self.if_monkey(longest_period=longest_period)
self.long_or_short()
self._equity()
self._win_lose()
self._drawdown()
self._return_rate()
self.long_short_count()
self._beta()
print('最大回撤:' + str(max(self.drawdown) * 100) + '%')
print('买入信号统计:' + str(self.long_count))
print('卖出信号统计:' + str(self.short_count))
print('全仓平仓亏损:' + str(self.lost_rate))
print('全仓平仓赢: ' + str(self.win_rate))
print('最大回报:' + str((self._df['return'].max() - 1) * 100) + '%')
print('最大亏损:' + str((self._df['return'].min() - 1) * 100) + '%')
print('总回报:' + str(self._df[len(self._df) - 1:len(self._df)]['return']))
return self._df
if __name__=='__main__':
df = get_his_data('513100',ma=[3,60,120,250])
print(df)
#df = get_his_data('162411',ma=[4,5,13,12,20,30,60,120,18,14])
print(df)
test = NSDK(df)
#print(test._df)
pgraph = test.backtest()
print('start date: ' + test.start_date)
test._df.to_csv('test3.csv')
#test.coef_find()
pgraph = get_rid_unchanged_equity(pgraph)
plot_return_beta(pgraph)
'''
# 牛市---------->
if self._df.bull[i] == 1 and \
(self._df.ma_5_close[i] < self._df.ma_16_close[i] and self._df.ma_5_close[i - 1] > self._df.ma_16_close[
i - 1]):
self._df.loc[i:i + 1, 'short'] = 1
return True, 1, 1
# 熊市---------->
# 猴市---------->
elif self._df.monkey[i] == 1 and \
self._df.ma_12_close[i] < self._df.ma_12_close[i-1] and \
self._df.ma_12_close[i - 1] > self._df.ma_12_close[i - 2]:
self._df.loc[i:i + 1, 'short'] = 1
return True, 1, 1
else:
return False, 1, 1
if __name__ == '__main__':
df = read_csv_excel('/Users/leotao/Downloads/黄金ETF回测.xlsx', '择时分析-创')
#df = ts.get_hist_data('160719')
#print(df)
df = MA_CALCULATOR(df)
df = df.get_ma(ll=[5, 12, 13, 16, 18, 20, 30, 60, 120])
test = GOLD_ETF(df)
result = test.backtest()
print('start date: ' + test.start_date)
pgraph = get_rid_unchanged_equity(result)
plot_return_beta(pgraph)
#test.today_signal(120)
elif self._df.bear[i] ==1 and \
self._df.ma_5_close[i] < self._df.ma_5_close[i - 1] and \
self._df.ma_5_close[i - 1] > self._df.ma_5_close[i - 2]:
self._df.loc[i:i + 1, 'short'] = 1
return True, 1, 1
# 猴市---------->
elif self._df.monkey[i] ==1 and \
self._df.ma_5_close[i] < self._df.ma_13_close[i] and \
self._df.ma_5_close[i-1] > self._df.ma_13_close[i-1]:
self._df.loc[i:i + 1, 'short'] = 1
return True, 1, 1
else:
return False, 1, 1
if __name__ == '__main__':
df = get_his_data('hs300',
start='2014-01-01',
ma=[5, 12, 13, 18, 20, 30, 60, 120],
index=True)
#print(df)
#df = read_csv_excel('/Users/leotao/Downloads/沪深300回测.xlsx', '择时分析-创')
#df = MA_CALCULATOR(df)
#df = df.get_ma(ll = [5,12,13,18,20,30,60,120])
test = hs_300_strategy(df)
pgraph = test.backtest()
print('start date: ' + test.start_date)
#test._df.to_csv('test2.csv')
#test.coef_find()
pgraph = get_rid_unchanged_equity(pgraph)
plot_return_beta(pgraph)
# 牛市---------->
if self._df.bull[i] == 1 and \
(self._df.ma_5_close[i] < self._df.ma_16_close[i] and self._df.ma_5_close[i - 1] > self._df.ma_16_close[
i - 1]):
self._df.loc[i:i + 1, 'short'] = 1
return True, 1, 1
# 熊市---------->
# 猴市---------->
elif self._df.monkey[i] == 1 and \
self._df.ma_12_close[i] < self._df.ma_12_close[i-1] and \
self._df.ma_12_close[i - 1] > self._df.ma_12_close[i - 2]:
self._df.loc[i:i + 1, 'short'] = 1
return True, 1, 1
else:
return False, 1, 1
if __name__=='__main__':
df = read_csv_excel('/Users/leotao/Downloads/黄金ETF回测.xlsx','择时分析-创')
#df = ts.get_hist_data('160719')
#print(df)
df = MA_CALCULATOR(df)
df = df.get_ma(ll=[5,12,13,16,18,20,30,60,120])
test = GOLD_ETF(df)
result = test.backtest()
print('start date: ' + test.start_date)
pgraph = get_rid_unchanged_equity(result)
plot_return_beta(pgraph)
#test.today_signal(120)