python 收益与风险图表集成

朴灿烈づ我的快乐病毒、 2023-06-04 08:54 11阅读 0赞

> 呈现  
> 1.盈亏状态的买卖区间及标注上买卖信号点  
> 2.资金曲线及资金最大回撤点  
> 3.基准收益曲线及使用策略后的收益曲线

#### 例程代码 ####

import pandas_datareader.data as web
    import pandas as pd
    import numpy as np
    import datetime
    import matplotlib.pyplot as plt
    
    import matplotlib.gridspec as gridspec  # 分割子图
    
    plt.rcParams['font.sans-serif']=['SimHei'] #用来正常显示中文标签
    plt.rcParams['axes.unicode_minus']=False #用来正常显示负号
    
    #股票数据获取及处理接口
    def GetStockDatApi(stockName=None,stockTimeS=None,stockTimeE=None, N1=15,N2=5):
    
        stockdata = web.DataReader(stockName, "yahoo", stockTimeS, stockTimeE)
    
        stockdata['N1_High'] = stockdata.High.rolling(window=N1).max()#计算最近N1个交易日最高价
        # expanding 从最开始到当前的最大值
        expan_max = stockdata.Close.expanding().max()
        stockdata['N1_High'].fillna(value=expan_max,inplace=True)#目前出现过的最大值填充前N1个nan
    
        stockdata['N2_Low'] = stockdata.Low.rolling(window=N2).min()#计算最近N2个交易日最低价
        expan_min = stockdata.Close.expanding().min()
        stockdata['N2_Low'].fillna(value=expan_min,inplace=True)#目前出现过的最小值填充前N2个nan
    
        #收盘价超过N1最高价 买入股票持有
        buy_index = stockdata[stockdata.Close > stockdata.N1_High.shift(1)].index
        stockdata.loc[buy_index,'signal'] = 1
        #收盘价超过N2最低价 卖出股票持有
        sell_index = stockdata[stockdata.Close < stockdata.N2_Low.shift(1)].index
        stockdata.loc[sell_index,'signal'] = 0
        stockdata['signal'].fillna(method = 'ffill',inplace = True)
        stockdata['signal'] = stockdata.signal.shift(1)
        stockdata['signal'].fillna(method = 'bfill',inplace = True)
    
        return stockdata
    
    #初始化变量
    skip_days = 0
    cash_hold = 100000 #初始资金
    posit_num = 0 #持股数目
    market_total = 0 #持股市值
    
    #创建图表
    fig = plt.figure(figsize=(10, 8), dpi=100, facecolor="white")#创建fig对象
    gs = gridspec.GridSpec(3, 1, left=0.05, bottom=0.1, right=0.96, top=0.96, wspace=None, hspace=0.05, height_ratios=[4,2,2])
    graph_trade = fig.add_subplot(gs[0,:])
    graph_total = fig.add_subplot(gs[1,:])
    graph_profit = fig.add_subplot(gs[2,:])
    
    #获取股票交易数据
    df_stockload = GetStockDatApi("600410.SS",datetime.datetime(2018, 10, 1), datetime.datetime(2019, 4, 1))
    
    for kl_index, today in df_stockload.iterrows():
        # 买入/卖出执行代码
        if today.signal == 1 and skip_days == 0:  # 买入
            start = df_stockload.index.get_loc(kl_index)
            skip_days = -1
            posit_num = int(cash_hold / today.Close) #资金转化为股票
            cash_hold = 0
            graph_trade.annotate('买入',xy=(kl_index,df_stockload.Close.asof(kl_index)),xytext=(kl_index, df_stockload.Close.asof(kl_index)+2),arrowprops=dict(facecolor='r',shrink=0.1),horizontalalignment='left',verticalalignment='top')
    
        elif today.signal == 0 and skip_days == -1:  # 卖出 避免未买先卖
            end = df_stockload.index.get_loc(kl_index)
            skip_days = 0
            cash_hold = int(posit_num * today.Close) #股票转化为资金
            market_total = 0
    
