需求：统计节假日效应：节前一周内开仓和节后一周内开仓的收益情况
其中，套利组合在开平仓信号内，按照周一-周五分别开仓。
解决步骤：
1.数据处理
1.1导入周一-周五组合的市值数据,组合数据包含开仓时间（start）,平仓时间（end）,
开仓市值（open）,平仓市值（close）,平仓沪深300市值（hs_close）。
PROC IMPORT OUT= WORK.e
DATAFILE= "C:\Documents and Settings\Administrator\My Docume
nts\My SAS Files\9.2\汇总表.xls"
DBMS=EXCEL REPLACE;
RANGE="周五$";
GETNAMES=YES;
MIXED=NO;
SCANTEXT=YES;
USEDATE=YES;
SCANTIME=YES;
RUN;
data e;*e为周五组合数据，类似可以得到周四(d)周三(c)周二(b)周一(a)数据;
set e;
ret=(close-hs_close)/open;*ret为组合收益;
run;
......................
1.2导入沪深300指数日线数据并计算涨幅
PROC IMPORT OUT= WORK.hs
DATAFILE= "C:\Documents and Settings\Administrator\My Docume
nts\My SAS Files\9.2\汇总表.xls"
DBMS=EXCEL REPLACE;
RANGE="sheet1$";
GETNAMES=YES;
MIXED=NO;
SCANTEXT=YES;
USEDATE=YES;
SCANTIME=YES;
RUN;
data hs;
set hs;
ret1=dif(close_hs)/lag(close_hs);*ret为涨幅;
date=input(compress(start),yymmdd10.);
format date date9.;
drop start;
run;
1.3将沪深300指数数据与组合收益数据合并为一张表
%macro zhangfu(datafile);
proc sql noprint;
create table hs_&datafile as
select *
from &datafile
left join hs
on &datafile..start=hs.date ;
quit;
%mend;
%zhangfu(a);%zhangfu(b);%zhangfu(c);%zhangfu(d);%zhangfu(e);
1.4利用2010年至今数据统计节假日收益情况，首先需要明确2010-2012期间的
法定节假日情况，然后进行筛选出节假日前后开平仓的组合收益（节前7天内）
%macro holiday(datafiles);
data holiday_&datafiles ;
set &datafiles;
h_1 = '01jan2010'd ;
h_2 = '03jan2010'd ;
h_3 = '13feb2010'd ;
h_4 = '19feb2010'd ;
h_5 = '03apr2010'd ;
h_6 = '05apr2010'd ;
h_7 = '01may2010'd ;
h_8 = '03may2010'd ;
h_9 = '14jun2010'd ;
h_10= '16jun2010'd;
h_11= '22sep2010'd;
h_12= '24sep2010'd;
h_13= '01oct2010'd;
h_14= '07oct2010'd;
h_15= '01jan2011'd;
h_16= '03jan2011'd;
h_17= '02feb2011'd;
h_18= '08feb2011'd;
h_19= '03apr2011'd;
h_20= '05apr2011'd;
h_21= '30apr2011'd;
h_22= '02may2011'd;
h_23= '04jun2011'd;
h_24= '06jun2011'd;
h_25= '10sep2011'd;
h_26= '12sep2011'd;
h_27= '01oct2011'd;
h_28= '07oct2011'd;
h_29= '01jan2012'd;
h_30= '03jan2012'd;
h_31= '22jan2012'd;
h_32= '28jan2012'd;
h_33= '02apr2012'd;
h_34= '02apr2012'd;
h_35= '29apr2012'd;
h_36= '01may2012'd;
h_37= '22jun2012'd;
h_38= '24jun2012'd;
h_39= '30sep2012'd;
h_40= '07oct2012'd;
format h_: date9. ret percentn10.2;
select ;
when (abs(start - h_1) <7 ) output;
when (abs(start - h_2) <7 ) output;
when (abs(start - h_3) <7 ) output;
when (abs(start - h_4) <7 ) output;
when (abs(start - h_5) <7 ) output;
when (abs(start - h_6) <7 ) output;
when (abs(start - h_7) <7 ) output;
when (abs(start - h_8) <7 ) output;
when (abs(start - h_9) <7 ) output;
when (abs(start - h_10) <7 ) output;
when (abs(start - h_11) <7 ) output;
when (abs(start - h_12) <7 ) output;
