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Update app.py
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app.py
CHANGED
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@@ -5,60 +5,52 @@ import pandas as pd
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import matplotlib.pyplot as plt
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import scipy.optimize as sco
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# Fungsi untuk mengunduh data saham
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def get_stock_data(tickers, start, end):
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data = yf.download(tickers, start=start, end=end)
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# Fungsi untuk menghitung return tahunan dan matriks kovarians
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def calculate_returns(data):
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log_returns = np.log(data / data.shift(1))
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return log_returns.mean() * 252, log_returns.cov() * 252
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# Fungsi untuk menghitung portofolio optimal
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def optimize_portfolio(returns, cov_matrix):
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num_assets = len(returns)
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# Fungsi untuk menghitung rasio Sharpe (return / risiko)
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def sharpe_ratio(weights):
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portfolio_return = np.dot(weights, returns)
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portfolio_volatility = np.sqrt(np.dot(weights.T, np.dot(cov_matrix, weights)))
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return -portfolio_return / portfolio_volatility
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constraints = ({'type': 'eq', 'fun': lambda x: np.sum(x) - 1}) # Total bobot = 100%
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bounds = tuple((0, 1) for _ in range(num_assets)) # Bobot saham antara 0 - 1
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init_guess = num_assets * [1. / num_assets] # Tebakan awal
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result = sco.minimize(sharpe_ratio, init_guess, method='SLSQP', bounds=bounds, constraints=constraints)
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return result.x
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# Streamlit UI
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st.title("Analisis Portofolio Saham Optimal (Model Markowitz)")
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# Input Saham & Tanggal
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tickers_list = st.text_input("Masukkan ticker saham (contoh: BBCA.JK, TLKM.JK, BBRI.JK)", "BBCA.JK, TLKM.JK, BBRI.JK").split(", ")
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start_date = st.date_input("Pilih tanggal mulai", pd.to_datetime("2020-01-01"))
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end_date = st.date_input("Pilih tanggal akhir", pd.to_datetime("2020-12-31"))
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if st.button("Analisis Portofolio"):
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try:
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# Ambil data saham
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stock_data = get_stock_data(tickers_list, start_date, end_date)
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else:
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# Hitung return dan kovarians
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mean_returns, cov_matrix = calculate_returns(stock_data)
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# Optimasi portofolio
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optimal_weights = optimize_portfolio(mean_returns, cov_matrix)
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# Tampilkan hasil
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st.subheader("Bobot Portofolio Optimal:")
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for i, stock in enumerate(tickers_list):
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st.write(f"{stock}: {optimal_weights[i]:.2%}")
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# Plot Efficient Frontier
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st.subheader("Efficient Frontier")
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fig, ax = plt.subplots()
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ax.scatter(np.sqrt(np.diag(cov_matrix)), mean_returns, c=mean_returns / np.sqrt(np.diag(cov_matrix)), marker='o')
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@@ -66,6 +58,5 @@ if st.button("Analisis Portofolio"):
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ax.set_ylabel("Return Tahunan")
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ax.set_title("Efficient Frontier")
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st.pyplot(fig)
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except Exception as e:
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st.error(f"Terjadi kesalahan: {e}")
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import matplotlib.pyplot as plt
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import scipy.optimize as sco
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def get_stock_data(tickers, start, end):
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data = yf.download(tickers, start=start, end=end)
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if 'Adj Close' in data.columns:
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return data['Adj Close']
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else:
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return None
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def calculate_returns(data):
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log_returns = np.log(data / data.shift(1))
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return log_returns.mean() * 252, log_returns.cov() * 252
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def optimize_portfolio(returns, cov_matrix):
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num_assets = len(returns)
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def sharpe_ratio(weights):
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portfolio_return = np.dot(weights, returns)
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portfolio_volatility = np.sqrt(np.dot(weights.T, np.dot(cov_matrix, weights)))
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return -portfolio_return / portfolio_volatility
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constraints = ({'type': 'eq', 'fun': lambda x: np.sum(x) - 1})
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bounds = tuple((0, 1) for _ in range(num_assets))
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init_guess = num_assets * [1. / num_assets]
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result = sco.minimize(sharpe_ratio, init_guess, method='SLSQP', bounds=bounds, constraints=constraints)
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return result.x
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st.title("Analisis Portofolio Saham Optimal (Model Markowitz)")
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tickers_list = st.text_input("Masukkan ticker saham (contoh: BBCA.JK, TLKM.JK, BBRI.JK)", "BBCA.JK, TLKM.JK, BBRI.JK").split(", ")
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start_date = st.date_input("Pilih tanggal mulai", pd.to_datetime("2020-01-01"))
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end_date = st.date_input("Pilih tanggal akhir", pd.to_datetime("2020-12-31"))
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if st.button("Analisis Portofolio"):
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try:
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stock_data = get_stock_data(tickers_list, start_date, end_date)
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if stock_data is None or stock_data.isnull().values.any():
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st.error("Data tidak ditemukan atau tidak lengkap. Periksa ticker atau tanggal yang dipilih.")
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else:
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mean_returns, cov_matrix = calculate_returns(stock_data)
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optimal_weights = optimize_portfolio(mean_returns, cov_matrix)
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st.subheader("Bobot Portofolio Optimal:")
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for i, stock in enumerate(tickers_list):
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st.write(f"{stock}: {optimal_weights[i]:.2%}")
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st.subheader("Efficient Frontier")
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fig, ax = plt.subplots()
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ax.scatter(np.sqrt(np.diag(cov_matrix)), mean_returns, c=mean_returns / np.sqrt(np.diag(cov_matrix)), marker='o')
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ax.set_ylabel("Return Tahunan")
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ax.set_title("Efficient Frontier")
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st.pyplot(fig)
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except Exception as e:
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st.error(f"Terjadi kesalahan: {e}")
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