Python run_monthly_rebalance示例

示例#1

文件： equal_weight_etf_portfolio_backtest.py 项目： tonylibing/Python-and-R-Code-For-Quantitative-Finance

# equal_weight_etf_portfolio_backtest.py

import datetime

from qstrader import settings
from monthly_rebalance_run import run_monthly_rebalance

if __name__ == "__main__":
    tickers = ["SPY", "IJS", "EFA", "EEM", "AGG", "JNK", "DJP", "RWR"]
    ticker_weights = {
        "SPY": 0.125,
        "IJS": 0.125,
        "EFA": 0.125,
        "EEM": 0.125,
        "AGG": 0.125,
        "JNK": 0.125,
        "DJP": 0.125,
        "RWR": 0.125
    }
    run_monthly_rebalance(tickers,
                          ticker_weights,
                          title="Equal Weight ETF Strategy",
                          start_date=datetime.datetime(2007, 12, 4),
                          end_date=datetime.datetime(2016, 10, 12),
                          initial_equity=500000.00)

示例#2

import datetime

from qstrader import settings
from monthly_rebalance_run import run_monthly_rebalance


if __name__ == "__main__":
    ticker_weights = {
        "SPY": 0.25,
        "IJS": 0.05,
        "EFA": 0.20,
        "EEM": 0.05,
        "AGG": 0.20,
        "JNK": 0.05,
        "DJP": 0.10,
        "RWR": 0.10 
    }
    run_monthly_rebalance(
        settings.DEFAULT_CONFIG_FILENAME, False, "",
        "SPY", ticker_weights, "Strategic Weight ETF Strategy",
        datetime.datetime(2007, 12, 4), datetime.datetime(2016, 10, 12),
        500000.00
    )

示例#3

文件： equities_bonds_60_40_etf_portfolio_backtest.py 项目： dxcv/InvestmentTestbed

import datetime

from qstrader import settings
from monthly_rebalance_run import run_monthly_rebalance


if __name__ == "__main__":
    ticker_weights = {
        "SPY": 0.6,
        "AGG": 0.4,
    }
    run_monthly_rebalance(
        settings.DEFAULT_CONFIG_FILENAME, False, "",
        "SPY", ticker_weights, "US Equities/Bonds 60/40 Mix ETF Strategy",
        datetime.datetime(2003, 9, 29), datetime.datetime(2016, 10, 12),
        500000.00
    )

示例#4

# equities_bonds_60_40_etf_portfolio_backtest.py

import datetime

from qstrader import settings
from monthly_rebalance_run import run_monthly_rebalance

if __name__ == "__main__":
    tickers = ["SPY", "AGG"]
    ticker_weights = {
        "SPY": 0.6,
        "AGG": 0.4,
    }
    run_monthly_rebalance(tickers,
                          ticker_weights,
                          title="US Equities/Bonds 60/40 Mix ETF Strategy",
                          start_date=datetime.datetime(2003, 9, 29),
                          end_date=datetime.datetime(2016, 10, 12),
                          initial_equity=500000.00)