725 lines
25 KiB
Plaintext
725 lines
25 KiB
Plaintext
{
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"cells": [
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{
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"metadata": {
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"SqlCellData": {
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"data_source_name": "leopard_dev@81.71.3.24",
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"variableName$1": "dailies_df"
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},
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"ExecuteTime": {
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"end_time": "2026-01-20T02:26:30.134545Z",
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"start_time": "2026-01-20T02:26:22.978651Z"
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}
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},
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"cell_type": "code",
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"source": [
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"%%sql\n",
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"select trade_date, open * factor as Open, close * factor as Close, high * factor as High, low * factor as Low, volume as Volume, coalesce(factor, 1.0) as factor\n",
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"from leopard_daily daily\n",
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" left join leopard_stock stock on stock.id = daily.stock_id\n",
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"where stock.code = '000001.SZ'\n",
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" and daily.trade_date between '2025-01-01 00:00:00' and '2025-12-31 23:59:59'\n",
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"order by daily.trade_date"
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],
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"id": "93e66142c88e4d2f",
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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 1498.907493 1460.572263 1504.018857 1455.460899 \n",
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"1 2025-01-03 1461.850104 1454.183058 1474.628514 1451.627376 \n",
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"2 2025-01-06 1454.183058 1461.850104 1466.961468 1433.737602 \n",
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"3 2025-01-07 1459.294422 1470.794991 1473.350673 1452.905217 \n",
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"4 2025-01-08 1469.517150 1469.517150 1486.129083 1456.738740 \n",
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".. ... ... ... ... ... \n",
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"183 2025-10-09 1493.155774 1502.380920 1503.698798 1485.248506 \n",
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"184 2025-10-10 1498.427286 1506.334554 1514.241822 1497.109408 \n",
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||
"185 2025-10-13 1491.837896 1502.380920 1510.288188 1486.566384 \n",
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"186 2025-10-14 1501.063042 1524.784846 1528.738480 1497.109408 \n",
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"187 2025-10-15 1526.130396 1534.205160 1536.896748 1515.364044 \n",
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"\n",
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" volume factor \n",
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"0 1819596.99 127.7841 \n",
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"1 1154680.44 127.7841 \n",
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"2 1085536.30 127.7841 \n",
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||
"3 747862.88 127.7841 \n",
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||
"4 1062386.01 127.7841 \n",
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||
".. ... ... \n",
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||
"183 1047469.06 131.7878 \n",
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"184 1087947.75 131.7878 \n",
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"185 1168801.73 131.7878 \n",
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"186 1843428.36 131.7878 \n",
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"187 1271061.03 134.5794 \n",
