Basic.py 文件源码

def getAlphaBeta(self, interval=100):
        """Formula: (cov(dailyROR, marketROR)/var(marketROR)) or linear-regression:intercept, slope"""
        linreg = np.array([stats.linregress(self.marketROR[i:i+interval][:, 1].astype(float), self.dailyROR[i:i+interval][:, 1].astype(float)) for i in range(min(len(self.dailyROR), len(self.marketROR))-interval)])
        Alpha = [(self.Date[i], linreg[i, 0]) for i in range(min(len(self.dailyROR), len(self.marketROR))-interval)]
        Beta = [(self.Date[i], linreg[i, 1]) for i in range(min(len(self.dailyROR), len(self.marketROR))-interval)]
        return np.array(Alpha), np.array(Beta)