border=\"1\" class=\"dataframe\">\n",
|
||
" <thead>\n",
|
||
" <tr style=\"text-align: right;\">\n",
|
||
" <th></th>\n",
|
||
" <th>price</th>\n",
|
||
" </tr>\n",
|
||
" </thead>\n",
|
||
" <tbody>\n",
|
||
" <tr>\n",
|
||
" <th>min</th>\n",
|
||
" <td>8.070000</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>max</th>\n",
|
||
" <td>13.900000</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>std</th>\n",
|
||
" <td>1.273458</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>mean</th>\n",
|
||
" <td>10.454066</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>median</th>\n",
|
||
" <td>10.250000</td>\n",
|
||
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|
||
" </tbody>\n",
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"</table>\n",
|
||
"</div>"
|
||
]
|
||
},
|
||
"execution_count": 189,
|
||
"metadata": {},
|
||
"output_type": "execute_result"
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||
}
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],
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||
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||
},
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||
{
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||
"metadata": {
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||
"ExecuteTime": {
|
||
"end_time": "2024-12-29T05:43:42.811128Z",
|
||
"start_time": "2024-12-29T05:43:42.802866Z"
|
||
}
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||
},
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||
"cell_type": "code",
|
||
"source": [
|
||
"# 计算差异值（后一天比前一天的变化）\n",
|
||
"# periods=3，表示3天前的数据\n",
|
||
"# df.diff(periods=3)\n",
|
||
"df.diff()"
|
||
],
|
||
"id": "9a126039c26384bf",
|
||
"outputs": [
|
||
{
|
||
"data": {
|
||
"text/plain": [
|
||
" price\n",
|
||
"date \n",
|
||
"2023-01-03 NaN\n",
|
||
"2023-01-04 0.55\n",
|
||
"2023-01-05 0.16\n",
|
||
"2023-01-06 0.14\n",
|
||
"2023-01-09 0.18\n",
|
||
"... ...\n",
|
||
"2024-12-23 0.11\n",
|
||
"2024-12-24 0.13\n",
|
||
"2024-12-25 0.06\n",
|
||
"2024-12-26 -0.06\n",
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],
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},
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"metadata": {},
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"output_type": "display_data"
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}
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],
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"execution_count": 192
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},
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{
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"metadata": {
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"end_time": "2024-12-29T05:43:43.253586Z",
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"start_time": "2024-12-29T05:43:43.176762Z"
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}
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},
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"cell_type": "code",
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"source": [
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"# 连续增长率计算\n",
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||
"# df/df.shift(1)当前一天和前一天的相互操作\n",
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||
"# 增长率需要用对数进行累加（cumsum）\n",
|
||
"# np.exp用于还原对数计算\n",
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"np.cumsum(np.log(df / df.shift(1))).apply(np.exp).plot(figsize=(10, 6))"
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],
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||
"id": "a3b0cb1549229355",
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"outputs": [
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{
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"data": {
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"text/plain": [
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"<Axes: xlabel='date'>"
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]
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},
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"execution_count": 193,
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"metadata": {},
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"output_type": "execute_result"
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},
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{
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"data": {
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"text/plain": [
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"<Figure size 1000x600 with 1 Axes>"
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],
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},
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"metadata": {
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"end_time": "2024-12-29T05:43:43.289315Z",
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"start_time": "2024-12-29T05:43:43.280775Z"
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}
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},
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"cell_type": "code",
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"source": [
|
||
"# 时间序列重新采样\n",
|
||
"# label指定从时间周期的前面还是后面开始\n",
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||
"df.resample('ME').mean()"
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],
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"id": "586fbb01abef8112",
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"outputs": [
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" price\n",
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"2023-01-31 13.515000\n",
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||
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||
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||
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||
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||
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|
||
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||
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|
||
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|
||
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|
||
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|
||
" <th>2023-06-30</th>\n",
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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|
||
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|
||
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||
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||
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||
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||
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||
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|
||
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|
||
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||
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|
||
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||
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|
||
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||
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||
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|
||
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||
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|
||
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||
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||
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||
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||
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|
||
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||
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||
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||
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||
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|
||
" <td>9.980000</td>\n",
|
||
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||
" <tr>\n",
|
||
" <th>2024-10-31</th>\n",
|
||
" <td>11.807222</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-11-30</th>\n",
|
||
" <td>11.521429</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-12-31</th>\n",
|
||
" <td>11.659500</td>\n",
|
||
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||
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||
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||
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||
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||
},
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||
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||
"metadata": {},
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||
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||
}
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||
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||
"cell_type": "code",
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||
"source": [
|
||
"# 时间窗口重采样\n",
|
||
"df.rolling(window=5).mean().round(2)"
|
||
],
|
||
"id": "37b699c8884de4f0",
|
||
"outputs": [
|
||
{
|
||
"data": {
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||
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|
||
" price\n",
|
||
"date \n",
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||
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||
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||
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|
||
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|
||
"2023-01-09 13.15\n",
|
||
"... ...\n",
|
||
"2024-12-23 11.62\n",
|
||
"2024-12-24 11.69\n",
|
||
"2024-12-25 11.74\n",
|
||
"2024-12-26 11.80\n",
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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|
