{"id":70829,"date":"2026-02-02T13:49:19","date_gmt":"2026-02-02T05:49:19","guid":{"rendered":"https:\/\/www.wsisp.com\/helps\/70829.html"},"modified":"2026-02-02T13:49:19","modified_gmt":"2026-02-02T05:49:19","slug":"%e3%80%90%e6%9c%9f%e8%b4%a7%e9%87%8f%e5%8c%96%e8%bf%9b%e9%98%b6%e3%80%91%e6%9c%9f%e8%b4%a7%e9%87%8f%e5%8c%96%e4%ba%a4%e6%98%93%e7%ad%96%e7%95%a5%e7%bb%84%e5%90%88%e4%bc%98%e5%8c%96%ef%bc%88python","status":"publish","type":"post","link":"https:\/\/www.wsisp.com\/helps\/70829.html","title":{"rendered":"\u3010\u671f\u8d27\u91cf\u5316\u8fdb\u9636\u3011\u671f\u8d27\u91cf\u5316\u4ea4\u6613\u7b56\u7565\u7ec4\u5408\u4f18\u5316\uff08Python\u91cf\u5316\uff09"},"content":{"rendered":"<h3>\u4e00\u3001\u524d\u8a00<\/h3>\n<p>\u5355\u4e00\u7b56\u7565\u5f80\u5f80\u5b58\u5728\u5c40\u9650\u6027&#xff0c;\u7b56\u7565\u7ec4\u5408\u53ef\u4ee5\u5206\u6563\u98ce\u9669\u3001\u5e73\u6ed1\u6536\u76ca\u3002\u5982\u4f55\u4f18\u5316\u7b56\u7565\u7ec4\u5408\u7684\u6743\u91cd\u5206\u914d&#xff0c;\u5b9e\u73b0\u98ce\u9669\u8c03\u6574\u540e\u7684\u6700\u4f18\u6536\u76ca&#xff0c;\u662f\u91cf\u5316\u4ea4\u6613\u7684\u91cd\u8981\u8bfe\u9898\u3002\u672c\u6587\u5c06\u4ecb\u7ecd\u7b56\u7565\u7ec4\u5408\u4f18\u5316\u7684\u65b9\u6cd5\u3002<\/p>\n<p>\u672c\u6587\u5c06\u4ecb\u7ecd&#xff1a;<\/p>\n<ul>\n<li>\u7b56\u7565\u7ec4\u5408\u6784\u5efa<\/li>\n<li>\u6743\u91cd\u4f18\u5316\u65b9\u6cd5<\/li>\n<li>\u98ce\u9669\u5e73\u4ef7\u7ec4\u5408<\/li>\n<li>\u7ec4\u5408\u7ee9\u6548\u8bc4\u4f30<\/li>\n<\/ul>\n<h3>\u4e8c\u3001\u4e3a\u4ec0\u4e48\u9009\u62e9\u5929\u52e4\u91cf\u5316&#xff08;TqSdk&#xff09;<\/h3>\n<p>TqSdk\u7b56\u7565\u7ec4\u5408\u652f\u6301&#xff1a;<\/p>\n<table>\n<tr>\u529f\u80fd\u8bf4\u660e<\/tr>\n<tbody>\n<tr>\n<td>\u591a\u7b56\u7565\u8fd0\u884c<\/td>\n<td>\u652f\u6301\u540c\u65f6\u8fd0\u884c\u591a\u4e2a\u7b56\u7565<\/td>\n<\/tr>\n<tr>\n<td>\u591a\u8d26\u6237\u7ba1\u7406<\/td>\n<td>\u652f\u6301\u591a\u8d26\u6237\u5206\u914d<\/td>\n<\/tr>\n<tr>\n<td>\u5f02\u6b65\u6267\u884c<\/td>\n<td>\u652f\u6301\u5f02\u6b65\u591a\u7b56\u7565<\/td>\n<\/tr>\n<tr>\n<td>\u6570\u636e\u5171\u4eab<\/td>\n<td>\u7b56\u7565\u95f4\u6570\u636e\u5171\u4eab<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>\u5b89\u88c5\u65b9\u6cd5&#xff1a;<\/p>\n<p>pip <span class=\"token function\">install<\/span> tqsdk pandas numpy scipy<\/p>\n<h3>\u4e09\u3001\u7b56\u7565\u7ec4\u5408\u6784\u5efa<\/h3>\n<h4>3.1 \u591a\u7b56\u7565\u7ec4\u5408\u6846\u67b6<\/h4>\n<p><span class=\"token comment\">#!\/usr\/bin\/env python<\/span><br \/>\n<span class=\"token comment\"># -*- coding: utf-8 -*-<\/span><br \/>\n<span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n\u529f\u80fd&#xff1a;\u591a\u7b56\u7565\u7ec4\u5408\u6846\u67b6<br \/>\n\u8bf4\u660e&#xff1a;\u672c\u4ee3\u7801\u4ec5\u4f9b\u5b66\u4e60\u53c2\u8003<br \/>\n&#034;&#034;&#034;<\/span><\/p>\n<p><span class=\"token keyword\">from<\/span> typing <span class=\"token keyword\">import<\/span> List<span class=\"token punctuation\">,<\/span> Dict<br \/>\n<span class=\"token keyword\">import<\/span> pandas <span class=\"token keyword\">as<\/span> pd<br \/>\n<span class=\"token keyword\">import<\/span> numpy <span class=\"token keyword\">as<\/span> np<br \/>\n<span class=\"token keyword\">from<\/span> tqsdk <span class=\"token keyword\">import<\/span> TqApi<span class=\"token punctuation\">,<\/span> TqAuth<span class=\"token punctuation\">,<\/span> TqSim<br \/>\n<span class=\"token keyword\">from<\/span> tqsdk<span class=\"token punctuation\">.<\/span>lib <span class=\"token keyword\">import<\/span> TargetPosTask<\/p>\n<p><span class=\"token keyword\">class<\/span> <span class=\"token class-name\">StrategyPortfolio<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u7b56\u7565\u7ec4\u5408&#034;&#034;&#034;<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">__init__<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">,<\/span> api<span class=\"token punctuation\">,<\/span> strategies<span class=\"token punctuation\">:<\/span> List<span class=\"token punctuation\">[<\/span>Dict<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span> weights<span class=\"token punctuation\">:<\/span> List<span class=\"token punctuation\">[<\/span><span class=\"token builtin\">float<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> <span class=\"token boolean\">None<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n        \u521d\u59cb\u5316\u7b56\u7565\u7ec4\u5408<\/p>\n<p>        \u53c2\u6570:<br \/>\n            api: TqApi\u5bf9\u8c61<br \/>\n            strategies: \u7b56\u7565\u5217\u8868&#xff0c;\u6bcf\u4e2a\u7b56\u7565\u5305\u542bsymbol\u548cstrategy\u5bf9\u8c61<br \/>\n            weights: \u6743\u91cd\u5217\u8868&#xff0c;\u9ed8\u8ba4\u7b49\u6743\u91cd<br \/>\n        &#034;&#034;&#034;<\/span><br \/>\n        self<span class=\"token punctuation\">.<\/span>api <span class=\"token operator\">&#061;<\/span> api<br \/>\n        self<span class=\"token punctuation\">.<\/span>strategies <span class=\"token operator\">&#061;<\/span> strategies<br \/>\n        self<span class=\"token punctuation\">.<\/span>weights <span class=\"token operator\">&#061;<\/span> weights <span class=\"token keyword\">if<\/span> weights <span class=\"token keyword\">else<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token number\">1.0<\/span> <span class=\"token operator\">\/<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>strategies<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">*<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>strategies<span class=\"token punctuation\">)<\/span><\/p>\n<p>        <span class=\"token comment\"># \u5f52\u4e00\u5316\u6743\u91cd<\/span><br \/>\n        total_weight <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">sum<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">.<\/span>weights<span class=\"token punctuation\">)<\/span><br \/>\n        self<span class=\"token punctuation\">.<\/span>weights <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span>w <span class=\"token operator\">\/<\/span> total_weight <span class=\"token keyword\">for<\/span> w <span class=\"token keyword\">in<\/span> self<span class=\"token punctuation\">.<\/span>weights<span class=\"token punctuation\">]<\/span><\/p>\n<p>        <span class=\"token comment\"># \u521b\u5efa\u76ee\u6807\u6301\u4ed3\u4efb\u52a1<\/span><br \/>\n        self<span class=\"token punctuation\">.<\/span>target_pos_tasks <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><br \/>\n        <span class=\"token keyword\">for<\/span> i<span class=\"token punctuation\">,<\/span> strategy_info <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">enumerate<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">.<\/span>strategies<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            symbol <span class=\"token operator\">&#061;<\/span> strategy_info<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;symbol&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n            self<span class=\"token punctuation\">.<\/span>target_pos_tasks<span class=\"token punctuation\">[<\/span>symbol<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> TargetPosTask<span class=\"token punctuation\">(<\/span>api<span class=\"token punctuation\">,<\/span> symbol<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">update_positions<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">,<\/span> account_balance<span class=\"token punctuation\">:<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n        \u66f4\u65b0\u5404\u7b56\u7565\u6301\u4ed3<\/p>\n<p>        \u53c2\u6570:<br \/>\n            account_balance: \u8d26\u6237\u603b\u8d44\u91d1<br \/>\n        &#034;&#034;&#034;<\/span><br \/>\n        <span class=\"token keyword\">for<\/span> i<span class=\"token punctuation\">,<\/span> strategy_info <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">enumerate<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">.