OLS算法在量化投资领域的应用(附代码)

import tushare as ts
import matplotlib.pyplot as plt
import numpy as np
import statsmodels.api as smpro = ts.pro_api()#华通医药
df_HTYY = pro.daily(ts_code="002758.SZ",start_date="20190816",end_date="20190916")df_HTYY_pct_change = df_HTYY['pct_chg'].values#第一医药
df_DYYY = pro.daily(ts_code="600833.SH",start_date="20190816",end_date="20190916")
df_DYYY_pct_change = df_DYYY['pct_chg'].valuesX_df_HTYY_pct_change = sm.add_constant(df_HTYY_pct_change)results = sm.OLS(df_DYYY_pct_change,X_df_HTYY_pct_change).fit()
print(results.summary())fitted_ys = results.fittedvalues
print(fitted_ys)

结果：

将结果可视化：