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| { | |
| "cells": [ | |
| { | |
| "cell_type": "markdown", | |
| "id": "519de3c2", | |
| "metadata": {}, | |
| "source": [ | |
| "套件導入" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 1, | |
| "id": "230e8419", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "import pandas as pd \n", | |
| "import numpy as np \n", | |
| "import tejapi\n" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 2, | |
| "id": "6dfb815e", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "api_key = 'your_api_key'\n", | |
| "tejapi.ApiConfig.api_key = api_key\n", | |
| "tejapi.ApiConfig.ignoretz = True" | |
| ] | |
| }, | |
| { | |
| "cell_type": "markdown", | |
| "id": "11d0ad14", | |
| "metadata": {}, | |
| "source": [ | |
| "資料庫導入" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 18, | |
| "id": "0fc03dfd", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "comp_data = tejapi.get('TWN/ANPRCSTD',\n", | |
| " paginate = True,\n", | |
| " opts = {\"columns\":[\"coid\", \"mdate\", \"mkt\", \"stype\", \"list_date\", \"delis_date\", \"tseind\"]}\n", | |
| " )" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 22, | |
| "id": "18b2306f", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "coid_lst = list(comp_data.loc[(comp_data[\"stype\"] == \"STOCK\") & (comp_data[\"tseind\"] == \"22\")][\"coid\"])" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 24, | |
| "id": "d0658ecd", | |
| "metadata": {}, | |
| "outputs": [ | |
| { | |
| "data": { | |
| "text/plain": [ | |
| "241" | |
| ] | |
| }, | |
| "execution_count": 24, | |
| "metadata": {}, | |
| "output_type": "execute_result" | |
| } | |
| ], | |
| "source": [ | |
| "len(coid_lst)" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 70, | |
| "id": "4ac80bc6", | |
| "metadata": { | |
| "scrolled": false | |
| }, | |
| "outputs": [], | |
| "source": [ | |
| "gte, lte = \"2020-01-01\", \"2022-12-31\"\n", | |
| "price_data = tejapi.get('TWN/AAPRCDA',\n", | |
| " paginate = True,\n", | |
| " coid = coid_lst,\n", | |
| " mdate = {\"gte\":gte, \"lte\":lte},\n", | |
| " opts = {\"columns\":[\"coid\", \"mdate\", \"fld014\", \"cls60\", \"close_d\"]}\n", | |
| " )" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 26, | |
| "id": "5c3aff20", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "# price_data = pd.read_csv(\"price_data.csv\")" | |
| ] | |
| }, | |
| { | |
| "cell_type": "markdown", | |
| "id": "ccc5530a", | |
| "metadata": {}, | |
| "source": [ | |
| "資料前處理" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 71, | |
| "id": "cc1a677c", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "price_data[\"coid\"] = price_data[\"coid\"].astype(str)" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 72, | |
| "id": "04e52bb6", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "inter_coid = list(set(coid_lst).intersection(set(price_data[\"coid\"].unique())))" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 73, | |
| "id": "28b13f9b", | |
| "metadata": {}, | |
| "outputs": [ | |
| { | |
| "data": { | |
| "text/plain": [ | |
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| " '4186']" | |
| ] | |
| }, | |
| "execution_count": 73, | |
| "metadata": {}, | |
| "output_type": "execute_result" | |
| } | |
| ], | |
| "source": [ | |
| "inter_coid" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 186, | |
| "id": "81bc5077", | |