<\/span>strategies<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            symbol <span class=\"token operator\">&#061;<\/span> strategy_info<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;symbol&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n            strategy <span class=\"token operator\">&#061;<\/span> strategy_info<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;strategy&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n            weight <span class=\"token operator\">&#061;<\/span> self<span class=\"token punctuation\">.<\/span>weights<span class=\"token punctuation\">[<\/span>i<span class=\"token punctuation\">]<\/span><\/p>\n<p>            <span class=\"token comment\"># \u83b7\u53d6\u7b56\u7565\u4fe1\u53f7<\/span><br \/>\n            signal <span class=\"token operator\">&#061;<\/span> strategy<span class=\"token punctuation\">.<\/span>get_signal<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>            <span class=\"token comment\"># \u8ba1\u7b97\u76ee\u6807\u6301\u4ed3&#xff08;\u6839\u636e\u6743\u91cd\u5206\u914d\u8d44\u91d1&#xff09;<\/span><br \/>\n            allocated_balance <span class=\"token operator\">&#061;<\/span> account_balance <span class=\"token operator\">*<\/span> weight<br \/>\n            quote <span class=\"token operator\">&#061;<\/span> self<span class=\"token punctuation\">.<\/span>api<span class=\"token punctuation\">.<\/span>get_quote<span class=\"token punctuation\">(<\/span>symbol<span class=\"token punctuation\">)<\/span><\/p>\n<p>            <span class=\"token comment\"># \u7b80\u5316&#xff1a;\u5047\u8bbe\u6bcf\u624b\u4fdd\u8bc1\u91d1\u4e3a\u4ef7\u683c\u768410%<\/span><br \/>\n            price <span class=\"token operator\">&#061;<\/span> quote<span class=\"token punctuation\">.<\/span>last_price<br \/>\n            margin_per_lot <span class=\"token operator\">&#061;<\/span> price <span class=\"token operator\">*<\/span> <span class=\"token number\">10<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.1<\/span>  <span class=\"token comment\"># \u5047\u8bbe1\u624b&#061;10\u5428<\/span><\/p>\n<p>            <span class=\"token keyword\">if<\/span> margin_per_lot <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n                target_lots <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">int<\/span><span class=\"token punctuation\">(<\/span>allocated_balance <span class=\"token operator\">\/<\/span> margin_per_lot<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> signal<br \/>\n                self<span class=\"token punctuation\">.<\/span>target_pos_tasks<span class=\"token punctuation\">[<\/span>symbol<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>set_target_volume<span class=\"token punctuation\">(<\/span>target_lots<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># \u793a\u4f8b\u7b56\u7565<\/span><br \/>\n<span class=\"token keyword\">class<\/span> <span class=\"token class-name\">SimpleStrategy<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u7b80\u5355\u7b56\u7565&#034;&#034;&#034;<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">__init__<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">,<\/span> symbol<span class=\"token punctuation\">,<\/span> api<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        self<span class=\"token punctuation\">.<\/span>symbol <span class=\"token operator\">&#061;<\/span> symbol<br \/>\n        self<span class=\"token punctuation\">.<\/span>api <span class=\"token operator\">&#061;<\/span> api<br \/>\n        self<span class=\"token punctuation\">.<\/span>klines <span class=\"token operator\">&#061;<\/span> api<span class=\"token punctuation\">.<\/span>get_kline_serial<span class=\"token punctuation\">(<\/span>symbol<span class=\"token punctuation\">,<\/span> <span class=\"token number\">3600<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">100<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        self<span class=\"token punctuation\">.<\/span>quote <span class=\"token operator\">&#061;<\/span> api<span class=\"token punctuation\">.<\/span>get_quote<span class=\"token punctuation\">(<\/span>symbol<span class=\"token punctuation\">)<\/span><br \/>\n        self<span class=\"token punctuation\">.<\/span>signal <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">0<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">update<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u66f4\u65b0\u7b56\u7565&#034;&#034;&#034;<\/span><br \/>\n        self<span class=\"token punctuation\">.<\/span>api<span class=\"token punctuation\">.<\/span>wait_update<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>        <span class=\"token keyword\">if<\/span> self<span class=\"token punctuation\">.<\/span>api<span class=\"token punctuation\">.<\/span>is_changing<span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">.<\/span>klines<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 punctuation\">,<\/span> <span class=\"token string\">&#034;datetime&#034;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token comment\"># \u7b80\u5355\u5747\u7ebf\u7b56\u7565<\/span><br \/>\n            <span class=\"token keyword\">if<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">.<\/span>klines<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">30<\/span><span class=\"token punctuation\">:<\/span><br \/>\n                ma_short <span class=\"token operator\">&#061;<\/span> self<span class=\"token punctuation\">.<\/span>klines<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;close&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>tail<span class=\"token punctuation\">(<\/span><span class=\"token number\">10<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>mean<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n                ma_long <span class=\"token operator\">&#061;<\/span> self<span class=\"token punctuation\">.<\/span>klines<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;close&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>tail<span class=\"token punctuation\">(<\/span><span class=\"token number\">30<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>mean<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>                <span class=\"token keyword\">if<\/span> ma_short <span class=\"token operator\">&gt;<\/span> ma_long<span class=\"token punctuation\">:<\/span><br \/>\n                    self<span class=\"token punctuation\">.<\/span>signal <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">1<\/span><br \/>\n                <span class=\"token keyword\">else<\/span><span class=\"token punctuation\">:<\/span><br \/>\n                    self<span class=\"token punctuation\">.<\/span>signal <span class=\"token operator\">&#061;<\/span> <span class=\"token operator\">&#8211;<\/span><span class=\"token number\">1<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">get_signal<\/span><span class=\"token punctuation\">(<\/span>self<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u83b7\u53d6\u4fe1\u53f7&#034;&#034;&#034;<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> self<span class=\"token punctuation\">.<\/span>signal<\/p>\n<p><span class=\"token comment\"># \u4f7f\u7528\u793a\u4f8b<\/span><br \/>\napi <span class=\"token operator\">&#061;<\/span> TqApi<span class=\"token punctuation\">(<\/span>TqSim<span class=\"token punctuation\">(<\/span>init_balance<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1000000<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span> auth<span class=\"token operator\">&#061;<\/span>TqAuth<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u5feb\u671f\u8d26\u6237&#034;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#034;\u5feb\u671f\u5bc6\u7801&#034;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>strategies <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><br \/>\n    <span class=\"token punctuation\">{<\/span><span class=\"token string\">&#039;symbol&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token string\">&#039;SHFE.rb2510&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;strategy&#039;<\/span><span class=\"token punctuation\">:<\/span> SimpleStrategy<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;SHFE.rb2510&#039;<\/span><span class=\"token punctuation\">,<\/span> api<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token