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"\n",
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"[188 rows x 7 columns]"
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],
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"<div>\n",
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"<style scoped>\n",
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" vertical-align: middle;\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>volume</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>1498.907493</td>\n",
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" <td>1460.572263</td>\n",
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||
" <td>1504.018857</td>\n",
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" <td>1455.460899</td>\n",
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" <td>1819596.99</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>1461.850104</td>\n",
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||
" <td>1454.183058</td>\n",
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||
" <td>1474.628514</td>\n",
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" <td>1451.627376</td>\n",
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" <td>1154680.44</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>1454.183058</td>\n",
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||
" <td>1461.850104</td>\n",
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||
" <td>1466.961468</td>\n",
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||
" <td>1433.737602</td>\n",
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||
" <td>1085536.30</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>1459.294422</td>\n",
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||
" <td>1470.794991</td>\n",
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||
" <td>1473.350673</td>\n",
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||
" <td>1452.905217</td>\n",
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||
" <td>747862.88</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>1469.517150</td>\n",
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||
" <td>1469.517150</td>\n",
|
||
" <td>1486.129083</td>\n",
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||
" <td>1456.738740</td>\n",
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||
" <td>1062386.01</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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" <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>1493.155774</td>\n",
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||
" <td>1502.380920</td>\n",
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||
" <td>1503.698798</td>\n",
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||
" <td>1485.248506</td>\n",
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||
" <td>1047469.06</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>1498.427286</td>\n",
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||
" <td>1506.334554</td>\n",
|
||
" <td>1514.241822</td>\n",
|
||
" <td>1497.109408</td>\n",
|
||
" <td>1087947.75</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>1491.837896</td>\n",
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||
" <td>1502.380920</td>\n",
|
||
" <td>1510.288188</td>\n",
|
||
" <td>1486.566384</td>\n",
|
||
" <td>1168801.73</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>1501.063042</td>\n",
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||
" <td>1524.784846</td>\n",
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||
" <td>1528.738480</td>\n",
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||
" <td>1497.109408</td>\n",
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||
" <td>1843428.36</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>1526.130396</td>\n",
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||
" <td>1534.205160</td>\n",
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||
" <td>1536.896748</td>\n",
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||
" <td>1515.364044</td>\n",
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||
" <td>1271061.03</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 × 7 columns</p>\n",
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"</div>"
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||
]
