Write python-stock data processing, Python code generation

A total of eight data files, circulating market value, yield, ALPHA3, ALPHA5, TK, TK95, TK90, TK85,.

1, each stock has a TK value every week (starting from the 61st week of the 10th Week of 2011), according to this value from large to small to divide the stock into 10 equal positions, so that is equivalent to a weekly 10 portfolio.

2, and then according to the rate of return of the table, calculates the average yield of each combination of the stock this week, respectively, with equal weight and according to the current market value of each stock in circulation market value of the data as the weighted average. The same method is used to calculate the average yield for the next week, ..., which has been calculated to the return rate of the following 10 weeks.

3, TK value starting from the 61st week of data, that is, starting from the 61st week, with the 61st week of the TK group to calculate each very bit combination of 62nd week, 63 weeks ... 71-week average yield yield. Then the 62nd week of the TK group to calculate each very bit of the 63rd week, 64 weeks ... Average yield for 72 weeks.

4, the above results are placed in two folders, respectively, equal weight average data and the value of the weighted average market capitalization data, two folders of 10 tables, respectively, 1 weeks after the yield, 2 weeks after the rate of return ... Yield after 10 weeks. Each table has a horizontal axis of 1--10 and a time axis. That is, the first column of the first table in the first folder is the 61st row of the 61st week of the TK value of the first cent of the portfolio in the 62nd week of equal-weighted average yield, and so on.

5, again according to ALPHA3 's table, this time calculate not average yield but calculate average alpha of each portfolio, step is same as 2--4.

6, then calculate the average alpha5, the steps are the same as the 2--4.

7, the above is based on the value of TK, and then respectively according to TK95, TK90, TK85 three values repeat the above 1, 2, 3, 4 steps. Http://www.6daixie.com/contents/3/1241.html

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Write python-stock data processing, Python code generation