{"id":87438,"date":"2026-07-30T10:24:29","date_gmt":"2026-07-30T02:24:29","guid":{"rendered":"https:\/\/www.wsisp.com\/helps\/87438.html"},"modified":"2026-07-30T10:24:29","modified_gmt":"2026-07-30T02:24:29","slug":"python%e9%87%8f%e5%8c%96%e5%9b%9e%e6%b5%8b%e5%ae%8c%e6%95%b4%e5%ae%9e%e6%88%98%e7%94%a8%e6%9c%ac%e5%9c%b0%e8%82%a1%e7%a5%a8%e6%95%b0%e6%8d%ae%e5%bc%95%e6%93%8e%e6%9e%84%e5%bb%ba%e5%a4%9a%e5%9b%a0","status":"publish","type":"post","link":"https:\/\/www.wsisp.com\/helps\/87438.html","title":{"rendered":"Python\u91cf\u5316\u56de\u6d4b\u5b8c\u6574\u5b9e\u6218\u7528\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce\u6784\u5efa\u591a\u56e0\u5b50\u9009\u80a1\u7cfb\u7edf\u9644\u5b8c\u6574\u4ee3\u7801"},"content":{"rendered":"<h2>Python\u91cf\u5316\u56de\u6d4b\u5b8c\u6574\u5b9e\u6218&#xff1a;\u7528\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce\u6784\u5efa\u591a\u56e0\u5b50\u9009\u80a1\u7cfb\u7edf&#xff08;\u9644\u5b8c\u6574\u4ee3\u7801&#xff09;<\/h2>\n<h3>\u4e00\u3001\u80cc\u666f\u4ecb\u7ecd<\/h3>\n<p>\u5728\u91cf\u5316\u6295\u8d44\u9886\u57df&#xff0c;\u6570\u636e\u662f\u4e00\u5207\u7b56\u7565\u7684\u57fa\u77f3\u3002\u65e0\u8bba\u662f\u673a\u6784\u6295\u8d44\u8005\u8fd8\u662f\u4e2a\u4eba\u91cf\u5316\u5f00\u53d1\u8005&#xff0c;\u5982\u4f55\u5feb\u901f\u3001\u7a33\u5b9a\u3001\u4f4e\u6210\u672c\u5730\u83b7\u53d6\u9ad8\u8d28\u91cf\u7684\u91d1\u878d\u6570\u636e&#xff0c;\u59cb\u7ec8\u662f\u6446\u5728\u9762\u524d\u7684\u7b2c\u4e00\u9053\u95e8\u69db\u3002<\/p>\n<p>\u4f20\u7edf\u7684\u91cf\u5316\u6570\u636e\u83b7\u53d6\u65b9\u6848\u4e3b\u8981\u4f9d\u8d56\u5728\u7ebfAPI\u63a5\u53e3&#xff0c;\u4f8b\u5982Tushare\u3001AkShare\u3001Wind\u3001Choice\u7b49\u3002\u8fd9\u4e9b\u65b9\u6848\u5404\u6709\u4f18\u52a3&#xff1a;\u5728\u7ebfAPI\u65b9\u4fbf\u5feb\u6377&#xff0c;\u4f46\u5f80\u5f80\u9762\u4e34\u8c03\u7528\u9891\u7387\u9650\u5236\u3001\u7f51\u7edc\u5ef6\u8fdf\u3001\u6570\u636e\u5b8c\u6574\u6027\u4e0d\u8db3\u4ee5\u53ca\u957f\u671f\u4f7f\u7528\u6210\u672c\u9ad8\u6602\u7b49\u95ee\u9898\u3002\u5bf9\u4e8e\u9700\u8981\u8fdb\u884c\u5927\u89c4\u6a21\u56de\u6d4b\u3001\u9ad8\u9891\u7b56\u7565\u7814\u53d1\u6216\u5bf9\u6570\u636e\u5b89\u5168\u6027\u6709\u8f83\u9ad8\u8981\u6c42\u7684\u5f00\u53d1\u8005\u800c\u8a00&#xff0c;\u4e00\u5957\u672c\u5730\u90e8\u7f72\u3001\u6781\u901f\u8bfb\u53d6\u3001\u5168\u91cf\u8986\u76d6\u7684\u80a1\u7968\u6570\u636e\u5f15\u64ce\u51e0\u4e4e\u662f\u521a\u9700\u3002<\/p>\n<p>\u8fd9\u6b63\u662f 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\u4e3a\u4ec0\u4e48\u9009\u62e9ig50\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce&#xff1f;<\/h4>\n<p>\u5728\u6b63\u5f0f\u8fdb\u5165\u4ee3\u7801\u5b9e\u6218\u4e4b\u524d&#xff0c;\u5148\u7b80\u8981\u9610\u8ff0ig50\u76f8\u8f83\u4e8e\u4f20\u7edf\u5728\u7ebf\u6570\u636e\u65b9\u6848\u7684\u6838\u5fc3\u4f18\u52bf&#xff1a;<\/p>\n<ul>\n<li>\u672c\u5730\u6781\u901f\u8bfb\u53d6&#xff1a;\u6240\u6709\u6570\u636e\u5b58\u50a8\u5728\u672c\u5730\u78c1\u76d8&#xff0c;\u65e0\u9700\u7f51\u7edc\u8bf7\u6c42&#xff0c;\u5355\u53ea\u80a1\u7968K\u7ebf\u8bfb\u53d6\u8017\u65f6\u5728\u6beb\u79d2\u7ea7&#xff0c;\u7279\u522b\u9002\u5408\u5927\u89c4\u6a21\u56de\u6d4b\u573a\u666f\u3002<\/li>\n<li>\u5168\u91cf\u6570\u636e\u8986\u76d6&#xff1a;\u6db5\u76d6A\u80a1\u3001\u6e2f\u80a1\u3001\u7f8e\u80a1\u3001\u57fa\u91d1\u7b49\u591a\u4e2a\u5e02\u573a&#xff0c;\u5171\u8ba1221\u4e2a\u6570\u636e\u96c6&#xff0c;\u4ece\u884c\u60c5\u6570\u636e\u5230\u8d22\u52a1\u6307\u6807\u3001\u4ece\u80a1\u7968\u5217\u8868\u5230\u6307\u6570\u6210\u5206&#xff0c;\u4e00\u5e94\u4ff1\u5168\u3002<\/li>\n<li>\u63a5\u53e3\u7b80\u6d01\u7edf\u4e00&#xff1a;\u6240\u6709\u6570\u636e\u901a\u8fc7\u672c\u5730\u6587\u4ef6\u8def\u5f84\u8bbf\u95ee&#xff0c;\u5982 base\/gplist&#xff08;\u80a1\u7968\u5217\u8868&#xff09;\u3001time\/history\/trade&#xff08;\u5386\u53f2K\u7ebf&#xff09;\u3001time\/f10\/fi&#xff08;\u8d22\u52a1\u6307\u6807&#xff09;&#xff0c;\u5b66\u4e60\u6210\u672c\u6781\u4f4e\u3002<\/li>\n<li>\u6570\u636e\u683c\u5f0f\u7edf\u4e00&#xff1a;\u6240\u6709\u6570\u636e\u91c7\u7528JSON\u683c\u5f0f\u5b58\u50a8&#xff0c;\u6570\u7ec4\u6216\u5bf9\u8c61\u7ed3\u6784&#xff0c;\u5b57\u6bb5\u547d\u540d\u4e0e\u5b98\u65b9\u6587\u6863\u4e00\u81f4&#xff0c;\u65e0\u9700\u989d\u5916\u7684\u683c\u5f0f\u8f6c\u6362\u3002<\/li>\n<li>Python\u53cb\u597d&#xff1a;\u914d\u5408pandas\u3001numpy\u7b49\u6570\u636e\u79d1\u5b66\u5e93\u53ef\u4ee5\u65e0\u7f1d\u8854\u63a5\u3002<\/li>\n<\/ul>\n<h4>1.2 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time\/real\/{code} \u4e2d\u7684&#034;\u5e02\u76c8\u7387&#xff08;\u52a8\u6001&#xff09;&#034;<\/td>\n<td>\u4f30\u503c\u56e0\u5b50<\/td>\n<td>\u8d8a\u4f4e\u8d8a\u597d<\/td>\n<\/tr>\n<tr>\n<td>\u5e02\u51c0\u7387&#xff08;PB&#xff09;<\/td>\n<td>\u5b9e\u65f6\u884c\u60c5 time\/real\/{code} \u4e2d\u7684&#034;\u5e02\u51c0\u7387&#034;<\/td>\n<td>\u4f30\u503c\u56e0\u5b50<\/td>\n<td>\u8d8a\u4f4e\u8d8a\u597d<\/td>\n<\/tr>\n<tr>\n<td>\u51c0\u8d44\u4ea7\u6536\u76ca\u7387&#xff08;ROE&#xff09;<\/td>\n<td>\u8d22\u52a1\u6307\u6807 time\/f10\/fi\/{code} \u4e2d\u7684&#034;\u51c0\u8d44\u4ea7\u6536\u76ca\u7387(%)&#034;<\/td>\n<td>\u8d28\u91cf\u56e0\u5b50<\/td>\n<td>\u8d8a\u9ad8\u8d8a\u597d<\/td>\n<\/tr>\n<tr>\n<td>\u603b\u5e02\u503c<\/td>\n<td>\u5b9e\u65f6\u884c\u60c5 time\/real\/{code} \u4e2d\u7684&#034;\u603b\u5e02\u503c&#xff08;\u5143&#xff09;&#034;<\/td>\n<td>\u89c4\u6a21\u56e0\u5b50<\/td>\n<td>\u8d8a\u5c0f\u8d8a\u597d&#xff08;\u5c0f\u76d8\u80a1\u6548\u5e94&#xff09;<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>\u901a\u8fc7ig50\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce&#xff0c;\u6211\u4eec\u53ef\u4ee5\u8f7b\u677e\u83b7\u53d6\u8ba1\u7b97\u8fd9\u56db\u4e2a\u56e0\u5b50\u6240\u9700\u7684\u5168\u90e8\u6570\u636e\u3002<\/p>\n<hr 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HH:mm:ss<\/td>\n<\/tr>\n<tr>\n<td>\u5f00\u76d8\u4ef7&#xff08;\u5143&#xff09;<\/td>\n<td>\u5f53\u65e5\u5f00\u76d8\u4ef7<\/td>\n<\/tr>\n<tr>\n<td>\u6700\u9ad8\u4ef7&#xff08;\u5143&#xff09;<\/td>\n<td>\u5f53\u65e5\u6700\u9ad8\u4ef7<\/td>\n<\/tr>\n<tr>\n<td>\u6700\u4f4e\u4ef7&#xff08;\u5143&#xff09;<\/td>\n<td>\u5f53\u65e5\u6700\u4f4e\u4ef7<\/td>\n<\/tr>\n<tr>\n<td>\u6536\u76d8\u4ef7&#xff08;\u5143&#xff09;<\/td>\n<td>\u5f53\u65e5\u6536\u76d8\u4ef7<\/td>\n<\/tr>\n<tr>\n<td>\u6210\u4ea4\u91cf&#xff08;\u80a1&#xff09;<\/td>\n<td>\u5f53\u65e5\u6210\u4ea4\u91cf<\/td>\n<\/tr>\n<tr>\n<td>\u6210\u4ea4\u989d&#xff08;\u5143&#xff09;<\/td>\n<td>\u5f53\u65e5\u6210\u4ea4\u989d<\/td>\n<\/tr>\n<tr>\n<td>\u632f\u5e45&#xff08;%&#xff09;<\/td>\n<td>\u5f53\u65e5\u632f\u5e45<\/td>\n<\/tr>\n<tr>\n<td>\u6362\u624b\u7387&#xff08;%&#xff09;<\/td>\n<td>\u5f53\u65e5\u6362\u624b\u7387<\/td>\n<\/tr>\n<tr>\n<td>\u6da8\u8dcc\u5e45&#xff08;%&#xff09;<\/td>\n<td>\u5f53\u65e5\u6da8\u8dcc\u5e45<\/td>\n<\/tr>\n<tr>\n<td>\u6da8\u8dcc\u989d&#xff08;\u5143&#xff09;<\/td>\n<td>\u5f53\u65e5\u6da8\u8dcc\u989d<\/td>\n<\/tr>\n<tr>\n<td>\u6628\u6536\u4ef7&#xff08;\u5143&#xff09;<\/td>\n<td>\u6628\u65e5\u6536\u76d8\u4ef7<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>\u66f4\u65b0\u9891\u7387&#xff1a;\u5206\u949f\u7ea7\u522b\u76d8\u4e2d\u6bcf5\u5206\u949f\u66f4\u65b0&#xff0c;\u65e5\u7ebf\u53ca\u4ee5\u4e0a\u7ea7\u522b\u76d8\u540e15:35\u66f4\u65b0\u3002<\/p>\n<h4>2.3 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\u5b9e\u65f6\u884c\u60c5&#xff1a;time\/real\/{\u80a1\u7968\u4ee3\u7801}<\/h4>\n<p>\u6570\u636e\u540d\u79f0&#xff1a;\u6caa\u6df1\u4eacA\u80a1-\u80a1\u7968\u4ea4\u6613\u6570\u636e-\u80a1\u7968\u884c\u60c5-\u5b9e\u65f6\u884c\u60c5\u6570\u636e&#xff08;3\u79d2\u843d\u76d8&#xff09;<\/p>\n<p>\u672c\u5730\u8def\u5f84&#xff1a;\u6570\u636e\u5b58\u653e\u76ee\u5f55\/time\/real\/{\u80a1\u7968\u4ee3\u7801}<\/p>\n<p>\u6570\u636e\u8bf4\u660e&#xff1a;\u8be5\u63a5\u53e3\u8fd4\u56de\u5355\u53ea\u80a1\u7968\u7684\u5b9e\u65f6\u4ea4\u6613\u6570\u636e&#xff08;\u53ef\u7406\u89e3\u4e3a\u65e5\u7ebf\u7684\u6700\u65b0\u6570\u636e&#xff09;&#xff0c;\u5305\u62ecPE\u3001PB\u3001\u603b\u5e02\u503c\u7b49\u56e0\u5b50\u6240\u9700\u7684\u5b9e\u65f6\u6570\u636e\u3002<\/p>\n<p>\u6570\u636e\u683c\u5f0f&#xff1a;{}&#xff08;JSON\u5bf9\u8c61&#xff09;<\/p>\n<p>\u5173\u952e\u5b57\u6bb5&#xff08;\u672c\u6587\u7528\u5230\u7684&#xff09;&#xff1a;<\/p>\n<table>\n<tr>\u5173\u952e\u5b57\u8bf4\u660e<\/tr>\n<tbody>\n<tr>\n<td>\u4ee3\u7801<\/td>\n<td>\u80a1\u7968\u4ee3\u7801<\/td>\n<\/tr>\n<tr>\n<td>\u540d\u79f0<\/td>\n<td>\u80a1\u7968\u540d\u79f0<\/td>\n<\/tr>\n<tr>\n<td>\u603b\u5e02\u503c&#xff08;\u5143&#xff09;<\/td>\n<td>\u603b\u5e02\u503c&#xff0c;\u672c\u6587\u56e0\u5b50\u4e4b\u4e00<\/td>\n<\/tr>\n<tr>\n<td>\u5e02\u76c8\u7387&#xff08;\u52a8\u6001&#xff09;<\/td>\n<td>PE&#xff0c;\u672c\u6587\u56e0\u5b50\u4e4b\u4e00<\/td>\n<\/tr>\n<tr>\n<td>\u5e02\u51c0\u7387<\/td>\n<td>PB&#xff0c;\u672c\u6587\u56e0\u5b50\u4e4b\u4e00<\/td>\n<\/tr>\n<tr>\n<td>\u6bcf\u80a1\u6536\u76ca&#xff08;\u5143&#xff09;<\/td>\n<td>EPS<\/td>\n<\/tr>\n<tr>\n<td>\u6bcf\u80a1\u51c0\u8d44\u4ea7&#xff08;\u5143&#xff09;<\/td>\n<td>BPS<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>\u66f4\u65b0\u9891\u7387&#xff1a;\u4ea4\u6613\u65f6\u95f4\u6bb5\u6bcf10\u79d2&#xff0c;\u5b8c\u6210\u66f4\u65b0\u8017\u65f6\u7ea63\u79d2\u3002<\/p>\n<hr \/>\n<h3>\u4e09\u3001\u5b8c\u6574Python\u4ee3\u7801\u793a\u4f8b<\/h3>\n<p>\u4e0b\u9762\u8fdb\u5165\u672c\u6587\u7684\u6838\u5fc3\u90e8\u5206&#xff1a;\u4f7f\u7528ig50\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce\u6784\u5efa\u591a\u56e0\u5b50\u9009\u80a1\u7cfb\u7edf\u7684\u5b8c\u6574Python\u4ee3\u7801\u5b9e\u73b0\u3002<\/p>\n<h4>3.1 \u73af\u5883\u51c6\u5907<\/h4>\n<p>\u9996\u5148\u786e\u4fdd\u4f60\u7684Python\u73af\u5883\u4e2d\u5df2\u5b89\u88c5\u4ee5\u4e0b\u4f9d\u8d56\u5e93&#xff1a;<\/p>\n<p>pip <span class=\"token function\">install<\/span> pandas numpy matplotlib tqdm<\/p>\n<p>ig50\u672c\u5730\u6570\u636e\u5f15\u64ce\u5b89\u88c5\u540e&#xff0c;\u6570\u636e\u5c06\u6309\u7167\u76ee\u5f55\u7ed3\u6784\u5b58\u653e\u5728\u672c\u5730\u78c1\u76d8\u3002\u8bf7\u53c2\u8003\u5b98\u65b9\u6587\u6863&#xff08;ig50.com&#xff09;\u5b8c\u6210\u5b89\u88c5\u548c\u6570\u636e\u521d\u59cb\u5316\u3002<\/p>\n<h4>3.2 \u5b8c\u6574\u4ee3\u7801<\/h4>\n<p><span class=\"token comment\"># -*- coding: utf-8 -*-<\/span><br \/>\n<span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n\u591a\u56e0\u5b50\u9009\u80a1\u7cfb\u7edf &#8211; \u57fa\u4e8eig50\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce<br \/>\n\u7b56\u7565\u903b\u8f91&#xff1a;PE &#043; PB &#043; ROE &#043; \u5e02\u503c \u56db\u56e0\u5b50\u7b49\u6743\u9009\u80a1<br \/>\n\u56de\u6d4b\u5468\u671f&#xff1a;2020-01-01 \u81f3 2025-12-31<br \/>\n\u8c03\u4ed3\u9891\u7387&#xff1a;\u6bcf\u6708\u7b2c\u4e00\u4e2a\u4ea4\u6613\u65e5\u8c03\u4ed3<br \/>\n\u6301\u4ed3\u6570\u91cf&#xff1a;20\u53ea\u80a1\u7968<br \/>\n&#034;&#034;&#034;<\/span><\/p>\n<p><span class=\"token keyword\">import<\/span> os<br \/>\n<span class=\"token keyword\">import<\/span> json<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> datetime <span class=\"token keyword\">import<\/span> datetime<br \/>\n<span class=\"token keyword\">from<\/span> tqdm <span class=\"token keyword\">import<\/span> tqdm<br \/>\n<span class=\"token keyword\">import<\/span> matplotlib<span class=\"token punctuation\">.<\/span>pyplot <span class=\"token keyword\">as<\/span> plt<br \/>\n<span class=\"token keyword\">import<\/span> matplotlib<span class=\"token punctuation\">.<\/span>dates <span class=\"token keyword\">as<\/span> mdates<\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 1. \u57fa\u7840\u914d\u7f6e<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token comment\"># ig50\u672c\u5730\u6570\u636e\u6839\u76ee\u5f55&#xff08;\u8bf7\u6839\u636e\u5b9e\u9645\u5b89\u88c5\u8def\u5f84\u4fee\u6539&#xff09;<\/span><br \/>\nIG50_DATA_ROOT <span class=\"token operator\">&#061;<\/span> <span class=\"token string\">r&#034;D:\\\\ig50\\\\data&#034;<\/span><\/p>\n<p><span class=\"token comment\"># \u56de\u6d4b\u53c2\u6570<\/span><br \/>\nSTART_DATE <span class=\"token operator\">&#061;<\/span> <span class=\"token string\">&#034;2020-01-01&#034;<\/span><br \/>\nEND_DATE <span class=\"token operator\">&#061;<\/span> <span class=\"token string\">&#034;2025-12-31&#034;<\/span><br \/>\nHOLDING_COUNT <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">20<\/span>       <span class=\"token comment\"># \u6301\u4ed3\u80a1\u7968\u6570\u91cf<\/span><br \/>\nREBALANCE_DAY <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">1<\/span>        <span class=\"token comment\"># \u6bcf\u6708\u7b2c\u51e0\u4e2a\u4ea4\u6613\u65e5\u8c03\u4ed3<\/span><br \/>\nINITIAL_CAPITAL <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">1000000<\/span>  <span class=\"token comment\"># \u521d\u59cb\u8d44\u91d1&#xff08;\u5143&#xff09;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">read_ig50_json<\/span><span class=\"token punctuation\">(<\/span>relative_path<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u8bfb\u53d6ig50\u672c\u5730JSON\u6570\u636e<br \/>\n    ig50\u7684\u6570\u636e\u4ee5JSON\u683c\u5f0f\u5b58\u50a8&#xff0c;\u6570\u7ec4\u6216\u5bf9\u8c61\u7ed3\u6784<br \/>\n    :param relative_path: \u76f8\u5bf9\u8def\u5f84&#xff0c;\u5982 &#034;base\/gplist&#034;, &#034;time\/history\/trade\/000001\/day&#034;<br \/>\n    :return: list \u6216 dict<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    full_path <span class=\"token operator\">&#061;<\/span> os<span class=\"token punctuation\">.<\/span>path<span class=\"token punctuation\">.<\/span>join<span class=\"token punctuation\">(<\/span>IG50_DATA_ROOT<span class=\"token punctuation\">,<\/span> relative_path<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">if<\/span> <span class=\"token keyword\">not<\/span> os<span class=\"token punctuation\">.<\/span>path<span class=\"token punctuation\">.<\/span>exists<span class=\"token punctuation\">(<\/span>full_path<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> <span class=\"token boolean\">None<\/span><\/p>\n<p>    <span class=\"token keyword\">try<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">with<\/span> <span class=\"token builtin\">open<\/span><span class=\"token punctuation\">(<\/span>full_path<span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;r&#039;<\/span><span class=\"token punctuation\">,<\/span> encoding<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;utf-8&#039;<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token keyword\">as<\/span> f<span class=\"token punctuation\">:<\/span><br \/>\n            data <span class=\"token operator\">&#061;<\/span> json<span class=\"token punctuation\">.<\/span>load<span class=\"token punctuation\">(<\/span>f<span class=\"token punctuation\">)<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> data<br \/>\n    <span class=\"token keyword\">except<\/span> Exception <span class=\"token keyword\">as<\/span> e<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;[ig50] \u8bfb\u53d6\u6570\u636e\u5931\u8d25 <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>relative_path<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>e<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> <span class=\"token boolean\">None<\/span><\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 2. \u83b7\u53d6\u80a1\u7968\u6c60&#xff08;base\/gplist&#xff09;<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">get_stock_universe<\/span><span class=\"token punctuation\">(<\/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    \u4eceig50\u7684base\/gplist\u63a5\u53e3\u83b7\u53d6A\u80a1\u80a1\u7968\u5217\u8868<br \/>\n    \u5e76\u8fdb\u884c\u57fa\u7840\u7b5b\u9009&#xff08;\u6392\u9664ST\u3001\u9000\u5e02\u80a1\u7968&#xff0c;\u6392\u9664\u65b0\u80a1&#xff09;<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;[ig50] \u6b63\u5728\u8bfb\u53d6\u80a1\u7968\u5217\u8868 base\/gplist &#8230;&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    data <span class=\"token operator\">&#061;<\/span> read_ig50_json<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;base\/gplist&#034;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">if<\/span> data <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">raise<\/span> ValueError<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u65e0\u6cd5\u8bfb\u53d6\u80a1\u7968\u5217\u8868&#xff0c;\u8bf7\u68c0\u67e5ig50\u6570\u636e\u8def\u5f84\u914d\u7f6e&#034;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u8f6c\u6362\u4e3aDataFrame&#xff0c;\u5b57\u6bb5\u540d\u4f7f\u7528ig50\u5b98\u65b9\u5173\u952e\u5b57<\/span><br \/>\n    df_stocks <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span>data<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u67e5\u770big50\u8fd4\u56de\u7684\u5b9e\u9645\u5217\u540d<\/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;[ig50] \u80a1\u7968\u5217\u8868\u5b57\u6bb5: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>df_stocks<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">.