金融数据指标（历史移动波动率，均值）

1.导入函数

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
import tushare as ts
import math

2. 数据获取

data = ts.get_hist_data(‘000012‘,start=‘2015-06-23‘,end=‘2017-11-16‘)

3.移动平均值

# 滚动窗口的使用data[‘42d‘]= pd.rolling_mean(data[‘close‘],window=42)data[‘252d‘] =pd.rolling_mean(data[‘close‘],window=252)print(data[[‘close‘,‘42d‘,‘252d‘]].tail())

data[[‘close‘,‘42d‘,‘252d‘]].plot(figsize=(8,5))plt.show()

4.移动历史波动

data[‘return‘]=np.log(data[‘close‘]/data[‘close‘].shift(1))
data[‘mov_vol‘] = pd.rolling_std(data[‘return‘],window=252)*math.sqrt(252)
data[[‘close‘,‘return‘,‘mov_vol‘]].plot(subplots=True,style=‘b‘,figsize=(8,7))
plt.show()