python-33品种随机游走检验

# -*- coding: utf-8 -*-
"""
Created on Thu Jun 22 17:03:16 2017
@author: yunjinqi 
E-mail:yunjinqi@qq.com 
Differentiate yourself in the world from anyone else.
"""
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import statsmodels.tsa.stattools as ts
import statsmodels.api as sm
from statsmodels.graphics.api import qqplot
from statsmodels.sandbox.stats.runs import runstest_1samp
namelist=['cu','al','zn','pb','sn','au','ag','rb','hc','bu','ru','m9','y9','a9',
              'p9','c9','cs','jd','l9','v9','pp','j9','jm','i9','sr','cf',
              'zc','fg','ta','ma','oi','rm','sm']
j=0
for i in namelist:
    filename='C:/Users/HXWD/Desktop/数据/'+i+'.csv'
    data=pd.read_csv(filename,encoding='gbk')
    data.columns=['date','open','high','low','close','amt','opi']
    data.head()
    data=np.log(data['close'])
    r=data-data.shift(1)
    r=r.dropna()
    #print(r)
    x = np.array(r)
    x[x>=0]=1
    x[x<0]=0
    t=runstest_1samp(x)
    if abs(t[0])<1.96 and t[1]>0.05:
        print('{}该收益序列属于随机游走'.format(i))