| "metadata": {}, | |
| "outputs": [ | |
| { | |
| "data": { | |
| "text/html": [ | |
| "<div>\n", | |
| "<style scoped>\n", | |
| " .dataframe tbody tr th:only-of-type {\n", | |
| " vertical-align: middle;\n", | |
| " }\n", | |
| "\n", | |
| " .dataframe tbody tr th {\n", | |
| " vertical-align: top;\n", | |
| " }\n", | |
| "\n", | |
| " .dataframe thead th {\n", | |
| " text-align: right;\n", | |
| " }\n", | |
| "</style>\n", | |
| "<table border=\"1\" class=\"dataframe\">\n", | |
| " <thead>\n", | |
| " <tr style=\"text-align: right;\">\n", | |
| " <th></th>\n", | |
| " <th>coid</th>\n", | |
| " <th>mdate</th>\n", | |
| " <th>fld014</th>\n", | |
| " <th>cls60</th>\n", | |
| " <th>close_d</th>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>None</th>\n", | |
| " <th></th>\n", | |
| " <th></th>\n", | |
| " <th></th>\n", | |
| " <th></th>\n", | |
| " <th></th>\n", | |
| " </tr>\n", | |
| " </thead>\n", | |
| " <tbody>\n", | |
| " <tr>\n", | |
| " <th>0</th>\n", | |
| " <td>1271</td>\n", | |
| " <td>2021-01-18</td>\n", | |
| " <td>70.30</td>\n", | |
| " <td>70.3000</td>\n", | |
| " <td>70.3</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>1</th>\n", | |
| " <td>1271</td>\n", | |
| " <td>2021-01-19</td>\n", | |
| " <td>69.70</td>\n", | |
| " <td>69.7000</td>\n", | |
| " <td>69.1</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>2</th>\n", | |
| " <td>1271</td>\n", | |
| " <td>2021-01-20</td>\n", | |
| " <td>69.60</td>\n", | |
| " <td>69.6000</td>\n", | |
| " <td>69.4</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>3</th>\n", | |
| " <td>1271</td>\n", | |
| " <td>2021-01-21</td>\n", | |
| " <td>69.10</td>\n", | |
| " <td>69.1000</td>\n", | |
| " <td>67.6</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>4</th>\n", | |
| " <td>1271</td>\n", | |
| " <td>2021-01-22</td>\n", | |
| " <td>69.12</td>\n", | |
| " <td>69.1200</td>\n", | |
| " <td>69.2</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>...</th>\n", | |
| " <td>...</td>\n", | |
| " <td>...</td>\n", | |
| " <td>...</td>\n", | |
| " <td>...</td>\n", | |
| " <td>...</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>126739</th>\n", | |
| " <td>8436</td>\n", | |
| " <td>2022-12-26</td>\n", | |
| " <td>165.75</td>\n", | |
| " <td>132.6083</td>\n", | |
| " <td>175.0</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>126740</th>\n", | |
| " <td>8436</td>\n", | |
| " <td>2022-12-27</td>\n", | |
| " <td>167.75</td>\n", | |
| " <td>133.5083</td>\n", | |
| " <td>177.5</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>126741</th>\n", | |
| " <td>8436</td>\n", | |
| " <td>2022-12-28</td>\n", | |
| " <td>168.65</td>\n", | |
| " <td>134.2917</td>\n", | |
| " <td>171.0</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>126742</th>\n", | |
| " <td>8436</td>\n", | |
| " <td>2022-12-29</td>\n", | |
| " <td>169.90</td>\n", | |
| " <td>135.0917</td>\n", | |
| " <td>172.0</td>\n", | |
| " </tr>\n", | |
| " <tr>\n", | |
| " <th>126743</th>\n", | |
| " <td>8436</td>\n", | |
| " <td>2022-12-30</td>\n", | |
| " <td>171.25</td>\n", | |
| " <td>135.8083</td>\n", | |
| " <td>171.0</td>\n", | |
| " </tr>\n", | |
| " </tbody>\n", | |
| "</table>\n", | |
| "<p>126744 rows × 5 columns</p>\n", | |
| "</div>" | |
| ], | |
| "text/plain": [ | |
| " coid mdate fld014 cls60 close_d\n", | |
| "None \n", | |
| "0 1271 2021-01-18 70.30 70.3000 70.3\n", | |
