def __alpha_beta(self): self.alpha = [] self.beta = [] for year in xrange(self.first_year, 2015): W = TimeWindow(workingday.first(year, 1), workingday.first(year + 1, 1)) R = self.R & W alpha, beta = R.alpha_beta(N = len(W)) self.alpha.append(alpha[0]*260) self.beta.append(beta[0])
def __alpha_beta(self):
self.alpha = []
self.beta = []
for year in xrange(self.first_year, 2015):
W = TimeWindow(workingday.first(year, 1),
workingday.first(year + 1, 1))
R = self.R & W
alpha, beta = R.alpha_beta(N=len(W))
self.alpha.append(alpha[0] * 260)
self.beta.append(beta[0])
def __sharpe_ratio(self): self.mean = [] self.stdev = [] self.sharpe = [] for year in xrange(self.first_year, 2015): W = TimeWindow(workingday.first(year, 1), workingday.first(year + 1, 1)) P = self.P & W R = self.R & W self.mean.append((P[-1] - P[0])*100) self.stdev.append(R.stdev(len(W))[0]*100) r_f = (self.R_f & W).sma(len(W))[0] self.sharpe.append((self.mean[-1] - r_f)/self.stdev[-1])
def __sharpe_ratio(self):
self.mean = []
self.stdev = []
self.sharpe = []
for year in xrange(self.first_year, 2015):
W = TimeWindow(workingday.first(year, 1),
workingday.first(year + 1, 1))
P = self.P & W
R = self.R & W
self.mean.append((P[-1] - P[0]) * 100)
self.stdev.append(R.stdev(len(W))[0] * 100)
r_f = (self.R_f & W).sma(len(W))[0]
self.sharpe.append((self.mean[-1] - r_f) / self.stdev[-1])
