完成macd回测
This commit is contained in:
@@ -3,29 +3,29 @@
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-02-11T02:51:57.789440Z",
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"start_time": "2025-02-11T02:51:57.208223Z"
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"end_time": "2025-02-16T05:33:10.625500Z",
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"start_time": "2025-02-16T05:33:10.622501Z"
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}
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},
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"cell_type": "code",
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"source": "import pandas as pd",
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"id": "6a10e07f5f498bc6",
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"outputs": [],
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"execution_count": 1
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"execution_count": 3
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},
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2025-02-11T03:14:30.972240Z",
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"start_time": "2025-02-11T03:14:30.857326Z"
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"end_time": "2025-02-16T05:33:10.692963Z",
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"start_time": "2025-02-16T05:33:10.635906Z"
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}
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},
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"cell_type": "code",
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"source": [
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"# source_df = \\\n",
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"# pd.read_csv(\"C:\\\\Users\\\\lanyuanxiaoyao\\\\SynologyDrive\\\\data\\\\Tushare\\\\日线行情 1990-2024\\\\分组行情\\\\000001.SZ.csv\") \\\n",
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"source_df = pd.read_csv(\"/Users/lanyuanxiaoyao/SynologyDrive/data/Tushare/日线行情 1990-2024/分组行情/600519.SH.csv\") \\\n",
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"source_df = \\\n",
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" pd.read_csv(\"C:\\\\Users\\\\lanyuanxiaoyao\\\\SynologyDrive\\\\data\\\\Tushare\\\\日线行情 1990-2024\\\\分组行情\\\\000001.SZ.csv\") \\\n",
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" [[\"trade_date\", \"vol\", \"open_qfq\", \"close_qfq\", \"high_qfq\", \"low_qfq\", \"macd\", \"macd_dif\", \"macd_dea\"]]\n",
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"# source_df = pd.read_csv(\"/Users/lanyuanxiaoyao/SynologyDrive/data/Tushare/日线行情 1990-2024/分组行情/600519.SH.csv\") \\\n",
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"df = pd.DataFrame()\n",
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"df[[\"date\", \"volume\", \"open\", \"close\", \"high\", \"low\", \"macd\", \"macd_dif\", \"macd_dea\"]] = \\\n",
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" source_df[[\"trade_date\", \"vol\", \"open_qfq\", \"close_qfq\", \"high_qfq\", \"low_qfq\", \"macd\", \"macd_dif\", \"macd_dea\"]]\n",
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@@ -39,33 +39,33 @@
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{
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"data": {
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"text/plain": [
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" date volume open close high low \\\n",
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"2187 20010827 406318.00 4.23675 4.36443 4.63820 4.03295 \n",
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"2188 20010828 129647.79 4.29568 4.52525 4.54244 4.24902 \n",
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"2189 20010829 53252.75 4.53999 4.46632 4.54244 4.43195 \n",
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"2190 20010830 48013.06 4.45405 4.55472 4.60505 4.41967 \n",
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"2191 20010831 23231.48 4.56086 4.54367 4.61856 4.51789 \n",
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"... ... ... ... ... ... ... \n",
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"2182 20241225 17123.39 1538.80000 1530.00000 1538.80000 1526.10000 \n",