punctuation\">{<\/span><span class=\"token string\">&#039;symbol&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token string\">&#039;DCE.i2509&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;strategy&#039;<\/span><span class=\"token punctuation\">:<\/span> SimpleStrategy<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;DCE.i2509&#039;<\/span><span class=\"token punctuation\">,<\/span> api<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">,<\/span><br \/>\n<span class=\"token punctuation\">]<\/span><\/p>\n<p>portfolio <span class=\"token operator\">&#061;<\/span> StrategyPortfolio<span class=\"token punctuation\">(<\/span>api<span class=\"token punctuation\">,<\/span> strategies<span class=\"token punctuation\">,<\/span> weights<span class=\"token operator\">&#061;<\/span><span class=\"token punctuation\">[<\/span><span class=\"token number\">0.6<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">0.4<\/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\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u7b56\u7565\u7ec4\u5408\u6784\u5efa&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/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;\u7b56\u7565\u6570\u91cf: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span><span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>portfolio<span class=\"token punctuation\">.<\/span>strategies<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;\u6743\u91cd\u5206\u914d: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>portfolio<span class=\"token punctuation\">.<\/span>weights<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>api<span class=\"token punctuation\">.<\/span>close<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<h4>3.2 \u7b56\u7565\u76f8\u5173\u6027\u5206\u6790<\/h4>\n<p><span class=\"token comment\">#!\/usr\/bin\/env python<\/span><br \/>\n<span class=\"token comment\"># -*- coding: utf-8 -*-<\/span><br \/>\n<span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n\u529f\u80fd&#xff1a;\u7b56\u7565\u76f8\u5173\u6027\u5206\u6790<br \/>\n\u8bf4\u660e&#xff1a;\u672c\u4ee3\u7801\u4ec5\u4f9b\u5b66\u4e60\u53c2\u8003<br \/>\n&#034;&#034;&#034;<\/span><\/p>\n<p><span class=\"token keyword\">import<\/span> pandas <span class=\"token keyword\">as<\/span> pd<br \/>\n<span class=\"token keyword\">import<\/span> numpy <span class=\"token keyword\">as<\/span> np<\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">analyze_strategy_correlation<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u5206\u6790\u7b56\u7565\u6536\u76ca\u76f8\u5173\u6027<\/p>\n<p>    \u53c2\u6570:<br \/>\n        returns_df: \u7b56\u7565\u6536\u76caDataFrame&#xff0c;\u6bcf\u5217\u4e3a\u4e00\u4e2a\u7b56\u7565<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    <span class=\"token comment\"># \u8ba1\u7b97\u76f8\u5173\u7cfb\u6570\u77e9\u9635<\/span><br \/>\n    corr_matrix <span class=\"token operator\">&#061;<\/span> returns_df<span class=\"token punctuation\">.<\/span>corr<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u627e\u51fa\u9ad8\u76f8\u5173\u7b56\u7565\u5bf9<\/span><br \/>\n    high_corr_pairs <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">for<\/span> i <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">range<\/span><span class=\"token punctuation\">(<\/span><span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>corr_matrix<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">for<\/span> j <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">range<\/span><span class=\"token punctuation\">(<\/span>i<span class=\"token operator\">&#043;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>corr_matrix<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            corr <span class=\"token operator\">&#061;<\/span> corr_matrix<span class=\"token punctuation\">.<\/span>iloc<span class=\"token punctuation\">[<\/span>i<span class=\"token punctuation\">,<\/span> j<span class=\"token punctuation\">]<\/span><br \/>\n            <span class=\"token keyword\">if<\/span> <span class=\"token builtin\">abs<\/span><span class=\"token punctuation\">(<\/span>corr<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">0.7<\/span><span class=\"token punctuation\">:<\/span><br \/>\n                high_corr_pairs<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n                    <span class=\"token string\">&#039;strategy1&#039;<\/span><span class=\"token punctuation\">:<\/span> corr_matrix<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">[<\/span>i<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n                    <span class=\"token string\">&#039;strategy2&#039;<\/span><span class=\"token punctuation\">:<\/span> corr_matrix<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">[<\/span>j<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n                    <span class=\"token string\">&#039;correlation&#039;<\/span><span class=\"token punctuation\">:<\/span> corr<br \/>\n                <span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u8ba1\u7b97\u5e73\u5747\u76f8\u5173\u6027<\/span><br \/>\n    avg_correlation <span class=\"token operator\">&#061;<\/span> corr_matrix<span class=\"token punctuation\">.<\/span>values<span class=\"token punctuation\">[<\/span>np<span class=\"token punctuation\">.<\/span>triu_indices_from<span class=\"token punctuation\">(<\/span>corr_matrix<span class=\"token punctuation\">.<\/span>values<span class=\"token punctuation\">,<\/span> k<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>mean<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">return<\/span> <span class=\"token punctuation\">{<\/span><br \/>\n        <span class=\"token string\">&#039;correlation_matrix&#039;<\/span><span class=\"token punctuation\">:<\/span> corr_matrix<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;high_corr_pairs&#039;<\/span><span class=\"token punctuation\">:<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span>high_corr_pairs<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;avg_correlation&#039;<\/span><span class=\"token punctuation\">:<\/span> avg_correlation<br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p><span class=\"token comment\"># \u793a\u4f8b\u4f7f\u7528<\/span><br \/>\n<span class=\"token comment\"># \u6a21\u62df\u7b56\u7565\u6536\u76ca\u6570\u636e<\/span><br \/>\nnp<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>seed<span class=\"token punctuation\">(<\/span><span class=\"token number\">42<\/span><span class=\"token punctuation\">)<\/span><br \/>\nn_periods <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">252<\/span><\/p>\n<p><span class=\"token comment\"># \u7b56\u75651\u548c\u7b56\u75652\u76f8\u5173<\/span><br \/>\nstrategy1_returns <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.02<\/span><br \/>\nstrategy2_returns <span class=\"token operator\">&#061;<\/span> strategy1_returns <span class=\"token operator\">*<\/span> <span class=\"token number\">0.7<\/span> <span class=\"token operator\">&#043;<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.01<\/span><br \/>\nstrategy3_returns <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.02<\/span><\/p>\n<p>returns_df <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75651&#039;<\/span><span class=\"token punctuation\">:<\/span> strategy1_returns<span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75652&#039;<\/span><span class=\"token punctuation\">:<\/span> strategy2_returns<span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75653&#039;<\/span><span class=\"token punctuation\">:<\/span> strategy3_returns<br \/>\n<span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>analysis <span class=\"token operator\">&#061;<\/span> analyze_strategy_correlation<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u7b56\u7565\u76f8\u5173\u6027\u5206\u6790&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u76f8\u5173\u7cfb\u6570\u77e9\u9635:&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span>analysis<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;correlation_matrix&#039;<\/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;\\\\n\u5e73\u5747\u76f8\u5173\u6027: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>analysis<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;avg_correlation&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.4f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">if<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>analysis<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;high_corr_pairs&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\\\\n\u9ad8\u76f8\u5173\u7b56\u7565\u5bf9:&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span>analysis<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;high_corr_pairs&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<h3>\u56db\u3001\u6743\u91cd\u4f18\u5316\u65b9\u6cd5<\/h3>\n<h4>4.1 \u5747\u503c\u65b9\u5dee\u4f18\u5316<\/h4>\n<p><span class=\"token comment\">#!