柒拾贰- tushare 模拟策略交易（三）

书接上两回

柒拾- tushare 模拟策略交易（一）

柒拾壹- tushare 模拟策略交易（二）

开始

终于我们可以可以来进行模拟了

复杂的我不会，所以就写个最简单的策略吧：

买入条件

比两年前是上升的
比一年前是上升的
比一个月前上升更下降的区间在 ± 0.38% 内
比昨天上涨 0.1% 以上 0.5% 以下

卖出条件

如果当前下跌 5% 则全卖出

进行模拟

设计模拟时间

先进行模拟时间，即回测多少天

strStartDate = '20230101'
strEndDate = '20240407'

就是从 2023年的1月1日开始进行策略，2024年4月7日结束

选股范围

strIndustry = "'银行'"

只选择银行股进行回测

中间计算

因为需要计算 2年、1年、半年等时间窗口各股票的涨跌，用 Python 比较麻烦，于是使用 SQL 进行计算

完整代码


'''
Descripttion: 就简单回测
Version: 1.0
Author: BerryBC
Date: 2024-02-18 12:09:31
LastEditors: BerryBC
LastEditTime: 2024-04-07 11:07:43
'''import datetime
from Lib.DBConn import claDBConn
from Lib.BackTestingDailyDeal import claBackTestingDailyDealbtDaily = claBackTestingDailyDeal('研究银行股', '根据时间窗口看追涨', 100000)
dbConn = claDBConn()strStartDate = '20240101'
strEndDate = '20240407'strStock = '601988.SH'strMaxDate = ''# 时间序列
strSQLTime = "SELECT * FROM tb_calendar WHERE trade_date >=" + \strStartDate+" AND trade_date <= "+strEndDate+" ORDER BY trade_date "
listCal = dbConn.ReturnSQLData(strSQLTime)# 打印快照
btDaily.AssetSnapshot(listCal[0][0])# 循环验证
for tubDay in listCal:# 计算日期strNowDate = tubDay[0]strMaxDate=strNowDate'''.::::..::::::::.:::::::::::..:::::::::::''::::::::::::'.::::::::::'::::::::::::::....::::::::::::.``::::::::::::::::::::``:::::::::'        .:::.::::'   ':::::'       .::::::::..::::'      ::::     .:::::::'::::..:::'       :::::  .:::::::::' ':::::..::'        :::::.:::::::::'      ':::::..::'         ::::::::::::::'         ``::::....:::           ::::::::::::'              ``::.````':.          ':::::::::'                  ::::..'.:::::'                    ':'````..'''# 追涨杀跌# # 每日数据# strSQLQuote = "SELECT * FROM tb_daily_stock_quote WHERE trade_date=" + \#     strNowDate+" AND ts_code = '"+strStock+"'"# listQuote = dbConn.ReturnSQLData(strSQLQuote)# if listQuote[0][8] > 0.2:#     btDaily.BuyStock(strNowDate, strStock, 500,'追涨')# elif listQuote[0][8] < -0.1:#     strSQLSell = "SELECT * FROM tb_bt_daily_tmp_my_stock_pool WHERE stock_code='" + strStock+"' AND bt_ind = '"+str(btDaily.intInd)+"'"#     listSell = dbConn.ReturnSQLData(strSQLSell)#     if len(listSell) > 0 and listSell[0][0] is not None:#         btDaily.SellStock(strNowDate, strStock, listSell[0][2], '全部卖了！！！')'''.::::..::::::::.:::::::::::..:::::::::::''::::::::::::'.::::::::::'::::::::::::::....::::::::::::.