From fe0dbb479a19fbf65a56cea34ae52628a6ca5818 Mon Sep 17 00:00:00 2001
From: Dmitry Belyaev <b4tm4n@mail.ru>
Date: Fri, 13 Nov 2020 12:21:02 +0300
Subject: [PATCH] post pandas-stoks
---
content/post/2020-11-13-pandas-stoks.md | 210 ++
static/img/pstoks-201113/output_8_1.svg | 2657 +++++++++++++++++++++++
static/img/pstoks-201113/output_8_2.svg | 2371 ++++++++++++++++++++
static/img/pstoks-201113/output_8_3.svg | 1291 +++++++++++
static/img/pstoks-201113/output_8_4.svg | 1410 ++++++++++++
static/img/pstoks-201113/output_8_5.svg | 1725 +++++++++++++++
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create mode 100644 content/post/2020-11-13-pandas-stoks.md
create mode 100644 static/img/pstoks-201113/output_8_1.svg
create mode 100644 static/img/pstoks-201113/output_8_2.svg
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create mode 100644 static/img/pstoks-201113/output_8_4.svg
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diff --git a/content/post/2020-11-13-pandas-stoks.md b/content/post/2020-11-13-pandas-stoks.md
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@@ -0,0 +1,210 @@
+---
+title: Анализ корреляций биржевых колебаний
+date: 2020-11-12
+tags: [Python, pandas, jupyter, MOEX, stoks, ETF]
+---
+
+Поэкспирементировал в Jupyter Lab и нарисовал несколько графиков на тему корреляции колебаний курса ETF и акций.
+
+
+<!--more-->
+
+Ставим зависимости, если надо.
+```python
+# !conda install snappy python-snappy pyarrow fastparquet
+# !pip install pandas_datareader
+```
+
+```
+
+```
+
+Настраиваем графики и импортируем библиотеки.
+```python
+%matplotlib inline
+%config InlineBackend.figure_format = 'svg' #векторный формат
+
+from matplotlib import pyplot as plt
+
+plt.style.use('ggplot') # Красивые графики
+plt.rcParams['figure.figsize'] = (12, 5) # Размер картинок
+
+import numpy as np
+import pandas as pd
+from datetime import timedelta
+from datetime import datetime
+import math
+import os
+import pandas_datareader.data as web
+```
+
+```
+
+```
+
+Скачиваем информацию через API биржи в локальный каталог.
+```python
+
+tikers = 'SBER,AFKS,GAZP,MAIL,YNDX,FXUS,FXIT,FXCN,FXDE,FXWO,FXRW'.split(',')
+
+def download_data(tiker, path):
+ filepath = os.path.join(path, f'{tiker}_2020.parquet')
+ if os.path.exists(filepath):
+ return
+ df = web.DataReader(tiker, 'moex', start='2020-01-01', end='2020-11-12')
+ df.to_parquet(filepath, engine='fastparquet')
+
+for tiker in tikers:
+ print(f'downloading: {tiker}')
+ download_data(tiker, "D:\\data2\\Documents\\notebooks")
+
+```
+
+ downloading: SBER
+ downloading: AFKS
+ downloading: GAZP
+ downloading: MAIL
+ downloading: YNDX
+ downloading: FXUS
+ downloading: FXIT
+ downloading: FXCN
+ downloading: FXDE
+ downloading: FXWO
+ downloading: FXRW
+
+```
+
+```
+
+Загружаем кешированные на диске данные.
+```python
+
+def load_data(tiker, path):
+ result = None
+ filepath = os.path.join(path, f'{tiker}_2020.parquet')
+ if os.path.exists(filepath):
+ result = pd.read_parquet(filepath)
+ return result
+
+dfs = {}
+for tiker in tikers:
+ dfs[tiker] = load_data(tiker, "D:\\data2\\Documents\\notebooks")
+
+```
+
+```
+
+```
+
+Значения полей `BOARDID` (режимы торгов) у акций и ETF разные. Для акций берём `TQBR` а для фондов `TQTF`.