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"2183 20241226 18286.51 1534.00000 1527.79000 1538.78000 1523.00000 \n",
|
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"2184 20241227 20759.32 1528.90000 1528.97000 1536.00000 1519.50000 \n",
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"2185 20241230 25129.82 1533.97000 1525.00000 1543.96000 1525.00000 \n",
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"2186 20241231 39354.45 1525.40000 1524.00000 1545.00000 1522.01000 \n",
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" date volume open close high low macd \\\n",
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"0 19910404 3.00 0.38158 0.38158 0.38158 0.38158 0.000 \n",
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"1 19910405 2.00 0.37970 0.37970 0.37970 0.37970 0.000 \n",
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"2 19910408 2.00 0.37595 0.37595 0.37595 0.37595 -0.001 \n",
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"3 19910409 4.00 0.37407 0.37407 0.37407 0.37407 -0.001 \n",
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"4 19910410 15.00 0.37219 0.37219 0.37219 0.37219 -0.002 \n",
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"... ... ... ... ... ... ... ... \n",
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"3813 20241225 1475282.94 11.86000 11.92000 12.02000 11.84000 0.050 \n",
|
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"3814 20241226 1000074.70 11.92000 11.86000 11.93000 11.78000 0.051 \n",
|
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"3815 20241227 1290012.28 11.87000 11.83000 11.90000 11.66000 0.044 \n",
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"3816 20241230 1351846.36 11.78000 11.95000 11.97000 11.78000 0.052 \n",
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"3817 20241231 1475367.33 11.93000 11.70000 11.99000 11.70000 0.020 \n",
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"\n",
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" macd macd_dif macd_dea datetime datetime_text \n",
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"2187 0.000 0.000 0.000 2001-08-27 20010827 \n",
|
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"2188 0.021 0.013 0.003 2001-08-28 20010828 \n",
|
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"2189 0.025 0.018 0.006 2001-08-29 20010829 \n",
|
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"2190 0.037 0.029 0.010 2001-08-30 20010830 \n",
|
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"2191 0.042 0.036 0.016 2001-08-31 20010831 \n",
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"... ... ... ... ... ... \n",
|
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"2182 5.430 5.063 2.348 2024-12-25 20241225 \n",
|
||||
"2183 4.192 4.968 2.872 2024-12-26 20241226 \n",
|
||||
"2184 3.295 4.931 3.283 2024-12-27 20241227 \n",
|
||||
"2185 1.993 4.529 3.533 2024-12-30 20241230 \n",
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"2186 0.880 4.083 3.643 2024-12-31 20241231 \n",
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" macd_dif macd_dea datetime datetime_text \n",
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"0 0.000 0.000 1991-04-04 19910404 \n",
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"1 0.000 0.000 1991-04-05 19910405 \n",
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"2 -0.001 0.000 1991-04-08 19910408 \n",
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"3 -0.001 0.000 1991-04-09 19910409 \n",
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"4 -0.002 -0.001 1991-04-10 19910410 \n",
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"... ... ... ... ... \n",
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"3813 0.080 0.055 2024-12-25 20241225 \n",
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"3814 0.087 0.062 2024-12-26 20241226 \n",
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"3815 0.089 0.067 2024-12-27 20241227 \n",
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"3816 0.100 0.074 2024-12-30 20241230 \n",
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"3817 0.086 0.076 2024-12-31 20241231 \n",
