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『Python』Numpy学习指南第三章__常用函数

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np.eye(2)
np.savetxt(‘eye.txt‘,i2)
c,v = np.loadtxt(‘data.csv‘, delimiter=‘,‘, usecols=(6,7), unpack=True)
 1 # __*__coding=utf-8__*__
 2 
 3 import numpy as np
 4 
 5 # 单位矩阵生成
 6 i2 = np.eye(2)
 7 print(i2)
 8 
 9 # 保存为txt
10 np.savetxt(eye.txt,i2)
11 
12 # 读取csv文件
13 # unpack意为拆分返回为多个变量
14 # 0        1    2   3      4     5      6      7
15 # 股票代码,日期,空格,开盘价,最高价,最低价,收盘价,日成交量
16 # c代表收盘价,v代表交易量
17 c,v = np.loadtxt(data.csv, delimiter=,, usecols=(6,7), unpack=True)
18 print(c,v)

[[ 1.  0.]
 [ 0.  1.]]
[ 336.1   339.32  345.03  344.32  343.44  346.5   351.88  355.2   358.16
  354.54  356.85  359.18  359.9   363.13  358.3   350.56  338.61  342.62
  342.88  348.16  353.21  349.31  352.12  359.56  360.    355.36  355.76
  352.47  346.67  351.99] [ 21144800.  13473000.  15236800.   9242600.  14064100.  11494200.
  17322100.  13608500.  17240800.  33162400.  13127500.  11086200.
  10149000.  17184100.  18949000.  29144500.  31162200.  23994700.
  17853500.  13572000.  14395400.  16290300.  21521000.  17885200.
  16188000.  19504300.  12718000.  16192700.  18138800.  16824200.]

np.average(c, weights=v)
np.mean(c)
 1 ‘‘‘平均值‘‘‘
 2 
 3 # 交易量平均价格VWAP,单价c,交易量
 4 vwap = np.average(c, weights=v)
 5 print(vwap)
 6 # 算数平均值
 7 print(np.mean(c), np.average(c))
 8 # 时间加权平均价格TWAP
 9 t = np.arange(len(c))
10 twap = np.average(c,weights=t)
11 print(twap)
350.589549353
351.037666667 351.037666667
352.428321839
np.max(h)
np.min(l)
np.median(c)
np.ptp(h)
 1 ‘‘‘最大最小值‘‘‘
 2 
 3 h,l = np.loadtxt(data.csv, delimiter=,, usecols=(4,5), unpack=True)
 4 print(最大值:,np.max(h))
 5 print(最小值:,np.min(l))
 6 # 中位数
 7 print(中位数:, np.median(c))
 8 # 计算一个array的区间
 9 print(最高价区间:,np.ptp(h))
10 print(最低价区间:,np.ptp(l))
最大值: 364.9
最小值: 333.53
中位数: 352.055
最高价区间: 24.86
最低价区间: 26.97
np.var(c)
np.msort(c)
 1 ‘‘‘统计分析基础‘‘‘
 2 
 3 c = np.loadtxt(data.csv, delimiter=,, usecols=(6,), unpack=False)
 4 print(统计中位数:,np.median(c))
 5 # 方差
 6 #
 7 print(方差:,np.var(c))
 8 print(方差:,np.mean((c-c.mean())**2))
 9 # 排序
10 sorted_close = np.msort(c)
11 print(sorted_close)
12 print_line()
统计中位数: 352.055
方差: 50.1265178889
方差: 50.1265178889
[ 336.1   338.61  339.32  342.62  342.88  343.44  344.32  345.03  346.5
  346.67  348.16  349.31  350.56  351.88  351.99  352.12  352.47  353.21
  354.54  355.2   355.36  355.76  356.85  358.16  358.3   359.18  359.56
  359.9   360.    363.13]
np.diff(c)
np.log(c)
np.where(returns>0)
np.std(logreturns
 1 ‘‘‘股票收益率‘‘‘
 2 
 3 # 差值数组
 4 # .diff(),注意比原数组长度短1
 5 # 简单收益率,(a1-a2)/a1
 6 returns = np.diff(c)/c[:-1]
 7 # 标准差
 8 print(np.std(returns))
 9 # 对数收益率,log(a1/a2)
10 # 由于取对后做差实际上会进行除法
