November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
Python
、
NumPy
、
matplotlib
和
pandas
｜
375
In [214]: ret
Out[214]: SPX 0.104995
VIX -0.037526
dtype: float64
In [215]: vol = rets.std() * math.sqrt(252)
In [216]: vol
Out[216]: SPX 0.147902
VIX 1.229086
dtype: float64
In [217]: (ret - 0.01) / vol
Out[217]: SPX 0.642279
VIX -0.038667
dtype: float64
计算两个指数的年化平均回报。
计算年化标准差。
计算无风险短期利率为
1%
的夏普比率。
我们仅针对标准普尔
500
指数计算最大跌幅要涉及更多。对于它的计算，我们使
用
.cummax()
方法记录时间序列到某个日期的运行的历史最大值。参考下面生成
附图
10
中的图的代码。
In [218]: plt.figure(figsize=(10, 6))
spxvix['SPX'].plot(label='S&P 500')
spxvix['SPX'].cummax().plot(label='running maximum')
plt.legend(loc=0);
实例化一个新的图形对象。
绘制标准普尔 ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.