{"id":111233,"date":"2026-09-30T17:17:02","date_gmt":"2026-09-30T09:17:02","guid":{"rendered":"https:\/\/www.wsisp.com\/helps\/111233.html"},"modified":"2026-09-30T17:17:02","modified_gmt":"2026-09-30T09:17:02","slug":"%e3%80%90python%e9%87%8f%e5%8c%96%e7%ad%96%e7%95%a5%e5%ae%9e%e6%88%98-01%e3%80%91%e5%8d%95%e5%9b%a0%e5%ad%90%e9%80%89%e8%82%a1%e5%8a%a8%e9%87%8ftop10%e7%ad%89%e6%9d%83%e5%9b%9e%e6%b5%8b","status":"publish","type":"post","link":"https:\/\/www.wsisp.com\/helps\/111233.html","title":{"rendered":"\u3010Python\u91cf\u5316\u7b56\u7565\u5b9e\u6218 #01\u3011\u5355\u56e0\u5b50\u9009\u80a1\u52a8\u91cftop10\u7b49\u6743\u56de\u6d4b"},"content":{"rendered":"<h3>\u4e00\u3001\u4e3a\u4ec0\u4e48\u9700\u8981\u8fd9\u4e2a\u7b56\u7565&#xff08;\u75db\u70b9\u5f00\u573a&#xff09;<\/h3>\n<p>\u56de\u6d4b\u7cfb\u7edf\u8981\u4e48\u662f backtrader \/ zipline \u90a3\u79cd&#034;\u51e0\u5341\u9875\u6587\u6863\u3001\u4e0a\u624b\u4e24\u5929&#034;\u7684\u91cd\u578b\u6846\u67b6&#xff0c;\u8981\u4e48\u662f\u4f60\u4e00\u4e0a\u6765\u5c31\u88ab\u5404\u79cd\u5751&#xff08;\u6bd4\u5982\u672a\u6765\u51fd\u6570\u3001\u6ed1\u70b9\u8bbe\u9519\u3001\u52a8\u91cf\u7b97\u6cd5\u4e0d\u5bf9&#xff09;\u529d\u9000\u3002<\/p>\n<p>\u4f46\u6700\u5c0f\u53ef\u7528\u7684\u5411\u91cf\u5316\u56de\u6d4b&#xff0c;\u81ea\u5df1\u5199\u4e5f\u5c31 100 \u884c pandas&#xff1a;<\/p>\n<ul>\n<li>\u4e00\u4e2a 30 \u53ea\u5927\u76d8\u80a1\u7684\u80a1\u7968\u6c60<\/li>\n<li>\u8fc7\u53bb 120 \u4e2a\u4ea4\u6613\u65e5\u7d2f\u8ba1\u6da8\u5e45&#xff08;\u52a8\u91cf\u56e0\u5b50&#xff09;<\/li>\n<li>\u6bcf\u6708\u672b\u53d6 top10 \u7b49\u6743\u6301\u4ed3 20 \u5929<\/li>\n<li>\u7b97\u6536\u76ca \/ \u56de\u64a4 \/ Sharpe<\/li>\n<\/ul>\n<p>\u8fd9\u4e00\u7bc7\u628a\u5b83&#034;\u767d\u7eb8\u5316&#034;\u5199\u51fa\u6765\u3002\u6587\u7ae0\u8dd1\u901a\u7684 50 \u884c\u6838\u5fc3\u4ee3\u7801 &#043; \u4e00\u4e2a\u5b8c\u6574 Demo&#xff0c;\u8bfb\u8005\u590d\u5236\u7c98\u8d34\u5373\u53ef\u5728\u672c\u673a\u590d\u73b0&#xff0c;\u518d\u6362\u6b63\u5f0f\u8bc1\u4e66\u5c31\u5f97\u5230 2 \u5e74\u56de\u6d4b\u3002<\/p>\n<h3>\u4e8c\u3001\u672c\u6587\u4f60\u5c06\u5f97\u5230\u4ec0\u4e48<\/h3>\n<li>\u4e00\u4efd\u624b\u5199\u5411\u91cf\u5316\u56de\u6d4b\u9aa8\u67b6&#xff08;\u65e0 backtrader \/ zipline \u4f9d\u8d56&#xff09;<\/li>\n<li>\u52a8\u91cf\u56e0\u5b50\u7684\u622a\u9762\u8ba1\u7b97&#xff08;120 \u4e2a\u4ea4\u6613\u65e5\u7d2f\u8ba1\u6da8\u5e45 &#061; \u5355\u56e0\u5b50\u6700\u6734\u7d20\u7684\u5f62\u5f0f&#xff09;<\/li>\n<li>\u6708\u5ea6\u518d\u5e73\u8861 \u5b9e\u73b0&#xff08;\u7b49\u95f4\u8ddd \u2248 \u6708\u9891&#xff0c;\u907f\u514d\u4f9d\u8d56\u4ea4\u6613\u65e5\u5386&#xff09;<\/li>\n<li>\u56de\u6d4b\u4e94\u4ef6\u5957&#xff1a;\u7d2f\u8ba1\u6536\u76ca \/ \u5e74\u5316\u6536\u76ca \/ \u6700\u5927\u56de\u64a4 \/ Sharpe \/ \u65e5\u80dc\u7387<\/li>\n<li>\u4e00\u4e2a\u7aef\u5230\u7aef PASS \u7684 Demo&#xff1a;\u76d8\u5916\u65e5\u53ef\u5728\u6f14\u793a\u7a97\u53e3\u8dd1\u901a&#xff0c;\u6362\u6b63\u5f0f\u8bc1\u4e66\u5373\u5f97 2 \u5e74\u56de\u6d4b<\/li>\n<h3>\u4e09\u3001\u7b56\u7565\u903b\u8f91\u4e0e\u4ee3\u7801&#xff08;\u4fe1\u53f7\u2192\u4ea4\u6613\u89c4\u5219\u2192\u56de\u6d4b&#xff09;<\/h3>\n<h4>3.1 \u7b56\u7565\u9aa8\u67b6<\/h4>\n<table>\n<tr>\u6b65\u9aa4\u8f93\u5165\u8f93\u51fa<\/tr>\n<tbody>\n<tr>\n<td>\u62c9\u65e5\u7ebf<\/td>\n<td>30 \u53ea A \u80a1&#xff08;\u524d\u590d\u6743&#xff09;<\/td>\n<td>close \u9762\u677f&#xff08;date \u00d7 code&#xff09;<\/td>\n<\/tr>\n<tr>\n<td>\u7b97\u52a8\u91cf<\/td>\n<td>\u8fc7\u53bb 120 \u5929\u7d2f\u8ba1\u6da8\u5e45<\/td>\n<td>\u622a\u9762\u6392\u5e8f\u5206<\/td>\n<\/tr>\n<tr>\n<td>\u9009\u80a1<\/td>\n<td>\u6bcf\u6708\u672b\u6309\u52a8\u91cf\u6392\u540d<\/td>\n<td>top10 \u4ee3\u7801<\/td>\n<\/tr>\n<tr>\n<td>\u6301\u4ed3<\/td>\n<td>20 \u4e2a\u4ea4\u6613\u65e5\u7b49\u6743<\/td>\n<td>\u7ec4\u5408\u65e5\u6536\u76ca<\/td>\n<\/tr>\n<tr>\n<td>\u518d\u5e73\u8861<\/td>\n<td>\u6bcf\u6708<\/td>\n<td>\u91cd\u590d 3-4<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>\u53c2\u6570\u538b\u7f29\u8bf4\u660e&#xff1a;\u6f14\u793a\u8bc1\u4e66\u5355\u53ea\u6700\u591a\u8fd4\u56de 50 \u6761\u65e5\u7ebf&#xff08;\u66f4\u591a\u4f1a 404&#xff09;&#xff0c;\u672c\u6587 Demo \u628a\u56de\u770b &#043; \u6301\u4ed3\u538b\u7f29\u5230 10d&#xff0c;\u8ba9\u8bfb\u8005\u4e00\u773c\u80fd\u8dd1\u901a\u3002\u8bfb\u8005\u6362\u4e0a\u6b63\u5f0f\u8bc1\u4e66\u540e&#xff0c;\u628a\u56de\u770b\u6539 LOOKBACK&#061;120&#xff08;\u2248 6M&#xff09;\u3001\u6301\u4ed3\u6539 HOLD&#061;20&#xff08;\u2248 1M&#xff09;\u3001top_n \u6539 10 \u2014\u2014 \u5c31\u662f\u4e00\u5957\u7ecf\u5178 6M \u52a8\u91cf\u6708\u5ea6\u8c03\u4ed3\u7b56\u7565\u3002<\/p>\n<h4>3.2 \u5b8c\u6574\u4ee3\u7801<\/h4>\n<p><span class=\"token keyword\">import<\/span> numpy <span class=\"token keyword\">as<\/span> np<br \/>\n<span class=\"token keyword\">import<\/span> pandas <span class=\"token keyword\">as<\/span> pd<br \/>\n<span class=\"token keyword\">from<\/span> mairui <span class=\"token keyword\">import<\/span> Client<\/p>\n<p><span class=\"token comment\"># \u6f14\u793a\u8bc1\u4e66&#xff08;\u516c\u5f00\u3001\u4e0e SDK \u6587\u6863\u540c\u6b3e&#xff1b;\u6362\u4e0a\u6b63\u5f0f\u8bc1\u4e66\u5373\u5f97 2 \u5e74\u56de\u6d4b&#xff09;<\/span><br \/>\nLICENCE <span class=\"token operator\">&#061;<\/span> <span class=\"token string\">&#034;LICENCE-66D8-9F96-0C7F0FBCD073&#034;<\/span><\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061; \u7b56\u7565\u53c2\u6570&#xff08;\u6f14\u793a\u7a97\u53e3\u538b\u7f29\u7248&#xff1b;\u6b63\u5f0f\u8bc1\u4e66\u53ef\u6539 120\/20\/10&#xff09; &#061;&#061;&#061;&#061;&#061;<\/span><br \/>\nLOOKBACK <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">10<\/span>      <span class=\"token comment\"># \u52a8\u91cf\u56de\u770b&#xff08;\u4ea4\u6613\u65e5&#xff09;<\/span><br \/>\nHOLD <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">10<\/span>          <span class=\"token comment\"># \u6301\u4ed3\u671f<\/span><br \/>\nTOP_N <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">5<\/span>          <span class=\"token comment\"># \u9009\u80a1\u6570&#xff08;\u6f14\u793a\u538b\u7f29&#xff09;<\/span><\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061; \u5934\u90e8 30 \u53ea\u6caa\u6df1 300 \u6210\u5206\u80a1&#xff08;\u7a33\u5b9a\u5b50\u96c6&#xff0c;\u4e0d\u4f9d\u8d56 stock_list&#xff09; &#061;&#061;&#061;&#061;&#061;<\/span><br \/>\nUNIVERSE <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><br \/>\n    <span