实现基本计算处理
This commit is contained in:
207
backtest.ipynb
207
backtest.ipynb
@@ -3,8 +3,8 @@
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{
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"metadata": {
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"ExecuteTime": {
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"end_time": "2026-01-19T09:22:09.640369Z",
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"start_time": "2026-01-19T09:22:07.517191Z"
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"end_time": "2026-01-19T10:00:35.820002Z",
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"start_time": "2026-01-19T10:00:34.354216Z"
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}
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},
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"cell_type": "code",
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@@ -19,7 +19,7 @@
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],
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"id": "d815a3591c4f9463",
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"outputs": [],
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"execution_count": 7
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"execution_count": 2
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},
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{
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"cell_type": "code",
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@@ -27,8 +27,8 @@
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"metadata": {
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"collapsed": true,
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"ExecuteTime": {
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"end_time": "2026-01-19T09:42:25.068816Z",
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"start_time": "2026-01-19T09:42:18.026869Z"
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"end_time": "2026-01-19T10:00:42.739695Z",
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"start_time": "2026-01-19T10:00:35.820726Z"
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}
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},
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"source": [
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@@ -49,9 +49,9 @@
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" )\n",
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" rows = cursor.fetchall()\n",
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"\n",
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" df = pd.DataFrame.from_records(rows, columns=['trade_date', 'open', 'close', 'high', 'low', 'factor'])\n",
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" dailies_df = pd.DataFrame.from_records(rows, columns=['trade_date', 'open', 'close', 'high', 'low', 'factor'])\n",
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"\n",
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"df"
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"dailies_df"
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],
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"outputs": [
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{
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@@ -205,12 +205,201 @@
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"</div>"
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]
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},
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"execution_count": 17,
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"execution_count": 3,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"execution_count": 17
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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": "2026-01-19T10:01:46.133661Z",
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"start_time": "2026-01-19T10:01:46.044719Z"
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}
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},
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"cell_type": "code",
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"source": [
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"dailies_df['factor'] = dailies_df['factor'].fillna(1.0)\n",
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"dailies_df['open'] = dailies_df['open'] * dailies_df['factor']\n",
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"dailies_df['close'] = dailies_df['close'] * dailies_df['factor']\n",
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"dailies_df['high'] = dailies_df['high'] * dailies_df['factor']\n",
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"dailies_df['low'] = dailies_df['low'] * dailies_df['factor']\n",
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"dailies_df"
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],
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"id": "29226cf1c6fe9f94",
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"outputs": [
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{
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"data": {
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"text/plain": [
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" trade_date open close high low \\\n",
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"0 2025-01-02 191536.544976 186637.912112 192189.696025 185984.761064 \n",
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"1 2025-01-03 186801.199875 185821.473302 188434.077496 185494.897778 \n",
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"2 2025-01-06 185821.473302 186801.199875 187454.350923 183208.869108 \n",
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"3 2025-01-07 186474.624350 187944.214209 188270.789734 185658.185540 \n",
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"4 2025-01-08 187780.926447 187780.926447 189903.667355 186148.048826 \n",
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".. ... ... ... ... ... \n",
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"183 2025-10-09 196779.714513 197995.476209 198169.156451 195737.633059 \n",
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"184 2025-10-10 197474.435482 198516.516936 199558.598389 197300.755240 \n",
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"185 2025-10-13 196606.034270 197995.476209 199037.557663 195911.313301 \n",
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"186 2025-10-14 197821.795966 200948.040328 201469.081055 197300.755240 \n",
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"187 2025-10-15 205385.713015 206472.409910 206834.642208 203936.783823 \n",
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"\n",
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" factor \n",
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"0 127.7841 \n",
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"1 127.7841 \n",
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"2 127.7841 \n",
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"3 127.7841 \n",
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"4 127.7841 \n",
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".. ... \n",
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"183 131.7878 \n",
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"184 131.7878 \n",
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"185 131.7878 \n",
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"186 131.7878 \n",
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"187 134.5794 \n",
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"\n",
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"[188 rows x 6 columns]"
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],
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"text/html": [
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"<div>\n",
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"<style scoped>\n",
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" .dataframe tbody tr th:only-of-type {\n",
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" vertical-align: middle;\n",
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" }\n",
