# 导入需要使用的库import akshare as akimport pandas as pdimport numpy as npimport pandas_ta as ta# 在matplotlib绘图中显示中文和负号import matplotlib.pyplot as pltimport matplotlib as mplmpl.rcParams['font.family'] = 'STKAITI' # 中文字体'STKAITI'plt.rcParams['axes.unicode_minus'] = False # 解决坐标轴负数的负号显示问题# 关闭警告信息import warningswarnings.filterwarnings('ignore')# 获取指数数据index_code = 'sh000300'start_date = pd.to_datetime('2014-01-01')end_date = pd.to_datetime('2023-12-31')price_df = ak.stock_zh_index_daily(symbol=index_code)price_df['date'] = pd.to_datetime(price_df['date']).dt.dateprice_df = price_df[(price_df['date']>=start_date) & (price_df['date']<=end_date)]price_df = price_df.sort_values('date').set_index('date')# 计算每日的收益率price_df['returns'] = price_df['close'].pct_change().shift(-1).fillna(0)
# 计算长短双均线值FastWindow = 9 # 快速均线窗口长度SlowWindow = 2 * FastWindow # 慢速均线窗口长度price_df['ma_s'] = ta.sma(price_df['close'], length=FastWindow)price_df['ma_l'] = ta.sma(price_df['close'], length=SlowWindow)# 计算布林带std = 2.0 # 上下轨的标准差倍数channel = ta.bbands(price_df['close'], length=SlowWindow, std=std)up = f'BBU_{SlowWindow}_{std}' # 通道上轨down = f'BBL_{SlowWindow}_{std}' # 通道下轨middle = f'BBM_{SlowWindow}_{std}' # 通道中轨
price_df[['up_channel','down_channel']] = channel[[up, down]]# 计算择时信号# 开仓信号：当短均线位于长均线上方，并且价格突破了通道上轨时开仓# 清仓信号：当短均线位于长均线下方，并且价格突破了通道下轨时清仓timing_df = pd.DataFrame()timing_df['择时'] = ((price_df['ma_s']>price_df['ma_l']) & (price_df['close']>price_df['up_channel'])) * 1. + \ ((price_df['ma_s']<price_df['ma_l']) & (price_df['close']<price_df['down_channel'])) * -1.timing_df = timing_df.replace(0, np.nan) # 先将0替换为NAtiming_df = timing_df.fillna(method='ffill').fillna(0) # 使用前值填充NAtiming_df[timing_df<=0] = 0timing_df['不择时'] = 1.# 设定止损触发价为通道中轨price_df['stop_price'] = channel[middle]# 如果收盘价低于止损触发价，则清仓止损timing_df['择时'] = ((timing_df['择时'] == 1) & (price_df['close'] > price_df['stop_price'])) * 1.# 计算择时和不择时的每日收益率timing_ret = timing_df.mul(price_df['returns'], axis=0)# 计算累计收益率cumul_ret = (1 + timing_ret.fillna(0)).cumprod() - 1.# 可视化输出cumul_ret.plot(figsize=(10, 6), title='双均线结合通道突破择时和动态止损策略')
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