请使用tushare的数据用Python 写一个 关于中证1000指数和上证50指数价格比值构建的MACD指标的配对交易策略,然后做出回溯检验,最后以日期为横坐标画出收益图形和最大回撤图形和MACD图形交易信号图形.
时间: 2023-12-10 22:39:12 浏览: 280
以下是 Python 代码实现:
```python
import tushare as ts
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
# 获取中证1000指数和上证50指数的收盘价数据
zz1000 = ts.get_hist_data('000852', start='20180101', end='20211231')['close']
sz50 = ts.get_hist_data('000016', start='20180101', end='20211231')['close']
# 构建价格比值
price_ratio = zz1000 / sz50
# 计算移动平均线
short_ma = price_ratio.rolling(window=12).mean()
long_ma = price_ratio.rolling(window=26).mean()
# 计算 MACD 指标
macd = short_ma - long_ma
signal = macd.rolling(window=9).mean()
# 计算交易信号
signal_diff = signal - signal.shift(1)
macd_diff = macd - signal
buy_signal = (signal_diff > 0) & (macd_diff > 0)
sell_signal = (signal_diff < 0) & (macd_diff < 0)
# 构建交易策略
positions = pd.Series(index=price_ratio.index, dtype=np.float64)
positions[buy_signal] = 1
positions[sell_signal] = -1
positions = positions.ffill().fillna(0)
# 计算每日收益率
daily_returns = price_ratio.pct_change(1) * positions.shift(1)
# 计算累计收益率
cumulative_returns = (1 + daily_returns).cumprod()
# 计算最大回撤
max_drawdown = (cumulative_returns.cummax() - cumulative_returns) / cumulative_returns.cummax()
# 画出回溯检验图形
fig, ax = plt.subplots(figsize=(16, 8))
ax.plot(cumulative_returns.index, cumulative_returns, label='Cumulative returns')
ax.plot(max_drawdown.index, max_drawdown, label='Maximum drawdown')
ax.legend()
ax.set_xlabel('Date')
ax.set_ylabel('Returns')
plt.show()
# 画出 MACD 图形及交易信号
fig, ax = plt.subplots(figsize=(16, 8))
ax.plot(price_ratio.index, price_ratio, label='Price ratio')
ax.plot(short_ma.index, short_ma, label='Short MA')
ax.plot(long_ma.index, long_ma, label='Long MA')
ax.fill_between(macd.index, macd, signal, where=macd > signal, alpha=0.5, facecolor='green')
ax.fill_between(macd.index, macd, signal, where=macd < signal, alpha=0.5, facecolor='red')
ax.legend()
ax.set_xlabel('Date')
ax.set_ylabel('Price Ratio')
plt.show()
```
该代码会获取中证1000指数和上证50指数的收盘价数据,并根据它们的价格比值构建 MACD 指标的配对交易策略。然后,会根据该策略计算每日收益率和累计收益率,以及最大回撤,并绘制回溯检验图形和 MACD 图形及交易信号图形。
阅读全文