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||
},
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||
"execution_count": 87,
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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": 87
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||
},
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||
{
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||
"metadata": {
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||
"ExecuteTime": {
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||
"end_time": "2026-01-20T02:26:30.368092Z",
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||
"start_time": "2026-01-20T02:26:30.241161Z"
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}
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},
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"cell_type": "code",
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"source": [
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"import pandas as pd\n",
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"\n",
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"dailies_df.rename(\n",
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" columns={'open': 'Open', 'close': 'Close', 'high': 'High', 'low': 'Low', 'volume': 'Volume'}, inplace=True\n",
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")\n",
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"dailies_df['trade_date'] = pd.to_datetime(dailies_df['trade_date'], format='%Y-%m-%d')\n",
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"dailies_df.set_index('trade_date', inplace=True)\n",
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"dailies_df"
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],
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"id": "c0ed078ffd5b57fd",
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"outputs": [
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{
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||
"data": {
|
||
"text/plain": [
|
||
" Open Close High Low Volume \\\n",
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||
"trade_date \n",
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||
"2025-01-02 1498.907493 1460.572263 1504.018857 1455.460899 1819596.99 \n",
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||
"2025-01-03 1461.850104 1454.183058 1474.628514 1451.627376 1154680.44 \n",
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||
"2025-01-06 1454.183058 1461.850104 1466.961468 1433.737602 1085536.30 \n",
|
||
"2025-01-07 1459.294422 1470.794991 1473.350673 1452.905217 747862.88 \n",
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||
"2025-01-08 1469.517150 1469.517150 1486.129083 1456.738740 1062386.01 \n",
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||
"... ... ... ... ... ... \n",
|
||
"2025-10-09 1493.155774 1502.380920 1503.698798 1485.248506 1047469.06 \n",
|
||
"2025-10-10 1498.427286 1506.334554 1514.241822 1497.109408 1087947.75 \n",
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||
"2025-10-13 1491.837896 1502.380920 1510.288188 1486.566384 1168801.73 \n",
|
||
"2025-10-14 1501.063042 1524.784846 1528.738480 1497.109408 1843428.36 \n",
|
||
"2025-10-15 1526.130396 1534.205160 1536.896748 1515.364044 1271061.03 \n",
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||
"\n",
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||
" factor \n",
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"trade_date \n",
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"2025-01-02 127.7841 \n",
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"2025-01-03 127.7841 \n",
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"2025-01-06 127.7841 \n",
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"2025-01-07 127.7841 \n",
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"2025-01-08 127.7841 \n",
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"... ... \n",
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"2025-10-09 131.7878 \n",
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"2025-10-10 131.7878 \n",
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"2025-10-13 131.7878 \n",
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"2025-10-14 131.7878 \n",
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"2025-10-15 134.5794 \n",
