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<!doctype html>
<html>
<head>
<meta charset='UTF-8'><meta name='viewport' content='width=device-width initial-scale=1'>
<title>index</title><link href='https://fonts.loli.net/css?family=Open+Sans:400italic,700italic,700,400&subset=latin,latin-ext' rel='stylesheet' type='text/css' /><style type='text/css'>html {overflow-x: initial !important;}:root { --bg-color: #ffffff; --text-color: #333333; --select-text-bg-color: #B5D6FC; --select-text-font-color: auto; --monospace: "Lucida Console",Consolas,"Courier",monospace; }
html { font-size: 14px; background-color: var(--bg-color); color: var(--text-color); font-family: "Helvetica Neue", Helvetica, Arial, sans-serif; -webkit-font-smoothing: antialiased; }
body { margin: 0px; padding: 0px; height: auto; bottom: 0px; top: 0px; left: 0px; right: 0px; font-size: 1rem; line-height: 1.42857143; overflow-x: hidden; background-image: inherit; background-size: inherit; background-attachment: inherit; background-origin: inherit; background-clip: inherit; background-color: inherit; tab-size: 4; background-position: inherit inherit; background-repeat: inherit inherit; }
iframe { margin: auto; }
a.url { word-break: break-all; }
a:active, a:hover { outline: 0px; }
.in-text-selection, ::selection { text-shadow: none; background: var(--select-text-bg-color); color: var(--select-text-font-color); }
#write { margin: 0px auto; height: auto; width: inherit; word-break: normal; word-wrap: break-word; position: relative; white-space: normal; overflow-x: visible; padding-top: 40px; }
#write.first-line-indent p { text-indent: 2em; }
#write.first-line-indent li p, #write.first-line-indent p * { text-indent: 0px; }
#write.first-line-indent li { margin-left: 2em; }
.for-image #write { padding-left: 8px; padding-right: 8px; }
body.typora-export { padding-left: 30px; padding-right: 30px; }
.typora-export .footnote-line, .typora-export li, .typora-export p { white-space: pre-wrap; }
@media screen and (max-width: 500px) {
body.typora-export { padding-left: 0px; padding-right: 0px; }
#write { padding-left: 20px; padding-right: 20px; }
.CodeMirror-sizer { margin-left: 0px !important; }
.CodeMirror-gutters { display: none !important; }
}
#write li > figure:last-child { margin-bottom: 0.5rem; }
#write ol, #write ul { position: relative; }
img { max-width: 100%; vertical-align: middle; }
button, input, select, textarea { color: inherit; font-family: inherit; font-size: inherit; font-style: inherit; font-variant-caps: inherit; font-weight: inherit; font-stretch: inherit; line-height: inherit; }
input[type="checkbox"], input[type="radio"] { line-height: normal; padding: 0px; }
*, ::after, ::before { box-sizing: border-box; }
#write h1, #write h2, #write h3, #write h4, #write h5, #write h6, #write p, #write pre { width: inherit; }
#write h1, #write h2, #write h3, #write h4, #write h5, #write h6, #write p { position: relative; }
p { line-height: inherit; }
h1, h2, h3, h4, h5, h6 { break-after: avoid-page; break-inside: avoid; orphans: 2; }
p { orphans: 4; }
h1 { font-size: 2rem; }
h2 { font-size: 1.8rem; }
h3 { font-size: 1.6rem; }
h4 { font-size: 1.4rem; }
h5 { font-size: 1.2rem; }
h6 { font-size: 1rem; }
.md-math-block, .md-rawblock, h1, h2, h3, h4, h5, h6, p { margin-top: 1rem; margin-bottom: 1rem; }
.hidden { display: none; }
.md-blockmeta { color: rgb(204, 204, 204); font-weight: 700; font-style: italic; }
a { cursor: pointer; }
sup.md-footnote { padding: 2px 4px; background-color: rgba(238, 238, 238, 0.701961); color: rgb(85, 85, 85); border-top-left-radius: 4px; border-top-right-radius: 4px; border-bottom-right-radius: 4px; border-bottom-left-radius: 4px; cursor: pointer; }
sup.md-footnote a, sup.md-footnote a:hover { color: inherit; text-transform: inherit; text-decoration: inherit; }
#write input[type="checkbox"] { cursor: pointer; width: inherit; height: inherit; }
figure { overflow-x: auto; margin: 1.2em 0px; max-width: calc(100% + 16px); padding: 0px; }
figure > table { margin: 0px !important; }
tr { break-inside: avoid; break-after: auto; }
thead { display: table-header-group; }
table { border-collapse: collapse; border-spacing: 0px; width: 100%; overflow: auto; break-inside: auto; text-align: left; }
table.md-table td { min-width: 32px; }
.CodeMirror-gutters { border-right-width: 0px; background-color: inherit; }
.CodeMirror-linenumber { }
.CodeMirror { text-align: left; }
.CodeMirror-placeholder { opacity: 0.3; }
.CodeMirror pre { padding: 0px 4px; }
.CodeMirror-lines { padding: 0px; }
div.hr:focus { cursor: none; }
#write pre { white-space: pre-wrap; }
#write.fences-no-line-wrapping pre { white-space: pre; }
#write pre.ty-contain-cm { white-space: normal; }
.CodeMirror-gutters { margin-right: 4px; }
.md-fences { font-size: 0.9rem; display: block; break-inside: avoid; text-align: left; overflow: visible; white-space: pre; background-image: inherit; background-size: inherit; background-attachment: inherit; background-origin: inherit; background-clip: inherit; background-color: inherit; position: relative !important; background-position: inherit inherit; background-repeat: inherit inherit; }
.md-diagram-panel { width: 100%; margin-top: 10px; text-align: center; padding-top: 0px; padding-bottom: 8px; overflow-x: auto; }
#write .md-fences.mock-cm { white-space: pre-wrap; }
.md-fences.md-fences-with-lineno { padding-left: 0px; }
#write.fences-no-line-wrapping .md-fences.mock-cm { white-space: pre; overflow-x: auto; }
.md-fences.mock-cm.md-fences-with-lineno { padding-left: 8px; }
.CodeMirror-line, twitterwidget { break-inside: avoid; }
.footnotes { opacity: 0.8; font-size: 0.9rem; margin-top: 1em; margin-bottom: 1em; }
.footnotes + .footnotes { margin-top: 0px; }
.md-reset { margin: 0px; padding: 0px; border: 0px; outline: 0px; vertical-align: top; text-decoration: none; text-shadow: none; float: none; position: static; width: auto; height: auto; white-space: nowrap; cursor: inherit; line-height: normal; font-weight: 400; text-align: left; box-sizing: content-box; direction: ltr; background-position: 0px 0px; background-repeat: initial initial; }
li div { padding-top: 0px; }
blockquote { margin: 1rem 0px; }
li .mathjax-block, li p { margin: 0.5rem 0px; }
li { margin: 0px; position: relative; }
blockquote > :last-child { margin-bottom: 0px; }
blockquote > :first-child, li > :first-child { margin-top: 0px; }
.footnotes-area { color: rgb(136, 136, 136); margin-top: 0.714rem; padding-bottom: 0.143rem; white-space: normal; }
#write .footnote-line { white-space: pre-wrap; }
@media print {
body, html { border: 1px solid transparent; height: 99%; break-after: avoid; break-before: avoid; }
#write { margin-top: 0px; padding-top: 0px; border-color: transparent !important; }
.typora-export * { -webkit-print-color-adjust: exact; }
html.blink-to-pdf { font-size: 13px; }
.typora-export #write { padding-left: 32px; padding-right: 32px; padding-bottom: 0px; break-after: avoid; }
.typora-export #write::after { height: 0px; }
}
.footnote-line { margin-top: 0.714em; font-size: 0.7em; }
a img, img a { cursor: pointer; }
pre.md-meta-block { font-size: 0.8rem; min-height: 0.8rem; white-space: pre-wrap; background-color: rgb(204, 204, 204); display: block; overflow-x: hidden; background-position: initial initial; background-repeat: initial initial; }
p > .md-image:only-child:not(.md-img-error) img, p > img:only-child { display: block; margin: auto; }
p > .md-image:only-child { display: inline-block; width: 100%; }
#write .MathJax_Display { margin: 0.8em 0px 0px; }
.md-math-block { width: 100%; }
.md-math-block:not(:empty)::after { display: none; }
[contenteditable="true"]:active, [contenteditable="true"]:focus, [contenteditable="false"]:active, [contenteditable="false"]:focus { outline: 0px; box-shadow: none; }
.md-task-list-item { position: relative; list-style-type: none; }
.task-list-item.md-task-list-item { padding-left: 0px; }
.md-task-list-item > input { position: absolute; top: 0px; left: 0px; margin-left: -1.2em; margin-top: calc(1em - 10px); border: none; }
.math { font-size: 1rem; }
.md-toc { min-height: 3.58rem; position: relative; font-size: 0.9rem; border-top-left-radius: 10px; border-top-right-radius: 10px; border-bottom-right-radius: 10px; border-bottom-left-radius: 10px; }
.md-toc-content { position: relative; margin-left: 0px; }
.md-toc-content::after, .md-toc::after { display: none; }
.md-toc-item { display: block; color: rgb(65, 131, 196); }
.md-toc-item a { text-decoration: none; }
.md-toc-inner:hover { text-decoration: underline; }
.md-toc-inner { display: inline-block; cursor: pointer; }
.md-toc-h1 .md-toc-inner { margin-left: 0px; font-weight: 700; }
.md-toc-h2 .md-toc-inner { margin-left: 2em; }
.md-toc-h3 .md-toc-inner { margin-left: 4em; }
.md-toc-h4 .md-toc-inner { margin-left: 6em; }
.md-toc-h5 .md-toc-inner { margin-left: 8em; }
.md-toc-h6 .md-toc-inner { margin-left: 10em; }
@media screen and (max-width: 48em) {
.md-toc-h3 .md-toc-inner { margin-left: 3.5em; }
.md-toc-h4 .md-toc-inner { margin-left: 5em; }
.md-toc-h5 .md-toc-inner { margin-left: 6.5em; }
.md-toc-h6 .md-toc-inner { margin-left: 8em; }
}
a.md-toc-inner { font-size: inherit; font-style: inherit; font-weight: inherit; line-height: inherit; }
.footnote-line a:not(.reversefootnote) { color: inherit; }
.md-attr { display: none; }
.md-fn-count::after { content: "."; }
code, pre, samp, tt { font-family: var(--monospace); }
kbd { margin: 0px 0.1em; padding: 0.1em 0.6em; font-size: 0.8em; color: rgb(36, 39, 41); background-color: rgb(255, 255, 255); border: 1px solid rgb(173, 179, 185); border-top-left-radius: 3px; border-top-right-radius: 3px; border-bottom-right-radius: 3px; border-bottom-left-radius: 3px; box-shadow: rgba(12, 13, 14, 0.2) 0px 1px 0px, rgb(255, 255, 255) 0px 0px 0px 2px inset; white-space: nowrap; vertical-align: middle; background-position: initial initial; background-repeat: initial initial; }
.md-comment { color: rgb(162, 127, 3); opacity: 0.8; font-family: var(--monospace); }
code { text-align: left; }
a.md-print-anchor { white-space: pre !important; border: none !important; display: inline-block !important; position: absolute !important; width: 1px !important; right: 0px !important; outline: 0px !important; text-shadow: initial !important; background-position: 0px 0px !important; background-repeat: initial initial !important; }
.md-inline-math .MathJax_SVG .noError { display: none !important; }
.html-for-mac .inline-math-svg .MathJax_SVG { vertical-align: 0.2px; }
.md-math-block .MathJax_SVG_Display { text-align: center; margin: 0px; position: relative; text-indent: 0px; max-width: none; max-height: none; min-height: 0px; min-width: 100%; width: auto; overflow-y: hidden; display: block !important; }
.MathJax_SVG_Display, .md-inline-math .MathJax_SVG_Display { width: auto; margin: inherit; display: inline-block !important; }
.MathJax_SVG .MJX-monospace { font-family: var(--monospace); }
.MathJax_SVG .MJX-sans-serif { font-family: sans-serif; }
.MathJax_SVG { display: inline; font-style: normal; font-weight: 400; line-height: normal; zoom: 90%; text-indent: 0px; text-align: left; text-transform: none; letter-spacing: normal; word-spacing: normal; word-wrap: normal; white-space: nowrap; float: none; direction: ltr; max-width: none; max-height: none; min-width: 0px; min-height: 0px; border: 0px; padding: 0px; margin: 0px; }
.MathJax_SVG * { transition: none; }
.MathJax_SVG_Display svg { vertical-align: middle !important; margin-bottom: 0px !important; margin-top: 0px !important; }
.os-windows.monocolor-emoji .md-emoji { font-family: "Segoe UI Symbol", sans-serif; }
.md-diagram-panel > svg { max-width: 100%; }
[lang="flow"] svg, [lang="mermaid"] svg { max-width: 100%; height: auto; }
[lang="mermaid"] .node text { font-size: 1rem; }
table tr th { border-bottom-width: 0px; }
video { max-width: 100%; display: block; margin: 0px auto; }
iframe { max-width: 100%; width: 100%; border: none; }
.highlight td, .highlight tr { border: 0px; }
svg[id^="mermaidChart"] { line-height: 1em; }
mark { background-color: rgb(255, 255, 0); color: rgb(0, 0, 0); background-position: initial initial; background-repeat: initial initial; }
.md-html-inline .md-plain, .md-html-inline strong, mark .md-inline-math, mark strong { color: inherit; }
mark .md-meta { color: rgb(0, 0, 0); opacity: 0.3 !important; }
.CodeMirror { height: auto; }
.CodeMirror.cm-s-inner { background-image: inherit; background-size: inherit; background-attachment: inherit; background-origin: inherit; background-clip: inherit; background-color: inherit; background-position: inherit inherit; background-repeat: inherit inherit; }
.CodeMirror-scroll { overflow-y: hidden; overflow-x: auto; z-index: 3; }
.CodeMirror-gutter-filler, .CodeMirror-scrollbar-filler { background-color: rgb(255, 255, 255); }
.CodeMirror-gutters { border-right-width: 1px; border-right-style: solid; border-right-color: rgb(221, 221, 221); background-image: inherit; background-size: inherit; background-attachment: inherit; background-origin: inherit; background-clip: inherit; background-color: inherit; white-space: nowrap; background-position: inherit inherit; background-repeat: inherit inherit; }
.CodeMirror-linenumber { padding: 0px 3px 0px 5px; text-align: right; color: rgb(153, 153, 153); }
.cm-s-inner .cm-keyword { color: rgb(119, 0, 136); }
.cm-s-inner .cm-atom, .cm-s-inner.cm-atom { color: rgb(34, 17, 153); }
.cm-s-inner .cm-number { color: rgb(17, 102, 68); }
.cm-s-inner .cm-def { color: rgb(0, 0, 255); }
.cm-s-inner .cm-variable { color: rgb(0, 0, 0); }
.cm-s-inner .cm-variable-2 { color: rgb(0, 85, 170); }
.cm-s-inner .cm-variable-3 { color: rgb(0, 136, 85); }
.cm-s-inner .cm-string { color: rgb(170, 17, 17); }
.cm-s-inner .cm-property { color: rgb(0, 0, 0); }
.cm-s-inner .cm-operator { color: rgb(152, 26, 26); }
.cm-s-inner .cm-comment, .cm-s-inner.cm-comment { color: rgb(170, 85, 0); }
.cm-s-inner .cm-string-2 { color: rgb(255, 85, 0); }
.cm-s-inner .cm-meta { color: rgb(85, 85, 85); }
.cm-s-inner .cm-qualifier { color: rgb(85, 85, 85); }
.cm-s-inner .cm-builtin { color: rgb(51, 0, 170); }
.cm-s-inner .cm-bracket { color: rgb(153, 153, 119); }
.cm-s-inner .cm-tag { color: rgb(17, 119, 0); }
.cm-s-inner .cm-attribute { color: rgb(0, 0, 204); }
.cm-s-inner .cm-header, .cm-s-inner.cm-header { color: rgb(0, 0, 255); }
.cm-s-inner .cm-quote, .cm-s-inner.cm-quote { color: rgb(0, 153, 0); }
.cm-s-inner .cm-hr, .cm-s-inner.cm-hr { color: rgb(153, 153, 153); }
.cm-s-inner .cm-link, .cm-s-inner.cm-link { color: rgb(0, 0, 204); }
.cm-negative { color: rgb(221, 68, 68); }
.cm-positive { color: rgb(34, 153, 34); }
.cm-header, .cm-strong { font-weight: 700; }
.cm-del { text-decoration: line-through; }
.cm-em { font-style: italic; }
.cm-link { text-decoration: underline; }
.cm-error { color: red; }
.cm-invalidchar { color: red; }
.cm-constant { color: rgb(38, 139, 210); }
.cm-defined { color: rgb(181, 137, 0); }
div.CodeMirror span.CodeMirror-matchingbracket { color: rgb(0, 255, 0); }
div.CodeMirror span.CodeMirror-nonmatchingbracket { color: rgb(255, 34, 34); }
.cm-s-inner .CodeMirror-activeline-background { background-image: inherit; background-size: inherit; background-attachment: inherit; background-origin: inherit; background-clip: inherit; background-color: inherit; background-position: inherit inherit; background-repeat: inherit inherit; }
.CodeMirror { position: relative; overflow: hidden; }
.CodeMirror-scroll { height: 100%; outline: 0px; position: relative; box-sizing: content-box; background-image: inherit; background-size: inherit; background-attachment: inherit; background-origin: inherit; background-clip: inherit; background-color: inherit; background-position: inherit inherit; background-repeat: inherit inherit; }
