def sample_a21(): # 设置初始资金数 read_cash = 500000000 # 择时股票池 # choice_symbols = ['603993', '601998', '601992', '601991', '601989', '601988', '601985', '601939', '601933', '601919', '601901', '601899', '601898', '601881', '601877', '601857', '601828', '601818', '601808', '601800', '601788', '601766', '601727', '601688', '601669', '601668', '601633', '601628', '601618', '601607', '601601', '601600', '601398', '601390', '601360', '601328', '601288', '601238', '601229', '601225', '601211', '601186', '601169', '601166', '601155', '601111', '601108', '601088', '601018', '601012', '601009', '601006', '600999', '600958', '600919', '600900', '600893', '600887', '600837', '600816', '600795', '600703', '600690', '600688', '600663', '600660', '600606', '600600', '600588', '600585', '600518', '600487', '600406', '600398', '600383', '600362', '600346', '600340', '600309', '600297', '600221', '600196', '600188', '600176', '600115', '600111', '600104', '600061', '600050', '600048', '600036', '600031', '600030', '600029', '600028', '600025', '600023', '600019', '600018', '600016', '600015', '600011', '600010', '600000', '300498', '300433', '300124', '300072', '300070', '300059', '300015', '300003', '002739', '002736', '002714', '002600', '002558', '002493', '002475', '002456', '002450', '002415', '002310', '002252', '002241', '002236', '002202', '002142', '002120', '002044', '002027', '002024', '002010', '001979', '001965', '000895', '000776', '000725', '000617', '000166', '000069', '000063', '000039', '000002', '000001'] choice_symbols = ['601398'] # choice_symbols = ['600999'] choice_symbols = ['601398', '601988', '601939', '603993', '600999', '300059', '600900', '601328', '601288', '600887', '600029', '000002'] # choice_symbols = ['002285', '600109'] choice_symbols = None abu_result_tuple, _ = abu.run_loop_back(read_cash, buy_factors, sell_factors, stock_pickers, choice_symbols=choice_symbols, n_folds=15, commission_dict=commission_dict) print(abu_result_tuple.orders_pd) # AbuMetricsBase.show_general(*abu_result_tuple, only_show_returns=False) metrics = AbuMetricsBase(*abu_result_tuple) metrics.fit_metrics() # plot_simple = abu_result_tuple.orders_pd[abu_result_tuple.orders_pd.profit_cg < 0] # save=True保存在本地,耗时操作,需要运行几分钟 # ABuMarketDrawing.plot_candle_from_order(abu_result_tuple.orders_pd, save=False) # 筛出有交易结果的 orders_pd_atr = abu_result_tuple.orders_pd[abu_result_tuple.orders_pd.result != 0] orders_pd_atr.filter(['buy_cnt', 'buy_pos', 'buy_price', 'profit', 'result']) metrics.plot_returns_cmp() # kl_pd = ABuSymbolPd.make_kl_df('601398', n_folds=15) # plot_his_trade(abu_result_tuple.orders_pd, kl_pd) # 保存交易结果 store_abu_result_out_put(abu_result_tuple) metrics.plot_order_returns_cmp() # metrics.plot_buy_factors() metrics.plot_sell_factors() # metrics.show_general(*abu_result_tuple, only_show_returns=True) # metrics.plot_effect_mean_day() # plt.show() # metrics.plot_keep_days() # plt.show() metrics.plot_max_draw_down()
buy_factors, sell_factors, stock_pickers, choice_symbols=choice_symbols, n_folds=2) ABuProgress.clear_output() help(abu.run_loop_back) from abupy import AbuMetricsBase metrics = AbuMetricsBase(*abu_result_tuple) metrics.fit_metrics() metrics.plot_returns_cmp() metrics.plot_sharp_volatility_cmp() metrics.plot_effect_mean_day() metrics.plot_keep_days() metrics.plot_sell_factors() metrics.plot_max_draw_down() from abupy import ABuScalerUtil class MetricsDemo(AbuMetricsBase): """扩展自定义度量类示例""" def _metrics_extend_stats(self): """ 子类可扩展的metrics方法,子类在此方法中可定义自己需要度量的值: 本demo示例交易手续费和策略收益之间的度量对比 """ commission_df = self.capital.commission.commission_df commission_df['commission'] = commission_df.commission.astype(float) commission_df['cumsum'] = commission_df.commission.cumsum() """