def markowitz_r(funddfr, bounds):
rf = const.rf
final_risk = 0
final_return = 0
final_ws = []
final_sharp = -10000000000000000000000000.0
final_codes = []
codes = funddfr.columns
return_rate = []
for code in codes:
return_rate.append(funddfr[code].values)
risks, returns, ws = fin.efficient_frontier(return_rate, bounds)
for j in range(0, len(risks)):
sharp = (returns[j] - rf) / risks[j]
if sharp > final_sharp:
final_risk = risks[j]
final_return = returns[j]
final_ws = ws[j]
final_sharp = sharp
return final_risk, final_return, final_ws, final_sharp
def markowitz(funddf, bounds, d):
rf = const.rf
funddfr = funddf.pct_change()
funddfr = funddfr.fillna(0.0)
final_risk = 0
final_return = 0
final_ws = []
final_sharp = -10000000000000000000000000.0
final_codes = []
codes = funddfr.columns
return_rate = []
for code in codes:
return_rate.append(funddfr[code].values)
risks, returns, ws = fin.efficient_frontier(return_rate, bounds)
for j in range(0, len(risks)):
sharp = (returns[j] - rf) / risks[j]
if sharp > final_sharp:
final_risk = risks[j]
final_return = returns[j]
final_ws = ws[j]
final_sharp = sharp
f_str = '%s, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f, %f\n'
f = open('./tmp/ef_' + d + '.csv', 'w')
f.write(
'date, risk, return, largecap, smallcap, rise, oscillation, decline ,growth ,value, ratebond, creditbond, convertiblebond, money1, money2, SP500.SPI, SPGSGCTR.SPI, HSCI.HI\n'
)
#for j in range(0, len(risks)):
# f.write(f_str % (d,risks[j], returns[j], ws[j][0], ws[j][1], ws[j][2], ws[j][3], ws[j][4], ws[j][5], ws[j][6], ws[j][7], ws[j][8], ws[j][9], ws[j][10], ws[j][11], ws[j][12], ws[j][13], ws[j][14] ))
f.flush()
f.close()
return final_risk, final_return, final_ws, final_sharp
return_rate = []
dapan = df['dapan'].values
xiaopan = df['xiaopan'].values
dapanrs = []
xiaopanrs = []
for i in range(1, len(dapan)):
dapanrs.append(dapan[i] / dapan[i - 1] - 1)
for i in range(1, len(xiaopan)):
xiaopanrs.append(xiaopan[i] / xiaopan[i - 1] - 1)
return_rate.append(dapanrs)
return_rate.append(xiaopanrs)
risks, returns, portfolios = fin.efficient_frontier(return_rate)
rf = 0.025 / 52
n = 0
sharp = (returns[0] - rf) / risks[0]
for i in range(0, len(returns)):
s = (returns[i] - rf) / risks[i]
if s > sharp:
sharp = s
n = i
###########################################################################
#print 'sharp : ', sharp, 'return : ', returns[n], 'risk : ', risks[n], 'portfolio : ', portfolios[n]
#print 'annual return : ', returns[n] * 52