.CodeMirror-sizer { position: relative; }
.CodeMirror-gutter-filler, .CodeMirror-hscrollbar, .CodeMirror-scrollbar-filler, .CodeMirror-vscrollbar { position: absolute; z-index: 6; display: none; }
.CodeMirror-vscrollbar { right: 0px; top: 0px; overflow: hidden; }
.CodeMirror-hscrollbar { bottom: 0px; left: 0px; overflow: hidden; }
.CodeMirror-scrollbar-filler { right: 0px; bottom: 0px; }
.CodeMirror-gutter-filler { left: 0px; bottom: 0px; }
.CodeMirror-gutters { position: absolute; left: 0px; top: 0px; padding-bottom: 30px; z-index: 3; }
.CodeMirror-gutter { white-space: normal; height: 100%; box-sizing: content-box; padding-bottom: 30px; margin-bottom: -32px; display: inline-block; }
.CodeMirror-gutter-wrapper { position: absolute; z-index: 4; border: none !important; background-position: 0px 0px !important; background-repeat: initial initial !important; }
.CodeMirror-gutter-background { position: absolute; top: 0px; bottom: 0px; z-index: 4; }
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<div id='write' class = 'is-mac'><p> </p><h1><a name="qttest" class="md-header-anchor"></a><span>QT_Test</span></h1><p><span>【</span><a href='https://github.com/FDUJiaG/QT_Test'><strong><span>Return to Repositories</span></strong></a><span>】</span></p><p><span>本测试旨在重现一套比较简单且完备的量化框架</span></p><p><span>该框架基于现代投资组合理论，并应用主流的机器学习算法（SVM）进行分析</span></p><p><span>旨在初步形成一个量化投资的思路，辅助构建科学合理的投资策略</span></p><h2><a name="anticipate-process" class="md-header-anchor"></a><span>Anticipate Process</span></h2><h3><a name="preparation" class="md-header-anchor"></a><span>Preparation</span></h3><ul><li><a href='https://github.com/FDUJiaG/QT_Test/tree/master/sqlQueries'><span>SQL Queries</span></a></li><li><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlQueries/my_capital.sql'><span>Initial Capital</span></a><span> of Loopback Test (optional, default = 1 M)</span></li></ul><h3><a name="input" class="md-header-anchor"></a><span>Input</span></h3><ul><li><span>Stock Pool</span></li><li><span>Base Stock Index</span></li><li><span>Interval of Loopback Test</span></li><li><span>Windows of Preproession (optional, default = 365)</span></li><li><span>Windows of Loopback Trainning Test (optional, default = 90)</span></li><li><span>Windows of Loopack Portfolio (optional, default = year)</span></li><li><span>Change Frequency of Portfolio (optional, default =5)</span></li></ul><h3><a name="main-program" class="md-header-anchor"></a><span>Main Program</span></h3><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="shell"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="shell"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-def">$ python</span> Init_StockALL_Sp.py</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-def">$ python</span> stock_index_pro.py</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-def">$ python</span> main_pro.py</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 66px;"></div><div class="CodeMirror-gutters" style="height: 66px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h3><a name="output" class="md-header-anchor"></a><span>Output</span></h3><ul><li><span>Daily Trading Data in </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlT_to_csv/stock_all.csv'><span>Stock Pool</span></a><span> and </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlT_to_csv/stock_index_pro.csv'><span>Base Index</span></a></li><li><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlT_to_csv/model_ev_resu.csv'><span>Result</span></a><span> of SVM Model Evaluation</span></li><li><span>The </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlT_to_csv/my_capital.csv'><span>Capital Situation</span></a><span> during Loopback Test</span></li><li><span>The </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlT_to_csv/my_stock_pool.csv'><span>Stocks Holding</span></a><span> in Last Loopback Test Day</span></li><li><a href='https://github.com/FDUJiaG/QT_Test/blob/master/imag/LoopBack.png'><span>Effect Index</span></a><span> of Quantization</span></li><li><a href="###Return，Withdrawal的可视化"><span>Visualization</span></a><span> of Return and Withdrawal</span></li></ul><h2><a name="dependencies" class="md-header-anchor"></a><span>Dependencies</span></h2><p><span>测试使用的Python版本：3.6.8</span></p><p><span>测试使用的Anaconda版本：1.9.6</span></p><h3><a name="installation-or-upgrade-for-tushare" class="md-header-anchor"></a><span>Installation or Upgrade for Tushare</span></h3><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="shell"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="shell"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>2</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-def">$ pip</span> install tushare</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-def">$ pip</span> install tushare <span class="cm-attribute">--upgrade</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 44px;"></div><div class="CodeMirror-gutters" style="height: 44px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h3><a name="import-tushare" class="md-header-anchor"></a><span>Import Tushare</span></h3><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>1</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">tushare</span> <span class="cm-keyword">as</span> <span class="cm-variable">ts</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 22px;"></div><div class="CodeMirror-gutters" style="height: 22px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><p><span>tushare版本需大于1.2.10</span></p><h3><a name="set-token" class="md-header-anchor"></a><span>Set Token</span></h3><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>1</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">ts</span>.<span class="cm-property">set_token</span>(<span class="cm-string">'your token'</span>)</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 22px;"></div><div class="CodeMirror-gutters" style="height: 22px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><p><span>完成调取tushare数据凭证的设置，通常只需要设置一次</span></p><h3><a name="initialize-pro-api" class="md-header-anchor"></a><span>Initialize Pro API</span></h3><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>3</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">pro</span> = <span class="cm-variable">ts</span>.<span class="cm-property">pro_api</span>()</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 或者在初始化中直接设置token</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">pro</span> = <span class="cm-variable">ts</span>.<span class="cm-property">pro_api</span>(<span class="cm-string">'your token'</span>)</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 66px;"></div><div class="CodeMirror-gutters" style="height: 66px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h3><a name="main-data-api" class="md-header-anchor"></a><span>Main Data API</span></h3><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>3</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">pro</span>.<span class="cm-property">daily</span>() <span class="cm-comment"># 获取日K数据（未赋权）</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">pro</span>.<span class="cm-property">index_daily</span>() <span class="cm-comment"># 获取指数行情</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">pro</span>.<span class="cm-property">trade_cal</span>() <span class="cm-comment"># 获取交易日历</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 66px;"></div><div class="CodeMirror-gutters" style="height: 66px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h3><a name="package" class="md-header-anchor"></a><span>Package</span></h3><h4><a name="time-handle" class="md-header-anchor"></a><span>Time Handle</span></h4><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>1</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">datetime</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 22px;"></div><div class="CodeMirror-gutters" style="height: 22px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h4><a name="mysql-handle" class="md-header-anchor"></a><span>MySql Handle</span></h4><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>2</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">pymysql</span>.<span class="cm-property">cursors</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">sqlalchemy</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 44px;"></div><div class="CodeMirror-gutters" style="height: 44px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h4><a name="data-handle" class="md-header-anchor"></a><span>Data Handle</span></h4><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>5</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">numpy</span> <span class="cm-keyword">as</span> <span class="cm-variable">np</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">pandas</span> <span class="cm-keyword">as</span> <span class="cm-variable">pd</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">from</span> <span class="cm-variable">sklearn</span> <span class="cm-keyword">import</span> <span class="cm-variable">svm</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">pylab</span> <span class="cm-keyword">as</span> <span class="cm-operator">*</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">math</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 110px;"></div><div class="CodeMirror-gutters" style="height: 110px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h2><a name="设计过程" class="md-header-anchor"></a><span>设计过程</span></h2><h3><a name="数据采集预处理后建模" class="md-header-anchor"></a><span>数据采集预处理后建模</span></h3><ul><li><span>基于 </span><a href='https://tushare.pro/document/1?doc_id=131'><span>Tushare</span></a><span> 进行交易数据采集（</span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Init_StockALL_Sp.py'><span>股票</span></a><span>，</span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/stock_index_pro.py'><span>指数</span></a><span>）</span></li><li><span>简单 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/DC.py'><span>数据预处理</span></a><span>，生成训练集</span></li><li><span>利用 </span><a href='https://blog.csdn.net/b285795298/article/details/81977271'><span>SVM</span></a><span> 算法进行 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Model_Evaluate.py'><span>建模</span></a><span>，并 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/SVM.py'><span>预测涨跌</span></a><span> 情况，准备开发择时策略</span></li></ul><h3><a name="模型评估和仓位管理" class="md-header-anchor"></a><span>模型评估和仓位管理</span></h3><ul><li><span>测试区间内 </span><a href='#svm模型评价'><span>评估指标</span></a><span> 的 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Model_Evaluate.py'><span>计算</span></a><span>，包括：Precision，Recall，F1，Negative_Accuracy 等值</span></li><li><span>基于 </span><a href='https://mp.weixin.qq.com/s/neCSaWK0c4jzWwCfDVFA6A'><span>马科维茨理论</span></a><span> 的 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Portfolio.py'><span>仓位管理</span></a><span> 分配，取 </span><strong><span>次最小的特征值和特征向量</span></strong><span>（最佳收益方向）</span></li></ul><h3><a name="模拟交易测试及回测" class="md-header-anchor"></a><span>模拟交易测试及回测</span></h3><ul><li><span>模拟交易，包括：获取资金账户 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Deal.py'><span>数据</span></a><span>，执行买卖 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Operator.py'><span>操作</span></a><span>，更新持仓天数及买卖 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Filter.py'><span>逻辑</span></a><span>，更新资产表 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Cap_Update_daily.py'><span>数据</span></a><span> 等</span></li><li><span>策略框架下，进行 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/main_pro.py'><span>回测</span></a><span> 并计时（</span><a href='#回测'><span>回测过程</span></a><span>图示）</span></li><li><span>计算并返回量化策略 </span><a href='#输出评价'><span>评估指标</span></a><span>，Return，Withdrawal，Sharp，Risk，IR 及 Tracking Error 等</span></li><li><span>对于Return，Withdrawal 的 </span><a href='#returnwithdrawal的可视化'><span>可视化展示</span></a></li></ul><h2><a name="详细示例" class="md-header-anchor"></a><span>详细示例</span></h2><h3><a name="获取数据并存储" class="md-header-anchor"></a><span>获取数据并存储</span></h3><h4><a name="股票行情" class="md-header-anchor"></a><span>股票行情</span></h4><p><strong><span>数据获取</span></strong></p><p><span>默认获取从预设时间（我们定义为</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="4.645ex" height="1.994ex" viewBox="0 -755.9 2000 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E16-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path><path stroke-width="0" id="E16-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path><path stroke-width="0" id="E16-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E16-MJMAIN-32"></use><use xlink:href="#E16-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E16-MJMAIN-31" x="1000" y="0"></use><use xlink:href="#E16-MJMAIN-30" x="1500" y="0"></use></g></svg></span><script type="math/tex">2010</script><span>年第</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E61-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E61-MJMAIN-31" x="0" y="0"></use></g></svg></span><script type="math/tex">1</script><span>个交易日）到最邻近交易日，股票池所有交易日的行情数据</span></p><p><span>注意更改 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Init_StockALL_Sp.py'><span>Init_StockALL_Sp.py</span></a><span> 中的股票池</span></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>3</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 设定需要获取数据的股票池, 比如与云计算、软件板块相关的标的</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 中兴通讯, 远光软件, 中国长城, 东方财富, 用友网络, 中科曙光, 中国软件, 浪潮信息, 宝信软件</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">stock_pool</span> = [<span class="cm-string">'000063.SZ'</span>, <span class="cm-string">'002063.SZ'</span>, <span class="cm-string">'000066.SZ'</span>, <span class="cm-string">'300059.SZ'</span>, <span class="cm-string">'600588.SH'</span>, <span class="cm-string">'603019.SH'</span>, <span class="cm-string">'600536.SH'</span>, <span class="cm-string">'000977.SZ'</span>, <span class="cm-string">'600845.SH'</span>]</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 88px;"></div><div class="CodeMirror-gutters" style="height: 88px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><p><span>如果对于股票代码，所属板块，上市状态，上市日期等情况不甚了解，可以优先查询股票的 </span><a href='https://tushare.pro/document/2?doc_id=25'><span>基本信息</span></a></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>2</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 获取股票基本信息列表</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">data</span> = <span class="cm-variable">pro</span>.