11 logreturns = np.diff(np.log(c))
12 print(logreturns)
13 # .where()定位索引
14 # 筛选正收益率索引
15 print(np.where(returns>0))
16 # 历史波动率
17 # np.sqrt()开平方
18 # 对数收益率标准差/对数收益率均值/交易日倒数的平方根
19 print((np.std(logreturns)/np.mean(logreturns)/np.sqrt(1/252)))
0.0129221344368
[ 0.00953488  0.01668775 -0.00205991 -0.00255903  0.00887039  0.01540739
  0.0093908   0.0082988  -0.01015864  0.00649435  0.00650813  0.00200256
  0.00893468 -0.01339027 -0.02183875 -0.03468287  0.01177296  0.00075857
  0.01528161  0.01440064 -0.011103    0.00801225  0.02090904  0.00122297
 -0.01297267  0.00112499 -0.00929083 -0.01659219  0.01522945]
(array([ 0,  1,  4,  5,  6,  7,  9, 10, 11, 12, 16, 17, 18, 19, 21, 22, 23,
       25, 28]),)
129.274789911
datetime.datetime.strptime(s.decode(‘utf-8‘), "%d-%m-%Y").date().weekday()
np.take(close, indices)
np.argmax(averages)
np.argmin(averages)
 1 ‘‘‘日期分析‘‘‘
 2 
 3 import datetime
 4 def datestr2num(s):
 5     ‘‘‘
 6     读取格式化日期脚本
 7     :param s: 
 8     :return: {0,1,2,3,4,5,6}对应周{1,2,3,4,5,6,7}
 9     ‘‘‘
10     return datetime.datetime.strptime(s.decode(utf-8), "%d-%m-%Y").date().weekday()
11     # 注意s.decode(‘utf-8‘)和str(s)效果不同
12 # 读取结构化日期,返回周日期
13 dates, close = np.loadtxt(data.csv, delimiter=,, usecols=(1,6), unpack=True, converters={1:datestr2num})
14 print(dates)
15 # 计算每个星期日期的平均收盘价
16 averages = np.zeros(5)
17 for i in range(5):
18     indices = np.where(dates==i)
19     # take取出方法
20     # 从argv1中取出argv2为索引的所有元素组成新的数组
21     prices  = np.take(close, indices)
22     avg     = np.mean(prices)
23     averages[i] = avg
24     print(i,prices,avg)
25 print(最大工作日日期,np.argmax(averages)+1)
26 print(最小工作日日期,np.argmin(averages)+1)
[ 4.  0.  1.  2.  3.  4.  0.  1.  2.  3.  4.  0.  1.  2.  3.  4.  1.  2.
  3.  4.  0.  1.  2.  3.  4.  0.  1.  2.  3.  4.]
0 [[ 339.32  351.88  359.18  353.21  355.36]] 351.79
1 [[ 345.03  355.2   359.9   338.61  349.31  355.76]] 350.635
2 [[ 344.32  358.16  363.13  342.62  352.12  352.47]] 352.136666667
3 [[ 343.44  354.54  358.3   342.88  359.56  346.67]] 350.898333333
4 [[ 336.1   346.5   356.85  350.56  348.16  360.    351.99]] 350.022857143
最大工作日日期 3
最小工作日日期 5
np.ravel(np.where(dates == 0))
np.max(np.take(h, a))
np.min(np.take(l, a))
np.apply_along_axis(summrize, 1, week_indices, o, h, l, c)
np.savetxt(‘weeksummary.csv‘, weeksummary, delimiter=‘,‘, fmt=‘%s‘)
 1 ‘‘‘周汇总‘‘‘
 2 
 3 close = close[:16]
 4 dates = dates[:16]
 5 print(np.where(dates==0))
 6 print(np.where(dates==4))
 7 first_monday = np.ravel(np.where(dates == 0))[0]
 8 print(第一个星期一,first_monday)
 9 last_friday  = np.ravel(np.where(dates == 4))[-1]
10 print(最后一个星期五,last_friday)
11 week_indices = np.arange(first_monday, last_friday+1)
12 # 分组,分为三子组
13 # 依据索引分子组[]->[[],[],[]...]
