38 lines
997 B
Python
38 lines
997 B
Python
import pandas as pd
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import numpy as np
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def run():
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"""
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简单动量策略示例：
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- 买入条件：过去 3 日涨幅 > 2%
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- 卖出条件：过去 3 日涨幅 < -2%
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"""
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# 模拟历史行情数据
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dates = pd.date_range(start='2026-01-01', periods=20)
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prices = pd.Series(np.random.uniform(50, 150, size=20), index=dates)
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# 计算过去 3 日涨幅
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returns = prices.pct_change(3).fillna(0)
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# 策略信号
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signal = (returns > 0.02).astype(int) - (returns < -0.02).astype(int)
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# 简单净值计算
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capital = 10000
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position = 0
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nav = []
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for i in range(len(prices)):
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if signal[i] == 1:
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position = capital / prices[i]
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elif signal[i] == -1:
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capital = position * prices[i]
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position = 0
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nav.append(capital + position * prices[i])
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result = pd.DataFrame({
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'date': dates,
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'price': prices,
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'signal': signal,
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'nav': nav
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})
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return result |