低價股低波動策略

In [ ]:

%%capture
!pip install finlab

%%capture !pip install finlab

低波動因子¶

以股價高低區間計算波動率，找出低波動、創新高的股票。

In [ ]:

from finlab import data
from finlab.backtest import sim

close = data.get('us_price:close')
high = data.get('us_price:high')
low = data.get('us_price:low')
vol =  data.get('us_price:volume')
marketcap = data.get('us_daily_metrics:marketcap')


# 收盤價近5日至少有1日創收盤價近100日創新
condition1 = (close == close.rolling(100).max()).sustain(5,1)
# 近60日股價高低區間在25%內
condition2 = (1 - low.rolling(60).min()/high.rolling(60).max()) < 0.25
# 收盤價低於整體市場分級的50%
condition3 = close <= close.quantile_row(0.5)
# 成交均量不能太低
condition4 = vol.average(10) > 10000

position = condition1 & condition2 & condition3 & condition4
position *= vol
position = position[position > 0].is_smallest(10)

report = sim(position, resample="2w", fee_ratio=0, tax_ratio=0, position_limit=0.1, stop_loss=0.05, name="美股低價股低波動策略")
# report.display()

from finlab import data from finlab.backtest import sim close = data.get('us_price:close') high = data.get('us_price:high') low = data.get('us_price:low') vol = data.get('us_price:volume') marketcap = data.get('us_daily_metrics:marketcap') # 收盤價近5日至少有1日創收盤價近100日創新 condition1 = (close == close.rolling(100).max()).sustain(5,1) # 近60日股價高低區間在25%內 condition2 = (1 - low.rolling(60).min()/high.rolling(60).max()) < 0.25 # 收盤價低於整體市場分級的50% condition3 = close <= close.quantile_row(0.5) # 成交均量不能太低 condition4 = vol.average(10) > 10000 position = condition1 & condition2 & condition3 & condition4 position *= vol position = position[position > 0].is_smallest(10) report = sim(position, resample="2w", fee_ratio=0, tax_ratio=0, position_limit=0.1, stop_loss=0.05, name="美股低價股低波動策略") # report.display()

/usr/local/lib/python3.10/dist-packages/finlab/analysis/alphaBetaAnalysis.py:22: RuntimeWarning:

invalid value encountered in double_scalars

	annualized_rate_of_return	sharpe	max_drawdown	win_ratio
	10.96%	0.81	-14.34%	55.0%

	entry_date	exit_date	entry_sig_date	exit_sig_date	position	period	entry_index	exit_index	return	trade_price@entry_date	trade_price@exit_date	mae	gmfe	bmfe	mdd	pdays	weight	next_weights
stock_id
CSLM CONSILIUM ACQUISITION CORP I LTD	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	0.000000	10.47	NaN	-0.000955	0.000000	0.000000	-0.000955	0.0	0.1	0.0
ENTF ENTERPRISE 40 TECHNOLOGY ACQUISITION CORP	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	0.000943	10.61	NaN	0.000000	0.000943	0.000000	0.000000	4.0	0.1	0.0
FNVT FINNOVATE ACQUISITION CORP	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	0.003791	10.55	10.590	0.000000	0.003791	0.000000	0.000000	3.0	0.1	0.0
GFGD GROWTH FOR GOOD ACQUISITION CORP	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	0.001448	10.36	10.375	0.000000	0.002896	0.000000	-0.001444	4.0	0.1	0.0
IOAC INNOVATIVE INTERNATIONAL ACQUISITION CORP	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	-0.012739	10.99	10.850	-0.012739	0.054595	0.054595	-0.063848	2.0	0.1	0.0
IVCP SWIFTMERGE ACQUISITION CORP	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	0.006744	10.38	10.450	-0.015414	0.008671	0.008671	-0.023878	2.0	0.1	0.0
MCAC MONTEREY CAPITAL ACQUISITION CORP	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	0.000000	10.41	NaN	0.000000	0.000000	0.000000	0.000000	0.0	0.1	0.0
PUCK GOAL ACQUISITIONS CORP	2023-06-05	NaT	2023-06-02	2023-06-18	0.1	5.0	1615.0	-1.0	0.002913	10.30	10.330	0.000000	0.002913	0.000000	0.000000	1.0	0.1	0.0
SCAQ STRATIM CLOUD ACQUISITION CORP	2023-06-05	NaT	2023-06-02	NaT	0.1	5.0	1615.0	-1.0	0.001946	10.28	10.300	0.000000	0.001946	0.000000	0.000000	3.0	0.1	0.1
TLGA TLG ACQUISITION ONE CORP	2023-05-22	NaT	2023-05-19	2023-06-18	0.1	14.0	1606.0	-1.0	0.000000	10.52	10.520	-0.019011	0.000000	0.000000	-0.019011	0.0	0.1	0.0
ALPA ALPHA HEALTHCARE ACQUISITION CORP III	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
ANZU ANZU SPECIAL ACQUISITION CORP I	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
AOGO AROGO CAPITAL ACQUISITION CORP	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
BMAC BLACK MOUNTAIN ACQUISITION CORP	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
CORS CORSAIR PARTNERING CORP	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
FRBN FORBION EUROPEAN ACQUISITION CORP	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
ICNC ICONIC SPORTS ACQUISITION CORP	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
SLVR SILVERSPAC INC	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1
TRTL TORTOISEECOFIN ACQUISITION CORP III	NaT	NaT	2023-06-18	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.0	0.1

In [ ]:

position['GMFIU'].tail(10)

position['GMFIU'].tail(10)

Out[ ]:

date
2023-05-26    False
2023-05-30    False
2023-05-31    False
2023-06-01    False
2023-06-02     True
2023-06-05    False
2023-06-06    False
2023-06-07    False
2023-06-08    False
2023-06-09    False
Name: GMFIU, dtype: bool

In [ ]:

vol['GMFIU'].tail(10)

vol['GMFIU'].tail(10)

Out[ ]:

date
2023-05-26      0.0
2023-05-30      0.0
2023-05-31      1.0
2023-06-01      0.0
2023-06-02    125.0
2023-06-05      NaN
2023-06-06      NaN
2023-06-07      NaN
2023-06-08      NaN
2023-06-09      NaN
Name: GMFIU, dtype: float64

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