一个简单量化策略回测

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已于 2022-05-12 16:45:08 修改

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分类专栏： Python 文章标签： python 量化定投

于 2021-08-30 13:06:23 首次发布

本文链接：https://blog.csdn.net/photon222/article/details/119944911

版权

实现一个简单的指数定投策略，写一个回测脚本验证一下。

策略

定投创业板指数（场内ETF，或场外指数基金)
一般的定投每期固定金额，而这里采取更激进的方法，每期定投金额随指数降低而增加，即越跌越投(策略详见脚本）

获取指数历史行情
如何获取历史行情数据? 由于我们是按月定投，只需要获取按月K线图即可。有付费软件和网站当然可以获取历史行情数据，但作为一个打游戏从来不充钱的人，本着能不花钱就不花钱的原则，在网上努力找到了免费的资源。
在浏览器输入https://q.stock.sohu.com/hisHq?code=zs_399006&start=20210101&end=20210825&stat=1&order=A&period=m&callback=historySearchHandler&rt=jsonp&r=0.8391495715053367&0.9677250558488026

code:合约代码，399006就是深证创业板指数代码
star, end 分别代表开始、结束日期
order 表示排序方式,Asce升序
period 周期？month月K

获得数据格式如下:

historySearchHandler([{
   "status":0,"hq":[["2021-01-29","2977.32","3128.87","162.61","5.48%","2963.41","3427.44","482663424","212739920.00","-"],["2021-02-26","3134.79","2914.11","-214.76","-6.86%","2887.81","3476.00","327237024","139207552.00","-"],["2021-03-31","2958.53","2758.50","-155.61","-5.34%","2603.94","3023.21","393472384","150975600.00","-"],["2021-04-30","2766.42","3091.40","332.90","12.07%","2711.84","3110.16","318636480","125344720.00","-"],["2021-05-31","3059.58","3309.07","217.67","7.04%","2864.05","3309.75","293336448","123553176.00","-"],["2021-06-30","3290.53","3477.18","168.11","5.08%","3122.81","3484.19","362395232","159291744.00","-"],["2021-07-30"

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