#!/usr/bin/python
#?-*-?coding:?utf-8?-*-

#?cadf.py

import?datetime
import?numpy?as?np
import?matplotlib.pyplot?as?plt
import?matplotlib.dates?as?mdates
import?pandas?as?pd
import?pandas.io.data?as?web
import?pprint
import?statsmodels.tsa.stattools?as?ts

from?pandas.stats.api?import?ols


def?plot_price_series（df?ts1?ts2）:
????months?=?mdates.MonthLocator（）??#?every?month
????fig?ax?=?plt.subplots（）
????ax.plot（df.index?df[ts1]?label=ts1）
????ax.plot（df.index?df[ts2]?label=ts2）
????ax.xaxis.set_major_locator（months）
????ax.xaxis.set_major_formatter（mdates.DateFormatter（‘%b?%Y‘））
????ax.set_xlim（datetime.datetime（2012?1?1）?datetime.datetime（2013?1?1））
????ax.grid（True）
????fig.autofmt_xdate（）

????plt.xlabel（‘Month/Year‘）
????plt.ylabel（‘Price?（$）‘）
????plt.title（‘%s?and?%s?Daily?Prices‘?%?（ts1?ts2））
????plt.legend（）
????plt.show（）

def?plot_scatter_series（df?ts1?ts2）:
????plt.xlabel（‘%s?Price?（$）‘?%?ts1）
????plt.ylabel（‘%s?Price?（$）‘?%?ts2）
????plt.title（‘%s?and?%s?Price?Scatterplot‘?%?（ts1?ts2））
????plt.scatter（df[ts1]?df[ts2]）
????plt.show（）

def?plot_residuals（df）:
????months?=?mdates.MonthLocator（）??#?every?month
????fig?ax?=?plt.subplots（）
????ax.plot（df.index?df[“res“]?label=“Residuals“）
????ax.xaxis.set_major_locator（months）
????ax.xaxis.set_major_formatter（mdates.DateFormatter（‘%b?%Y‘））
????ax.set_xlim（datetime.datetime（2012?1?1）?datetime.datetime（2013?1?1））
????ax.grid（True）
????fig.autofmt_xdate（）

????plt.xlabel（‘Month/Year‘）
????plt.ylabel（‘Price?（$）‘）
????plt.title（‘Residual?Plot‘）
????plt.legend（）

????plt.plot（df[“res“]）
????plt.show（）

if?__name__?==?“__main__“:
????start?=?datetime.datetime（2012?1?1）
????end?=?datetime.datetime（2013?1?1）

????arex?=?web.DataReader（“AREX“?“yahoo“?start?end）
????wll?=?web.DataReader（“WLL“?“yahoo“?start?end）

????df?=?pd.Dataframe（index=arex.index）
????df[“AREX“]?=?arex[“Adj?Close“]
????df[“WLL“]?=?wll[“Adj?Close“]

????#?Plot?the?two?time?series
????plot_price_series（df?“AREX“?“WLL“）

????#?Display?a?scatter?plot?of?the?two?time?series
????plot_scatter_series（df?“AREX“?“WLL“）

????#?Calculate?optimal?hedge?ratio?“beta“
????res?=?ols（y=df[‘WLL‘]?x=df[“AREX“]）
????beta_hr?=?res.beta.x

????#?Calculate?the?residuals?of?the?linear?combination
????df[“res“]?=?df[“WLL“]?-?beta_hr*df[“AREX“]

????#?Plot?the?residuals
????plot_residuals（df）

????#?Calculate?and?output?the?CADF?test?on?the?residuals
????cadf?=?ts.adfuller（df[“res“]）
????pprint.pprint（cadf）

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----
?????目錄???????????0??2015-06-18?08:55??algo-ebook-full-source-code-20150618\
?????目錄???????????0??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter10\
?????文件????????2481??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter10\cadf.py
?????目錄???????????0??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter11\
?????文件????????4129??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter11\forecast.py
?????目錄???????????0??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter12\
?????文件????????2780??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter12\sharpe.py
?????目錄???????????0??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter13\
?????文件?????????922??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter13\var.py
?????目錄???????????0??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\
?????文件????????4445??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\backtest.py
?????文件????????7340??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\data.py
?????文件????????4954??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\event.py
?????文件????????2263??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\execution.py
?????文件????????6968??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\ib_execution.py
?????文件????????3515??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\mac.py
?????文件????????1431??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\performance.py
?????文件????????8898??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\portfolio.py
?????文件????????1071??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter14\strategy.py
?????目錄???????????0??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\
?????文件????????4445??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\backtest.py
?????文件????????1860??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\create_lagged_series.py
?????文件????????7464??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\data.py
?????文件????????4954??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\event.py
?????文件????????2263??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\execution.py
?????文件????????5509??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\hft_data.py
?????文件????????9070??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\hft_portfolio.py
?????文件????????6968??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\ib_execution.py
?????文件????????5391??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\intraday_mr.py
?????文件????????3603??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\mac.py
?????文件????????1431??2015-06-18?08:55??algo-ebook-full-source-code-20150618\chapter15\performance.py
............此處省略22個文件信息