金融数据指标（历史移动波动率，均值）

Posted 2020-10-15 嘟嘟小冰

1.导入函数

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import tushare as ts
import math

2. 数据获取

data = ts.get_hist_data(\'000012\',start=\'2015-06-23\',end=\'2017-11-16\')

3.移动平均值

# 滚动窗口的使用
data[\'42d\']= pd.rolling_mean(data[\'close\'],window=42)
data[\'252d\'] =pd.rolling_mean(data[\'close\'],window=252)
print(data[[\'close\',\'42d\',\'252d\']].tail())

data[[\'close\',\'42d\',\'252d\']].plot(figsize=(8,5))
plt.show()

4.移动历史波动

data[\'return\']=np.log(data[\'close\']/data[\'close\'].shift(1))
data[\'mov_vol\'] = pd.rolling_std(data[\'return\'],window=252)*math.sqrt(252)
data[[\'close\',\'return\',\'mov_vol\']].plot(subplots=True,style=\'b\',figsize=(8,7))
plt.show()