Skip to content
Projects
Groups
Snippets
Help
Loading...
Help
Submit feedback
Sign in
Toggle navigation
A
alpha-mind
Project
Project
Details
Activity
Releases
Cycle Analytics
Repository
Repository
Files
Commits
Branches
Tags
Contributors
Graph
Compare
Charts
Issues
0
Issues
0
List
Board
Labels
Milestones
Merge Requests
0
Merge Requests
0
CI / CD
CI / CD
Pipelines
Jobs
Schedules
Charts
Wiki
Wiki
Snippets
Snippets
Members
Members
Collapse sidebar
Close sidebar
Activity
Graph
Charts
Create a new issue
Jobs
Commits
Issue Boards
Open sidebar
Dr.李
alpha-mind
Commits
095f00ed
Commit
095f00ed
authored
Mar 07, 2018
by
Dr.李
Browse files
Options
Browse Files
Download
Email Patches
Plain Diff
update example
parent
1a2f4249
Changes
1
Hide whitespace changes
Inline
Side-by-side
Showing
1 changed file
with
48 additions
and
738 deletions
+48
-738
Example 5 - Style Factor Analysis.ipynb
notebooks/Example 5 - Style Factor Analysis.ipynb
+48
-738
No files found.
notebooks/Example 5 - Style Factor Analysis.ipynb
View file @
095f00ed
...
...
@@ -37,7 +37,7 @@
},
{
"cell_type": "code",
"execution_count":
8
,
"execution_count":
2
,
"metadata": {},
"outputs": [],
"source": [
...
...
@@ -49,7 +49,7 @@
"end_date = '2018-02-28'\n",
"category = 'sw_adj'\n",
"level = 1\n",
"freq = '
1
0b'\n",
"freq = '
2
0b'\n",
"universe = Universe('custom', ['ashare_ex'])\n",
"\n",
"\n",
...
...
@@ -59,7 +59,7 @@
},
{
"cell_type": "code",
"execution_count":
9
,
"execution_count":
3
,
"metadata": {},
"outputs": [],
"source": [
...
...
@@ -85,7 +85,7 @@
},
{
"cell_type": "code",
"execution_count":
10
,
"execution_count":
4
,
"metadata": {},
"outputs": [],
"source": [
...
...
@@ -94,7 +94,7 @@
},
{
"cell_type": "code",
"execution_count":
11
,
"execution_count":
5
,
"metadata": {},
"outputs": [],
"source": [
...
...
@@ -107,7 +107,7 @@
},
{
"cell_type": "code",
"execution_count":
15
,
"execution_count":
6
,
"metadata": {},
"outputs": [],
"source": [
...
...
@@ -120,7 +120,7 @@
},
{
"cell_type": "code",
"execution_count":
16
,
"execution_count":
27
,
"metadata": {},
"outputs": [
{
...
...