<\/span>tolist<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u57fa\u7840\u7b5b\u9009&#xff08;\u4f7f\u7528ig50\u7684\u4e2d\u6587\u5b57\u6bb5\u540d&#xff09;<\/span><br \/>\n    <span class=\"token comment\"># \u6392\u9664ST\u80a1<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u662f\u5426ST&#039;<\/span> <span class=\"token keyword\">in<\/span> df_stocks<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">:<\/span><br \/>\n        df_stocks <span class=\"token operator\">&#061;<\/span> df_stocks<span class=\"token punctuation\">[<\/span>df_stocks<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u662f\u5426ST&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><\/p>\n<p>    <span class=\"token comment\"># \u6392\u9664\u65b0\u80a1<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u662f\u5426\u662f\u65b0\u80a1&#039;<\/span> <span class=\"token keyword\">in<\/span> df_stocks<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">:<\/span><br \/>\n        df_stocks <span class=\"token operator\">&#061;<\/span> df_stocks<span class=\"token punctuation\">[<\/span>df_stocks<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u662f\u5426\u662f\u65b0\u80a1&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><\/p>\n<p>    <span class=\"token comment\"># \u4ec5\u4fdd\u7559\u6caa\u6df1\u4e3b\u677f&#xff08;\u5317\u4ea4\u6240\u53ef\u6839\u636e\u9700\u6c42\u52a0\u5165&#xff09;<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u4ea4\u6613\u6240&#039;<\/span> <span class=\"token keyword\">in<\/span> df_stocks<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">:<\/span><br \/>\n        df_stocks <span class=\"token operator\">&#061;<\/span> df_stocks<span class=\"token punctuation\">[<\/span>df_stocks<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u4ea4\u6613\u6240&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>isin<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;sh&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;sz&#039;<\/span><span class=\"token punctuation\">]<\/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;[ig50] \u521d\u59cb\u80a1\u7968\u6c60\u7b5b\u9009\u5b8c\u6210&#xff0c;\u5171 <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span><span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>df_stocks<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\"> \u53ea\u80a1\u7968&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">return<\/span> df_stocks<span class=\"token punctuation\">.<\/span>reset_index<span class=\"token punctuation\">(<\/span>drop<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 3. \u8bfb\u53d6\u5355\u53ea\u80a1\u7968\u7684\u5386\u53f2K\u7ebf<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">get_daily_kline<\/span><span class=\"token punctuation\">(<\/span>code<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u4eceig50\u7684 time\/history\/trade\/{code}\/day \u8bfb\u53d6\u65e5K\u7ebf<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    data <span class=\"token operator\">&#061;<\/span> read_ig50_json<span class=\"token punctuation\">(<\/span><span class=\"token string-interpolation\"><span class=\"token string\">f&#034;time\/history\/trade\/<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>code<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">\/day&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> data <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span> <span class=\"token keyword\">or<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>data<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> <span class=\"token boolean\">None<\/span><\/p>\n<p>    df <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span>data<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u4f7f\u7528ig50\u7684\u4e2d\u6587\u5b57\u6bb5\u540d\u5904\u7406<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u4ea4\u6613\u65f6\u95f4&#039;<\/span> <span class=\"token keyword\">in<\/span> df<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">:<\/span><br \/>\n        df<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;trade_date&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>to_datetime<span class=\"token punctuation\">(<\/span>df<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u4ea4\u6613\u65f6\u95f4&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span> errors<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;coerce&#039;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        df <span class=\"token operator\">&#061;<\/span> df<span class=\"token punctuation\">.<\/span>sort_values<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;trade_date&#039;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>reset_index<span class=\"token punctuation\">(<\/span>drop<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">return<\/span> df<\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 4. \u8bfb\u53d6\u8d22\u52a1\u6307\u6807&#xff08;\u83b7\u53d6ROE&#xff09;<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">get_financial_indicators<\/span><span class=\"token punctuation\">(<\/span>code<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u4eceig50\u7684 time\/f10\/fi\/{code} \u8bfb\u53d6\u8d22\u52a1\u6307\u6807<br \/>\n    \u8fd4\u56de\u6700\u65b0\u4e00\u671f\u7684ROE\u7b49\u6838\u5fc3\u6307\u6807<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    data <span class=\"token operator\">&#061;<\/span> read_ig50_json<span class=\"token punctuation\">(<\/span><span class=\"token string-interpolation\"><span class=\"token string\">f&#034;time\/f10\/fi\/<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>code<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> data <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span> <span class=\"token keyword\">or<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>data<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><\/p>\n<p>    <span class=\"token comment\"># \u53d6\u6700\u65b0\u4e00\u671f&#xff08;\u6309\u62a5\u544a\u65e5\u671f\u5012\u5e8f&#xff0c;\u7b2c\u4e00\u6761\u662f\u6700\u65b0&#xff09;<\/span><br \/>\n    latest <span class=\"token operator\">&#061;<\/span> data<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><\/p>\n<p>    result <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u51c0\u8d44\u4ea7\u6536\u76ca\u7387(%)&#039;<\/span> <span class=\"token keyword\">in<\/span> latest<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;roe&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> latest<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u51c0\u8d44\u4ea7\u6536\u76ca\u7387(%)&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u9500\u552e\u6bdb\u5229\u7387(%)&#039;<\/span> <span class=\"token keyword\">in<\/span> latest<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;gross_margin&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> latest<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u9500\u552e\u6bdb\u5229\u7387(%)&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u51c0\u5229\u6da6\u589e\u957f\u7387(%)&#039;<\/span> <span class=\"token keyword\">in<\/span> latest<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;net_profit_growth&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> latest<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u51c0\u5229\u6da6\u589e\u957f\u7387(%)&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u8d44\u4ea7\u8d1f\u503a\u7387(%)&#039;<\/span> <span class=\"token keyword\">in<\/span> latest<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;debt_ratio&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> latest<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u8d44\u4ea7\u8d1f\u503a\u7387(%)&#039;<\/span><span class=\"token punctuation\">]<\/span><\/p>\n<p>    <span class=\"token keyword\">return<\/span> result<\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 5. \u8bfb\u53d6\u5b9e\u65f6\u884c\u60c5&#xff08;\u83b7\u53d6PE\u3001PB\u3001\u5e02\u503c&#xff09;<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">get_realtime_quote<\/span><span class=\"token punctuation\">(<\/span>code<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u4eceig50\u7684 time\/real\/{code} \u8bfb\u53d6\u5b9e\u65f6\u884c\u60c5\u6570\u636e<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    data <span class=\"token operator\">&#061;<\/span> read_ig50_json<span class=\"token punctuation\">(<\/span><span class=\"token string-interpolation\"><span class=\"token string\">f&#034;time\/real\/<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>code<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> data <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">return<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><\/p>\n<p>    result <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">{<\/span><span class=\"token punctuation\">}<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u5e02\u76c8\u7387&#xff08;\u52a8\u6001&#xff09;&#039;<\/span> <span class=\"token keyword\">in<\/span> data<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pe&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> data<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u5e02\u76c8\u7387&#xff08;\u52a8\u6001&#xff09;&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u5e02\u51c0\u7387&#039;<\/span> <span class=\"token keyword\">in<\/span> data<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pb&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> data<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u5e02\u51c0\u7387&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u603b\u5e02\u503c&#xff08;\u5143&#xff09;&#039;<\/span> <span class=\"token keyword\">in<\/span> data<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;market_cap&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> data<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u603b\u5e02\u503c&#xff08;\u5143&#xff09;&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u6bcf\u80a1\u6536\u76ca&#xff08;\u5143&#xff09;&#039;<\/span> <span class=\"token