做量化，不仅要懂编程，有交易经验，而且要数学和统计学要好。恶补统计理论中，好后悔上统计课的时候做白日梦了。。。。。。。。。。。
下面试着尝试了分析双均线能否产生预测力，我们知道很多回测产生的盈利，有时候并不是策略本身的问题，有可能是数据的趋势。本文尝试通过消除平均趋势或者采用随机基准来对比策略的收益，似乎，双均线蛮好。
# -*- coding: utf-8 -*- """ Created on Tue Jun 6 14:50:04 2017 @author: yunjinqi E-mail:yunjinqi@qq.com Differentiate yourself in the world from anyone else. """ # -*- 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/rb000.csv',encoding='gbk') df.head() df.columns=['date','open','high','low','close','volume','amt'] df.head() value=[] for i in range(5,6): for j in range(20,21): 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)) data=pd.DataFrame(value) #data.to_csv('参数优化.csv') #消除趋势后的 df_up=df.cross[df.cross>0] df_down=df.cross[df.cross<0] p=len(df_up)/(len(df_down)+len(df_up)) ll=len(df) mu=p*len(df) mu import random suiji_value=[] for i in range(10000): total=[] for i in range(len(df)): v=random.randint(0,ll) if v<mu: total.append(1) if v>=mu: total.append(-1) total=pd.Series(total) suiji_profit=(df['ret']*total).sum() print(suiji_profit) suiji_value.append(suiji_profit) suiji_value=pd.Series(suiji_value).sum()/10000 suiji_value #随机信号只能够产生平均83.9的收益，而双均线能够产生15593的利润， #有理由相信这是一个好策略 #我们尝试消除平均趋势之后再计算相应的盈利 df['new_ret']=(df['close']-df['close'].shift(1))/df['close'].shift(1) aa=df['new_ret'].mean() df['new_ret1']=df['new_ret']-pd.Series([aa]*len(df)) df['ret2']=df['new_ret1']*df['close'].shift(1) (df['ret2']*df['cross']).sum() #计算出来消除平均趋势之后的收益15571，只差了20多。 #似乎均线策略，马马虎虎证明了，是可以产生预测能力的。
