{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "holdings.py is found and loaded within xalpha dir\n" ] }, { "data": { "application/javascript": [ "\n", " require.config({\n", " paths: {\n", " DT: '//cdn.datatables.net/1.10.20/js/jquery.dataTables.min',\n", " }\n", " });\n", " $('head').append('');\n", " $('head').append('')\n", " " ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "import xalpha as xa\n", "import pandas as pd\n", "\n", "xa.set_display(\"notebook\")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "我们探索下 xalpha 的交易模拟功能，以回测一系列主动基虚拟交易为例" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## 基金池\n", "\n", "### 绝对收益\n", "* 广发趋势优选 000215\n", "* 安信稳健增值 001316\n", "* 海富通阿尔法 519062\n", "\n", "### 债基混合\n", "* 鹏华丰禄 003547 0 股票仓位\n", "* 易方达丰和 002969 15 股票仓位\n", "* 易方达裕翔 002351 25 股票仓位\n", "* 易方达安心回馈 001182 40 股票仓位\n", "\n", "### 股基混合\n", "* 519697 交银优势行业\n", "* 519732 交银双息\n", "* 163415 兴权商业模式优选\n", "\n", "### 进攻纯股基\n", "* 001178 前海再融资\n", "* 001938 中欧时代先锋\n", "* 000751 嘉实新兴产业\n" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "fundlist = [\n", " \"000215\",\n", " \"001316\",\n", " \"519062\",\n", " \"003547\",\n", " \"002969\",\n", " \"002351\",\n", " \"001182\",\n", " \"519697\",\n", " \"519732\",\n", " \"163415\",\n", " \"001178\",\n", " \"001938\",\n", " \"000751\",\n", "]" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "infolist = [xa.fundinfo(code) for code in fundlist]" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "[Timestamp('2013-09-11 00:00:00'),\n", " Timestamp('2015-05-25 00:00:00'),\n", " Timestamp('2014-11-20 00:00:00'),\n", " Timestamp('2016-10-27 00:00:00'),\n", " Timestamp('2016-11-23 00:00:00'),\n", " Timestamp('2016-01-22 00:00:00'),\n", " Timestamp('2015-05-29 00:00:00'),\n", " Timestamp('2009-01-21 00:00:00'),\n", " Timestamp('2013-09-04 00:00:00'),\n", " Timestamp('2012-12-18 00:00:00'),\n", " Timestamp('2015-05-18 00:00:00'),\n", " Timestamp('2015-11-03 00:00:00'),\n", " Timestamp('2014-09-17 00:00:00')]" ] }, "execution_count": 4, "metadata": {}, "output_type": "execute_result" } ], "source": [ "startdate = [f.price.iloc[0].date for f in infolist]\n", "startdate\n", "# 看一下这些基金是从什么时候创建的" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "那么我们从20170101开始一揽子买入, 先写个账单" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [], "source": [ "df = pd.DataFrame([[1000 for _ in fundlist]], columns=fundlist)" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "/usr/local/Cellar/python3/3.6.3/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/ipykernel_launcher.py:1: FutureWarning: The pandas.datetime class is deprecated and will be removed from pandas in a future version. Import from datetime instead.\n", " \"\"\"Entry point for launching an IPython kernel.\n" ] }, { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
000215001316519062003547002969002351001182519697519732163415001178001938000751date
10001000100010001000100010001000100010001000100010002017-01-01
`);\n", "\n", " require([\"DT\"], function(DT) {$(document).ready( () => {\n", " // Turn existing table into datatable\n", " $(element).find(\"table.dataframe\").DataTable({'scrollX': '100%'});\n", " })\n", " });\n", " " ], "text/html": [ "
\n", "\n", "\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
000215001316519062003547002969002351001182519697519732163415001178001938000751date
010001000100010001000100010001000100010001000100010002017-01-01