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"\n",
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"[5591 rows x 11 columns]"
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"[8022 rows x 11 columns]"
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],
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"text/html": [
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"<div>\n",
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@@ -101,74 +101,74 @@
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>2187</th>\n",
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" <td>20010827</td>\n",
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" <td>406318.00</td>\n",
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" <td>4.23675</td>\n",
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||||
" <td>4.36443</td>\n",
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||||
" <td>4.63820</td>\n",
|
||||
" <td>4.03295</td>\n",
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||||
" <th>0</th>\n",
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||||
" <td>19910404</td>\n",
|
||||
" <td>3.00</td>\n",
|
||||
" <td>0.38158</td>\n",
|
||||
" <td>0.38158</td>\n",
|
||||
" <td>0.38158</td>\n",
|
||||
" <td>0.38158</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>2001-08-27</td>\n",
|
||||
" <td>20010827</td>\n",
|
||||
" <td>1991-04-04</td>\n",
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||||
" <td>19910404</td>\n",
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" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2188</th>\n",
|
||||
" <td>20010828</td>\n",
|
||||
" <td>129647.79</td>\n",
|
||||
" <td>4.29568</td>\n",
|
||||
" <td>4.52525</td>\n",
|
||||
" <td>4.54244</td>\n",
|
||||
" <td>4.24902</td>\n",
|
||||
" <td>0.021</td>\n",
|
||||
" <td>0.013</td>\n",
|
||||
" <td>0.003</td>\n",
|
||||
" <td>2001-08-28</td>\n",
|
||||
" <td>20010828</td>\n",
|
||||
" <th>1</th>\n",
|
||||
" <td>19910405</td>\n",
|
||||
" <td>2.00</td>\n",
|
||||
" <td>0.37970</td>\n",
|
||||
" <td>0.37970</td>\n",
|
||||
" <td>0.37970</td>\n",
|
||||
" <td>0.37970</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>1991-04-05</td>\n",
|
||||
" <td>19910405</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2189</th>\n",
|
||||
" <td>20010829</td>\n",
|
||||
" <td>53252.75</td>\n",
|
||||
" <td>4.53999</td>\n",
|
||||
" <td>4.46632</td>\n",
|
||||
" <td>4.54244</td>\n",
|
||||
" <td>4.43195</td>\n",
|
||||
" <td>0.025</td>\n",
|
||||
" <td>0.018</td>\n",
|
||||
" <td>0.006</td>\n",
|
||||
" <td>2001-08-29</td>\n",
|
||||
" <td>20010829</td>\n",
|
||||
" <th>2</th>\n",
|
||||
" <td>19910408</td>\n",
|
||||
" <td>2.00</td>\n",
|
||||
" <td>0.37595</td>\n",
|
||||
" <td>0.37595</td>\n",
|
||||
" <td>0.37595</td>\n",
|
||||
" <td>0.37595</td>\n",
|
||||
" <td>-0.001</td>\n",
|
||||
" <td>-0.001</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>1991-04-08</td>\n",
|
||||
" <td>19910408</td>\n",
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||||
" </tr>\n",
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||||
" <tr>\n",
|
||||
" <th>2190</th>\n",
|
||||
" <td>20010830</td>\n",
|
||||
" <td>48013.06</td>\n",
|
||||
" <td>4.45405</td>\n",
|
||||
" <td>4.55472</td>\n",
|
||||
" <td>4.60505</td>\n",
|
||||
" <td>4.41967</td>\n",
|
||||
" <td>0.037</td>\n",
|
||||
" <td>0.029</td>\n",
|
||||
" <td>0.010</td>\n",
|
||||
" <td>2001-08-30</td>\n",
|
||||
" <td>20010830</td>\n",
|
||||
" <th>3</th>\n",
|
||||
" <td>19910409</td>\n",
|
||||
" <td>4.00</td>\n",
|
||||
" <td>0.37407</td>\n",
|
||||
" <td>0.37407</td>\n",
|
||||
" <td>0.37407</td>\n",
|
||||
" <td>0.37407</td>\n",
|
||||
" <td>-0.001</td>\n",
|
||||
" <td>-0.001</td>\n",
|
||||
" <td>0.000</td>\n",
|
||||
" <td>1991-04-09</td>\n",
|
||||
" <td>19910409</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2191</th>\n",
|
||||
" <td>20010831</td>\n",
|
||||
" <td>23231.48</td>\n",
|
||||
" <td>4.56086</td>\n",
|
||||
" <td>4.54367</td>\n",
|
||||
" <td>4.61856</td>\n",
|
||||
" <td>4.51789</td>\n",
|
||||
" <td>0.042</td>\n",
|
||||
" <td>0.036</td>\n",
|
||||
" <td>0.016</td>\n",
|
||||
" <td>2001-08-31</td>\n",
|
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" <td>20010831</td>\n",