<span class="cm-property">stock_basic</span>()</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 44px;"></div><div class="CodeMirror-gutters" style="height: 44px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre> <p align="left"></p><p><span> </span><img src='./imag/Loading_Stock_Data.png' width=260 /></p><p><strong><span>存储至MySQL</span></strong></p><p><span>部分示例 </span><p align="left"></p><p><span> </span><img src='./imag/Stock_Pool_Data.png' width=700 /></p><p><strong><span>注意</span></strong></p><p><span>对于使用 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/main_pro.py'><span>main_pro.py</span></a><span> 正式回测时，我们选择的股票池必须是前述 </span><code>Init_StockALL_Sp.py</code><span> 中股票的子集，且为了后续构建资产组合中 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="3.691ex" height="2.461ex" viewBox="0 -755.9 1589 1059.4" role="img" focusable="false" style="vertical-align: -0.705ex;"><defs><path stroke-width="0" id="E12-MJMATHI-45" d="M492 213Q472 213 472 226Q472 230 477 250T482 285Q482 316 461 323T364 330H312Q311 328 277 192T243 52Q243 48 254 48T334 46Q428 46 458 48T518 61Q567 77 599 117T670 248Q680 270 683 272Q690 274 698 274Q718 274 718 261Q613 7 608 2Q605 0 322 0H133Q31 0 31 11Q31 13 34 25Q38 41 42 43T65 46Q92 46 125 49Q139 52 144 61Q146 66 215 342T285 622Q285 629 281 629Q273 632 228 634H197Q191 640 191 642T193 659Q197 676 203 680H757Q764 676 764 669Q764 664 751 557T737 447Q735 440 717 440H705Q698 445 698 453L701 476Q704 500 704 528Q704 558 697 578T678 609T643 625T596 632T532 634H485Q397 633 392 631Q388 629 386 622Q385 619 355 499T324 377Q347 376 372 376H398Q464 376 489 391T534 472Q538 488 540 490T557 493Q562 493 565 493T570 492T572 491T574 487T577 483L544 351Q511 218 508 216Q505 213 492 213Z"></path><path stroke-width="0" id="E12-MJMATHI-69" d="M184 600Q184 624 203 642T247 661Q265 661 277 649T290 619Q290 596 270 577T226 557Q211 557 198 567T184 600ZM21 287Q21 295 30 318T54 369T98 420T158 442Q197 442 223 419T250 357Q250 340 236 301T196 196T154 83Q149 61 149 51Q149 26 166 26Q175 26 185 29T208 43T235 78T260 137Q263 149 265 151T282 153Q302 153 302 143Q302 135 293 112T268 61T223 11T161 -11Q129 -11 102 10T74 74Q74 91 79 106T122 220Q160 321 166 341T173 380Q173 404 156 404H154Q124 404 99 371T61 287Q60 286 59 284T58 281T56 279T53 278T49 278T41 278H27Q21 284 21 287Z"></path><path stroke-width="0" id="E12-MJMATHI-67" d="M311 43Q296 30 267 15T206 0Q143 0 105 45T66 160Q66 265 143 353T314 442Q361 442 401 394L404 398Q406 401 409 404T418 412T431 419T447 422Q461 422 470 413T480 394Q480 379 423 152T363 -80Q345 -134 286 -169T151 -205Q10 -205 10 -137Q10 -111 28 -91T74 -71Q89 -71 102 -80T116 -111Q116 -121 114 -130T107 -144T99 -154T92 -162L90 -164H91Q101 -167 151 -167Q189 -167 211 -155Q234 -144 254 -122T282 -75Q288 -56 298 -13Q311 35 311 43ZM384 328L380 339Q377 350 375 354T369 368T359 382T346 393T328 402T306 405Q262 405 221 352Q191 313 171 233T151 117Q151 38 213 38Q269 38 323 108L331 118L384 328Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E12-MJMATHI-45" x="0" y="0"></use><use xlink:href="#E12-MJMATHI-69" x="764" y="0"></use><use xlink:href="#E12-MJMATHI-67" x="1109" y="0"></use></g></svg></span><script type="math/tex">Eig</script><span> 不至于过少，规定股票池的度不小于</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E57-MJMAIN-35" d="M164 157Q164 133 148 117T109 101H102Q148 22 224 22Q294 22 326 82Q345 115 345 210Q345 313 318 349Q292 382 260 382H254Q176 382 136 314Q132 307 129 306T114 304Q97 304 95 310Q93 314 93 485V614Q93 664 98 664Q100 666 102 666Q103 666 123 658T178 642T253 634Q324 634 389 662Q397 666 402 666Q410 666 410 648V635Q328 538 205 538Q174 538 149 544L139 546V374Q158 388 169 396T205 412T256 420Q337 420 393 355T449 201Q449 109 385 44T229 -22Q148 -22 99 32T50 154Q50 178 61 192T84 210T107 214Q132 214 148 197T164 157Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E57-MJMAIN-35" x="0" y="0"></use></g></svg></span><script type="math/tex">5</script></p><p><span>由于我们在分析不同问题时，从 </span><code>Init_StockALL_Sp.py</code><span> 中获取标的的数量较为庞大（比如超过 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="4.645ex" height="1.994ex" viewBox="0 -755.9 2000 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E14-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path><path stroke-width="0" id="E14-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E14-MJMAIN-31"></use><use xlink:href="#E14-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E14-MJMAIN-30" x="1000" y="0"></use><use xlink:href="#E14-MJMAIN-30" x="1500" y="0"></use></g></svg></span><script type="math/tex">1000</script><span> 只股票），但在回测中标的股票数不可能过于庞大（算力限制，一段时间内主成分也不会过多），比如我们在 </span><code>main_pro.py</code><span> 中的股票池标的数就选为最小的 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E57-MJMAIN-35" d="M164 157Q164 133 148 117T109 101H102Q148 22 224 22Q294 22 326 82Q345 115 345 210Q345 313 318 349Q292 382 260 382H254Q176 382 136 314Q132 307 129 306T114 304Q97 304 95 310Q93 314 93 485V614Q93 664 98 664Q100 666 102 666Q103 666 123 658T178 642T253 634Q324 634 389 662Q397 666 402 666Q410 666 410 648V635Q328 538 205 538Q174 538 149 544L139 546V374Q158 388 169 396T205 412T256 420Q337 420 393 355T449 201Q449 109 385 44T229 -22Q148 -22 99 32T50 154Q50 178 61 192T84 210T107 214Q132 214 148 197T164 157Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E57-MJMAIN-35" x="0" y="0"></use></g></svg></span><script type="math/tex">5</script><span>，在 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlT_to_csv/stock_info.csv'><span>stock_info</span></a><span> 表中会优先精简上述的 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/sqlT_to_csv/stock_all.csv'><span>stock_all</span></a><span> 表，既相当于从自己获取的数据库中，抓取回测所需股票池中的标的行情数据，这样会在一定程度上提高查询速度，示例不再赘述</span></p><h4><a name="指数行情" class="md-header-anchor"></a><span>指数行情</span></h4><p><strong><span>数据获取</span></strong></p><p><span>默认获取从预设时间（我们定义为 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="4.645ex" height="1.994ex" viewBox="0 -755.9 2000 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E16-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path><path stroke-width="0" id="E16-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path><path stroke-width="0" id="E16-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E16-MJMAIN-32"></use><use xlink:href="#E16-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E16-MJMAIN-31" x="1000" y="0"></use><use xlink:href="#E16-MJMAIN-30" x="1500" y="0"></use></g></svg></span><script type="math/tex">2010</script><span> 年第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E61-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E61-MJMAIN-31" x="0" y="0"></use></g></svg></span><script type="math/tex">1</script><span> 个交易日）到最邻近交易日，参考指数所有交易日的行情数据</span></p><p><span>注意更改 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/stock_index_pro.py'><span>stock_index_pro.py</span></a><span> 中的基准指数</span></p><figure><table><thead><tr><th><span>指数名称</span></th><th><span>赋予简称</span></th><th><span>交易所/Tushare编码</span></th></tr></thead><tbody><tr><td><span>上证指数</span></td><td><span>SH</span></td><td><span>000001.SH</span></td></tr><tr><td><span>深圳成指</span></td><td><span>SZ</span></td><td><span>399001.SZ</span></td></tr><tr><td><span>上证50</span></td><td><span>SH50</span></td><td><span>000016.SH</span></td></tr><tr><td><span>沪深300</span></td><td><span>HS300</span></td><td><span>000300.SH or 399300.SZ</span></td></tr><tr><td><span>中证500</span></td><td><span>ZZ500</span></td><td><span>000905.SH or 399905.SZ</span></td></tr><tr><td><span>中小板指</span></td><td><span>ZX</span></td><td><span>399005.SZ</span></td></tr><tr><td><span>创业板</span></td><td><span>CY</span></td><td><span>399006.SZ</span></td></tr></tbody></table></figure><p><span>因为股票池中后续进行回测的股票两市均有，且市值相对较重，所以选择沪深 300 指数较为合理</span></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>3</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">df</span> = <span class="cm-variable">pro</span>.<span class="cm-property">index_daily</span>(<span class="cm-variable">ts_code</span>=<span class="cm-string">'000300.SH'</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 统一指数标注并删除原复杂指数代码标注</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">df</span>[<span class="cm-string">'stock_code'</span>] = <span class="cm-string">'HS300'</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 66px;"></div><div class="CodeMirror-gutters" style="height: 66px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><p><span> </span><img src='./imag/Loading_Index_Data.png' width=260 /></p><p><strong><span>存储至MySQL</span></strong></p><p><span>部分示例 </span><p align="left"></p><p><span> </span><img src='./imag/Stock_Index.png' width=555 /></p><h3><a name="利用svm建模" class="md-header-anchor"></a><span>利用SVM建模</span></h3><h4><a name="单个svm结果" class="md-header-anchor"></a><span>单个SVM结果</span></h4><p><span>从获取数据的特征，基于 SVM 做分类问题，来对于涨跌判断进行建模</span></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 44px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 36px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><span><span></span>x</span></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -36px; width: 36px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">from</span> <span class="cm-variable">sklearn</span> <span class="cm-keyword">import</span> <span class="cm-variable">svm</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">import</span> <span class="cm-variable">DC</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># DC是将原始行情数据划分成SVM训练的各项数据集的预处理类</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span cm-text=""></span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">dc</span> = <span class="cm-variable">DC</span>.<span class="cm-property">data_collect</span>(<span class="cm-variable">stock</span>, <span class="cm-variable">start_date</span>, <span class="cm-variable">end_date</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">6</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">train</span> = <span class="cm-variable">dc</span>.<span class="cm-property">data_train</span> <span class="cm-comment"># 训练集</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">7</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">target</span> = <span class="cm-variable">dc</span>.<span class="cm-property">data_target</span> <span class="cm-comment"># 目标集</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">8</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">test_case</span> = [<span class="cm-variable">dc</span>.<span class="cm-property">test_case</span>] <span class="cm-comment"># 测试集</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">9</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">model</span> = <span class="cm-variable">svm</span>.<span class="cm-property">SVC</span>() <span class="cm-comment"># 建模</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">10</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">model</span>.<span class="cm-property">fit</span>(<span class="cm-variable">train</span>, <span class="cm-variable">target</span>) <span class="cm-comment"># 训练</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">11</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">ans2</span> = <span class="cm-variable">model</span>.<span class="cm-property">predict</span>(<span class="cm-variable">test_case</span>) <span class="cm-comment"># 预测</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 242px;"></div><div class="CodeMirror-gutters" style="height: 242px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 35px;"></div></div></div></div></pre><p><strong><span>运行结果</span></strong><span> </span><p align="left"></p><p><span> </span><img src='imag/SVM_ans.png' width=260></p><h4><a name="svm模型评价" class="md-header-anchor"></a><span>SVM模型评价</span></h4><p><span>有了单个 SVM 结果后，就可以通过遍历股票池中的标的，并对比 SVM 训练时，测试区间中的真实情况给予评价</span></p><p><span>机器学习常用评价指标公式如下</span></p><div contenteditable="false" spellcheck="false" class="mathjax-block md-end-block md-math-block md-rawblock" id="mathjax-n162" cid="n162" mdtype="math_block">
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matrix(1 0 0 -1 0 0)">上</text></g><g transform="translate(7896,0)"><text font-family="STIXGeneral,'Arial Unicode MS',serif" stroke="none" transform="scale(50.259) matrix(1 0 0 -1 0 0)">涨</text></g><g transform="translate(8622,0)"><text font-family="STIXGeneral,'Arial Unicode MS',serif" stroke="none" transform="scale(50.259) matrix(1 0 0 -1 0 0)">但</text></g><g transform="translate(9349,0)"><text font-family="STIXGeneral,'Arial Unicode MS',serif" stroke="none" transform="scale(50.259) matrix(1 0 0 -1 0 0)">实</text></g><g transform="translate(10075,0)"><text font-family="STIXGeneral,'Arial Unicode MS',serif" stroke="none" transform="scale(50.259) matrix(1 0 0 -1 0 0)">际</text></g><g transform="translate(10802,0)"><text font-family="STIXGeneral,'Arial Unicode MS',serif" stroke="none" transform="scale(50.259) matrix(1 0 0 -1 0 0)">上</text></g><g transform="translate(11528,0)"><text font-family="STIXGeneral,'Arial Unicode MS',serif" stroke="none" transform="scale(50.259) matrix(1 0 0 -1 0 0)">涨</text></g><use xlink:href="#E66-MJMAIN-29" x="12254" y="0"></use></g></g></g></g></g></g></g></svg></span></div><script type="math/tex; mode=display" id="MathJax-Element-1">\begin{aligned}
Acc (Precision) &= \frac{Tp(预测上涨且正确)}{Tp+Fp(预测上涨实际不上涨)} \\
Acc(Recall) &= \frac{Tp}{Tp+Fn(预测不上涨但实际上涨)} \\
F1 &=\begin{cases}
\begin{array}{cc}
0, & Precision*Recall=0 \\
\frac{2*Precision*Recall}{Precision + Recall}, & else
\end{array}
\end{cases} \\
ACC\_Neg &=\frac{Tn(预测为不上涨且正确)}{Tn+Fn(预测为不上涨但实际上涨)}
\end{aligned}</script></div></div><p><span>部分效果如下 </span><p align="left"></p><p><span> </span><img src='imag/Model_Evaluate.png' width=650></p><p><span>再遍历所有回测区间内的交易日，来给出全部的预测情况及评价指标</span></p><p><span> </span><img src='imag/SVM_Model_Evaluate.png' height=400 align=left/></p><p><span>这里需要注意，在一些其他应用场景（比如医疗，身份识别）中，需要 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.901ex" height="1.877ex" viewBox="0 -755.9 1249 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E20-MJMATHI-46" d="M48 1Q31 1 31 11Q31 13 34 25Q38 41 42 43T65 46Q92 46 125 49Q139 52 144 61Q146 66 215 342T285 622Q285 629 281 629Q273 632 228 634H197Q191 640 191 642T193 659Q197 676 203 680H742Q749 676 749 669Q749 664 736 557T722 447Q720 440 702 440H690Q683 445 683 453Q683 454 686 477T689 530Q689 560 682 579T663 610T626 626T575 633T503 634H480Q398 633 393 631Q388 629 386 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style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E61-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E61-MJMAIN-31" x="0" y="0"></use></g></svg></span><script type="math/tex">1</script><span>，否则模型毫无意义</span></p><p><span>并且在其他条件一定时，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.901ex" height="1.877ex" viewBox="0 -755.9 1249 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E20-MJMATHI-46" d="M48 1Q31 1 31 11Q31 13 34 25Q38 41 42 43T65 46Q92 46 125 49Q139 52 144 61Q146 66 215 342T285 622Q285 629 281 629Q273 632 228 634H197Q191 640 191 642T193 659Q197 676 203 680H742Q749 676 749 669Q749 664 736 557T722 447Q720 440 702 440H690Q683 445 683 453Q683 454 686 477T689 530Q689 560 682 579T663 610T626 626T575 633T503 634H480Q398 633 393 631Q388 629 386 623Q385 622 352 492L320 363H375Q378 363 398 363T426 364T448 367T472 374T489 386Q502 398 511 419T524 457T529 475Q532 480 548 480H560Q567 475 567 470Q567 467 536 339T502 207Q500 200 482 200H470Q463 206 463 212Q463 215 468 234T473 274Q473 303 453 310T364 317H309L277 190Q245 66 245 60Q245 46 334 46H359Q365 40 365 39T363 19Q359 6 353 0H336Q295 2 185 2Q120 2 86 2T48 1Z"></path><path stroke-width="0" id="E20-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E20-MJMATHI-46" x="0" y="0"></use><use xlink:href="#E20-MJMAIN-31" x="749" y="0"></use></g></svg></span><script type="math/tex">F1</script><span> 增大肯定不是坏事</span></p><p><span>但在投资领域，胜率并不能完全反应到收益，比如 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="4.257ex" height="2.227ex" viewBox="0 -806.1 1833 958.9" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E21-MJMAIN-39" d="M352 287Q304 211 232 211Q154 211 104 270T44 396Q42 412 42 436V444Q42 537 111 606Q171 666 243 666Q245 666 249 666T257 665H261Q273 665 286 663T323 651T370 619T413 560Q456 472 456 334Q456 194 396 97Q361 41 312 10T208 -22Q147 -22 108 7T68 93T121 149Q143 149 158 135T173 96Q173 78 164 65T148 49T135 44L131 43Q131 41 138 37T164 27T206 22H212Q272 22 313 86Q352 142 352 280V287ZM244 248Q292 248 321 297T351 430Q351 508 343 542Q341 552 337 562T323 588T293 615T246 625Q208 625 181 598Q160 576 154 546T147 441Q147 358 152 329T172 282Q197 248 244 248Z"></path><path stroke-width="0" id="E21-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path><path stroke-width="0" id="E21-MJMAIN-25" d="M465 605Q428 605 394 614T340 632T319 641Q332 608 332 548Q332 458 293 403T202 347Q145 347 101 402T56 548Q56 637 101 693T202 750Q241 750 272 719Q359 642 464 642Q580 642 650 732Q662 748 668 749Q670 750 673 750Q682 750 688 743T693 726Q178 -47 170 -52Q166 -56 160 -56Q147 -56 142 -45Q137 -36 142 -27Q143 -24 363 304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E21-MJMAIN-39"></use><use xlink:href="#E21-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E21-MJMAIN-25" x="1000" y="0"></use></g></svg></span><script type="math/tex">90\%</script><span> 的胜率也存在每次都赚了小钱，但在错误预判时却造成巨额亏损的情况，相反低胜率也存在每次收益较大而使得总收益期望大于 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E23-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E23-MJMAIN-30" x="0" y="0"></use></g></svg></span><script type="math/tex">0</script><span> 的情形</span></p><h3><a name="仓位管理" class="md-header-anchor"></a><span>仓位管理</span></h3><p><span>当然对于每一小段时间，我们还是需要从指标层面选择较强的标的来构建投资组合，这样在相同的收益率下，我们将承担更小的风险</span></p><p><span>区分于其他市场（美股等），A 股市场没有有效的认沽机制，或者说做空条件过于严苛和高贵，所以我们不能将特征向量中的负值在策略中成为空头开仓，而是必须将其舍去（重置为 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E23-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E23-MJMAIN-30" x="0" y="0"></use></g></svg></span><script type="math/tex">0</script><span>），并将特征向量中的正值线性归一化（理论上这一步会极大地降低收益），由于我们需要挖掘期望收益为正的策略，归一化可以增加我们的资金使用效率</span></p><p><strong><span>现代投资组合理论的主要实现如下</span></strong></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python" style="break-inside: unset;"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 44px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 36px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>20</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -36px; width: 36px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 求协方差矩阵</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">cov</span> = <span class="cm-variable">np</span>.