(Python : Basic) 수익률 계산해 보기

Posted by : Python at Sep 1, 2020

Category : Python

디폴트 install, import

!pip install finance-datareader
!pip install beautifulsoup4 
!pip install numpy
!pip install pandas

# default settings
import numpy as np
import pandas as pd
from datetime import datetime

# jupyter notebook 여러 실행인자 실행해도 print되게 만들기
from IPython.core.interactiveshell import InteractiveShell
InteractiveShell.ast_node_interactivity = "all"

pd.set_option('display.float_format', lambda x: '%.3f' % x)
pd.set_option('max_columns', None)

6. 수익률 계산

import FinanceDataReader as fdr

df1 = fdr.DataReader("005930", '2018-01-02', '2018-10-30')
df2 = fdr.DataReader("069500", '2018-01-02', '2018-10-30')
df = pd.concat([df1['Close'], df2['Close']], axis=1)
df.columns = ['삼성전자', 'KODEX 200']
df.head()

	삼성전자	KODEX 200
Date
2018-01-02	51020	30317
2018-01-03	51620	30446
2018-01-04	51080	30206
2018-01-05	52120	30616
2018-01-08	52020	30822

수익률의 계산을 위해 dataframe shift() 써보기

# 데이터를 한 칸 아래로 내린다
df.shift()

	삼성전자	KODEX 200
Date
2018-01-02	NaN	NaN
2018-01-03	51020.000	30317.000
2018-01-04	51620.000	30446.000
2018-01-05	51080.000	30206.000
2018-01-08	52120.000	30616.000
...	...	...
2018-10-24	43050.000	25636.000
2018-10-25	42550.000	25504.000
2018-10-26	41000.000	25097.000
2018-10-29	41000.000	24699.000
2018-10-30	41400.000	24499.000

202 rows × 2 columns

df.shift(periods=1).head()

	삼성전자	KODEX 200
Date
2018-01-02	NaN	NaN
2018-01-03	51020.000	30317.000
2018-01-04	51620.000	30446.000
2018-01-05	51080.000	30206.000
2018-01-08	52120.000	30616.000

# 초 단위로 내릴 수 있음.
df.shift(1, freq="S").head()

	삼성전자	KODEX 200
Date
2018-01-02 00:00:01	51020	30317
2018-01-03 00:00:01	51620	30446
2018-01-04 00:00:01	51080	30206
2018-01-05 00:00:01	52120	30616
2018-01-08 00:00:01	52020	30822

df.head()
df.shift().head()

	삼성전자	KODEX 200
Date
2018-01-02	51020	30317
2018-01-03	51620	30446
2018-01-04	51080	30206
2018-01-05	52120	30616
2018-01-08	52020	30822

	삼성전자	KODEX 200
Date
2018-01-02	NaN	NaN
2018-01-03	51020.000	30317.000
2018-01-04	51620.000	30446.000
2018-01-05	51080.000	30206.000
2018-01-08	52120.000	30616.000

# 이렇게 하면 수익률을 계산할 수 있겠지?
(df / df.shift() - 1).head()

	삼성전자	KODEX 200
Date
2018-01-02	NaN	NaN
2018-01-03	0.012	0.004
2018-01-04	-0.010	-0.008
2018-01-05	0.020	0.014
2018-01-08	-0.002	0.007

좀 더 간단하게 pct_change()를 써볼까?

# 위와 정확히 동일하다
df.pct_change(periods=1).head()

	삼성전자	KODEX 200
Date
2018-01-02	NaN	NaN
2018-01-03	0.012	0.004
2018-01-04	-0.010	-0.008
2018-01-05	0.020	0.014
2018-01-08	-0.002	0.007

df.pct_change(periods=2).head()

	삼성전자	KODEX 200
Date
2018-01-02	NaN	NaN
2018-01-03	NaN	NaN
2018-01-04	0.001	-0.004
2018-01-05	0.010	0.006
2018-01-08	0.018	0.020

# 뭐 대략 이런식으로 쓰이겠지??
simple_rtn_df = df.pct_change().fillna(0)
simple_rtn_df.head()

	삼성전자	KODEX 200
Date
2018-01-02	0.000	0.000
2018-01-03	0.012	0.004
2018-01-04	-0.010	-0.008
2018-01-05	0.020	0.014
2018-01-08	-0.002	0.007

log단위로 수익률이 필요하다면?