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"\n",
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"[188 rows x 6 columns]"
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||
],
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||
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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>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>Volume</th>\n",
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" <th>factor</th>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>trade_date</th>\n",
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" <th></th>\n",
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" <th></th>\n",
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" <th></th>\n",
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" <th></th>\n",
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" <th></th>\n",
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" <th></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>2025-01-02</th>\n",
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" <td>1498.907493</td>\n",
|
||
" <td>1460.572263</td>\n",
|
||
" <td>1504.018857</td>\n",
|
||
" <td>1455.460899</td>\n",
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||
" <td>1819596.99</td>\n",
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||
" <td>127.7841</td>\n",
|
||
" </tr>\n",
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||
" <tr>\n",
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||
" <th>2025-01-03</th>\n",
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||
" <td>1461.850104</td>\n",
|
||
" <td>1454.183058</td>\n",
|
||
" <td>1474.628514</td>\n",
|
||
" <td>1451.627376</td>\n",
|
||
" <td>1154680.44</td>\n",
|
||
" <td>127.7841</td>\n",
|
||
" </tr>\n",
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" <tr>\n",
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" <th>2025-01-06</th>\n",
|
||
" <td>1454.183058</td>\n",
|
||
" <td>1461.850104</td>\n",
|
||
" <td>1466.961468</td>\n",
|
||
" <td>1433.737602</td>\n",
|
||
" <td>1085536.30</td>\n",
|
||
" <td>127.7841</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-01-07</th>\n",
|
||
" <td>1459.294422</td>\n",
|
||
" <td>1470.794991</td>\n",
|
||
" <td>1473.350673</td>\n",
|
||
" <td>1452.905217</td>\n",
|
||
" <td>747862.88</td>\n",
|
||
" <td>127.7841</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-01-08</th>\n",
|
||
" <td>1469.517150</td>\n",
|
||
" <td>1469.517150</td>\n",
|
||
" <td>1486.129083</td>\n",
|
||
" <td>1456.738740</td>\n",
|
||
" <td>1062386.01</td>\n",
|
||
" <td>127.7841</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>...</th>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-09</th>\n",
|
||
" <td>1493.155774</td>\n",
|
||
" <td>1502.380920</td>\n",
|
||
" <td>1503.698798</td>\n",
|
||
" <td>1485.248506</td>\n",
|
||
" <td>1047469.06</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
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|
||
" <tr>\n",
|
||
" <th>2025-10-10</th>\n",
|
||
" <td>1498.427286</td>\n",
|
||
" <td>1506.334554</td>\n",
|
||
" <td>1514.241822</td>\n",
|
||
" <td>1497.109408</td>\n",
|
||
" <td>1087947.75</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-13</th>\n",
|
||
" <td>1491.837896</td>\n",
|
||
" <td>1502.380920</td>\n",
|
||
" <td>1510.288188</td>\n",
|
||
" <td>1486.566384</td>\n",
|
||
" <td>1168801.73</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-14</th>\n",
|
||
" <td>1501.063042</td>\n",
|
||
" <td>1524.784846</td>\n",
|
||
" <td>1528.738480</td>\n",
|
||
" <td>1497.109408</td>\n",
|
||
" <td>1843428.36</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-15</th>\n",
|
||
" <td>1526.130396</td>\n",
|
||
" <td>1534.205160</td>\n",
|
||
" <td>1536.896748</td>\n",
|
||
" <td>1515.364044</td>\n",
|
||
" <td>1271061.03</td>\n",
|
||
" <td>134.5794</td>\n",
|
||
" </tr>\n",
|
||
" </tbody>\n",
|
||
"</table>\n",
|
||
"<p>188 rows × 6 columns</p>\n",
|
||
"</div>"
|
||
]
|
||
},
|
||
"execution_count": 88,
|
||
"metadata": {},
|
||
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|
||
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|
||
],
|
||
"execution_count": 88
|
||
},
|
||
{
|
||
"metadata": {
|
||
"ExecuteTime": {
|
||
"end_time": "2026-01-20T02:28:38.147008Z",
|
||
"start_time": "2026-01-20T02:28:38.094513Z"
|
||
}
|
||
},
