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股票回测.md

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股票回测

import numpy as np
import pandas as pd

jiacang = 0.5  # 加仓比例
zhangdiefu = [-0.5, 0.5, 0.5, 0.5, 0.5]
jiacang_arr = []  # 加仓比例
benjin_arr = [100]  # 本金
shouyi_arr = []  # 收益
shengyu_arr = []  # 剩余持仓
jc_money_arr = []  # 加仓金额
zongjine_arr = []  # 总金额
chicang_arr = []  # 持仓
zongshouyi_arr = []  # 总收益比例

def get_shengyu(m, zd):
  shouyi = m * zd
  shengyu = m + shouyi
  yinkuibili = (shengyu - m) / m
  return shengyu, shouyi, yinkuibili

def get_cc_total(m,shengyu, jc):
  jc_money = m * jc
  chicang = shengyu + m * jc  # 目前持仓
  zongjine = m + m*jc
  return chicang, zongjine, jc_money



for key,value in enumerate(zhangdiefu):
  if (key > 0):
    benjin_arr.append(money)
  jiacang_arr.append(jiacang)
  benjin = benjin_arr[key]
  shengyu, shouyi, yinkuibili = get_shengyu(benjin, value)
  chicang, zongjine, jc_money = get_cc_total(benjin, shengyu, jiacang)
  money = chicang
  shengyu_arr.append(shengyu)
  shouyi_arr.append(shouyi)
  chicang_arr.append(chicang)
  zongjine_arr.append(zongjine)
  jc_money_arr.append(jc_money)
  zongshouyi_arr.append(yinkuibili)

data = {
  '本金': benjin_arr,
  '涨跌幅': zhangdiefu,
  '剩余': shengyu_arr,
  '加仓比例': jiacang_arr, # 回测变量
  '加仓金额': jc_money_arr,  # 回测变量
  '持仓金额': chicang_arr,
  '总金额': zongjine_arr,
  '总收益': zongshouyi_arr
}

df = pd.DataFrame(data)

# print(df)


def per(x):
  return f'{x * 100}%'

df['总收益'] = df['总收益'].map(per)
df['涨跌幅'] = df['涨跌幅'].map(per)
df['加仓比例'] = df['加仓比例'].map(per)
print(df)



# zhangdie_arr = np.array(zhangdiefu)
# print(zhangdie_arr)
# zhangdie_arr = 100 * zhangdie_arr
# zhangdie_arr = zhangdie_arr + '%'
# zhangdie_arr = zhangdie_arr.tolist()
# print(zhangdie_arr)
      本金     涨跌幅      剩余   加仓比例   加仓金额    持仓金额     总金额     总收益
0  100.0  -50.0%    50.0  50.0%   50.0   100.0   150.0  -50.0%
1  100.0   50.0%   150.0  50.0%   50.0   200.0   150.0   50.0%
2  200.0   50.0%   300.0  50.0%  100.0   400.0   300.0   50.0%
3  400.0   50.0%   600.0  50.0%  200.0   800.0   600.0   50.0%
4  800.0   50.0%  1200.0  50.0%  400.0  1600.0  1200.0   50.0%

def get_shengyu(m, zd):
  shouyi = m * zd
  shengyu = m + shouyi
  yinkuibili = (shengyu - m) / m
  return shengyu, shouyi, yinkuibili


def get_cc_total(m, shengyu, jc):
  jc_money = m * jc
  chicang = shengyu + m * jc  # 目前持仓
  zongjine = m + m*jc
  return chicang, zongjine, jc_money


def per(x):
  return f'{x * 100}%'

def back_value(first=100, zhangdiefu=[], jiacang=0.5, format=True):
  jiacang = jiacang  # 加仓比例
  zhangdiefu = zhangdiefu
  jiacang_arr = []  # 加仓比例
  benjin_arr = [first]  # 第一次持仓金额
  shouyi_arr = []  # 收益
  shengyu_arr = []  # 剩余持仓
  jc_money_arr = []  # 加仓金额
  zongjine_arr = []  # 总金额
  chicang_arr = []  # 持仓
  zongshouyi_arr = []  # 总收益比例
  for key, value in enumerate(zhangdiefu):
    if (key > 0):
      benjin_arr.append(money)
    jiacang_arr.append(jiacang)
    benjin = benjin_arr[key]
    shengyu, shouyi, yinkuibili = get_shengyu(benjin, value)
    chicang, zongjine, jc_money = get_cc_total(benjin, shengyu, jiacang)
    money = chicang
    shengyu_arr.append(shengyu)
    shouyi_arr.append(shouyi)
    chicang_arr.append(chicang)
    zongjine_arr.append(zongjine)
    jc_money_arr.append(jc_money)
    zongshouyi_arr.append(yinkuibili)

  data = {
      '本金': benjin_arr,
      '涨跌幅': zhangdiefu,
      '剩余': shengyu_arr,
      '加仓比例': jiacang_arr,  # 回测变量
      '加仓金额': jc_money_arr,  # 回测变量
      '持仓金额': chicang_arr,
      '总金额': zongjine_arr,
      '总收益': zongshouyi_arr
  }
  df = pd.DataFrame(data)
  if format == True:
    df['总收益'] = df['总收益'].map(per)
    df['涨跌幅'] = df['涨跌幅'].map(per)
    df['加仓比例'] = df['加仓比例'].map(per)
  return df

zhangdiefu = [-0.5, -0.5, -0.5, -0.5, 0.5]
jiacang = 0
first_money = 10000

back_value(first_money,zhangdiefu, jiacang)
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本金 涨跌幅 剩余 加仓比例 加仓金额 持仓金额 总金额 总收益
0 10000.0 -50.0% 5000.0 0% 0.0 5000.0 10000.0 -50.0%
1 5000.0 -50.0% 2500.0 0% 0.0 2500.0 5000.0 -50.0%
2 2500.0 -50.0% 1250.0 0% 0.0 1250.0 2500.0 -50.0%
3 1250.0 -50.0% 625.0 0% 0.0 625.0 1250.0 -50.0%
4 625.0 50.0% 937.5 0% 0.0 937.5 625.0 50.0% 
from prettytable import PrettyTable
table = PrettyTable()


