# Stock-prediction-algorithm-based-on-machine-learning
## 使用机器学习算法进行量化分析
**需要整理好的部分内容请到我的另一个仓库中!!![https://github.com/moyuweiqing/A-stock-prediction-algorithm-based-on-machine-learning]**
**项目很乱!!!**
**项目很乱!!!**
**项目很乱!!!**
不多说废话,直接说明项目,关键字:**量化投资、机器学习、股票交易**。该项目包括多个部分
1. 数据收集
2. 基本面分析
3. 技术面分析
4. 消息面分析
5. 回测系统
**1. 数据收集**
【文件夹:get_data】
该部分用来获取原始的数据,主要用于基本面和技术面分析,数据来源是通过python的tushare库,tushare是一个成熟的开源的金融信息数据接口[tushare](http://tushare.org),里面提供了多个不同的函数来获取各种不同的表格数据,存储于.csv文件中。
【文件夹:news】
cctv.py是一个爬虫,爬取CCTV新闻联播的新闻内容,并筛选关键词。TextSpider.py也是一个爬虫,爬取CCTV财经新闻内容。这两部分主要用于消息面分析中。
**2. 基本面分析**
【文件夹:基本面传统算法】
a-f.py是基本面分析中使用ROE算法进行分析的各个步骤,data.csv是这个过程中的临时数据,以及存在的各个年度的财务报表。
在基本面分析中使用了传统的ROE因子选股策略,机器学习算法为朴素贝叶斯算法。选用2016年-2019年沪深300成分股的前三季度的财务报表进行分析,通过不同的策略进行选股,并分析投资组合收益率。
在这里的传统ROE算法为:
1. 2016-2018三年的ROE值均大于10%
2. 2019年前三季度的ROE均上升,没有下跌
3. 满足以上条件的ROE值前十的股票
回测时期为:2019年10月28号-2019年11月8号
**3. 技术面分析**
【文件夹:个股预测】
在这里面,有多种个股预测的算法,其中里面的multi-thread文件夹是用来进行单日拟合的,进行区分以实现多线程运行。
【文件夹:技术面传统算法】
在这个文件夹中,主要有各种传统的算法,主要为移动平均算法、相对强弱因子,顺带需要分析的数据。
【文件夹:技术面机器学习算法】
技术面分析中使用到的是机器学习算法为:
1.Auto-ARIMA算法
2.LSTM算法
3.Prophet算法
4.SVM算法
其中,SVM算法是用于定性分析,在测试中SVM的成功率非常高。其他的各种算法用于定量分析,在定量分析中,又分为单次回归和单日回归,其中各种算法的优势比较为:
| 机器学习算法 | 单次拟合效果 | 单日拟合效果 | 算法效率 |
| ------------- | ------------- | ------------- | ------------- |
| Auto-ARIMA | 较差 | 很好 | 非常慢 |
| Prophet | 较差 | 较好 | 较慢 |
| LSTM | 较好 | 较好 | 快 |
**4. 消息面分析**
广泛来说,消息面分析的数据是海量的,根本分析不完。在这里是选用了CCTV新闻联播节目中的近几个月的消息,使用jieba分词库和snownlp情感分析库进行分析,提取关键词,获得需要关注的模块信息。
【文件夹:news】
在这里面的各种data.txt文件是各种新闻信息,snownlp.py文件用来进行情感分析,cctv.txt是进行关键词提取之后的新闻标题。
*然而,经历了2020年年初的新冠肺炎疫情我们可以认定,市场的总体走势其实是由宏观经济情况和其他非经济因素所影响的,这里面涉及到消息面分析,而对于个股分析中,才涉及到基本面和技术面分析*
**5. 回测系统**
【文件夹:sz50】
回测系统是自己搭建的,用于进行回测,但是比较简单,没有涉及到交易费用,只是实现了股票的买入卖出和收益率的计算,对于各种因素指标的实现需要之后再进行实现,以及数据可视化部分,并没有类似于聚宽平台<https://www.joinquant.com/>这样的一个比较完整的回测平台。
在这里主要是对技术面算法的数据进行回测,使用的数据集市上证50指数的成分股,可以获得回测的收益率。
【文件夹:prediction】
这个文件夹里面包含的是进行回测的数据,多种机器学习的算法进行测试。
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