\/usr\/bin\/env python<\/span><br \/>\n<span class=\"token comment\"># -*- coding: utf-8 -*-<\/span><br \/>\n<span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n\u529f\u80fd&#xff1a;\u5747\u503c\u65b9\u5dee\u4f18\u5316<br \/>\n\u8bf4\u660e&#xff1a;\u672c\u4ee3\u7801\u4ec5\u4f9b\u5b66\u4e60\u53c2\u8003<br \/>\n&#034;&#034;&#034;<\/span><\/p>\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> scipy<span class=\"token punctuation\">.<\/span>optimize <span class=\"token keyword\">import<\/span> minimize<\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">mean_variance_optimize<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">,<\/span> target_return<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">None<\/span><span class=\"token punctuation\">,<\/span> risk_free_rate<span class=\"token operator\">&#061;<\/span><span class=\"token number\">0.025<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u5747\u503c\u65b9\u5dee\u4f18\u5316&#xff08;Markowitz&#xff09;<\/p>\n<p>    \u53c2\u6570:<br \/>\n        returns_df: \u7b56\u7565\u6536\u76caDataFrame<br \/>\n        target_return: \u76ee\u6807\u6536\u76ca\u7387&#xff08;\u53ef\u9009&#xff09;<br \/>\n        risk_free_rate: \u65e0\u98ce\u9669\u5229\u7387<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    <span class=\"token comment\"># \u8ba1\u7b97\u671f\u671b\u6536\u76ca\u548c\u534f\u65b9\u5dee\u77e9\u9635<\/span><br \/>\n    mean_returns <span class=\"token operator\">&#061;<\/span> returns_df<span class=\"token punctuation\">.<\/span>mean<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">252<\/span>  <span class=\"token comment\"># \u5e74\u5316<\/span><br \/>\n    cov_matrix <span class=\"token operator\">&#061;<\/span> returns_df<span class=\"token punctuation\">.<\/span>cov<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">252<\/span>  <span class=\"token comment\"># \u5e74\u5316<\/span><\/p>\n<p>    n_strategies <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">portfolio_variance<\/span><span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u7ec4\u5408\u65b9\u5dee&#034;&#034;&#034;<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">.<\/span>T<span class=\"token punctuation\">,<\/span> np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>cov_matrix<span class=\"token punctuation\">,<\/span> weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">portfolio_return<\/span><span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u7ec4\u5408\u6536\u76ca&#034;&#034;&#034;<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> np<span class=\"token punctuation\">.<\/span><span class=\"token builtin\">sum<\/span><span class=\"token punctuation\">(<\/span>mean_returns <span class=\"token operator\">*<\/span> weights<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">negative_sharpe<\/span><span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u8d1f\u590f\u666e\u6bd4\u7387&#xff08;\u7528\u4e8e\u6700\u5c0f\u5316&#xff09;&#034;&#034;&#034;<\/span><br \/>\n        port_return <span class=\"token operator\">&#061;<\/span> portfolio_return<span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">)<\/span><br \/>\n        port_var <span class=\"token operator\">&#061;<\/span> portfolio_variance<span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">)<\/span><br \/>\n        port_std <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>sqrt<span class=\"token punctuation\">(<\/span>port_var<span class=\"token punctuation\">)<\/span><br \/>\n        sharpe <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>port_return <span class=\"token operator\">&#8211;<\/span> risk_free_rate<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> port_std <span class=\"token keyword\">if<\/span> port_std <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">0<\/span> <span class=\"token keyword\">else<\/span> <span class=\"token number\">0<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> <span class=\"token operator\">&#8211;<\/span>sharpe<\/p>\n<p>    <span class=\"token comment\"># \u7ea6\u675f\u6761\u4ef6<\/span><br \/>\n    constraints <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">{<\/span><span class=\"token string\">&#039;type&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token string\">&#039;eq&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;fun&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token keyword\">lambda<\/span> x<span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span><span class=\"token builtin\">sum<\/span><span class=\"token punctuation\">(<\/span>x<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 comment\"># \u6743\u91cd\u548c\u4e3a1<\/span><\/p>\n<p>    <span class=\"token keyword\">if<\/span> target_return<span class=\"token punctuation\">:<\/span><br \/>\n        constraints<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n            <span class=\"token string\">&#039;type&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token string\">&#039;eq&#039;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n            <span class=\"token string\">&#039;fun&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token keyword\">lambda<\/span> x<span class=\"token punctuation\">:<\/span> portfolio_return<span class=\"token punctuation\">(<\/span>x<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#8211;<\/span> target_return<br \/>\n        <span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u8fb9\u754c\u6761\u4ef6&#xff08;\u6743\u91cd\u57280-1\u4e4b\u95f4&#xff09;<\/span><br \/>\n    bounds <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">tuple<\/span><span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">(<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token keyword\">for<\/span> _ <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">range<\/span><span class=\"token punctuation\">(<\/span>n_strategies<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u521d\u59cb\u6743\u91cd&#xff08;\u7b49\u6743\u91cd&#xff09;<\/span><br \/>\n    initial_weights <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>array<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">[<\/span><span class=\"token number\">1.0<\/span> <span class=\"token operator\">\/<\/span> n_strategies<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">*<\/span> n_strategies<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u4f18\u5316&#xff08;\u6700\u5927\u5316\u590f\u666e\u6bd4\u7387&#xff09;<\/span><br \/>\n    result <span class=\"token operator\">&#061;<\/span> minimize<span class=\"token punctuation\">(<\/span>negative_sharpe<span class=\"token punctuation\">,<\/span> initial_weights<span class=\"token punctuation\">,<\/span> method<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;SLSQP&#039;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n                     bounds<span class=\"token operator\">&#061;<\/span>bounds<span class=\"token punctuation\">,<\/span> constraints<span class=\"token operator\">&#061;<\/span>constraints<span class=\"token punctuation\">)<\/span><\/p>\n<p>    optimal_weights <span class=\"token operator\">&#061;<\/span> result<span class=\"token punctuation\">.