# table.add_column('本金', benjin_arr)
# table.add_column('涨跌', [f'{zhangdie * 100}%'])
# table.add_column('收益', [shouyi])
# table.add_column('剩余', [shengyu])
# table.add_column('加仓', [f'{jiacang * 100}%'])
# table.add_column('加仓金额', [jc_money])
# table.add_column('持仓', [chicang])
# table.add_column('总计', [zongjine])
# print(table)
import math
import pandas as pd

gujia = [1, 0.5]
bishu = []
shizhi = []
zhangdie = []
jiacang = []
jiacangjinge = []
jiacangbishu = []
benjin = []
zongjinge = []
zongbishu = []
chenbenjia = []

data = {}

# gujia = 1 # 当前股价
# bishu = 100 # 笔数
# shizhi = 10000 # 当前市值 = 股价 * 笔数
gujia_arr = [1, 0.5]
shizhi_arr = [] # 实际市值
bishu_arr = []
zhangdiefu_arr = [0]  # 涨跌幅 = 现价-上一次价格/上一次价格
jiacang_arr = [] # 加仓比例
jiacangjine_arr = [0] # 加仓金额 = 加仓比例 * 上一次本金
jiacangbishu_arr = [0] # 加仓笔数 = 加仓金额 / 股价
benjin_arr = [] # 本金 = 加仓金额 + 市值
zongjine_arr = [] # 总金额 = 上一次总金额 + 这一次加仓金额
zongbishu_arr = [] # 总笔数 = 上一次总笔数 + 这一次总笔数
chengben_arr = [] # 成本 = 本金/总笔数

# 根据笔数与股价获取市值与笔数
def get_shizhi(bishu, gujia):
  # 笔数要大于100 并且是 10 的整数
  if bishu >= 100 and bishu % 10 == 0:
    shizhi = bishu * gujia
    return bishu,shizhi
  else:
    bishu += 1
    return get_shizhi(bishu, gujia)

# print(get_shizhi(1001, 19))
    
# 根据市值，获取对应笔数和对应市值
def get_bishu(shizhi, gujia):
  bishu = shizhi / gujia
  if bishu < 100 and bishu % 10 == 0:
    shizhi += 10
    return get_bishu(shizhi, gujia)
  else:
    # 向上取整
    bishu = math.ceil(bishu)
    if bishu % 10 != 0:
      shizhi += 1
      return get_bishu(shizhi, gujia)
    else:
      return bishu, shizhi

# print(get_bishu(10000, 19.2))


def back_value(prices=[100, 50, 25], first_qiwang_shizhi=10000, jiacang = 1):
  for key, value in enumerate(prices):
    if key == 0:
      jiacang_arr.append(0)
      bishu, shizhi = get_bishu(first_qiwang_shizhi, value)
      bishu_arr.append(bishu)
      benjin_arr.append(shizhi) # 第一次本金=市值
      shizhi_arr.append(shizhi)
      zongjine_arr.append(shizhi)
      zongbishu_arr.append(bishu) # 总笔数=笔数
      chengben_arr.append(value)
    if key > 0:
      pre_value = prices[key-1]
      if (value <= pre_value):
        zhangdiefu = (value - pre_value) / prices[key-1]
      else:
        zhangdiefu = value / pre_value
      bishu_arr.append(zongbishu_arr[key-1])
      pre_bishu = zongbishu_arr[key-1]
      shizhi = value * pre_bishu
      shizhi_arr.append(shizhi)
      zhangdiefu_arr.append(zhangdiefu)
      jiacang_arr.append(jiacang)
      jiacangjine = jiacang * benjin_arr[key-1]  # 期望金额
      jiacangbishu, jiacangjine = get_bishu(jiacangjine, value)  # 实际加仓金额
      jiacangbishu_arr.append(jiacangbishu)
      jiacangjine_arr.append(jiacangjine)
      benjin = jiacangjine + shizhi
      benjin_arr.append(benjin)
      zongjine = zongjine_arr[key-1] + jiacangjine
      zongjine_arr.append(zongjine)
      zongbishu = zongbishu_arr[key-1] + jiacangbishu
      zongbishu_arr.append(zongbishu)
      chengben = benjin / zongbishu
      chengben_arr.append(chengben)
  data = {
      "股价": prices,
      "笔数": bishu_arr,
      "市值": shizhi_arr,
      "涨跌幅": zhangdiefu_arr,
      "加仓": jiacang_arr,
      "加仓金额": jiacangjine_arr,
      "加仓笔数": jiacangbishu_arr,
      "持仓金额": benjin_arr,
      "总金额": zongjine_arr,
      "总笔数": zongbishu_arr,
      "成本价": chengben_arr
  }
  df = pd.DataFrame(data)
  return df
back_value()
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股价 笔数 市值 涨跌幅 加仓 加仓金额 加仓笔数 持仓金额 总金额 总笔数 成本价
0 100 100 10000 0.0 0 0 0 10000 10000 100 100.0
1 50 100 5000 -0.5 1 10000 200 15000 20000 300 50.0
2 25 300 7500 -0.5 1 15000 600 22500 35000 900 25.0 
import math
math.ceil(526.0)
18.966037735849056