``::::::::::::::::::::``:::::::::'        .:::.::::'   ':::::'       .::::::::..::::'      ::::     .:::::::'::::..:::'       :::::  .:::::::::' ':::::..::'        :::::.:::::::::'      ':::::..::'         ::::::::::::::'         ``::::....:::           ::::::::::::'              ``::.````':.          ':::::::::'                  ::::..'.:::::'                    ':'````..'''# 长期来看是否可以买# 针对某个行业的股票listPeriod = [720,360,180,90,30,5]strIndustry = "'银行'"strEndDate ="DATE'"+(datetime.datetime.strptime(strNowDate, "%Y%m%d")).strftime('%Y-%m-%d')+"'"# 计算趋势中间表strSQLTruncate = "TRUNCATE TABLE TB_BT_MID_DAILY_PERIOD_TREND"dbConn.RunSQLOnce(strSQLTruncate)# 根据不同时间长度，如2年、1年、半年等计算股价升降for intCalPeriod in listPeriod:strSQLInsert ='''-- CREATE TABLE TB_BT_MID_DAILY_PERIOD_TREND asINSERT INTO TB_BT_MID_DAILY_PERIOD_TRENDWITH CHECK_STOCK_LIST AS (-- 获取行业对应的所有股票SELECTTS_CODE,NAME,INDUSTRY,EXCHANGEFROMTB_ALL_STOCK_LISTWHERE1=1AND INDUSTRY = '''+strIndustry+''')SELECT'''+str(intCalPeriod)+'''                                              AS DAY_GAP,'''+strEndDate+'''                                            AS END_DATE,S_L_O.TS_CODE,S_L_O.NAME,S_L_O.INDUSTRY,S_L_O.EXCHANGE,-- 获取整体的上升下降趋势，以及简单统计MIN(TTL_U.TRADE_DAY)                                    AS TRADE_DAY,MIN(TTL_U.MIN_COLSE)                                    AS MIN_COLSE,MIN(TTL_U.MAX_COLSE)                                    AS MAX_COLSE,MIN(TTL_U.MIN_PCT_CHG)                                  AS MIN_PCT_CHG,MIN(TTL_U.MAX_PCT_CHG)                                  AS MAX_PCT_CHG,MIN(TTL_U.DOWN_DAY)                                     AS DOWN_DAY,MIN(TTL_U.UP_DAY)                                       AS UP_DAY,-- 期间内的最早收盘价以及最终收盘价MIN(TTL_U.BEGIN_CLOSE)                                  AS BEGIN_CLOSE,MIN(TTL_U.END_CLOSE)                                    AS END_CLOSE,(MIN(TTL_U.END_CLOSE) / MIN(TTL_U.BEGIN_CLOSE) - 1)*100 AS ALL_PCT_CHG,-- 期间内涨跌的天数占比MIN(TTL_U.UP_DAY) / MIN(TTL_U.TRADE_DAY)                AS UP_DAY_PCT,MIN(TTL_U.DOWN_DAY) / MIN(TTL_U.TRADE_DAY)              AS DOWN_DAY_PCT,MIN(TTL_U.END_CLOSE_PCT_C)                              AS END_CLOSE_PCT_CFROM((-- 整体统计趋势SELECTS_DQ.TS_CODE,COUNT(1)            AS TRADE_DAY,MIN(S_DQ.CLOSE)     AS MIN_COLSE,MAX(S_DQ.CLOSE)     AS MAX_COLSE,MIN(S_DQ.PCT_CHG)   AS MIN_PCT_CHG,MAX(S_DQ.PCT_CHG)   AS MAX_PCT_CHG,COUNT(CASEWHEN S_DQ.PCT_CHG < 0 THEN 1ELSE NULLEND) AS DOWN_DAY,COUNT(CASEWHEN S_DQ.PCT_CHG > 0 THEN 1ELSE NULLEND) AS