资金紧张策略代码

每个月倒数第五个交易日收盘做空，倒数第三个交易日收盘做多，持有到月初第一个交易日收盘。

from jqdata import *
from datetime import datetime,timedelta
import pandas as pd
import warnings
warnings.filterwarnings('ignore')

pd.set_option('display.width', 1000)           # 设置字符显示宽度
pd.set_option('display.max_rows', None)        # 设置显示最大行
pd.set_option('display.max_columns', None)     # 设置显示最大列

start_date = '2010-01-01'
end_date = datetime.now().strftime("%Y-%m-%d")
start_date,end_date

('2010-01-01', '2023-04-08')

date_list = get_trade_days(start_date,end_date)

date_list_str = list(map(lambda x:x.strftime("%Y-%m-%d"),date_list))

参数设置

index = '000300.XSHG'
short_start = 6 # 月倒数第六个交易日
long_start = 2 # 月倒数第二个交易日
long_end = 1 # 月第二个交易日

securities = get_all_securities(types=['index'])
display_name = securities.loc[index].display_name         

index_df = get_price(index,start_date = start_date, end_date = end_date, fields=['close'], panel=False)

index_df['date'] = index_df.index

index_df['year_month'] = index_df['date'].apply(lambda x:x.strftime("%Y-%m"))
index_df['year'] = index_df['date'].apply(lambda x:x.strftime("%Y"))
index_df['month'] = index_df['date'].apply(lambda x:x.strftime("%m"))

index_df['date'] = index_df['date'].apply(lambda x:x.strftime("%Y-%m-%d"))

index_df = index_df.dropna(subset=['close'])

index_df.index = index_df['date']

month_last5_trade_days = index_df.groupby('year_month')['date'].apply(lambda x:x.iloc[-short_start] if len(x)>=short_start else np.nan)
month_last3_trade_days = index_df.groupby('year_month')['date'].apply(lambda x:x.iloc[-long_start] if len(x)>=long_start else np.nan)
month_first_trade_days = index_df.groupby('year_month')['date'].apply(lambda x:x.iloc[long_end] if len(x)>=long_end else np.nan)

month_last3_trade_days = month_last3_trade_days.drop(index=end_date[:7])
month_last5_trade_days = month_last5_trade_days.drop(index=end_date[:7])

index_df['short_trade'] = np.nan
index_df['long_trade'] = np.nan

index_df.loc[month_last5_trade_days,'short_trade'] = -1
index_df.loc[month_last3_trade_days,'short_trade'] = 0

index_df.loc[month_last3_trade_days,'long_trade'] = 1
index_df.loc[month_first_trade_days,'long_trade'] = 0

short_trade_df = index_df.dropna(subset=['short_trade'])
long_trade_df = index_df.dropna(subset=['long_trade'])

short_trade_df['start_date'] = short_trade_df['date']
short_trade_df['end_date'] = short_trade_df['date'].shift(-1)
short_trade_df['open_price'] = short_trade_df['close']
short_trade_df['close_price'] = short_trade_df['close'].shift(-1)
short_trade_df['direction'] = short_trade_df['short_trade']
short_trade_df['diff'] = short_trade_df['close_price'] - short_trade_df['open_price']
short_trade_df['points'] = short_trade_df['diff'] * short_trade_df['short_trade'] 
short_trade_df = short_trade_df[short_trade_df['direction']!=0]

long_trade_df['start_date'] = long_trade_df['date']
long_trade_df['end_date'] = long_trade_df['date'].shift(-1)
long_trade_df['open_price'] = long_trade_df['close']
long_trade_df['close_price'] = long_trade_df['close'].shift(-1)
long_trade_df['direction'] = long_trade_df['long_trade']
long_trade_df['diff'] = long_trade_df['close_price'] - long_trade_df['open_price']
long_trade_df['points'] = long_trade_df['diff'] * long_trade_df['long_trade'] 
long_trade_df = long_trade_df[long_trade_df['direction']!=0]

short_trade_df = short_trade_df[['year','month','start_date','end_date','open_price','close_price','direction','diff','points']]

long_trade_df = long_trade_df[['year','month','start_date','end_date','open_price','close_price','direction','diff','points']]

盈亏情况

short_profit = short_trade_df['points'].sum()
tmp1 = short_trade_df[short_trade_df['points']>0]
tmp2 = short_trade_df[short_trade_df['points']<0]
short_win_ratio = len(tmp1)/len(short_trade_df)
short_win_lose = abs(tmp1['points'].mean()/tmp2['points'].mean())
short_win = (tmp1['points']/tmp1['close_price']).mean()
short_lose = abs(tmp2['points']/tmp2['close_price']).mean()

long_profit = long_trade_df['points'].sum()
tmp1 = long_trade_df[long_trade_df['points']>0]
tmp2 = long_trade_df[long_trade_df['points']<0]
long_win_ratio = len(tmp1)/len(long_trade_df)
long_win_lose = abs(tmp1['points'].mean()/tmp2['points'].mean())
long_win = (tmp1['points']/tmp1['close_price']).mean()
long_lose = abs(tmp2['points']/tmp2['close_price']).mean()

data = [
    [short_profit,short_win_ratio,short_win_lose,short_win,short_lose],
    [long_profit,long_win_ratio,long_win_lose,long_win,long_lose]
]
indexs = ['做空','做多']
cols = ['盈亏点数','胜率','盈亏比','盈赔率','亏赔率']

统计结果

show_df = pd.DataFrame(data,index=indexs,columns=cols)
show_df

	盈亏点数	胜率	盈亏比	盈赔率	亏赔率
做空	2648.46	0.522013	1.450977	0.025715	0.017370
做多	3652.84	0.610063	1.283050	0.021319	0.016539