| "1 1271 2021-01-19 69.70 69.7000 69.1\n", | |
| "2 1271 2021-01-20 69.60 69.6000 69.4\n", | |
| "3 1271 2021-01-21 69.10 69.1000 67.6\n", | |
| "4 1271 2021-01-22 69.12 69.1200 69.2\n", | |
| "... ... ... ... ... ...\n", | |
| "126739 8436 2022-12-26 165.75 132.6083 175.0\n", | |
| "126740 8436 2022-12-27 167.75 133.5083 177.5\n", | |
| "126741 8436 2022-12-28 168.65 134.2917 171.0\n", | |
| "126742 8436 2022-12-29 169.90 135.0917 172.0\n", | |
| "126743 8436 2022-12-30 171.25 135.8083 171.0\n", | |
| "\n", | |
| "[126744 rows x 5 columns]" | |
| ] | |
| }, | |
| "execution_count": 186, | |
| "metadata": {}, | |
| "output_type": "execute_result" | |
| } | |
| ], | |
| "source": [ | |
| "price_data[price_data[\"coid\"].isin(inter_coid)]" | |
| ] | |
| }, | |
| { | |
| "cell_type": "markdown", | |
| "id": "94e6a98b", | |
| "metadata": {}, | |
| "source": [ | |
| "交易策略" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 209, | |
| "id": "c147f6bf", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "fltr_price_data = price_data[price_data[\"coid\"].isin(inter_coid)]\n", | |
| "group = fltr_price_data.groupby(\"coid\")\n" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 210, | |
| "id": "4b7318ff", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "def MA_strategy(df, principal):\n", | |
| " position = 0 \n", | |
| " lst = []\n", | |
| " \n", | |
| " for i in range(len(df)):\n", | |
| " if df[\"fld014\"].iloc[i] > df[\"cls60\"].iloc[i] and principal >= float(df[\"close_d\"].iloc[i])*1*1000:\n", | |
| " principal -= float(df[\"close_d\"].iloc[i])*1*1000\n", | |
| " position += 1\n", | |
| " lst.append({\n", | |
| " \"日期\": df[\"mdate\"].iloc[i],\n", | |
| " \"標的\": df[\"coid\"].iloc[i],\n", | |
| " \"買入/賣出\": \"買入\",\n", | |
| " \"單價\": float(df[\"close_d\"].iloc[i]),\n", | |
| " \"單位\": 1,\n", | |
| " \"剩餘現金\": principal,\n", | |
| " \"部位\" : position\n", | |
| " })\n", | |
| "\n", | |
| " elif df[\"fld014\"].iloc[i] < df[\"cls60\"].iloc[i] and position > 0:\n", | |
| " principal += float(df[\"close_d\"].iloc[i])*1*1000\n", | |
| " position -= 1\n", | |
| " \n", | |
| " lst.append({\n", | |
| " \"日期\": df[\"mdate\"].iloc[i],\n", | |
| " \"標的\": df[\"coid\"].iloc[i],\n", | |
| " \"買入/賣出\": \"賣出\",\n", | |
| " \"單價\": float(df[\"close_d\"].iloc[i]),\n", | |
| " \"單位\": 1,\n", | |
| " \"剩餘現金\": principal,\n", | |
| " \"部位\" : position\n", | |
| " })\n", | |
| " \n", | |
| " elif i == len(df)-1 and position > 0:\n", | |
| " principal += float(df[\"close_d\"].iloc[i])*position*1000\n", | |
| " position -= position\n", | |
| " lst.append({\n", | |
| " \"日期\": df[\"mdate\"].iloc[i],\n", | |
| " \"標的\": df[\"coid\"].iloc[i],\n", | |
| " \"買入/賣出\": \"賣出\",\n", | |
| " \"單價\": float(df[\"close_d\"].iloc[i]),\n", | |
| " \"單位\": position,\n", | |
| " \"剩餘現金\": principal,\n", | |
| " \"部位\" : position\n", | |
| " })\n", | |
| " \n", | |
| "\n", | |
| " df_output = pd.DataFrame(lst)\n", | |
| " \n", | |
| " \n", | |
| " \n", | |
| " return (df_output, principal)\n", | |
| " \n" | |
| ] | |
| }, | |
| { | |
| "cell_type": "markdown", | |
| "id": "035dff17", | |
| "metadata": {}, | |
| "source": [ | |
| "所有曾經上市櫃公司股價資訊" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 211, | |
| "id": "25a299a1", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "principal = 1000000\n", | |
| "total_return_1 = 0\n", | |
| "df = pd.DataFrame(columns = [\"日期\", \"標的\", \"買入/賣出\", \"單價\", \"單位\", \"剩餘現金\", \"部位\"])\n", | |