when (abs(start - h_13) <7 ) output;
when (abs(start - h_14) <7 ) output;
when (abs(start - h_15) <7 ) output;
when (abs(start - h_16) <7 ) output;
when (abs(start - h_17) <7 ) output;
when (abs(start - h_18) <7 ) output;
when (abs(start - h_19) <7 ) output;
when (abs(start - h_20) <7 ) output;
when (abs(start - h_21) <7 ) output;
when (abs(start - h_22) <7 ) output;
when (abs(start - h_23) <7 ) output;
when (abs(start - h_24) <7 ) output;
when (abs(start - h_25) <7 ) output;
when (abs(start - h_26) <7 ) output;
when (abs(start - h_27) <7 ) output;
when (abs(start - h_28) <7 ) output;
when (abs(start - h_29) <7 ) output;
when (abs(start - h_30) <7 ) output;
when (abs(start - h_31) <7 ) output;
when (abs(start - h_32) <7 ) output;
when (abs(start - h_33) <7 ) output;
when (abs(start - h_34) <7 ) output;
when (abs(start - h_35) <7 ) output;
when (abs(start - h_36) <7 ) output;
when (abs(start - h_37) <7 ) output;
when (abs(start - h_38) <7 ) output;
when (abs(start - h_39) <7 ) output;
when (abs(start - h_40) <7 ) output;
otherwise delete;
end;
keep start end ret ret1;
run;
%mend;
%holiday(hs_a);%holiday(hs_b);%holiday(hs_c);%holiday(hs_d);%holiday(hs_e);
1.4剔除节前节后的组合另存为新的数据
%macro noholiday(dataset1=,dataset2=);
proc sql noprint;
create table noholiday_&dataset1 as
select *
from &dataset1
where start not in
(select start from &dataset2);
quit;
%mend;
%noholiday(dataset1=hs_a,dataset2=holiday_hs_a);
%noholiday(dataset1=hs_b,dataset2=holiday_hs_b);
%noholiday(dataset1=hs_c,dataset2=holiday_hs_c);
%noholiday(dataset1=hs_d,dataset2=holiday_hs_d);
%noholiday(dataset1=hs_e,dataset2=holiday_hs_e);
1.5将周一、周二、周三、周四、周五的数据合并为一张表，下面是对节假日数据的合并
，noholiday（去节假日数据）hs_abcd(完整的数据）合并方法类似。
data holiday;*holiday系所有节前节后数据;
set holiday_hs_a(in=a)
holiday_hs_b(in=b)
holiday_hs_c(in=c)
holiday_hs_d(in=d)
holiday_hs_e(in=e)
;
if a=1 then group='周一';
if b=1 then group='周二';
if c=1 then group='周三';
if d=1 then group='周四';
if e=1 then group='周五';
run;
2.进行收益的描述性统计计算。
2.1proc means计算出常规统计，下面统计了节假日前后一周开仓的组合收益情况，其他
情况可以将holiday替换。
proc means data=holiday sum mean std max min;
by group notsorted;
var ret;
class flag;
output out=holiday1;
run;
2.2统计组合收益分布比例情况
data test;
set holiday;
by end notsorted;
if first.end then cnt=1;
else cnt+1;
run;
proc format;
value ret
low - -0.05 = '< -5% '
-0.05 - -0.02 = '-5% ～ -2%'
-0.02 - 0 = '-2% ～ 0% '
0 - 0.02 = ' 0% ～ 2% '
0.02 - 0.05 = ' 2% ～5% '
0.05 - 0.10 = ' 5% ～10% '
other= ' >10% '
;
proc freq data=test;
tables cnt*ret ;
format ret ret.;
ods output CrossTabFreqs=need;
run;