@@ -154,216 +154,51 @@
" <tbody>\n",
" <tr>\n",
" <th>SIZE</th>\n",
" <td>3.381191</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LIQUIDTY</th>\n",
" <td>3.096133</td>\n",
" <td>3.729327</td>\n",
" </tr>\n",
" <tr>\n",
" <th>RealEstate</th>\n",
" <td>
2.988392
</td>\n",
" <td>
3.246817
</td>\n",
" </tr>\n",
" <tr>\n",
" <th>NonFerMetal</th>\n",
" <td>2.931020</td>\n",
" </tr>\n",
" <tr>\n",
" <th>BETA</th>\n",
" <td>2.895462</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Health</th>\n",
" <td>2.614561</td>\n",
" <th>LIQUIDTY</th>\n",
" <td>3.062970</td>\n",
" </tr>\n",
" <tr>\n",
" <th>CHEM</th>\n",
" <td>2.606351</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Mining</th>\n",
" <td>2.571174</td>\n",
" </tr>\n",
" <tr>\n",
" <th>MachiEquip</th>\n",
" <td>2.419316</td>\n",
" </tr>\n",
" <tr>\n",
" <th>RESVOL</th>\n",
" <td>2.409213</td>\n",
" </tr>\n",
" <tr>\n",
" <th>SIZENL</th>\n",
" <td>2.383997</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Transportation</th>\n",
" <td>2.343186</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Utilities</th>\n",
" <td>2.282758</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AgriForest</th>\n",
" <td>2.255207</td>\n",
" </tr>\n",
" <tr>\n",
" <th>NonBankFinan</th>\n",
" <td>2.244691</td>\n",
" </tr>\n",
" <tr>\n",
" <th>CONMAT</th>\n",
" <td>2.238314</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Computer</th>\n",
" <td>2.232998</td>\n",
" </tr>\n",
" <tr>\n",
" <th>FoodBever</th>\n",
" <td>2.188211</td>\n",
" </tr>\n",
" <tr>\n",
" <th>MOMENTUM</th>\n",
" <td>2.132628</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Media</th>\n",
" <td>2.080650</td>\n",
" </tr>\n",
" <tr>\n",
" <th>CommeTrade</th>\n",
" <td>2.074064</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Electronics</th>\n",
" <td>2.007205</td>\n",
" </tr>\n",
" <tr>\n",
" <th>BuildDeco</th>\n",
" <td>1.998722</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LEVERAGE</th>\n",
" <td>1.998471</td>\n",
" </tr>\n",
" <tr>\n",
" <th>IronSteel</th>\n",
" <td>1.978722</td>\n",
" </tr>\n",
" <tr>\n",
" <th>BTOP</th>\n",
" <td>1.966819</td>\n",
" </tr>\n",
" <tr>\n",
" <th>AERODEF</th>\n",
" <td>1.878722</td>\n",
" <td>2.941602</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Auto</th>\n",
" <td>1.866682</td>\n",
" </tr>\n",
" <tr>\n",
" <th>ELECEQP</th>\n",
" <td>1.858072</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LightIndus</th>\n",
" <td>1.825555</td>\n",
" </tr>\n",
" <tr>\n",
" <th>EARNYILD</th>\n",
" <td>1.725271</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Textile</th>\n",
" <td>1.724939</td>\n",
" </tr>\n",
" <tr>\n",
" <th>GROWTH</th>\n",
" <td>1.703590</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Telecom</th>\n",
" <td>1.585604</td>\n",
" </tr>\n",
" <tr>\n",
" <th>HouseApp</th>\n",
" <td>1.560956</td>\n",
" </tr>\n",
" <tr>\n",
" <th>LeiService</th>\n",
" <td>1.501851</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Conglomerates</th>\n",
" <td>1.492339</td>\n",
" </tr>\n",
" <tr>\n",
" <th>Bank</th>\n",
" <td>1.443784</td>\n",
" <th>NonFerMetal</th>\n",
" <td>2.863952</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" abs t.\n",
"factor \n",
"SIZE 3.381191\n",
"LIQUIDTY 3.096133\n",
"RealEstate 2.988392\n",
"NonFerMetal 2.931020\n",
"BETA 2.895462\n",
"Health 2.614561\n",
"CHEM 2.606351\n",
"Mining 2.571174\n",
"MachiEquip 2.419316\n",
"RESVOL 2.409213\n",
"SIZENL 2.383997\n",
"Transportation 2.343186\n",
"Utilities 2.282758\n",
"AgriForest 2.255207\n",
"NonBankFinan 2.244691\n",
"CONMAT 2.238314\n",
"Computer 2.232998\n",
"FoodBever 2.188211\n",
"MOMENTUM 2.132628\n",
"Media 2.080650\n",
"CommeTrade 2.074064\n",
"Electronics 2.007205\n",
"BuildDeco 1.998722\n",
"LEVERAGE 1.998471\n",
"IronSteel 1.978722\n",
"BTOP 1.966819\n",
"AERODEF 1.878722\n",
"Auto 1.866682\n",
"ELECEQP 1.858072\n",
"LightIndus 1.825555\n",
"EARNYILD 1.725271\n",
"Textile 1.724939\n",
"GROWTH 1.703590\n",
"Telecom 1.585604\n",
"HouseApp 1.560956\n",
"LeiService 1.501851\n",
"Conglomerates 1.492339\n",
"Bank 1.443784"
" abs t.\n",
"factor \n",
"SIZE 3.729327\n",
"RealEstate 3.246817\n",
"LIQUIDTY 3.062970\n",
"CHEM 2.941602\n",
"NonFerMetal 2.863952"
]
},
"execution_count":
16
,
"execution_count":
27
,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df['abs t.'] = np.abs(df['t.'])\n",
"df[['factor', 'abs t.']].groupby('factor').mean().sort_values('abs t.', ascending=False)"
"df[['factor', 'abs t.']].groupby('factor').mean().sort_values('abs t.', ascending=False)
.head()
"
]
},
{
"cell_type": "code",
"execution_count":
14
,
"execution_count":
7
,
"metadata": {},
"outputs": [
{
...