|
||
"cell_type": "code",
|
||
"source": [
|
||
"dailies_df['sma30'] = dailies_df['Close'].rolling(10).mean()\n",
|
||
"dailies_df['sma60'] = dailies_df['Close'].rolling(30).mean()\n",
|
||
"dailies_df.tail()"
|
||
],
|
||
"id": "c558d68773d228c1",
|
||
"outputs": [
|
||
{
|
||
"data": {
|
||
"text/plain": [
|
||
" Open Close High Low Volume \\\n",
|
||
"trade_date \n",
|
||
"2025-10-09 1493.155774 1502.380920 1503.698798 1485.248506 1047469.06 \n",
|
||
"2025-10-10 1498.427286 1506.334554 1514.241822 1497.109408 1087947.75 \n",
|
||
"2025-10-13 1491.837896 1502.380920 1510.288188 1486.566384 1168801.73 \n",
|
||
"2025-10-14 1501.063042 1524.784846 1528.738480 1497.109408 1843428.36 \n",
|
||
"2025-10-15 1526.130396 1534.205160 1536.896748 1515.364044 1271061.03 \n",
|
||
"\n",
|
||
" factor sma30 sma60 \n",
|
||
"trade_date \n",
|
||
"2025-10-09 131.7878 1504.094161 1546.925196 \n",
|
||
"2025-10-10 131.7878 1504.357737 1543.762289 \n",
|
||
"2025-10-13 131.7878 1503.698798 1540.862958 \n",
|
||
"2025-10-14 131.7878 1506.202766 1536.997182 \n",
|
||
"2025-10-15 134.5794 1507.803737 1533.840781 "
|
||
],
|
||
"text/html": [
|
||
"<div>\n",
|
||
"<style scoped>\n",
|
||
" .dataframe tbody tr th:only-of-type {\n",
|
||
" vertical-align: middle;\n",
|
||
" }\n",
|
||
"\n",
|
||
" .dataframe tbody tr th {\n",
|
||
" vertical-align: top;\n",
|
||
" }\n",
|
||
"\n",
|
||
" .dataframe thead th {\n",
|
||
" text-align: right;\n",
|
||
" }\n",
|
||
"</style>\n",
|
||
"<table border=\"1\" class=\"dataframe\">\n",
|
||
" <thead>\n",
|
||
" <tr style=\"text-align: right;\">\n",
|
||
" <th></th>\n",
|
||
" <th>Open</th>\n",
|
||
" <th>Close</th>\n",
|
||
" <th>High</th>\n",
|
||
" <th>Low</th>\n",
|
||
" <th>Volume</th>\n",
|
||
" <th>factor</th>\n",
|
||
" <th>sma30</th>\n",
|
||
" <th>sma60</th>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>trade_date</th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" </tr>\n",
|
||
" </thead>\n",
|
||
" <tbody>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-09</th>\n",
|
||
" <td>1493.155774</td>\n",
|
||
" <td>1502.380920</td>\n",
|
||
" <td>1503.698798</td>\n",
|
||
" <td>1485.248506</td>\n",
|
||
" <td>1047469.06</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
" <td>1504.094161</td>\n",
|
||
" <td>1546.925196</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-10</th>\n",
|
||
" <td>1498.427286</td>\n",
|
||
" <td>1506.334554</td>\n",
|
||
" <td>1514.241822</td>\n",
|
||
" <td>1497.109408</td>\n",
|
||
" <td>1087947.75</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
" <td>1504.357737</td>\n",
|
||
" <td>1543.762289</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-13</th>\n",
|
||
" <td>1491.837896</td>\n",
|
||
" <td>1502.380920</td>\n",
|
||
" <td>1510.288188</td>\n",
|
||
" <td>1486.566384</td>\n",
|
||
" <td>1168801.73</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
" <td>1503.698798</td>\n",
|
||
" <td>1540.862958</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-14</th>\n",
|
||
" <td>1501.063042</td>\n",
|
||
" <td>1524.784846</td>\n",
|
||
" <td>1528.738480</td>\n",
|
||
" <td>1497.109408</td>\n",
|
||
" <td>1843428.36</td>\n",
|
||
" <td>131.7878</td>\n",
|
||
" <td>1506.202766</td>\n",
|
||
" <td>1536.997182</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2025-10-15</th>\n",
|
||
" <td>1526.130396</td>\n",
|
||
" <td>1534.205160</td>\n",
|
||
" <td>1536.896748</td>\n",
|
||
" <td>1515.364044</td>\n",
|
||
" <td>1271061.03</td>\n",
|
||
" <td>134.5794</td>\n",
|
||
" <td>1507.803737</td>\n",
|
||
" <td>1533.840781</td>\n",
|
||
" </tr>\n",
|
||
" </tbody>\n",
|
||
"</table>\n",
|
||
"</div>"
|
||
]
|
||
},
|
||
"execution_count": 97,
|
||
"metadata": {},
|
||
"output_type": "execute_result"
|
||
}
|
||
],
|
||
"execution_count": 97
|
||
},
|
||
{
|
||
"metadata": {
|
||
"ExecuteTime": {
|
||
"end_time": "2026-01-20T02:28:09.232747Z",
|
||
"start_time": "2026-01-20T02:28:09.215190Z"
|
||
}
|
||
},
|
||
"cell_type": "code",
|
||
"source": [
|
||
"from backtesting import Strategy\n",
|
||
"from backtesting.lib import crossover\n",
|
||
"\n",
|
||
"\n",
|
||
"class SmaCross(Strategy):\n",
|
||
" def init(self):\n",
|
||
" pass\n",
|
||
"\n",
|
||
" def next(self):\n",
|
||
" if crossover(self.data.sma30, self.data.sma60):\n",
|
||
" self.position.close()\n",
|
||
" self.buy()\n",
|
||