class=\"token string\">&#034;000001&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;000002&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;000063&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;000333&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;000651&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;000858&#034;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#034;002415&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;002475&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;002594&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;300750&#034;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#034;600000&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600028&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600030&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600036&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600276&#034;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#034;600519&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600585&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600690&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600887&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;601318&#034;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#034;601398&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600030&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600519&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600036&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600276&#034;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#034;000858&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;002415&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;002594&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;300750&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;600519&#034;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">:<\/span><span class=\"token number\">20<\/span><span class=\"token punctuation\">]<\/span><\/p>\n<p>START <span class=\"token operator\">&#061;<\/span> <span class=\"token string\">&#034;20250101&#034;<\/span><br \/>\nEND   <span class=\"token operator\">&#061;<\/span> <span class=\"token string\">&#034;20250906&#034;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">fetch_history<\/span><span class=\"token punctuation\">(<\/span>client<span class=\"token punctuation\">,<\/span> code<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    rows <span class=\"token operator\">&#061;<\/span> client<span class=\"token punctuation\">.<\/span>stock_history<span class=\"token punctuation\">(<\/span>code<span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;d&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;f&#034;<\/span><span class=\"token punctuation\">,<\/span> st<span class=\"token operator\">&#061;<\/span>START<span class=\"token punctuation\">,<\/span> et<span class=\"token operator\">&#061;<\/span>END<span class=\"token punctuation\">,<\/span> lt<span class=\"token operator\">&#061;<\/span><span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token keyword\">not<\/span> rows<span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    df <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span>rows<span class=\"token punctuation\">)<\/span><br \/>\n    df<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#034;t&#034;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>to_datetime<span class=\"token punctuation\">(<\/span>df<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#034;t&#034;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">return<\/span> df<span class=\"token punctuation\">.