<\/span>x<\/p>\n<p>    <span class=\"token comment\"># \u8ba1\u7b97\u6700\u4f18\u7ec4\u5408\u6307\u6807<\/span><br \/>\n    opt_return <span class=\"token operator\">&#061;<\/span> portfolio_return<span class=\"token punctuation\">(<\/span>optimal_weights<span class=\"token punctuation\">)<\/span><br \/>\n    opt_var <span class=\"token operator\">&#061;<\/span> portfolio_variance<span class=\"token punctuation\">(<\/span>optimal_weights<span class=\"token punctuation\">)<\/span><br \/>\n    opt_std <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>sqrt<span class=\"token punctuation\">(<\/span>opt_var<span class=\"token punctuation\">)<\/span><br \/>\n    opt_sharpe <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>opt_return <span class=\"token operator\">&#8211;<\/span> risk_free_rate<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> opt_std <span class=\"token keyword\">if<\/span> opt_std <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">0<\/span> <span class=\"token keyword\">else<\/span> <span class=\"token number\">0<\/span><\/p>\n<p>    <span class=\"token keyword\">return<\/span> <span class=\"token punctuation\">{<\/span><br \/>\n        <span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">:<\/span> optimal_weights<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;expected_return&#039;<\/span><span class=\"token punctuation\">:<\/span> opt_return<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">:<\/span> opt_std<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">:<\/span> opt_sharpe<br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p><span class=\"token comment\"># \u793a\u4f8b\u4f7f\u7528<\/span><br \/>\nnp<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>seed<span class=\"token punctuation\">(<\/span><span class=\"token number\">42<\/span><span class=\"token punctuation\">)<\/span><br \/>\nn_periods <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">252<\/span><\/p>\n<p>returns_df <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75651&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.02<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.001<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75652&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.015<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.0008<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75653&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.018<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.0009<\/span><span class=\"token punctuation\">,<\/span><br \/>\n<span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>optimization <span class=\"token operator\">&#061;<\/span> mean_variance_optimize<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u5747\u503c\u65b9\u5dee\u4f18\u5316&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u6700\u4f18\u6743\u91cd:&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">for<\/span> i<span class=\"token punctuation\">,<\/span> weight <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">enumerate<\/span><span class=\"token punctuation\">(<\/span>optimization<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/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;  \u7b56\u7565<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>i<span class=\"token operator\">&#043;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>weight<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/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;\\\\n\u9884\u671f\u6536\u76ca: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>optimization<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;expected_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/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;\u6ce2\u52a8\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>optimization<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/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;\u590f\u666e\u6bd4\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>optimization<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.4f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<h4>4.2 \u98ce\u9669\u5e73\u4ef7\u4f18\u5316<\/h4>\n<p><span class=\"token comment\">#!\/usr\/bin\/env python<\/span><br \/>\n<span class=\"token comment\"># -*- coding: utf-8 -*-<\/span><br \/>\n<span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n\u529f\u80fd&#xff1a;\u98ce\u9669\u5e73\u4ef7\u4f18\u5316<br \/>\n\u8bf4\u660e&#xff1a;\u672c\u4ee3\u7801\u4ec5\u4f9b\u5b66\u4e60\u53c2\u8003<br \/>\n&#034;&#034;&#034;<\/span><\/p>\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> scipy<span class=\"token punctuation\">.<\/span>optimize <span class=\"token keyword\">import<\/span> minimize<\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">risk_parity_optimize<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u98ce\u9669\u5e73\u4ef7\u4f18\u5316<\/p>\n<p>    \u53c2\u6570:<br \/>\n        returns_df: \u7b56\u7565\u6536\u76caDataFrame<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    <span class=\"token comment\"># \u8ba1\u7b97\u534f\u65b9\u5dee\u77e9\u9635<\/span><br \/>\n    cov_matrix <span class=\"token operator\">&#061;<\/span> returns_df<span class=\"token punctuation\">.<\/span>cov<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">252<\/span><\/p>\n<p>    n_strategies <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">def<\/span> <span class=\"token function\">risk_parity_objective<\/span><span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;\u98ce\u9669\u5e73\u4ef7\u76ee\u6807\u51fd\u6570&#034;&#034;&#034;<\/span><br \/>\n        portfolio_vol <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>sqrt<span class=\"token punctuation\">(<\/span>np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>weights<span class=\"token punctuation\">.<\/span>T<span class=\"token punctuation\">,<\/span> np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>cov_matrix<span class=\"token punctuation\">,<\/span> weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>        <span class=\"token comment\"># \u5404\u7b56\u7565\u5bf9\u7ec4\u5408\u98ce\u9669\u7684\u8d21\u732e<\/span><br \/>\n        marginal_contrib <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>cov_matrix<span class=\"token punctuation\">,<\/span> weights<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> portfolio_vol<br \/>\n        contrib <span class=\"token operator\">&#061;<\/span> weights <span class=\"token operator\">*<\/span> marginal_contrib<\/p>\n<p>        <span class=\"token comment\"># \u98ce\u9669\u8d21\u732e\u5e94\u8be5\u76f8\u7b49&#xff08;\u98ce\u9669\u5e73\u4ef7&#xff09;<\/span><br \/>\n        target_contrib <span class=\"token operator\">&#061;<\/span> portfolio_vol <span class=\"token operator\">\/<\/span> n_strategies<\/p>\n<p>        <span class=\"token comment\"># \u6700\u5c0f\u5316\u98ce\u9669\u8d21\u732e\u7684\u5dee\u5f02<\/span><br \/>\n        diff <span class=\"token operator\">&#061;<\/span> contrib <span class=\"token operator\">&#8211;<\/span> target_contrib<br \/>\n        <span class=\"token keyword\">return<\/span> np<span class=\"token punctuation\">.