转成伪代码
时间: 2023-07-02 13:15:34 浏览: 41
以下是该代码的伪代码实现:
```
# Stop Loss Strategy
def Stop_Loss_Strategy(data, rolling_length, threshold):
# data: must include one column named 'Settle'
# rolling_length: time length to compute max price
# threshold: max loss for a long position
# 初始化仓位、滚动窗口内最高价和当前价格与滚动窗口内最高价的跌幅
Position = [None] * len(data)
Rolling_Max = [None] * len(data)
LossfromTop = [None] * len(data)
# 计算滚动窗口内最高价和当前价格与滚动窗口内最高价的跌幅
for i in range(len(data) - rolling_length):
Rolling_Max[i + rolling_length - 1] = max(data['prices'][i: i + rolling_length - 1])
LossfromTop[i + rolling_length - 1] = 1 - data['prices'][i + rolling_length - 1] / Rolling_Max[i + rolling_length - 1]
# 如果跌幅超过阈值,开空仓位
if LossfromTop[i + rolling_length - 1] > threshold:
Position[i + rolling_length] = -1
# 否则保持多仓位
else:
Position[i + rolling_length] = 1
# 计算每日收益率、策略收益率
data['Rolling_Max'] = Rolling_Max
data['Loss from Top'] = LossfromTop
data['Position'] = Position
data['Daily Returns'] = data.prices.pct_change()
data['Strategy Returns'] = data['Position'] * data['Daily Returns']
# 计算 Sortino比率、年化收益率和最大回撤
sortino_ratio = pas.sortino_ratio(data['Strategy Returns'].dropna().values, rf=0)
annual_return = data['Strategy Returns'].mean() * 252
maxDrawdown = mdd(data['Strategy Returns'])
# 计算综合指标
return sortino_ratio * annual_return / maxDrawdown
```
注意:这段伪代码仅为参考,并不能直接运行。