Prophet 介绍
Prophet 是一个 Python 的微框架，用于金融市场。Prophet 可以让开发人员把精力放在金融策略模型、项目组合管理和分析上。
示例代码：
from datetime import datetime from prophet import Prophet from prophet.data import YahooCloseData from prophet.analyze import default_analyzers from prophet.orders import Orders class OrderGenerator(object): def __init__(self): super(OrderGenerator, self).__init__() self._data = dict() def run(self, prices, timestamp, cash, **kwargs): symbol = "AAPL" orders = Orders() if (prices.loc[timestamp, symbol] * 100) < cash: orders.add_order(symbol, 100) return orders prophet = Prophet() prophet.set_universe(['AAPL', 'XOM']) prophet.register_data_generators(YahooCloseData()) prophet.set_order_generator(OrderGenerator()) backtest = prophet.run_backtest(start=datetime(2010, 1, 1)) prophet.register_portfolio_analyzers(default_analyzers) analysis = prophet.analyze_backtest(backtest) print(analysis) # +--------------------------------------+ # | sharpe | 1.09754359611 | # | average_return | 0.00105478425027 | # | cumulative_return | 2.168833 | # | volatility | 0.0152560508189 | # +--------------------------------------+ # Generate orders for you to execute today # Using Nov, 10 2014 as the date because there might be no data for today's # date (Market might not be open) and we don't want examples to fail. today = datetime(2014, 11, 10) print(prophet.generate_orders(today)) # Orders[Order(symbol='AAPL', shares=100)]
Prophet 官网
https://github.com/Emsu/prophet
版权声明：本文内容由互联网用户自发贡献，该文观点与技术仅代表作者本人。本站仅提供信息存储空间服务，不拥有所有权，不承担相关法律责任。如发现本站有涉嫌侵权/违法违规的内容， 请发送邮件至 [email protected] 举报，一经查实，本站将立刻删除。