<span class="cm-property">cov</span>(<span class="cm-variable">np</span>.<span class="cm-property">array</span>(<span class="cm-variable">list_return</span>).<span class="cm-property">T</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 求特征值和其对应的特征向量</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">ans</span> = <span class="cm-variable">np</span>.<span class="cm-property">linalg</span>.<span class="cm-property">eig</span>(<span class="cm-variable">cov</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-comment"># 排序，特征向量中负数置0，非负数线性归一</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">6</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">ans_index</span> = <span class="cm-variable">copy</span>.<span class="cm-property">copy</span>(<span class="cm-variable">ans</span>[<span class="cm-number">0</span>])</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">7</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">ans_index</span>.<span class="cm-property">sort</span>()</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">8</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">resu</span> = []</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">9</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">for</span> <span class="cm-variable">k</span> <span class="cm-keyword">in</span> <span class="cm-builtin">range</span>(<span class="cm-builtin">len</span>(<span class="cm-variable">ans_index</span>)):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">10</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">con_temp</span> = []</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">11</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">con_temp</span>.<span class="cm-property">append</span>(<span class="cm-variable">ans_index</span>[<span class="cm-variable">k</span>])</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">12</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">content_temp1</span> = <span class="cm-variable">ans</span>[<span class="cm-number">1</span>][<span class="cm-variable">np</span>.<span class="cm-property">argwhere</span>(<span class="cm-variable">ans</span>[<span class="cm-number">0</span>] == <span class="cm-variable">ans_index</span>[<span class="cm-variable">k</span>])[<span class="cm-number">0</span>][<span class="cm-number">0</span>]]</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">13</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">content_temp2</span> = []</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">14</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">content_sum</span> = <span class="cm-variable">np</span>.<span class="cm-property">array</span>([<span class="cm-variable">x</span> <span class="cm-keyword">for</span> <span class="cm-variable">x</span> <span class="cm-keyword">in</span> <span class="cm-variable">content_temp1</span> <span class="cm-keyword">if</span> <span class="cm-variable">x</span> <span class="cm-operator">></span>= <span class="cm-number">0.00</span>]).<span class="cm-property">sum</span>()</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">15</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">for</span> <span class="cm-variable">m</span> <span class="cm-keyword">in</span> <span class="cm-builtin">range</span>(<span class="cm-builtin">len</span>(<span class="cm-variable">content_temp1</span>)):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">16</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">if</span> <span class="cm-variable">content_temp1</span>[<span class="cm-variable">m</span>] <span class="cm-operator">></span>= <span class="cm-number">0</span> <span class="cm-keyword">and</span> <span class="cm-variable">content_sum</span> <span class="cm-operator">></span> <span class="cm-number">0</span>:</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">17</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">content_temp2</span>.<span class="cm-property">append</span>(<span class="cm-variable">content_temp1</span>[<span class="cm-variable">m</span>] <span class="cm-operator">/</span> <span class="cm-variable">content_sum</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">18</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">else</span>:</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">19</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">content_temp2</span>.<span class="cm-property">append</span>(<span class="cm-number">0.00</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">20</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">con_temp</span>.<span class="cm-property">append</span>(<span class="cm-variable">content_temp2</span>)</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 440px;"></div><div class="CodeMirror-gutters" style="height: 440px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 35px;"></div></div></div></div></pre><p><span>对于某一交易日的仓位管理，可以将较长一段时间（回测时选取了 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="4.645ex" height="1.994ex" viewBox="0 -755.9 2000 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E24-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path><path stroke-width="0" id="E24-MJMAIN-30" d="M96 585Q152 666 249 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22H212Q272 22 313 86Q352 142 352 280V287ZM244 248Q292 248 321 297T351 430Q351 508 343 542Q341 552 337 562T323 588T293 615T246 625Q208 625 181 598Q160 576 154 546T147 441Q147 358 152 329T172 282Q197 248 244 248Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E24-MJMAIN-32"></use><use xlink:href="#E24-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E24-MJMAIN-31" x="1000" y="0"></use><use xlink:href="#E24-MJMAIN-39" x="1500" y="0"></use></g></svg></span><script type="math/tex">2019</script><span>，所以记得在第一步尽量剔除次新股）的 return list 传入上述代码来得到</span></p><p><span>在 </span><a href='https://github.com/FDUJiaG/QT_Test/blob/master/codes/Portfolio.py'><span>Portfolio.py</span></a><span> 中，可以返回最小和次小两套特征值和特征向量，分别对应在投资可行域中最小风险组合，以及最佳收益组合（风险稍稍提高，收益明显提高），如下图所示</span></p><p><span> </span><img src='imag/Portfolio.png' height=450 /></p><p><span>在正式的回测中，我们选取最佳收益组合来作为投资的仓位管理依据</span></p><h3><a name="回测" class="md-header-anchor"></a><span>回测</span></h3><h4><a name="回测准备" class="md-header-anchor"></a><span>回测准备</span></h4><ul><li><p><span>回测区间，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="33.551ex" height="2.11ex" viewBox="0 -755.9 14445.3 908.7" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E25-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path><path stroke-width="0" id="E25-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path><path stroke-width="0" id="E25-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path><path stroke-width="0" id="E25-MJMAIN-39" d="M352 287Q304 211 232 211Q154 211 104 270T44 396Q42 412 42 436V444Q42 537 111 606Q171 666 243 666Q245 666 249 666T257 665H261Q273 665 286 663T323 651T370 619T413 560Q456 472 456 334Q456 194 396 97Q361 41 312 10T208 -22Q147 -22 108 7T68 93T121 149Q143 149 158 135T173 96Q173 78 164 65T148 49T135 44L131 43Q131 41 138 37T164 27T206 22H212Q272 22 313 86Q352 142 352 280V287ZM244 248Q292 248 321 297T351 430Q351 508 343 542Q341 552 337 562T323 588T293 615T246 625Q208 625 181 598Q160 576 154 546T147 441Q147 358 152 329T172 282Q197 248 244 248Z"></path><path stroke-width="0" id="E25-MJMAIN-2212" d="M84 237T84 250T98 270H679Q694 262 694 250T679 230H98Q84 237 84 250Z"></path><path stroke-width="0" id="E25-MJMAIN-37" d="M55 458Q56 460 72 567L88 674Q88 676 108 676H128V672Q128 662 143 655T195 646T364 644H485V605L417 512Q408 500 387 472T360 435T339 403T319 367T305 330T292 284T284 230T278 162T275 80Q275 66 275 52T274 28V19Q270 2 255 -10T221 -22Q210 -22 200 -19T179 0T168 40Q168 198 265 368Q285 400 349 489L395 552H302Q128 552 119 546Q113 543 108 522T98 479L95 458V455H55V458Z"></path><path stroke-width="0" id="E25-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 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x="500" y="0"></use><use xlink:href="#E25-MJMAIN-31" x="1000" y="0"></use><use xlink:href="#E25-MJMAIN-39" x="1500" y="0"></use><use xlink:href="#E25-MJMAIN-2212" x="2222" y="0"></use><g transform="translate(3222,0)"><use xlink:href="#E25-MJMAIN-30"></use><use xlink:href="#E25-MJMAIN-37" x="500" y="0"></use></g><use xlink:href="#E25-MJMAIN-2212" x="4444" y="0"></use><g transform="translate(5444,0)"><use xlink:href="#E25-MJMAIN-32"></use><use xlink:href="#E25-MJMAIN-34" x="500" y="0"></use></g><use xlink:href="#E25-MJMAIN-2192" x="6722" y="0"></use><g transform="translate(8000,0)"><use xlink:href="#E25-MJMAIN-32"></use><use xlink:href="#E25-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E25-MJMAIN-31" x="1000" y="0"></use><use xlink:href="#E25-MJMAIN-39" x="1500" y="0"></use></g><use xlink:href="#E25-MJMAIN-2212" x="10222" y="0"></use><g transform="translate(11222,0)"><use xlink:href="#E25-MJMAIN-30"></use><use xlink:href="#E25-MJMAIN-38" x="500" y="0"></use></g><use xlink:href="#E25-MJMAIN-2212" x="12445" y="0"></use><g transform="translate(13445,0)"><use xlink:href="#E25-MJMAIN-32"></use><use xlink:href="#E25-MJMAIN-33" x="500" y="0"></use></g></g></svg></span><script type="math/tex">2019-07-24 → 2019-08-23</script><span> (对于日 K 策略，回测区间小于一个月意义不大）</span></p></li><li><p><span>股票池为，中国软件，中兴通讯，浪潮信息，用友网络，宝信软件</span></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>1</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">stock_pool</span> = [<span class="cm-string">'600536.SH'</span>, <span class="cm-string">'000063.SZ'</span>, <span class="cm-string">'000977.SZ'</span>, <span class="cm-string">'600588.SH'</span>, <span class="cm-string">'600845.SH'</span>]</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 22px;"></div><div class="CodeMirror-gutters" style="height: 22px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre></li><li><p><span>无风险利率，设为一年期银行存款，年化 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="4.903ex" height="2.227ex" viewBox="0 -806.1 2111 958.9" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E26-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path><path stroke-width="0" id="E26-MJMAIN-2E" d="M78 60Q78 84 95 102T138 120Q162 120 180 104T199 61Q199 36 182 18T139 0T96 17T78 60Z"></path><path stroke-width="0" id="E26-MJMAIN-35" d="M164 157Q164 133 148 117T109 101H102Q148 22 224 22Q294 22 326 82Q345 115 345 210Q345 313 318 349Q292 382 260 382H254Q176 382 136 314Q132 307 129 306T114 304Q97 304 95 310Q93 314 93 485V614Q93 664 98 664Q100 666 102 666Q103 666 123 658T178 642T253 634Q324 634 389 662Q397 666 402 666Q410 666 410 648V635Q328 538 205 538Q174 538 149 544L139 546V374Q158 388 169 396T205 412T256 420Q337 420 393 355T449 201Q449 109 385 44T229 -22Q148 -22 99 32T50 154Q50 178 61 192T84 210T107 214Q132 214 148 197T164 157Z"></path><path stroke-width="0" id="E26-MJMAIN-25" d="M465 605Q428 605 394 614T340 632T319 641Q332 608 332 548Q332 458 293 403T202 347Q145 347 101 402T56 548Q56 637 101 693T202 750Q241 750 272 719Q359 642 464 642Q580 642 650 732Q662 748 668 749Q670 750 673 750Q682 750 688 743T693 726Q178 -47 170 -52Q166 -56 160 -56Q147 -56 142 -45Q137 -36 142 -27Q143 -24 363 304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E26-MJMAIN-31"></use><use xlink:href="#E26-MJMAIN-2E" x="500" y="0"></use><use xlink:href="#E26-MJMAIN-35" x="778" y="0"></use><use xlink:href="#E26-MJMAIN-25" x="1278" y="0"></use></g></svg></span><script type="math/tex">1.5\%</script></p></li><li><p><span>货币资金收益率，预设为年化 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="4.903ex" height="2.227ex" viewBox="0 -806.1 2111 958.9" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E27-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path><path stroke-width="0" id="E27-MJMAIN-2E" d="M78 60Q78 84 95 102T138 120Q162 120 180 104T199 61Q199 36 182 18T139 0T96 17T78 60Z"></path><path stroke-width="0" id="E27-MJMAIN-35" d="M164 157Q164 133 148 117T109 101H102Q148 22 224 22Q294 22 326 82Q345 115 345 210Q345 313 318 349Q292 382 260 382H254Q176 382 136 314Q132 307 129 306T114 304Q97 304 95 310Q93 314 93 485V614Q93 664 98 664Q100 666 102 666Q103 666 123 658T178 642T253 634Q324 634 389 662Q397 666 402 666Q410 666 410 648V635Q328 538 205 538Q174 538 149 544L139 546V374Q158 388 169 396T205 412T256 420Q337 420 393 355T449 201Q449 109 385 44T229 -22Q148 -22 99 32T50 154Q50 178 61 192T84 210T107 214Q132 214 148 197T164 157Z"></path><path stroke-width="0" id="E27-MJMAIN-25" d="M465 605Q428 605 394 614T340 632T319 641Q332 608 332 548Q332 458 293 403T202 347Q145 347 101 402T56 548Q56 637 101 693T202 750Q241 750 272 719Q359 642 464 642Q580 642 650 732Q662 748 668 749Q670 750 673 750Q682 750 688 743T693 726Q178 -47 170 -52Q166 -56 160 -56Q147 -56 142 -45Q137 -36 142 -27Q143 -24 363 304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E27-MJMAIN-32"></use><use xlink:href="#E27-MJMAIN-2E" x="500" y="0"></use><use xlink:href="#E27-MJMAIN-35" x="778" y="0"></use><use xlink:href="#E27-MJMAIN-25" x="1278" y="0"></use></g></svg></span><script type="math/tex">2.5\%</script></p></li><li><p><span>其他参数，如前所述，或采取默认值</span></p></li><li><p><span>回测时我们根据收盘价进行交易（假设在资金量不大时一定可以成交到模型中计划的数量）</span></p></li></ul><h4><a name="回测过程" class="md-header-anchor"></a><span>回测过程</span></h4><p><span>在已有的训练、建模、预测后，我们进行模拟交易，投资组合变换的频率默认为 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E57-MJMAIN-35" d="M164 157Q164 133 148 117T109 101H102Q148 22 224 22Q294 22 326 82Q345 115 345 210Q345 313 318 349Q292 382 260 382H254Q176 382 136 314Q132 307 129 306T114 304Q97 304 95 310Q93 314 93 485V614Q93 664 98 664Q100 666 102 666Q103 666 123 658T178 642T253 634Q324 634 389 662Q397 666 402 666Q410 666 410 648V635Q328 538 205 538Q174 538 149 544L139 546V374Q158 388 169 396T205 412T256 420Q337 420 393 355T449 201Q449 109 385 44T229 -22Q148 -22 99 32T50 154Q50 178 61 192T84 210T107 214Q132 214 148 197T164 157Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E57-MJMAIN-35" x="0" y="0"></use></g></svg></span><script type="math/tex">5</script><span> 个交易日</span></p><p><span>根据回测区间第一个交易日的行情，进行一次 </span><strong><span>投资组合建仓</span></strong><span>（手续费 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="13.443ex" height="2.694ex" viewBox="0 -806.1 5788.1 1160" role="img" focusable="false" style="vertical-align: -0.822ex;"><defs><path stroke-width="0" id="E29-MJMATHI-72" d="M21 