python-双均线系统-参数优化

# -*- coding: utf-8 -*-
"""
Created on Thu May 25 08:55:12 2017
@author: yunjinqi 
E-mail:yunjinqi@qq.com 
Differentiate yourself in the world from anyone else.
"""
import pandas as pd
import numpy as np
import datetime
import time
#获取数据
df=pd.read_csv('C:/Users/HXWD/Desktop/000001.csv',encoding='gbk')
df.columns=['date','code','name','close','high','low','open','preclose',
'change','change_per','volume','amt']
df=df[['date','open','high','low','close','volume','amt']]
df.head()
value=[]
for i in range(1,21):
    for j in range(21,121):
        df['ma5']=df['close'].rolling(i).mean()
        df['ma20']=df['close'].rolling(j).mean()
        df.ix[df['ma5']>df['ma20'],'cross']=1
        df.ix[df['ma5']<=df['ma20'],'cross']=-1
        #df[['close','ma5','ma20']][-200:].plot()
        df['ret']=(df['close']-df['close'].shift(1))
        df['profit']=df['ret']*df['cross']
        #df['profit'].plot()
        target=df['profit'].sum()
        s=[i,j,target]
        ts=time.strftime('%Y-%m-%d %X', time.localtime() )
        value.append(s)
        print('当前时间:{}短期参数:{},长期参数:{}优化完毕,净利润{}'.format(ts,i,j,s))