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" ], "text/plain": [ " 000215 001316 519062 003547 002969 002351 001182 519697 519732 \\\n", "0 1000 1000 1000 1000 1000 1000 1000 1000 1000 \n", "\n", " 163415 001178 001938 000751 date \n", "0 1000 1000 1000 1000 2017-01-01 " ] }, "execution_count": 6, "metadata": {}, "output_type": "execute_result" } ], "source": [ "df[\"date\"] = pd.datetime(2017, 1, 1)\n", "df" ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [], "source": [ "sys = xa.mul(status=df) # 获取模拟交易组合" ] }, { "cell_type": "code", "execution_count": 8, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
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
总计totalNaNNaNNaN21076.2813000.013000.011495.341504.660.1593309580.9473.6995
嘉实新兴产业股票0007514.32601.4892671.492904.871000.01000.01000.000.000.1428011904.87190.4870
交银定期支付双息平衡混合5197324.71602.0931477.752253.071000.01000.01000.000.000.1428011253.07125.3070
兴全商业模式优选混合1634152.88101.3781725.652090.601000.01000.01000.000.000.1428011090.60109.0600
易方达安心回馈混合0011821.96501.0981910.671789.471000.01000.01000.000.000.142801789.4778.9470
交银优势行业混合5196974.79502.5531365.881754.391000.01000.0934.1465.860.152206820.2582.0250
前海开源再融资股票0011781.85100.9057888.351644.341000.01000.0804.56195.440.170710839.7883.9780
中欧时代先锋股票A0019381.79230.6368916.061641.851000.01000.0583.38416.620.2022951058.47105.8470
易方达裕祥回报债券0023511.46801.0230977.501434.971000.01000.01000.000.000.142801434.9743.4970
易方达丰和债券0029691.29451.0051994.921287.921000.01000.01000.000.000.142913287.9228.7920
安信稳健增值混合A0013161.35411.0421911.501234.261000.01000.0949.8750.130.149960284.3928.4390
鹏华丰禄债券0035471.06040.8225999.501059.871000.01000.0822.08177.920.168208237.7923.7790
广发趋势优选灵活配置混合A0002151.55541.0942669.681041.621000.01000.0732.79267.210.180959308.8330.8830
海富通阿尔法对冲混合A5190621.15300.8208814.44939.051000.01000.0668.52331.480.190137270.5327.0530
`);\n", "\n", " require([\"DT\"], function(DT) {$(document).ready( () => {\n", " // Turn existing table into datatable\n", " $(element).find(\"table.dataframe\").DataTable({'scrollX': '100%'});\n", " })\n", " });\n", " " ], "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
13总计totalNaNNaNNaN21076.2813000.013000.011495.341504.660.1593309580.9473.6995
12嘉实新兴产业股票0007514.32601.4892671.492904.871000.01000.01000.000.000.1428011904.87190.4870
8交银定期支付双息平衡混合5197324.71602.0931477.752253.071000.01000.01000.000.000.1428011253.07125.3070
9兴全商业模式优选混合1634152.88101.3781725.652090.601000.01000.01000.000.000.1428011090.60109.0600
6易方达安心回馈混合0011821.96501.0981910.671789.471000.01000.01000.000.000.142801789.4778.9470
7交银优势行业混合5196974.79502.5531365.881754.391000.01000.0934.1465.860.152206820.2582.0250
10前海开源再融资股票0011781.85100.9057888.351644.341000.01000.0804.56195.440.170710839.7883.9780
11中欧时代先锋股票A0019381.79230.6368916.061641.851000.01000.0583.38416.620.2022951058.47105.8470
5易方达裕祥回报债券0023511.46801.0230977.501434.971000.01000.01000.000.000.142801434.9743.4970
4易方达丰和债券0029691.29451.0051994.921287.921000.01000.01000.000.000.142913287.9228.7920
1安信稳健增值混合A0013161.35411.0421911.501234.261000.01000.0949.8750.130.149960284.3928.4390
3鹏华丰禄债券0035471.06040.8225999.501059.871000.01000.0822.08177.920.168208237.7923.7790
0广发趋势优选灵活配置混合A0002151.55541.0942669.681041.621000.01000.0732.79267.210.180959308.8330.8830
2海富通阿尔法对冲混合A5190621.15300.8208814.44939.051000.01000.0668.52331.480.190137270.5327.0530
\n", "