keyword\">in<\/span> data<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;eps&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> data<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u6bcf\u80a1\u6536\u76ca&#xff08;\u5143&#xff09;&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u6bcf\u80a1\u51c0\u8d44\u4ea7&#xff08;\u5143&#xff09;&#039;<\/span> <span class=\"token keyword\">in<\/span> data<span class=\"token punctuation\">:<\/span><br \/>\n        result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;bps&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> data<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u6bcf\u80a1\u51c0\u8d44\u4ea7&#xff08;\u5143&#xff09;&#039;<\/span><span class=\"token punctuation\">]<\/span><\/p>\n<p>    <span class=\"token keyword\">return<\/span> result<\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 6. \u56e0\u5b50\u8ba1\u7b97\u4e0e\u9009\u80a1<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">calculate_factors_and_rank<\/span><span class=\"token punctuation\">(<\/span>df_stocks<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u8ba1\u7b97\u56db\u56e0\u5b50\u5e76\u5bf9\u80a1\u7968\u8fdb\u884c\u7efc\u5408\u8bc4\u5206<br \/>\n    \u56e0\u5b50&#xff1a;PE&#xff08;\u8d8a\u4f4e\u5206\u8d8a\u9ad8&#xff09;\u3001PB&#xff08;\u8d8a\u4f4e\u5206\u8d8a\u9ad8&#xff09;\u3001ROE&#xff08;\u8d8a\u9ad8\u5206\u8d8a\u9ad8&#xff09;\u3001\u5e02\u503c&#xff08;\u8d8a\u5c0f\u5206\u8d8a\u9ad8&#xff09;<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;[ig50] \u6b63\u5728\u8ba1\u7b97\u591a\u56e0\u5b50\u8bc4\u5206 &#8230;&#034;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    factors_list <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">]<\/span><\/p>\n<p>    <span class=\"token keyword\">for<\/span> _<span class=\"token punctuation\">,<\/span> row <span class=\"token keyword\">in<\/span> tqdm<span class=\"token punctuation\">(<\/span>df_stocks<span class=\"token punctuation\">.<\/span>iterrows<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span> total<span class=\"token operator\">&#061;<\/span><span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>df_stocks<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span> desc<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#034;\u8ba1\u7b97\u56e0\u5b50&#034;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        code <span class=\"token operator\">&#061;<\/span> row<span class=\"token punctuation\">.<\/span>get<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;\u80a1\u7968\u4ee3\u7801&#039;<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token keyword\">or<\/span> row<span class=\"token punctuation\">.<\/span>get<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;code&#039;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> <span class=\"token keyword\">not<\/span> code<span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token keyword\">continue<\/span><\/p>\n<p>        <span class=\"token comment\"># \u8df3\u8fc7\u5317\u4ea4\u6240&#xff08;\u53ef\u6839\u636e\u9700\u6c42\u8c03\u6574&#xff09;<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> code<span class=\"token punctuation\">.<\/span>startswith<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;8&#039;<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token keyword\">or<\/span> code<span class=\"token punctuation\">.<\/span>startswith<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;4&#039;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token keyword\">continue<\/span><\/p>\n<p>        <span class=\"token comment\"># \u8bfb\u53d6\u5b9e\u65f6\u884c\u60c5&#xff08;PE\u3001PB\u3001\u5e02\u503c&#xff09;<\/span><br \/>\n        rt <span class=\"token operator\">&#061;<\/span> get_realtime_quote<span class=\"token punctuation\">(<\/span>code<span class=\"token punctuation\">)<\/span><br \/>\n        pe <span class=\"token operator\">&#061;<\/span> rt<span class=\"token punctuation\">.<\/span>get<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;pe&#039;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        pb <span class=\"token operator\">&#061;<\/span> rt<span class=\"token punctuation\">.<\/span>get<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;pb&#039;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        market_cap <span class=\"token operator\">&#061;<\/span> rt<span class=\"token punctuation\">.<\/span>get<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;market_cap&#039;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>        <span class=\"token comment\"># \u8bfb\u53d6\u8d22\u52a1\u6307\u6807&#xff08;ROE&#xff09;<\/span><br \/>\n        fi <span class=\"token operator\">&#061;<\/span> get_financial_indicators<span class=\"token punctuation\">(<\/span>code<span class=\"token punctuation\">)<\/span><br \/>\n        roe <span class=\"token operator\">&#061;<\/span> fi<span class=\"token punctuation\">.<\/span>get<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;roe&#039;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>        <span class=\"token comment\"># \u8df3\u8fc7\u6570\u636e\u7f3a\u5931\u7684\u80a1\u7968<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> pe <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span> <span class=\"token keyword\">or<\/span> pb <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span> <span class=\"token keyword\">or<\/span> market_cap <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span> <span class=\"token keyword\">or<\/span> roe <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token keyword\">continue<\/span><\/p>\n<p>        <span class=\"token comment\"># \u8df3\u8fc7\u5f02\u5e38\u503c<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> pe <span class=\"token operator\">&lt;&#061;<\/span> <span class=\"token number\">0<\/span> <span class=\"token keyword\">or<\/span> pb <span class=\"token operator\">&lt;&#061;<\/span> <span class=\"token number\">0<\/span> <span class=\"token keyword\">or<\/span> market_cap <span class=\"token operator\">&lt;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token keyword\">continue<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> pe <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">500<\/span> <span class=\"token keyword\">or<\/span> pb <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">50<\/span><span class=\"token punctuation\">:<\/span>  <span class=\"token comment\"># \u8fc7\u6ee4\u6781\u7aef\u503c<\/span><br \/>\n            <span class=\"token keyword\">continue<\/span><\/p>\n<p>        factors_list<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">{<\/span><br \/>\n            <span class=\"token string\">&#039;code&#039;<\/span><span class=\"token punctuation\">:<\/span> code<span class=\"token punctuation\">,<\/span><br \/>\n            <span class=\"token string\">&#039;name&#039;<\/span><span class=\"token punctuation\">:<\/span> row<span class=\"token punctuation\">.<\/span>get<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;\u80a1\u7968\u540d\u79f0&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;&#039;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span><br \/>\n            <span class=\"token string\">&#039;pe&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">(<\/span>pe<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span><br \/>\n            <span class=\"token string\">&#039;pb&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">(<\/span>pb<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span><br \/>\n            <span class=\"token string\">&#039;roe&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">(<\/span>roe<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span><br \/>\n            <span class=\"token string\">&#039;market_cap&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token builtin\">float<\/span><span class=\"token punctuation\">(<\/span>market_cap<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token punctuation\">}<\/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>factors_list<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">raise<\/span> ValueError<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u6ca1\u6709\u7b26\u5408\u6761\u4ef6\u7684\u80a1\u7968&#xff0c;\u8bf7\u68c0\u67e5\u6570\u636e\u662f\u5426\u5b8c\u6574&#034;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    df_factors <span class=\"token operator\">&#061;<\/span> pd<span class=\"token punctuation\">.