使用 statsmodels 计算 DataFrame 中多个 yfinance 数据的 r 平方时出错

Question

我最近开始学习 Python，但我已经在 Excel 中开始了一个复杂的项目。到目前为止，我对我使用的代码使用了不同的指南，并根据我的需要进行了调整。

我正在使用“yfinance”从 Yahoo! 收集特定时间段内多种加密货币的数据金融。此外，“统计模型”使用使用所有加密货币创建的 DataFrame 和带有 mkt 的附加列来获得 alpha、beta 和 r 平方。返回（x 变量）。

我遇到以下错误：ValueError: endog 和 exog 矩阵的大小不同。我看到了有关此错误的另一个问题/答案，但它似乎与我的问题无关。

错误发生在以下代码的第87行[model = sm.OLS(Y2,X_)]：

import numpy as np
import matplotlib.pyplot as plt
import pandas as pd
import datetime

from pandas_datareader import data as pdr
import yfinance as yf

yf.pdr_override()

df1 = pdr.get_data_yahoo("BTC-USD", start="2015-01-01", end="2020-01-01")
df2 = pdr.get_data_yahoo("ETH-USD", start="2015-01-01", end="2020-01-01")
df3 = pdr.get_data_yahoo("XRP-USD", start="2015-01-01", end="2020-01-01")
df4 = pdr.get_data_yahoo("BCH-USD", start="2015-01-01", end="2020-01-01")
df5 = pdr.get_data_yahoo("USDT-USD", start="2015-01-01", end="2020-01-01")
df6 = pdr.get_data_yahoo("BSV-USD", start="2015-01-01", end="2020-01-01")
df7 = pdr.get_data_yahoo("LTC-USD", start="2015-01-01", end="2020-01-01")
df8 = pdr.get_data_yahoo("BNB-USD", start="2015-01-01", end="2020-01-01")
df9 = pdr.get_data_yahoo("EOS-USD", start="2015-01-01", end="2020-01-01")
df10 = pdr.get_data_yahoo("LINK-USD", start="2015-01-01", end="2020-01-01")
df11 = pdr.get_data_yahoo("XMR-USD", start="2015-01-01", end="2020-01-01")
df12 = pdr.get_data_yahoo("BTG-USD", start="2015-01-01", end="2020-01-01")

return_btc = df1.Close.pct_change()[1:]
return_eth = df2.Close.pct_change()[1:]
return_xrp = df3.Close.pct_change()[1:]
return_bch = df4.Close.pct_change()[1:]
return_usdt = df5.Close.pct_change()[1:]
return_bsv = df6.Close.pct_change()[1:]
return_ltc = df7.Close.pct_change()[1:]
return_bnb = df8.Close.pct_change()[1:]
return_eos = df9.Close.pct_change()[1:]
return_link = df10.Close.pct_change()[1:]
return_xmr = df11.Close.pct_change()[1:]
return_btg = df12.Close.pct_change()[1:]

d = {"BTC Return":return_btc, "ETH Return":return_eth, "XRP Return":return_xrp, "BCH Return":return_bch, 
"USDT Return":return_usdt, "BSV Return":return_bsv, "LTC Return":return_ltc, "BNB Return":return_bnb, 
"EOS Return":return_eos, "LINK Return":return_link, "XMR Return":return_xmr, "BTG Return":return_btg}

df = pd.DataFrame(d) # new data frame with all returns data

df = pd.DataFrame(d, columns=["Date", "BTC Return", "ETH Return", "XRP Return", "BCH Return", "USDT Return", "BSV Return", 
"LTC Return", "BNB Return", "EOS Return", "LINK Return", "XMR Return", "BTG Return"])

avg_row = df.mean(axis=1)
return_mkt = avg_row

d1 = {"BTC Return":return_btc, "ETH Return":return_eth, "XRP Return":return_xrp, "BCH Return":return_bch, 
"USDT Return":return_usdt, "BSV Return":return_bsv, "LTC Return":return_ltc, "BNB Return":return_bnb, 
"EOS Return":return_eos, "LINK Return":return_link, "XMR Return":return_xmr, "BTG Return":return_btg, "MKT Return":return_mkt}
df = pd.DataFrame(d1)
print(df)

import statsmodels.api as sm
from statsmodels import regression

X = return_mkt.values
Y1 = return_btc
Y2 = return_eth
#Y3 = return_xrp

def linreg(x,y):
    x = sm.add_constant(x)
    model = regression.linear_model.OLS(y,x).fit()

    # we are removing the constant
    x = x[:, 1]
    return model.params[0], model.params[1]

X_ = sm.add_constant(X) # artificially add intercept to x, as advised in the docs
model = sm.OLS(Y1,X_)
results = model.fit()
rsquared = results.rsquared

alpha, beta = linreg(X,Y1)

def linreg(x,y):
    x = sm.add_constant(x)
    model = regression.linear_model.OLS(y,x).fit()

    # we are removing the constant
    x = x[:, 1]
    return model.params[0], model.params[1]

X_ = sm.add_constant(X) # artificially add intercept to x, as advised in the docs
model = sm.OLS(Y2,X_)
results = model.fit()
rsquared = results.rsquared

alpha, beta = linreg(X,Y2)

错误位于第二个 def 中，因为我正在尝试计算前面提到的每种加密货币的统计数据。因此，第一个 def 用于 BTC (Y1)，第二个 def 用于 ETH (Y2)，依此类推 (Y3,...)。

当我最后只有 BTC 的函数时，整个代码都很好，当我尝试为其他函数添加更多相同的函数时发生错误。

Answer 1

从根本上说，问题在于，因为以太坊（和所有其他加密货币）比比特币更晚开始，所以前几年每天的价格都有空值，这是无法处理的。所以你必须只取它们不为空的值。

但是，您的代码中有很多内容可以排除，以免不必要地重复自己。您尝试使用 linreg 函数进行此操作，但随后您为第二个加密重新定义了它，这不应该是必需的。

这是一个快速的重写，它解决了基本问题，并希望能说明我上面的意思。输出是一个数据框，其中包含您正在寻找的统计数据，按加密货币计算。目标是“通用”编写尽可能多的代码，然后只提供您感兴趣的密码列表。

import numpy as np
import matplotlib.pyplot as plt
import pandas as pd
from pandas_datareader import data as pdr
import datetime
import yfinance as yf
import statsmodels.api as sm
from statsmodels import regression

yf.pdr_override()

cryptos = ["BTC", "ETH", "XRP"]  # Here you can specify the cryptos you want. I just used 3 for demonstration
                                 # The rest of the code is not specific to any one crypto

def get_and_process_data(c):
    raw_data = pdr.get_data_yahoo(c + '-USD', start="2015-01-01", end="2020-01-01")
    return raw_data.Close.pct_change()[1:]

df = pd.DataFrame({c: get_and_process_data(c) for c in cryptos})


df['avg_return'] = df.mean(axis=1) # avg market return
print(df)

def model(x, y):
    # Calculate r-squared
    X = sm.add_constant(x) # artificially add intercept to x, as advised in the docs
    model = sm.OLS(y,X).fit()
    rsquared = model.rsquared
    
    # Fit linear regression and calculate alpha and beta
    X = sm.add_constant(x)
    model = regression.linear_model.OLS(y,X).fit()
    alpha = model.params[0]
    beta = model.params[1]

    return rsquared, alpha, beta


results = pd.DataFrame({c: model(df[df[c].notnull()]['avg_return'], df[df[c].notnull()][c]) for c in cryptos}).transpose()
results.columns = ['rsquared', 'alpha', 'beta']
print(results)