" ], "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", "13 总计 total NaN NaN NaN 21076.28 13000.0 13000.0 \n", "12 嘉实新兴产业股票 000751 4.3260 1.4892 671.49 2904.87 1000.0 1000.0 \n", "8 交银定期支付双息平衡混合 519732 4.7160 2.0931 477.75 2253.07 1000.0 1000.0 \n", "9 兴全商业模式优选混合 163415 2.8810 1.3781 725.65 2090.60 1000.0 1000.0 \n", "6 易方达安心回馈混合 001182 1.9650 1.0981 910.67 1789.47 1000.0 1000.0 \n", "7 交银优势行业混合 519697 4.7950 2.5531 365.88 1754.39 1000.0 1000.0 \n", "10 前海开源再融资股票 001178 1.8510 0.9057 888.35 1644.34 1000.0 1000.0 \n", "11 中欧时代先锋股票A 001938 1.7923 0.6368 916.06 1641.85 1000.0 1000.0 \n", "5 易方达裕祥回报债券 002351 1.4680 1.0230 977.50 1434.97 1000.0 1000.0 \n", "4 易方达丰和债券 002969 1.2945 1.0051 994.92 1287.92 1000.0 1000.0 \n", "1 安信稳健增值混合A 001316 1.3541 1.0421 911.50 1234.26 1000.0 1000.0 \n", "3 鹏华丰禄债券 003547 1.0604 0.8225 999.50 1059.87 1000.0 1000.0 \n", "0 广发趋势优选灵活配置混合A 000215 1.5554 1.0942 669.68 1041.62 1000.0 1000.0 \n", "2 海富通阿尔法对冲混合A 519062 1.1530 0.8208 814.44 939.05 1000.0 1000.0 \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", "13 11495.34 1504.66 0.159330 9580.94 73.6995 \n", "12 1000.00 0.00 0.142801 1904.87 190.4870 \n", "8 1000.00 0.00 0.142801 1253.07 125.3070 \n", "9 1000.00 0.00 0.142801 1090.60 109.0600 \n", "6 1000.00 0.00 0.142801 789.47 78.9470 \n", "7 934.14 65.86 0.152206 820.25 82.0250 \n", "10 804.56 195.44 0.170710 839.78 83.9780 \n", "11 583.38 416.62 0.202295 1058.47 105.8470 \n", "5 1000.00 0.00 0.142801 434.97 43.4970 \n", "4 1000.00 0.00 0.142913 287.92 28.7920 \n", "1 949.87 50.13 0.149960 284.39 28.4390 \n", "3 822.08 177.92 0.168208 237.79 23.7790 \n", "0 732.79 267.21 0.180959 308.83 30.8830 \n", "2 668.52 331.48 0.190137 270.53 27.0530 " ] }, "execution_count": 8, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sys.summary()\n", "# 可以看出至今收益贡献最大的是交银双息和嘉实新兴" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "你还可以查看任意天数的投资概览\n" ] }, { "cell_type": "code", "execution_count": 9, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
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
总计totalNaNNaNNaN13894.3013000.013000.012333.85666.150.2876341560.4512.0035
交银定期支付双息平衡混合5197322.60002.0931477.751242.151000.01000.01000.000.000.273613242.1524.2150
嘉实新兴产业股票0007511.76701.4892671.491186.521000.01000.01000.000.000.273613186.5218.6520
海富通阿尔法对冲混合A5190621.41401.2278814.441151.621000.01000.01000.000.000.273613151.6215.1620
易方达安心回馈混合0011821.24601.0981910.671134.691000.01000.01000.000.000.273613134.6913.4690
易方达丰和债券0029691.11581.0051994.921110.131000.01000.01000.000.000.274024110.1311.0130
安信稳健增值混合A0013161.18101.0421911.501076.481000.01000.0949.8750.130.287329126.6112.6610
易方达裕祥回报债券0023511.09601.0230977.501071.341000.01000.01000.000.000.27361371.347.1340
鹏华丰禄债券0035471.06790.9675999.501067.371000.01000.0967.0232.980.282637100.3510.0350
广发趋势优选灵活配置混合A0002151.59001.3602669.681064.791000.01000.0910.9389.070.297984153.8615.3860
交银优势行业混合5196972.85802.5531365.881045.691000.01000.0934.1465.860.291633111.5511.1550
中欧时代先锋股票A0019381.06090.8376916.06971.851000.01000.0767.33232.670.337275204.5220.4520
兴全商业模式优选混合1634151.31401.3781725.65953.501000.01000.01000.000.000.273613-46.50-4.6500
前海开源再融资股票0011780.92100.9057888.35818.171000.01000.0804.56195.440.32708813.611.3610
`);\n", "\n", " require([\"DT\"], function(DT) {$(document).ready( () => {\n", " // Turn existing table into datatable\n", " $(element).find(\"table.dataframe\").DataTable({'scrollX': '100%'});\n", " })\n", " });\n", " " ], "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
13总计totalNaNNaNNaN13894.3013000.013000.012333.85666.150.2876341560.4512.0035
8交银定期支付双息平衡混合5197322.60002.0931477.751242.151000.01000.01000.000.000.273613242.1524.2150
12嘉实新兴产业股票0007511.76701.4892671.491186.521000.01000.01000.000.000.273613186.5218.6520
2海富通阿尔法对冲混合A5190621.41401.2278814.441151.621000.01000.01000.000.000.273613151.6215.1620
6易方达安心回馈混合0011821.24601.0981910.671134.691000.01000.01000.000.000.273613134.6913.4690
4易方达丰和债券0029691.11581.0051994.921110.131000.01000.01000.000.000.274024110.1311.0130