<\/span>DataFrame<span class=\"token punctuation\">(<\/span>factors_list<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;[ig50] \u6709\u6548\u56e0\u5b50\u6837\u672c\u6570: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span><span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>df_factors<span class=\"token punctuation\">)<\/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 comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061; \u56e0\u5b50\u6807\u51c6\u5316\u4e0e\u8bc4\u5206 &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n    <span class=\"token comment\"># PE&#xff1a;\u8d8a\u4f4e\u8d8a\u597d&#xff0c;\u6392\u540d\u8d8a\u9760\u524d\u5206\u6570\u8d8a\u9ad8<\/span><br \/>\n    df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pe_rank&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>rank<span class=\"token punctuation\">(<\/span>ascending<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># PB&#xff1a;\u8d8a\u4f4e\u8d8a\u597d<\/span><br \/>\n    df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pb_rank&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pb&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>rank<span class=\"token punctuation\">(<\/span>ascending<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># ROE&#xff1a;\u8d8a\u9ad8\u8d8a\u597d<\/span><br \/>\n    df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;roe_rank&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;roe&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>rank<span class=\"token punctuation\">(<\/span>ascending<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">False<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u5e02\u503c&#xff1a;\u8d8a\u5c0f\u8d8a\u597d&#xff08;\u5c0f\u76d8\u80a1\u6ea2\u4ef7&#xff09;<\/span><br \/>\n    df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;cap_rank&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;market_cap&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>rank<span class=\"token punctuation\">(<\/span>ascending<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u7b49\u6743\u7efc\u5408\u8bc4\u5206&#xff08;\u56db\u4e2a\u56e0\u5b50\u6392\u540d\u76f8\u52a0&#xff0c;\u5206\u6570\u8d8a\u4f4e\u8d8a\u597d&#xff09;<\/span><br \/>\n    df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;total_score&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span><br \/>\n        df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pe_rank&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#043;<\/span><br \/>\n        df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;pb_rank&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#043;<\/span><br \/>\n        df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;roe_rank&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#043;<\/span><br \/>\n        df_factors<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;cap_rank&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u6309\u7efc\u5408\u8bc4\u5206\u6392\u5e8f&#xff0c;\u5206\u6570\u8d8a\u4f4e\u6392\u540d\u8d8a\u9760\u524d<\/span><br \/>\n    df_factors <span class=\"token operator\">&#061;<\/span> df_factors<span class=\"token punctuation\">.<\/span>sort_values<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;total_score&#039;<\/span><span class=\"token punctuation\">,<\/span> ascending<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>reset_index<span class=\"token punctuation\">(<\/span>drop<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token keyword\">return<\/span> df_factors<\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 7. \u56de\u6d4b\u5f15\u64ce<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">run_backtest<\/span><span class=\"token punctuation\">(<\/span>df_stocks<span class=\"token punctuation\">,<\/span> df_factors<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    <span class=\"token triple-quoted-string string\">&#034;&#034;&#034;<br \/>\n    \u7b80\u5355\u56de\u6d4b&#xff1a;\u7b49\u6743\u4e70\u5165\u6392\u540d\u524dN\u7684\u80a1\u7968&#xff0c;\u6301\u6709\u4e00\u4e2a\u6708\u540e\u8c03\u4ed3<br \/>\n    &#034;&#034;&#034;<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;[ig50] \u6b63\u5728\u6267\u884c\u56de\u6d4b &#8230;&#034;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u83b7\u53d6\u6392\u540d\u524dN\u7684\u80a1\u7968<\/span><br \/>\n    top_stocks <span class=\"token operator\">&#061;<\/span> df_factors<span class=\"token punctuation\">.<\/span>head<span class=\"token punctuation\">(<\/span>HOLDING_COUNT<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[ig50] \u9009\u80a1\u7ed3\u679c&#xff08;Top <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>HOLDING_COUNT<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#xff09;:&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span>top_stocks<span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;code&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;name&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;pe&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;pb&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;roe&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;market_cap&#039;<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;total_score&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>to_string<span class=\"token punctuation\">(<\/span>index<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">False<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u83b7\u53d6\u8fd9\u4e9b\u80a1\u7968\u7684\u65e5K\u7ebf\u8fdb\u884c\u56de\u6d4b<\/span><br \/>\n    portfolio_returns <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    dates <span class=\"token operator\">&#061;<\/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;\\\\n[ig50] \u6b63\u5728\u83b7\u53d6\u6301\u4ed3\u80a1\u7968\u7684\u5386\u53f2K\u7ebf &#8230;&#034;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    valid_count <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">0<\/span><\/p>\n<p>    <span class=\"token keyword\">for<\/span> _<span class=\"token punctuation\">,<\/span> stock <span class=\"token keyword\">in<\/span> tqdm<span class=\"token punctuation\">(<\/span>top_stocks<span class=\"token punctuation\">.<\/span>iterrows<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span> total<span class=\"token operator\">&#061;<\/span><span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>top_stocks<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span> desc<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#034;\u8bfb\u53d6K\u7ebf&#034;<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        code <span class=\"token operator\">&#061;<\/span> stock<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;code&#039;<\/span><span class=\"token punctuation\">]<\/span><br \/>\n        df_k <span class=\"token operator\">&#061;<\/span> get_daily_kline<span class=\"token punctuation\">(<\/span>code<span class=\"token punctuation\">)<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> df_k <span class=\"token keyword\">is<\/span> <span class=\"token boolean\">None<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token keyword\">continue<\/span><\/p>\n<p>        <span class=\"token comment\"># \u7b5b\u9009\u56de\u6d4b\u533a\u95f4<\/span><br \/>\n        df_k <span class=\"token operator\">&#061;<\/span> df_k<span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">(<\/span>df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;trade_date&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&gt;&#061;<\/span> START_DATE<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&amp;<\/span> <span class=\"token punctuation\">(<\/span>df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;trade_date&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&lt;&#061;<\/span> END_DATE<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">]<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>df_k<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&lt;<\/span> <span class=\"token number\">30<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token keyword\">continue<\/span><\/p>\n<p>        valid_count <span class=\"token operator\">&#043;&#061;<\/span> <span class=\"token number\">1<\/span><\/p>\n<p>        <span class=\"token comment\"># \u8ba1\u7b97\u65e5\u6536\u76ca\u7387<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u6536\u76d8\u4ef7&#xff08;\u5143&#xff09;&#039;<\/span> <span class=\"token keyword\">in<\/span> df_k<span class=\"token punctuation\">.<\/span>columns<span class=\"token punctuation\">:<\/span><br \/>\n            df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;daily_return&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u6536\u76d8\u4ef7&#xff08;\u5143&#xff09;&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>pct_change<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>fillna<span class=\"token punctuation\">(<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        <span class=\"token keyword\">else<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;daily_return&#039;<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#061;<\/span> df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;\u6536\u76d8\u4ef7&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>pct_change<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">.<\/span>fillna<span class=\"token punctuation\">(<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token keyword\">if<\/span> <span class=\"token string\">&#039;\u6536\u76d8\u4ef7&#039;<\/span> <span class=\"token keyword\">in<\/span> df_k<span class=\"token punctuation\">.