大盤指標濾網

安裝套件¶

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!pip install finlab > log.txt

!pip install finlab > log.txt

加入大盤指標濾網¶

大盤指標轉空時，出清持股

In [9]:

from finlab import data
from finlab.backtest import sim
import numpy as np
import pandas as pd


# 市場多空排列家數
def ls_order_position(short=5,mid=10,long=30):
    close = data.get("price:收盤價")
    short_ma = close.average(short)
    mid_ma = close.average(mid)
    long_ma = close.average(long)
    long_order = (short_ma>=mid_ma) & (mid_ma>=long_ma)
    long_order = long_order.sum(1)
    short_order = (short_ma<mid_ma) & (mid_ma<long_ma)
    short_order = short_order.sum(1)
    entry = long_order > short_order
    cond = ~close.isna()
    position = cond & entry
    return position


close = data.get("price:收盤價")

# 多頭排列
buy = (close > close.shift(20)) & (close > close.shift(60))

# 套入大盤指標
position = buy & ls_order_position()
report = sim(position, name="ls_order_position",upload=False)
report.display()

from finlab import data from finlab.backtest import sim import numpy as np import pandas as pd # 市場多空排列家數 def ls_order_position(short=5,mid=10,long=30): close = data.get("price:收盤價") short_ma = close.average(short) mid_ma = close.average(mid) long_ma = close.average(long) long_order = (short_ma>=mid_ma) & (mid_ma>=long_ma) long_order = long_order.sum(1) short_order = (short_ma short_order cond = ~close.isna() position = cond & entry return position close = data.get("price:收盤價") # 多頭排列 buy = (close > close.shift(20)) & (close > close.shift(60)) # 套入大盤指標 position = buy & ls_order_position() report = sim(position, name="ls_order_position",upload=False) report.display()

Series([], Name: 2022-09-19 00:00:00, dtype: float64)

Timestamp('2022-09-19 00:00:00')

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