            if df_stockload.Close[end] < df_stockload.Close[start]:  # 赔钱显示绿色
                graph_trade.fill_between(df_stockload.index[start:end], 0, df_stockload.Close[start:end], color='green', alpha=0.38)
            else:  # 赚钱显示红色
                graph_trade.fill_between(df_stockload.index[start:end], 0, df_stockload.Close[start:end], color='red', alpha=0.38)
            graph_trade.annotate('卖出',xy=(kl_index,df_stockload.Close.asof(kl_index)),xytext=(kl_index+datetime.timedelta(days=5), df_stockload.Close.asof(kl_index)+2),arrowprops=dict(facecolor='g',shrink=0.1),horizontalalignment='left',verticalalignment='top')
    
        if skip_days == -1: #持股
            market_total = int(posit_num * today.Close)
            df_stockload.loc[kl_index,'total'] = market_total
        else: #空仓
            df_stockload.loc[kl_index,'total'] = cash_hold
    
    #计算基准收益/趋势突破策略收益
    df_stockload['benchmark_profit'] = np.log(df_stockload.Close/df_stockload.Close.shift(1))
    df_stockload['trend_profit'] = df_stockload.signal*df_stockload.benchmark_profit
    df_stockload[['benchmark_profit','trend_profit']].cumsum().plot(grid=True,ax=graph_profit)
    
    #计算收盘价曲线当前的滚动最高值
    df_stockload['max_close'] = df_stockload['Close'].expanding().max()
    df_stockload[['max_close','Close']].plot(grid=True,ax=graph_trade)
    
    #计算资金曲线当前的滚动最高值
    df_stockload['max_total'] = df_stockload['total'].expanding().max()
    df_stockload[['max_total','total']].plot(grid=True,ax=graph_total)
    
    #计算资金曲线在滚动最高值之后所回撤的百分比
    df_stockload['per_total'] = df_stockload['total'] / df_stockload['max_total']
    min_point_total = df_stockload.sort_values(by=['per_total']).iloc[[0], df_stockload.columns.get_loc('per_total')]
    max_point_total = df_stockload[df_stockload.index <= min_point_total.index[0]].sort_values \
        (by=['total'], ascending=False).iloc[[0], df_stockload.columns.get_loc('total')]
    
    #标注滚动最大点及最大回撤点
    graph_total.annotate('滚动最大点',
                         xy=(max_point_total.index[0], df_stockload.total.asof(max_point_total.index[0])),
                         xytext=(max_point_total.index[0], df_stockload.total.asof(max_point_total.index[0]) + 4),
                         arrowprops=dict(facecolor='yellow', shrink=0.1), horizontalalignment='left',
                         verticalalignment='top')
    graph_total.annotate('最大回撤点',
                         xy=(min_point_total.index[0], df_stockload.total.asof(min_point_total.index[0])),
                         xytext=(min_point_total.index[0], df_stockload.total.asof(min_point_total.index[0]) + 4),
                         arrowprops=dict(facecolor='yellow', shrink=0.1), horizontalalignment='left',
                         verticalalignment='top')
    
    #图表显示参数配置
    for label in graph_trade.xaxis.get_ticklabels():
        label.set_visible(False)
    for label in graph_total.xaxis.get_ticklabels():
        label.set_visible(False)
    for label in graph_profit.xaxis.get_ticklabels():
        label.set_rotation(45)
        label.set_fontsize(10)  # 设置标签字体
    graph_trade.set_xlabel("")
    graph_trade.set_title(u'华胜天成 收益与风险度量')
    graph_total.set_xlabel("")
    
    plt.show()

#### 输出结果 ####

![在这里插入图片描述][watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80NDU4MDk3Nw_size_16_color_FFFFFF_t_70]

[watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80NDU4MDk3Nw_size_16_color_FFFFFF_t_70]: /images/20230601/0c6bb5ffcc774350aaba3bf2f32a3245.png