287Q22 290 23 295T28 317T38 348T53 381T73 411T99 433T132 442Q161 442 183 430T214 408T225 388Q227 382 228 382T236 389Q284 441 347 441H350Q398 441 422 400Q430 381 430 363Q430 333 417 315T391 292T366 288Q346 288 334 299T322 328Q322 376 378 392Q356 405 342 405Q286 405 239 331Q229 315 224 298T190 165Q156 25 151 16Q138 -11 108 -11Q95 -11 87 -5T76 7T74 17Q74 30 114 189T154 366Q154 405 128 405Q107 405 92 377T68 316T57 280Q55 278 41 278H27Q21 284 21 287Z"></path><path stroke-width="0" id="E29-MJMATHI-42" d="M231 637Q204 637 199 638T194 649Q194 676 205 682Q206 683 335 683Q594 683 608 681Q671 671 713 636T756 544Q756 480 698 429T565 360L555 357Q619 348 660 311T702 219Q702 146 630 78T453 1Q446 0 242 0Q42 0 39 2Q35 5 35 10Q35 17 37 24Q42 43 47 45Q51 46 62 46H68Q95 46 128 49Q142 52 147 61Q150 65 219 339T288 628Q288 635 231 637ZM649 544Q649 574 634 600T585 634Q578 636 493 637Q473 637 451 637T416 636H403Q388 635 384 626Q382 622 352 506Q352 503 351 500L320 374H401Q482 374 494 376Q554 386 601 434T649 544ZM595 229Q595 273 572 302T512 336Q506 337 429 337Q311 337 310 336Q310 334 293 263T258 122L240 52Q240 48 252 48T333 46Q422 46 429 47Q491 54 543 105T595 229Z"></path><path stroke-width="0" id="E29-MJMATHI-75" d="M21 287Q21 295 30 318T55 370T99 420T158 442Q204 442 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304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E29-MJMATHI-72" x="0" y="0"></use><g transform="translate(451,-150)"><use transform="scale(0.707)" xlink:href="#E29-MJMATHI-42" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E29-MJMATHI-75" x="759" y="0"></use><use transform="scale(0.707)" xlink:href="#E29-MJMATHI-79" x="1330" y="0"></use></g><use xlink:href="#E29-MJMAIN-3D" x="2121" y="0"></use><g transform="translate(3177,0)"><use xlink:href="#E29-MJMAIN-30"></use><use xlink:href="#E29-MJMAIN-2E" x="500" y="0"></use><use xlink:href="#E29-MJMAIN-30" x="778" y="0"></use><use xlink:href="#E29-MJMAIN-35" x="1278" y="0"></use></g><use xlink:href="#E29-MJMAIN-25" x="4955" y="0"></use></g></svg></span><script type="math/tex">r_{Buy}=0.05\%</script><span>）</span></p><p><span>由于最小的交易单位是 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="3.484ex" height="1.994ex" viewBox="0 -755.9 1500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E31-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path><path stroke-width="0" id="E31-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E31-MJMAIN-31"></use><use xlink:href="#E31-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E31-MJMAIN-30" x="1000" y="0"></use></g></svg></span><script type="math/tex">100</script><span> 股，我们会向下取 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="3.484ex" height="1.994ex" viewBox="0 -755.9 1500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E31-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path><path stroke-width="0" id="E31-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E31-MJMAIN-31"></use><use xlink:href="#E31-MJMAIN-30" x="500" y="0"></use><use xlink:href="#E31-MJMAIN-30" x="1000" y="0"></use></g></svg></span><script type="math/tex">100</script><span> 的倍数为第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="0.801ex" height="1.994ex" viewBox="0 -755.9 345 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E43-MJMATHI-69" d="M184 600Q184 624 203 642T247 661Q265 661 277 649T290 619Q290 596 270 577T226 557Q211 557 198 567T184 600ZM21 287Q21 295 30 318T54 369T98 420T158 442Q197 442 223 419T250 357Q250 340 236 301T196 196T154 83Q149 61 149 51Q149 26 166 26Q175 26 185 29T208 43T235 78T260 137Q263 149 265 151T282 153Q302 153 302 143Q302 135 293 112T268 61T223 11T161 -11Q129 -11 102 10T74 74Q74 91 79 106T122 220Q160 321 166 341T173 380Q173 404 156 404H154Q124 404 99 371T61 287Q60 286 59 284T58 281T56 279T53 278T49 278T41 278H27Q21 284 21 287Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E43-MJMATHI-69" x="0" y="0"></use></g></svg></span><script type="math/tex">i</script><span> 支标的持仓股数 </span><span 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Capital(Date) =&\ Capital(Date-1) \\
&- r_{Buy}\cdot\sum\limits_{i=1}^NClose\_Buy(Stock_i,Date)\cdot Position(Stock_i) \\
Money\_Lock(Date) =&\ Money\_Lock(Date-1) \\
&+ \sum\limits_{i=1}^NClose\_{Buy}(Stock_i,Date)\cdot Position(Stock_i) \\
Money\_Rest(Date) =&\ Money\_Rest(Date-1) \\
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class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>3</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation"><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_capital</span> = <span class="cm-variable">deal_buy</span>.<span class="cm-property">cur_capital</span> <span class="cm-operator">-</span> <span class="cm-variable">vol</span> <span class="cm-operator">*</span> <span class="cm-variable">buy_price</span> <span class="cm-operator">*</span> <span class="cm-number">0.0005</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_money_lock</span> = <span class="cm-variable">deal_buy</span>.<span class="cm-property">cur_money_lock</span> <span class="cm-operator">+</span> <span class="cm-variable">vol</span> <span class="cm-operator">*</span> <span class="cm-variable">buy_price</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_money_rest</span> = <span class="cm-variable">deal_buy</span>.<span class="cm-property">cur_money_rest</span> <span class="cm-operator">-</span> <span class="cm-variable">vol</span> <span class="cm-operator">*</span> <span class="cm-variable">buy_price</span> <span class="cm-operator">*</span> <span class="cm-number">1.0005</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 66px;"></div><div class="CodeMirror-gutters" style="height: 66px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><p><span>随后制定平仓（</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; 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Money\_Lock(Date) =&\ Money\_Lock(Date-1) \\
&-\sum\limits_{i=1}^NClose\_Sell(Stock_i,Date)\cdot Position(Stock_i) \\
Money\_Rest(Date) =&\ Money\_Rest(Date-1) \\
&+(1-r_{Sell})\cdot\sum\limits_{i=1}^NClose\_{Sell}(Stock_i,Date)\cdot Position(Stock_i) \\
Profit(Date) =&\ \sum\limits_{i=1}^N\{(1-r_{Sell})\cdot Close\_Sell(Stock_i,Date) \\
&-(1-r_{Buy})\cdot Close\_{Buy}(Stock_i,Date)\}\cdot Position(Stock_i) \\
Capital(Date) &=Money\_Lock(Date)+Money\_Rest(Date)
\end{aligned}</script></div></div><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>5</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_money_lock</span> = <span class="cm-variable">deal</span>.<span class="cm-property">cur_money_lock</span> <span class="cm-operator">-</span> <span class="cm-variable">sell_price</span> <span class="cm-operator">*</span> <span class="cm-variable">hold_vol</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_money_rest</span> = <span class="cm-variable">deal</span>.<span class="cm-property">cur_money_rest</span> <span class="cm-operator">+</span> <span class="cm-variable">sell_price</span> <span class="cm-operator">*</span> <span class="cm-variable">hold_vol</span> <span class="cm-operator">*</span> <span class="cm-number">0.9984</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_capital</span> = <span class="cm-variable">new_money_lock</span> <span class="cm-operator">+</span> <span class="cm-variable">new_money_rest</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_profit</span> = (<span class="cm-variable">sell_price</span> <span class="cm-operator">*</span> <span class="cm-number">0.9984</span> <span class="cm-operator">-</span> <span class="cm-variable">init_price</span> <span class="cm-operator">*</span> <span class="cm-number">1.0005</span>) <span class="cm-operator">*</span> <span class="cm-variable">hold_vol</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-variable">new_profit_rate</span> = <span class="cm-variable">sell_price</span> <span class="cm-operator">*</span> <span class="cm-number">0.9984</span> <span class="cm-operator">/</span> (<span class="cm-variable">init_price</span> <span class="cm-operator">*</span> <span class="cm-number">1.0005</span>)</span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 110px;"></div><div class="CodeMirror-gutters" style="height: 110px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre></li><li><p><span>当单一持仓标的收益率超过 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="3.096ex" height="2.227ex" viewBox="0 -806.1 1333 958.9" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E35-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path><path stroke-width="0" id="E35-MJMAIN-25" d="M465 605Q428 605 394 614T340 632T319 641Q332 608 332 548Q332 458 293 403T202 347Q145 347 101 402T56 548Q56 637 101 693T202 750Q241 750 272 719Q359 642 464 642Q580 642 650 732Q662 748 668 749Q670 750 673 750Q682 750 688 743T693 726Q178 -47 170 -52Q166 -56 160 -56Q147 -56 142 -45Q137 -36 142 -27Q143 -24 363 304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E35-MJMAIN-34" x="0" y="0"></use><use xlink:href="#E35-MJMAIN-25" x="500" y="0"></use></g></svg></span><script type="math/tex">4\%</script><span> 时，止盈平仓该标的（GOODSELL）</span></p><p><span>未有符合条件的执行或者全部执行完后下一步</span></p></li><li><p><span>当单一持仓标的亏损率超过 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="3.096ex" height="2.227ex" viewBox="0 -806.1 1333 958.9" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E36-MJMAIN-33" d="M127 463Q100 463 85 480T69 524Q69 579 117 622T233 665Q268 665 277 664Q351 652 390 611T430 522Q430 470 396 421T302 350L299 348Q299 347 308 345T337 336T375 315Q457 262 457 175Q457 96 395 37T238 -22Q158 -22 100 21T42 130Q42 158 60 175T105 193Q133 193 151 175T169 130Q169 119 166 110T159 94T148 82T136 74T126 70T118 67L114 66Q165 21 238 21Q293 21 321 74Q338 107 338 175V195Q338 290 274 322Q259 328 213 329L171 330L168 332Q166 335 166 348Q166 366 174 366Q202 366 232 371Q266 376 294 413T322 525V533Q322 590 287 612Q265 626 240 626Q208 626 181 615T143 592T132 580H135Q138 579 143 578T153 573T165 566T175 555T183 540T186 520Q186 498 172 481T127 463Z"></path><path stroke-width="0" id="E36-MJMAIN-25" d="M465 605Q428 605 394 614T340 632T319 641Q332 608 332 548Q332 458 293 403T202 347Q145 347 101 402T56 548Q56 637 101 693T202 750Q241 750 272 719Q359 642 464 642Q580 642 650 732Q662 748 668 749Q670 750 673 750Q682 750 688 743T693 726Q178 -47 170 -52Q166 -56 160 -56Q147 -56 142 -45Q137 -36 142 -27Q143 -24 363 304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E36-MJMAIN-33" x="0" y="0"></use><use xlink:href="#E36-MJMAIN-25" x="500" y="0"></use></g></svg></span><script type="math/tex">3\%</script><span> 时，止损平仓该标的（BADSELL）</span></p><p><span>未有符合条件的执行或者全部执行完后下一步</span></p></li><li><p><span>当建仓后第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E62-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E62-MJMAIN-34" x="0" y="0"></use></g></svg></span><script type="math/tex">4</script><span> 个交易日只拥有货币资金，则返回投资组合建仓板块</span></p><p><span>当建仓后第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E62-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E62-MJMAIN-34" x="0" y="0"></use></g></svg></span><script type="math/tex">4</script><span> 个交易日还存在未平仓的标的</span></p><ul><li><span>如果回测周期没结束，进行全部平仓处理（OVERTIMESELL），跳出平仓板块，返回投资组合建仓板块</span></li><li><span>如果回测周期全部结束，则进行最后一次资金跟新，并输出回测结果</span></li></ul><p><span>未有符合条件的执行则下一步</span></p></li><li><p><span>当单一持仓标的的 SVM 预测下个交易日为 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.968ex" height="2.11ex" viewBox="0 -755.9 1278 908.7" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E39-MJMAIN-2212" d="M84 237T84 250T98 270H679Q694 262 694 250T679 230H98Q84 237 84 250Z"></path><path stroke-width="0" id="E39-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E39-MJMAIN-2212" x="0" y="0"></use><use xlink:href="#E39-MJMAIN-31" x="778" y="0"></use></g></svg></span><script type="math/tex">-1</script><span>（下跌时），预判平仓该标的（PredictSELL）</span></p><p><span>未有符合条件的执行或者全部执行完后下一步</span></p></li><li><p><span>执行资金情况更新</span></p></li><li><p><span>返回第一步</span></p></li></ol><p><strong><span>回测过程的简要流程图</span></strong></p><p><span> </span><img src='imag/LoopBackFlow.png' height=550 /></p><h4><a name="输出评价" class="md-header-anchor"></a><span>输出评价</span></h4><p><span>回测完成后，会对所有的回测情况进行评估，选取了 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E62-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E62-MJMAIN-34" x="0" y="0"></use></g></svg></span><script type="math/tex">4</script><span> 个经典评价量化策略的指标，分别是</span></p><ul><li><span>收益率</span></li><li><span>回撤率</span></li><li><span>夏普率及风险</span></li><li><span>信息比率及跟踪误差</span></li></ul><p><span>这样既可以对回测效果有很好的刻画，又会在一定程度上杜绝过拟合的情形</span></p><p><strong><span>收益率</span></strong></p><p><span>这是我们最关心的，相当于是回测区间内的收益效率衡量</span></p><p><span>对于第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="0.838ex" height="1.877ex" viewBox="0 -705.6 361 808.1" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E41-MJMATHI-74" d="M26 385Q19 392 19 395Q19 399 22 411T27 425Q29 430 36 430T87 431H140L159 511Q162 522 166 540T173 566T179 586T187 603T197 615T211 624T229 626Q247 625 254 615T261 596Q261 589 252 549T232 470L222 433Q222 431 272 431H323Q330 424 330 420Q330 398 317 385H210L174 240Q135 80 135 68Q135 26 162 26Q197 26 230 60T283 144Q285 150 288 151T303 153H307Q322 153 322 145Q322 142 319 133Q314 117 301 95T267 48T216 6T155 -11Q125 -11 98 4T59 56Q57 64 57 83V101L92 241Q127 382 128 383Q128 385 77 385H26Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E41-MJMATHI-74" x="0" y="0"></use></g></svg></span><script type="math/tex">t</script><span> 交易日的账户权益或者指数，收益率计算公式如下</span></p><div contenteditable="false" spellcheck="false" class="mathjax-block md-end-block md-math-block md-rawblock" id="mathjax-n247" cid="n247" mdtype="math_block">