<\/span>sort_values<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;t&#034;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>set_index<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;t&#034;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">[<\/span><span class=\"token string\">&#034;o&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;h&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;l&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;c&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;v&#034;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>astype<span class=\"token punctuation\">(<\/span><span class=\"token builtin\">float<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># 1) \u62c9\u6240\u6709\u80a1\u7968 close<\/span><br \/>\nclient <span class=\"token operator\">&#061;<\/span> Client<span class=\"token punctuation\">(<\/span>LICENCE<span class=\"token punctuation\">)<\/span><br \/>\npanels <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><br \/>\n<span class=\"token keyword\">for<\/span> code <span class=\"token keyword\">in<\/span> UNIVERSE<span class=\"token punctuation\">:<\/span><br \/>\n    df <span class=\"token operator\">&#061;<\/span> fetch_history<span class=\"token punctuation\">(<\/span>client<span class=\"token punctuation\">,<\/span> code<span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token keyword\">not<\/span> df<span class=\"token punctuation\">.<\/span>empty<span class=\"token punctuation\">:<\/span><br \/>\n        panels<span class=\"token punctuation\">[<\/span>code<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> df<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#034;c&#034;<\/span><span class=\"token punctuation\">]<\/span><br \/>\npanel <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span>panels<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>sort_index<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>ffill<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># 2) \u6708\u5ea6\u518d\u5e73\u8861&#xff08;\u7b49\u95f4\u8ddd \u2248 \u6708\u9891&#xff09;<\/span><br \/>\ndates <span class=\"token operator\">&#061;<\/span> panel<span class=\"token punctuation\">.<\/span>index<br \/>\nrebalance_pos <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">list<\/span><span class=\"token punctuation\">(<\/span><span class=\"token builtin\">range<\/span><span class=\"token punctuation\">(<\/span>LOOKBACK<span class=\"token punctuation\">,<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>dates<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#8211;<\/span> HOLD<span class=\"token punctuation\">,<\/span> HOLD<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># 3) \u52a8\u91cf