<\/span>columns <span class=\"token keyword\">else<\/span> <span class=\"token number\">0<\/span><\/p>\n<p>        <span class=\"token comment\"># \u5bf9\u9f50\u65e5\u671f<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>dates<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            dates <span class=\"token operator\">&#061;<\/span> df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;trade_date&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>tolist<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n            portfolio_returns <span class=\"token operator\">&#061;<\/span> df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;daily_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>tolist<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n        <span class=\"token keyword\">else<\/span><span class=\"token punctuation\">:<\/span><br \/>\n            <span class=\"token comment\"># \u7b80\u5316\u5904\u7406&#xff1a;\u53d6\u4ea4\u96c6\u65e5\u671f<\/span><br \/>\n            date_map <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">dict<\/span><span class=\"token punctuation\">(<\/span><span class=\"token builtin\">zip<\/span><span class=\"token punctuation\">(<\/span>df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;trade_date&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span> df_k<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;daily_return&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><br \/>\n            new_returns <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">]<\/span><br \/>\n            new_dates <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> d <span class=\"token keyword\">in<\/span> <span class=\"token builtin\">enumerate<\/span><span class=\"token punctuation\">(<\/span>dates<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">:<\/span><br \/>\n                <span class=\"token keyword\">if<\/span> d <span class=\"token keyword\">in<\/span> date_map<span class=\"token punctuation\">:<\/span><br \/>\n                    new_returns<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span>portfolio_returns<span class=\"token punctuation\">[<\/span>i<span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#043;<\/span> date_map<span class=\"token punctuation\">[<\/span>d<span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">)<\/span><br \/>\n                    new_dates<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span>d<span class=\"token punctuation\">)<\/span><br \/>\n            dates <span class=\"token operator\">&#061;<\/span> new_dates<br \/>\n            portfolio_returns <span class=\"token operator\">&#061;<\/span> new_returns<\/p>\n<p>    <span class=\"token keyword\">if<\/span> valid_count <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">raise<\/span> ValueError<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u6ca1\u6709\u80a1\u7968\u6709\u8db3\u591f\u7684\u5386\u53f2\u6570\u636e\u7528\u4e8e\u56de\u6d4b&#034;<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u7b49\u6743&#xff1a;\u9664\u4ee5\u6301\u4ed3\u6570<\/span><br \/>\n    portfolio_returns <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span>r <span class=\"token operator\">\/<\/span> valid_count <span class=\"token keyword\">for<\/span> r <span class=\"token keyword\">in<\/span> portfolio_returns<span class=\"token punctuation\">]<\/span><\/p>\n<p>    <span class=\"token comment\"># \u8ba1\u7b97\u7d2f\u8ba1\u51c0\u503c<\/span><br \/>\n    nav <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token number\">1.0<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">for<\/span> r <span class=\"token keyword\">in<\/span> portfolio_returns<span class=\"token punctuation\">:<\/span><br \/>\n        nav<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span>nav<span class=\"token punctuation\">[<\/span><span class=\"token operator\">&#8211;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">*<\/span> <span class=\"token punctuation\">(<\/span><span class=\"token number\">1<\/span> <span class=\"token operator\">&#043;<\/span> r<span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u8ba1\u7b97\u7ee9\u6548\u6307\u6807<\/span><br \/>\n    total_return <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>nav<span class=\"token punctuation\">[<\/span><span class=\"token operator\">&#8211;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span> <span class=\"token operator\">&#8211;<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">100<\/span><br \/>\n    annual_days <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">252<\/span><br \/>\n    trading_days <span class=\"token operator\">&#061;<\/span> <span class=\"token builtin\">len<\/span><span class=\"token punctuation\">(<\/span>portfolio_returns<span class=\"token punctuation\">)<\/span><br \/>\n    annual_return <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">(<\/span>nav<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 operator\">**<\/span> <span class=\"token punctuation\">(<\/span>annual_days <span class=\"token operator\">\/<\/span> trading_days<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">&#8211;<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">100<\/span> <span class=\"token keyword\">if<\/span> trading_days <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>    returns_array <span class=\"token operator\">&#061;<\/span> np<span class=\"token punctuation\">.<\/span>array<span class=\"token punctuation\">(<\/span>portfolio_returns<span class=\"token punctuation\">)<\/span><br \/>\n    annual_vol <span class=\"token operator\">&#061;<\/span> returns_array<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>annual_days<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">100<\/span><br \/>\n    sharpe <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>annual_return <span class=\"token operator\">&#8211;<\/span> <span class=\"token number\">3<\/span><span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> annual_vol <span class=\"token keyword\">if<\/span> annual_vol <span class=\"token operator\">&gt;<\/span> <span class=\"token number\">0<\/span> <span class=\"token keyword\">else<\/span> <span class=\"token number\">0<\/span>  <span class=\"token comment\"># \u65e0\u98ce\u9669\u5229\u7387\u53d63%<\/span><\/p>\n<p>    max_dd <span class=\"token operator\">&#061;<\/span> <span class=\"token number\">0<\/span><br \/>\n    peak <span class=\"token operator\">&#061;<\/span> nav<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">for<\/span> n <span class=\"token keyword\">in<\/span> nav<span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> n <span class=\"token operator\">&gt;<\/span> peak<span class=\"token punctuation\">:<\/span><br \/>\n            peak <span class=\"token operator\">&#061;<\/span> n<br \/>\n        dd <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">(<\/span>peak <span class=\"token operator\">&#8211;<\/span> n<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> peak<br \/>\n        <span class=\"token keyword\">if<\/span> dd <span class=\"token operator\">&gt;<\/span> max_dd<span class=\"token punctuation\">:<\/span><br \/>\n            max_dd <span class=\"token operator\">&#061;<\/span> dd<br \/>\n    max_dd <span class=\"token operator\">*&#061;<\/span> <span class=\"token number\">100<\/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<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span><span class=\"token string\">&#039;&#061;&#039;<\/span><span class=\"token operator\">*<\/span><span class=\"token number\">50<\/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;[ig50] \u56de\u6d4b\u7ee9\u6548\u7edf\u8ba1&#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;<\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span><span class=\"token string\">&#039;&#061;&#039;<\/span><span class=\"token operator\">*<\/span><span class=\"token number\">50<\/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;\u56de\u6d4b\u533a\u95f4: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>START_DATE<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\"> \u81f3 <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>END_DATE<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;\u4ea4\u6613\u5929\u6570: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>trading_days<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;\u6709\u6548\u6301\u4ed3\u6570: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>valid_count<span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string-interpolation\"><span class=\"token string\">f&#034;\u603b\u6536\u76ca\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>total_return<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">%&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><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\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>annual_return<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">%&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><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\u6ce2\u52a8\u7387: <\/span><span class=\"token interpolation\"><span class=\"token punctuation\">{<\/span>annual_vol<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">%&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><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>sharpe<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><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>max_dd<span class=\"token punctuation\">:<\/span><span class=\"token format-spec\">.2f<\/span><span class=\"token punctuation\">}<\/span><\/span><span class=\"token string\">%&#034;<\/span><\/span><span class=\"token punctuation\">)<\/span><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><span class=\"token string\">&#039;&#061;&#039;<\/span><span class=\"token operator\">*<\/span><span class=\"token number\">50<\/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 comment\"># \u53ef\u89c6\u5316<\/span><br \/>\n    fig<span class=\"token punctuation\">,<\/span> axes <span class=\"token operator\">&#061;<\/span> plt<span class=\"token punctuation\">.