||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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|
||
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},
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"metadata": {},
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"output_type": "display_data"
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}
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],
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"execution_count": 196
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||
},
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||
{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2024-12-29T05:43:43.690226Z",
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"start_time": "2024-12-29T05:43:43.562721Z"
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}
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},
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"cell_type": "code",
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"source": [
|
||
"df['check'] = np.where(df['m10'] > df['m30'], 1, -1)\n",
|
||
"# 绘制第二坐标轴\n",
|
||
"df.plot(figsize=(20, 10), secondary_y='check')"
|
||
],
|
||
"id": "d4729649db0e2d0d",
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||
"outputs": [
|
||
{
|
||
"data": {
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||
"text/plain": [
|
||
"<Axes: xlabel='date'>"
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||
]
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||
},
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||
"execution_count": 197,
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||
"metadata": {},
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||
"output_type": "execute_result"
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},
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{
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"data": {
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"text/plain": [
|
||
"<Figure size 2000x1000 with 2 Axes>"
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],
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},
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"metadata": {},
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||
"output_type": "display_data"
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||
}
|
||
],
|
||
"execution_count": 197
|
||
},
|
||
{
|
||
"metadata": {
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||
"ExecuteTime": {
|
||
"end_time": "2024-12-29T05:43:43.807150Z",
|
||
"start_time": "2024-12-29T05:43:43.696734Z"
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||
}
|
||
},
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||
"cell_type": "code",
|
||
"source": [
|
||
"# 默认第一列是第一坐标轴\n",
|
||
"df[['m10', 'm30']].plot(figsize=(10, 6), secondary_y='m30')"
|
||
],
|
||
"id": "3c6ee8f302e52d71",
|
||
"outputs": [
|
||
{
|
||
"data": {
|
||
"text/plain": [
|
||
"<Axes: xlabel='date'>"
|
||
]
|
||
},
|
||
"execution_count": 198,
|
||
"metadata": {},
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||
"output_type": "execute_result"
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||
},
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||
{
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"data": {
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"text/plain": [
|
||
"<Figure size 1000x600 with 2 Axes>"
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||
],
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},
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"metadata": {},
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"output_type": "display_data"
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}
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],
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"execution_count": 198
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2024-12-29T05:48:28.066351Z",
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"start_time": "2024-12-29T05:48:27.860390Z"
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}
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},
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"cell_type": "code",
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"source": [
|
||
"df_test = df[['m10', 'm30']].copy()\n",
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||
"pd.plotting.scatter_matrix(\n",
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||
" df_test,\n",
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||
" alpha=0.5,\n",
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||
" diagonal='hist',\n",
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||
" hist_kwds={'bins': 100},\n",
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||
" figsize=(18, 10),\n",
|
||
")"
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||
],
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||
"id": "1ed94510b4e8746c",
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"outputs": [
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||
{
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"data": {
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"text/plain": [
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" <Axes: xlabel='m30', ylabel='m10'>],\n",
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" [<Axes: xlabel='m10', ylabel='m30'>,\n",
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" <Axes: xlabel='m30', ylabel='m30'>]], dtype=object)"
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]
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},
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"execution_count": 206,
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"metadata": {},
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"output_type": "execute_result"
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},
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{
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"data": {
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"text/plain": [
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"<Figure size 1800x1000 with 4 Axes>"
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],
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},
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"metadata": {},
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||
"output_type": "display_data"
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}
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||
],
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||
"execution_count": 206
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||
},
|
||
{
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||
"metadata": {
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||
"ExecuteTime": {
|
||
"end_time": "2024-12-29T05:52:08.565634Z",
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||
"start_time": "2024-12-29T05:52:08.557923Z"
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||
}
|
||
},
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||
"cell_type": "code",
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||
"source": [
|
||
"# 构建回归方程（解方程）\n",
|
||
"df_test.dropna(inplace=True)\n",
|
||
"reg = np.polyfit(\n",
|
||
" df_test['m10'],\n",
|
||
" df_test['m30'],\n",
|
||
" # 多项式方程的最高次方\n",
|
||
" deg=3,\n",
|
||
")\n",
|
||
"reg"
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||
],
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||
"id": "aae5696d251e43fd",
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||
"outputs": [
|
||
{
|
||
"data": {
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||
"text/plain": [
|
||
"array([ 0.01308501, -0.37629985, 4.52481977, -10.67969834])"
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||
]
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||
},
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||
"execution_count": 215,
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||
"metadata": {},
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||
"output_type": "execute_result"
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||
}
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||
],
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||
"execution_count": 215
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||
},
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||
{
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||
"metadata": {
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||
"ExecuteTime": {
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||
"end_time": "2024-12-29T05:52:10.430030Z",
|
||
"start_time": "2024-12-29T05:52:10.358538Z"
|
||
}
|
||
},
|
||
"cell_type": "code",
|
||
"source": "df_test.plot(kind='scatter', x='m10', y='m30', figsize=(18, 10)).plot(df_test['m10'], np.polyval(reg, df_test['m10']), color='red')",
|
||
"id": "489b794346056bb0",
|
||
"outputs": [
|
||
{
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||
"data": {
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||
"text/plain": [
|
||
"[<matplotlib.lines.Line2D at 0x2c4efc80410>]"
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||
]
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||
},
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||
"execution_count": 216,
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||
"metadata": {},
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"output_type": "execute_result"
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||
},
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||
{
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"data": {
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||
"text/plain": [
|
||
"<Figure size 1800x1000 with 1 Axes>"
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||
],
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