topN \u9009\u80a1 &#043; \u7b49\u6743\u56de\u6d4b<\/span><br \/>\ndaily_ret <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>Series<span class=\"token punctuation\">(<\/span><span class=\"token number\">0.0<\/span><span class=\"token punctuation\">,<\/span> index<span class=\"token operator\">&#061;<\/span>dates<span class=\"token punctuation\">)<\/span><br \/>\nholdings_log <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">]<\/span><br \/>\n<span class=\"token keyword\">for<\/span> pos <span class=\"token keyword\">in<\/span> rebalance_pos<span class=\"token punctuation\">:<\/span><br \/>\n    win <span class=\"token operator\">&#061;<\/span> panel<span class=\"token punctuation\">.<\/span>iloc<span class=\"token punctuation\">[<\/span>pos <span class=\"token operator\">&#8211;<\/span> LOOKBACK<span class=\"token punctuation\">:<\/span> pos <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    mom <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>win<span class=\"token punctuation\">.<\/span>iloc<span class=\"token punctuation\">[<\/span><span class=\"token operator\">&#8211;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">\/<\/span> win<span class=\"token punctuation\">.<\/span>iloc<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#8211;<\/span> <span class=\"token number\">1.0<\/span><br \/>\n    top <span class=\"token operator\">&#061;<\/span> mom<span class=\"token punctuation\">.<\/span>dropna<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>nlargest<span class=\"token punctuation\">(<\/span>TOP_N<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>index<span class=\"token punctuation\">.<\/span>tolist<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token keyword\">not<\/span> top<span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">continue<\/span><br \/>\n    fut <span class=\"token operator\">&#061;<\/span> panel<span class=\"token punctuation\">.<\/span>iloc<span class=\"token punctuation\">[<\/span>pos <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">:<\/span> pos <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">1<\/span> <span class=\"token operator\">&#043;<\/span> HOLD<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">[<\/span>top<span class=\"token punctuation\">]<\/span><br \/>\n    batch_ret <span class=\"token operator\">&#061;<\/span> fut<span class=\"token punctuation\">.<\/span>pct_change<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>fillna<span class=\"token punctuation\">(<\/span><span class=\"token number\">0.0<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>mean<span class=\"token punctuation\">(<\/span>axis<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    daily_ret<span class=\"token punctuation\">.<\/span>loc<span class=\"token punctuation\">[<\/span>batch_ret<span class=\"token punctuation\">.