Ratele Sharpe; caracteristici și ținte

Machine Learning pentru finanțe în Python

Nathan George

Data Science Professor

cele mai bune portofolii

cele mai bune portofolii cu punctul Sharpe

ecuația ratei Sharpe

Calcularea ratelor Sharpe

# empty dictionaries for sharpe ratios and best sharpe indexes by date
sharpe_ratio, max_sharpe_idxs = {}, {}

# loop through dates and get sharpe ratio for each portfolio
for date in portfolio_returns.keys():
    for i, ret in enumerate(portfolio_returns[date]):
        volatility = portfolio_volatility[date][i]
        sharpe_ratio.setdefault(date,[]).append(ret / volatility)

    # get the index of the best sharpe ratio for each date
    max_sharpe_idxs[date] = np.argmax(sharpe_ratio[date])

Crearea caracteristicilor

# calculate exponentially-weighted moving average of daily returns
ewma_daily = returns_daily.ewm(span=30).mean()

# resample daily returns to first business day of the month
ewma_monthly = ewma_daily.resample('BMS').first()

# shift ewma 1 month forward
ewma_monthly = ewma_monthly.shift(1).dropna()

Calcularea caracteristicilor și țintelor

targets, features = [], []


# create features from price history and targets as ideal portfolio
for date, ewma in ewma_monthly.iterrows():
    # get the index of the best sharpe ratio
    best_idx = max_sharpe_idxs[date]
    targets.append(portfolio_weights[date][best_idx])
    features.append(ewma)

targets = np.array(targets)
features = np.array(features)

# latest date
date = sorted(covariances.keys())[-1]

cur_returns = portfolio_returns[date]
cur_volatility = portfolio_volatility[date]

plt.scatter(x=cur_volatility,
            y=cur_returns,
            alpha=0.1,
            color='blue')

best_idx = max_sharpe_idxs[date]

plt.scatter(cur_volatility[best_idx],
            cur_returns[best_idx],
            marker='x',
            color='orange')
plt.xlabel('Volatility')
plt.ylabel('Returns')
plt.show()

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Machine Learning pentru finanțe în Python