UP_DAY,NULL                AS BEGIN_CLOSE,NULL                AS END_CLOSE,NULL                AS END_CLOSE_PCT_CFROMTB_CALENDAR                                 S_TINNER JOIN TB_DAILY_STOCK_QUOTE             S_DQON S_T.TRADE_DATE   = S_DQ.TRADE_DATEINNER JOIN CHECK_STOCK_LIST                 S_LISTON S_DQ.TS_CODE     = S_LIST.TS_CODEWHERE1=1AND S_T.TRADE_DATE_DT   < '''+strEndDate+'''AND S_T.TRADE_DATE_DT   >= DATE_SUB('''+strEndDate+''', INTERVAL '''+str(intCalPeriod)+''' DAY)GROUP BYS_DQ.TS_CODE)UNION ALL(-- 计算时间窗口内最早那天的收盘价SELECTMIN_MID.TS_CODE,NULL                AS TRADE_DAY,NULL                AS MIN_COLSE,NULL                AS MAX_COLSE,NULL                AS MIN_PCT_CHG,NULL                AS MAX_PCT_CHG,NULL                AS DOWN_DAY,NULL                AS UP_DAY,MIN_MID.CLOSE       AS BEGIN_CLOSE,NULL                AS END_CLOSE,NULL                AS END_CLOSE_PCT_CFROM(SELECTS_DQ_MIN.TS_CODE,S_DQ_MIN.CLOSE,RANK() OVER(PARTITION BY S_DQ_MIN.TS_CODE ORDER BY S_T_MIN.TRADE_DATE_DT ASC)   AS RNKFROMTB_CALENDAR                                 S_T_MININNER JOIN TB_DAILY_STOCK_QUOTE             S_DQ_MINON S_T_MIN.TRADE_DATE   = S_DQ_MIN.TRADE_DATEINNER JOIN CHECK_STOCK_LIST                 S_LISTON S_DQ_MIN.TS_CODE     = S_LIST.TS_CODEWHERE1=1AND S_T_MIN.TRADE_DATE_DT   < '''+strEndDate+'''AND S_T_MIN.TRADE_DATE_DT   >= DATE_SUB('''+strEndDate+''', INTERVAL '''+str(intCalPeriod)+''' DAY)) MIN_MIDWHEREMIN_MID.RNK = 1)UNION ALL(-- 计算当前收盘价SELECTMAX_MID.TS_CODE,NULL                AS TRADE_DAY,NULL                AS MIN_COLSE,NULL                AS MAX_COLSE,NULL                AS MIN_PCT_CHG,NULL                AS MAX_PCT_CHG,NULL                AS DOWN_DAY,NULL                AS UP_DAY,NULL                AS BEGIN_CLOSE,MAX_MID.CLOSE       AS END_CLOSE,MAX_MID.PCT_CHG     AS END_CLOSE_PCT_CFROM(SELECTS_DQ_MAX.TS_CODE,S_DQ_MAX.CLOSE,S_DQ_MAX.PCT_CHG,RANK() OVER(PARTITION BY S_DQ_MAX.TS_CODE ORDER BY S_T_MAX.TRADE_DATE_DT DESC)   AS RNKFROMTB_CALENDAR                                 S_T_MAXINNER JOIN TB_DAILY_STOCK_QUOTE             S_DQ_MAXON S_T_MAX.TRADE_DATE   = S_DQ_MAX.TRADE_DATEINNER JOIN CHECK_STOCK_LIST                 S_LISTON S_DQ_MAX.TS_CODE     = S_LIST.TS_CODEWHERE1=1AND S_T_MAX.TRADE_DATE_DT   < '''+strEndDate+'''AND S_T_MAX.TRADE_DATE_DT   >= DATE_SUB('''+strEndDate+''', INTERVAL '''+str(intCalPeriod)+''' DAY)) MAX_MIDWHEREMAX_MID.RNK = 1)) TTL_UINNER JOIN