...
@@ -387,581 +222,56 @@
" <thead>\n",
" <tr style=\"text-align: right;\">\n",
" <th></th>\n",
" <th>ret</th>\n",
" <th>ic</th>\n",
" <th>t.</th>\n",
" <th>factor</th>\n",
" <th>abs t.</th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2010-01-04</th>\n",
" <td>0.002644</td>\n",
" <td>0.030863</td>\n",
" <td>1.242023</td>\n",
" <td>BETA</td>\n",
" <td>1.242023</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-01-18</th>\n",
" <td>-0.009006</td>\n",
" <td>-0.102950</td>\n",
" <td>-4.164523</td>\n",
" <td>BETA</td>\n",
" <td>4.164523</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-01</th>\n",
" <td>0.002722</td>\n",
" <td>0.018558</td>\n",
" <td>0.753730</td>\n",
" <td>BETA</td>\n",
" <td>0.753730</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-02-22</th>\n",
" <td>0.004730</td>\n",
" <td>0.063951</td>\n",
" <td>2.606190</td>\n",
" <td>BETA</td>\n",
" <td>2.606190</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-08</th>\n",
" <td>0.001677</td>\n",
" <td>0.022300</td>\n",
" <td>0.908542</td>\n",
" <td>BETA</td>\n",
" <td>0.908542</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-03-22</th>\n",
" <td>0.001254</td>\n",
" <td>0.016583</td>\n",
" <td>0.678169</td>\n",
" <td>BETA</td>\n",
" <td>0.678169</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-06</th>\n",
" <td>-0.001871</td>\n",
" <td>-0.015462</td>\n",
" <td>-0.635157</td>\n",
" <td>BETA</td>\n",
" <td>0.635157</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-04-20</th>\n",
" <td>-0.004542</td>\n",
" <td>-0.044375</td>\n",
" <td>-1.836796</td>\n",
" <td>BETA</td>\n",
" <td>1.836796</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-05</th>\n",
" <td>-0.004558</td>\n",
" <td>-0.047051</td>\n",
" <td>-1.958059</td>\n",
" <td>BETA</td>\n",
" <td>1.958059</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-05-19</th>\n",
" <td>-0.003679</td>\n",
" <td>-0.042916</td>\n",
" <td>-1.791299</td>\n",
" <td>BETA</td>\n",
" <td>1.791299</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-02</th>\n",
" <td>0.011993</td>\n",
" <td>0.149685</td>\n",
" <td>6.324072</td>\n",
" <td>BETA</td>\n",
" <td>6.324072</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-06-21</th>\n",
" <td>-0.008445</td>\n",
" <td>-0.097384</td>\n",
" <td>-4.110815</td>\n",
" <td>BETA</td>\n",
" <td>4.110815</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-05</th>\n",
" <td>0.016632</td>\n",
" <td>0.225359</td>\n",
" <td>9.758945</td>\n",
" <td>BETA</td>\n",
" <td>9.758945</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-07-19</th>\n",
" <td>0.003733</td>\n",
" <td>0.055655</td>\n",
" <td>2.356996</td>\n",
" <td>BETA</td>\n",
" <td>2.356996</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-02</th>\n",
" <td>0.000633</td>\n",
" <td>0.008968</td>\n",
" <td>0.381243</td>\n",
" <td>BETA</td>\n",
" <td>0.381243</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-16</th>\n",
" <td>0.004783</td>\n",
" <td>0.053086</td>\n",
" <td>2.264185</td>\n",
" <td>BETA</td>\n",
" <td>2.264185</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-08-30</th>\n",
" <td>0.005035</td>\n",
" <td>0.054434</td>\n",
" <td>2.333991</td>\n",
" <td>BETA</td>\n",
" <td>2.333991</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-13</th>\n",