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201 76T241 233Q258 301 269 344Q339 619 339 625Q339 630 310 630H279Q212 630 191 624Q146 614 121 583T67 467Q60 445 57 441T43 437H40Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E69-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E69-MJMATHI-74" x="1073" y="-213"></use><use xlink:href="#E69-MJMAIN-3D" x="1392" y="0"></use><g transform="translate(2170,0)"><g transform="translate(397,0)"><rect stroke="none" width="3435" height="60" x="0" y="220"></rect><g transform="translate(60,676)"><use xlink:href="#E69-MJMATHI-50" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E69-MJMATHI-74" x="907" y="-213"></use><use xlink:href="#E69-MJMAIN-2212" x="1219" y="0"></use><g transform="translate(2219,0)"><use xlink:href="#E69-MJMATHI-50" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E69-MJMAIN-30" x="907" y="-213"></use></g></g><g transform="translate(1169,-686)"><use 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id="MathJax-Element-4">R_t=\frac{P_t-P_0}{P_0},\qquad t=0,1,2,...,T</script></div></div><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 44px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 36px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>13</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -36px; width: 36px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">def</span> <span class="cm-def">Cal_Return_Rate</span>(<span class="cm-variable">seq</span>, <span class="cm-variable">yd</span>=<span class="cm-number">250</span>):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">seqn</span> = <span class="cm-builtin">len</span>(<span class="cm-variable">seq</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Return_Rate</span> = (<span class="cm-variable">seq</span>[<span class="cm-operator">-</span><span class="cm-number">1</span>] <span class="cm-operator">/</span> <span class="cm-variable">seq</span>[<span class="cm-number">0</span>]) <span class="cm-operator">-</span> <span class="cm-number">1</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Annual_Rate</span> = <span class="cm-variable">math</span>.<span class="cm-property">pow</span>((<span class="cm-variable">seq</span>[<span class="cm-operator">-</span><span class="cm-number">1</span>] <span class="cm-operator">/</span> <span class="cm-variable">seq</span>[<span class="cm-number">0</span>]), <span class="cm-variable">yd</span> <span class="cm-operator">/</span> <span class="cm-variable">seqn</span>) <span class="cm-operator">-</span> <span class="cm-number">1</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Return_List</span> = []</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">6</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Base_V</span> = <span class="cm-variable">seq</span>[<span class="cm-number">0</span>]</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">7</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">for</span> <span class="cm-variable">i</span> <span class="cm-keyword">in</span> <span class="cm-builtin">range</span>(<span class="cm-variable">seqn</span>):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">8</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">if</span> <span class="cm-variable">i</span> == <span class="cm-number">0</span>:</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">9</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Return_List</span>.<span class="cm-property">append</span>(<span class="cm-builtin">float</span>(<span class="cm-number">0.00</span>))</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">10</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">else</span>:</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">11</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">ri</span> = (<span class="cm-builtin">float</span>(<span class="cm-variable">seq</span>[<span class="cm-variable">i</span>]) <span class="cm-operator">-</span> <span class="cm-builtin">float</span>(<span class="cm-variable">Base_V</span>))<span class="cm-operator">/</span><span class="cm-builtin">float</span>(<span class="cm-variable">Base_V</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 27px;">12</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Return_List</span>.<span class="cm-property">append</span>(<span class="cm-variable">ri</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -36px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 27px;">13</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">return</span> <span class="cm-variable">Return_Rate</span>, <span class="cm-variable">Annual_Rate</span>, <span class="cm-variable">Return_List</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 286px;"></div><div class="CodeMirror-gutters" style="height: 286px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 35px;"></div></div></div></div></pre><p><strong><span>最大回撤率</span></strong></p><p><span>指在回测区间内内任一历史时点往后推，资产（指数）走到最低点时的收益率回撤幅度的最大值</span></p><p><span>最大回撤用来描述实行投资组合建仓后（指数）可能出现的最糟糕的情况</span></p><p><span>最大回撤是一个重要的风险指标，对于对冲基金和数量化策略交易，该指标比波动率还重要</span></p><p><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.29ex" height="2.344ex" viewBox="0 -755.9 986 1009.2" role="img" focusable="false" style="vertical-align: -0.588ex;"><defs><path stroke-width="0" id="E45-MJMATHI-50" d="M287 628Q287 635 230 637Q206 637 199 638T192 648Q192 649 194 659Q200 679 203 681T397 683Q587 682 600 680Q664 669 707 631T751 530Q751 453 685 389Q616 321 507 303Q500 302 402 301H307L277 182Q247 66 247 59Q247 55 248 54T255 50T272 48T305 46H336Q342 37 342 35Q342 19 335 5Q330 0 319 0Q316 0 282 1T182 2Q120 2 87 2T51 1Q33 1 33 11Q33 13 36 25Q40 41 44 43T67 46Q94 46 127 49Q141 52 146 61Q149 65 218 339T287 628ZM645 554Q645 567 643 575T634 597T609 619T560 635Q553 636 480 637Q463 637 445 637T416 636T404 636Q391 635 386 627Q384 621 367 550T332 412T314 344Q314 342 395 342H407H430Q542 342 590 392Q617 419 631 471T645 554Z"></path><path stroke-width="0" id="E45-MJMATHI-69" d="M184 600Q184 624 203 642T247 661Q265 661 277 649T290 619Q290 596 270 577T226 557Q211 557 198 567T184 600ZM21 287Q21 295 30 318T54 369T98 420T158 442Q197 442 223 419T250 357Q250 340 236 301T196 196T154 83Q149 61 149 51Q149 26 166 26Q175 26 185 29T208 43T235 78T260 137Q263 149 265 151T282 153Q302 153 302 143Q302 135 293 112T268 61T223 11T161 -11Q129 -11 102 10T74 74Q74 91 79 106T122 220Q160 321 166 341T173 380Q173 404 156 404H154Q124 404 99 371T61 287Q60 286 59 284T58 281T56 279T53 278T49 278T41 278H27Q21 284 21 287Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E45-MJMATHI-50" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E45-MJMATHI-69" x="907" y="-213"></use></g></svg></span><script type="math/tex">P_i</script><span> 为第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="0.801ex" height="1.994ex" viewBox="0 -755.9 345 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E43-MJMATHI-69" d="M184 600Q184 624 203 642T247 661Q265 661 277 649T290 619Q290 596 270 577T226 557Q211 557 198 567T184 600ZM21 287Q21 295 30 318T54 369T98 420T158 442Q197 442 223 419T250 357Q250 340 236 301T196 196T154 83Q149 61 149 51Q149 26 166 26Q175 26 185 29T208 43T235 78T260 137Q263 149 265 151T282 153Q302 153 302 143Q302 135 293 112T268 61T223 11T161 -11Q129 -11 102 10T74 74Q74 91 79 106T122 220Q160 321 166 341T173 380Q173 404 156 404H154Q124 404 99 371T61 287Q60 286 59 284T58 281T56 279T53 278T49 278T41 278H27Q21 284 21 287Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E43-MJMATHI-69" x="0" y="0"></use></g></svg></span><script type="math/tex">i</script><span> 天的资产（指数），</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.4ex" height="2.577ex" viewBox="0 -755.9 1033.3 1109.7" role="img" focusable="false" style="vertical-align: -0.822ex;"><defs><path stroke-width="0" id="E44-MJMATHI-50" d="M287 628Q287 635 230 637Q206 637 199 638T192 648Q192 649 194 659Q200 679 203 681T397 683Q587 682 600 680Q664 669 707 631T751 530Q751 453 685 389Q616 321 507 303Q500 302 402 301H307L277 182Q247 66 247 59Q247 55 248 54T255 50T272 48T305 46H336Q342 37 342 35Q342 19 335 5Q330 0 319 0Q316 0 282 1T182 2Q120 2 87 2T51 1Q33 1 33 11Q33 13 36 25Q40 41 44 43T67 46Q94 46 127 49Q141 52 146 61Q149 65 218 339T287 628ZM645 554Q645 567 643 575T634 597T609 619T560 635Q553 636 480 637Q463 637 445 637T416 636T404 636Q391 635 386 627Q384 621 367 550T332 412T314 344Q314 342 395 342H407H430Q542 342 590 392Q617 419 631 471T645 554Z"></path><path stroke-width="0" id="E44-MJMATHI-6A" d="M297 596Q297 627 318 644T361 661Q378 661 389 651T403 623Q403 595 384 576T340 557Q322 557 310 567T297 596ZM288 376Q288 405 262 405Q240 405 220 393T185 362T161 325T144 293L137 279Q135 278 121 278H107Q101 284 101 286T105 299Q126 348 164 391T252 441Q253 441 260 441T272 442Q296 441 316 432Q341 418 354 401T367 348V332L318 133Q267 -67 264 -75Q246 -125 194 -164T75 -204Q25 -204 7 -183T-12 -137Q-12 -110 7 -91T53 -71Q70 -71 82 -81T95 -112Q95 -148 63 -167Q69 -168 77 -168Q111 -168 139 -140T182 -74L193 -32Q204 11 219 72T251 197T278 308T289 365Q289 372 288 376Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E44-MJMATHI-50" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E44-MJMATHI-6A" x="907" y="-213"></use></g></svg></span><script type="math/tex">P_j</script><span> 则是 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.29ex" height="2.344ex" viewBox="0 -755.9 986 1009.2" role="img" focusable="false" style="vertical-align: -0.588ex;"><defs><path stroke-width="0" id="E45-MJMATHI-50" d="M287 628Q287 635 230 637Q206 637 199 638T192 648Q192 649 194 659Q200 679 203 681T397 683Q587 682 600 680Q664 669 707 631T751 530Q751 453 685 389Q616 321 507 303Q500 302 402 301H307L277 182Q247 66 247 59Q247 55 248 54T255 50T272 48T305 46H336Q342 37 342 35Q342 19 335 5Q330 0 319 0Q316 0 282 1T182 2Q120 2 87 2T51 1Q33 1 33 11Q33 13 36 25Q40 41 44 43T67 46Q94 46 127 49Q141 52 146 61Q149 65 218 339T287 628ZM645 554Q645 567 643 575T634 597T609 619T560 635Q553 636 480 637Q463 637 445 637T416 636T404 636Q391 635 386 627Q384 621 367 550T332 412T314 344Q314 342 395 342H407H430Q542 342 590 392Q617 419 631 471T645 554Z"></path><path stroke-width="0" id="E45-MJMATHI-69" d="M184 600Q184 624 203 642T247 661Q265 661 277 649T290 619Q290 596 270 577T226 557Q211 557 198 567T184 600ZM21 287Q21 295 30 318T54 369T98 420T158 442Q197 442 223 419T250 357Q250 340 236 301T196 196T154 83Q149 61 149 51Q149 26 166 26Q175 26 185 29T208 43T235 78T260 137Q263 149 265 151T282 153Q302 153 302 143Q302 135 293 112T268 61T223 11T161 -11Q129 -11 102 10T74 74Q74 91 79 106T122 220Q160 321 166 341T173 380Q173 404 156 404H154Q124 404 99 371T61 287Q60 286 59 284T58 281T56 279T53 278T49 278T41 278H27Q21 284 21 287Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E45-MJMATHI-50" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E45-MJMATHI-69" x="907" y="-213"></use></g></svg></span><script type="math/tex">P_i</script><span> 后面某一天的资产指数</span></p><p><span>则该资产（指数）在第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="0.985ex" height="2.461ex" viewBox="-12 -755.9 424 1059.4" role="img" focusable="false" style="vertical-align: -0.705ex; margin-left: -0.028ex;"><defs><path stroke-width="0" id="E46-MJMATHI-6A" d="M297 596Q297 627 318 644T361 661Q378 661 389 651T403 623Q403 595 384 576T340 557Q322 557 310 567T297 596ZM288 376Q288 405 262 405Q240 405 220 393T185 362T161 325T144 293L137 279Q135 278 121 278H107Q101 284 101 286T105 299Q126 348 164 391T252 441Q253 441 260 441T272 442Q296 441 316 432Q341 418 354 401T367 348V332L318 133Q267 -67 264 -75Q246 -125 194 -164T75 -204Q25 -204 7 -183T-12 -137Q-12 -110 7 -91T53 -71Q70 -71 82 -81T95 -112Q95 -148 63 -167Q69 -168 77 -168Q111 -168 139 -140T182 -74L193 -32Q204 11 219 72T251 197T278 308T289 365Q289 372 288 376Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E46-MJMATHI-6A" x="0" y="0"></use></g></svg></span><script type="math/tex">j</script><span> 交易日以及整体的最大回撤率计算如下</span></p><div contenteditable="false" spellcheck="false" class="mathjax-block md-end-block md-math-block md-rawblock" id="mathjax-n255" cid="n255" mdtype="math_block">
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xlink:href="#E71-MJMAIN-31" x="19490" y="0"></use><use xlink:href="#E71-MJMAIN-2C" x="19990" y="0"></use><use xlink:href="#E71-MJMAIN-32" x="20435" y="0"></use><use xlink:href="#E71-MJMAIN-2C" x="20935" y="0"></use><use xlink:href="#E71-MJMAIN-2E" x="21380" y="0"></use><use xlink:href="#E71-MJMAIN-2E" x="21824" y="0"></use><use xlink:href="#E71-MJMAIN-2E" x="22269" y="0"></use><use xlink:href="#E71-MJMAIN-2C" x="22714" y="0"></use><use xlink:href="#E71-MJMATHI-54" x="23158" y="0"></use></g></svg></span></div><script type="math/tex; mode=display" id="MathJax-Element-6">max_{drawdown}=\max\limits_j(max_{drawdown}(j))\qquad j=1,2,...,T</script></div></div><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>9</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">def</span> <span class="cm-def">Cal_Withdrawal_Rate</span>(<span class="cm-variable">seq</span>):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Wdl_Rate_List</span> = []</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">max_temp</span> = <span class="cm-number">0</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">for</span> <span class="cm-variable">i</span> <span class="cm-keyword">in</span> <span class="cm-builtin">range</span>(<span class="cm-builtin">len</span>(<span class="cm-variable">seq</span>)):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">max_temp</span> = <span class="cm-builtin">max</span>(<span class="cm-variable">max_temp</span>, <span class="cm-variable">seq</span>[<span class="cm-variable">i</span>])</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">6</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Wdl_Rate</span> = (<span class="cm-variable">max_temp</span> <span class="cm-operator">-</span> <span class="cm-variable">seq</span>[<span class="cm-variable">i</span>]) <span class="cm-operator">/</span> <span class="cm-variable">max_temp</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">7</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Wdl_Rate_List</span>.<span class="cm-property">append</span>(<span class="cm-builtin">round</span>(<span class="cm-variable">Wdl_Rate</span>, <span class="cm-number">4</span>))</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">8</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Max_Index</span> = <span class="cm-variable">Wdl_Rate_List</span>.<span class="cm-property">index</span>(<span class="cm-builtin">max</span>(<span class="cm-variable">Wdl_Rate_List</span>))</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">9</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">return</span> <span class="cm-builtin">max</span>(<span class="cm-variable">Wdl_Rate_List</span>), <span class="cm-variable">Max_Index</span>, <span class="cm-variable">Wdl_Rate_List</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 198px;"></div><div class="CodeMirror-gutters" style="height: 198px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><p><strong><span>夏普率及风险</span></strong></p><p><span>夏普率代表投资组合（指数）对于波动风险的微分，既单位风险所获得的超额回报率（相当于无风险利率）</span></p><p><span>该比率越高，策略承担单位风险得到的超额回报率越高，公式为</span></p><div contenteditable="false" spellcheck="false" class="mathjax-block md-end-block md-math-block md-rawblock" id="mathjax-n261" cid="n261" mdtype="math_block">
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x="0" y="220"></rect><g transform="translate(60,764)"><use xlink:href="#E72-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E72-MJMATHI-70" x="1073" y="-213"></use><use xlink:href="#E72-MJMAIN-2212" x="1436" y="0"></use><g transform="translate(2437,0)"><use xlink:href="#E72-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E72-MJMATHI-66" x="1073" y="-218"></use></g></g><g transform="translate(1389,-686)"><use xlink:href="#E72-MJMATHI-3C3" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E72-MJMATHI-70" x="807" y="-213"></use></g></g></g></g></svg></span></div><script type="math/tex; mode=display" id="MathJax-Element-7">Sharpe\_ratio= \frac{R_p-R_f}{\sigma_p}</script></div></div><p><span>其中，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.821ex" height="2.577ex" viewBox="0 -755.9 1214.7 1109.7" role="img" focusable="false" 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type="math/tex">R_p</script><span> 为区间收益率， </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.898ex" height="2.577ex" viewBox="0 -755.9 1247.9 1109.7" role="img" focusable="false" style="vertical-align: -0.822ex;"><defs><path stroke-width="0" id="E51-MJMATHI-52" d="M230 637Q203 637 198 638T193 649Q193 676 204 682Q206 683 378 683Q550 682 564 680Q620 672 658 652T712 606T733 563T739 529Q739 484 710 445T643 385T576 351T538 338L545 333Q612 295 612 223Q612 212 607 162T602 80V71Q602 53 603 43T614 25T640 16Q668 16 686 38T712 85Q717 99 720 102T735 105Q755 105 755 93Q755 75 731 36Q693 -21 641 -21H632Q571 -21 531 4T487 82Q487 109 502 166T517 239Q517 290 474 313Q459 320 449 321T378 323H309L277 193Q244 61 244 59Q244 55 245 54T252 50T269 48T302 46H333Q339 38 339 37T336 19Q332 6 326 0H311Q275 2 180 2Q146 2 117 2T71 2T50 1Q33 1 33 10Q33 12 36 24Q41 43 46 45Q50 46 61 46H67Q94 46 127 49Q141 52 146 61Q149 65 218 339T287 628Q287 635 230 637ZM630 554Q630 586 609 608T523 636Q521 636 500 636T462 637H440Q393 637 386 627Q385 624 352 494T319 361Q319 360 388 360Q466 361 492 367Q556 377 592 426Q608 449 619 486T630 554Z"></path><path stroke-width="0" id="E51-MJMATHI-66" d="M118 -162Q120 -162 124 -164T135 -167T147 -168Q160 -168 171 -155T187 -126Q197 -99 221 27T267 267T289 382V385H242Q195 385 192 387Q188 390 188 397L195 425Q197 430 203 430T250 431Q298 431 298 432Q298 434 307 482T319 540Q356 705 465 705Q502 703 526 683T550 630Q550 594 529 578T487 561Q443 561 443 603Q443 622 454 636T478 657L487 662Q471 668 457 668Q445 668 434 658T419 630Q412 601 403 552T387 469T380 433Q380 431 435 431Q480 431 487 430T498 