1安信稳健增值混合A0013161.18101.0421911.501076.481000.01000.0949.8750.130.287329126.6112.6610
5易方达裕祥回报债券0023511.09601.0230977.501071.341000.01000.01000.000.000.27361371.347.1340
3鹏华丰禄债券0035471.06790.9675999.501067.371000.01000.0967.0232.980.282637100.3510.0350
0广发趋势优选灵活配置混合A0002151.59001.3602669.681064.791000.01000.0910.9389.070.297984153.8615.3860
7交银优势行业混合5196972.85802.5531365.881045.691000.01000.0934.1465.860.291633111.5511.1550
11中欧时代先锋股票A0019381.06090.8376916.06971.851000.01000.0767.33232.670.337275204.5220.4520
9兴全商业模式优选混合1634151.31401.3781725.65953.501000.01000.01000.000.000.273613-46.50-4.6500
10前海开源再融资股票0011780.92100.9057888.35818.171000.01000.0804.56195.440.32708813.611.3610
\n", "
" ], "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", "13 总计 total NaN NaN NaN 13894.30 13000.0 13000.0 \n", "8 交银定期支付双息平衡混合 519732 2.6000 2.0931 477.75 1242.15 1000.0 1000.0 \n", "12 嘉实新兴产业股票 000751 1.7670 1.4892 671.49 1186.52 1000.0 1000.0 \n", "2 海富通阿尔法对冲混合A 519062 1.4140 1.2278 814.44 1151.62 1000.0 1000.0 \n", "6 易方达安心回馈混合 001182 1.2460 1.0981 910.67 1134.69 1000.0 1000.0 \n", "4 易方达丰和债券 002969 1.1158 1.0051 994.92 1110.13 1000.0 1000.0 \n", "1 安信稳健增值混合A 001316 1.1810 1.0421 911.50 1076.48 1000.0 1000.0 \n", "5 易方达裕祥回报债券 002351 1.0960 1.0230 977.50 1071.34 1000.0 1000.0 \n", "3 鹏华丰禄债券 003547 1.0679 0.9675 999.50 1067.37 1000.0 1000.0 \n", "0 广发趋势优选灵活配置混合A 000215 1.5900 1.3602 669.68 1064.79 1000.0 1000.0 \n", "7 交银优势行业混合 519697 2.8580 2.5531 365.88 1045.69 1000.0 1000.0 \n", "11 中欧时代先锋股票A 001938 1.0609 0.8376 916.06 971.85 1000.0 1000.0 \n", "9 兴全商业模式优选混合 163415 1.3140 1.3781 725.65 953.50 1000.0 1000.0 \n", "10 前海开源再融资股票 001178 0.9210 0.9057 888.35 818.17 1000.0 1000.0 \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", "13 12333.85 666.15 0.287634 1560.45 12.0035 \n", "8 1000.00 0.00 0.273613 242.15 24.2150 \n", "12 1000.00 0.00 0.273613 186.52 18.6520 \n", "2 1000.00 0.00 0.273613 151.62 15.1620 \n", "6 1000.00 0.00 0.273613 134.69 13.4690 \n", "4 1000.00 0.00 0.274024 110.13 11.0130 \n", "1 949.87 50.13 0.287329 126.61 12.6610 \n", "5 1000.00 0.00 0.273613 71.34 7.1340 \n", "3 967.02 32.98 0.282637 100.35 10.0350 \n", "0 910.93 89.07 0.297984 153.86 15.3860 \n", "7 934.14 65.86 0.291633 111.55 11.1550 \n", "11 767.33 232.67 0.337275 204.52 20.4520 \n", "9 1000.00 0.00 0.273613 -46.50 -4.6500 \n", "10 804.56 195.44 0.327088 13.61 1.3610 " ] }, "execution_count": 9, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sys.summary(\"2018-11-01\") # 熊市时刻，还是保持了相当的正收益" ] }, { "cell_type": "code", "execution_count": 10, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "0.1785344940303062" ] }, "execution_count": 10, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 计算一下截止今天的投资内部收益率\n", "sys.xirrrate() # 年化18%" ] }, { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "-0.041628407100152635" ] }, "execution_count": 11, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 计算一下 2018年的内部收益率\n", "sys.xirrrate(date=\"2018-12-31\", startdate=\"2018-01-01\")" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 12, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sys.v_positions()" ] }, { "cell_type": "code", "execution_count": 13, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 13, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 按大类分布的扇形图\n", "sys.v_category_positions()" ] }, { "cell_type": "code", "execution_count": 14, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
namecodevalueratio
万科ASZ000002410.2827310.143297
格力电器SZ000651203.9760640.071241
汇川技术SZ300124176.3151090.061580
芒果超媒SZ300413171.1801740.059787
隆基股份SH601012167.8130610.058611
