乖離率和財報濾網

1.安裝套件¶

In [ ]:

!pip install finlab > log.txt

!pip install finlab > log.txt

2.乖離率和財報濾網¶

In [ ]:

from finlab import data
from finlab.backtest import sim

# 下載 ROE 跟收盤價
roe = data.get("fundamental_features:ROE稅後")
close = data.get("price:收盤價")
position = ((close / close.shift(60)).is_largest(30) & (roe > 0))

# 回測，每月(M)調整一次
report = sim(position, resample="M", upload=False)
report.display()

from finlab import data from finlab.backtest import sim # 下載 ROE 跟收盤價 roe = data.get("fundamental_features:ROE稅後") close = data.get("price:收盤價") position = ((close / close.shift(60)).is_largest(30) & (roe > 0)) # 回測，每月(M)調整一次 report = sim(position, resample="M", upload=False) report.display()

INFO:finlab.data:fundamental_features:ROE稅後 -- Daily data usage: 655.7 / 5000 MB

1319    0.055556
1522    0.055556
1524    0.055556
2305    0.055556
2364    0.055556
2482    0.055556
2736    0.055556
2929    0.055556
2939    0.055556
4543    0.055556
5258    0.055556
6113    0.055556
6199    0.055556
6472    0.055556
6655    0.055556
6715    0.055556
8097    0.055556
9802    0.055556
Name: 2022-07-31 00:00:00, dtype: float64

Timestamp('2022-07-31 00:00:00')