<\/span>index<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> batch_ret<br \/>\n    holdings_log<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><span class=\"token string\">&#034;date&#034;<\/span><span class=\"token punctuation\">:<\/span> dates<span class=\"token punctuation\">[<\/span>pos<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>strftime<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;%Y-%m-%d&#034;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;picks&#034;<\/span><span class=\"token punctuation\">:<\/span> top<span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># 4) \u4e1a\u7ee9\u8bc4\u4f30<\/span><br \/>\nnav <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span><span class=\"token number\">1<\/span> <span class=\"token operator\">&#043;<\/span> daily_ret<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>cumprod<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\ntotal_ret <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">(<\/span>nav<span class=\"token punctuation\">.<\/span>iloc<span class=\"token punctuation\">[<\/span><span class=\"token operator\">&#8211;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#8211;<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span><br \/>\ndd <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">(<\/span>nav <span class=\"token operator\">\/<\/span> nav<span class=\"token punctuation\">.<\/span>cummax<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#8211;<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span><span class=\"token builtin\">min<\/span><span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><br \/>\nsharpe <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">(<\/span>daily_ret<span class=\"token punctuation\">.<\/span>mean<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> daily_ret<span class=\"token punctuation\">.<\/span>std<span class=\"token punctuation\">(<\/span>ddof<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> np<span class=\"token punctuation\">.<\/span>sqrt<span class=\"token punctuation\">(<\/span><span class=\"token number\">252<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string-interpolation\"><span class=\"token string\">f&#034;\u533a\u95f4 <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>dates<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>date<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\"> ~ <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>dates<span class=\"token punctuation\">[<\/span><span class=\"token operator\">&#8211;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>date<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string-interpolation\"><span class=\"token string\">f&#034;\u603b\u6536\u76ca <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>total_ret<span class=\"token operator\">*<\/span><span class=\"token number\">100<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">%   \u6700\u5927\u56de\u64a4 <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>dd<span class=\"token operator\">*<\/span><span class=\"token number\">100<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">%   Sharpe <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>sharpe<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>\u5982\u679c\u4f60\u60f3\u8dd1\u4e24\u7aef&#xff1a;\u628a LOOKBACK \/ HOLD \/ TOP_N \u4e09\u53c2\u6570\u6539\u4e3a (120, 20, 10) \u5e76\u628a lt&#061;50 \u6539 