matlab算sma,SMA_移动平均及双均线模型

%matplotlib inline

import matplotlib.pyplot as plt

import seaborn

# plt.style.use('seaborn')            ggplot;

import matplotlib as mpl

mpl.rcParams['font.family'] = 'serif'              #解决一些字体显示乱码问题

import warnings; warnings.simplefilter('ignore')

import numpy as np

import pandas as pd

import tushare as ts

# Tushare API

前导知识学习

data = ts.get_k_data('600030', start = '2010-01-01', end='2017-06-30')

data.head() #DataFrame数据结构

data.set_index('date', inplace = True) #设置索引；替换，真实覆盖；

data['SMA_20'] = data['close'].rolling(20).mean()

data['SMA_60'] = data['close'].rolling(60).mean()

data[['close','SMA_20','SMA_60']].plot(figsize = (10,6)) #可视化

#计算股票return

data['returns'] = np.log(data['close'] / data['close'].shift(1))

#Numpy向量化操作，避免循环；

data['returns_dis'] = data['close']/data['close'].shift(1)-1

data['return_dis2'] = data['close'].pct_change()

data['position'] = np.where(data['SMA_20'] > data['SMA_60'], 1, -1)

data['returns'].cumsum().apply(np.exp).plot(figsize=(10, 6))

#可视化；计算累计收益，连续下的算法；

SMA策略

1. 数据准备 & 回测准备

import numpy as np

import pandas as pd

import tushare as ts

data = ts.get_k_data('hs300', start = '2010-01-01', end='2017-06-30')

#要用Tushare新的数据获取接口，不然数据获取有bug；

data = pd.DataFrame(data)

data.rename(columns={'close': 'price'}, inplace=True) #dict

data.set_index('date', inplace = True) #覆盖操作；

data.set_index('date')

data['SMA_10'] = data['price'].rolling(10).mean() #必背

data['SMA_60'] = data['price'].rolling(60).mean()

data[['price','SMA_10','SMA_60']].plot(title='HS300 stock price | 10 & 60 days SMAs',

figsize=(10, 6))

#Pandas里面如何选择多列必须要掌握；

2. 策略开发思路

data['position'] = np.where(data['SMA_10'] > data['SMA_60'], 1, -1)

data.dropna(inplace=True) #去掉空值，NaN

data['position'].plot(ylim=[-1.1, 1.1], title='Market Positioning')

3. 计算策略年化收益并可视化

data['returns'] = np.log(data['price'] / data['price'].shift(1))

#Numpy向量化；循环做法(尽量避免),连续return

data['strategy'] = data['position'].shift(1) * data['returns']

#注意未来函数；一般会使得回测收益高估；

data[['returns', 'strategy']].sum()

data[['returns', 'strategy']].cumsum().apply(np.exp).plot(figsize=(10, 6)) #可视化；离散的计算方法参考Momoentum策略

4. 策略收益风险评估

data[['returns', 'strategy']].mean() * 252 #年化收益率；

data[['returns', 'strategy']].std() * 252 ** 0.5 #年化风险；

data['cumret'] = data['strategy'].cumsum().apply(np.exp)

data['cummax'] = data['cumret'].cummax()

data[['cumret', 'cummax']].plot(figsize=(10, 6))

drawdown = (data['cummax'] - data['cumret'])

drawdown.max() #计算原理：最大回撤；

5. 策略优化的一种思路

hs300 = ts.get_k_data('hs300','2010-01-01', '2017-06-30')[['date','close']]

# hs300 = pd.DataFrame(hs300)

hs300.rename(columns={'close': 'price'}, inplace=True)

hs300.set_index('date',inplace = True)

hs300.head()

hs300['SMA_10'] = hs300['price'].rolling(10).mean() #必背

hs300['SMA_60'] = hs300['price'].rolling(60).mean() #必背

hs300[['price', 'SMA_10', 'SMA_60']].tail()

hs300['10-60'] = hs300['SMA_10'] - hs300['SMA_60']

SD = 20 #阈值

hs300['regime'] = np.where(hs300['10-60'] > SD, 1,0)

hs300['regime'] = np.where(hs300['10-60'] < -SD, -1,hs300['regime'])    #核心重要；

hs300['regime'].value_counts()

hs300['Market'] = np.log(hs300['price']/hs300['price'].shift(1))

hs300['Strategy'] = hs300['regime'].shift(1) * hs300['Market']

hs300[['Market','Strategy']].cumsum().apply(np.exp).plot(grid=True, figsize = (10,8))