通策医疗SH600763148.3794480.051824
绝味食品SH603517147.6081520.051554
保利地产SH600048143.8405280.050238
迈瑞医疗SZ300760136.4306710.047650
华测检测SZ300012133.7433800.046712
金地集团SH600383132.4713200.046267
三花智控SZ002050132.2520400.046191
广联达SZ002410129.7058440.045302
中公教育SZ002607115.0424800.040180
美亚柏科SZ300188106.5973380.037231
中国平安SH601318105.0529460.036691
紫金矿业SH601899101.6049650.035487
中兴通讯SZ000063100.6860540.035166
宇通客车SH600066100.1836910.034991
`);\n", "\n", " require([\"DT\"], function(DT) {$(document).ready( () => {\n", " // Turn existing table into datatable\n", " $(element).find(\"table.dataframe\").DataTable({'scrollX': '100%'});\n", " })\n", " });\n", " " ], "text/html": [ "
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namecodevalueratio
0万科ASZ000002410.2827310.143297
1格力电器SZ000651203.9760640.071241
2汇川技术SZ300124176.3151090.061580
3芒果超媒SZ300413171.1801740.059787
4隆基股份SH601012167.8130610.058611
5通策医疗SH600763148.3794480.051824
6绝味食品SH603517147.6081520.051554
7保利地产SH600048143.8405280.050238
8迈瑞医疗SZ300760136.4306710.047650
9华测检测SZ300012133.7433800.046712
10金地集团SH600383132.4713200.046267
11三花智控SZ002050132.2520400.046191
12广联达SZ002410129.7058440.045302
13中公教育SZ002607115.0424800.040180
14美亚柏科SZ300188106.5973380.037231
15中国平安SH601318105.0529460.036691
16紫金矿业SH601899101.6049650.035487
17中兴通讯SZ000063100.6860540.035166
18宇通客车SH600066100.1836910.034991
\n", "
" ], "text/plain": [ " name code value ratio\n", "0 万科A SZ000002 410.282731 0.143297\n", "1 格力电器 SZ000651 203.976064 0.071241\n", "2 汇川技术 SZ300124 176.315109 0.061580\n", "3 芒果超媒 SZ300413 171.180174 0.059787\n", "4 隆基股份 SH601012 167.813061 0.058611\n", "5 通策医疗 SH600763 148.379448 0.051824\n", "6 绝味食品 SH603517 147.608152 0.051554\n", "7 保利地产 SH600048 143.840528 0.050238\n", "8 迈瑞医疗 SZ300760 136.430671 0.047650\n", "9 华测检测 SZ300012 133.743380 0.046712\n", "10 金地集团 SH600383 132.471320 0.046267\n", "11 三花智控 SZ002050 132.252040 0.046191\n", "12 广联达 SZ002410 129.705844 0.045302\n", "13 中公教育 SZ002607 115.042480 0.040180\n", "14 美亚柏科 SZ300188 106.597338 0.037231\n", "15 中国平安 SH601318 105.052946 0.036691\n", "16 紫金矿业 SH601899 101.604965 0.035487\n", "17 中兴通讯 SZ000063 100.686054 0.035166\n", "18 宇通客车 SH600066 100.183691 0.034991" ] }, "execution_count": 14, "metadata": {}, "output_type": "execute_result" } ], "source": [ "## 底层股票持仓透视, 你其实可以通过这种方式来跟踪机构的股票池和抱团情况\n", "sys.get_stock_holdings()" ] }, { "cell_type": "code", "execution_count": 15, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
namecodevalueratio
格力电器SZ000651392.1178680.091499
中国平安SH601318237.4935340.055418
华测检测SZ300012223.3019510.052107
芒果超媒SZ300413214.6078150.050078
美亚柏科SZ300188186.1496990.043437
隆基股份SH601012164.4018230.038363
三七互娱SZ002555145.2232570.033887
星宇股份SH601799144.9199550.033817
永辉超市SH601933133.1155450.031062
中公教育SZ002607130.2520460.030394
立讯精密SZ002475128.5580510.029999
广联达SZ002410126.8142400.029592
通策医疗SH600763125.1424080.029202
国电南瑞SH600406116.9410800.027288
华宇软件SZ300271113.8627030.026569
平安银行SZ000001103.2830900.024101
汇顶科技SH603160102.7660700.023980
思创医惠SZ30007886.8229150.020260
恒华科技SZ30036585.5923540.019973
国瓷材料SZ30028583.0420300.019378
我武生物SZ30035775.5103110.017620
金地集团SH60038372.1204750.016829
保利地产SH60004871.6698960.016724
中兴通讯SZ00006370.6822860.016493
绿盟科技SZ30036970.4891650.016448
贵州茅台SH60051970.0270500.016341
吉比特SH60344466.5994000.015541
恩捷股份SZ00281266.2188320.015452
欣旺达SZ30020765.5472780.015295
游族网络SZ00217464.9502720.015156
山东药玻SH60052962.8953400.014676
歌尔股份SZ00224156.5369200.013193
药明康德SH60325956.4033200.013162
华兰生物SZ00200755.0929040.012856
长安汽车SZ00062554.4212240.012699
招商银行SH60003653.8310050.012561
广发证券SZ00077653.5332320.012492
