import csv #輸入import輸出export,輸入csv套件 import math #輸入math套件 from tkinter import * #或者import tkinter as tk scale = 2000 # 放大倍率 base = 600 # 圖形中心高度 def transposeMatrix(m): #自訂轉置transpose函數 N = [] for j in range(len(m[0])): row = [] for i in range(len(m)): row.append(m[i][j]) N.append(row) return N def getMatrixMinor(m,i,j): return [row[:j] + row[j+1:] for row in (m[:i]+m[i+1:])] def getMatrixDeternminant(m): #base case for 2x2 matrix if len(m) == 2: return m[0][0]*m[1][1]-m[0][1]*m[1][0] determinant = 0 for c in range(len(m)): determinant += ((-1)**c)*m[0][c]*getMatrixDeternminant(getMatrixMinor(m,0,c)) return determinant def getMatrixInverse(m): determinant = getMatrixDeternminant(m) if len(m) == 2: #處理2x2方陣 return [[m[1][1]/determinant, -1*m[0][1]/determinant], [-1*m[1][0]/determinant, m[0][0]/determinant]] cofactors = [] for r in range(len(m)): cofactorRow = [] for c in range(len(m)): minor = getMatrixMinor(m,r,c) cofactorRow.append(((-1)**(r+c))*getMatrixDeternminant(minor)) cofactors.append(cofactorRow) cofactors = transposeMatrix(cofactors) for r in range(len(cofactors)): for c in range(len(cofactors)): cofactors[r][c] = cofactors[r][c]/determinant return cofactors def draw_circle(x, y, label): canvas.create_oval(100+x-5, base-y-5, 100+x+5, base-y+5, fill="black") canvas.create_text(100+x+20, base-y, text=label, anchor='w', font=('微軟正黑體',20)) file = open('C:/Users/user/Downloads/20260521.csv','r',encoding='utf-8') read = csv.reader(file) header, rows = [], [] header = next(read) for item in read: rows.append(item) file.close() num = len(rows) #資料表長度,以下2603,2606,2609,2615,2637,00960,0050 mean, meanTemp= [0,0,0,0,0,0,0], [0,0,0,0,0,0,0] vari = [[0,0,0,0,0,0,0],[0,0,0,0,0,0,0],[0,0,0,0,0,0,0],[0,0,0,0,0,0,0], [0,0,0,0,0,0,0],[0,0,0,0,0,0,0],[0,0,0,0,0,0,0]] for k in range(num): for i in range(7): meanTemp[i]=float(rows[k][i+1])/100 #轉換為小數 mean[i] += meanTemp[i] for j in range(i+1): vari[i][j] += meanTemp[i]*meanTemp[j] for i in range(7): mean[i] = mean[i]/num for j in range(i+1): vari[i][j]=(vari[i][j] - mean[i]*mean[j]*num)/(num-1) for i in range(7): for j in range(i+1,7): vari[i][j]=vari[j][i] tk = Tk() #建構視窗名為tk tk.geometry('1200x900')#視窗 寬1200像素 tk.title("劉任昌分析航運股票日報酬")#第71與112列寫上自己的名字然後截圖 canvas = Canvas(tk, width=1200, height=900, bg='white') canvas.grid(row=0,column=0,padx=5,pady=5,columnspan=3) canvas.create_line(100, base, 1100, base, arrow=LAST,width=3) for i in range(1,8): #X軸 0 3 6 9 12 15 18 canvas.create_text(100+i*120, base, text = i*3, anchor='n', font=('微軟正黑體',20)) canvas.create_line(100, 800, 100, 50, arrow=LAST,width=3) for i in range(-3,7): #Y軸 -4 -3 -2 -1 0 1 2 3 4 canvas.create_text(94, base-i*80, text = i, anchor='e', font=('微軟正黑體',20)) canvas.create_text(1100, base+5, text = '標準差', anchor='n', font=('微軟正黑體',20)) canvas.create_text(95, 50, text = '報酬率', anchor='e', font=('微軟正黑體',20)) for i in range(7): x = math.sqrt(vari[i][i]*250)*scale y = 250*mean[i]*scale draw_circle(x, y, header[i+1] ) print(header[i+1], f"{x/scale:.4f}", f"{y/scale:.4f}") OmegaInverse = getMatrixInverse(vari[:5][:5]) #----------------2026/03/04增加計算GMV(GMV=Σ⁻¹ × 1/1' Σ⁻¹ 1) OmegaInverse就是Σ⁻¹ ones = [1,1,1,1,1] w_gmv = [0,0,0,0,0] for i in range(5): for j in range(5): w_gmv[i] += OmegaInverse[i][j] * ones[j] den = 0 for i in range(5): den += w_gmv[i] for i in range(5): w_gmv[i] = w_gmv[i] / den print("GMV weights:") for i in range(5): print(header[i+1], w_gmv[i]) # ---------畫 GMV 點--------- gmv_mean = 0 gmv_var = 0 for i in range(5): gmv_mean += w_gmv[i]*mean[i] for j in range(5): gmv_var += w_gmv[i]*vari[i][j]*w_gmv[j] gmv_y = 250*gmv_mean*scale gmv_x = math.sqrt(gmv_var*250)*scale canvas.create_text(100+gmv_x, base-gmv_y, text="★", fill="red", font=('Arial',28)) canvas.create_text(100+gmv_x-40, base-gmv_y+20, text="劉任昌GMV,Global Minimum Variance最小變異數投資組合", fill="red", font=('微軟正黑體',16)) ''' y_text = 120 canvas.create_text(900,y_text,text="GMV Weights",font=('Arial',16,'bold')) for i in range(6): txt = header[i+1] + " : " + format(w_gmv[i],".3f") canvas.create_text(900, y_text + (i+1)*30, text=txt, font=('Arial',14)) ''' A, B, C, D = 0, 0, 0, 0 for i in range(5): for j in range(5): A += mean[i]*OmegaInverse[i][j] B += mean[i]*OmegaInverse[i][j]*mean[j] C += OmegaInverse[i][j] D = B*C - A*A meanP = 0 while meanP <= 0.5: meanP += 0.00002 #效率前緣線密集度 y = 250*meanP*scale temp = meanP - A/C x = math.sqrt(250 * (C*temp*temp/D+1/C))*scale canvas.create_oval(100+x-1, base-y-1, 100+x+1, base-y+1, fill="red") ''' step = 0.1 w=[0,0,0,0,0,0] while w[0] <= 1: while w[0]+w[1] <= 1: while w[0]+w[1]+w[2] <= 1: while w[0]+w[1]+w[2]+w[3] <= 1: while w[0]+w[1]+w[2]+w[3]+w[4] <= 1: temp4=w[0]+w[1]+w[2]+w[3]+w[4] if temp4 < 1: w[5] = 1 - temp4 else: w[5] = 0 meanP, variP = 0, 0 for i in range(6): meanP += w[i]*mean[i] for j in range(6): variP += w[i]*vari[i][j]*w[j] y = 250*meanP*scale x = math.sqrt(variP*250)*scale canvas.create_oval(100+x-1,base-y-1, 100+x+1,base-y+1, fill="blue") w[4] += step w[3] += step w[4] = 0 w[2] += step w[3],w[4] = 0,0 w[1] += step w[2],w[3],w[4] = 0,0,0 w[0] += step w[1],w[2],w[3],w[4] = 0,0,0,0 ''' tk.mainloop()