交易表

做空

short_trade_df

	year	month	start_date	end_date	open_price	close_price	direction	diff	points
date
2010-01-22	2010	01	2010-01-22	2010-01-28	3366.20	3206.57	-1.0	-159.63	159.63
2010-02-12	2010	02	2010-02-12	2010-02-25	3251.28	3292.13	-1.0	40.85	-40.85
2010-03-24	2010	03	2010-03-24	2010-03-30	3276.67	3366.71	-1.0	90.04	-90.04
2010-04-23	2010	04	2010-04-23	2010-04-29	3190.00	3060.06	-1.0	-129.94	129.94
2010-05-24	2010	05	2010-05-24	2010-05-28	2873.47	2850.30	-1.0	-23.17	23.17
2010-06-23	2010	06	2010-06-23	2010-06-29	2758.49	2592.02	-1.0	-166.47	166.47
2010-07-23	2010	07	2010-07-23	2010-07-29	2793.08	2877.98	-1.0	84.90	-84.90
2010-08-24	2010	08	2010-08-24	2010-08-30	2911.83	2915.01	-1.0	3.18	-3.18
2010-09-20	2010	09	2010-09-20	2010-09-29	2849.83	2874.81	-1.0	24.98	-24.98
2010-10-22	2010	10	2010-10-22	2010-10-28	3378.66	3397.69	-1.0	19.03	-19.03
2010-11-23	2010	11	2010-11-23	2010-11-29	3107.18	3190.05	-1.0	82.87	-82.87
2010-12-24	2010	12	2010-12-24	2010-12-30	3162.95	3064.10	-1.0	-98.85	98.85
2011-01-24	2011	01	2011-01-24	2011-01-28	2954.23	3036.74	-1.0	82.51	-82.51
2011-02-21	2011	02	2011-02-21	2011-02-25	3257.91	3197.62	-1.0	-60.29	60.29
2011-03-24	2011	03	2011-03-24	2011-03-30	3251.36	3256.08	-1.0	4.72	-4.72
2011-04-22	2011	04	2011-04-22	2011-04-28	3299.94	3161.78	-1.0	-138.16	138.16
2011-05-24	2011	05	2011-05-24	2011-05-30	3026.22	2954.51	-1.0	-71.71	71.71
2011-06-23	2011	06	2011-06-23	2011-06-29	2957.63	3000.17	-1.0	42.54	-42.54
2011-07-22	2011	07	2011-07-22	2011-07-28	3067.99	2981.00	-1.0	-86.99	86.99
2011-08-24	2011	08	2011-08-24	2011-08-30	2810.02	2841.74	-1.0	31.72	-31.72
2011-09-23	2011	09	2011-09-23	2011-09-29	2669.48	2588.18	-1.0	-81.30	81.30
2011-10-24	2011	10	2011-10-24	2011-10-28	2576.67	2709.02	-1.0	132.35	-132.35
2011-11-23	2011	11	2011-11-23	2011-11-29	2584.01	2608.57	-1.0	24.56	-24.56
2011-12-23	2011	12	2011-12-23	2011-12-29	2359.16	2311.36	-1.0	-47.80	47.80
2012-01-17	2012	01	2012-01-17	2012-01-30	2460.60	2460.72	-1.0	0.12	-0.12
2012-02-22	2012	02	2012-02-22	2012-02-28	2597.48	2662.46	-1.0	64.98	-64.98
2012-03-23	2012	03	2012-03-23	2012-03-29	2552.94	2443.12	-1.0	-109.82	109.82
2012-04-20	2012	04	2012-04-20	2012-04-26	2626.84	2631.49	-1.0	4.65	-4.65
2012-05-24	2012	05	2012-05-24	2012-05-30	2595.26	2642.26	-1.0	47.00	-47.00
2012-06-21	2012	06	2012-06-21	2012-06-28	2512.18	2425.73	-1.0	-86.45	86.45
2012-07-24	2012	07	2012-07-24	2012-07-30	2375.99	2335.79	-1.0	-40.20	40.20
2012-08-24	2012	08	2012-08-24	2012-08-30	2275.68	2211.37	-1.0	-64.31	64.31
2012-09-21	2012	09	2012-09-21	2012-09-27	2199.06	2251.72	-1.0	52.66	-52.66
2012-10-24	2012	10	2012-10-24	2012-10-30	2307.78	2239.88	-1.0	-67.90	67.90
2012-11-23	2012	11	2012-11-23	2012-11-29	2192.68	2115.68	-1.0	-77.00	77.00
2012-12-24	2012	12	2012-12-24	2012-12-28	2381.22	2480.05	-1.0	98.83	-98.83
2013-01-24	2013	01	2013-01-24	2013-01-30	2582.76	2688.71	-1.0	105.95	-105.95
2013-02-21	2013	02	2013-02-21	2013-02-27	2610.55	2594.68	-1.0	-15.87	15.87
2013-03-22	2013	03	2013-03-22	2013-03-28	2618.31	2499.30	-1.0	-119.01	119.01
2013-04-19	2013	04	2013-04-19	2013-04-25	2533.83	2467.88	-1.0	-65.95	65.95
2013-05-24	2013	05	2013-05-24	2013-05-30	2597.23	2634.32	-1.0	37.09	-37.09
2013-06-21	2013	06	2013-06-21	2013-06-27	2317.39	2160.74	-1.0	-156.65	156.65
2013-07-24	2013	07	2013-07-24	2013-07-30	2249.15	2189.39	-1.0	-59.76	59.76
2013-08-23	2013	08	2013-08-23	2013-08-29	2286.93	2318.31	-1.0	31.38	-31.38
2013-09-23	2013	09	2013-09-23	2013-09-27	2472.29	2394.97	-1.0	-77.32	77.32
2013-10-24	2013	10	2013-10-24	2013-10-30	2400.51	2407.47	-1.0	6.96	-6.96
2013-11-22	2013	11	2013-11-22	2013-11-28	2397.96	2439.53	-1.0	41.57	-41.57
2013-12-24	2013	12	2013-12-24	2013-12-30	2288.25	2299.46	-1.0	11.21	-11.21
2014-01-23	2014	01	2014-01-23	2014-01-29	2231.89	2227.78	-1.0	-4.11	4.11
2014-02-21	2014	02	2014-02-21	2014-02-27	2264.29	2154.11	-1.0	-110.18	110.18
2014-03-24	2014	03	2014-03-24	2014-03-28	2176.55	2151.97	-1.0	-24.58	24.58
2014-04-23	2014	04	2014-04-23	2014-04-29	2194.67	2158.47	-1.0	-36.20	36.20