晨光文具SH60389952.8049510.012322
亿联网络SZ30062851.1908440.011945
爱柯迪SH60093350.5345640.011792
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namecodevalueratio
0格力电器SZ000651392.1178680.091499
1中国平安SH601318237.4935340.055418
2华测检测SZ300012223.3019510.052107
3芒果超媒SZ300413214.6078150.050078
4美亚柏科SZ300188186.1496990.043437
5隆基股份SH601012164.4018230.038363
6三七互娱SZ002555145.2232570.033887
7星宇股份SH601799144.9199550.033817
8永辉超市SH601933133.1155450.031062
9中公教育SZ002607130.2520460.030394
10立讯精密SZ002475128.5580510.029999
11广联达SZ002410126.8142400.029592
12通策医疗SH600763125.1424080.029202
13国电南瑞SH600406116.9410800.027288
14华宇软件SZ300271113.8627030.026569
15平安银行SZ000001103.2830900.024101
16汇顶科技SH603160102.7660700.023980
17思创医惠SZ30007886.8229150.020260
18恒华科技SZ30036585.5923540.019973
19国瓷材料SZ30028583.0420300.019378
20我武生物SZ30035775.5103110.017620
21金地集团SH60038372.1204750.016829
22保利地产SH60004871.6698960.016724
23中兴通讯SZ00006370.6822860.016493
24绿盟科技SZ30036970.4891650.016448
25贵州茅台SH60051970.0270500.016341
26吉比特SH60344466.5994000.015541
27恩捷股份SZ00281266.2188320.015452
28欣旺达SZ30020765.5472780.015295
29游族网络SZ00217464.9502720.015156
30山东药玻SH60052962.8953400.014676
31歌尔股份SZ00224156.5369200.013193
32药明康德SH60325956.4033200.013162
33华兰生物SZ00200755.0929040.012856
34长安汽车SZ00062554.4212240.012699
35招商银行SH60003653.8310050.012561
36广发证券SZ00077653.5332320.012492
37晨光文具SH60389952.8049510.012322
38亿联网络SZ30062851.1908440.011945
39爱柯迪SH60093350.5345640.011792
\n", "
" ], "text/plain": [ " name code value ratio\n", "0 格力电器 SZ000651 392.117868 0.091499\n", "1 中国平安 SH601318 237.493534 0.055418\n", "2 华测检测 SZ300012 223.301951 0.052107\n", "3 芒果超媒 SZ300413 214.607815 0.050078\n", "4 美亚柏科 SZ300188 186.149699 0.043437\n", "5 隆基股份 SH601012 164.401823 0.038363\n", "6 三七互娱 SZ002555 145.223257 0.033887\n", "7 星宇股份 SH601799 144.919955 0.033817\n", "8 永辉超市 SH601933 133.115545 0.031062\n", "9 中公教育 SZ002607 130.252046 0.030394\n", "10 立讯精密 SZ002475 128.558051 0.029999\n", "11 广联达 SZ002410 126.814240 0.029592\n", "12 通策医疗 SH600763 125.142408 0.029202\n", "13 国电南瑞 SH600406 116.941080 0.027288\n", "14 华宇软件 SZ300271 113.862703 0.026569\n", "15 平安银行 SZ000001 103.283090 0.024101\n", "16 汇顶科技 SH603160 102.766070 0.023980\n", "17 思创医惠 SZ300078 86.822915 0.020260\n", "18 恒华科技 SZ300365 85.592354 0.019973\n", "19 国瓷材料 SZ300285 83.042030 0.019378\n", "20 我武生物 SZ300357 75.510311 0.017620\n", "21 金地集团 SH600383 72.120475 0.016829\n", "22 保利地产 SH600048 71.669896 0.016724\n", "23 中兴通讯 SZ000063 70.682286 0.016493\n", "24 绿盟科技 SZ300369 70.489165 0.016448\n", "25 贵州茅台 SH600519 70.027050 0.016341\n", "26 吉比特 SH603444 66.599400 0.015541\n", "27 恩捷股份 SZ002812 66.218832 0.015452\n", "28 欣旺达 SZ300207 65.547278 0.015295\n", "29 游族网络 SZ002174 64.950272 0.015156\n", "30 山东药玻 SH600529 62.895340 0.014676\n", "31 歌尔股份 SZ002241 56.536920 0.013193\n", "32 药明康德 SH603259 56.403320 0.013162\n", "33 华兰生物 SZ002007 55.092904 0.012856\n", "34 长安汽车 SZ000625 54.421224 0.012699\n", "35 招商银行 SH600036 53.831005 0.012561\n", "36 广发证券 SZ000776 53.533232 0.012492\n", "37 晨光文具 SH603899 52.804951 0.012322\n", "38 亿联网络 SZ300628 51.190844 0.011945\n", "39 爱柯迪 SH600933 50.534564 0.011792" ] }, "execution_count": 15, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sys.get_stock_holdings(date=\"2019-12-01\", threhold=50)\n", "# 可以调整透视的时间和股票阈值\n", "# 可以看到2020以来格力平安等遭到组合的减持" ] }, { "cell_type": "code", "execution_count": 16, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "{'bond': 8446.478429, 'cash': 1416.611418, 'stock': 10343.429751}" ] }, "execution_count": 16, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 我们可以查看整个组合最底层具体的股票，债券，现金的仓位分布情况\n", "sys.get_portfolio()\n", "# 