留言

張貼留言

這個網誌中的熱門文章

圖片
    import pandas as pd #劉任昌GOOGLE搜尋AI模式COPY貼上 # 1. 讀入 CSV 檔案 (假設 CSV 有 'Date' 和 'Close' 欄位) df = pd.read_csv('stock_data.csv') df['Date'] = pd.to_datetime(df['Date']) df.set_index('Date', inplace=True) # 2. 計算移動平均線 (例如 5日短均線 與 20日長均線) df['SMA5'] = df['Close'].rolling(window=5).mean() df['SMA20'] = df['Close'].rolling(window=20).mean() # 3. 判斷交叉信號 # 前一天的狀態 df['prev_SMA5'] = df['SMA5'].shift(1) df['prev_SMA20'] = df['SMA20'].shift(1) # 黃金交叉：昨日短<長 且 今日短>長 df['Golden_Cross'] = (df['prev_SMA5'] < df['prev_SMA20']) & (df['SMA5'] > df['SMA20']) # 死亡交叉：昨日短>長 且 今日短<長 df['Death_Cross'] = (df['prev_SMA5'] > df['prev_SMA20']) & (df['SMA5'] < df['SMA20']) # 4. 輸出結果 (過濾出有信號的日期) signals = df[df['Golden_Cross'] | df['Death_Cross']] print(signals[['Close...
閱讀完整內容