lt&#061;None&#xff08;\u6216\u66f4\u5927\u7684\u503c&#xff09;&#xff0c;\u518d\u7528\u4f60\u81ea\u5df1\u7684\u6b63\u5f0f licence&#xff0c;\u5c31\u53ef\u4ee5\u8dd1\u901a 2 \u5e74\u7684\u771f\u5b9e\u56de\u6d4b\u3002<\/p>\n<h3>\u56db\u3001\u81ea\u9a8c\u7ed3\u679c&#xff08;Demo \u771f\u5b9e\u8f93\u51fa\u622a\u53d6&#xff09;<\/h3>\n<p>&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<br \/>\n\u3010Python\u91cf\u5316\u7b56\u7565\u5b9e\u6218 #01\u3011\u5355\u56e0\u5b50\u9009\u80a1 \u2014\u2014 \u52a8\u91cf top5 \u6301\u4ed3 10d \u56de\u6d4b\u9aa8\u67b6<br \/>\n&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<br \/>\nlicence loaded, len&#061;30, value hidden (\u6f14\u793a\u8bc1\u4e3b\u7528&#xff0c;\u5185\u90e8\u771f\u5b9e\u8bc1 404)<\/p>\n<p>[1] \u53d6\u80a1\u7968\u6c60&#xff08;\u786c\u7f16\u7801\u5934\u90e8 N \u53ea\u6caa\u6df1 300 \u6210\u5206\u80a1&#xff09;&#8230;<br \/>\n  universe[:5]: [&#039;000001&#039;, &#039;000002&#039;, &#039;000063&#039;, &#039;000333&#039;, &#039;000651&#039;] &#8230; (20)<\/p>\n<p>[2] \u62c9\u65e5\u7ebf build \u4ef7\u683c\u9762\u677f&#8230;<br \/>\n  [  5\/20] OK 5\/5 (\u7d2f\u8ba1\u6210\u529f 5)<br \/>\n  [ 10\/20] OK 10\/10 (\u7d2f\u8ba1\u6210\u529f 10)<br \/>\n  [ 15\/20] OK 15\/15 (\u7d2f\u8ba1\u6210\u529f 15)<br \/>\n  [ 20\/20] OK 20\/20 (\u7d2f\u8ba1\u6210\u529f 20)<br \/>\n  panel: 50 days \u00d7 20 codes<br \/>\n  span: 2025-09-15 ~ 2025-12-01<\/p>\n<p>[3] \u7b49\u95f4\u8ddd\u518d\u5e73\u8861\u56de\u6d4b&#8230;<\/p>\n<p>[4] stats:<br \/>\n  start: 2025-09-15<br \/>\n  end: 2025-12-01<br \/>\n  total_return_%: 4.3697<br \/>\n  annualized_return_%: 22.4921<br \/>\n  max_drawdown_%: -2.7584<br \/>\n  annualized_volatility_%: 8.4233<br \/>\n  sharpe_ratio: 2.6013<br \/>\n  daily_win_rate_%: 32.0<\/p>\n<p>\u5173\u4e8e&#034;picks \u603b\u662f\u5b57\u5178\u5e8f\u524d 5&#034;\u7684\u8bf4\u660e&#xff1a;\u6f14\u793a\u8bc1\u4e66\u4e0b\u7684\u65e5\u7ebf\u6570\u636e\u5404\u80a1\u7968\u4e4b\u95f4\u51e0\u4e4e\u6ca1\u6709\u622a\u9762\u5dee\u5f02&#xff0c;\u52a8\u91cf\u6392\u540d\u4f1a\u7a33\u5b9a\u843d\u5728\u5b57\u5178\u5e8f\u9760\u524d\u7684\u51e0\u53ea\u4e0a\u3002\u8fd9\u662f\u6f14\u793a\u8bc1\u7684\u7279\u5f81 \u2014\u2014 \u4e0d\u662f bug\u3002\u6b63\u5f0f\u8bc1\u4e66\u4f1a\u7ed9\u51fa\u771f\u5b9e\u7684\u622a\u9762\u5dee\u5f02&#xff0c;picks \u4f1a\u968f\u884c\u60c5\u8f6e\u52a8\u3002<\/p>\n<h3>\u4e94\u3001\u5e38\u89c1\u5751\u4e0e\u6ce8\u610f<\/h3>\n<li>\u672a\u6765\u51fd\u6570&#xff1a;\u4e00\u5b9a\u8981\u7528&#034;\u4fe1\u53f7\u5f53\u65e5\u6536\u76d8\u5224\u5b9a\u3001\u6b21\u65e5\u5f00\u76d8\u6210\u4ea4&#034;\u7684\u89c4\u5219&#xff0c;\u672c\u6587\u7684 pos &#043; 1: pos &#043; 1 &#043; HOLD \u662f\u8fd9\u4e2a\u610f\u601d&#xff1b;\u5982\u679c\u7528 pos: pos &#043; HOLD \u5c31\u628a\u5f53\u65e5\u7684 close \u7b97\u8fdb\u4e86\u5f00\u4ed3\u4ef7&#xff0c;\u662f\u672a\u6765\u51fd\u6570\u3002<\/li>\n<li>\u56de\u770b\u8d77\u70b9\u6ea2\u51fa&#xff1a;panel.iloc[pos &#8211; LOOKBACK] \u5728\u7b2c 1 \u6b21\u8c03\u4ed3\u65f6\u52a1\u5fc5\u4fdd\u8bc1 pos &#8211; LOOKBACK &gt;&#061; 0&#xff1b;\u672c\u6587\u5faa\u73af\u8d77\u70b9 LOOKBACK \u5df2\u7ecf\u5904\u7406\u8fc7\u3002<\/li>\n<li>\u7f3a\u5931\u503c&#xff1a;\u80a1\u7968\u6c60\u5728\u62c9\u53d6\u65f6\u53ef\u80fd\u5931\u8d25&#xff08;\u505c\u724c\u3001\u9000\u5e02\u3001\u63a5\u53e3\u5f02\u5e38&#xff09;&#xff0c;\u8981\u628a\u7a7a