<\/span><span class=\"token builtin\">sum<\/span><span class=\"token punctuation\">(<\/span>diff <span class=\"token operator\">**<\/span> <span class=\"token number\">2<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u7ea6\u675f\u6761\u4ef6<\/span><br \/>\n    constraints <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">{<\/span><span class=\"token string\">&#039;type&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token string\">&#039;eq&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;fun&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token keyword\">lambda<\/span> x<span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span><span class=\"token builtin\">sum<\/span><span class=\"token punctuation\">(<\/span>x<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><\/p>\n<p>    <span class=\"token comment\"># \u8fb9\u754c\u6761\u4ef6<\/span><br \/>\n    bounds <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">tuple<\/span><span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">(<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token keyword\">for<\/span> _ <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">range<\/span><span class=\"token punctuation\">(<\/span>n_strategies<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u521d\u59cb\u6743\u91cd<\/span><br \/>\n    initial_weights <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>array<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">[<\/span><span class=\"token number\">1.0<\/span> <span class=\"token operator\">\/<\/span> n_strategies<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">*<\/span> n_strategies<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u4f18\u5316<\/span><br \/>\n    result <span class=\"token operator\">&#061;<\/span> minimize<span class=\"token punctuation\">(<\/span>risk_parity_objective<span class=\"token punctuation\">,<\/span> initial_weights<span class=\"token punctuation\">,<\/span> method<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;SLSQP&#039;<\/span><span class=\"token punctuation\">,<\/span><br \/>\n                     bounds<span class=\"token operator\">&#061;<\/span>bounds<span class=\"token punctuation\">,<\/span> constraints<span class=\"token operator\">&#061;<\/span>constraints<span class=\"token punctuation\">)<\/span><\/p>\n<p>    optimal_weights <span class=\"token operator\">&#061;<\/span> result<span class=\"token punctuation\">.<\/span>x<\/p>\n<p>    <span class=\"token comment\"># \u8ba1\u7b97\u98ce\u9669\u8d21\u732e<\/span><br \/>\n    portfolio_vol <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>sqrt<span class=\"token punctuation\">(<\/span>np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>optimal_weights<span class=\"token punctuation\">.<\/span>T<span class=\"token punctuation\">,<\/span> np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>cov_matrix<span class=\"token punctuation\">,<\/span> optimal_weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    marginal_contrib <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>dot<span class=\"token punctuation\">(<\/span>cov_matrix<span class=\"token punctuation\">,<\/span> optimal_weights<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> portfolio_vol<br \/>\n    risk_contrib <span class=\"token operator\">&#061;<\/span> optimal_weights <span class=\"token operator\">*<\/span> marginal_contrib<\/p>\n<p>    <span class=\"token keyword\">return<\/span> <span class=\"token punctuation\">{<\/span><br \/>\n        <span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">:<\/span> optimal_weights<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;risk_contributions&#039;<\/span><span class=\"token punctuation\">:<\/span> risk_contrib<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;portfolio_volatility&#039;<\/span><span class=\"token punctuation\">:<\/span> portfolio_vol<br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p><span class=\"token comment\"># \u793a\u4f8b\u4f7f\u7528<\/span><br \/>\nnp<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>seed<span class=\"token punctuation\">(<\/span><span class=\"token number\">42<\/span><span class=\"token punctuation\">)<\/span><br \/>\nn_periods <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">252<\/span><\/p>\n<p>returns_df <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75651&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.02<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75652&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.015<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75653&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.018<\/span><span class=\"token punctuation\">,<\/span><br \/>\n<span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>optimization <span class=\"token operator\">&#061;<\/span> risk_parity_optimize<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u98ce\u9669\u5e73\u4ef7\u4f18\u5316&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u6700\u4f18\u6743\u91cd:&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">for<\/span> i<span class=\"token punctuation\">,<\/span> weight <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">enumerate<\/span><span class=\"token punctuation\">(<\/span>optimization<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/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;  \u7b56\u7565<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>i<span class=\"token operator\">&#043;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>weight<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\\\\n\u98ce\u9669\u8d21\u732e:&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">for<\/span> i<span class=\"token punctuation\">,<\/span> contrib <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">enumerate<\/span><span class=\"token punctuation\">(<\/span>optimization<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;risk_contributions&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/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;  \u7b56\u7565<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>i<span class=\"token operator\">&#043;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>contrib<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.4f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/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;\\\\n\u7ec4\u5408\u6ce2\u52a8\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>optimization<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;portfolio_volatility&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<h3>\u4e94\u3001\u7ec4\u5408\u7ee9\u6548\u8bc4\u4f30<\/h3>\n<h4>5.1 \u7ec4\u5408\u7ee9\u6548\u5206\u6790<\/h4>\n<p><span class=\"token comment\">#!\/usr\/bin\/env python<\/span><br \/>\n<span class=\"token comment\"># -*- coding: utf-8 -*-<\/span><br \/>\n<span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n\u529f\u80fd&#xff1a;\u7ec4\u5408\u7ee9\u6548\u5206\u6790<br \/>\n\u8bf4\u660e&#xff1a;\u672c\u4ee3\u7801\u4ec5\u4f9b\u5b66\u4e60\u53c2\u8003<br \/>\n&#034;&#034;&#034;<\/span><\/p>\n<p><span class=\"token keyword\">import<\/span> pandas <span class=\"token keyword\">as<\/span> pd<br \/>\n<span class=\"token keyword\">import<\/span> numpy <span class=\"token keyword\">as<\/span> np<\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">analyze_portfolio_performance<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">,<\/span> weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u5206\u6790\u7ec4\u5408\u7ee9\u6548<\/p>\n<p>    \u53c2\u6570:<br \/>\n        returns_df: \u7b56\u7565\u6536\u76caDataFrame<br \/>\n        weights: \u6743\u91cd\u6570\u7ec4<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    <span class=\"token comment\"># \u8ba1\u7b97\u7ec4\u5408\u6536\u76ca<\/span><br \/>\n    portfolio_returns <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>returns_df <span class=\"token operator\">*<\/span> weights<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span><span class=\"token builtin\">sum<\/span><span class=\"token punctuation\">(<\/span>axis<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u8ba1\u7b97\u7d2f\u8ba1\u6536\u76ca<\/span><br \/>\n    cumulative_returns <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span><span class=\"token number\">1<\/span> <span class=\"token operator\">&#043;<\/span> portfolio_returns<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>cumprod<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u603b\u6536\u76ca<\/span><br \/>\n    total_return <span class=\"token operator\">&#061;<\/span> cumulative_returns<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><\/p>\n<p>    <span class=\"token comment\"># \u5e74\u5316\u6536\u76ca<\/span><br \/>\n    n_periods <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><br \/>\n    annual_return <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span><span class=\"token number\">1<\/span> <span class=\"token operator\">&#043;<\/span> total_return<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">**<\/span> <span class=\"token punctuation\">(<\/span><span class=\"token number\">252<\/span> <span class=\"token operator\">\/<\/span> n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#8211;<\/span> <span class=\"token number\">1<\/span><\/p>\n<p>    <span class=\"token comment\"># \u6ce2\u52a8\u7387<\/span><br \/>\n    volatility <span class=\"token operator\">&#061;<\/span> portfolio_returns<span class=\"token punctuation\">.