own_tech.py 文件源码

def fb_reg_over_all_time(ret, data):
    '''
    ???????????????????????????????????????????????????????
    :param DataFrame ret: ???
    :param {string:DataFrame} data: ?????????
    :param DataFrame ind_ret: ???????????
    :param [int] interval????????????
    :return: DataFrame X: ?????????????;??????
    '''
    # X???????????????????X[i,j]???(i+1)???????(j+1)????(row????col???)
    X = np.zeros([ret.shape[1], len(data)])
    # num_of_factor????????factor??????????????1
    num_of_factor = 0
    # name of factors,prepared for converting X to DataFrame,with columns=factor_name
    factor_name = []
    # ?????????,i???tuple,i[0]?????i[1]???DataFrame???[???,????]??????
    for i in data.items():
        factor_name = factor_name + [i[0]]
        # ????????????????0
        for j in range(i[1].shape[1]):
            # ??j??????????????????????
            model = sm.OLS(ret[j].values, i[1][j].values).fit()
            # ?????????????
            X[j, num_of_factor] = model.params[0]
            # ?????????????1
        num_of_factor += 1
    # ?X??DataFrame????
    X = pd.DataFrame(X)
    X.fillna(0, inplace=True)
    X.columns = factor_name
    #??????????DataFrame
    return X