14 week_indices = np.split(week_indices, [5,10])
15 print(week_indices)
16 
17 
18 def summrize(a,o,h,l,c):
19     monday_open  = o[a[0]]
20     week_high    = np.max(np.take(h, a))
21     week_low     = np.min(np.take(l, a))
22     friday_close = c[a[-1]]
23     return ("APPL", monday_open, week_high, week_low, friday_close)
24 o = np.loadtxt("data.csv", delimiter=,, usecols=(3,), unpack=True)
25 #weeksummary = np.apply_along_axis(summrize, 0, week_indices, o, h, l, c)
26 #print(weeksummary)
27 # .apply_along_axis()         把(一个函数)作用在(指定维度)的(n维数组),后面接(其他函数参数)
28 weeksummary = np.apply_along_axis(summrize,   1,        week_indices,  o, h, l, c)
29 # 返回值组成新的数组
30 print(weeksummary)
31 np.savetxt(weeksummary.csv, weeksummary, delimiter=,, fmt=%s)
(array([ 1,  6, 11]),)
(array([ 0,  5, 10, 15]),)
第一个星期一 1
最后一个星期五 15
[array([1, 2, 3, 4, 5]), array([ 6,  7,  8,  9, 10]), array([11, 12, 13, 14, 15])]
[[APPL 335.8 346.7 334.3 346.5]
 [APPL 347.8 360.0 347.6 356.8]
 [APPL 356.7 364.9 349.5 350.5]]
np.maximum(h-l, h-previousclose, previousclose-l)
np.zeros(N)
 1 ‘‘‘真实波动幅度均值‘‘‘
 2 
 3 N = 20
 4 h = h[-20:]
 5 l = l[-20:]
 6 previousclose = c[-N -1:-1]
 7 # 多个数组同一位置取最大值
 8 truerange = np.maximum(h-l, h-previousclose, previousclose-l)
 9 print(truerange)  # 真实波动平均值
10 
11 atr = np.zeros(N)
12 atr[0] = np.mean(truerange)
13 for i in range(1,N):
14     atr[i] = (N-1)*atr[i-1]+truerange[i]
15     atr[i] /= N
16 print(atr)        # 移动波动平均值
[  4.26   2.77   2.42   5.     3.75   9.98   7.68   6.03   6.78   5.55
   6.89   8.04   5.95   7.67   2.54  10.36   5.15   4.16   4.87   7.32]
[ 5.8585      5.704075    5.53987125  5.51287769  5.4247338   5.65249711
  5.75387226  5.76767864  5.81829471  5.80487998  5.85913598  5.96817918
  5.96727022  6.05240671  5.87678637  6.10094705  6.0533997   5.95872972
  5.90429323  5.97507857]
np.convolve(weights,c)
 1 ‘‘‘简单移动平均线‘‘‘
 2 
 3 import matplotlib.pyplot as plt
 4 
 5 N = 5
 6 weights = np.ones(N)/N
 7 
 8 c = np.loadtxt(data.csv, delimiter=,, usecols=(6,), unpack=True)
 9 # 指定一组数据和指定权重的卷积
10 sma = np.convolve(weights,c)[N-1:-N+1]  # 30->4+1+28+1+4=34
