bt版backtrader_创业成长红利低波_动量轮转年化219

一.效果

二.实现

1.获取数据

2.回测

engine = BacktraderEngine(df, start=datetime(2010, 1, 1))
engine.run_algo_strategy(
    algo_list=[
        SelectTopK(K=1, factor_name="roc_20"),  # 先选最好的k个
        WeightEqually(),
        ReBalance(),
    ],
    show_info=False,
)

3.回测数据分析

returns = engine.get_returns()
import empyrical
print("累计收益：", round(empyrical.cum_returns_final(returns), 3))
print("年化收益：", round(empyrical.annual_return(returns), 3))
print("最大回撤：", round(empyrical.max_drawdown(returns), 3))
print("夏普比", round(empyrical.sharpe_ratio(returns), 3))
print("卡玛比", round(empyrical.calmar_ratio(returns), 3))
import quantstats as qs
qs.reports.basic(returns)