def _RSRS(self, code, dateStart, dateEnd, label=""):
N = 18
M = 600
rsrsDara = getdata(code, dateStart, dateEnd, N, M)
rsrsDara = rsrsDara.loc[2:]
rsrsDara = rsrsDara.reset_index(drop=True)
rsrsDara.head()
# 斜率指标策略
result = RSRS1(rsrsDara)
num = result.flag.abs().sum() / 2
nav = result.nav[result.shape[0] - 1]
print('交易次数 = ', num)
print('策略净值为= ', nav)
# 标准分策略
result2 = RSRS2(rsrsDara)
num = result2.flag.abs().sum() / 2
nav = result2.nav[result.shape[0] - 1]
ret_year = (nav - 1)
print('交易次数 = ', num)
print('策略净值为= ', nav)
# 修正标准分策略
result3 = RSRS3(rsrsDara)
num = result3.flag.abs().sum() / 2
nav = result3.nav[result.shape[0] - 1]
ret_year = (nav - 1)
print('交易次数 = ', num)
print('策略净值为= ', nav)
N = 16
M = 300
rsrsDara = getdata(code, dateStart, dateEnd, N, M)
rsrsDara = rsrsDara.loc[2:]
rsrsDara = rsrsDara.reset_index(drop=True)
rsrsDara.head()
result4 = RSRS4(rsrsDara)
num = result4.flag.abs().sum() / 2
nav = result4.nav[result.shape[0] - 1]
ret_year = (nav - 1)
print('交易次数 = ', num)
print('策略净值为= ', nav)
xtick = np.arange(0, result.shape[0], int(result.shape[0] / 7))
xticklabel = pd.Series(result.date[xtick])
plt.figure(figsize=(25, 8))
fig = plt.axes()
plt.plot(np.arange(result.shape[0]), result.nav, label='RSRS1', linewidth=2)
plt.plot(np.arange(result.shape[0]), result2.nav, label='RSRS2', linewidth=2)
plt.plot(np.arange(result.shape[0]), result3.nav, label='RSRS3', linewidth=2)
plt.plot(np.arange(result.shape[0]), result4.nav, label='RSRS4', linewidth=1)
plt.plot(np.arange(result.shape[0]), result.close / result.close[0], color='yellow', label=label, linewidth=1.5)
fig.set_xticks(xtick)
fig.set_xticklabels(xticklabel, rotation=25)
plt.legend()
plt.show()
def setUpClass(cls) -> None:
cls.code = '000300'
dateStart = datetime.date(2005, 3, 1)
dateEnd = datetime.date(2017, 3, 31)
N = 18
M = 600
cls.hs300 = getdata(cls.code, dateStart, dateEnd, N, M)
def test_RSRS1_RSRS4(self):
code = self.code
data = self.hs300
result = RSRS1(data)
num = result.flag.abs().sum() / 2
nav = result.nav[result.shape[0] - 1]
print('交易次数 = ', num)
print('策略净值为= ', nav)
xtick = np.arange(0, result.shape[0], int(result.shape[0] / 7))
xticklabel = pd.Series(result.date[xtick])
plt.figure(figsize=(15, 4))
fig = plt.axes()
plt.plot(np.arange(result.shape[0]), result.nav, label='RSRS1', linewidth=2, color='red')
plt.plot(np.arange(result.shape[0]), result.close / result.close[0], color='yellow', label='HS300', linewidth=2)
fig.set_xticks(xtick)
fig.set_xticklabels(xticklabel, rotation=45)
plt.legend()
plt.show()
result2 = RSRS2(self.hs300)
num = result2.flag.abs().sum() / 2
nav = result2.nav[result.shape[0] - 1]
ret_year = (nav - 1)
print('交易次数 = ', num)
print('策略净值为= ', nav)
result3 = RSRS3(data)
num = result3.flag.abs().sum() / 2
nav = result3.nav[result.shape[0] - 1]
ret_year = (nav - 1)
print('交易次数 = ', num)
print('策略净值为= ', nav)
dateStart = datetime.date(2005, 3, 1)
dateEnd = datetime.date(2017, 3, 31)
N = 16
M = 300
HS300 = getdata(code, dateStart, dateEnd, N, M)
HS300 = HS300.loc[2:]
HS300 = HS300.reset_index(drop=True)
result4 = RSRS4(self.hs300)
num = result4.flag.abs().sum() / 2
nav = result4.nav[result.shape[0] - 1]
ret_year = (nav - 1)
print('交易次数 = ', num)
print('策略净值为= ', nav)
xtick = np.arange(0, result.shape[0], int(result.shape[0] / 7))
xticklabel = pd.Series(result.date[xtick])
plt.figure(figsize=(15, 3))
fig = plt.axes()
plt.plot(np.arange(result.shape[0]), result.nav, label='RSRS1', linewidth=2)
plt.plot(np.arange(result.shape[0]), result2.nav, label='RSRS2', linewidth=2)
plt.plot(np.arange(result.shape[0]), result3.nav, label='RSRS3', linewidth=2)
plt.plot(np.arange(result.shape[0]), result4.nav, label='RSRS4', linewidth=2)
plt.plot(np.arange(result.shape[0]), result.close / result.close[0], color='yellow', label='HS300', linewidth=2)
fig.set_xticks(xtick)
fig.set_xticklabels(xticklabel, rotation=45)
plt.legend()
plt.show()