2014-05-23	2014	05	2014-05-23	2014-05-29	2148.41	2155.16	-1.0	6.75	-6.75
2014-06-23	2014	06	2014-06-23	2014-06-27	2134.11	2150.26	-1.0	16.15	-16.15
2014-07-24	2014	07	2014-07-24	2014-07-30	2237.01	2322.01	-1.0	85.00	-85.00
2014-08-22	2014	08	2014-08-22	2014-08-28	2365.36	2311.28	-1.0	-54.08	54.08
2014-09-23	2014	09	2014-09-23	2014-09-29	2399.46	2447.80	-1.0	48.34	-48.34
2014-10-24	2014	10	2014-10-24	2014-10-30	2390.71	2468.93	-1.0	78.22	-78.22
2014-11-21	2014	11	2014-11-21	2014-11-27	2583.45	2754.49	-1.0	171.04	-171.04
2014-12-24	2014	12	2014-12-24	2014-12-30	3230.39	3457.55	-1.0	227.16	-227.16
2015-01-23	2015	01	2015-01-23	2015-01-29	3571.73	3481.80	-1.0	-89.93	89.93
2015-02-13	2015	02	2015-02-13	2015-02-26	3469.83	3566.30	-1.0	96.47	-96.47
2015-03-24	2015	03	2015-03-24	2015-03-30	3973.05	4088.18	-1.0	115.13	-115.13
2015-04-23	2015	04	2015-04-23	2015-04-29	4740.89	4774.33	-1.0	33.44	-33.44
2015-05-22	2015	05	2015-05-22	2015-05-28	4951.34	4834.01	-1.0	-117.33	117.33
2015-06-23	2015	06	2015-06-23	2015-06-29	4786.09	4191.55	-1.0	-594.54	594.54
2015-07-24	2015	07	2015-07-24	2015-07-30	4176.28	3815.41	-1.0	-360.87	360.87
2015-08-24	2015	08	2015-08-24	2015-08-28	3275.53	3342.29	-1.0	66.76	-66.76
2015-09-23	2015	09	2015-09-23	2015-09-29	3263.03	3178.85	-1.0	-84.18	84.18
2015-10-23	2015	10	2015-10-23	2015-10-29	3571.24	3533.31	-1.0	-37.93	37.93
2015-11-23	2015	11	2015-11-23	2015-11-27	3753.34	3556.99	-1.0	-196.35	196.35
2015-12-24	2015	12	2015-12-24	2015-12-30	3829.40	3765.18	-1.0	-64.22	64.22
2016-01-22	2016	01	2016-01-22	2016-01-28	3113.46	2853.76	-1.0	-259.70	259.70
2016-02-22	2016	02	2016-02-22	2016-02-26	3118.87	2948.03	-1.0	-170.84	170.84
2016-03-24	2016	03	2016-03-24	2016-03-30	3181.85	3216.28	-1.0	34.43	-34.43
2016-04-22	2016	04	2016-04-22	2016-04-28	3174.90	3160.58	-1.0	-14.32	14.32
2016-05-24	2016	05	2016-05-24	2016-05-30	3063.56	3066.71	-1.0	3.15	-3.15
2016-06-23	2016	06	2016-06-23	2016-06-29	3117.32	3151.39	-1.0	34.07	-34.07
2016-07-22	2016	07	2016-07-22	2016-07-28	3225.16	3221.14	-1.0	-4.02	4.02
2016-08-24	2016	08	2016-08-24	2016-08-30	3329.86	3311.99	-1.0	-17.87	17.87
2016-09-23	2016	09	2016-09-23	2016-09-29	3275.67	3244.39	-1.0	-31.28	31.28
2016-10-24	2016	10	2016-10-24	2016-10-28	3367.58	3340.13	-1.0	-27.45	27.45
2016-11-23	2016	11	2016-11-23	2016-11-29	3474.73	3564.04	-1.0	89.31	-89.31
2016-12-23	2016	12	2016-12-23	2016-12-29	3307.60	3297.76	-1.0	-9.84	9.84
2017-01-19	2017	01	2017-01-19	2017-01-25	3329.29	3375.90	-1.0	46.61	-46.61
2017-02-21	2017	02	2017-02-21	2017-02-27	3482.82	3446.22	-1.0	-36.60	36.60
2017-03-24	2017	03	2017-03-24	2017-03-30	3489.60	3436.76	-1.0	-52.84	52.84
2017-04-21	2017	04	2017-04-21	2017-04-27	3466.79	3446.72	-1.0	-20.07	20.07
2017-05-22	2017	05	2017-05-22	2017-05-26	3411.24	3480.43	-1.0	69.19	-69.19
2017-06-23	2017	06	2017-06-23	2017-06-29	3622.88	3668.83	-1.0	45.95	-45.95
2017-07-24	2017	07	2017-07-24	2017-07-28	3743.47	3721.89	-1.0	-21.58	21.58
2017-08-24	2017	08	2017-08-24	2017-08-30	3734.65	3834.30	-1.0	99.65	-99.65
2017-09-22	2017	09	2017-09-22	2017-09-28	3837.73	3822.54	-1.0	-15.19	15.19
2017-10-24	2017	10	2017-10-24	2017-10-30	3959.40	4009.72	-1.0	50.32	-50.32
2017-11-23	2017	11	2017-11-23	2017-11-29	4102.40	4053.75	-1.0	-48.65	48.65
2017-12-22	2017	12	2017-12-22	2017-12-28	4054.60	4018.90	-1.0	-35.70	35.70
2018-01-24	2018	01	2018-01-24	2018-01-30	4389.89	4256.10	-1.0	-133.79	133.79
2018-02-14	2018	02	2018-02-14	2018-02-27	3966.96	4058.98	-1.0	92.02	-92.02
2018-03-23	2018	03	2018-03-23	2018-03-29	3904.94	3894.05	-1.0	-10.89	10.89
2018-04-20	2018	04	2018-04-20	2018-04-26	3760.85	3755.49	-1.0	-5.36	5.36
2018-05-24	2018	05	2018-05-24	2018-05-30	3827.22	3723.37	-1.0	-103.85	103.85
2018-06-22	2018	06	2018-06-22	2018-06-28	3608.90	3423.53	-1.0	-185.37	185.37
2018-07-24	2018	07	2018-07-24	2018-07-30	3581.71	3515.08	-1.0	-66.63	66.63
2018-08-24	2018	08	2018-08-24	2018-08-30	3325.33	3351.09	-1.0	25.76	-25.76
2018-09-20	2018	09	2018-09-20	2018-09-27	3310.13	3403.59	-1.0	93.46	-93.46
2018-10-24	2018	10	2018-10-24	2018-10-30	3188.20	3110.26	-1.0	-77.94	77.94