11 print(len(sma))
12 t = np.arange(N-1,len(c))
13 plt.plot(t,c[N-1:],lw=1.0)
14 plt.plot(t,sma,lw=2.0)
15 # plt.show()
26
np.exp(x)
np.linspace(-1,0,5)
array.sum() # 仅return,不改值
 1 ‘‘‘指数移动平均线‘‘‘
 2 
 3 # 指数运算
 4 x = np.arange(5)
 5 print(EXP:,np.exp(x))
 6 # 生成线
 7 print(np.linspace(-1,0,5))
 8 
 9 # 权重指数衰减
10 weights = np.exp(np.linspace(-1,0,N))
11 weights /= weights.sum()
12 print(Weights:,weights)
13 c = np.loadtxt(data.csv, delimiter=,,usecols=(6,),unpack=True)
14 ema = np.convolve(weights,c)[N-1:-N+1]
15 t = np.arange(N-1,len(c))
16 plt.plot(t,c[N-1:],lw=1)
17 plt.plot(t,ema,lw=2)
18 # plt.show()
EXP: [  1.           2.71828183   7.3890561   20.08553692  54.59815003]
[-1.   -0.75 -0.5  -0.25  0.  ]
Weights: [ 0.11405072  0.14644403  0.18803785  0.24144538  0.31002201]
array.fill(sma[i-N-1])
 1 ‘‘‘布林带‘‘‘
 2 
 3 deviation = []
 4 c = np.loadtxt(data.csv, delimiter=,,usecols=(6,),unpack=True)
 5 C = len(c)
 6 
 7 for i in range(N-1,C):
 8     if i+N<C:
 9         dev=c[i:i+1]
10     else:
11         dev=c[-N:]
12 
13     averges = np.zeros(N)
14     # 比arra.flat=scalar更快
15     averages.fill(sma[i-N-1])  # 0~26:0-(0,4,8),1-(1,5,9)...26-(22,26,30)
16     dev = dev-averages         # 4~30
17     dev = dev**2
18     dev = np.sqrt(np.mean(dev))
19     deviation.append(dev)
20 
21 deviation = 2*np.array(deviation)
22 upperBB = sma + deviation
23 lowerBB = sma - deviation
24 
25 t = np.arange(N-1,C)
26 plt.plot(t,c[N-1:],lw=1.)
27 plt.plot(t,sma,lw=2.)
28 plt.plot(t,upperBB,lw=3.)
29 plt.plot(t,lowerBB,lw=4.)
30 # plt.show()
np.linalg.lstsq(A,b)[0] # Ax=b
np.dot(x,b) # 点积
 1 ‘‘‘线性模型‘‘‘
 2 
 3 b = c[-N:]
 4 b = b[::-1]
 5 print(b:,b)
 6 
 7 A = np.zeros((N,N),float)
 8 print(A)
 9 # 填充矩阵A
10 for i in range(N):
11     A[i] = c[-N-1-i:-1-i]
12 print(A)
13 # 系数向量,残差数组,A的秩,A的奇异值
14 (x,resilduals,rank,s) = np.linalg.lstsq(A,b) # 解Ax=b
15 print(x,resilduals,rank,s)
16 # 点积
17 print(np.dot(x,b))
b: [ 351.99  346.67  352.47  355.76  355.36]
[[ 0.  0.  0.  0.  0.]
 [ 0.  0.  0.  0.  0.]
 [ 0.  0.  0.  0.  0.]
 [ 0.  0.  0.  0.  0.]
 [ 0.  0.  0.  0.  0.]]