| "\n", | |
| "for g in group.groups.keys():\n", | |
| " reuslt = MA_strategy(group.get_group(g), principal)\n", | |
| " total_return_1 += round(reuslt[1], 2)\n", | |
| " df = pd.concat([df, reuslt[0]], ignore_index=True)\n", | |
| " " | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 212, | |
| "id": "c5b632d9", | |
| "metadata": {}, | |
| "outputs": [ | |
| { | |
| "name": "stdout", | |
| "output_type": "stream", | |
| "text": [ | |
| "-14.269384236453197\n" | |
| ] | |
| } | |
| ], | |
| "source": [ | |
| "total_return = (total_return_1/(1000000*len(group.groups.keys())) - 1) *100\n", | |
| "print(f\"ROI : {total_return}%\")" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 225, | |
| "id": "db059aec", | |
| "metadata": {}, | |
| "outputs": [ | |
| { | |
| "name": "stdout", | |
| "output_type": "stream", | |
| "text": [ | |
| "2020–01–01 至 2022–12–31狀態曾經為上市櫃的公司數量：203\n" | |
| ] | |
| } | |
| ], | |
| "source": [ | |
| "print(f'2020–01–01 至 2022–12–31狀態曾經為上市櫃的公司數量：{len(list(comp_data.loc[(comp_data[\"coid\"].isin(inter_coid))][\"coid\"]))}')\n" | |
| ] | |
| }, | |
| { | |
| "cell_type": "markdown", | |
| "id": "d03ca560", | |
| "metadata": {}, | |
| "source": [ | |
| "剔除下市櫃公司" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 213, | |
| "id": "736bf729", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "without_dist_coid = comp_data.loc[(comp_data[\"coid\"].isin(inter_coid)) & (comp_data[\"mkt\"] != \"DIST\")][\"coid\"].unique()\n", | |
| "fltr_price_data = price_data[price_data[\"coid\"].isin(without_dist_coid)]\n", | |
| "group = fltr_price_data.groupby(\"coid\")" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 214, | |
| "id": "902e9b86", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [ | |
| "principal = 1000000\n", | |
| "total_return_2 = 0\n", | |
| "df_without_dist = pd.DataFrame(columns = [\"日期\", \"標的\", \"買入/賣出\", \"單價\", \"單位\", \"剩餘現金\", \"部位\"])\n", | |
| "\n", | |
| "for g in group.groups.keys():\n", | |
| " reuslt = MA_strategy(group.get_group(g), principal)\n", | |
| " total_return_2 += round(reuslt[1], 2)\n", | |
| " df = pd.concat([df_without_dist, reuslt[0]], ignore_index=True)\n", | |
| " \n" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": 226, | |
| "id": "9f40cb7d", | |
| "metadata": {}, | |
| "outputs": [ | |
| { | |
| "name": "stdout", | |
| "output_type": "stream", | |
| "text": [ | |
| "ROI : -13.846355670103094%\n" | |
| ] | |
| } | |
| ], | |
| "source": [ | |
| "return_without_dist = (total_return_2/(1000000*len(group.groups.keys())) - 1) *100\n", | |
| "print(f\"ROI : {return_without_dist}%\")" | |
| ] | |
| }, | |
| { | |
| "cell_type": "code", | |
| "execution_count": null, | |
| "id": "cf159e62", | |
| "metadata": {}, | |
| "outputs": [], | |
| "source": [] | |
| } | |
| ], | |
| "metadata": { | |
| "kernelspec": { | |
| "display_name": "Python 3", | |
| "language": "python", | |
| "name": "python3" | |
| }, | |
| "language_info": { | |
| "codemirror_mode": { | |
| "name": "ipython", | |
| "version": 3 | |
| }, | |
| "file_extension": ".py", | |
| "mimetype": "text/x-python", | |
| "name": "python", | |
| "nbconvert_exporter": "python", | |
| "pygments_lexer": "ipython3", | |
| "version": "3.8.8" | |
| } | |
| }, | |
| "nbformat": 4, | |
| "nbformat_minor": 5 | |
| } |
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