美股 輕量版超級績效

安裝套件¶

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!pip install finlab > log.txt

!pip install finlab > log.txt

輕量版超級績效¶

已經看過我們的超級績效影片及文章了嗎？

這邊重新濃縮了主要進場邏輯並改為每月換股，也可以再自行做其他調整看績效能否更好喔

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from finlab import data
from finlab.backtest import sim

# 資料引入
close = data.get('us_price:close')
revenue = data.get('us_fundamental:revenue')
eps = data.get('us_fundamental:eps')
volume = data.get('us_price:volume')
low = data.get('us_price:low')
high = data.get('us_price:high')

from finlab import data from finlab.backtest import sim # 資料引入 close = data.get('us_price:close') revenue = data.get('us_fundamental:revenue') eps = data.get('us_fundamental:eps') volume = data.get('us_price:volume') low = data.get('us_price:low') high = data.get('us_price:high')

輸入成功!

WARNING:finlab.data:us_price:close -- Daily usage: 1298.2 / 5000 MB
WARNING:finlab.data:us_fundamental:revenue -- Daily usage: 1302.8 / 5000 MB
WARNING:finlab.data:us_fundamental:eps -- Daily usage: 1307.3 / 5000 MB
WARNING:finlab.data:us_price:volume -- Daily usage: 1359.1 / 5000 MB
WARNING:finlab.data:us_price:low -- Daily usage: 1404.2 / 5000 MB
WARNING:finlab.data:us_price:high -- Daily usage: 1449.6 / 5000 MB

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# 技術面條件
cond1 = (close.average(50) > close.average(150))
cond2 = close > high.rolling(250).max()*0.75

# 基本面條件
revenue_cond = (revenue > revenue.average(3))
eps_cond = (eps > eps.average(3))

result = cond1 & cond2 & revenue_cond & eps_cond

# 前面條件取交集後再以相對強度排名選出前10檔
rs = close / close.shift(250)
result = result * rs
result = result[result >0].is_largest(10)

# 最後再篩出交易量較低(準備噴發)的個股
result = result & (volume < volume.average(30))
report = sim(result, resample='M', tax_ratio=0, fee_ratio=0, stop_loss=0.15, take_profit=0.2)
# report.display()

# 技術面條件 cond1 = (close.average(50) > close.average(150)) cond2 = close > high.rolling(250).max()*0.75 # 基本面條件 revenue_cond = (revenue > revenue.average(3)) eps_cond = (eps > eps.average(3)) result = cond1 & cond2 & revenue_cond & eps_cond # 前面條件取交集後再以相對強度排名選出前10檔 rs = close / close.shift(250) result = result * rs result = result[result >0].is_largest(10) # 最後再篩出交易量較低(準備噴發)的個股 result = result & (volume < volume.average(30)) report = sim(result, resample='M', tax_ratio=0, fee_ratio=0, stop_loss=0.15, take_profit=0.2) # report.display()

WARNING:finlab.data:us_fundamental:datekey -- Daily usage: 1454.7 / 5000 MB
WARNING:finlab.data:security_categories -- Daily usage: 1496.3 / 5000 MB
WARNING:finlab.data:us_tickers -- Daily usage: 1506.2 / 5000 MB
WARNING:finlab.data:us_price:adj_close -- Daily usage: 1552.6 / 5000 MB
WARNING:finlab.data:world_index:adj_close -- Daily usage: 1558.3 / 5000 MB
/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
	40.06%	1.04	-41.55%	52.3%

	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
JFIN JIAYIN GROUP INC	2023-06-01	2023-06-06	2023-05-31	2023-06-05	0.142857	3.0	1613.0	1616.0	0.107937	6.30	6.98	0.000000	0.269841	0.000000	-0.127500	3.0	0.000000	0.000000
AEHR AEHR TEST SYSTEMS	2023-06-01	NaT	2023-05-31	2023-06-30	0.142857	7.0	1613.0	-1.0	0.104075	38.53	42.54	0.000000	0.104075	0.000000	-0.032918	6.0	0.142857	0.000000
GOCO GOHEALTH INC	2023-06-01	NaT	2023-05-31	NaT	0.142857	7.0	1613.0	-1.0	0.010283	19.45	19.65	-0.001028	0.028278	0.028278	-0.028500	5.0	0.142857	0.166667
IMGN IMMUNOGEN INC	2023-06-01	NaT	2023-05-31	2023-06-09	0.142857	7.0	1613.0	-1.0	0.211009	14.17	17.16	0.000000	0.211009	0.000000	-0.042941	6.0	0.142857	0.000000
IMPP IMPERIAL PETROLEUM INC/MARSHALL ISLANDS	2023-06-01	NaT	2023-05-31	NaT	0.142857	7.0	1613.0	-1.0	0.173410	3.46	4.06	0.000000	0.173410	0.000000	-0.032432	6.0	0.142857	0.166667
RXDX PROMETHEUS BIOSCIENCES INC	2023-06-01	NaT	2023-05-31	2023-06-30	0.142857	7.0	1613.0	-1.0	0.001712	198.65	198.99	0.000000	0.001712	0.000000	-0.000151	6.0	0.142857	0.000000
SEAC SEACHANGE INTERNATIONAL INC	2023-06-01	NaT	2023-05-31	NaT	0.142857	7.0	1613.0	-1.0	0.097944	8.27	9.08	0.000000	0.114873	0.000000	-0.020607	6.0	0.142857	0.166667
ELF ELF BEAUTY INC	NaT	NaT	2023-06-30	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.000000	0.166667
HIPO HIPPO HOLDINGS INC	NaT	NaT	2023-06-30	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.000000	0.166667
SYM SYMBOTIC INC	NaT	NaT	2023-06-30	NaT	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	NaN	0.000000	0.166667

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