python股票回测_python量化交易历史回测

import tushare as ts

import xlrd

import pandas as pd

import matplotlib.pyplot as plt

ts.set_token('*******************')

pro = ts.pro_api()

JJ="006928.OF"

df = pro.fund_nav(ts_code=JJ)

df.sort_values(by=['end_date'],inplace=True)#按时间排序从小到大

df = df.reset_index(drop=True)#index重新标记

df['交易时间'] = pd.to_datetime(df['end_date'],format='%Y-%m-%d')

df=df[['交易时间','unit_nav']]#只选日期,和净值

df["移动平均值"]=df['unit_nav'].rolling(60).mean()

#设置投资时间

df=df[df['交易时间']>='2019-01-13']

df=df[df['交易时间']<='2020-01-13']

#

df["每次投入资金"]=30

df["累计投入资金"]=df["每次投入资金"].cumsum()

c_rate=0.002#手续费

df["每次数量"]=df["每次投入资金"]/df['unit_nav']*(1-c_rate)

df["累计数量"]=df["每次数量"].cumsum()

df["盈亏"]=df["累计数量"]*df['unit_nav']-df["累计投入资金"]

df["收益率"]=df["盈亏"]/df["累计投入资金"]*100

dfstrategy=df.copy()

dfstrategy=dfstrategy[["交易时间","unit_nav","移动平均值"]]

dfstrategy.loc[dfstrategy['unit_nav']<=(dfstrategy["移动平均值"]*0.97),"每次投入资金"]=200

dfstrategy.fillna(0,inplace=True)

dfstrategy["累计投入资金"]=dfstrategy["每次投入资金"].cumsum()

dfstrategy["每次数量"]=dfstrategy["每次投入资金"]/dfstrategy['unit_nav']*(1-c_rate)

dfstrategy["累计数量"]=dfstrategy["每次数量"].cumsum()

dfstrategy["盈亏"]=dfstrategy["累计数量"]*dfstrategy['unit_nav']-dfstrategy["累计投入资金"]

dfstrategy["收益率"]=dfstrategy["盈亏"]/dfstrategy["累计投入资金"]*100

df=df[["交易时间","unit_nav","累计投入资金","盈亏","收益率"]]

dfstrategy=dfstrategy[["交易时间","unit_nav","累计投入资金","盈亏","收益率"]]

print(df["收益率"].max())

print(df.tail())

print("=================")

print(dfstrategy["收益率"].max())

print(dfstrategy.tail())

#path = "C://Users//fuxingyu//Desktop//%s.xlsx" %JJ

#dfstrategy.to_excel(path)