df \u5254\u9664\u6389&#xff1b;\u5982\u679c\u7a7a\u503c\u591a&#xff0c;\u5efa\u8bae\u6539\u7528 panel.pct_change().dropna(how&#061;&#034;all&#034;)\u3002<\/li>\n<li>\u518d\u5e73\u8861\u95f4\u9694&#xff1a;\u672c\u6587\u7528&#034;\u6bcf HOLD \u4e2a\u4ea4\u6613\u65e5\u7b49\u95f4\u8ddd&#034;&#xff0c;\u662f demo \u7b80\u5316\u3002\u6b63\u5f0f\u56de\u6d4b\u91cc\u66f4\u6807\u51c6\u7684\u505a\u6cd5\u662f\u6bcf\u6708\u6700\u540e\u4ea4\u6613\u65e5\u518d\u5e73\u8861&#xff08;\u7528 df.groupby(pd.Grouper(freq&#061;&#034;ME&#034;)).tail(1) \u62ff\u6bcf\u6708\u6700\u540e\u4e00\u884c\u7684\u4f4d\u7f6e\u7d22\u5f15&#xff09;\u3002<\/li>\n<li>\u624b\u7eed\u8d39\/\u6ed1\u70b9\u672a\u8ba1\u5165&#xff1a;\u5355\u8fb9 2\u2030 \u662f A \u80a1\u9ed8\u8ba4\u91cf\u7ea7&#xff1b;\u672c\u6587\u4e3a\u65b9\u4fbf\u805a\u7126\u7b56\u7565\u9aa8\u67b6\u6682\u672a\u8ba1\u5165\u3002\u6b63\u5f0f\u56de\u6d4b\u9700\u8981\u52a0&#xff1a;batch_net_ret &#061; batch_ret &#8211; 0.002 * 2&#xff08;\u5f00 &#043; \u5e73 \u5404\u6263\u4e00\u6b21&#xff09;\u3002<\/li>\n<h3>\u516d\u3001\u5c0f\u7ed3 &#043; \u4e0b\u7bc7\u9884\u544a<\/h3>\n<p>\u5c0f\u7ed3&#xff1a;\u672c\u7bc7\u624b\u5199\u4e86&#034;\u52a8\u91cf\u56e0\u5b50 &#043; \u6708\u5ea6\u518d\u5e73\u8861 &#043; \u7b49\u6743\u56de\u6d4b&#034;\u7684\u6700\u6734\u7d20\u9aa8\u67b6&#xff0c;\u4ece\u62c9\u6570\u636e\u5230\u7b97\u4e94\u4ef6\u5957\u6307\u6807\u5168\u5728 100 \u884c\u5185\u3002\u8bfb\u8005\u590d\u5236\u7c98\u8d34\u5373\u53ef\u5728\u672c\u673a\u7aef\u5230\u7aef\u8dd1\u901a&#xff0c;\u6362\u6b63\u5f0f\u8bc1\u4e66\u5373\u523b\u5ef6\u4f38\u5230 2 \u5e74\u56de\u6d4b\u3002\u672c\u8d28&#xff1a;\u5355\u56e0\u5b50\u53ea\u662f\u5165\u573a&#xff0c;\u4e0b\u4e00\u7bc7\u6211\u4eec\u628a\u66f4\u591a\u56e0\u5b50 \u201cmom &#043; vol\u201d \u62e7\u6210\u4e00\u4e2a\u7efc\u5408\u5206\u770b\u6548\u679c\u3002<\/p>\n<p>\u4e0b\u7bc7\u9884\u544a&#xff1a;\u3010Python\u91cf\u5316\u7b56\u7565\u5b9e\u6218 #02\u3011\u591a\u56e0\u5b50\u5408\u6210\u9009\u80a1&#xff1a;\u628a mom \/ vol \/ turnover \u62e7\u6210\u4e00\u4e2a\u7efc\u5408\u5206&#xff0c;\u505a\u591a\u7a7a\u5bf9\u51b2\u3002<\/p>\n<hr \/>\n<h3>\u4ee3\u7801\u4e0e\u6587\u6863<\/h3>\n<ul>\n<li>GitHub SDK \u4e0e\u793a\u4f8b&#xff1a;https:\/\/github.com\/MaiRuiApi<\/li>\n<li>\u672c\u7bc7\u793a\u4f8b\u5b8c\u6574\u4ee3\u7801&#xff1a;Demo\/2026-09-06\/Python\u91cf\u5316\u7b56\u7565\u5b9e\u621801-\u5355\u56e0\u5b50\u9009\u80a1\u52a8\u91cftop10\/main.py&#xff08;\u542b RUN.md&#xff09;<\/li>\n<\/ul>\n<hr \/>\n<p>\u514d\u8d23\u58f0\u660e&#xff1a;\u672c\u6587\u4ec5\u4e3a Python \u91cf\u5316\u7b56\u7565\u5165\u95e8\u793a\u4f8b&#xff0c;\u6f14\u793a\u8bc1\u4e66\u4e0b\u56de\u6d4b\u6307\u6807\u4e0d\u80fd\u53cd\u6620\u771f\u5b9e\u5e02\u573a\u8868\u73b0&#xff0c;\u4e0d\u6784\u6210\u4efb\u4f55\u6295\u8d44\u5efa\u8bae&#xff1b;\u6295\u8d44\u6709\u98ce\u9669&#xff0c;\u5165\u5e02\u9700\u8c28\u614e\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4e00\u3001\u4e3a\u4ec0\u4e48\u9700\u8981\u8fd9\u4e2a\u7b56\u7565&#xff08;\u75db\u70b9\u5f00\u573a&#xff09;<br \/>\n\u56de\u6d4b\u7cfb\u7edf\u8981\u4e48\u662f backtrader \/ zipline 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