CHECK_STOCK_LIST        S_L_OON TTL_U.TS_CODE    = S_L_O.TS_CODEGROUP BYS_L_O.TS_CODE,S_L_O.NAME,S_L_O.INDUSTRY,S_L_O.EXCHANGE'''dbConn.RunSQLOnce(strSQLInsert)# 计算趋势strSQLQuote = '''SELECTEND_DATE,TS_CODE,NAME,INDUSTRY,EXCHANGE,MIN(END_CLOSE)              AS END_CLOSE,MIN(CASEWHEN DAY_GAP = 720 THEN ALL_PCT_CHGELSE NULLEND) AS ALL_PCT_CHG_720,MIN(CASEWHEN DAY_GAP = 360 THEN ALL_PCT_CHGELSE NULLEND) AS ALL_PCT_CHG_360,MIN(CASEWHEN DAY_GAP = 180 THEN ALL_PCT_CHGELSE NULLEND) AS ALL_PCT_CHG_180,MIN(CASEWHEN DAY_GAP = 90 THEN ALL_PCT_CHGELSE NULLEND) AS ALL_PCT_CHG_90,MIN(CASEWHEN DAY_GAP = 30 THEN ALL_PCT_CHGELSE NULLEND) AS ALL_PCT_CHG_30,MIN(CASEWHEN DAY_GAP = 5 THEN ALL_PCT_CHGELSE NULLEND) AS ALL_PCT_CHG_5,MIN(CASEWHEN DAY_GAP = 720 THEN UP_DAY_PCTELSE NULLEND) AS UP_DAY_PCT_720,MIN(CASEWHEN DAY_GAP = 360 THEN UP_DAY_PCTELSE NULLEND) AS UP_DAY_PCT_360,MIN(CASEWHEN DAY_GAP = 180 THEN UP_DAY_PCTELSE NULLEND) AS UP_DAY_PCT_180,MIN(CASEWHEN DAY_GAP = 90 THEN UP_DAY_PCTELSE NULLEND) AS UP_DAY_PCT_90,MIN(CASEWHEN DAY_GAP = 30 THEN UP_DAY_PCTELSE NULLEND) AS UP_DAY_PCT_30,MIN(CASEWHEN DAY_GAP = 5 THEN UP_DAY_PCTELSE NULLEND) AS UP_DAY_PCT_5,MIN(END_CLOSE_PCT_C)        AS END_CLOSE_PCT_CFROMTB_BT_MID_DAILY_PERIOD_TRENDWHERE1=1AND END_DATE = '''+strEndDate+'''GROUP BYEND_DATE,TS_CODE,NAME,INDUSTRY,EXCHANGE'''listQuote = dbConn.ReturnSQLData(strSQLQuote)# 针对不同的股票，看整体趋势，再看买还是卖for listStockQuote in listQuote:# 买入条件# 1. 比两年前是上升的# 2. 比一年前是上升的# 3. 比一个月前上升更下降的区间在 ± 0.38% 内# 4. 比昨天上涨 0.1% 以上 0.5% 以下if listStockQuote[18] is not None and listStockQuote[6]>0 and listStockQuote[7]>0 and listStockQuote[10]<0.38 and listStockQuote[10]>-0.38 and listStockQuote[18]>0.1 and listStockQuote[18]<0.5:# 判断有没有持仓，有则不买strSQLSell = "SELECT * FROM tb_bt_daily_tmp_my_stock_pool WHERE stock_code='" + listStockQuote[1]+"' AND bt_ind = '"+str(btDaily.intInd)+"'"listSell = dbConn.ReturnSQLData(strSQLSell)if len(listSell) == 0 :btDaily.BuyStock(strNowDate, listStockQuote[1], 1000,'追涨')# 如果当前下跌 5% 则全卖出if listStockQuote[18] is not None and listStockQuote[18]<-0.5 :strSQLSell = "SELECT * FROM tb_bt_daily_tmp_my_stock_pool WHERE stock_code='" + listStockQuote[1]+"' AND bt_ind = '"+str(btDaily.intInd)+"'"listSell = dbConn.ReturnSQLData(strSQLSell)if len(listSell) > 0 and listSell[0][0] is not None:btDaily.SellStock(strNowDate, listStockQuote[1], listSell[0][2], '全部卖了！！！')# 打印快照
btDaily.AssetSnapshot(strMaxDate)