美股 布林通道抄底策略
安裝套件¶
In [ ]:
Copied!
!pip install finlab > log.txt
!pip install ta-lib-bin
!pip install finlab > log.txt
!pip install ta-lib-bin
Looking in indexes: https://pypi.org/simple, https://us-python.pkg.dev/colab-wheels/public/simple/
Collecting ta-lib-bin
Downloading ta_lib_bin-0.4.26-cp310-cp310-manylinux_2_17_x86_64.manylinux2014_x86_64.whl (2.9 MB)
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━ 2.9/2.9 MB 29.5 MB/s eta 0:00:00
Requirement already satisfied: numpy in /usr/local/lib/python3.10/dist-packages (from ta-lib-bin) (1.22.4)
Installing collected packages: ta-lib-bin
Successfully installed ta-lib-bin-0.4.26
抄底策略¶
台版的護國神山逆勢抄底策略大家應該不陌生，運用於美股中，我們加入增加站上90日均的條件，並加入排序選出10檔持有，每周換股。可再自行設定停損停利喔
In [ ]:
Copied!
from finlab import data
from finlab.backtest import sim
close = data.get('us_price:close')
low = data.get('us_price:low')
high = data.get('us_price:high')
upperband,middleband,lowerband = data.indicator("BBANDS",adjust_price=False, resample="D", market='US_STOCK', timeperiod=30,nbdevup=float(2.5),nbdevdn=float(2.5),matype=0)
entries = (lowerband > close) & (close > close.average(90)) & (close > 3)
exits = (close > middleband) | close.isna()
# 以150日低點與高點比值做排序，只篩出數值較大的前10檔
rank = low.rolling(150).min() / high.rolling(150).max()
position = entries.hold_until(exits, nstocks_limit=10, rank=rank)
report = sim(position, resample='W', position_limit=0.1, name='美股_布林通道抄底策略')
# report.display()
from finlab import data
from finlab.backtest import sim
close = data.get('us_price:close')
low = data.get('us_price:low')
high = data.get('us_price:high')
upperband,middleband,lowerband = data.indicator("BBANDS",adjust_price=False, resample="D", market='US_STOCK', timeperiod=30,nbdevup=float(2.5),nbdevdn=float(2.5),matype=0)
entries = (lowerband > close) & (close > close.average(90)) & (close > 3)
exits = (close > middleband) | close.isna()
# 以150日低點與高點比值做排序，只篩出數值較大的前10檔
rank = low.rolling(150).min() / high.rolling(150).max()
position = entries.hold_until(exits, nstocks_limit=10, rank=rank)
report = sim(position, resample='W', position_limit=0.1, name='美股_布林通道抄底策略')
# 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 | |
|---|---|---|---|---|
| 17.25% | 0.64 | -41.3% | 70.0% |
| 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 | ||||||||||||||||||
| BOAC BLUESCAPE OPPORTUNITIES ACQUISITION CORP | 2023-06-05 | NaT | 2023-06-02 | NaT | 0.1 | 5.0 | 1615.0 | -1.0 | 0.000000 | 9.970 | 9.97 | 0.000000 | 0.003009 | 0.00000 | -0.003000 | 3.0 | 0.1 | 0.1 |
| DKDCU DATA KNIGHTS ACQUISITION CORP | 2023-05-30 | NaT | 2023-05-26 | 2023-06-11 | 0.1 | 9.0 | 1611.0 | -1.0 | 0.007498 | 10.670 | NaN | 0.000000 | 0.007498 | 0.00000 | 0.000000 | 4.0 | 0.1 | 0.0 |
| DSAQ.U DIRECT SELLING ACQUISITION CORP | 2023-03-27 | NaT | 2023-03-24 | 2023-06-11 | 0.1 | 53.0 | 1567.0 | -1.0 | 0.019857 | 10.374 | NaN | 0.000000 | 0.019857 | 0.00000 | 0.000000 | 2.0 | 0.1 | 0.0 |
| ELP ENERGY CO OF PARANA | 2023-06-05 | NaT | 2023-06-02 | 2023-06-11 | 0.1 | 5.0 | 1615.0 | -1.0 | 0.092266 | 7.370 | 8.05 | 0.000000 | 0.092266 | 0.00000 | 0.000000 | 4.0 | 0.1 | 0.0 |
| LIVBU LIV CAPITAL ACQUISITION CORP II | 2023-05-15 | NaT | 2023-05-12 | 2023-06-11 | 0.1 | 19.0 | 1601.0 | -1.0 | 0.006667 | 10.500 | NaN | 0.000000 | 0.006667 | 0.00000 | 0.000000 | 2.0 | 0.1 | 0.0 |
| MACAU MORINGA ACQUISITION CORP | 2023-05-30 | NaT | 2023-05-26 | 2023-06-11 | 0.1 | 9.0 | 1611.0 | -1.0 | 0.000000 | 10.250 | NaN | 0.000000 | 0.000000 | 0.00000 | 0.000000 | 0.0 | 0.1 | 0.0 |
| NUBIU NUBIA BRAND INTERNATIONAL CORP | 2023-05-30 | NaT | 2023-05-26 | NaT | 0.1 | 9.0 | 1611.0 | -1.0 | -0.016901 | 10.650 | 10.47 | -0.016901 | 0.000000 | 0.00000 | -0.016901 | 0.0 | 0.1 | 0.1 |
| SINT SINTX TECHNOLOGIES INC | 2023-02-13 | NaT | 2023-02-10 | 2023-06-11 | 0.1 | 82.0 | 1538.0 | -1.0 | -0.437500 | 2.880 | 1.62 | -0.531250 | 0.156250 | 0.15625 | -0.594595 | 2.0 | 0.1 | 0.0 |
| UPTDU TRADEUP ACQUISITION CORP | 2023-05-30 | NaT | 2023-05-26 | NaT | 0.1 | 9.0 | 1611.0 | -1.0 | 0.000000 | 10.550 | 10.55 | 0.000000 | 0.000000 | 0.00000 | 0.000000 | 0.0 | 0.1 | 0.1 |
| VHAQ VIVEON HEALTH ACQUISITION CORP | 2023-06-05 | NaT | 2023-06-02 | 2023-06-11 | 0.1 | 5.0 | 1615.0 | -1.0 | 0.012323 | 10.955 | 11.09 | 0.000000 | 0.012323 | 0.00000 | 0.000000 | 4.0 | 0.1 | 0.0 |
| MTRY MONTEREY INNOVATION ACQUISITION CORP | NaT | NaT | 2023-06-11 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.0 | 0.1 |
| NLST NETLIST INC | NaT | NaT | 2023-06-11 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.0 | 0.1 |
| WING WINGSTOP INC | NaT | NaT | 2023-06-11 | NaT | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | NaN | 0.0 | 0.1 |
In [ ]:
Copied!