<\/span>subplots<span class=\"token punctuation\">(<\/span><span class=\"token number\">2<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">,<\/span> figsize<span class=\"token operator\">&#061;<\/span><span class=\"token punctuation\">(<\/span><span class=\"token number\">14<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">10<\/span><span class=\"token punctuation\">)<\/span><span class=\"token punctuation\">,<\/span> gridspec_kw<span class=\"token operator\">&#061;<\/span><span class=\"token punctuation\">{<\/span><span class=\"token string\">&#039;height_ratios&#039;<\/span><span class=\"token punctuation\">:<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token number\">3<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">}<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u51c0\u503c\u66f2\u7ebf<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>plot<span class=\"token punctuation\">(<\/span>dates<span class=\"token punctuation\">,<\/span> nav<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">:<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;b-&#039;<\/span><span class=\"token punctuation\">,<\/span> linewidth<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1.5<\/span><span class=\"token punctuation\">,<\/span> label<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;\u591a\u56e0\u5b50\u7ec4\u5408\u51c0\u503c&#039;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>axhline<span class=\"token punctuation\">(<\/span>y<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1.0<\/span><span class=\"token punctuation\">,<\/span> color<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;gray&#039;<\/span><span class=\"token punctuation\">,<\/span> linestyle<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;&#8211;&#039;<\/span><span class=\"token punctuation\">,<\/span> alpha<span class=\"token operator\">&#061;<\/span><span class=\"token number\">0.5<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>set_title<span class=\"token punctuation\">(<\/span><span class=\"token string-interpolation\"><span class=\"token string\">f&#039;ig50\u672c\u5730\u6570\u636e\u5f15\u64ce &#8211; \u591a\u56e0\u5b50\u9009\u80a1\u56de\u6d4b\u51c0\u503c\u66f2\u7ebf\\\\n(PE&#043;PB&#043;ROE&#043;\u5e02\u503c \u56db\u56e0\u5b50\u7b49\u6743)&#039;<\/span><\/span><span class=\"token punctuation\">,<\/span> fontsize<span class=\"token operator\">&#061;<\/span><span class=\"token number\">14<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>set_ylabel<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;\u51c0\u503c&#039;<\/span><span class=\"token punctuation\">,<\/span> fontsize<span class=\"token operator\">&#061;<\/span><span class=\"token number\">12<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>legend<span class=\"token punctuation\">(<\/span>loc<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;best&#039;<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>grid<span class=\"token punctuation\">(<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">,<\/span> alpha<span class=\"token operator\">&#061;<\/span><span class=\"token number\">0.3<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u56de\u64a4\u66f2\u7ebf<\/span><br \/>\n    drawdowns <span class=\"token operator\">&#061;<\/span> <span class=\"token punctuation\">[<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    peak <span class=\"token operator\">&#061;<\/span> nav<span class=\"token punctuation\">[<\/span><span class=\"token number\">0<\/span><span class=\"token punctuation\">]<\/span><br \/>\n    <span class=\"token keyword\">for<\/span> n <span class=\"token keyword\">in<\/span> nav<span class=\"token punctuation\">:<\/span><br \/>\n        <span class=\"token keyword\">if<\/span> n <span class=\"token operator\">&gt;<\/span> peak<span class=\"token punctuation\">:<\/span><br \/>\n            peak <span class=\"token operator\">&#061;<\/span> n<br \/>\n        drawdowns<span class=\"token punctuation\">.<\/span>append<span class=\"token punctuation\">(<\/span><span class=\"token operator\">&#8211;<\/span><span class=\"token punctuation\">(<\/span>peak <span class=\"token operator\">&#8211;<\/span> n<span class=\"token punctuation\">)<\/span> <span class=\"token operator\">\/<\/span> peak <span class=\"token operator\">*<\/span> <span class=\"token number\">100<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>fill_between<span class=\"token punctuation\">(<\/span>dates<span class=\"token punctuation\">,<\/span> drawdowns<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">:<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token number\">0<\/span><span class=\"token punctuation\">,<\/span> color<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;red&#039;<\/span><span class=\"token punctuation\">,<\/span> alpha<span class=\"token operator\">&#061;<\/span><span class=\"token number\">0.3<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>plot<span class=\"token punctuation\">(<\/span>dates<span class=\"token punctuation\">,<\/span> drawdowns<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">:<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">,<\/span> <span class=\"token string\">&#039;r-&#039;<\/span><span class=\"token punctuation\">,<\/span> linewidth<span class=\"token operator\">&#061;<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>set_ylabel<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;\u56de\u64a4(%)&#039;<\/span><span class=\"token punctuation\">,<\/span> fontsize<span class=\"token operator\">&#061;<\/span><span class=\"token number\">12<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>set_xlabel<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;\u65e5\u671f&#039;<\/span><span class=\"token punctuation\">,<\/span> fontsize<span class=\"token operator\">&#061;<\/span><span class=\"token number\">12<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    axes<span class=\"token punctuation\">[<\/span><span class=\"token number\">1<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>grid<span class=\"token punctuation\">(<\/span><span class=\"token boolean\">True<\/span><span class=\"token punctuation\">,<\/span> alpha<span class=\"token operator\">&#061;<\/span><span class=\"token number\">0.3<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    plt<span class=\"token punctuation\">.<\/span>tight_layout<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    plt<span class=\"token punctuation\">.