2018-11-23	2018	11	2018-11-23	2018-11-29	3143.48	3137.65	-1.0	-5.83	5.83
2018-12-21	2018	12	2018-12-21	2018-12-27	3029.40	2990.51	-1.0	-38.89	38.89
2019-01-24	2019	01	2019-01-24	2019-01-30	3158.78	3168.48	-1.0	9.70	-9.70
2019-02-21	2019	02	2019-02-21	2019-02-27	3442.71	3678.39	-1.0	235.68	-235.68
2019-03-22	2019	03	2019-03-22	2019-03-28	3833.80	3728.40	-1.0	-105.40	105.40
2019-04-23	2019	04	2019-04-23	2019-04-29	4019.01	3900.33	-1.0	-118.68	118.68
2019-05-24	2019	05	2019-05-24	2019-05-30	3593.91	3641.18	-1.0	47.27	-47.27
2019-06-21	2019	06	2019-06-21	2019-06-27	3833.94	3834.82	-1.0	0.88	-0.88
2019-07-24	2019	07	2019-07-24	2019-07-30	3819.83	3870.32	-1.0	50.49	-50.49
2019-08-23	2019	08	2019-08-23	2019-08-29	3820.86	3790.19	-1.0	-30.67	30.67
2019-09-23	2019	09	2019-09-23	2019-09-27	3890.66	3852.65	-1.0	-38.01	38.01
2019-10-24	2019	10	2019-10-24	2019-10-30	3870.67	3891.23	-1.0	20.56	-20.56
2019-11-22	2019	11	2019-11-22	2019-11-28	3849.99	3862.30	-1.0	12.31	-12.31
2019-12-24	2019	12	2019-12-24	2019-12-30	3992.96	4081.63	-1.0	88.67	-88.67
2020-01-16	2020	01	2020-01-16	2020-01-22	4149.04	4131.93	-1.0	-17.11	17.11
2020-02-21	2020	02	2020-02-21	2020-02-27	4149.49	4084.88	-1.0	-64.61	64.61
2020-03-24	2020	03	2020-03-24	2020-03-30	3625.11	3674.11	-1.0	49.00	-49.00
2020-04-23	2020	04	2020-04-23	2020-04-29	3829.75	3867.03	-1.0	37.28	-37.28
2020-05-22	2020	05	2020-05-22	2020-05-28	3824.06	3856.63	-1.0	32.57	-32.57
2020-06-19	2020	06	2020-06-19	2020-06-29	4098.71	4109.72	-1.0	11.01	-11.01
2020-07-24	2020	07	2020-07-24	2020-07-30	4505.59	4656.15	-1.0	150.56	-150.56
2020-08-24	2020	08	2020-08-24	2020-08-28	4755.85	4844.27	-1.0	88.42	-88.42
2020-09-23	2020	09	2020-09-23	2020-09-29	4652.33	4591.80	-1.0	-60.53	60.53
2020-10-23	2020	10	2020-10-23	2020-10-29	4718.49	4772.92	-1.0	54.43	-54.43
2020-11-23	2020	11	2020-11-23	2020-11-27	5005.03	4980.77	-1.0	-24.26	24.26
2020-12-24	2020	12	2020-12-24	2020-12-30	5000.02	5113.71	-1.0	113.69	-113.69
2021-01-22	2021	01	2021-01-22	2021-01-28	5569.78	5377.14	-1.0	-192.64	192.64
2021-02-19	2021	02	2021-02-19	2021-02-25	5778.84	5469.56	-1.0	-309.28	309.28
2021-03-24	2021	03	2021-03-24	2021-03-30	4928.69	5094.73	-1.0	166.04	-166.04
2021-04-23	2021	04	2021-04-23	2021-04-29	5135.45	5164.17	-1.0	28.72	-28.72
2021-05-24	2021	05	2021-05-24	2021-05-28	5155.59	5321.09	-1.0	165.50	-165.50
2021-06-23	2021	06	2021-06-23	2021-06-29	5147.39	5190.54	-1.0	43.15	-43.15
2021-07-23	2021	07	2021-07-23	2021-07-29	5089.23	4850.27	-1.0	-238.96	238.96
2021-08-24	2021	08	2021-08-24	2021-08-30	4888.39	4813.27	-1.0	-75.12	75.12
2021-09-23	2021	09	2021-09-23	2021-09-29	4853.20	4833.93	-1.0	-19.27	19.27
2021-10-22	2021	10	2021-10-22	2021-10-28	4959.73	4864.14	-1.0	-95.59	95.59
2021-11-23	2021	11	2021-11-23	2021-11-29	4913.35	4851.42	-1.0	-61.93	61.93
2021-12-24	2021	12	2021-12-24	2021-12-30	4921.34	4921.51	-1.0	0.17	-0.17
2022-01-21	2022	01	2022-01-21	2022-01-27	4779.31	4619.88	-1.0	-159.43	159.43
2022-02-21	2022	02	2022-02-21	2022-02-25	4634.31	4573.42	-1.0	-60.89	60.89
2022-03-24	2022	03	2022-03-24	2022-03-30	4251.31	4254.10	-1.0	2.79	-2.79
2022-04-22	2022	04	2022-04-22	2022-04-28	4013.25	3921.11	-1.0	-92.14	92.14
2022-05-24	2022	05	2022-05-24	2022-05-30	3959.15	4029.02	-1.0	69.87	-69.87
2022-06-23	2022	06	2022-06-23	2022-06-29	4343.88	4421.36	-1.0	77.48	-77.48
2022-07-22	2022	07	2022-07-22	2022-07-28	4238.23	4225.67	-1.0	-12.56	12.56
2022-08-24	2022	08	2022-08-24	2022-08-30	4082.42	4075.79	-1.0	-6.63	6.63
2022-09-23	2022	09	2022-09-23	2022-09-29	3856.02	3827.14	-1.0	-28.88	28.88
2022-10-24	2022	10	2022-10-24	2022-10-28	3633.37	3541.33	-1.0	-92.04	92.04
2022-11-23	2022	11	2022-11-23	2022-11-29	3773.53	3848.42	-1.0	74.89	-74.89
2022-12-23	2022	12	2022-12-23	2022-12-29	3828.22	3856.70	-1.0	28.48	-28.48
2023-01-17	2023	01	2023-01-17	2023-01-30	4137.24	4201.35	-1.0	64.11	-64.11
2023-02-21	2023	02	2023-02-21	2023-02-27	4144.35	4043.84	-1.0	-100.51	100.51
2023-03-24	2023	03	2023-03-24	2023-03-30	4027.05	4038.53	-1.0	11.48	-11.48