|
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" <th>4</th>\n",
|
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" <td>19910410</td>\n",
|
||||
" <td>15.00</td>\n",
|
||||
" <td>0.37219</td>\n",
|
||||
" <td>0.37219</td>\n",
|
||||
" <td>0.37219</td>\n",
|
||||
" <td>0.37219</td>\n",
|
||||
" <td>-0.002</td>\n",
|
||||
" <td>-0.002</td>\n",
|
||||
" <td>-0.001</td>\n",
|
||||
" <td>1991-04-10</td>\n",
|
||||
" <td>19910410</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>...</th>\n",
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@@ -185,93 +185,93 @@
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" <td>...</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2182</th>\n",
|
||||
" <th>3813</th>\n",
|
||||
" <td>20241225</td>\n",
|
||||
" <td>17123.39</td>\n",
|
||||
" <td>1538.80000</td>\n",
|
||||
" <td>1530.00000</td>\n",
|
||||
" <td>1538.80000</td>\n",
|
||||
" <td>1526.10000</td>\n",
|
||||
" <td>5.430</td>\n",
|
||||
" <td>5.063</td>\n",
|
||||
" <td>2.348</td>\n",
|
||||
" <td>1475282.94</td>\n",
|
||||
" <td>11.86000</td>\n",
|
||||
" <td>11.92000</td>\n",
|
||||
" <td>12.02000</td>\n",
|
||||
" <td>11.84000</td>\n",
|
||||
" <td>0.050</td>\n",
|
||||
" <td>0.080</td>\n",
|
||||
" <td>0.055</td>\n",
|
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" <td>2024-12-25</td>\n",
|
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" <td>20241225</td>\n",
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" </tr>\n",
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" <tr>\n",
|
||||
" <th>2183</th>\n",
|
||||
" <th>3814</th>\n",
|
||||
" <td>20241226</td>\n",
|
||||
" <td>18286.51</td>\n",
|
||||
" <td>1534.00000</td>\n",
|
||||
" <td>1527.79000</td>\n",
|
||||
" <td>1538.78000</td>\n",
|
||||
" <td>1523.00000</td>\n",
|
||||
" <td>4.192</td>\n",
|
||||
" <td>4.968</td>\n",
|
||||
" <td>2.872</td>\n",
|
||||
" <td>1000074.70</td>\n",
|
||||
" <td>11.92000</td>\n",
|
||||
" <td>11.86000</td>\n",
|
||||
" <td>11.93000</td>\n",
|
||||
" <td>11.78000</td>\n",
|
||||
" <td>0.051</td>\n",
|
||||
" <td>0.087</td>\n",
|
||||
" <td>0.062</td>\n",
|
||||
" <td>2024-12-26</td>\n",
|
||||
" <td>20241226</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2184</th>\n",
|
||||
" <th>3815</th>\n",
|
||||
" <td>20241227</td>\n",
|
||||
" <td>20759.32</td>\n",
|
||||
" <td>1528.90000</td>\n",
|
||||
" <td>1528.97000</td>\n",
|
||||
" <td>1536.00000</td>\n",
|
||||
" <td>1519.50000</td>\n",
|
||||
" <td>3.295</td>\n",
|
||||
" <td>4.931</td>\n",
|
||||
" <td>3.283</td>\n",
|
||||
" <td>1290012.28</td>\n",
|
||||
" <td>11.87000</td>\n",
|
||||
" <td>11.83000</td>\n",
|
||||
" <td>11.90000</td>\n",
|
||||
" <td>11.66000</td>\n",
|
||||
" <td>0.044</td>\n",
|
||||
" <td>0.089</td>\n",
|
||||
" <td>0.067</td>\n",
|
||||
" <td>2024-12-27</td>\n",
|
||||
" <td>20241227</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2185</th>\n",
|
||||
" <th>3816</th>\n",
|
||||
" <td>20241230</td>\n",
|
||||
" <td>25129.82</td>\n",
|
||||
" <td>1533.97000</td>\n",
|
||||
" <td>1525.00000</td>\n",
|
||||
" <td>1543.96000</td>\n",
|
||||
" <td>1525.00000</td>\n",
|
||||
" <td>1.993</td>\n",
|
||||
" <td>4.529</td>\n",
|
||||
" <td>3.533</td>\n",
|
||||
" <td>1351846.36</td>\n",
|
||||
" <td>11.78000</td>\n",
|
||||
" <td>11.95000</td>\n",
|
||||
" <td>11.97000</td>\n",
|
||||
" <td>11.78000</td>\n",
|
||||
" <td>0.052</td>\n",
|
||||
" <td>0.100</td>\n",
|
||||
" <td>0.074</td>\n",
|
||||
" <td>2024-12-30</td>\n",
|
||||
" <td>20241230</td>\n",
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" </tr>\n",
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" <tr>\n",
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||||
" <th>2186</th>\n",
|
||||
" <th>3817</th>\n",
|
||||
" <td>20241231</td>\n",
|
||||
" <td>39354.45</td>\n",
|
||||
" <td>1525.40000</td>\n",
|
||||
" <td>1524.00000</td>\n",
|
||||
" <td>1545.00000</td>\n",
|
||||
" <td>1522.01000</td>\n",
|
||||
" <td>0.880</td>\n",
|
||||
" <td>4.083</td>\n",
|
||||
" <td>3.643</td>\n",
|
||||
" <td>1475367.33</td>\n",
|
||||
" <td>11.93000</td>\n",
|
||||
" <td>11.70000</td>\n",
|
||||
" <td>11.99000</td>\n",
|
||||
" <td>11.70000</td>\n",
|
||||
" <td>0.020</td>\n",
|
||||
" <td>0.086</td>\n",
