量化投资 — 简单动量策略（Momentum Strategy）

动量策略 - Momentum Strategy

0. 引库

import numpy as np
import pandas as pd
import tushare as ts
import matplotlib.pyplot as plt
import seaborn
plt.style.use('seaborn')      
import matplotlib as mpl
%matplotlib inline
mpl.rcParams['font.family'] = 'serif'
import warnings; warnings.simplefilter('ignore')     # 忽略警告信息

1. 数据准备 & 回测准备

# tushare 获取沪深300股票数据
data = ts.get_k_data('hs300', start = '2010-01-01', end='2017-06-30')[['date','close']]
data.rename(columns={
   'close': 'price'}, inplace=True)
data.set_index('date', inplace = True)

data.head()

	price
date
2010-01-04	3535.229
2010-01-05	3564.038
2010-01-06	3541.727
2010-01-07	3471.456
2010-01-08	3480.130

2. 策略开发思路

# 计算连续收益率
data['returns'] = np.log(data['price'] / data['price'].shift(1))

data.head()

	price	returns
date
2010-01-04	3535.229	NaN
2010-01-05	3564.038	0.008116
2010-01-06	3541.727	-0.006280
2010-01-07	3471.456	-0.020040
2010-01-08	3480.130	0.002496

# np.sign()符号函数支持向量化
data['position'] = np.sign(data['returns'])     

data.head()

	price	returns	position
date
2010-01-04	3535.229	NaN	NaN
2010-01-05	3564.038	0.008116	1.0
2010-01-06	3541.727	-0.006280	-1.0
2010-01-07</