84 lines
4.7 KiB
Python
84 lines
4.7 KiB
Python
"""
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This code is supported by the website: https://www.guanjihuan.com
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The newest version of this code is on the web page: https://www.guanjihuan.com/archives/38912
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"""
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import guan
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file_list_60 = guan.get_all_filenames_in_directory(directory='./2018_01_01_to_2024_03_07/stock_data_60', \
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file_format=None, show_root_path=0, sort=1, include_subdirectory=1)
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file_list_00 = guan.get_all_filenames_in_directory(directory='./2018_01_01_to_2024_03_07/stock_data_00', \
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file_format=None, show_root_path=0, sort=1, include_subdirectory=1)
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# print(len(file_list_60))
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# print(len(file_list_00))
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# print()
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# 回测策略：当跌到成本时的 ratio 倍时，翻倍投入补仓。（这里只对00开头的股票进行回测）
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buy_limit = 100
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for buy_limit in [100000, 10, 4]: # 限制补仓次数
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print('限制补仓次数：', buy_limit, '\n')
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for ratio in [0.95, 0.9, 0.85, 0.8, 0.75, 0.7, 0.65]:
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win_count = 0
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lose_count = 0
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win_count_relative = 0
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lose_count_relative = 0
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win_count_0 = 0
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lose_count_0 = 0
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print('跌到成本的某个倍数补仓：', ratio)
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invest_money_array = []
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current_money_array = []
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buy_times_array = []
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profit_array = []
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profit_array_0 = []
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for i00 in range(len(file_list_00)):
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stock_data = guan.load_data('./2018_01_01_to_2024_03_07/stock_data_00/'+file_list_00[i00], file_format='')
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stock_data = stock_data[::-1]
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if len(stock_data) > 0:
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invest_money = 1000 # 初始投入资金
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current_money = 1000 # 当前所有资金
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buy_price = stock_data[0, 2] # 买入的价格（第一天买入）
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cost_price = stock_data[0, 2] # 当前持有的成本价（第一天买入）
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cost_num = invest_money/cost_price # 当前持有的股数（为了简化，这里不做取整处理）
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len_date = len(stock_data[:, 2])
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buy_times = 0
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for i0 in range(len_date):
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if stock_data[i0, 2]/cost_price < ratio and buy_times < buy_limit: # 当满足策略，且补仓次数小于buy_limit时，补仓
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current_price = stock_data[i0, 2] # 当前的市场价
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current_money = invest_money + (invest_money/cost_price)*current_price # 补仓后的所有资金
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buy_price = stock_data[i0, 2] # 买入价为当前市场价
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cost_num = (invest_money/cost_price)+(invest_money/buy_price) # 更新当前持有的股数
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cost_price = 2*invest_money/cost_num # 更新当前持有的成本价
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invest_money = invest_money*2 # 更新总投入资金
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buy_times += 1
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current_price = stock_data[i0, 2] # 当前的市场价
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current_money = cost_num*current_price # 当前所有资金
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buy_times_array.append(buy_times)
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invest_money_array.append(invest_money)
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current_money_array.append(current_money)
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profit_array.append(current_money/invest_money)
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profit_array_0.append(current_price/stock_data[0, 2])
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if current_money > invest_money:
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win_count += 1
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else:
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lose_count += 1
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if current_money/invest_money > current_price/stock_data[0, 2]:
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win_count_relative += 1
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else:
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lose_count_relative += 1
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if current_price > stock_data[0, 2]:
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win_count_0 += 1
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else:
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lose_count_0 += 1
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print('策略的平均加仓次数：', sum(buy_times_array)/len(buy_times_array))
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print('策略的平均投入资金：', sum(invest_money_array)/len(invest_money_array))
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print('策略的平均最终所有资金：', sum(invest_money_array)/len(invest_money_array))
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print('策略的平均利润率（包含本金）：', sum(profit_array)/len(profit_array))
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print('完成不操作的市场平均利润率（包含本金）：', sum(profit_array_0)/len(profit_array_0))
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print('策略赢的次数：', win_count)
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print('策略输的次数；', lose_count)
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print('策略相对于市场赢的次数：', win_count_relative)
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print('策略相对于市场输的次数；', lose_count_relative)
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print('完全不操作市场赢的次数：', win_count_0)
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print('完全不操作市场输的次数；', lose_count_0)
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print()
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print('-----')
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print() |