" <td>-0.000908</td>\n",
" <td>-0.006632</td>\n",
" <td>-0.285198</td>\n",
" <td>BETA</td>\n",
" <td>0.285198</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-09-30</th>\n",
" <td>0.018298</td>\n",
" <td>0.151097</td>\n",
" <td>6.593915</td>\n",
" <td>BETA</td>\n",
" <td>6.593915</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-10-21</th>\n",
" <td>0.010968</td>\n",
" <td>0.096604</td>\n",
" <td>4.210559</td>\n",
" <td>BETA</td>\n",
" <td>4.210559</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-04</th>\n",
" <td>-0.018182</td>\n",
" <td>-0.149894</td>\n",
" <td>-6.590969</td>\n",
" <td>BETA</td>\n",
" <td>6.590969</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-11-18</th>\n",
" <td>0.000371</td>\n",
" <td>0.004423</td>\n",
" <td>0.193013</td>\n",
" <td>BETA</td>\n",
" <td>0.193013</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-02</th>\n",
" <td>0.002276</td>\n",
" <td>0.031301</td>\n",
" <td>1.372580</td>\n",
" <td>BETA</td>\n",
" <td>1.372580</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-16</th>\n",
" <td>0.001684</td>\n",
" <td>0.023507</td>\n",
" <td>1.033503</td>\n",
" <td>BETA</td>\n",
" <td>1.033503</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2010-12-30</th>\n",
" <td>-0.006729</td>\n",
" <td>-0.072204</td>\n",
" <td>-3.193485</td>\n",
" <td>BETA</td>\n",
" <td>3.193485</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-14</th>\n",
" <td>0.005046</td>\n",
" <td>0.060121</td>\n",
" <td>2.661026</td>\n",
" <td>BETA</td>\n",
" <td>2.661026</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-01-28</th>\n",
" <td>0.013320</td>\n",
" <td>0.161883</td>\n",
" <td>7.275628</td>\n",
" <td>BETA</td>\n",
" <td>7.275628</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-02-18</th>\n",
" <td>0.007262</td>\n",
" <td>0.098164</td>\n",
" <td>4.399195</td>\n",
" <td>BETA</td>\n",
" <td>4.399195</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-04</th>\n",
" <td>-0.004921</td>\n",
" <td>-0.063171</td>\n",
" <td>-2.830742</td>\n",
" <td>BETA</td>\n",
" <td>2.830742</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2011-03-18</th>\n",
" <td>0.003567</td>\n",
" <td>0.037995</td>\n",
" <td>1.707198</td>\n",
" <td>BETA</td>\n",
" <td>1.707198</td>\n",
" </tr>\n",
" <tr>\n",
" <th>...</th>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" <td>...</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2016-12-19</th>\n",
" <td>0.002966</td>\n",
" <td>-0.024130</td>\n",
" <td>-1.303399</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.303399</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-03</th>\n",
" <td>-0.017114</td>\n",
" <td>0.043868</td>\n",
" <td>2.375196</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.375196</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-01-17</th>\n",
" <td>0.007014</td>\n",
" <td>-0.058947</td>\n",
" <td>-3.197963</td>\n",
" <td>Conglomerates</td>\n",
" <td>3.197963</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-07</th>\n",
" <td>0.011133</td>\n",
" <td>0.013248</td>\n",
" <td>0.719882</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.719882</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-02-21</th>\n",
" <td>0.000469</td>\n",
" <td>-0.019090</td>\n",