# numpy와 함께라면 쉽다
np.log(df / df.shift()).head()

	삼성전자	KODEX 200
Date
2018-01-02	NaN	NaN
2018-01-03	0.012	0.004
2018-01-04	-0.011	-0.008
2018-01-05	0.020	0.013
2018-01-08	-0.002	0.007

log_rtn_df = np.log(df / df.shift()).fillna(0)
log_rtn_df.head()

	삼성전자	KODEX 200
Date
2018-01-02	0.000	0.000
2018-01-03	0.012	0.004
2018-01-04	-0.011	-0.008
2018-01-05	0.020	0.013
2018-01-08	-0.002	0.007

그래프로 그려보자

!pip install seaborn
import matplotlib.pyplot as plt
import seaborn as sns

log_rtn_df.plot()

<AxesSubplot:xlabel='Date'>



c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49340 (\N{HANGUL SYLLABLE SAM}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49457 (\N{HANGUL SYLLABLE SEONG}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51204 (\N{HANGUL SYLLABLE JEON}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51088 (\N{HANGUL SYLLABLE JA}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)

png

log_rtn_df.hist(bins=50, sharex=True)

array([[<AxesSubplot:title={'center':'삼성전자'}>,
        <AxesSubplot:title={'center':'KODEX 200'}>]], dtype=object)

png

log_rtn_df.boxplot()

<AxesSubplot:>



c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49340 (\N{HANGUL SYLLABLE SAM}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49457 (\N{HANGUL SYLLABLE SEONG}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51204 (\N{HANGUL SYLLABLE JEON}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51088 (\N{HANGUL SYLLABLE JA}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)

png

sns.distplot(log_rtn_df['KODEX 200'], kde=False, bins=50);
sns.distplot(log_rtn_df['삼성전자'], kde=False, bins=50);

c:\Git\python-data\venv\lib\site-packages\seaborn\distributions.py:2619: FutureWarning: `distplot` is a deprecated function and will be removed in a future version. Please adapt your code to use either `displot` (a figure-level function with similar flexibility) or `histplot` (an axes-level function for histograms).
  warnings.warn(msg, FutureWarning)

png

sns.pairplot(log_rtn_df);

c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 49340 (\N{HANGUL SYLLABLE SAM}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 49457 (\N{HANGUL SYLLABLE SEONG}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 51204 (\N{HANGUL SYLLABLE JEON}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 51088 (\N{HANGUL SYLLABLE JA}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 49340 (\N{HANGUL SYLLABLE SAM}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 49457 (\N{HANGUL SYLLABLE SEONG}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 51204 (\N{HANGUL SYLLABLE JEON}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\seaborn\axisgrid.py:88: UserWarning: Glyph 51088 (\N{HANGUL SYLLABLE JA}) missing from current font.
  self._figure.tight_layout(*args, **kwargs)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49340 (\N{HANGUL SYLLABLE SAM}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49457 (\N{HANGUL SYLLABLE SEONG}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51204 (\N{HANGUL SYLLABLE JEON}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51088 (\N{HANGUL SYLLABLE JA}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)

png

누적 수익률 계산해 보기

df.head()

	삼성전자	KODEX 200
Date
2018-01-02	51020	30317
2018-01-03	51620	30446
2018-01-04	51080	30206
2018-01-05	52120	30616
2018-01-08	52020	30822

df.iloc[0]

삼성전자         51020
KODEX 200    30317
Name: 2018-01-02 00:00:00, dtype: int64

cum_rtn_df = df / df.iloc[0]
cum_rtn_df.head()

	삼성전자	KODEX 200
Date
2018-01-02	1.000	1.000
2018-01-03	1.012	1.004
2018-01-04	1.001	0.996
2018-01-05	1.022	1.010
2018-01-08	1.020	1.017

simple_rtn_df.head()

	삼성전자	KODEX 200
Date
2018-01-02	0.000	0.000
2018-01-03	0.012	0.004
2018-01-04	-0.010	-0.008
2018-01-05	0.020	0.014
2018-01-08	-0.002	0.007

cum_rtn_df = (1 + simple_rtn_df).cumprod()
cum_rtn_df.head() 

	삼성전자	KODEX 200
Date
2018-01-02	1.000	1.000
2018-01-03	1.012	1.004
2018-01-04	1.001	0.996
2018-01-05	1.022	1.010
2018-01-08	1.020	1.017

log로 표현

log_rtn_df.head()

	삼성전자	KODEX 200
Date
2018-01-02	0.000	0.000
2018-01-03	0.012	0.004
2018-01-04	-0.011	-0.008
2018-01-05	0.020	0.013
2018-01-08	-0.002	0.007

cum_rtn_df = np.exp(log_rtn_df.cumsum())
cum_rtn_df.head()

	삼성전자	KODEX 200
Date
2018-01-02	1.000	1.000
2018-01-03	1.012	1.004
2018-01-04	1.001	0.996
2018-01-05	1.022	1.010
2018-01-08	1.020	1.017

시각화

cum_rtn_df.plot()

<AxesSubplot:xlabel='Date'>



c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49340 (\N{HANGUL SYLLABLE SAM}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 49457 (\N{HANGUL SYLLABLE SEONG}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51204 (\N{HANGUL SYLLABLE JEON}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)
c:\Git\python-data\venv\lib\site-packages\IPython\core\pylabtools.py:151: UserWarning: Glyph 51088 (\N{HANGUL SYLLABLE JA}) missing from current font.
  fig.canvas.print_figure(bytes_io, **kw)

png