做多

long_trade_df

	year	month	start_date	end_date	open_price	close_price	direction	diff	points
date
2010-01-28	2010	01	2010-01-28	2010-02-02	3206.57	3146.19	1.0	-60.38	-60.38
2010-02-25	2010	02	2010-02-25	2010-03-02	3292.13	3311.24	1.0	19.11	19.11
2010-03-30	2010	03	2010-03-30	2010-04-02	3366.71	3407.35	1.0	40.64	40.64
2010-04-29	2010	04	2010-04-29	2010-05-05	3060.06	3036.39	1.0	-23.67	-23.67
2010-05-28	2010	05	2010-05-28	2010-06-02	2850.30	2757.53	1.0	-92.77	-92.77
2010-06-29	2010	06	2010-06-29	2010-07-02	2592.02	2534.11	1.0	-57.91	-57.91
2010-07-29	2010	07	2010-07-29	2010-08-03	2877.98	2865.97	1.0	-12.01	-12.01
2010-08-30	2010	08	2010-08-30	2010-09-02	2915.01	2921.39	1.0	6.38	6.38
2010-09-29	2010	09	2010-09-29	2010-10-11	2874.81	3132.89	1.0	258.08	258.08
2010-10-28	2010	10	2010-10-28	2010-11-02	3397.69	3463.13	1.0	65.44	65.44
2010-11-29	2010	11	2010-11-29	2010-12-02	3190.05	3155.06	1.0	-34.99	-34.99
2010-12-30	2010	12	2010-12-30	2011-01-05	3064.10	3175.66	1.0	111.56	111.56
2011-01-28	2011	01	2011-01-28	2011-02-09	3036.74	3040.95	1.0	4.21	4.21
2011-02-25	2011	02	2011-02-25	2011-03-02	3197.62	3243.30	1.0	45.68	45.68
2011-03-30	2011	03	2011-03-30	2011-04-06	3256.08	3311.07	1.0	54.99	54.99
2011-04-28	2011	04	2011-04-28	2011-05-04	3161.78	3129.03	1.0	-32.75	-32.75
2011-05-30	2011	05	2011-05-30	2011-06-02	2954.51	2955.70	1.0	1.19	1.19
2011-06-29	2011	06	2011-06-29	2011-07-04	3000.17	3121.98	1.0	121.81	121.81
2011-07-28	2011	07	2011-07-28	2011-08-02	2981.00	2956.38	1.0	-24.62	-24.62
2011-08-30	2011	08	2011-08-30	2011-09-02	2841.74	2803.85	1.0	-37.89	-37.89
2011-09-29	2011	09	2011-09-29	2011-10-11	2588.18	2551.99	1.0	-36.19	-36.19
2011-10-28	2011	10	2011-10-28	2011-11-02	2709.02	2742.39	1.0	33.37	33.37
2011-11-29	2011	11	2011-11-29	2011-12-02	2608.57	2557.31	1.0	-51.26	-51.26
2011-12-29	2011	12	2011-12-29	2012-01-05	2311.36	2276.39	1.0	-34.97	-34.97
2012-01-30	2012	01	2012-01-30	2012-02-02	2460.72	2486.24	1.0	25.52	25.52
2012-02-28	2012	02	2012-02-28	2012-03-02	2662.46	2679.93	1.0	17.47	17.47
2012-03-29	2012	03	2012-03-29	2012-04-06	2443.12	2519.83	1.0	76.71	76.71
2012-04-26	2012	04	2012-04-26	2012-05-03	2631.49	2691.52	1.0	60.03	60.03
2012-05-30	2012	05	2012-05-30	2012-06-04	2642.26	2559.03	1.0	-83.23	-83.23
2012-06-28	2012	06	2012-06-28	2012-07-03	2425.73	2468.72	1.0	42.99	42.99
2012-07-30	2012	07	2012-07-30	2012-08-02	2335.79	2334.88	1.0	-0.91	-0.91
2012-08-30	2012	08	2012-08-30	2012-09-04	2211.37	2204.41	1.0	-6.96	-6.96
2012-09-27	2012	09	2012-09-27	2012-10-09	2251.72	2320.16	1.0	68.44	68.44
2012-10-30	2012	10	2012-10-30	2012-11-02	2239.88	2306.77	1.0	66.89	66.89
2012-11-29	2012	11	2012-11-29	2012-12-04	2115.68	2131.47	1.0	15.79	15.79
2012-12-28	2012	12	2012-12-28	2013-01-07	2480.05	2535.99	1.0	55.94	55.94
2013-01-30	2013	01	2013-01-30	2013-02-04	2688.71	2748.03	1.0	59.32	59.32
2013-02-27	2013	02	2013-02-27	2013-03-04	2594.68	2545.72	1.0	-48.96	-48.96
2013-03-28	2013	03	2013-03-28	2013-04-02	2499.30	2486.39	1.0	-12.91	-12.91
2013-04-25	2013	04	2013-04-25	2013-05-03	2467.88	2492.91	1.0	25.03	25.03
2013-05-30	2013	05	2013-05-30	2013-06-04	2634.32	2565.67	1.0	-68.65	-68.65
2013-06-27	2013	06	2013-06-27	2013-07-02	2160.74	2221.98	1.0	61.24	61.24
2013-07-30	2013	07	2013-07-30	2013-08-02	2189.39	2247.26	1.0	57.87	57.87
2013-08-29	2013	08	2013-08-29	2013-09-03	2318.31	2354.50	1.0	36.19	36.19
2013-09-27	2013	09	2013-09-27	2013-10-09	2394.97	2453.58	1.0	58.61	58.61
2013-10-30	2013	10	2013-10-30	2013-11-04	2407.47	2380.45	1.0	-27.02	-27.02
2013-11-28	2013	11	2013-11-28	2013-12-03	2439.53	2442.78	1.0	3.25	3.25
2013-12-30	2013	12	2013-12-30	2014-01-03	2299.46	2290.78	1.0	-8.68	-8.68
2014-01-29	2014	01	2014-01-29	2014-02-10	2227.78	2267.53	1.0	39.75	39.75
2014-02-27	2014	02	2014-02-27	2014-03-04	2154.11	2184.27	1.0	30.16	30.16
2014-03-28	2014	03	2014-03-28	2014-04-02	2151.97	2180.73	1.0	28.76	28.76
2014-04-29	2014	04	2014-04-29	2014-05-06	2158.47	2157.33	1.0	-1.14	-1.14