可以看到基本上股债平衡" ] }, { "cell_type": "code", "execution_count": 15, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 15, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# 可以查看单只的买入卖出情况\n", "sys.fundtradeobj[1].v_tradecost()\n", "# 图上的蓝点对应一次现金分红\n", "# 关于如何设定账单，以控制每次分红选择分红再投入还是现金分红，请参考文档\n", "# 具体针对该例子，如何实现分红再投入的比较，请参考该 issue: https://github.com/refraction-ray/xalpha/issues/34" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "做成封闭现金流系统则有更多可能性" ] }, { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [], "source": [ "sysfix = xa.mulfix(status=df, totmoney=14000)\n", "# 做成有14000初始基金的封闭组合" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [], "source": [ "sysfix.bcmkset(xa.indexinfo(\"SH000300\"), start=\"2017-01-01\") # 设定比较基准为沪深300\n", "# 这一过程会生成计算封闭组合每日净值情况，耗时较长，请耐心等待" ] }, { "cell_type": "code", "execution_count": 13, "metadata": {}, "outputs": [ { "data": { "text/html": [ "\n", "\n", "\n", "
\n", "\n", "\n" ], "text/plain": [ "" ] }, "execution_count": 13, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysfix.v_netvalue()\n", "# 吊打300，毕竟马后炮的最强基金" ] }, { "cell_type": "code", "execution_count": 24, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "$(element).html(`\n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", " \n", "
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
总计totalNaNNaNNaN21948.4516331.4914000.0013999.992331.500.1503297948.4656.7747
货币基金mf1.355521.23951881.032549.773331.492331.482331.481000.010.279287218.299.3627
嘉实新兴产业股票0007513.576001.4892671.492401.251000.001000.001000.000.000.1503291401.25140.1250
交银定期支付双息平衡混合5197324.210002.0931477.752011.331000.001000.001000.000.000.1503291011.33101.1330
兴全商业模式优选混合1634152.437001.3781725.651768.411000.001000.001000.000.000.150329768.4176.8410
易方达安心回馈混合0011821.866001.0981910.671699.311000.001000.001000.000.000.150329699.3169.9310
交银优势行业混合5196974.271002.5531365.881562.671000.001000.00934.1465.860.160230628.5362.8530
中欧时代先锋股票A0019381.621600.7368916.061485.481000.001000.00674.99325.010.199188810.4981.0490
前海开源再融资股票0011781.625000.9057888.351443.571000.001000.00804.56195.440.179710639.0163.9010
易方达裕祥回报债券0023511.445001.0230977.501412.491000.001000.001000.000.000.150329412.4941.2490
易方达丰和债券0029691.281401.0051994.921274.891000.001000.001000.000.000.150453274.8927.4890
安信稳健增值混合A0013161.361601.0421911.501241.101000.001000.00949.8750.130.157866291.2329.1230
鹏华丰禄债券0035471.089800.8525999.501089.261000.001000.00852.07147.930.172568237.1923.7190
广发趋势优选灵活配置混合A0002151.613401.1712669.681080.461000.001000.00784.36215.640.182747296.1029.6100
海富通阿尔法对冲混合A5190621.140000.8208814.44928.461000.001000.00668.52331.480.200161259.9425.9940
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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
14总计totalNaNNaNNaN21948.4516331.4914000.0013999.992331.500.1503297948.4656.7747
13货币基金mf1.355521.23951881.032549.773331.492331.482331.481000.010.279287218.299.3627
12嘉实新兴产业股票0007513.576001.4892671.492401.251000.001000.001000.000.000.1503291401.25140.1250
8交银定期支付双息平衡混合5197324.210002.0931477.752011.331000.001000.001000.000.000.1503291011.33101.1330
9兴全商业模式优选混合1634152.437001.3781725.651768.411000.001000.001000.000.000.150329768.4176.8410
6易方达安心回馈混合0011821.866001.0981910.671699.311000.001000.001000.000.000.150329699.3169.9310
7交银优势行业混合5196974.271002.5531365.881562.671000.001000.00934.1465.860.160230628.5362.8530
11中欧时代先锋股票A0019381.621600.7368916.061485.481000.001000.00674.99325.010.199188810.4981.0490
10前海开源再融资股票0011781.625000.9057888.351443.571000.001000.00804.56195.440.179710639.0163.9010
5易方达裕祥回报债券0023511.445001.0230977.501412.491000.001000.001000.000.000.150329412.4941.2490
