全体股票日线macd金叉买入,死叉卖出的回测python代码
时间: 2023-11-13 17:05:42 浏览: 50
以下是一份简单的 Python 代码示例,用于回测全体股票日线 MACD 金叉买入和死叉卖出策略:
```python
import pandas as pd
import numpy as np
import talib
# 导入股票数据,假设数据包含股票代码、日期、开盘价、最高价、最低价、收盘价等字段
data = pd.read_csv('stock_data.csv')
# 计算 MACD 指标
data['ema12'] = talib.EMA(data['close'], timeperiod=12)
data['ema26'] = talib.EMA(data['close'], timeperiod=26)
data['macd'], data['macdsignal'], data['macdhist'] = talib.MACD(data['close'], fastperiod=12, slowperiod=26, signalperiod=9)
# 初始化持仓和资金
position = 0
cash = 1000000
# 遍历每个交易日
for i in range(1, len(data)):
# 如果 MACD 金叉,买入股票
if data['macd'][i] > data['macdsignal'][i] and data['macd'][i-1] <= data['macdsignal'][i-1] and position == 0:
shares = int(cash / data['close'][i] / 100) * 100
cash -= shares * data['close'][i]
position += shares
# 如果 MACD 死叉,卖出股票
elif data['macd'][i] < data['macdsignal'][i] and data['macd'][i-1] >= data['macdsignal'][i-1] and position > 0:
cash += position * data['close'][i]
position = 0
# 计算最终资产
value = cash + position * data['close'][-1]
print('最终资产:', value)
```
该代码首先导入股票数据,然后使用 `talib` 模块计算日线 MACD 指标。接下来,初始化持仓和资金,并且遍历每个交易日。如果 MACD 金叉并且当前没有持仓,就买入股票;如果 MACD 死叉并且当前有持仓,就卖出股票。最后,计算最终资产并输出。