" <td>-1.040007</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.040007</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-07</th>\n",
" <td>0.000292</td>\n",
" <td>-0.003193</td>\n",
" <td>-0.174454</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.174454</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-03-21</th>\n",
" <td>-0.002276</td>\n",
" <td>0.004762</td>\n",
" <td>0.261175</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.261175</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-06</th>\n",
" <td>-0.018391</td>\n",
" <td>0.038470</td>\n",
" <td>2.120921</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.120921</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-04-20</th>\n",
" <td>-0.024520</td>\n",
" <td>-0.030297</td>\n",
" <td>-1.678085</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.678085</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-05</th>\n",
" <td>-0.007146</td>\n",
" <td>0.000588</td>\n",
" <td>0.032609</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.032609</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-05-19</th>\n",
" <td>0.002194</td>\n",
" <td>0.008657</td>\n",
" <td>0.482560</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.482560</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-06</th>\n",
" <td>0.006836</td>\n",
" <td>-0.003194</td>\n",
" <td>-0.178321</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.178321</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-06-20</th>\n",
" <td>0.006675</td>\n",
" <td>0.014344</td>\n",
" <td>0.803752</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.803752</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-04</th>\n",
" <td>-0.004328</td>\n",
" <td>0.049160</td>\n",
" <td>2.766838</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.766838</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-07-18</th>\n",
" <td>0.011933</td>\n",
" <td>0.025328</td>\n",
" <td>1.428977</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.428977</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-01</th>\n",
" <td>0.001504</td>\n",
" <td>-0.030124</td>\n",
" <td>-1.704020</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.704020</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-15</th>\n",
" <td>0.006751</td>\n",
" <td>-0.009009</td>\n",
" <td>-0.511009</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.511009</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-08-29</th>\n",
" <td>0.005685</td>\n",
" <td>-0.029357</td>\n",
" <td>-1.669930</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.669930</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-12</th>\n",
" <td>-0.006071</td>\n",
" <td>-0.006688</td>\n",
" <td>-0.380912</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.380912</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-09-26</th>\n",
" <td>0.000938</td>\n",
" <td>0.009825</td>\n",
" <td>0.561191</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.561191</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-17</th>\n",
" <td>0.002298</td>\n",
" <td>0.028429</td>\n",
" <td>1.629805</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.629805</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-10-31</th>\n",
" <td>-0.004946</td>\n",