4易方达丰和债券0029691.281401.0051994.921274.891000.001000.001000.000.000.150453274.8927.4890
1安信稳健增值混合A0013161.361601.0421911.501241.101000.001000.00949.8750.130.157866291.2329.1230
3鹏华丰禄债券0035471.089800.8525999.501089.261000.001000.00852.07147.930.172568237.1923.7190
0广发趋势优选灵活配置混合A0002151.613401.1712669.681080.461000.001000.00784.36215.640.182747296.1029.6100
2海富通阿尔法对冲混合A5190621.140000.8208814.44928.461000.001000.00668.52331.480.200161259.9425.9940
\n", "
" ], "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", "14 总计 total NaN NaN NaN 21948.45 16331.49 \n", "13 货币基金 mf 1.35552 1.2395 1881.03 2549.77 3331.49 \n", "12 嘉实新兴产业股票 000751 3.57600 1.4892 671.49 2401.25 1000.00 \n", "8 交银定期支付双息平衡混合 519732 4.21000 2.0931 477.75 2011.33 1000.00 \n", "9 兴全商业模式优选混合 163415 2.43700 1.3781 725.65 1768.41 1000.00 \n", "6 易方达安心回馈混合 001182 1.86600 1.0981 910.67 1699.31 1000.00 \n", "7 交银优势行业混合 519697 4.27100 2.5531 365.88 1562.67 1000.00 \n", "11 中欧时代先锋股票A 001938 1.62160 0.7368 916.06 1485.48 1000.00 \n", "10 前海开源再融资股票 001178 1.62500 0.9057 888.35 1443.57 1000.00 \n", "5 易方达裕祥回报债券 002351 1.44500 1.0230 977.50 1412.49 1000.00 \n", "4 易方达丰和债券 002969 1.28140 1.0051 994.92 1274.89 1000.00 \n", "1 安信稳健增值混合A 001316 1.36160 1.0421 911.50 1241.10 1000.00 \n", "3 鹏华丰禄债券 003547 1.08980 0.8525 999.50 1089.26 1000.00 \n", "0 广发趋势优选灵活配置混合A 000215 1.61340 1.1712 669.68 1080.46 1000.00 \n", "2 海富通阿尔法对冲混合A 519062 1.14000 0.8208 814.44 928.46 1000.00 \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", "14 14000.00 13999.99 2331.50 0.150329 7948.46 56.7747 \n", "13 2331.48 2331.48 1000.01 0.279287 218.29 9.3627 \n", "12 1000.00 1000.00 0.00 0.150329 1401.25 140.1250 \n", "8 1000.00 1000.00 0.00 0.150329 1011.33 101.1330 \n", "9 1000.00 1000.00 0.00 0.150329 768.41 76.8410 \n", "6 1000.00 1000.00 0.00 0.150329 699.31 69.9310 \n", "7 1000.00 934.14 65.86 0.160230 628.53 62.8530 \n", "11 1000.00 674.99 325.01 0.199188 810.49 81.0490 \n", "10 1000.00 804.56 195.44 0.179710 639.01 63.9010 \n", "5 1000.00 1000.00 0.00 0.150329 412.49 41.2490 \n", "4 1000.00 1000.00 0.00 0.150453 274.89 27.4890 \n", "1 1000.00 949.87 50.13 0.157866 291.23 29.1230 \n", "3 1000.00 852.07 147.93 0.172568 237.19 23.7190 \n", "0 1000.00 784.36 215.64 0.182747 296.10 29.6100 \n", "2 1000.00 668.52 331.48 0.200161 259.94 25.9940 " ] }, "execution_count": 24, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysfix.summary()\n", "# 我们看到此时出现了货币基金选项，这是因为默认现金分红会智能处理帮你买入货币基金" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "我们可以进一步进行指标分析" ] }, { "cell_type": "code", "execution_count": 25, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.508105417009912, 0.040867579213678853, 0.279802542882795)" ] }, "execution_count": 25, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysfix.beta(), sysfix.alpha(), sysfix.sharpe()" ] }, { "cell_type": "code", "execution_count": 9, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(0.0684, 0.11160584774628288)" ] }, "execution_count": 9, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysfix.total_annualized_returns(), sysfix.algorithm_volatility()" ] }, { "cell_type": "code", "execution_count": 29, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(Timestamp('2020-02-25 00:00:00'),\n", " Timestamp('2020-03-23 00:00:00'),\n", " -0.08257630349535526)" ] }, "execution_count": 29, "metadata": {}, "output_type": "execute_result" } ], "source": [ "sysfix.max_drawdown()\n", "# 最大回撤8%发生在今年，竟然不是18年，是不是说明马后炮组合的优势再减弱？" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] } ], "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 }