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import sys | ||
sys.path.insert(0, ".") | ||
sys.path.insert(0, "..") | ||
import czsc | ||
import pandas as pd | ||
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assert czsc.WeightBacktest.version == "V231005" | ||
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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\231005\weight_example.feather") | ||
wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002) | ||
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# ------------------------------------------------------------------------------------ | ||
# 查看绩效评价 | ||
# ------------------------------------------------------------------------------------ | ||
print(wb.results['绩效评价']) | ||
# {'开始日期': '20170103', | ||
# '结束日期': '20230731', | ||
# '年化': 0.093, # 品种等权之后的年化收益率 | ||
# '夏普': 1.19, # 品种等权之后的夏普比率 | ||
# '最大回撤': 0.1397, # 品种等权之后的最大回撤 | ||
# '卡玛': 0.67, | ||
# '日胜率': 0.5228, # 品种等权之后的日胜率 | ||
# '年化波动率': 0.0782, | ||
# '非零覆盖': 1.0, | ||
# '盈亏平衡点': 0.9782, # 品种等权之后的盈亏平衡点,这个值越小越好,正常策略的范围应该在 0.85~0.98 之间 | ||
# '单笔收益': 25.6, # 将所有品种的单笔汇总之后的平均收益,单位是 BP,即 0.01% | ||
# '交易胜率': 0.3717, # 将所有品种的单笔汇总之后的交易胜率 | ||
# '持仓天数': 3.69, # 将所有品种的单笔汇总之后的平均持仓天数 | ||
# '持仓K线数': 971.66} # 将所有品种的单笔汇总之后的平均持仓 K 线数 | ||
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# ------------------------------------------------------------------------------------ | ||
# 获取指定品种的回测结果 | ||
# ------------------------------------------------------------------------------------ | ||
symbol_res = wb.results[wb.symbols[0]] | ||
print(symbol_res) | ||
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wb.report(res_path=r"C:\Users\zengb\Desktop\231005\weight_example") |
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