基于Python的指数基金量化投资 - 指数投资技巧（一）定期定额

指数投资方式中有四种基本的方法，分别是定期定额、定期不定额、不定期定额和不定期不定额，这四种方式投资效果不同，对投资者的要求也不同，定期定额最简单，但收益不算高，不定期不定额最复杂，对投资者的要求最高，特别是对情绪的要求非常高，同时收益也是最好的。

这里先介绍第一种定期定额的情况，下面会通过量化的过程来反应投资的整体过程。

定期定额就是按日、按周或者按月进行投资，每次投资的资金是一样的，比如每周买入1000块的沪深300基金，这种方式是不管指数涨跌，到点就买；

假设每次投入的资金是1000块，按周定投，下面是通过量化的过程跑出来的情况（源码附在后面），这里既然是定期定额就不考虑卖出。数据是通过中证全指（指数代码1000002）进行计算的。

上半部分的图中蓝线是中证全指的走势图，红点是每周定投的位置，下半部分的图中蓝线是累计投入的资金，红线是持有基金的市值，整个过程投入的总资金是500000，最终的基金总市值是680424.75，最后获得的收益是36.08%，从下半部分图中可以很清晰的看出，当指数下跌的过程，基金市值会低于投入的资金，这个过程收益为负，随着指数的上涨，基金市值上涨的幅度会高于投入的资金，然后在某些点超过投入资金的总值，这个过程收益就会转负为正，这就是在低点积累的份额更多造成的。

整体来说定期定额的投资效果并不是很好，接下来还会分享定期不定额、不定期定额和不定期不定额来进行比较。

源码

import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import math as math

name_index = 'lxr_1000002'
name_index_g = 'g_lxr'
all_data_index = pd.read_csv('./exportfile/indexDataAll/' + name_index + '.csv')
all_data_index_g = pd.read_csv('./importfile/indexSeries/indexValuation/g/' + name_index_g + '.csv')

calc_range = 2500
calc_gap = 5
data_index_p = all_data_index['close'].values[len(all_data_index['close']) - calc_range:len(all_data_index['close']):calc_gap]
data_index_g = all_data_index_g['pe'].values[len(all_data_index_g['pe']) - calc_range:len(all_data_index_g['pe']):calc_gap]
val_percentage_list = list()

sell_flag_no_regular_no_quota = [0, 0]
sell_flag_regular_quota = 0
sell_flag_regular_no_quota = 0
sell_flag_no_regular_quota = 0


def RegularQuota(val_percentage, val_data_p, buy_cnt, buy_total_share):
    global sell_flag_regular_quota
    if val_percentage <= 1:
        sell_flag_regular_quota = 0
        buy_each_regular_quota = 1000
        buy_each_share = buy_each_regular_quota / val_data_p
        buy_total_share = buy_total_share + buy_each_share
        buy_cnt = buy_cnt + 1
        plot_y = val_data_p
        plot_x = i
        plot_flag = 1
    else:
        if sell_flag_regular_quota == 0:
            sell_flag_regular_quota = 1
            buy_each_share = -buy_total_share
            buy_total_share = 0
            plot_y = val_data_p
            plot_x = i
            plot_flag = -1
        else:
            buy_each_share = 0
            plot_y = val_data_p
            plot_x = i
            plot_flag = 0

    return buy_each_share, buy_cnt, [plot_flag, plot_x, plot_y], buy_total_share

gap = 5  # invest each week
cnt = 0

buy_each_share_regular_quota = np.zeros((len(data_index_p), 1))
buy_total_share_list_regular_quota = np.zeros((len(data_index_p), 1))
buy_total_money_list_regular_quota = np.zeros((len(data_index_p), 1))
buy_cnt_regular_quota = 0
plot_regular_quota = np.zeros((len(data_index_p), 3))

buy_each_share_regular_no_quota = np.zeros((len(data_index_p), 1))
buy_total_share_list_regular_no_quota = np.zeros((len(data_index_p), 1))
buy_total_money_list_regular_no_quota = np.zeros((len(data_index_p), 1))
buy_cnt_regular_no_quota = 0
plot_regular_no_quota = np.zeros((len(data_index_p), 3))