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"\n",
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" .dataframe tbody tr th {\n",
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" vertical-align: top;\n",
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" }\n",
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"\n",
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" .dataframe thead th {\n",
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" text-align: right;\n",
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" }\n",
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"</style>\n",
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"<table border=\"1\" class=\"dataframe\">\n",
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
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" <th>trade_date</th>\n",
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" <th>open</th>\n",
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" <th>close</th>\n",
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" <th>high</th>\n",
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" <th>low</th>\n",
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" <th>factor</th>\n",
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" </tr>\n",
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>0</th>\n",
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" <td>2025-01-02</td>\n",
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" <td>191536.544976</td>\n",
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" <td>186637.912112</td>\n",
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" <td>192189.696025</td>\n",
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" <td>185984.761064</td>\n",
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" <td>127.7841</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>1</th>\n",
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" <td>2025-01-03</td>\n",
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" <td>186801.199875</td>\n",
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" <td>185821.473302</td>\n",
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" <td>188434.077496</td>\n",
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" <td>185494.897778</td>\n",
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" <td>127.7841</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>2</th>\n",
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" <td>2025-01-06</td>\n",
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" <td>185821.473302</td>\n",
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" <td>186801.199875</td>\n",
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" <td>187454.350923</td>\n",
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" <td>183208.869108</td>\n",
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" <td>127.7841</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>3</th>\n",
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" <td>2025-01-07</td>\n",
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" <td>186474.624350</td>\n",
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" <td>187944.214209</td>\n",
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" <td>188270.789734</td>\n",
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" <td>185658.185540</td>\n",
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" <td>127.7841</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>4</th>\n",
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" <td>2025-01-08</td>\n",
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" <td>187780.926447</td>\n",
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" <td>187780.926447</td>\n",
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" <td>189903.667355</td>\n",
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" <td>186148.048826</td>\n",
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" <td>127.7841</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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" <td>...</td>\n",
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" <td>...</td>\n",
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" <td>...</td>\n",
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" <td>...</td>\n",
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" <td>...</td>\n",
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" <td>...</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>183</th>\n",
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" <td>2025-10-09</td>\n",
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" <td>196779.714513</td>\n",
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" <td>197995.476209</td>\n",
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" <td>198169.156451</td>\n",
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" <td>195737.633059</td>\n",
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" <td>131.7878</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>184</th>\n",
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" <td>2025-10-10</td>\n",
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" <td>197474.435482</td>\n",
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" <td>198516.516936</td>\n",
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" <td>199558.598389</td>\n",
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" <td>197300.755240</td>\n",
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" <td>131.7878</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>185</th>\n",
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" <td>2025-10-13</td>\n",
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" <td>196606.034270</td>\n",
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" <td>197995.476209</td>\n",
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" <td>199037.557663</td>\n",
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" <td>195911.313301</td>\n",
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" <td>131.7878</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>186</th>\n",
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" <td>2025-10-14</td>\n",
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" <td>197821.795966</td>\n",
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" <td>200948.040328</td>\n",
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" <td>201469.081055</td>\n",
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" <td>197300.755240</td>\n",
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" <td>131.7878</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>187</th>\n",
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" <td>2025-10-15</td>\n",
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" <td>205385.713015</td>\n",
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" <td>206472.409910</td>\n",
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" <td>206834.642208</td>\n",
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" <td>203936.783823</td>\n",
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" <td>134.5794</td>\n",
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" </tr>\n",
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" </tbody>\n",
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"</table>\n",
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"<p>188 rows × 6 columns</p>\n",
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"</div>"
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]
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},
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"execution_count": 5,
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"metadata": {},
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"output_type": "execute_result"
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}
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||||
],
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"execution_count": 5
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}
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],
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"metadata": {
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