金叉，死叉策略

import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import tushare as ts

# df=ts.get_k_data('601318',start='1998-01-01')
# df.to_csv('601318.csv')

df=pd.read_csv('601318.csv',index_col='date',parse_dates=['date'])[['open','close','high','low']] #index_col作为列索引,后面的表示取那些列

df['ma5']=np.nan
df['ma30']=np.nan

# for i in range(4,len(df)):
#     df.loc[df.index[i],'ma5']=df['close'][i-4:i+1].mean()
# for j in range(29,len(df)):
#     df.loc[df.index[j],'ma30']=df['close'][i-29:i+1].mean()
df['ma5']=df['close'].rolling(5).mean()
df['ma30']=df['close'].rolling(30).mean()  #均线赋值

df[:1000]
df[['close','ma5','ma30']].plot()  #中间数值进行取值并画图
plt.show()
 

df=df['2010-01-01':]
df=df.dropna()  #删除缺失值    金叉和死叉
golden_cross=[]
death_cross=[]
# for i in (1,3754):
#     if df['ma5'][i] >= df['ma30'][i] and df['ma5'][i-1] < df['ma30'][i-1]:
#         golden_cross.append(df.index[i])
#     if df['ma5'][i] <= df['ma30'][i] and df['ma5'][i-1] > df['ma30'][i-1]:
#         death_cross.append(df.index[i])
sr1=df['ma5']<df['ma30']
sr2=df['ma5']>=df['ma30']
death_cross=df[sr1 & sr2.shift(1)].index   #死叉 的日期
golden_cross=df[-(sr1 | sr2.shift(1))].index #金叉

#2010-01-01开始 本金100000，金叉死叉策略赚钱的多少
first_money=100000
money=first_money
hold = 0 #持有多少手
str1=pd.Series(1,index=golden_cross)
str2=pd.Series(0,index=death_cross)
ar=str1.append(str2).sort_index()
for i in range(len(ar)):
    p = df['open'][ar.index[i]]
    if ar.iloc[i] == 1:
        buy=money // (100*p)
        hold += 100*buy
        money -= buy*100*p
    else:
        money += hold*p
        hold=0
p=df['open'][-1]
now_money=hold*p+money
print(now_money)