2014-05-29	2014	05	2014-05-29	2014-06-04	2155.16	2128.27	1.0	-26.89	-26.89
2014-06-27	2014	06	2014-06-27	2014-07-02	2150.26	2170.87	1.0	20.61	20.61
2014-07-30	2014	07	2014-07-30	2014-08-04	2322.01	2375.62	1.0	53.61	53.61
2014-08-28	2014	08	2014-08-28	2014-09-02	2311.28	2386.46	1.0	75.18	75.18
2014-09-29	2014	09	2014-09-29	2014-10-09	2447.80	2481.95	1.0	34.15	34.15
2014-10-30	2014	10	2014-10-30	2014-11-04	2468.93	2513.17	1.0	44.24	44.24
2014-11-27	2014	11	2014-11-27	2014-12-02	2754.49	2923.94	1.0	169.45	169.45
2014-12-30	2014	12	2014-12-30	2015-01-06	3457.55	3641.06	1.0	183.51	183.51
2015-01-29	2015	01	2015-01-29	2015-02-03	3481.80	3437.45	1.0	-44.35	-44.35
2015-02-26	2015	02	2015-02-26	2015-03-03	3566.30	3507.90	1.0	-58.40	-58.40
2015-03-30	2015	03	2015-03-30	2015-04-02	4088.18	4124.78	1.0	36.60	36.60
2015-04-29	2015	04	2015-04-29	2015-05-05	4774.33	4596.84	1.0	-177.49	-177.49
2015-05-28	2015	05	2015-05-28	2015-06-02	4834.01	5161.87	1.0	327.86	327.86
2015-06-29	2015	06	2015-06-29	2015-07-02	4191.55	4108.00	1.0	-83.55	-83.55
2015-07-30	2015	07	2015-07-30	2015-08-04	3815.41	3948.16	1.0	132.75	132.75
2015-08-28	2015	08	2015-08-28	2015-09-02	3342.29	3365.83	1.0	23.54	23.54
2015-09-29	2015	09	2015-09-29	2015-10-09	3178.85	3340.12	1.0	161.27	161.27
2015-10-29	2015	10	2015-10-29	2015-11-03	3533.31	3465.49	1.0	-67.82	-67.82
2015-11-27	2015	11	2015-11-27	2015-12-02	3556.99	3721.95	1.0	164.96	164.96
2015-12-30	2015	12	2015-12-30	2016-01-05	3765.18	3478.78	1.0	-286.40	-286.40
2016-01-28	2016	01	2016-01-28	2016-02-02	2853.76	2961.33	1.0	107.57	107.57
2016-02-26	2016	02	2016-02-26	2016-03-02	2948.03	3051.33	1.0	103.30	103.30
2016-03-30	2016	03	2016-03-30	2016-04-05	3216.28	3264.49	1.0	48.21	48.21
2016-04-28	2016	04	2016-04-28	2016-05-04	3160.58	3209.46	1.0	48.88	48.88
2016-05-30	2016	05	2016-05-30	2016-06-02	3066.71	3167.10	1.0	100.39	100.39
2016-06-29	2016	06	2016-06-29	2016-07-04	3151.39	3204.70	1.0	53.31	53.31
2016-07-28	2016	07	2016-07-28	2016-08-02	3221.14	3189.05	1.0	-32.09	-32.09
2016-08-30	2016	08	2016-08-30	2016-09-02	3311.99	3314.11	1.0	2.12	2.12
2016-09-29	2016	09	2016-09-29	2016-10-11	3244.39	3306.56	1.0	62.17	62.17
2016-10-28	2016	10	2016-10-28	2016-11-02	3340.13	3333.35	1.0	-6.78	-6.78
2016-11-29	2016	11	2016-11-29	2016-12-02	3564.04	3528.95	1.0	-35.09	-35.09
2016-12-29	2016	12	2016-12-29	2017-01-04	3297.76	3368.31	1.0	70.55	70.55
2017-01-25	2017	01	2017-01-25	2017-02-06	3375.90	3373.21	1.0	-2.69	-2.69
2017-02-27	2017	02	2017-02-27	2017-03-02	3446.22	3435.10	1.0	-11.12	-11.12
2017-03-30	2017	03	2017-03-30	2017-04-06	3436.76	3514.05	1.0	77.29	77.29
2017-04-27	2017	04	2017-04-27	2017-05-03	3446.72	3413.13	1.0	-33.59	-33.59
2017-05-26	2017	05	2017-05-26	2017-06-02	3480.43	3486.51	1.0	6.08	6.08
2017-06-29	2017	06	2017-06-29	2017-07-04	3668.83	3619.98	1.0	-48.85	-48.85
2017-07-28	2017	07	2017-07-28	2017-08-02	3721.89	3760.85	1.0	38.96	38.96
2017-08-30	2017	08	2017-08-30	2017-09-04	3834.30	3845.62	1.0	11.32	11.32
2017-09-28	2017	09	2017-09-28	2017-10-10	3822.54	3889.86	1.0	67.32	67.32
2017-10-30	2017	10	2017-10-30	2017-11-02	4009.72	3997.13	1.0	-12.59	-12.59
2017-11-29	2017	11	2017-11-29	2017-12-04	4053.75	4018.86	1.0	-34.89	-34.89
2017-12-28	2017	12	2017-12-28	2018-01-03	4018.90	4111.39	1.0	92.49	92.49
2018-01-30	2018	01	2018-01-30	2018-02-02	4256.10	4271.23	1.0	15.13	15.13
2018-02-27	2018	02	2018-02-27	2018-03-02	4058.98	4016.46	1.0	-42.52	-42.52
2018-03-29	2018	03	2018-03-29	2018-04-03	3894.05	3862.48	1.0	-31.57	-31.57
2018-04-26	2018	04	2018-04-26	2018-05-03	3755.49	3793.00	1.0	37.51	37.51
2018-05-30	2018	05	2018-05-30	2018-06-04	3723.37	3807.58	1.0	84.21	84.21
2018-06-28	2018	06	2018-06-28	2018-07-03	3423.53	3409.28	1.0	-14.25	-14.25
2018-07-30	2018	07	2018-07-30	2018-08-02	3515.08	3370.96	1.0	-144.12	-144.12
2018-08-30	2018	08	2018-08-30	2018-09-04	3351.09	3363.90	1.0	12.81	12.81
2018-09-27	2018	09	2018-09-27	2018-10-09	3403.59	3288.69	1.0	-114.90	-114.90
2018-10-30	2018	10	2018-10-30	2018-11-02	3110.26	3290.25	1.0	179.99	179.99
