{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "import sys\n", "\n", "sys.path.insert(0, \"../../\")\n", "from pyecharts import online\n", "\n", "online()\n", "# 演示必要的准备代码，使用该库时不需重复此单元格命令" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "import xalpha as xa\n", "import pandas as pd" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "# 基金定投探究" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "波动和成长，标的的性质如何影响定投的成绩" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "zz500 = xa.indexinfo(\"0000905\")\n", "zz500b = xa.indexinfo(\"0000831\")\n", "# 采用中证500和500低贝进行研究" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [], "source": [ "zz500.bcmkset(xa.cashinfo())\n", "zz500b.bcmkset(xa.cashinfo())" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.31811907574774867, 0.29669632893344722)" ] }, "execution_count": 6, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500.algorithm_volatility(), zz500b.algorithm_volatility()\n", "# 低波波动性低的也没那么明显" ] }, { "cell_type": "code", "execution_count": 13, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.12470000000000001, 0.1726)" ] }, "execution_count": 13, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500.total_annualized_returns(), zz500b.total_annualized_returns()\n", "# 不过低波的收益率可是强多了" ] }, { "cell_type": "code", "execution_count": 15, "metadata": {}, "outputs": [], "source": [ "auto = xa.policy.scheduled(\n", " zz500, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n", ")\n", "autob = xa.policy.scheduled(\n", " zz500b, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n", ")\n", "# 每周四定投1000元" ] }, { "cell_type": "code", "execution_count": 18, "metadata": {}, "outputs": [], "source": [ "zz500t = xa.trade(zz500, auto.status)\n", "zz500bt = xa.trade(zz500b, autob.status)" ] }, { "cell_type": "code", "execution_count": 22, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.45607187160394663, 0.46458845644291197)" ] }, "execution_count": 22, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500t.xirrrate(\"2015-06-01\"), zz500bt.xirrrate(\"2015-06-01\")\n", "# 到牛市顶部时，年化收益率竟然差不多" ] }, { "cell_type": "code", "execution_count": 23, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
0中证500000090510.6272083.908953211.76565492.42208000.0208000.0208000.00.00.113566357492.42171.8714
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" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 历史最大占用 \\\n", "0 中证500 0000905 10.627208 3.9089 53211.76 565492.42 208000.0 208000.0 \n", "\n", " 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "0 208000.0 0.0 0.113566 357492.42 171.8714 " ] }, "execution_count": 23, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500t.dailyreport(\"2015-06-01\")" ] }, { "cell_type": "code", "execution_count": 24, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
0500µÍ±´000083114.6304015.291139311.42575141.83208000.0208000.0208000.00.00.113566367141.83176.5105
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" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 \\\n", "0 500µÍ±´ 0000831 14.630401 5.2911 39311.42 575141.83 208000.0 \n", "\n", " 历史最大占用 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "0 208000.0 208000.0 0.0 0.113566 367141.83 176.5105 " ] }, "execution_count": 24, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500bt.dailyreport(\"2015-06-01\")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "由此可见，虽然低波的一次性投入对应的年化收益很高，但最终定投下来和普通500指数的收益差不多。。。。" ] }, { "cell_type": "code", "execution_count": 25, "metadata": {}, "outputs": [], "source": [ "# 还是换创业板暴力一发吧，让你们领略一下15年神创的风采\n", "cyb = xa.indexinfo(\"1399006\")" ] }, { "cell_type": "code", "execution_count": 26, "metadata": {}, "outputs": [], "source": [ "cyb.bcmkset(xa.cashinfo())" ] }, { "cell_type": "code", "execution_count": 27, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.30730000000000002, 0.30155185277351393)" ] }, "execution_count": 27, "metadata": {}, "output_type": "execute_result" } ], "source": [ "cyb.total_annualized_returns(\"2015-06-01\"), cyb.algorithm_volatility(\"2015-06-01\")\n", "# 令人眼红的收益率" ] }, { "cell_type": "code", "execution_count": 28, "metadata": {}, "outputs": [], "source": [ "autoc = xa.policy.scheduled(\n", " cyb, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n", ")" ] }, { "cell_type": "code", "execution_count": 30, "metadata": {}, "outputs": [], "source": [ "cybt = xa.trade(cyb, autoc.status)" ] }, { "cell_type": "code", "execution_count": 31, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
0创业板指13990063.8210310.9779212690.33812696.24208000.0208000.0208000.00.00.113566604696.24290.7193
