股價創新高動能

安裝套件¶

In [1]:

!pip install finlab > log.txt

!pip install finlab > log.txt

股價創新高動能¶

In [2]:

from finlab.backtest import sim
from finlab import data

# 標的範圍為上市櫃普通股
with data.universe(market='TSE_OTC'):
    # 取得收盤價
    close = data.get("price:收盤價")
    # 股價創近200日新高
    position = (close == close.rolling(200).max())
    # 每兩週再平衡，單檔最大持股比例限制20%，停損20%
    report = sim(position, resample="2W", position_limit=0.2, stop_loss=0.2, name="股價創新高策略", upload=False)
    report.display()

from finlab.backtest import sim from finlab import data # 標的範圍為上市櫃普通股 with data.universe(market='TSE_OTC'): # 取得收盤價 close = data.get("price:收盤價") # 股價創近200日新高 position = (close == close.rolling(200).max()) # 每兩週再平衡，單檔最大持股比例限制20%，停損20% report = sim(position, resample="2W", position_limit=0.2, stop_loss=0.2, name="股價創新高策略", upload=False) report.display()

輸入成功!

WARNING:finlab.data:security_categories -- Daily data usage: 339.0 / 5000 MB
WARNING:finlab.data:price:收盤價 -- Daily data usage: 360.5 / 5000 MB
WARNING:finlab.data:etl:adj_close -- Daily data usage: 388.9 / 5000 MB

2732    0.2
2754    0.2
3289    0.2
4102    0.2
5288    0.2
Name: 2022-10-09 00:00:00, dtype: float64

Timestamp('2022-10-09 00:00:00')

創新高延續動能策略¶

In [3]:

from finlab.backtest import sim
from finlab import data
with data.universe(market='TSE_OTC'):
    close = data.get("price:收盤價")
    # 近5日內有3日以上的股價創前200日新高
    position = (close == close.rolling(200).max()).sustain(5,3)
    report = sim(position, resample="2W", position_limit=0.2, stop_loss=0.2, name="創新高延續動能策略", upload=False)
    report.display()

from finlab.backtest import sim from finlab import data with data.universe(market='TSE_OTC'): close = data.get("price:收盤價") # 近5日內有3日以上的股價創前200日新高 position = (close == close.rolling(200).max()).sustain(5,3) report = sim(position, resample="2W", position_limit=0.2, stop_loss=0.2, name="創新高延續動能策略", upload=False) report.display()

5288    0.2
6101    0.2
8996    0.2
Name: 2022-10-09 00:00:00, dtype: float64

Timestamp('2022-10-09 00:00:00')