2018-11-29	2018	11	2018-11-29	2018-12-04	3137.65	3267.71	1.0	130.06	130.06
2018-12-27	2018	12	2018-12-27	2019-01-03	2990.51	2964.84	1.0	-25.67	-25.67
2019-01-30	2019	01	2019-01-30	2019-02-11	3168.48	3306.47	1.0	137.99	137.99
2019-02-27	2019	02	2019-02-27	2019-03-04	3678.39	3794.10	1.0	115.71	115.71
2019-03-28	2019	03	2019-03-28	2019-04-02	3728.40	3971.29	1.0	242.89	242.89
2019-04-29	2019	04	2019-04-29	2019-05-07	3900.33	3720.67	1.0	-179.66	-179.66
2019-05-30	2019	05	2019-05-30	2019-06-04	3641.18	3598.47	1.0	-42.71	-42.71
2019-06-27	2019	06	2019-06-27	2019-07-02	3834.82	3937.17	1.0	102.35	102.35
2019-07-30	2019	07	2019-07-30	2019-08-02	3870.32	3747.44	1.0	-122.88	-122.88
2019-08-29	2019	08	2019-08-29	2019-09-03	3790.19	3853.61	1.0	63.42	63.42
2019-09-27	2019	09	2019-09-27	2019-10-09	3852.65	3843.24	1.0	-9.41	-9.41
2019-10-30	2019	10	2019-10-30	2019-11-04	3891.23	3978.12	1.0	86.89	86.89
2019-11-28	2019	11	2019-11-28	2019-12-03	3862.30	3851.09	1.0	-11.21	-11.21
2019-12-30	2019	12	2019-12-30	2020-01-03	4081.63	4144.96	1.0	63.33	63.33
2020-01-22	2020	01	2020-01-22	2020-02-04	4131.93	3785.64	1.0	-346.29	-346.29
2020-02-27	2020	02	2020-02-27	2020-03-03	4084.88	4091.36	1.0	6.48	6.48
2020-03-30	2020	03	2020-03-30	2020-04-02	3674.11	3734.53	1.0	60.42	60.42
2020-04-29	2020	04	2020-04-29	2020-05-07	3867.03	3924.89	1.0	57.86	57.86
2020-05-28	2020	05	2020-05-28	2020-06-02	3856.63	3983.57	1.0	126.94	126.94
2020-06-29	2020	06	2020-06-29	2020-07-02	4109.72	4335.84	1.0	226.12	226.12
2020-07-30	2020	07	2020-07-30	2020-08-04	4656.15	4775.80	1.0	119.65	119.65
2020-08-28	2020	08	2020-08-28	2020-09-02	4844.27	4843.89	1.0	-0.38	-0.38
2020-09-29	2020	09	2020-09-29	2020-10-12	4591.80	4823.16	1.0	231.36	231.36
2020-10-29	2020	10	2020-10-29	2020-11-03	4772.92	4777.56	1.0	4.64	4.64
2020-11-27	2020	11	2020-11-27	2020-12-02	4980.77	5067.14	1.0	86.37	86.37
2020-12-30	2020	12	2020-12-30	2021-01-05	5113.71	5368.50	1.0	254.79	254.79
2021-01-28	2021	01	2021-01-28	2021-02-02	5377.14	5501.09	1.0	123.95	123.95
2021-02-25	2021	02	2021-02-25	2021-03-02	5469.56	5349.63	1.0	-119.93	-119.93
2021-03-30	2021	03	2021-03-30	2021-04-02	5094.73	5161.56	1.0	66.83	66.83
2021-04-29	2021	04	2021-04-29	2021-05-07	5164.17	4996.05	1.0	-168.12	-168.12
2021-05-28	2021	05	2021-05-28	2021-06-02	5321.09	5289.97	1.0	-31.12	-31.12
2021-06-29	2021	06	2021-06-29	2021-07-02	5190.54	5081.12	1.0	-109.42	-109.42
2021-07-29	2021	07	2021-07-29	2021-08-03	4850.27	4934.46	1.0	84.19	84.19
2021-08-30	2021	08	2021-08-30	2021-09-02	4813.27	4869.41	1.0	56.14	56.14
2021-09-29	2021	09	2021-09-29	2021-10-11	4833.93	4936.19	1.0	102.26	102.26
2021-10-28	2021	10	2021-10-28	2021-11-02	4864.14	4839.85	1.0	-24.29	-24.29
2021-11-29	2021	11	2021-11-29	2021-12-02	4851.42	4856.16	1.0	4.74	4.74
2021-12-30	2021	12	2021-12-30	2022-01-05	4921.51	4868.12	1.0	-53.39	-53.39
2022-01-27	2022	01	2022-01-27	2022-02-08	4619.88	4608.77	1.0	-11.11	-11.11
2022-02-25	2022	02	2022-02-25	2022-03-02	4573.42	4578.60	1.0	5.18	5.18
2022-03-30	2022	03	2022-03-30	2022-04-06	4254.10	4263.84	1.0	9.74	9.74
2022-04-28	2022	04	2022-04-28	2022-05-06	3921.11	3908.82	1.0	-12.29	-12.29
2022-05-30	2022	05	2022-05-30	2022-06-02	4029.02	4089.57	1.0	60.55	60.55
2022-06-29	2022	06	2022-06-29	2022-07-04	4421.36	4496.03	1.0	74.67	74.67
2022-07-28	2022	07	2022-07-28	2022-08-02	4225.67	4107.02	1.0	-118.65	-118.65
2022-08-30	2022	08	2022-08-30	2022-09-02	4075.79	4023.61	1.0	-52.18	-52.18
2022-09-29	2022	09	2022-09-29	2022-10-11	3827.14	3727.69	1.0	-99.45	-99.45
2022-10-28	2022	10	2022-10-28	2022-11-02	3541.33	3677.81	1.0	136.48	136.48
2022-11-29	2022	11	2022-11-29	2022-12-02	3848.42	3870.95	1.0	22.53	22.53
2022-12-29	2022	12	2022-12-29	2023-01-04	3856.70	3892.95	1.0	36.25	36.25
2023-01-30	2023	01	2023-01-30	2023-02-02	4201.35	4181.15	1.0	-20.20	-20.20
2023-02-27	2023	02	2023-02-27	2023-03-02	4043.84	4117.74	1.0	73.90	73.90
2023-03-30	2023	03	2023-03-30	2023-04-04	4038.53	4103.11	1.0	64.58	64.58