[[ 360.    355.36  355.76  352.47  346.67]
 [ 359.56  360.    355.36  355.76  352.47]
 [ 352.12  359.56  360.    355.36  355.76]
 [ 349.31  352.12  359.56  360.    355.36]
 [ 353.21  349.31  352.12  359.56  360.  ]]
[ 0.78111069 -1.44411737  1.63563225 -0.89905126  0.92009049] [] 5 [  1.77736601e+03   1.49622969e+01   8.75528492e+00   5.15099261e+00
   1.75199608e+00]
357.939161015
np.ones_like(t)
np.vstack([t,np.ones_like(t)])
np.vstack([t,np.ones_like(t)]).T
np.intersect1d(c[c>support],c[c<resistance]
 1 ‘‘‘趋势线‘‘‘
 2 
 3 h,l,c = np.loadtxt(data.csv,delimiter=,,usecols=(4,5,6),unpack=True)
 4 pivots = (h+l+c)/3
 5 print("Pivots:",pivots)
 6 
 7 def fit_line(t,y):
 8     ‘‘‘
 9     线性拟合函数y=at+b->[t,1]*[a,b].T=y
10     :param t: 
11     :param y: 
12     :return: 
13     ‘‘‘
14     A = np.vstack([t,np.ones_like(t)]).T    # one_like()矩阵生成
15     return np.linalg.lstsq(A,y)[0]          # 解Ax=y的最小二乘解
16 
17 t = np.arange(len(c))
18 sa,sb = fit_line(t,pivots - (h - l))
19 ra,rb = fit_line(t,pivots + (h - l))
20 support = sa*t + sb
21 resistance = ra*t + rb
22 print(support)
23 condition = (c>support)&(c<resistance)
24 between_bands = np.where(condition)
25 print(condition)
26 print(sa*(t[-1]+1)+sb)
27 print(ra*(t[-1]+1)+rb)
28 # 计算交集
29 print(np.intersect1d(c[c>support],c[c<resistance]))
30 plt.plot(t,c)
31 plt.plot(t,support)
32 plt.plot(t,resistance)
33 # plt.show()
Pivots: [ 338.01        337.88666667  343.88666667  344.37333333  342.07666667
  345.57        350.92333333  354.29        357.34333333  354.18
  356.06333333  358.45666667  359.14        362.84333333  358.36333333
  353.19333333  340.57666667  341.95666667  342.13333333  347.13
  353.12666667  350.90333333  351.62333333  358.42333333  359.34666667
  356.11333333  355.13666667  352.61        347.11333333  349.77      ]
[ 341.39100358  341.6576087   341.92421382  342.19081893  342.45742405
  342.72402917  342.99063429  343.2572394   343.52384452  343.79044964
  344.05705475  344.32365987  344.59026499  344.8568701   345.12347522
  345.39008034  345.65668545  345.92329057  346.18989569  346.4565008
  346.72310592  346.98971104  347.25631615  347.52292127  347.78952639
  348.0561315   348.32273662  348.58934174  348.85594685  349.12255197]
[False False  True  True  True  True  True False False  True False False
 False False False  True False False False  True  True  True  True False
 False  True  True  True False  True]
349.389157088
360.749340996
[ 343.44  344.32  345.03  346.5   348.16  349.31  350.56  351.88  351.99
  352.12  352.47  353.21  354.54  355.36  355.76]
array.clip(1,2)
array.compress(a>2
 1 ‘‘‘数组修剪和压缩‘‘‘
 2 
 3 a = np.arange(5)
 4 print("a=",a)
 5 # 修剪数组
 6 print(a=,a.clip(1,2))
 7 
 8 a = np.arange(5)
 9 print("a=",a)
10 # 筛选压缩数组
11 print(a=,a.compress(a>2))
a= [0 1 2 3 4]
a= [1 1 2 2 2]
a= [0 1 2 3 4]
a= [3 4]
array.prod()
array.cumprod()
1 ‘‘‘计算阶乘‘‘‘
2 
3 b = np.arange(1,9)
4 # 计算所有元素的乘积
5 print(b.prod())
6 # 计算所有元素累积成绩
7 print(b.cumprod())
40320
[    1     2     6    24   120   720  5040 40320]

『Python』Numpy学习指南第三章__常用函数