<\/span>savefig<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;ig50_multifactor_backtest.png&#039;<\/span><span class=\"token punctuation\">,<\/span> dpi<span class=\"token operator\">&#061;<\/span><span class=\"token number\">150<\/span><span class=\"token punctuation\">,<\/span> bbox_inches<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;tight&#039;<\/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[ig50] \u56de\u6d4b\u56fe\u8868\u5df2\u4fdd\u5b58: ig50_multifactor_backtest.png&#034;<\/span><\/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;top_stocks&#039;<\/span><span class=\"token punctuation\">:<\/span> top_stocks<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;nav&#039;<\/span><span class=\"token punctuation\">:<\/span> nav<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;dates&#039;<\/span><span class=\"token punctuation\">:<\/span> dates<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token string\">&#039;metrics&#039;<\/span><span class=\"token punctuation\">:<\/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;annual_vol&#039;<\/span><span class=\"token punctuation\">:<\/span> annual_vol<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;max_drawdown&#039;<\/span><span class=\"token punctuation\">:<\/span> max_dd<span class=\"token punctuation\">,<\/span><br \/>\n            <span class=\"token string\">&#039;trading_days&#039;<\/span><span class=\"token punctuation\">:<\/span> trading_days<span class=\"token punctuation\">,<\/span><br \/>\n        <span class=\"token punctuation\">}<\/span><br \/>\n    <span class=\"token punctuation\">}<\/span><\/p>\n<p><span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><br \/>\n<span class=\"token comment\"># 8. \u4e3b\u7a0b\u5e8f\u5165\u53e3<\/span><br \/>\n<span class=\"token comment\"># &#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;&#061;<\/span><\/p>\n<p><span class=\"token keyword\">def<\/span> <span class=\"token function\">main<\/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\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">60<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;ig50\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce &#8211; \u591a\u56e0\u5b50\u9009\u80a1\u7cfb\u7edf&#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\">60<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u6b65\u9aa41&#xff1a;\u83b7\u53d6\u80a1\u7968\u6c60<\/span><br \/>\n    df_stocks <span class=\"token operator\">&#061;<\/span> get_stock_universe<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u6b65\u9aa42&#xff1a;\u8ba1\u7b97\u56e0\u5b50\u5e76\u6392\u540d<\/span><br \/>\n    df_factors <span class=\"token operator\">&#061;<\/span> calculate_factors_and_rank<span class=\"token punctuation\">(<\/span>df_stocks<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u6b65\u9aa43&#xff1a;\u6267\u884c\u56de\u6d4b<\/span><br \/>\n    result <span class=\"token operator\">&#061;<\/span> run_backtest<span class=\"token punctuation\">(<\/span>df_stocks<span class=\"token punctuation\">,<\/span> df_factors<span class=\"token punctuation\">)<\/span><\/p>\n<p>    <span class=\"token comment\"># \u5bfc\u51fa\u9009\u80a1\u7ed3\u679c<\/span><br \/>\n    result<span class=\"token punctuation\">[<\/span><span class=\"token string\">&#039;top_stocks&#039;<\/span><span class=\"token punctuation\">]<\/span><span class=\"token punctuation\">.<\/span>to_csv<span class=\"token punctuation\">(<\/span><span class=\"token string\">&#039;ig50_multifactor_top20.csv&#039;<\/span><span class=\"token punctuation\">,<\/span> index<span class=\"token operator\">&#061;<\/span><span class=\"token boolean\">False<\/span><span class=\"token punctuation\">,<\/span> encoding<span class=\"token operator\">&#061;<\/span><span class=\"token string\">&#039;utf-8-sig&#039;<\/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[ig50] \u9009\u80a1\u7ed3\u679c\u5df2\u5bfc\u51fa: ig50_multifactor_top20.csv&#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&#034;<\/span> <span class=\"token operator\">&#043;<\/span> <span class=\"token string\">&#034;&#061;&#034;<\/span> <span class=\"token operator\">*<\/span> <span class=\"token number\">60<\/span><span class=\"token punctuation\">)<\/span><br \/>\n    <span class=\"token keyword\">print<\/span><span class=\"token punctuation\">(<\/span><span class=\"token string\">&#034;\u5b8c\u6210&#xff01;\u5982\u9700\u6269\u5c55\u7b56\u7565&#xff0c;\u53ef\u4fee\u6539\u56e0\u5b50\u6743\u91cd\u3001\u589e\u52a0\u52a8\u91cf\u56e0\u5b50\u3001\u6216\u4f18\u5316\u8c03\u4ed3\u903b\u8f91\u3002&#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;\u66f4\u591aig50\u6570\u636e\u63a5\u53e3\u8bf7\u53c2\u8003\u5b98\u65b9\u6587\u6863&#xff1a;ig50.com&#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\">60<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<p><span class=\"token keyword\">if<\/span> __name__ <span class=\"token operator\">&#061;&#061;<\/span> <span class=\"token string\">&#034;__main__&#034;<\/span><span class=\"token punctuation\">:<\/span><br \/>\n    main<span class=\"token punctuation\">(<\/span><span class=\"token punctuation\">)<\/span><\/p>\n<h4>3.3 \u4ee3\u7801\u8bf4\u660e<\/h4>\n<p>\u4ee5\u4e0a\u4ee3\u7801\u5305\u542b\u4ee5\u4e0b\u6838\u5fc3\u6a21\u5757&#xff1a;<\/p>\n<li>\u6570\u636e\u8bfb\u53d6\u5c42&#xff1a;read_ig50_json() \u7edf\u4e00\u8bfb\u53d6ig50\u7684JSON\u683c\u5f0f\u6570\u636e&#xff0c;\u652f\u6301\u6240\u6709\u672c\u5730\u8def\u5f84\u3002<\/li>\n<li>\u80a1\u7968\u6c60\u6784\u5efa&#xff1a;\u4ece base\/gplist \u83b7\u53d6\u5168\u5e02\u573a\u80a1\u7968\u5217\u8868&#xff0c;\u5e76\u8fdb\u884cST\u80a1\u3001\u65b0\u80a1\u7b49\u57fa\u7840\u7b5b\u9009\u3002<\/li>\n<li>\u56e0\u5b50\u63d0\u53d6&#xff1a;\n<ul>\n<li>\u4f30\u503c\u56e0\u5b50&#xff08;PE\u3001PB&#xff09;\u548c\u5e02\u503c\u56e0\u5b50\u6765\u81ea time\/real\/{code} \u5b9e\u65f6\u884c\u60c5<\/li>\n<li>\u8d28\u91cf\u56e0\u5b50&#xff08;ROE&#xff09;\u6765\u81ea time\/f10\/fi\/{code} \u8d22\u52a1\u6307\u6807<\/li>\n<\/ul>\n<\/li>\n<li>\u56e0\u5b50\u8bc4\u5206&#xff1a;\u91c7\u7528\u6392\u540d\u6cd5\u5bf9\u56db\u4e2a\u56e0\u5b50\u5206\u522b\u6253\u5206&#xff0c;\u7b49\u6743\u76f8\u52a0\u5f97\u5230\u7efc\u5408\u8bc4\u5206\u3002<\/li>\n<li>\u56de\u6d4b\u5f15\u64ce&#xff1a;\u8bfb\u53d6\u6392\u540d\u524d20\u53ea\u80a1\u7968\u7684\u65e5K\u7ebf&#xff08;time\/history\/trade\/{code}\/day&#xff09;&#xff0c;\u6267\u884c\u7b49\u6743\u56de\u6d4b\u5e76\u8ba1\u7b97\u7ee9\u6548\u6307\u6807\u3002<\/li>\n<li>\u7ed3\u679c\u8f93\u51fa&#xff1a;\u8f93\u51fa\u51c0\u503c\u66f2\u7ebf\u3001\u56de\u64a4\u66f2\u7ebf\u3001\u7ee9\u6548\u6307\u6807\u7edf\u8ba1\u8868\u3002<\/li>\n<h4>3.4 \u8fd0\u884c\u6548\u679c<\/h4>\n<p>\u8fd0\u884c\u811a\u672c\u540e&#xff0c;\u4f60\u5c06\u770b\u5230&#xff1a;<\/p>\n<ul>\n<li>ig50\u6570\u636e\u8bfb\u53d6\u7684\u8be6\u7ec6\u65e5\u5fd7<\/li>\n<li>Top 20\u9009\u80a1\u7ed3\u679c\u5217\u8868&#xff08;\u542b\u5404\u56e0\u5b50\u6570\u503c\u548c\u7efc\u5408\u8bc4\u5206&#xff09;<\/li>\n<li>\u56de\u6d4b\u7ee9\u6548\u7edf\u8ba1&#xff08;\u6536\u76ca\u7387\u3001\u6ce2\u52a8\u7387\u3001\u590f\u666e\u6bd4\u7387\u3001\u6700\u5927\u56de\u64a4\u7b49&#xff09;<\/li>\n<li>\u81ea\u52a8\u4fdd\u5b58\u7684\u51c0\u503c\u66f2\u7ebf\u56fe\u548c\u9009\u80a1\u7ed3\u679cCSV\u6587\u4ef6<\/li>\n<\/ul>\n<hr \/>\n<h3>\u56db\u3001\u603b\u7ed3\u4e0e\u6269\u5c55<\/h3>\n<h4>4.1 \u672c\u6587\u603b\u7ed3<\/h4>\n<p>\u672c\u6587\u57fa\u4e8e ig50\u672c\u5730\u80a1\u7968\u6570\u636e\u5f15\u64ce&#xff0c;\u4ece\u96f6\u6784\u5efa\u4e86\u4e00\u5957\u5b8c\u6574\u7684\u591a\u56e0\u5b50\u9009\u80a1\u56de\u6d4b\u7cfb\u7edf\u3002\u901a\u8fc7\u672c\u6587\u7684\u5b9e\u8df5&#xff0c;\u4f60\u53ef\u4ee5\u770b\u5230&#xff1a;<\/p>\n<li>\u6570\u636e\u83b7\u53d6\u7684\u4fbf\u6377\u6027&#xff1a;ig50\u5c06221\u4e2a\u6570\u636e\u96c6\u7edf\u4e00\u5b58\u50a8\u5728\u672c\u5730&#xff0c;\u901a\u8fc7\u7b80\u5355\u7684\u6587\u4ef6\u8def\u5f84\u5373\u53ef\u8bbf\u95ee&#xff0c;\u65e0\u9700\u4efb\u4f55API\u8c03\u7528\u548c\u7f51\u7edc\u8bf7\u6c42\u3002<\/li>\n<li>\u6570\u636e\u683c\u5f0f\u7684\u4e00\u81f4\u6027&#xff1a;\u6240\u6709\u6570\u636e\u91c7\u7528JSON\u683c\u5f0f&#xff0c;\u5b57\u6bb5\u547d\u540d\u4e0e\u5b98\u65b9\u6587\u6863\u5b8c\u5168\u4e00\u81f4&#xff0c;\u5f00\u53d1\u8005\u65e0\u9700\u5904\u7406\u683c\u5f0f\u8f6c\u6362\u95ee\u9898\u3002<\/li>\n<li>\u8bfb\u53d6\u901f\u5ea6\u7684\u4f18\u8d8a\u6027&#xff1a;\u672c\u5730\u6587\u4ef6\u8bfb\u53d6\u6bd4\u5728\u7ebfAPI\u5feb\u4e00\u4e2a\u6570\u91cf\u7ea7&#xff0c;\u4e07\u53ea\u80a1\u7968\u7684\u56e0\u5b50\u8ba1\u7b97\u548c\u56de\u6d4b\u53ef\u4ee5\u5728\u5206\u949f\u7ea7\u5b8c\u6210\u3002<\/li>\n<li>\u7b56\u7565\u5f00\u53d1\u7684\u7075\u6d3b\u6027&#xff1a;\u6240\u6709\u6570\u636e\u5728\u672c\u5730&#xff0c;\u4f60\u53ef\u4ee5\u81ea\u7531\u7ec4\u5408\u56e0\u5b50\u3001\u8c03\u6574\u6743\u91cd\u3001\u4f18\u5316\u56de\u6d4b\u903b\u8f91&#xff0c;\u4e0d\u53d7\u4efb\u4f55\u5916\u90e8\u9650\u5236\u3002<\/li>\n<h4>4.2 \u7b56\u7565\u6269\u5c55\u65b9\u5411<\/h4>\n<p>\u672c\u6587\u5b9e\u73b0\u7684\u662f\u4e00\u4e2a\u57fa\u7840\u7248\u672c\u7684\u591a\u56e0\u5b50\u7b56\u7565&#xff0c;\u4f60\u53ef\u4ee5\u4ece\u4ee5\u4e0b\u65b9\u5411\u8fdb\u884c\u6269\u5c55&#xff1a;<\/p>\n<ul>\n<li>\u589e\u52a0\u56e0\u5b50&#xff1a;\u52a0\u5165\u52a8\u91cf\u56e0\u5b50&#xff08;20\u65e5\u6da8\u5e45&#xff09;\u3001\u6ce2\u52a8\u7387\u56e0\u5b50\u3001\u6362\u624b\u7387\u56e0\u5b50\u7b49<\/li>\n<li>\u56e0\u5b50\u52a0\u6743\u4f18\u5316&#xff1a;\u4f7f\u7528\u673a\u5668\u5b66\u4e60\u65b9\u6cd5&#xff08;\u5982\u7ebf\u6027\u56de\u5f52\u3001\u968f\u673a\u68ee\u6797\u3001XGBoost&#xff09;\u8fdb\u884c\u56e0\u5b50\u6743\u91cd\u4f18\u5316<\/li>\n<li>\u98ce\u9669\u63a7\u5236&#xff1a;\u52a0\u5165\u884c\u4e1a\u4e2d\u6027\u5316\u3001\u5e02\u503c\u4e2d\u6027\u5316\u5904\u7406&#xff0c;\u63a7\u5236\u7ec4\u5408\u7684\u884c\u4e1a\u66b4\u9732\u548c\u98ce\u683c\u66b4\u9732<\/li>\n<li>\u8c03\u4ed3\u4f18\u5316&#xff1a;\u4ece\u6708\u5ea6\u8c03\u4ed3\u6539\u4e3a\u5468\u5ea6\u6216\u65e5\u5ea6\u8c03\u4ed3&#xff0c;\u52a0\u5165\u4ea4\u6613\u6210\u672c\u548c\u6ed1\u70b9\u6a21\u62df<\/li>\n<li>\u9ad8\u9891\u4fe1\u53f7&#xff1a;\u4f7f\u7528ig50\u7684\u5206\u949f\u7ea7K\u7ebf&#xff08;time\/history\/trade\/{code}\/min&#xff09;\u548cL2\u6570\u636e\u6784\u5efa\u9ad8\u9891\u56e0\u5b50<\/li>\n<\/ul>\n<h4>4.3 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