各年收益

short_se = short_trade_df.groupby('year')['points'].sum()
short_se.name = '做空'
long_se = long_trade_df.groupby('year')['points'].sum()
long_se.name = '做多'
data = [short_se,long_se]
year_df = pd.concat(data,axis=1)
year_df['合计'] = year_df['做多'] + year_df['做空']
year_df

	做空	做多	合计
year
2010	232.21	219.48	451.69
2011	167.85	43.57	211.42
2012	177.44	338.68	516.12
2013	260.40	135.29	395.69
2014	-403.51	651.39	247.88
2015	1233.55	128.97	1362.52
2016	374.36	522.54	896.90
2017	-81.09	149.73	68.64
2018	417.31	86.68	503.99
2019	-172.80	446.71	273.91
2020	-370.45	827.96	457.51
2021	589.21	-68.16	521.05
2022	199.06	51.72	250.78
2023	24.92	118.28	143.20

各月收益

short_se = short_trade_df.groupby('month')['points'].sum()
short_se.name = '做空'
long_se = long_trade_df.groupby('month')['points'].sum()
long_se.name = '做多'
data = [short_se,long_se]
month_df = pd.concat(data,axis=1)
month_df['合计'] = month_df['做多'] + month_df['做空']
month_df

	做空	做多	合计
month
01	707.34	28.42	735.76
02	399.07	136.06	535.13
03	-51.09	763.18	712.09
04	516.73	-399.40	117.33
05	-162.33	361.85	199.52
06	918.25	389.12	1307.37
07	520.62	31.75	552.37
08	-98.19	189.69	91.50
09	216.52	783.71	1000.23
10	36.98	479.44	516.42
11	-82.53	429.71	347.18
12	-272.91	459.31	186.40