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import czsc | ||
import pandas as pd | ||
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def run_by_weights(): | ||
"""从持仓权重样例数据中回测""" | ||
dfw = pd.read_feather(r"C:\Users\zengb\Desktop\230814\weight_example.feather") | ||
wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002, res_path=r"C:\Users\zengb\Desktop\230814\weight_example") | ||
res = wb.backtest() | ||
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def run_by_ensemble(): | ||
"""从单个 trader 中获取持仓权重,然后回测""" | ||
trader = czsc.dill_load(r"C:\Users\zengb\Desktop\230814\DLi9001.trader") | ||
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def __ensemble_method(x): | ||
return x['A股日线SMA#5多头'] + 0.5 * x['A股日线SMA#5空头'] | ||
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dfw = czsc.get_ensemble_weight(trader, method=__ensemble_method) | ||
wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002, res_path=r"C:\Users\zengb\Desktop\230814\DLi9001_ensemble") | ||
res = wb.backtest() | ||
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