424Q499 420 496 407T491 391Q489 386 482 386T428 385H372L349 263Q301 15 282 -47Q255 -132 212 -173Q175 -205 139 -205Q107 -205 81 -186T55 -132Q55 -95 76 -78T118 -61Q162 -61 162 -103Q162 -122 151 -136T127 -157L118 -162Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E51-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E51-MJMATHI-66" x="1073" y="-218"></use></g></svg></span><script type="math/tex">R_f</script><span> 是区间无风险收益率，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.385ex" height="1.994ex" viewBox="0 -504.6 1026.7 858.4" role="img" focusable="false" style="vertical-align: -0.822ex;"><defs><path stroke-width="0" id="E49-MJMATHI-3C3" d="M184 -11Q116 -11 74 34T31 147Q31 247 104 333T274 430Q275 431 414 431H552Q553 430 555 429T559 427T562 425T565 422T567 420T569 416T570 412T571 407T572 401Q572 357 507 357Q500 357 490 357T476 358H416L421 348Q439 310 439 263Q439 153 359 71T184 -11ZM361 278Q361 358 276 358Q152 358 115 184Q114 180 114 178Q106 141 106 117Q106 67 131 47T188 26Q242 26 287 73Q316 103 334 153T356 233T361 278Z"></path><path stroke-width="0" id="E49-MJMATHI-70" d="M23 287Q24 290 25 295T30 317T40 348T55 381T75 411T101 433T134 442Q209 442 230 378L240 387Q302 442 358 442Q423 442 460 395T497 281Q497 173 421 82T249 -10Q227 -10 210 -4Q199 1 187 11T168 28L161 36Q160 35 139 -51T118 -138Q118 -144 126 -145T163 -148H188Q194 -155 194 -157T191 -175Q188 -187 185 -190T172 -194Q170 -194 161 -194T127 -193T65 -192Q-5 -192 -24 -194H-32Q-39 -187 -39 -183Q-37 -156 -26 -148H-6Q28 -147 33 -136Q36 -130 94 103T155 350Q156 355 156 364Q156 405 131 405Q109 405 94 377T71 316T59 280Q57 278 43 278H29Q23 284 23 287ZM178 102Q200 26 252 26Q282 26 310 49T356 107Q374 141 392 215T411 325V331Q411 405 350 405Q339 405 328 402T306 393T286 380T269 365T254 350T243 336T235 326L232 322Q232 321 229 308T218 264T204 212Q178 106 178 102Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E49-MJMATHI-3C3" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E49-MJMATHI-70" x="807" y="-213"></use></g></svg></span><script type="math/tex">\sigma_p</script><span> 为区间波动率</span></p><p><span>注意，在主流的策略效果对比时，还是需要统一到年化来比较</span></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>7</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">def</span> <span class="cm-def">Cal_Sharp_Rate</span>(<span class="cm-variable">seq</span>, <span class="cm-variable">Rf</span>=<span class="cm-number">0.015</span>, <span class="cm-variable">yd</span>=<span class="cm-number">250</span>):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">seqn</span> = <span class="cm-builtin">len</span>(<span class="cm-variable">seq</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">seq_return</span> = <span class="cm-variable">Cal_Return_Rate</span>(<span class="cm-variable">seq</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">norisk_return</span> = <span class="cm-variable">Rf</span> <span class="cm-operator">*</span> <span class="cm-variable">seqn</span> <span class="cm-operator">/</span> <span class="cm-variable">yd</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Risk</span> = <span class="cm-builtin">float</span>(<span class="cm-variable">np</span>.<span class="cm-property">array</span>(<span class="cm-variable">seq_return</span>[<span class="cm-number">2</span>]).<span class="cm-property">std</span>())</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">6</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">Sharp_Rate</span> = (<span class="cm-variable">seq_return</span>[<span class="cm-number">0</span>] <span class="cm-operator">-</span> <span class="cm-variable">norisk_return</span>) <span class="cm-operator">/</span> <span class="cm-variable">Risk</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">7</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">return</span> <span class="cm-variable">Sharp_Rate</span>, <span class="cm-variable">Risk</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 154px;"></div><div class="CodeMirror-gutters" style="height: 154px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><p><strong><span>信息比率及跟踪误差</span></strong></p><p><strong><span>跟踪误差</span></strong><span>：投资组合与基准指数收益率差值的波动风险</span></p><p><span>主动投资组合策略可能会拥有较大的跟踪误差</span></p><p><span>被动复制指数策略通常拥有较小的跟踪误差</span></p><p><strong><span>信息比率</span></strong><span>：代表投资组合与基准指数收益率差值对于跟踪误差的微分</span></p><p><span>既单位跟踪误差所获得的超额回报率（相对于基准指数）</span></p><p><span>该比率越高，策略承担单位跟踪误差得到的超额回报率越高，公式为</span></p><div contenteditable="false" spellcheck="false" class="mathjax-block md-end-block md-math-block md-rawblock" id="mathjax-n272" cid="n272" mdtype="math_block">
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287Q24 290 25 295T30 317T40 348T55 381T75 411T101 433T134 442Q209 442 230 378L240 387Q302 442 358 442Q423 442 460 395T497 281Q497 173 421 82T249 -10Q227 -10 210 -4Q199 1 187 11T168 28L161 36Q160 35 139 -51T118 -138Q118 -144 126 -145T163 -148H188Q194 -155 194 -157T191 -175Q188 -187 185 -190T172 -194Q170 -194 161 -194T127 -193T65 -192Q-5 -192 -24 -194H-32Q-39 -187 -39 -183Q-37 -156 -26 -148H-6Q28 -147 33 -136Q36 -130 94 103T155 350Q156 355 156 364Q156 405 131 405Q109 405 94 377T71 316T59 280Q57 278 43 278H29Q23 284 23 287ZM178 102Q200 26 252 26Q282 26 310 49T356 107Q374 141 392 215T411 325V331Q411 405 350 405Q339 405 328 402T306 393T286 380T269 365T254 350T243 336T235 326L232 322Q232 321 229 308T218 264T204 212Q178 106 178 102Z"></path><path stroke-width="0" id="E73-MJMAIN-2212" d="M84 237T84 250T98 270H679Q694 262 694 250T679 230H98Q84 237 84 250Z"></path><path stroke-width="0" id="E73-MJMATHI-3C3" d="M184 -11Q116 -11 74 34T31 147Q31 247 104 333T274 430Q275 431 414 431H552Q553 430 555 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y="0"></use><use xlink:href="#E73-MJMAIN-5F" x="5788" y="0"></use><use xlink:href="#E73-MJMATHI-72" x="6288" y="0"></use><use xlink:href="#E73-MJMATHI-61" x="6739" y="0"></use><use xlink:href="#E73-MJMATHI-74" x="7268" y="0"></use><use xlink:href="#E73-MJMATHI-69" x="7629" y="0"></use><use xlink:href="#E73-MJMATHI-6F" x="7974" y="0"></use><use xlink:href="#E73-MJMAIN-3D" x="8736" y="0"></use><g transform="translate(9514,0)"><g transform="translate(397,0)"><rect stroke="none" width="4036" height="60" x="0" y="220"></rect><g transform="translate(60,752)"><use xlink:href="#E73-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E73-MJMATHI-70" x="1073" y="-213"></use><use xlink:href="#E73-MJMAIN-2212" x="1436" y="0"></use><g transform="translate(2437,0)"><use xlink:href="#E73-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E73-MJMATHI-6D" x="1073" y="-213"></use></g></g><g transform="translate(1555,-686)"><use xlink:href="#E73-MJMATHI-3C3" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E73-MJMATHI-74" x="807" y="-213"></use></g></g></g></g></svg></span></div><script type="math/tex; mode=display" id="MathJax-Element-8">Information\_ratio=\frac{R_p-R_m}{\sigma_t}</script></div></div><p><span>其中，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.821ex" height="2.577ex" viewBox="0 -755.9 1214.7 1109.7" role="img" focusable="false" style="vertical-align: -0.822ex;"><defs><path stroke-width="0" id="E50-MJMATHI-52" d="M230 637Q203 637 198 638T193 649Q193 676 204 682Q206 683 378 683Q550 682 564 680Q620 672 658 652T712 606T733 563T739 529Q739 484 710 445T643 385T576 351T538 338L545 333Q612 295 612 223Q612 212 607 162T602 80V71Q602 53 603 43T614 25T640 16Q668 16 686 38T712 85Q717 99 720 102T735 105Q755 105 755 93Q755 75 731 36Q693 -21 641 -21H632Q571 -21 531 4T487 82Q487 109 502 166T517 239Q517 290 474 313Q459 320 449 321T378 323H309L277 193Q244 61 244 59Q244 55 245 54T252 50T269 48T302 46H333Q339 38 339 37T336 19Q332 6 326 0H311Q275 2 180 2Q146 2 117 2T71 2T50 1Q33 1 33 10Q33 12 36 24Q41 43 46 45Q50 46 61 46H67Q94 46 127 49Q141 52 146 61Q149 65 218 339T287 628Q287 635 230 637ZM630 554Q630 586 609 608T523 636Q521 636 500 636T462 637H440Q393 637 386 627Q385 624 352 494T319 361Q319 360 388 360Q466 361 492 367Q556 377 592 426Q608 449 619 486T630 554Z"></path><path stroke-width="0" id="E50-MJMATHI-70" d="M23 287Q24 290 25 295T30 317T40 348T55 381T75 411T101 433T134 442Q209 442 230 378L240 387Q302 442 358 442Q423 442 460 395T497 281Q497 173 421 82T249 -10Q227 -10 210 -4Q199 1 187 11T168 28L161 36Q160 35 139 -51T118 -138Q118 -144 126 -145T163 -148H188Q194 -155 194 -157T191 -175Q188 -187 185 -190T172 -194Q170 -194 161 -194T127 -193T65 -192Q-5 -192 -24 -194H-32Q-39 -187 -39 -183Q-37 -156 -26 -148H-6Q28 -147 33 -136Q36 -130 94 103T155 350Q156 355 156 364Q156 405 131 405Q109 405 94 377T71 316T59 280Q57 278 43 278H29Q23 284 23 287ZM178 102Q200 26 252 26Q282 26 310 49T356 107Q374 141 392 215T411 325V331Q411 405 350 405Q339 405 328 402T306 393T286 380T269 365T254 350T243 336T235 326L232 322Q232 321 229 308T218 264T204 212Q178 106 178 102Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E50-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E50-MJMATHI-70" x="1073" y="-213"></use></g></svg></span><script type="math/tex">R_p</script><span> 为区间收益率， </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.898ex" height="2.577ex" viewBox="0 -755.9 1247.9 1109.7" role="img" focusable="false" style="vertical-align: -0.822ex;"><defs><path stroke-width="0" id="E51-MJMATHI-52" d="M230 637Q203 637 198 638T193 649Q193 676 204 682Q206 683 378 683Q550 682 564 680Q620 672 658 652T712 606T733 563T739 529Q739 484 710 445T643 385T576 351T538 338L545 333Q612 295 612 223Q612 212 607 162T602 80V71Q602 53 603 43T614 25T640 16Q668 16 686 38T712 85Q717 99 720 102T735 105Q755 105 755 93Q755 75 731 36Q693 -21 641 -21H632Q571 -21 531 4T487 82Q487 109 502 166T517 239Q517 290 474 313Q459 320 449 321T378 323H309L277 193Q244 61 244 59Q244 55 245 54T252 50T269 48T302 46H333Q339 38 339 37T336 19Q332 6 326 0H311Q275 2 180 2Q146 2 117 2T71 2T50 1Q33 1 33 10Q33 12 36 24Q41 43 46 45Q50 46 61 46H67Q94 46 127 49Q141 52 146 61Q149 65 218 339T287 628Q287 635 230 637ZM630 554Q630 586 609 608T523 636Q521 636 500 636T462 637H440Q393 637 386 627Q385 624 352 494T319 361Q319 360 388 360Q466 361 492 367Q556 377 592 426Q608 449 619 486T630 554Z"></path><path stroke-width="0" id="E51-MJMATHI-66" d="M118 -162Q120 -162 124 -164T135 -167T147 -168Q160 -168 171 -155T187 -126Q197 -99 221 27T267 267T289 382V385H242Q195 385 192 387Q188 390 188 397L195 425Q197 430 203 430T250 431Q298 431 298 432Q298 434 307 482T319 540Q356 705 465 705Q502 703 526 683T550 630Q550 594 529 578T487 561Q443 561 443 603Q443 622 454 636T478 657L487 662Q471 668 457 668Q445 668 434 658T419 630Q412 601 403 552T387 469T380 433Q380 431 435 431Q480 431 487 430T498 424Q499 420 496 407T491 391Q489 386 482 386T428 385H372L349 263Q301 15 282 -47Q255 -132 212 -173Q175 -205 139 -205Q107 -205 81 -186T55 -132Q55 -95 76 -78T118 -61Q162 -61 162 -103Q162 -122 151 -136T127 -157L118 -162Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E51-MJMATHI-52" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E51-MJMATHI-66" x="1073" y="-218"></use></g></svg></span><script type="math/tex">R_f</script><span> 为区间基准收益率（如 HS300 Idx），</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.151ex" height="1.76ex" viewBox="0 -504.6 926.3 757.9" role="img" focusable="false" style="vertical-align: -0.588ex;"><defs><path stroke-width="0" id="E52-MJMATHI-3C3" d="M184 -11Q116 -11 74 34T31 147Q31 247 104 333T274 430Q275 431 414 431H552Q553 430 555 429T559 427T562 425T565 422T567 420T569 416T570 412T571 407T572 401Q572 357 507 357Q500 357 490 357T476 358H416L421 348Q439 310 439 263Q439 153 359 71T184 -11ZM361 278Q361 358 276 358Q152 358 115 184Q114 180 114 178Q106 141 106 117Q106 67 131 47T188 26Q242 26 287 73Q316 103 334 153T356 233T361 278Z"></path><path stroke-width="0" id="E52-MJMATHI-74" d="M26 385Q19 392 19 395Q19 399 22 411T27 425Q29 430 36 430T87 431H140L159 511Q162 522 166 540T173 566T179 586T187 603T197 615T211 624T229 626Q247 625 254 615T261 596Q261 589 252 549T232 470L222 433Q222 431 272 431H323Q330 424 330 420Q330 398 317 385H210L174 240Q135 80 135 68Q135 26 162 26Q197 26 230 60T283 144Q285 150 288 151T303 153H307Q322 153 322 145Q322 142 319 133Q314 117 301 95T267 48T216 6T155 -11Q125 -11 98 4T59 56Q57 64 57 83V101L92 241Q127 382 128 383Q128 385 77 385H26Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E52-MJMATHI-3C3" x="0" y="0"></use><use transform="scale(0.707)" xlink:href="#E52-MJMATHI-74" x="807" y="-213"></use></g></svg></span><script type="math/tex">\sigma_t</script><span> 为策略与基准每日收益率差值的区间标准差</span></p><p><span>同样，在主流的策略效果对比时，还是需要统一到年化来比较</span></p><pre spellcheck="false" class="md-fences md-end-block md-fences-with-lineno ty-contain-cm modeLoaded" lang="python"><div class="CodeMirror cm-s-inner CodeMirror-wrap" lang="python"><div style="overflow: hidden; position: relative; width: 3px; height: 0px; top: 0px; left: 35px;"><textarea autocorrect="off" autocapitalize="off" spellcheck="false" tabindex="0" style="position: absolute; bottom: -1em; padding: 0px; width: 1000px; height: 1em; outline: none;"></textarea></div><div class="CodeMirror-scrollbar-filler" cm-not-content="true"></div><div class="CodeMirror-gutter-filler" cm-not-content="true"></div><div class="CodeMirror-scroll" tabindex="-1"><div class="CodeMirror-sizer" style="margin-left: 27px; margin-bottom: 0px; border-right-width: 0px; padding-right: 0px; padding-bottom: 0px;"><div style="position: relative; top: 0px;"><div class="CodeMirror-lines" role="presentation"><div role="presentation" style="position: relative; outline: none;"><div class="CodeMirror-measure"><pre><span>xxxxxxxxxx</span></pre><div class="CodeMirror-linenumber CodeMirror-gutter-elt"><div>6</div></div></div><div class="CodeMirror-measure"></div><div style="position: relative; z-index: 1;"></div><div class="CodeMirror-code" role="presentation" style=""><div class="CodeMirror-activeline" style="position: relative;"><div class="CodeMirror-activeline-background CodeMirror-linebackground"></div><div class="CodeMirror-gutter-background CodeMirror-activeline-gutter" style="left: -27px; width: 27px;"></div><div class="CodeMirror-gutter-wrapper CodeMirror-activeline-gutter" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">1</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"><span class="cm-keyword">def</span> <span class="cm-def">Cal_Info_Ratio</span>(<span class="cm-variable">seq</span>, <span class="cm-variable">seq_base</span>):</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">2</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">seq_return</span> = <span class="cm-variable">Cal_Return_Rate</span>(<span class="cm-variable">seq</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">3</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">seq_base_return</span> = <span class="cm-variable">Cal_Return_Rate</span>(<span class="cm-variable">seq_base</span>)</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">4</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">sigma</span> = <span class="cm-builtin">float</span>((<span class="cm-variable">np</span>.<span class="cm-property">array</span>(<span class="cm-variable">seq_return</span>[<span class="cm-number">2</span>]) <span class="cm-operator">-</span> <span class="cm-variable">np</span>.<span class="cm-property">array</span>(<span class="cm-variable">seq_base_return</span>[<span class="cm-number">2</span>])).