buy_each_share_no_regular_quota = np.zeros((len(data_index_p), 1))
buy_total_share_list_no_regular_quota = np.zeros((len(data_index_p), 1))
buy_total_money_list_no_regular_quota = np.zeros((len(data_index_p), 1))
buy_cnt_no_regular_quota = 0
plot_no_regular_quota = np.zeros((len(data_index_p), 3))

buy_each_share_no_regular_no_quota = np.zeros((len(data_index_p), 1))
buy_total_share_list_no_regular_no_quota = np.zeros((len(data_index_p), 1))
buy_total_money_list_no_regular_no_quota = np.zeros((len(data_index_p), 1))
buy_cnt_no_regular_no_quota = 0
plot_no_regular_no_quota = np.zeros((len(data_index_p), 3))

# idx_start = 974 #2011-1-4
idx_start = 1
for i in range(len(data_index_p)):
    valuation_len = all_data_index_g['pe'].values[len(all_data_index['close']) - calc_range-500:len(all_data_index['close']) - calc_range+i*calc_gap:calc_gap]
    val_loc = np.where(valuation_len < data_index_g[i])
    val_percentage = len(val_loc[0]) / (len(valuation_len))
    val_percentage_list.append(val_percentage)

    buy_each_regular_quota = 1000
    buy_each_share_regular_quota[i], buy_cnt_regular_quota, plot_regular_quota[i], buy_total_share_regular_quota\
        = RegularQuota(val_percentage, data_index_p[i], buy_cnt_regular_quota, sum(buy_each_share_regular_quota))
    buy_total_share_list_regular_quota[i] = sum(buy_each_share_regular_quota) * data_index_p[i]
    buy_total_money_list_regular_quota[i] = buy_cnt_regular_quota * buy_each_regular_quota

earn_total_money_no_regular_quota = np.zeros((len(data_index_p), 1))
money_sell_no_regular_quota = 0
for i in range(len(data_index_p)):
    if buy_each_share_no_regular_quota[i] < 0:
        money_sell_no_regular_quota = money_sell_no_regular_quota - buy_each_share_no_regular_quota[i] * data_index_p[i]
    earn_total_money_no_regular_quota[i] = sum(buy_each_share_no_regular_quota[0:i+1]) * data_index_p[i] + money_sell_no_regular_quota

earn_total_money_regular_no_quota = np.zeros((len(data_index_p), 1))
money_sell_regular_no_quota = 0
for i in range(len(data_index_p)):
    if buy_each_share_regular_no_quota[i] < 0:
        money_sell_regular_no_quota = money_sell_regular_no_quota - buy_each_share_regular_no_quota[i] * data_index_p[i]
    earn_total_money_regular_no_quota[i] = sum(buy_each_share_regular_no_quota[0:i+1]) * data_index_p[i] + money_sell_regular_no_quota

earn_total_money_regular_quota = np.zeros((len(data_index_p), 1))
money_sell_regular_quota = 0
for i in range(len(data_index_p)):
    if buy_each_share_regular_quota[i] < 0:
        money_sell_regular_quota = money_sell_regular_quota - buy_each_share_regular_quota[i] * data_index_p[i]
        print('')
    earn_total_money_regular_quota[i] = sum(buy_each_share_regular_quota[0:i+1]) * data_index_p[i] + money_sell_regular_quota
    print('')

earn_total_money_no_regular_no_quota = np.zeros((len(data_index_p), 1))
money_sell_no_regular_no_quota = 0
for i in range(len(data_index_p)):
    if buy_each_share_no_regular_no_quota[i] < 0:
        money_sell_no_regular_no_quota = money_sell_no_regular_no_quota - buy_each_share_no_regular_no_quota[i] * data_index_p[i]
    earn_total_money_no_regular_no_quota[i] = sum(buy_each_share_no_regular_no_quota[0:i+1]) * data_index_p[i] + money_sell_no_regular_no_quota

plt_gap = 10
size_title = 28
size_label = 15
size_line = 3
size_rotation = 15
size_buy_plot = 5