" <td>-0.009203</td>\n",
" <td>-0.528596</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.528596</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-14</th>\n",
" <td>-0.009254</td>\n",
" <td>0.047157</td>\n",
" <td>2.719796</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.719796</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-11-28</th>\n",
" <td>-0.004959</td>\n",
" <td>-0.004280</td>\n",
" <td>-0.247143</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.247143</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2017-12-12</th>\n",
" <td>-0.006901</td>\n",
" <td>0.002110</td>\n",
" <td>0.122140</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.122140</td>\n",
" <th>factor</th>\n",
" <th></th>\n",
" </tr>\n",
" </thead>\n",
" <tbody>\n",
" <tr>\n",
" <th>2017-12-26</th>\n",
" <td>0.013300</td>\n",
" <td>0.013481</td>\n",
" <td>0.782445</td>\n",
" <td>Conglomerates</td>\n",
" <td>0.782445</td>\n",
" <th>SIZE</th>\n",
" <td>3.729327</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-10</th>\n",
" <td>0.005100</td>\n",
" <td>0.043987</td>\n",
" <td>2.557869</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.557869</td>\n",
" <th>RealEstate</th>\n",
" <td>3.246817</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-01-24</th>\n",
" <td>-0.036859</td>\n",
" <td>0.031055</td>\n",
" <td>1.809528</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.809528</td>\n",
" <th>LIQUIDTY</th>\n",
" <td>3.062970</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-07</th>\n",
" <td>0.012197</td>\n",
" <td>-0.039344</td>\n",
" <td>-2.299604</td>\n",
" <td>Conglomerates</td>\n",
" <td>2.299604</td>\n",
" <th>CHEM</th>\n",
" <td>2.941602</td>\n",
" </tr>\n",
" <tr>\n",
" <th>2018-02-28</th>\n",
" <td>-0.002940</td>\n",
" <td>-0.022710</td>\n",
" <td>-1.331364</td>\n",
" <td>Conglomerates</td>\n",
" <td>1.331364</td>\n",
" <th>NonFerMetal</th>\n",
" <td>2.863952</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"<p>7562 rows × 5 columns</p>\n",
"</div>"
],
"text/plain": [
" ret ic t. factor abs t.\n",
"2010-01-04 0.002644 0.030863 1.242023 BETA 1.242023\n",
"2010-01-18 -0.009006 -0.102950 -4.164523 BETA 4.164523\n",
"2010-02-01 0.002722 0.018558 0.753730 BETA 0.753730\n",
"2010-02-22 0.004730 0.063951 2.606190 BETA 2.606190\n",
"2010-03-08 0.001677 0.022300 0.908542 BETA 0.908542\n",
"2010-03-22 0.001254 0.016583 0.678169 BETA 0.678169\n",
"2010-04-06 -0.001871 -0.015462 -0.635157 BETA 0.635157\n",
"2010-04-20 -0.004542 -0.044375 -1.836796 BETA 1.836796\n",
"2010-05-05 -0.004558 -0.047051 -1.958059 BETA 1.958059\n",
"2010-05-19 -0.003679 -0.042916 -1.791299 BETA 1.791299\n",
"2010-06-02 0.011993 0.149685 6.324072 BETA 6.324072\n",
"2010-06-21 -0.008445 -0.097384 -4.110815 BETA 4.110815\n",
"2010-07-05 0.016632 0.225359 9.758945 BETA 9.758945\n",
"2010-07-19 0.003733 0.055655 2.356996 BETA 2.356996\n",
"2010-08-02 0.000633 0.008968 0.381243 BETA 0.381243\n",
"2010-08-16 0.004783 0.053086 2.264185 BETA 2.264185\n",
"2010-08-30 0.005035 0.054434 2.333991 BETA 2.333991\n",
"2010-09-13 -0.000908 -0.006632 -0.285198 BETA 0.285198\n",
"2010-09-30 0.018298 0.151097 6.593915 BETA 6.593915\n",
"2010-10-21 0.010968 0.096604 4.210559 BETA 4.210559\n",
"2010-11-04 -0.018182 -0.149894 -6.590969 BETA 6.590969\n",
