ETF动量策略

导入包：

import warnings
warnings.filterwarnings('ignore')
import time
import akshare as ak
import numpy as np
import pandas as pd
import quantstats as qs
import matplotlib.pyplot as plt
import matplotlib.ticker as ticker
# %matplotlib inline

获取ETF数据：

# 获取 ETF 历史数据
etf_1 = ak.fund_etf_hist_em(symbol="159967", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_1"}).set_index("date")
etf_2 = ak.fund_etf_hist_em(symbol="512890", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_2"}).set_index("date")

# 合并数据
data = pd.concat([etf_1, etf_2], axis=1).dropna().iloc[:]
data.index = pd.to_datetime(data.index) 

计算涨跌幅：

# 获取 ETF 历史数据
etf_1 = ak.fund_etf_hist_em(symbol="159967", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_1"}).set_index("date")
etf_2 = ak.fund_etf_hist_em(symbol="512890", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_2"}).set_index("date")

# 合并数据
data = pd.concat([etf_1, etf_2], axis=1).dropna().iloc[:]
data.index = pd.to_datetime(data.index) 

获得信号：

# 获取 ETF 历史数据
etf_1 = ak.fund_etf_hist_em(symbol="159967", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_1"}).set_index("date")
etf_2 = ak.fund_etf_hist_em(symbol="512890", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_2"}).set_index("date")

# 合并数据
data = pd.concat([etf_1, etf_2], axis=1).dropna().iloc[:]
data.index = pd.to_datetime(data.index) 

绘图：

# 获取 ETF 历史数据
etf_1 = ak.fund_etf_hist_em(symbol="159967", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_1"}).set_index("date")
etf_2 = ak.fund_etf_hist_em(symbol="512890", period="daily", adjust="hfq")[["日期","收盘"]] \
            .rename(columns={"日期":"date","收盘":"etf_2"}).set_index("date")

# 合并数据
data = pd.concat([etf_1, etf_2], axis=1).dropna().iloc[:]
data.index = pd.to_datetime(data.index)