<\/span>std<span class=\"token punctuation\">(<\/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><\/p>\n<p>    <span class=\"token comment\"># \u6700\u5927\u56de\u64a4<\/span><br \/>\n    running_max <span class=\"token operator\">&#061;<\/span> cumulative_returns<span class=\"token punctuation\">.<\/span>cummax<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    drawdown <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>cumulative_returns <span class=\"token operator\">&#8211;<\/span> running_max<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> running_max<br \/>\n    max_drawdown <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">abs<\/span><span class=\"token punctuation\">(<\/span>drawdown<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><\/p>\n<p>    <span class=\"token comment\"># \u590f\u666e\u6bd4\u7387<\/span><br \/>\n    sharpe <span class=\"token operator\">&#061;<\/span> annual_return <span class=\"token operator\">\/<\/span> volatility <span class=\"token keyword\">if<\/span> volatility <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">0<\/span> <span class=\"token keyword\">else<\/span> <span class=\"token number\">0<\/span><\/p>\n<p>    <span class=\"token comment\"># \u5404\u7b56\u7565\u8d21\u732e<\/span><br \/>\n    strategy_contributions <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><br \/>\n    <span class=\"token keyword\">for<\/span> i<span class=\"token punctuation\">,<\/span> col <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">enumerate<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        strategy_contrib <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">[<\/span>col<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">*<\/span> weights<span class=\"token punctuation\">[<\/span>i<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span><span class=\"token builtin\">sum<\/span><span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        strategy_contributions<span class=\"token punctuation\">[<\/span>col<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> strategy_contrib<\/p>\n<p>    <span class=\"token keyword\">return<\/span> <span class=\"token punctuation\">{<\/span><br \/>\n        <span class=\"token string\">&#039;total_return&#039;<\/span><span class=\"token punctuation\">:<\/span> total_return<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;annual_return&#039;<\/span><span class=\"token punctuation\">:<\/span> annual_return<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">:<\/span> volatility<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;max_drawdown&#039;<\/span><span class=\"token punctuation\">:<\/span> max_drawdown<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">:<\/span> sharpe<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;strategy_contributions&#039;<\/span><span class=\"token punctuation\">:<\/span> strategy_contributions<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;cumulative_returns&#039;<\/span><span class=\"token punctuation\">:<\/span> cumulative_returns<br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p><span class=\"token comment\"># \u793a\u4f8b\u4f7f\u7528<\/span><br \/>\nnp<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>seed<span class=\"token punctuation\">(<\/span><span class=\"token number\">42<\/span><span class=\"token punctuation\">)<\/span><br \/>\nn_periods <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">252<\/span><\/p>\n<p>returns_df <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75651&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.02<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.001<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75652&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.015<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.0008<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75653&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.018<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.0009<\/span><span class=\"token punctuation\">,<\/span><br \/>\n<span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>weights <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>array<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">[<\/span><span class=\"token number\">0.4<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">0.3<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">0.3<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>performance <span class=\"token operator\">&#061;<\/span> analyze_portfolio_performance<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">,<\/span> weights<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u7ec4\u5408\u7ee9\u6548\u5206\u6790&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/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;\u603b\u6536\u76ca: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>performance<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;total_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/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;\u5e74\u5316\u6536\u76ca: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>performance<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;annual_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/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;\u6ce2\u52a8\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>performance<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/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;\u6700\u5927\u56de\u64a4: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>performance<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;max_drawdown&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/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;\u590f\u666e\u6bd4\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>performance<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.4f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\\\\n\u5404\u7b56\u7565\u8d21\u732e:&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">for<\/span> strategy<span class=\"token punctuation\">,<\/span> contrib <span class=\"token keyword\">in<\/span> performance<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;strategy_contributions&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>items<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/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;  <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>strategy<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>contrib<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<h4>5.2 \u7ec4\u5408\u4f18\u5316\u5bf9\u6bd4<\/h4>\n<p><span class=\"token comment\">#!