<span class="cm-property">std</span>())</span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt" style="left: 0px; width: 18px;">5</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-variable">ir</span> = (<span class="cm-variable">seq_return</span>[<span class="cm-number">0</span>] <span class="cm-operator">-</span> <span class="cm-variable">seq_base_return</span>[<span class="cm-number">0</span>]) <span class="cm-operator">/</span> <span class="cm-variable">sigma</span></span></pre></div><div style="position: relative;"><div class="CodeMirror-gutter-wrapper" style="left: -27px;"><div class="CodeMirror-linenumber CodeMirror-gutter-elt CodeMirror-linenumber-show" style="left: 0px; width: 18px;">6</div></div><pre class=" CodeMirror-line " role="presentation"><span role="presentation" style="padding-right: 0.1px;"> <span class="cm-keyword">return</span> <span class="cm-variable">ir</span>, <span class="cm-variable">sigma</span></span></pre></div></div></div></div></div></div><div style="position: absolute; height: 0px; width: 1px; border-bottom-width: 0px; border-bottom-style: solid; border-bottom-color: transparent; top: 132px;"></div><div class="CodeMirror-gutters" style="height: 132px;"><div class="CodeMirror-gutter CodeMirror-linenumbers" style="width: 26px;"></div></div></div></div></pre><h4><a name="回测结果" class="md-header-anchor"></a><span>回测结果</span></h4><p><span> </span><img src='imag/LoopBack.png' height=300 /></p><p><span>回测完成后，会返部部分前述的评价指标及运行时间（一个自然月的回测约需要 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="5.42ex" height="1.877ex" viewBox="0 -755.9 2333.7 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E53-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path><path stroke-width="0" id="E53-MJMAIN-6D" d="M41 46H55Q94 46 102 60V68Q102 77 102 91T102 122T103 161T103 203Q103 234 103 269T102 328V351Q99 370 88 376T43 385H25V408Q25 431 27 431L37 432Q47 433 65 434T102 436Q119 437 138 438T167 441T178 442H181V402Q181 364 182 364T187 369T199 384T218 402T247 421T285 437Q305 442 336 442Q351 442 364 440T387 434T406 426T421 417T432 406T441 395T448 384T452 374T455 366L457 361L460 365Q463 369 466 373T475 384T488 397T503 410T523 422T546 432T572 439T603 442Q729 442 740 329Q741 322 741 190V104Q741 66 743 59T754 49Q775 46 803 46H819V0H811L788 1Q764 2 737 2T699 3Q596 3 587 0H579V46H595Q656 46 656 62Q657 64 657 200Q656 335 655 343Q649 371 635 385T611 402T585 404Q540 404 506 370Q479 343 472 315T464 232V168V108Q464 78 465 68T468 55T477 49Q498 46 526 46H542V0H534L510 1Q487 2 460 2T422 3Q319 3 310 0H302V46H318Q379 46 379 62Q380 64 380 200Q379 335 378 343Q372 371 358 385T334 402T308 404Q263 404 229 370Q202 343 195 315T187 232V168V108Q187 78 188 68T191 55T200 49Q221 46 249 46H265V0H257L234 1Q210 2 183 2T145 3Q42 3 33 0H25V46H41Z"></path><path stroke-width="0" id="E53-MJMAIN-69" d="M69 609Q69 637 87 653T131 669Q154 667 171 652T188 609Q188 579 171 564T129 549Q104 549 87 564T69 609ZM247 0Q232 3 143 3Q132 3 106 3T56 1L34 0H26V46H42Q70 46 91 49Q100 53 102 60T104 102V205V293Q104 345 102 359T88 378Q74 385 41 385H30V408Q30 431 32 431L42 432Q52 433 70 434T106 436Q123 437 142 438T171 441T182 442H185V62Q190 52 197 50T232 46H255V0H247Z"></path><path stroke-width="0" id="E53-MJMAIN-6E" d="M41 46H55Q94 46 102 60V68Q102 77 102 91T102 122T103 161T103 203Q103 234 103 269T102 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type="math/tex">4\min</script><span>）</span></p><p><span>我们发现，投资组合的收益曲线</span><strong><span>背离大盘</span></strong><span>，在期末的收益率达到 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="6.064ex" height="2.227ex" viewBox="0 -806.1 2611 958.9" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E54-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path><path stroke-width="0" id="E54-MJMAIN-2E" d="M78 60Q78 84 95 102T138 120Q162 120 180 104T199 61Q199 36 182 18T139 0T96 17T78 60Z"></path><path stroke-width="0" id="E54-MJMAIN-33" d="M127 463Q100 463 85 480T69 524Q69 579 117 622T233 665Q268 665 277 664Q351 652 390 611T430 522Q430 470 396 421T302 350L299 348Q299 347 308 345T337 336T375 315Q457 262 457 175Q457 96 395 37T238 -22Q158 -22 100 21T42 130Q42 158 60 175T105 193Q133 193 151 175T169 130Q169 119 166 110T159 94T148 82T136 74T126 70T118 67L114 66Q165 21 238 21Q293 21 321 74Q338 107 338 175V195Q338 290 274 322Q259 328 213 329L171 330L168 332Q166 335 166 348Q166 366 174 366Q202 366 232 371Q266 376 294 413T322 525V533Q322 590 287 612Q265 626 240 626Q208 626 181 615T143 592T132 580H135Q138 579 143 578T153 573T165 566T175 555T183 540T186 520Q186 498 172 481T127 463Z"></path><path stroke-width="0" id="E54-MJMAIN-35" d="M164 157Q164 133 148 117T109 101H102Q148 22 224 22Q294 22 326 82Q345 115 345 210Q345 313 318 349Q292 382 260 382H254Q176 382 136 314Q132 307 129 306T114 304Q97 304 95 310Q93 314 93 485V614Q93 664 98 664Q100 666 102 666Q103 666 123 658T178 642T253 634Q324 634 389 662Q397 666 402 666Q410 666 410 648V635Q328 538 205 538Q174 538 149 544L139 546V374Q158 388 169 396T205 412T256 420Q337 420 393 355T449 201Q449 109 385 44T229 -22Q148 -22 99 32T50 154Q50 178 61 192T84 210T107 214Q132 214 148 197T164 157Z"></path><path stroke-width="0" id="E54-MJMAIN-25" d="M465 605Q428 605 394 614T340 632T319 641Q332 608 332 548Q332 458 293 403T202 347Q145 347 101 402T56 548Q56 637 101 693T202 750Q241 750 272 719Q359 642 464 642Q580 642 650 732Q662 748 668 749Q670 750 673 750Q682 750 688 743T693 726Q178 -47 170 -52Q166 -56 160 -56Q147 -56 142 -45Q137 -36 142 -27Q143 -24 363 304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E54-MJMAIN-32"></use><use xlink:href="#E54-MJMAIN-2E" x="500" y="0"></use><use xlink:href="#E54-MJMAIN-33" x="778" y="0"></use><use xlink:href="#E54-MJMAIN-35" x="1278" y="0"></use><use xlink:href="#E54-MJMAIN-25" x="1778" y="0"></use></g></svg></span><script type="math/tex">2.35\%</script><span>，明显跑赢市场的 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="6.064ex" height="2.227ex" viewBox="0 -806.1 2611 958.9" role="img" focusable="false" style="vertical-align: -0.355ex;"><defs><path stroke-width="0" id="E55-MJMAIN-30" d="M96 585Q152 666 249 666Q297 666 345 640T423 548Q460 465 460 320Q460 165 417 83Q397 41 362 16T301 -15T250 -22Q224 -22 198 -16T137 16T82 83Q39 165 39 320Q39 494 96 585ZM321 597Q291 629 250 629Q208 629 178 597Q153 571 145 525T137 333Q137 175 145 125T181 46Q209 16 250 16Q290 16 318 46Q347 76 354 130T362 333Q362 478 354 524T321 597Z"></path><path stroke-width="0" id="E55-MJMAIN-2E" d="M78 60Q78 84 95 102T138 120Q162 120 180 104T199 61Q199 36 182 18T139 0T96 17T78 60Z"></path><path stroke-width="0" id="E55-MJMAIN-33" d="M127 463Q100 463 85 480T69 524Q69 579 117 622T233 665Q268 665 277 664Q351 652 390 611T430 522Q430 470 396 421T302 350L299 348Q299 347 308 345T337 336T375 315Q457 262 457 175Q457 96 395 37T238 -22Q158 -22 100 21T42 130Q42 158 60 175T105 193Q133 193 151 175T169 130Q169 119 166 110T159 94T148 82T136 74T126 70T118 67L114 66Q165 21 238 21Q293 21 321 74Q338 107 338 175V195Q338 290 274 322Q259 328 213 329L171 330L168 332Q166 335 166 348Q166 366 174 366Q202 366 232 371Q266 376 294 413T322 525V533Q322 590 287 612Q265 626 240 626Q208 626 181 615T143 592T132 580H135Q138 579 143 578T153 573T165 566T175 555T183 540T186 520Q186 498 172 481T127 463Z"></path><path stroke-width="0" id="E55-MJMAIN-25" d="M465 605Q428 605 394 614T340 632T319 641Q332 608 332 548Q332 458 293 403T202 347Q145 347 101 402T56 548Q56 637 101 693T202 750Q241 750 272 719Q359 642 464 642Q580 642 650 732Q662 748 668 749Q670 750 673 750Q682 750 688 743T693 726Q178 -47 170 -52Q166 -56 160 -56Q147 -56 142 -45Q137 -36 142 -27Q143 -24 363 304Q469 462 525 546T581 630Q528 605 465 605ZM207 385Q235 385 263 427T292 548Q292 617 267 664T200 712Q193 712 186 709T167 698T147 668T134 615Q132 595 132 548V527Q132 436 165 403Q183 385 203 385H207ZM500 146Q500 234 544 290T647 347Q699 347 737 292T776 146T737 0T646 -56Q590 -56 545 0T500 146ZM651 -18Q679 -18 707 24T736 146Q736 215 711 262T644 309Q637 309 630 306T611 295T591 265T578 212Q577 200 577 146V124Q577 -18 647 -18H651Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E55-MJMAIN-30"></use><use xlink:href="#E55-MJMAIN-2E" x="500" y="0"></use><use xlink:href="#E55-MJMAIN-30" x="778" y="0"></use><use xlink:href="#E55-MJMAIN-33" x="1278" y="0"></use><use xlink:href="#E55-MJMAIN-25" x="1778" y="0"></use></g></svg></span><script type="math/tex">0.03\%</script></p><p><span>并且策略拥有较小的最大回撤率，以及较大的夏普率，甚至还降低了风险</span></p><p><span>我们发现跟踪误差略大于策略风险，说明我们的策略还是一个偏主动的策略</span></p><h4><a name="资产信息" class="md-header-anchor"></a><span>资产信息</span></h4><p><strong><span>资金变动情况</span></strong></p><p><span> 接下来再看这套投资组合的账单详情：</span></p><ul><li><span>总计经历了 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E62-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E62-MJMAIN-34" x="0" y="0"></use></g></svg></span><script type="math/tex">4</script><span> 个完整的投资组合建立及平仓的周期，并且在第 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E57-MJMAIN-35" d="M164 157Q164 133 148 117T109 101H102Q148 22 224 22Q294 22 326 82Q345 115 345 210Q345 313 318 349Q292 382 260 382H254Q176 382 136 314Q132 307 129 306T114 304Q97 304 95 310Q93 314 93 485V614Q93 664 98 664Q100 666 102 666Q103 666 123 658T178 642T253 634Q324 634 389 662Q397 666 402 666Q410 666 410 648V635Q328 538 205 538Q174 538 149 544L139 546V374Q158 388 169 396T205 412T256 420Q337 420 393 355T449 201Q449 109 385 44T229 -22Q148 -22 99 32T50 154Q50 178 61 192T84 210T107 214Q132 214 148 197T164 157Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E57-MJMAIN-35" x="0" y="0"></use></g></svg></span><script type="math/tex">5</script><span> 个投资组合建立并部分平仓后，完成了回测</span></li><li><span>总计 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.323ex" height="1.877ex" viewBox="0 -755.9 1000 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E63-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path><path stroke-width="0" id="E63-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E63-MJMAIN-31"></use><use xlink:href="#E63-MJMAIN-32" x="500" y="0"></use></g></svg></span><script type="math/tex">12</script><span> 次卖出操作，其中 </span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E65-MJMAIN-33" d="M127 463Q100 463 85 480T69 524Q69 579 117 622T233 665Q268 665 277 664Q351 652 390 611T430 522Q430 470 396 421T302 350L299 348Q299 347 308 345T337 336T375 315Q457 262 457 175Q457 96 395 37T238 -22Q158 -22 100 21T42 130Q42 158 60 175T105 193Q133 193 151 175T169 130Q169 119 166 110T159 94T148 82T136 74T126 70T118 67L114 66Q165 21 238 21Q293 21 321 74Q338 107 338 175V195Q338 290 274 322Q259 328 213 329L171 330L168 332Q166 335 166 348Q166 366 174 366Q202 366 232 371Q266 376 294 413T322 525V533Q322 590 287 612Q265 626 240 626Q208 626 181 615T143 592T132 580H135Q138 579 143 578T153 573T165 566T175 555T183 540T186 520Q186 498 172 481T127 463Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E65-MJMAIN-33" x="0" y="0"></use></g></svg></span><script type="math/tex">3</script><span> 次止盈平仓，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E62-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E62-MJMAIN-34" x="0" y="0"></use></g></svg></span><script type="math/tex">4</script><span> 次超时平仓，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E61-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E61-MJMAIN-31" x="0" y="0"></use></g></svg></span><script type="math/tex">1</script><span> 次止损平仓，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.877ex" viewBox="0 -755.9 500 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E62-MJMAIN-34" d="M462 0Q444 3 333 3Q217 3 199 0H190V46H221Q241 46 248 46T265 48T279 53T286 61Q287 63 287 115V165H28V211L179 442Q332 674 334 675Q336 677 355 677H373L379 671V211H471V165H379V114Q379 73 379 66T385 54Q393 47 442 46H471V0H462ZM293 211V545L74 212L183 211H293Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E62-MJMAIN-34" x="0" y="0"></use></g></svg></span><script type="math/tex">4</script><span> 次预测平仓</span></li><li><span>从收益情况来看，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="2.323ex" height="1.877ex" viewBox="0 -755.9 1000 808.1" role="img" focusable="false" style="vertical-align: -0.121ex;"><defs><path stroke-width="0" id="E63-MJMAIN-31" d="M213 578L200 573Q186 568 160 563T102 556H83V602H102Q149 604 189 617T245 641T273 663Q275 666 285 666Q294 666 302 660V361L303 61Q310 54 315 52T339 48T401 46H427V0H416Q395 3 257 3Q121 3 100 0H88V46H114Q136 46 152 46T177 47T193 50T201 52T207 57T213 61V578Z"></path><path stroke-width="0" id="E63-MJMAIN-32" d="M109 429Q82 429 66 447T50 491Q50 562 103 614T235 666Q326 666 387 610T449 465Q449 422 429 383T381 315T301 241Q265 210 201 149L142 93L218 92Q375 92 385 97Q392 99 409 186V189H449V186Q448 183 436 95T421 3V0H50V19V31Q50 38 56 46T86 81Q115 113 136 137Q145 147 170 174T204 211T233 244T261 278T284 308T305 340T320 369T333 401T340 431T343 464Q343 527 309 573T212 619Q179 619 154 602T119 569T109 550Q109 549 114 549Q132 549 151 535T170 489Q170 464 154 447T109 429Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E63-MJMAIN-31"></use><use xlink:href="#E63-MJMAIN-32" x="500" y="0"></use></g></svg></span><script type="math/tex">12</script><span> 次卖出操作中，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E64-MJMAIN-39" d="M352 287Q304 211 232 211Q154 211 104 270T44 396Q42 412 42 436V444Q42 537 111 606Q171 666 243 666Q245 666 249 666T257 665H261Q273 665 286 663T323 651T370 619T413 560Q456 472 456 334Q456 194 396 97Q361 41 312 10T208 -22Q147 -22 108 7T68 93T121 149Q143 149 158 135T173 96Q173 78 164 65T148 49T135 44L131 43Q131 41 138 37T164 27T206 22H212Q272 22 313 86Q352 142 352 280V287ZM244 248Q292 248 321 297T351 430Q351 508 343 542Q341 552 337 562T323 588T293 615T246 625Q208 625 181 598Q160 576 154 546T147 441Q147 358 152 329T172 282Q197 248 244 248Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E64-MJMAIN-39" x="0" y="0"></use></g></svg></span><script type="math/tex">9</script><span> 次盈利，</span><span class="MathJax_SVG" tabindex="-1" style="font-size: 100%; display: inline-block;"><svg xmlns:xlink="http://www.w3.org/1999/xlink" width="1.161ex" height="1.994ex" viewBox="0 -755.9 500 858.4" role="img" focusable="false" style="vertical-align: -0.238ex;"><defs><path stroke-width="0" id="E65-MJMAIN-33" d="M127 463Q100 463 85 480T69 524Q69 579 117 622T233 665Q268 665 277 664Q351 652 390 611T430 522Q430 470 396 421T302 350L299 348Q299 347 308 345T337 336T375 315Q457 262 457 175Q457 96 395 37T238 -22Q158 -22 100 21T42 130Q42 158 60 175T105 193Q133 193 151 175T169 130Q169 119 166 110T159 94T148 82T136 74T126 70T118 67L114 66Q165 21 238 21Q293 21 321 74Q338 107 338 175V195Q338 290 274 322Q259 328 213 329L171 330L168 332Q166 335 166 348Q166 366 174 366Q202 366 232 371Q266 376 294 413T322 525V533Q322 590 287 612Q265 626 240 626Q208 626 181 615T143 592T132 580H135Q138 579 143 578T153 573T165 566T175 555T183 540T186 520Q186 498 172 481T127 463Z"></path></defs><g stroke="currentColor" fill="currentColor" stroke-width="0" transform="matrix(1 0 0 -1 0 0)"><use xlink:href="#E65-MJMAIN-33" x="0" y="0"></use></g></svg></span><script type="math/tex">3</script><span> 次亏损</span></li></ul><p><img src='imag/Capital_Table.png' height=720 /></p><p><span>与纯市场方向相比，还是有适量的操作</span></p><p><span>并且事实上，止盈和止损次数均多于最小风险的投资组合（未展示）</span></p><p><span>从操作和收益来看也印证了 “高风险高收益” 的道理</span></p><p><strong><span>仍持仓标的</span></strong></p><p><span> </span><img src='imag/Stock_Hold.png' height=60 /></p><p><span>当然，还会返回回测时间到期时，已经建仓但还没有平仓的标的，在其他分析中不能遗漏</span></p><h3><a name="returnwithdrawal的可视化" class="md-header-anchor"></a><span>Return，Withdrawal的可视化</span></h3><p><span>程序还会返回回测过程中的收益率和（取负）回撤率曲线 </span><p align="left"></p><p><img src='imag/LoopBack_190724_190823.png' height=425 /></p><p><span>我们发现策略的收益率曲线整体在沪深 300 指数以上，说明我们的策略整体收益情况超过基准指数</span></p><p><span>并且整体的回测幅度也相对较小，说明我们的策略较为稳定，在大盘回撤时，没有出现更糟糕的情况（对于在 A 股市场经历过实盘交易的投资者来说，这一点显得尤为重要）</span></p><p><span>至此，</span><strong><span>数据采集及建模</span></strong><span> → </span><strong><span>模型评估与仓位管理</span></strong><span> → </span><strong><span>构建投资组合与回测验证策略</span></strong><span> 的流程已经全部结束</span></p><p><span>【</span><a href='https://github.com/FDUJiaG/QT_Test/tree/master/codes'><strong><span>Return to Codes</span></strong></a><span>】</span></p><p><span>【</span><a href='https://github.com/FDUJiaG/QT_Test'><strong><span>Return to Repositories</span></strong></a><span>】</span></p></div>
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