+```python
+dfs['FXIT']['BOARDID'].unique(), dfs['YNDX']['BOARDID'].unique()
+```
+
+
+
+
+ (array(['TQTD', 'TQTF', 'SOTC', 'RPMO', 'PSRP', 'PSTF', 'PTTF'],
+ dtype=object),
+ array(['TQBR', 'SPEQ', 'SOTC', 'RPMO', 'RPEU', 'RPEO', 'MXBD', 'EQRP',
+ 'PSRP', 'EQRD', 'LIQR', 'PSRD', 'PSRE', 'PTEQ', 'PSEQ'],
+ dtype=object))
+
+
+
+
+```
+
+```
+
+Обрабатываем данные, чтобы убрать всё кроме нужного режима торгов, и интерполируем цену.
+```python
+
+def price_data(x_df, boardid='TQBR'):
+ xdf = x_df.copy()
+ xdf = xdf.where(xdf['BOARDID'] == boardid)
+ xdf.dropna(axis=0, how='all', inplace=True)
+ xdf.dropna(axis=1, how='all', inplace=True)
+ if 0 == xdf.size:
+ return xdf
+ xdf['OPEN'] = xdf['OPEN'].interpolate(method='polynomial', order=2);
+ xdf['CLOSE'] = xdf['CLOSE'].interpolate(method='polynomial', order=2);
+ xdf['WAPRICE'] = xdf['WAPRICE'].interpolate(method='polynomial', order=2);
+ return xdf
+
+# для простоты, считаем что если имя начинается на FX то это ETF
+for tiker in tikers:
+ dfs[tiker] = price_data(dfs[tiker], boardid='TQTF' if 'FX' in tiker else 'TQBR')
+```
+
+```
+
+
+```
+
+Нормализуем графики с помомщью отношения средневзвешеной (по объёму торгов) цены `WAPRICE` и медианой этого показателя.
+Затем соединяем таблицы и строим графики.
+```python
+# WAPRICE/median
+def calc_wdm(df):
+ return df['WAPRICE'] / df['WAPRICE'].median()
+
+for tiker in tikers:
+ dfs[tiker][tiker] = calc_wdm(dfs[tiker])
+
+df_base = dfs['FXIT'][[]]
+
+def merge_dfs(base):
+ result = base
+ for tiker in tikers:
+ result = result.merge(dfs[tiker][[tiker]], how='outer', on='TRADEDATE')
+ return result
+
+
+xxdf = merge_dfs(df_base)
+
+xxdf['diff_us'] = xxdf['FXUS'] - xxdf['FXIT']
+
+# рисуем графики
+xxdf.plot(y='FXUS,FXIT,FXCN,FXDE,FXWO,FXRW'.split(','), kind='line', title='ETF: WAPRICE / median')
+xxdf.plot(y='SBER,AFKS,GAZP,MAIL,YNDX'.split(','), kind='line', title='RU: WAPRICE / median')
+xxdf.plot(y='diff_us'.split(','), kind='line', title='FXUS - FXIT')
+xxdf.plot(y='FXIT,YNDX'.split(','), kind='line', title='FXIT & YNDX')
+xxdf.plot(y='FXWO,FXRW,FXUS'.split(','), kind='line', title='FXUS & FXWO & FXRW');
+```
+
+```
+
+```
+
+
+Все ETF Finex достаточно сильно коррелируют, за исключением FXRW конечно.
+
+
+```
+
+```
+
+На российском рынке по произвольно выбранным акциям корреляция слабая.
+
+
+```
+
+```
+
+Разница в колебаниях FXUS и FXIT.
+
+
+```
+
+```
+
+Между Яндексом и FXIT некоторая корреляция есть.
+
+
+```
+
+```
+
+Между FXWO и FXUS корреляция очень сильная.
+
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