"2010-11-18 0.000371 0.004423 0.193013 BETA 0.193013\n",
"2010-12-02 0.002276 0.031301 1.372580 BETA 1.372580\n",
"2010-12-16 0.001684 0.023507 1.033503 BETA 1.033503\n",
"2010-12-30 -0.006729 -0.072204 -3.193485 BETA 3.193485\n",
"2011-01-14 0.005046 0.060121 2.661026 BETA 2.661026\n",
"2011-01-28 0.013320 0.161883 7.275628 BETA 7.275628\n",
"2011-02-18 0.007262 0.098164 4.399195 BETA 4.399195\n",
"2011-03-04 -0.004921 -0.063171 -2.830742 BETA 2.830742\n",
"2011-03-18 0.003567 0.037995 1.707198 BETA 1.707198\n",
"... ... ... ... ... ...\n",
"2016-12-19 0.002966 -0.024130 -1.303399 Conglomerates 1.303399\n",
"2017-01-03 -0.017114 0.043868 2.375196 Conglomerates 2.375196\n",
"2017-01-17 0.007014 -0.058947 -3.197963 Conglomerates 3.197963\n",
"2017-02-07 0.011133 0.013248 0.719882 Conglomerates 0.719882\n",
"2017-02-21 0.000469 -0.019090 -1.040007 Conglomerates 1.040007\n",
"2017-03-07 0.000292 -0.003193 -0.174454 Conglomerates 0.174454\n",
"2017-03-21 -0.002276 0.004762 0.261175 Conglomerates 0.261175\n",
"2017-04-06 -0.018391 0.038470 2.120921 Conglomerates 2.120921\n",
"2017-04-20 -0.024520 -0.030297 -1.678085 Conglomerates 1.678085\n",
"2017-05-05 -0.007146 0.000588 0.032609 Conglomerates 0.032609\n",
"2017-05-19 0.002194 0.008657 0.482560 Conglomerates 0.482560\n",
"2017-06-06 0.006836 -0.003194 -0.178321 Conglomerates 0.178321\n",
"2017-06-20 0.006675 0.014344 0.803752 Conglomerates 0.803752\n",
"2017-07-04 -0.004328 0.049160 2.766838 Conglomerates 2.766838\n",
"2017-07-18 0.011933 0.025328 1.428977 Conglomerates 1.428977\n",
"2017-08-01 0.001504 -0.030124 -1.704020 Conglomerates 1.704020\n",
"2017-08-15 0.006751 -0.009009 -0.511009 Conglomerates 0.511009\n",
"2017-08-29 0.005685 -0.029357 -1.669930 Conglomerates 1.669930\n",
"2017-09-12 -0.006071 -0.006688 -0.380912 Conglomerates 0.380912\n",
"2017-09-26 0.000938 0.009825 0.561191 Conglomerates 0.561191\n",
"2017-10-17 0.002298 0.028429 1.629805 Conglomerates 1.629805\n",
"2017-10-31 -0.004946 -0.009203 -0.528596 Conglomerates 0.528596\n",
"2017-11-14 -0.009254 0.047157 2.719796 Conglomerates 2.719796\n",
"2017-11-28 -0.004959 -0.004280 -0.247143 Conglomerates 0.247143\n",
"2017-12-12 -0.006901 0.002110 0.122140 Conglomerates 0.122140\n",
"2017-12-26 0.013300 0.013481 0.782445 Conglomerates 0.782445\n",
"2018-01-10 0.005100 0.043987 2.557869 Conglomerates 2.557869\n",
"2018-01-24 -0.036859 0.031055 1.809528 Conglomerates 1.809528\n",
"2018-02-07 0.012197 -0.039344 -2.299604 Conglomerates 2.299604\n",
"2018-02-28 -0.002940 -0.022710 -1.331364 Conglomerates 1.331364\n",
"\n",
"[7562 rows x 5 columns]"
" abs t.\n",
"factor \n",
"SIZE 3.729327\n",
"RealEstate 3.246817\n",
"LIQUIDTY 3.062970\n",
"CHEM 2.941602\n",
"NonFerMetal 2.863952"
]
},
"execution_count":
14
,
"execution_count":
7
,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"df"
"df['abs t.'] = np.abs(df['t.'])\n",
"df[['factor', 'abs t.']].groupby('factor').mean().sort_values('abs t.', ascending=False).head()"
]
},
{
...
...
Write
Preview
Markdown
is supported
0%
Try again
or
attach a new file
Attach a file
Cancel
You are about to add
0
people
to the discussion. Proceed with caution.
Finish editing this message first!
Cancel
Please
register
or
sign in
to comment