\/usr\/bin\/env python<\/span><br \/>\n<span class=\"token comment\"># -*- coding: utf-8 -*-<\/span><br \/>\n<span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n\u529f\u80fd&#xff1a;\u7ec4\u5408\u4f18\u5316\u65b9\u6cd5\u5bf9\u6bd4<br \/>\n\u8bf4\u660e&#xff1a;\u672c\u4ee3\u7801\u4ec5\u4f9b\u5b66\u4e60\u53c2\u8003<br \/>\n&#034;&#034;&#034;<\/span><\/p>\n<p><span class=\"token keyword\">import<\/span> pandas <span class=\"token keyword\">as<\/span> pd<br \/>\n<span class=\"token keyword\">import<\/span> numpy <span class=\"token keyword\">as<\/span> np<\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">compare_optimization_methods<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u5bf9\u6bd4\u4e0d\u540c\u4f18\u5316\u65b9\u6cd5<\/p>\n<p>    \u53c2\u6570:<br \/>\n        returns_df: \u7b56\u7565\u6536\u76caDataFrame<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    results <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><\/p>\n<p>    <span class=\"token comment\"># 1. \u7b49\u6743\u91cd<\/span><br \/>\n    n_strategies <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">)<\/span><br \/>\n    equal_weights <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>array<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">[<\/span><span class=\"token number\">1.0<\/span> <span class=\"token operator\">\/<\/span> n_strategies<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">*<\/span> n_strategies<span class=\"token punctuation\">)<\/span><br \/>\n    equal_perf <span class=\"token operator\">&#061;<\/span> analyze_portfolio_performance<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">,<\/span> equal_weights<span class=\"token punctuation\">)<\/span><br \/>\n    results<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u7b49\u6743\u91cd&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><br \/>\n        <span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">:<\/span> equal_weights<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">:<\/span> equal_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;return&#039;<\/span><span class=\"token punctuation\">:<\/span> equal_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;annual_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">:<\/span> equal_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p>    <span class=\"token comment\"># 2. \u5747\u503c\u65b9\u5dee\u4f18\u5316<\/span><br \/>\n    mv_opt <span class=\"token operator\">&#061;<\/span> mean_variance_optimize<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><br \/>\n    mv_weights <span class=\"token operator\">&#061;<\/span> mv_opt<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    mv_perf <span class=\"token operator\">&#061;<\/span> analyze_portfolio_performance<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">,<\/span> mv_weights<span class=\"token punctuation\">)<\/span><br \/>\n    results<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u5747\u503c\u65b9\u5dee&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><br \/>\n        <span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">:<\/span> mv_weights<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">:<\/span> mv_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;return&#039;<\/span><span class=\"token punctuation\">:<\/span> mv_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;annual_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">:<\/span> mv_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p>    <span class=\"token comment\"># 3. \u98ce\u9669\u5e73\u4ef7<\/span><br \/>\n    rp_opt <span class=\"token operator\">&#061;<\/span> risk_parity_optimize<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><br \/>\n    rp_weights <span class=\"token operator\">&#061;<\/span> rp_opt<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    rp_perf <span class=\"token operator\">&#061;<\/span> analyze_portfolio_performance<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">,<\/span> rp_weights<span class=\"token punctuation\">)<\/span><br \/>\n    results<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u98ce\u9669\u5e73\u4ef7&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><br \/>\n        <span class=\"token string\">&#039;weights&#039;<\/span><span class=\"token punctuation\">:<\/span> rp_weights<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">:<\/span> rp_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;return&#039;<\/span><span class=\"token punctuation\">:<\/span> rp_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;annual_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">:<\/span> rp_perf<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p>    <span class=\"token keyword\">return<\/span> results<\/p>\n<p><span class=\"token comment\"># \u793a\u4f8b\u4f7f\u7528<\/span><br \/>\nnp<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>seed<span class=\"token punctuation\">(<\/span><span class=\"token number\">42<\/span><span class=\"token punctuation\">)<\/span><br \/>\nn_periods <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">252<\/span><\/p>\n<p>returns_df <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75651&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.02<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.001<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75652&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.015<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.0008<\/span><span class=\"token punctuation\">,<\/span><br \/>\n    <span class=\"token string\">&#039;\u7b56\u75653&#039;<\/span><span class=\"token punctuation\">:<\/span> np<span class=\"token punctuation\">.<\/span>random<span class=\"token punctuation\">.<\/span>randn<span class=\"token punctuation\">(<\/span>n_periods<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">0.018<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token number\">0.0009<\/span><span class=\"token punctuation\">,<\/span><br \/>\n<span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>comparison <span class=\"token operator\">&#061;<\/span> compare_optimization_methods<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u7ec4\u5408\u4f18\u5316\u65b9\u6cd5\u5bf9\u6bd4&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n<span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">for<\/span> method<span class=\"token punctuation\">,<\/span> result <span class=\"token keyword\">in<\/span> comparison<span class=\"token punctuation\">.<\/span>items<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/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;\\\\n<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>method<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;  \u6743\u91cd: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;weights&#039;<\/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;  \u590f\u666e\u6bd4\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;sharpe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.4f<\/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;  \u5e74\u5316\u6536\u76ca: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/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;  \u6ce2\u52a8\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;volatility&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2%<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<h3>\u516d\u3001\u603b\u7ed3<\/h3>\n<table>\n<tr>\u4f18\u5316\u65b9\u6cd5\u7279\u70b9<\/tr>\n<tbody>\n<tr>\n<td>\u7b49\u6743\u91cd<\/td>\n<td>\u7b80\u5355&#xff0c;\u9002\u5408\u76f8\u5173\u6027\u4f4e\u7684\u7b56\u7565<\/td>\n<\/tr>\n<tr>\n<td>\u5747\u503c\u65b9\u5dee<\/td>\n<td>\u6700\u5927\u5316\u590f\u666e\u6bd4\u7387<\/td>\n<\/tr>\n<tr>\n<td>\u98ce\u9669\u5e73\u4ef7<\/td>\n<td>\u98ce\u9669\u8d21\u732e\u5747\u8861<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<h4>\u7ec4\u5408\u4f18\u5316\u901f\u67e5<\/h4>\n<p><span class=\"token comment\"># \u5747\u503c\u65b9\u5dee\u4f18\u5316<\/span><br \/>\nweights <span class=\"token operator\">&#061;<\/span> mean_variance_optimize<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># \u98ce\u9669\u5e73\u4ef7<\/span><br \/>\nweights <span class=\"token operator\">&#061;<\/span> risk_parity_optimize<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># \u7ec4\u5408\u7ee9\u6548<\/span><br \/>\nperformance <span class=\"token operator\">&#061;<\/span> analyze_portfolio_performance<span class=\"token punctuation\">(<\/span>returns_df<span class=\"token punctuation\">,<\/span> weights<span class=\"token punctuation\">)<\/span><\/p>\n<hr \/>\n<p>\u514d\u8d23\u58f0\u660e&#xff1a;\u672c\u6587\u4ec5\u4f9b\u5b66\u4e60\u4ea4\u6d41\u4f7f\u7528&#xff0c;\u4e0d\u6784\u6210\u4efb\u4f55\u6295\u8d44\u5efa\u8bae\u3002\u671f\u8d27\u4ea4\u6613\u6709\u98ce\u9669&#xff0c;\u5165\u5e02\u9700\u8c28\u614e\u3002<\/p>\n<p>\u66f4\u591a\u8d44\u6e90&#xff1a;<\/p>\n<ul>\n<li>\u5929\u52e4\u91cf\u5316\u5b98\u7f51&#xff1a;https:\/\/www.shinnytech.com<\/li>\n<li>GitHub\u5f00\u6e90\u5730\u5740&#xff1a;https:\/\/github.com\/shinnytech\/tqsdk-python<\/li>\n<li>\u5b98\u65b9\u6587\u6863&#xff1a;https:\/\/doc.shinnytech.com\/tqsdk\/latest<\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>\u4e00\u3001\u524d\u8a00<br 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