课件教程andas datareader rnsquared文案.pdfVIP

In

[8]:nsemble_prediction.py

ortdatetime

ortmatplotlib.pyplotasplt

ortnumpyasnp

ortpandasaspd

ortpandas_datareader.dataasweb

ortseabornassns

ortsklearn

msklearn.ensembleimport(BaggingRegressor,RandomRegressor,AdaBoostR

msklearn.metricsimportmean_squared_error

msklearn.model_selectionimporttrain_test_split

msklearn.preprocessingimportscale

msklearn.treeimportDecisionTreeRegressor

create_lagged_series(symbol,start_date,end_date,lags3):

ThiscreatesapandasDataFramethatstores

thepercentagereturnsoftheadjustedclosing

valueofastockobtainedfromYahooFinance,

alongwithanumberoflaggedreturnsfromthe

priortradingdays(lagsdefaultsto3days).

Tradingvolumeisalsoluded.

#Obtainstockinformationfromquandl

ts=web.DataReader(symbol,quandl,start_date,end_date).sort_index()

#CreatethenewlaggedDataFrame

tslag=pd.DataFrame(index=ts.index)

tslag[Today]=ts[AdjClose]

tslag[Volume]=ts[Volume]

#Createtheshiftedlagseriesof

#priortradingperiodclosevalues

foriinrange(0,lags):

tslag[Lag%s%str(i+1)]=ts[AdjClose].shift(i+1)

#CreatethereturnsDataFrame

tsret=pd.DataFrame(index=tslag.index)

tsret[Volume]=tslag[Volume]

tsret[Today]=tslag[Today].pct_change()*100.0

#Createthelaggedpercentagereturnscolumns

foriinrange(0,lags):

tsret[Lag%s%str(i+1)]=tslag[Lag%s%str(i+1)].pct_change()*100.0

tsret=tsret[tsret.index=start_date]

returntsret

__name____main__:

#Settherandomseed,numberofestimators

#andthestepfactorusedtoplotthegraphofMSE

#foreaethod