德明科大財金系蘇柏丞衍生性金融商品銷售人員

德明科大財金系蘇柏丞衍生性金融商品銷售人員 答 1 2 3 4 銀行辦理衍生性金融商品業務，應檢具金管會規定之申請書件，向金管會申請核准，並符合哪些規定？ 申請日上一季底逾放比率為3%以下 EPS達3元以上 ROE達5% 市值達新臺幣100億 答 1 2 3 4 向專業機構投資人及高淨值投資法人以外客戶宣讀或以電子設備說明客戶須知之重要內容，其內容應載事項有結構商品之名稱及警語及連結標的類別或資產外，包括下列何者？甲.未來的績效；乙.市場的走勢及經濟的看法；丙.投資風險之說明 僅甲. 僅乙. 僅丙. 甲.乙.丙. 答 1 2 3 4 銀行辦理衍生性金融商品業務之交易、交割、推介、風險管理之經辦及相關管理人員，每年應參加國內金融訓練機構所舉辦或銀行自行舉辦之衍生性金融商品教育訓練課程時數至少達多少小時以上？ 6小時 12小時 20小時 16小時 答 1 2 3 4 依「銀行辦理衍生性金融商品自律規範」規定，銀行應於結構型商品交易文件中提醒客戶承作本商品之重要注意事項，下列敘述何者錯誤？ 商品設計或條件不同客戶所暴露之風險程度可能不同 現金交割可能發生部分或全部利息、本金減損之風險 非現金交割可能發生本金將依約定轉換成標的資產之情事 現金交割可能必須承擔再投資風險 答 1 2 3 4 依銀行辦理衍生性金融商品業務內部作業控制及程序管理辦法規定，下列敘述何者錯誤？甲.應至少區分二個等級，評估非專業客戶商品風險承受程度；乙.對於交易條件標準化且存續期限超過6個月之商品，若為專業客戶，除客戶明確表示已充分審閱並簽名者外，審閱期間不得低於七日；丙.結構型商品限於專業客戶交易者，不得為一般性廣告 甲.乙. 甲.丙. 乙.丙. 甲.乙.丙. 答 1 2 3 4 依「銀行辦理衍生性金融商品業務內部作業制度及程序管理辦法」規定，銀行向客戶提供結構型商品交易服務時，不得以下列何者名義為之？ 附條件美元優利投資組合 黃金外幣組合 雙元貨幣組合 結構型優利存款 答 1 2 3 4 銀行向專業機構投資人及高淨值投資法人以外之客戶，辦理商品期限超過一年且隱含賣出選擇權之匯率類衍生性金融商品，徵提期初保證金之最低標準，不得低於契約總名目本金之多少百分比？ 2% 3% 5% 8% 答 1 2 3 4...
閱讀完整內容

蘇柏丞程式交易Markowitz 1952投資效率前緣

圖片
  DASHED虛線DOTTED點線 import csv #輸入import輸出export,輸入csv套件 import math #輸入math套件 from tkinter import * #或者import tkinter as tk Dim = 10 def draw_circle(x, y, label): canvas.create_oval(100+x-5, 700-y-5, 100+x+5, 700-y+5, fill="black") canvas.create_text(100+x+20, 700-y, text = label, anchor='w', font=('微軟正黑體',20)) file = open('台灣.csv','r',encoding='utf-8') read = csv.reader(file) header, rows = [], [] header = next(read) for item in read: rows.append(item) file.close() num = len(rows) #資料表長度 #print(header) mean = [0 for i in range(Dim)]; mean50 = 0; vari50=0 meanTemp = [0 for i in range(Dim)] vari = [[0 for i in range(Dim)] for j in range(Dim)] for k in range(num): for i in range(Dim): meanTemp[i]=float(rows[k][i+1])/100 #轉換為小數 mean[i] += meanTemp[i] for j in range(i+1): vari[i][j] += meanTemp[i]*meanTemp[j] meanTemp50 = float(rows[k][...
閱讀完整內容