同花顺Supermind量化交易 经典量化策略基础-动量策略与均值回归策略

我们的基础策略教程首先教授动量策略与均值回归策略。接下来我们将为大家展示相应策略的策略逻辑，策略信号以及策略表现等

基础策略教程

作者：邱吉尔

一、动量策略

1.导入库包

In [1]:

%matplotlib inline
import matplotlib.pyplot as plt
import matplotlib as mpl
import numpy as np
import pandas as pd
plt.style.use('seaborn')

2.获取数据

In [2]:

data = get_price(['000001.SZ'], '20150101', '20170101', '1d', ['close'])['000001.SZ']
data.rename(columns={'close':'price'},inplace=True)
data.head()

Out[2]:

	price
2015-01-05	10.88
2015-01-06	10.72
2015-01-07	10.51
2015-01-08	10.14
2015-01-09	10.22

3.策略逻辑

In [3]:

data['return']=np.log(data['price']/data['price'].shift(1))
data['position']=np.sign(data['return'])
data['strategy']=data['position'].shift(1)*data['return']
data.head()

Out[3]:

	price	return	position	strategy
2015-01-05	10.88	NaN	NaN	NaN
2015-01-06	10.72	-0.014815	-1.0	NaN
2015-01-07	10.51	-0.019784	-1.0	0.019784
2015-01-08	10.14	-0.035839	-1.0	0.0358