迈克尔·霍尔斯 - 摩尔算法交易的错误

Question

我跟随迈克尔·霍尔斯 - 摩尔算法交易书，并且遇到了一些代码问题。当我把代码粘贴到python中时，我得到了一些错误。

我在这里错过了些什么，因为它与书中写的完全一样吗？

from __future__ import print_function 

from numpy import cumsum, log, polyfit, sqrt, std, subtract 
from numpy.random import randn 


def hurst(ts): 
    """Returns the Hurst Exponent of the time series vector ts""" 
    # Create the range of lag values 
    lags = range(2, 100) 

    # Calculate the array of the variances of the lagged differences 
    tau = [sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in lags] 

    # Use a linear fit to estimate the Hurst Exponent 
    poly = polyfit(log(lags), log(tau), 1) 

    # Return the Hurst exponent from the polyfit output 
    return poly[0]*2.0 

# Create a Geometric Brownian Motion, Mean-Reverting and Trending Series 
gbm = log(cumsum(randn(100000))+1000) 
mr = log(randn(100000)+1000) 
tr = log(cumsum(randn(100000)+1)+1000) 

# Output the Hurst Exponent for each of the above series 
# and the price of Amazon (the Adjusted Close price) for 
# the ADF test given above in the article 
print("Hurst(GBM): %s" % hurst(gbm)) 
print("Hurst(MR): %s" % hurst(mr)) 
print("Hurst(TR): %s" % hurst(tr)) 

# Assuming you have run the above code to obtain 'amzn'! 
print("Hurst(AMZN): %s" % hurst(amzn['Adj Close'])) 

下面

[email protected]:~$ python 
Python 2.7.12 (default, Jul 1 2016, 15:12:24) 
[GCC 5.4.0 20160609] on linux2 
Type "help", "copyright", "credits" or "license" for more information. 
>>> from __future__ import print_function 
>>> 
>>> from numpy import cumsum, log, polyfit, sqrt, std, subtract 
>>> from numpy.random import randn 
>>> 
>>> 
>>> def hurst(ts): 
...  """Returns the Hurst Exponent of the time series vector ts""" 
...  # Create the range of lag values 
... 
>>>  lags = range(2, 100) 
    File "<stdin>", line 1 
    lags = range(2, 100) 
    ^
IndentationError: unexpected indent 
>>> 
>>>  # Calculate the array of the variances of the lagged differences 
... 
>>>  tau = [sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in lags] 
    File "<stdin>", line 1 
    tau = [sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in lags] 
    ^
IndentationError: unexpected indent 
>>> 
>>>  # Use a linear fit to estimate the Hurst Exponent 
... 
>>>  poly = polyfit(log(lags), log(tau), 1) 
    File "<stdin>", line 1 
    poly = polyfit(log(lags), log(tau), 1) 
    ^
IndentationError: unexpected indent 
>>> 
>>>  # Return the Hurst exponent from the polyfit output 
... 
>>>  return poly[0]*2.0 
    File "<stdin>", line 1 
    return poly[0]*2.0 
    ^
IndentationError: unexpected indent 
>>> 
>>> # Create a Gometric Brownian Motion, Mean-Reverting and Trending Series 
... gbm = log(cumsum(randn(100000))+1000) 
>>> mr = log(randn(100000)+1000) 
>>> tr = log(cumsum(randn(100000)+1)+1000) 
>>> 
>>> # Output the Hurst Exponent for each of the above series 
... # and the price of Amazon (the Adjusted Close price) for 
... # the ADF test given above in the article 
... print("Hurst(GBM): %s" % hurst(gbm)) 
Hurst(GBM): None 
>>> print("Hurst(MR): %s" % hurst(mr)) 
Hurst(MR): None 
>>> print("Hurst(TR): %s" % hurst(tr)) 
Hurst(TR): None 
>>> 
>>> # Assuming you have run the above code to obtain 'amzn'! 
... print("Hurst(AMZN): %s" % hurst(amzn['Adj Close'])) 
Hurst(AMZN): None 

Answer 1

的错误看起来像你将代码粘贴到一个Python交互窗口。当您使用交互式窗口编写一段缩进代码时（例如定义函数或启动for循环时），按两次enter键结束代码块部分（这就是为什么当代码是空行后出现错误应该是在一个缩进代码块）。在你的代码中，你可以删除所有的空白行（除了代码块末尾的空白行;这些都是结束代码块所必需的），并将其粘贴到交互式窗口中，或者可以将代码复制到一个文本文件，以.py文件扩展名保存该文件，然后使用命令python your_script.py从命令提示符/ powershell/terminal运行该脚本。

或者，使用python IDE（而不是交互式窗口或从命令行）像pycharm（https://www.jetbrains.com/pycharm/）。