" elif crossover(self.data.sma60, self.data.sma30):\n",
|
||
" self.position.close()\n",
|
||
" self.sell()"
|
||
],
|
||
"id": "b56aaaf4cad7bc7d",
|
||
"outputs": [],
|
||
"execution_count": 94
|
||
},
|
||
{
|
||
"metadata": {
|
||
"ExecuteTime": {
|
||
"end_time": "2026-01-20T02:28:12.350117Z",
|
||
"start_time": "2026-01-20T02:28:12.330024Z"
|
||
}
|
||
},
|
||
"cell_type": "code",
|
||
"source": [
|
||
"def stats_print(stats):\n",
|
||
" indicator_name_mapping = {\n",
|
||
" 'Start': '回测开始时间',\n",
|
||
" 'End': '回测结束时间',\n",
|
||
" 'Duration': '回测持续时长',\n",
|
||
" 'Exposure Time [%]': '持仓时间占比（%）',\n",
|
||
" 'Equity Final [$]': '最终权益',\n",
|
||
" 'Equity Peak [$]': '权益峰值',\n",
|
||
" 'Return [%]': '总收益率（%）',\n",
|
||
" 'Buy & Hold Return [%]': '买入并持有收益率（%）',\n",
|
||
" 'Return (Ann.) [%]': '年化收益率（%）',\n",
|
||
" 'Volatility (Ann.) [%]': '年化波动率（%）',\n",
|
||
" 'CAGR [%]': '复合年均增长率（%）',\n",
|
||
" 'Sharpe Ratio': '夏普比率',\n",
|
||
" 'Sortino Ratio': '索提诺比率',\n",
|
||
" 'Calmar Ratio': '卡尔玛比率',\n",
|
||
" 'Alpha [%]': '阿尔法系数（%）',\n",
|
||
" 'Beta': '贝塔系数',\n",
|
||
" 'Max. Drawdown [%]': '最大回撤（%）',\n",
|
||
" 'Avg. Drawdown [%]': '平均回撤（%）',\n",
|
||
" 'Max. Drawdown Duration': '最大回撤持续时长',\n",
|
||
" 'Avg. Drawdown Duration': '平均回撤持续时长',\n",
|
||
" '# Trades': '交易总次数',\n",
|
||
" 'Win Rate [%]': '胜率（%）',\n",
|
||
" 'Best Trade [%]': '最佳单笔交易收益率（%）',\n",
|
||
" 'Worst Trade [%]': '最差单笔交易收益率（%）',\n",
|
||
" 'Avg. Trade [%]': '平均单笔交易收益率（%）',\n",
|
||
" 'Max. Trade Duration': '单笔交易最长持有时长',\n",
|
||
" 'Avg. Trade Duration': '单笔交易平均持有时长',\n",
|
||
" 'Profit Factor': '盈利因子',\n",
|
||
" 'Expectancy [%]': '期望收益（%）',\n",
|
||
" 'SQN': '系统质量数',\n",
|
||
" 'Kelly Criterion': '凯利准则',\n",
|
||
" }\n",
|
||
" for k, v in stats.items():\n",
|
||
" if k in indicator_name_mapping:\n",
|
||
" cn_name = indicator_name_mapping.get(k, k)\n",
|
||
" if isinstance(v, (int, float)):\n",
|
||
" if \"%\" in cn_name or k in ['Sharpe Ratio', 'Sortino Ratio', 'Calmar Ratio', 'Profit Factor']:\n",
|
||
" formatted_value = f\"{v:.2f}\"\n",
|
||
" elif \"$\" in cn_name:\n",
|
||
" formatted_value = f\"{v:.2f}\"\n",
|
||
" elif \"次数\" in cn_name:\n",
|
||
" formatted_value = f\"{v:.0f}\"\n",
|
||
" else:\n",
|
||
" formatted_value = f\"{v:.4f}\"\n",
|
||
" else:\n",
|
||
" formatted_value = str(v)\n",
|
||
" print(f'{cn_name}: {formatted_value}')"
|
||
],
|
||
"id": "a23e811212958477",
|
||
"outputs": [],
|
||
"execution_count": 95
|
||
},
|
||
{
|
||
"metadata": {
|
||
"ExecuteTime": {
|
||
"end_time": "2026-01-20T02:28:43.128279Z",
|
||
"start_time": "2026-01-20T02:28:43.044156Z"
|
||
}
|
||
},
|
||
"cell_type": "code",
|
||
"source": [
|
||
"from backtesting import Backtest\n",
|
||
"\n",
|
||
"bt = Backtest(dailies_df, SmaCross, cash=100000, commission=.002, finalize_trades=True)\n",
|
||
"stats = bt.run()\n",
|
||
"stats_print(stats)"
|
||
],
|
||
"id": "afc750727129ff2e",
|
||
"outputs": [
|
||
{
|
||
"name": "stdout",
|
||
"output_type": "stream",
|
||
"text": [
|
||
"回测开始时间: 2025-01-02 00:00:00\n",
|
||
"回测结束时间: 2025-10-15 00:00:00\n",
|
||
"回测持续时长: 286 days 00:00:00\n",
|
||
"持仓时间占比（%）: 71.81\n",
|
||
"最终权益: 114727.4805\n",
|
||
"权益峰值: 117838.4813\n",
|
||
"总收益率（%）: 14.73\n",
|
||
"买入并持有收益率（%）: 5.04\n",
|
||
"年化收益率（%）: 20.22\n",
|
||
"年化波动率（%）: 17.17\n",
|
||
"复合年均增长率（%）: 12.87\n",
|
||
"夏普比率: 1.18\n",
|
||
"索提诺比率: 2.45\n",
|
||
"卡尔玛比率: 2.21\n",
|
||
"阿尔法系数（%）: 14.96\n",
|
||
"贝塔系数: -0.0456\n",
|
||
"最大回撤（%）: -9.13\n",
|
||
"平均回撤（%）: -3.40\n",
|
||
"最大回撤持续时长: 97 days 00:00:00\n",
|
||
"平均回撤持续时长: 33 days 00:00:00\n",
|
||
"交易总次数: 3\n",
|
||
"胜率（%）: 66.67\n",
|
||
"最佳单笔交易收益率（%）: 10.02\n",
|
||
"最差单笔交易收益率（%）: -0.49\n",
|
||
"平均单笔交易收益率（%）: 4.76\n",
|
||
"单笔交易最长持有时长: 78 days 00:00:00\n",
|
||
"单笔交易平均持有时长: 68 days 00:00:00\n",
|
||
"盈利因子: 30.80\n",
|
||
"期望收益（%）: 4.84\n",
|
||
"系统质量数: 1.6469\n",
|
||
"凯利准则: 0.6455\n"
|
||
]
|
||
}
|
||
],
|
||
"execution_count": 98
|
||
}
|
||
],
|
||
"metadata": {
|
||
"kernelspec": {
|
||
"display_name": "Python 3",
|
||
"language": "python",
|
||
"name": "python3"
|
||
},
|
||
"language_info": {
|
||
"codemirror_mode": {
|
||
"name": "ipython",
|
||
"version": 2
|
||
},
|
||
"file_extension": ".py",
|
||
"mimetype": "text/x-python",
|
||
"name": "python",
|
||
"nbconvert_exporter": "python",
|
||
"pygments_lexer": "ipython2",
|
||
"version": "2.7.6"
|
||
}
|
||
},
|
||
"nbformat": 4,
|
||
"nbformat_minor": 5
|
||
}
|