|
||||
" <td>0.076</td>\n",
|
||||
" <td>2024-12-31</td>\n",
|
||||
" <td>20241231</td>\n",
|
||||
" </tr>\n",
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||||
" </tbody>\n",
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"</table>\n",
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"<p>5591 rows × 11 columns</p>\n",
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||||
"<p>8022 rows × 11 columns</p>\n",
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||||
"</div>"
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||||
]
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||||
},
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||||
"execution_count": 9,
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
" <td>3076291.65</td>\n",
|
||||
" <td>9.90997</td>\n",
|
||||
" <td>10.20224</td>\n",
|
||||
" <td>10.23878</td>\n",
|
||||
@@ -844,6 +862,7 @@
|
||||
" <tr>\n",
|
||||
" <th>3808</th>\n",
|
||||
" <td>20241218</td>\n",
|
||||
" <td>1016589.66</td>\n",
|
||||
" <td>11.58000</td>\n",
|
||||
" <td>11.65000</td>\n",
|
||||
" <td>11.74000</td>\n",
|
||||
@@ -864,6 +883,7 @@
|
||||
" <tr>\n",
|
||||
" <th>3811</th>\n",
|
||||
" <td>20241223</td>\n",
|
||||
" <td>1659404.76</td>\n",
|
||||
" <td>11.64000</td>\n",
|
||||
" <td>11.73000</td>\n",
|
||||
" <td>11.84000</td>\n",
|
||||
@@ -884,6 +904,7 @@
|
||||
" <tr>\n",
|
||||
" <th>3816</th>\n",
|
||||
" <td>20241230</td>\n",
|
||||
" <td>1351846.36</td>\n",
|
||||
" <td>11.78000</td>\n",
|
||||
" <td>11.95000</td>\n",
|
||||
" <td>11.97000</td>\n",
|
||||
@@ -906,18 +927,18 @@
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
"execution_count": 17,
|
||||
"execution_count": 6,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"execution_count": 17
|
||||
"execution_count": 6
|
||||
},
|
||||
{
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2025-02-10T15:07:41.915428Z",
|
||||
"start_time": "2025-02-10T15:07:41.902660Z"
|
||||
"end_time": "2025-02-16T05:33:11.418948Z",
|
||||
"start_time": "2025-02-16T05:33:11.405501Z"
|
||||
}
|
||||
},
|
||||
"cell_type": "code",
|
||||
@@ -1086,18 +1107,18 @@
|
||||
"</div>"
|
||||
]
|
||||
},
|
||||
"execution_count": 43,
|
||||
"execution_count": 7,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"execution_count": 43
|
||||
"execution_count": 7
|
||||
},
|
||||
{
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2025-02-10T15:07:44.088406Z",
|
||||
"start_time": "2025-02-10T15:07:43.838889Z"
|
||||
"end_time": "2025-02-16T05:33:12.250581Z",
|
||||
"start_time": "2025-02-16T05:33:11.724099Z"
|
||||
}
|
||||
},
|
||||
"cell_type": "code",
|
||||
@@ -1128,7 +1149,7 @@
|
||||
" <Axes: >])"
|
||||
]
|
||||
},
|
||||
"execution_count": 44,
|
||||
"execution_count": 8,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
},
|
||||
@@ -1143,7 +1164,7 @@
|
||||
"output_type": "display_data"
|
||||
}
|
||||
],
|
||||
"execution_count": 44
|
||||
"execution_count": 8
|
||||
},
|
||||
{
|
||||
"metadata": {},
|
||||
@@ -1158,8 +1179,8 @@
|
||||
{
|
||||
"metadata": {
|
||||
"ExecuteTime": {
|
||||
"end_time": "2025-02-11T03:14:36.513645Z",
|
||||
"start_time": "2025-02-11T03:14:36.474163Z"
|
||||
"end_time": "2025-02-16T05:33:14.092062Z",
|
||||
"start_time": "2025-02-16T05:33:12.314851Z"
|
||||
}
|
||||
},
|
||||
"cell_type": "code",
|
||||
@@ -1352,19 +1373,19 @@
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"满足条件的日期:\n",
|
||||
"2005-09-16\n"
|
||||
"1997-05-07\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "stderr",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"/var/folders/7h/w0cmp4zj6mn9br_6nyj310m40000gn/T/ipykernel_60768/2739124595.py:26: FutureWarning: 'M' is deprecated and will be removed in a future version, please use 'ME' instead.\n",
|
||||
"C:\\Users\\lanyuanxiaoyao\\AppData\\Local\\Temp\\ipykernel_15564\\2739124595.py:26: FutureWarning: 'M' is deprecated and will be removed in a future version, please use 'ME' instead.\n",
|
||||
" monthly_df = daily_df.groupby(pd.Grouper(key='datetime', freq='M')).agg(\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"execution_count": 10
|
||||
"execution_count": 9
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
|
||||
Reference in New Issue
Block a user