# ------------------------------------------------------------- #

plt.figure()
plt.rcParams["axes.grid"] = True
plt.rcParams['font.sans-serif'] = ['Microsoft YaHei']
plt.rcParams['axes.unicode_minus'] = False
plt.rcParams["grid.linestyle"] = (3, 5)
plt.subplot(211)

income = 100 * (earn_total_money_regular_quota[-1][0] - buy_total_money_list_regular_quota[-1][0]) / buy_total_money_list_regular_quota[-1][0]
plt.title('定期定额 | 投资收益 = ' + str("{:.2f}".format(income)) + '%',size=15)

v_max = max(data_index_p)
v_min = min(data_index_p)

for i in range(len(plot_regular_quota)):
    if plot_regular_quota[i][0] == 1:
        plt.plot(plot_regular_quota[i][1], plot_regular_quota[i][2],color='tomato',marker='o',ms=(size_buy_plot*v_max/plot_regular_quota[i][2]))
    elif plot_regular_quota[i][0] == -1:
        plt.plot(plot_regular_quota[i][1], plot_regular_quota[i][2], color='purple', marker='o',ms=10)
plt.plot(data_index_p)
plt_xticks = all_data_index['date'].values[len(all_data_index['close']) - calc_range:len(all_data_index['close']):calc_gap].tolist()
plt.xticks(range(len(plt_xticks),0,-math.floor(len(plt_xticks)/plt_gap)),plt_xticks[len(plt_xticks):0:-math.floor(len(plt_xticks)/plt_gap)],rotation=size_rotation)
plt.tick_params(labelsize=size_label)

plt.subplot(212)
plt.plot(buy_total_share_list_regular_quota,color='tomato')
font = {'size': 15, 'color': 'tomato', 'weight': 'black'}
plt.text(len(buy_total_share_list_regular_quota), buy_total_share_list_regular_quota[-1][0], str("{:.2f}".format(buy_total_share_list_regular_quota[-1][0])), fontdict=font)
plt.plot(len(buy_total_share_list_regular_quota)-1,buy_total_share_list_regular_quota[-1][0], color='tomato', marker='o')

plt.plot(buy_total_money_list_regular_quota,color='cornflowerblue')
font = {'size': 15, 'color': 'cornflowerblue', 'weight': 'black'}
plt.text(len(buy_total_money_list_regular_quota), buy_total_money_list_regular_quota[-1][0], str("{:.2f}".format(buy_total_money_list_regular_quota[-1][0])), fontdict=font)
plt.plot(len(buy_total_money_list_regular_quota)-1,buy_total_money_list_regular_quota[-1][0], color='cornflowerblue', marker='o')

plt.plot(earn_total_money_regular_quota,color='red')
font = {'size': 15, 'color': 'red', 'weight': 'black'}
plt.text(len(earn_total_money_regular_quota), earn_total_money_regular_quota[-1][0], str("{:.2f}".format(earn_total_money_regular_quota[-1][0])), fontdict=font)
plt.plot(len(earn_total_money_regular_quota)-1,earn_total_money_regular_quota[-1][0], color='red', marker='o')

plt_xticks = all_data_index['date'].values[len(all_data_index['close']) - calc_range:len(all_data_index['close']):calc_gap].tolist()
plt.xticks(range(len(plt_xticks),0,-math.floor(len(plt_xticks)/plt_gap)),plt_xticks[len(plt_xticks):0:-math.floor(len(plt_xticks)/plt_gap)],rotation=size_rotation)
plt.tick_params(labelsize=size_label)

# ----------------------------------------------------------------- #

plt.show()

文中用到的两个文件下载链接: https://pan.baidu.com/s/13alPKvTP7Rw061UMcgtMXQ?pwd=s6dr 提取码: s6dr

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课程参考：基于Python的量化指数基金投资