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" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 历史最大占用 \\\n", "0 创业板指 1399006 3.821031 0.9779 212690.33 812696.24 208000.0 208000.0 \n", "\n", " 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "0 208000.0 0.0 0.113566 604696.24 290.7193 " ] }, "execution_count": 31, "metadata": {}, "output_type": "execute_result" } ], "source": [ "cybt.dailyreport(\"2015-06-01\")\n", "# 就问你怕不怕，同样的投入现金流，收益绝对值接近翻倍" ] }, { "cell_type": "code", "execution_count": 32, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.6452718352308852" ] }, "execution_count": 32, "metadata": {}, "output_type": "execute_result" } ], "source": [ "cybt.xirrrate(\"2015-06-01\") # 60%多的年化" ] }, { "cell_type": "code", "execution_count": 34, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.07698746449319872" ] }, "execution_count": 34, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 不过如果不幸没有止盈，持有到现在\n", "cybt.xirrrate()" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "让我这次定投一个大蓝筹" ] }, { "cell_type": "code", "execution_count": 38, "metadata": {}, "outputs": [], "source": [ "sz50 = xa.indexinfo(\"0000016\")" ] }, { "cell_type": "code", "execution_count": 39, "metadata": {}, "outputs": [], "source": [ "autod = xa.policy.scheduled(\n", " sz50, 1000, pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\")\n", ")" ] }, { "cell_type": "code", "execution_count": 41, "metadata": {}, "outputs": [], "source": [ "sz50t = xa.trade(sz50, autod.status)" ] }, { "cell_type": "code", "execution_count": 42, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
0上证５０00000163.2079191.6901123070.13394798.98208000.0208000.0208000.00.00.113566186798.9889.8072
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" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 历史最大占用 \\\n", "0 上证５０ 0000016 3.207919 1.6901 123070.13 394798.98 208000.0 208000.0 \n", "\n", " 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "0 208000.0 0.0 0.113566 186798.98 89.8072 " ] }, "execution_count": 42, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sz50t.dailyreport(\"2015-06-01\")" ] }, { "cell_type": "code", "execution_count": 43, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.28189135734500326" ] }, "execution_count": 43, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sz50t.xirrrate(\"2015-06-01\")\n", "# 不愧江湖诨号大烂臭，收益在15年的牛市中远小于中小盘" ] }, { "cell_type": "code", "execution_count": 45, "metadata": {}, "outputs": [], "source": [ "sz50.bcmkset(xa.cashinfo(), start=\"2011-01-01\")" ] }, { "cell_type": "code", "execution_count": 46, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.2333094161336661" ] }, "execution_count": 46, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sz50.algorithm_volatility(\"2015-06-01\")\n", "# 真点低波" ] }, { "cell_type": "code", "execution_count": 48, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.06558331152460622" ] }, "execution_count": 48, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 持有到现在，即使这几年大盘股反杀，依旧不如创业板\n", "sz50t.xirrrate()" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 试一下定期不定额的加强效果" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [], "source": [ "autoe = xa.policy.scheduled_tune(\n", " zz500,\n", " 600,\n", " times=pd.date_range(\"2011-01-01\", \"2015-01-01\", freq=\"W-THU\"),\n", " piece=[(3, 5), (3.5, 3), (4, 2), (5.5, 1)],\n", ")" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [], "source": [ "zz500t2 = xa.trade(zz500, autoe.status)" ] }, { "cell_type": "code", "execution_count": 10, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "
\n", "\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 10, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500t2.v_tradevolume() # 每周的买入情况" ] }, { "cell_type": "code", "execution_count": 14, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "
\n", "\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 14, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500t2.v_tradecost(end=\"2015-06-01\") # 定投对于成本的平滑\n", "# 看似收益很高，但你真的能承受住开始定投后长达两年多的浮亏么，甚至很多至暗时刻，浮亏超过20%，能坚持下来么" ] }, { "cell_type": "code", "execution_count": 21, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
0中证50000009052.8539253.640531643.6290308.51115200.0115200.0115200.00.00.262968-24891.49-21.6072
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" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 历史最大占用 \\\n", "0 中证500 0000905 2.853925 3.6405 31643.62 90308.51 115200.0 115200.0 \n", "\n", " 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "0 115200.0 0.0 0.262968 -24891.49 -21.6072 " ] }, "execution_count": 21, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500t2.dailyreport(\"2012-11-30\") # 看一下至暗时刻的投资表现" ] }, { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
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基金名称基金代码当日净值单位成本持有份额基金现值基金总申购历史最大占用基金持有成本基金分红与赎回换手率基金收益总额投资收益率
0中证500000090510.6272083.683863684.82676791.8234600.0234600.0234600.00.00.113566442191.8188.4876
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" ], "text/plain": [ " 基金名称 基金代码 当日净值 单位成本 持有份额 基金现值 基金总申购 历史最大占用 \\\n", "0 中证500 0000905 10.627208 3.6838 63684.82 676791.8 234600.0 234600.0 \n", "\n", " 基金持有成本 基金分红与赎回 换手率 基金收益总额 投资收益率 \n", "0 234600.0 0.0 0.113566 442191.8 188.4876 " ] }, "execution_count": 11, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500t2.dailyreport(\"2015-06-01\") # 收益率略有提高" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.49963825079451923" ] }, "execution_count": 12, "metadata": {}, "output_type": "execute_result" } ], "source": [ "zz500t2.xirrrate(\"2015-06-01\") # 年化也小幅提高，不过即使对投资变额如此过优化，收益提升幅度还如此小，似乎意义不是很大" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "最后，通过改变 pd.data_range() 中 freq 的标签，比如 W－WED，或M，可以调整定投在周几定投，或是按月定投，这里就不大篇幅回测其表现对比了，结论就是：收益都差不多" ] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.6.3" } }, "nbformat": 4, "nbformat_minor": 2 }