# 内置交易策略回测结果 测试内置的择时策略和选股策略 ## 回测参数 每种策略进行一次回测，回测区间苁1996年到2021年，测试使用默认策略参数，测试参数如下： * 回测区间起止日期：1996-04-13 —— 2021-04-13，持续25年 * 测试投资标的： “000001.SH”上证指数 * 业绩参考标准： “000001.SH”上证指数 ```python import qteasy as qt print(qt.__version__) ``` ## 均线类策略 --- ### Crossline交叉线策略 ```python import qteasy as qt op = qt.Operator(strategies=['crossline']) op.set_parameter(0, pars=(35, 120, 10, 'buy')) qt.configure(mode=1, print_backtest_log=False, riskfree_ir=0.025, invest_start='19960413', invest_end='20210413', asset_pool='000001.SH', asset_type='I', reference_asset='000001.SH') qt.configuration(up_to=5, default=True) ``` Key Current Default ------------------------------------------------ mode: 1 <1> asset_pool: 000001.SH <000300.SH> asset_type: I trade_batch_size: 0.0 <0.0> sell_batch_size: 0.0 <0.0> riskfree_ir: 0.025 <0.0035> parallel: False hist_dnld_parallel: 16 <16> hist_dnld_delay: None hist_dnld_delay_evy: None hist_dnld_prog_bar: None gpu: False hist_data_channel: local print_backtest_log: False reference_asset: 000001.SH <000300.SH> ref_asset_type: I ref_asset_dtype: close visual: True buy_sell_points: True show_positions: True cost_fixed_buy: 0 <0> cost_fixed_sell: 0 <0> cost_rate_buy: 0.0003 <0.0003> cost_rate_sell: 0.0001 <0.0001> cost_min_buy: 5.0 <5.0> cost_min_sell: 0.0 <0.0> cost_slippage: 0.0 <0.0> log: True trade_log: True invest_start: 19960413 <20160405> invest_end: 20210413 <20210201> invest_cash_amounts: [100000.0] <[100000.0]> invest_cash_dates: None allow_sell_short: False PT_buy_threshold: 0.03 <0.03> PT_sell_threshold: 0.03 <0.03> price_priority_OHLC: OHLC price_priority_quote: normal cash_deliver_period: 0 <0> stock_deliver_period: 1 <1> opti_start: 20160405 <20160405> opti_end: 20191231 <20191231> opti_cash_amounts: [100000.0] <[100000.0]> opti_cash_dates: None opti_type: single opti_sub_periods: 5 <5> opti_sub_prd_length: 0.6 <0.6> test_start: 20200106 <20200106> test_end: 20210201 <20210201> test_cash_amounts: [100000.0] <[100000.0]> test_cash_dates: None test_type: single test_indicators: years,fv,return,mdd,v,ref,alpha,beta,sharp,info indicator_plot_type: histo test_sub_periods: 3 <3> test_sub_prd_length: 0.75 <0.75> test_cycle_count: 100 <100> optimize_target: final_value maximize_target: True opti_method: 1 <1> opti_grid_size: 1 <1> opti_sample_count: 256 <256> opti_r_sample_count: 16 <16> opti_reduce_ratio: 0.1 <0.1> opti_max_rounds: 5 <5> opti_min_volume: 1000 <1000> opti_population: 1000.0 <1000.0> opti_img/output_count: 30 <30> ```python res = qt.run(op) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 38.3ms time consumption for operation back looping: 589.4ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 28 29 57 51.1% 0.0% 48.9% Total operation fee: ¥ 6,589.95 total investment amount: ¥ 100,000.00 final value: ¥1,015,064.41 Total return: 915.06% Avg Yearly return: 9.71% Skewness: -0.79 Kurtosis: 12.30 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.054 Beta: 0.851 Sharp ratio: 0.035 Info ratio: 0.002 250 day volatility: 0.158 Max drawdown: 46.31% peak / valley: 2015-06-12 / 2020-02-03 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_3_3.png) --- ### MACD策略 ```python op = qt.Operator(strategies=['macd']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 69.8ms time consumption for operation back looping: 587.5ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 219 219 438 52.3% 0.0% 47.7% Total operation fee: ¥ 64,593.15 total investment amount: ¥ 100,000.00 final value: ¥1,882,579.16 Total return: 1782.58% Avg Yearly return: 12.45% Skewness: -0.09 Kurtosis: 13.67 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.029 Beta: 0.996 Sharp ratio: 0.044 Info ratio: 0.010 250 day volatility: 0.161 Max drawdown: 38.50% peak / valley: 2008-01-14 / 2008-10-15 recovered on: 2009-07-20 ===========END OF REPORT============= ![png](../tutorials/img/output_4_3.png) --- ### DMA策略 ```python op = qt.Operator(strategies=['dma']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 7.0ms time consumption for operation back looping: 572.0ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 209 209 418 51.3% 0.0% 48.7% Total operation fee: ¥ 41,939.60 total investment amount: ¥ 100,000.00 final value: ¥1,123,321.41 Total return: 1023.32% Avg Yearly return: 10.15% Skewness: -0.34 Kurtosis: 13.64 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.002 Beta: 0.998 Sharp ratio: 0.035 Info ratio: 0.003 250 day volatility: 0.162 Max drawdown: 42.24% peak / valley: 2007-10-16 / 2009-01-15 recovered on: 2015-03-30 ===========END OF REPORT============= ![png](../tutorials/img/output_5_3.png) --- ### TRIX 策略 ```python op = qt.Operator(strategies=['trix']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 53.6ms time consumption for operation back looping: 568.4ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 47 46 93 51.8% 0.0% 48.2% Total operation fee: ¥ 6,628.99 total investment amount: ¥ 100,000.00 final value: ¥ 647,405.62 Total return: 547.41% Avg Yearly return: 7.75% Skewness: -0.87 Kurtosis: 12.33 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.022 Beta: 0.998 Sharp ratio: 0.023 Info ratio: -0.004 250 day volatility: 0.166 Max drawdown: 39.82% peak / valley: 2015-06-12 / 2019-01-03 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_6_3.png) --- ## K线模式识别策略 ### CDL 策略 ```python op = qt.Operator(strategies=['cdl']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local filesHrom 19950531 to 20210413 /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 63.2ms time consumption for operation back looping: 705.2ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 1 0 1 100.0% 0.0% 0.0% Total operation fee: ¥ 29.99 total investment amount: ¥ 100,000.00 final value: ¥ 580,746.64 Total return: 480.75% Avg Yearly return: 7.29% Skewness: -0.24 Kurtosis: 5.19 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.000 Beta: 1.000 Sharp ratio: 0.021 Info ratio: -0.003 250 day volatility: 0.240 Max drawdown: 71.98% peak / valley: 2007-10-16 / 2008-11-04 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_7_3.png) --- ## 动量类策略 ### Bollinger Band策略 ```python op = qt.Operator(strategies=['bband'], signal_type='ps') res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 31.9ms time consumption for operation back looping: 369.0ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 91 62 153 49.4% 0.0% 50.6% Total operation fee: ¥ 27,102.22 total investment amount: ¥ 100,000.00 final value: ¥2,648,108.21 Total return: 2548.11% Avg Yearly return: 14.00% Skewness: -0.42 Kurtosis: 14.09 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.036 Beta: 1.000 Sharp ratio: 0.039 Info ratio: 0.015 250 day volatility: 0.156 Max drawdown: 30.62% peak / valley: 1996-12-09 / 1996-12-24 recovered on: 1997-04-04 ===========END OF REPORT============= ![png](../tutorials/img/output_8_3.png) ### S-BBAND 策略 ```python op = qt.Operator(strategies=['s-bband'], signal_type='ps') res = qt.run(op, mode=1, print_backtest_log=False) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 31.9ms time consumption for operation back looping: 413.1ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 334 282 616 99.9% 0.0% 0.1% Total operation fee: ¥ 6,741.51 total investment amount: ¥ 100,000.00 final value: ¥1,265,109.72 Total return: 1165.11% Avg Yearly return: 10.68% Skewness: -0.97 Kurtosis: 21.03 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.092 Beta: 1.941 Sharp ratio: 0.030 Info ratio: 0.004 250 day volatility: 0.117 Max drawdown: 30.62% peak / valley: 1996-12-09 / 1996-12-24 recovered on: 1997-04-04 ===========END OF REPORT============= ![png](../tutorials/img/output_9_3.png) ### SAREXT 策略 ```python op = qt.Operator(strategies=['sarext']) qt.configuration() ``` Key Current ------------------------------------- mode: 1 asset_pool: 000001.SH asset_type: I invest_start: 19960413 invest_end: 20210413 opti_start: 20160405 opti_end: 20191231 test_start: 20200106 test_end: 20210201 ```python op = qt.Operator(strategies=['ssma']) res = qt.run(op, mode=1, printlog=True) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 26.7ms time consumption for operation back looping: 568.0ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 354 353 707 53.6% 0.0% 46.4% Total operation fee: ¥ 284,858.42 total investment amount: ¥ 100,000.00 final value: ¥5,001,064.13 Total return: 4901.06% Avg Yearly return: 16.93% Skewness: -0.22 Kurtosis: 12.77 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.077 Beta: 0.993 Sharp ratio: 0.055 Info ratio: 0.023 250 day volatility: 0.157 Max drawdown: 30.99% peak / valley: 2007-10-16 / 2009-01-15 recovered on: 2009-06-26 ===========END OF REPORT============= ## 单均线交叉类测路 ### DEMA 单均线交叉策略 ![png](../tutorials/img/output_11_3.png) ```python op = qt.Operator(strategies=['sdema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 35.8ms time consumption for operation back looping: 574.1ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 674 673 1347 52.4% 0.0% 47.6% Total operation fee: ¥ 246,258.42 total investment amount: ¥ 100,000.00 final value: ¥1,842,314.74 Total return: 1742.31% Avg Yearly return: 12.35% Skewness: 0.26 Kurtosis: 14.54 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.013 Beta: 0.990 Sharp ratio: 0.042 Info ratio: 0.010 250 day volatility: 0.158 Max drawdown: 37.01% peak / valley: 2007-10-16 / 2008-11-04 recovered on: 2009-07-03 ===========END OF REPORT============= ![png](../tutorials/img/output_12_3.png) ### EMA 单均线交叉策略 ```python op = qt.Operator(strategies=['sema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 28.2ms time consumption for operation back looping: 578.1ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 377 376 753 53.6% 0.0% 46.4% Total operation fee: ¥ 352,080.66 total investment amount: ¥ 100,000.00 final value: ¥5,568,823.83 Total return: 5468.82% Avg Yearly return: 17.44% Skewness: -0.28 Kurtosis: 12.83 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.082 Beta: 0.993 Sharp ratio: 0.055 Info ratio: 0.025 250 day volatility: 0.158 Max drawdown: 29.29% peak / valley: 2007-10-16 / 2009-01-15 recovered on: 2009-06-29 ===========END OF REPORT============= ![png](../tutorials/img/output_13_3.png) ### HT_TRENDLINE 单均线交叉策略 ```python op = qt.Operator(strategies=['sht']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 134.2ms time consumption for operation back looping: 580.6ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 246 245 491 54.4% 0.0% 45.6% Total operation fee: ¥ 213,484.06 total investment amount: ¥ 100,000.00 final value: ¥5,258,142.09 Total return: 5158.14% Avg Yearly return: 17.17% Skewness: -0.39 Kurtosis: 12.61 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.077 Beta: 0.995 Sharp ratio: 0.052 Info ratio: 0.025 250 day volatility: 0.160 Max drawdown: 22.35% peak / valley: 1997-05-12 / 1997-12-18 recovered on: 1999-05-27 ===========END OF REPORT============= ![png](../tutorials/img/output_14_3.png) ### KAMA 单均线交叉策略 ```python op = qt.Operator(strategies=['skama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 30.9ms time consumption for operation back looping: 571.5ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 331 330 661 50.7% 0.0% 49.3% Total operation fee: ¥ 122,059.97 total investment amount: ¥ 100,000.00 final value: ¥1,534,788.53 Total return: 1434.79% Avg Yearly return: 11.54% Skewness: -0.32 Kurtosis: 14.09 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.012 Beta: 0.992 Sharp ratio: 0.037 Info ratio: 0.007 250 day volatility: 0.154 Max drawdown: 34.72% peak / valley: 2007-10-16 / 2008-11-11 recovered on: 2009-07-20 ===========END OF REPORT============= ![png](../tutorials/img/output_15_3.png) ### MAMA 单均线交叉策略 ```python op = qt.Operator(strategies=['smama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 144.5ms time consumption for operation back looping: 615.7ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 494 493 987 53.2% 0.0% 46.8% Total operation fee: ¥ 331,123.13 total investment amount: ¥ 100,000.00 final value: ¥3,839,038.80 Total return: 3739.04% Avg Yearly return: 15.70% Skewness: -0.11 Kurtosis: 13.87 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.055 Beta: 0.990 Sharp ratio: 0.048 Info ratio: 0.019 250 day volatility: 0.157 Max drawdown: 25.57% peak / valley: 2015-07-23 / 2018-12-14 recovered on: 2020-07-06 ===========END OF REPORT============= ![png](../tutorials/img/output_16_3.png) ### FAMA 单均线交叉策略 ```python op = qt.Operator(strategies=['sfama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 141.6ms time consumption for operation back looping: 576.0ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 269 268 537 53.0% 0.0% 47.0% Total operation fee: ¥ 165,473.25 total investment amount: ¥ 100,000.00 final value: ¥3,287,553.28 Total return: 3187.55% Avg Yearly return: 14.99% Skewness: -0.57 Kurtosis: 13.75 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.051 Beta: 0.994 Sharp ratio: 0.045 Info ratio: 0.018 250 day volatility: 0.159 Max drawdown: 34.66% peak / valley: 2015-06-12 / 2016-06-24 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_17_3.png) ### T3 单均线交叉策略 ```python op = qt.Operator(strategies=['st3']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 29.9ms time consumption for operation back looping: 637.2ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 292 291 583 53.6% 0.0% 46.4% Total operation fee: ¥ 247,511.22 total investment amount: ¥ 100,000.00 final value: ¥4,541,825.83 Total return: 4441.83% Avg Yearly return: 16.48% Skewness: -0.36 Kurtosis: 13.34 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.075 Beta: 0.994 Sharp ratio: 0.054 Info ratio: 0.022 250 day volatility: 0.158 Max drawdown: 28.46% peak / valley: 2007-10-16 / 2009-01-15 recovered on: 2009-06-18 ===========END OF REPORT============= ![png](../tutorials/img/output_18_3.png) ### TEMA 单均线交叉策略 ```python op = qt.Operator(strategies=['stema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 40.6ms time consumption for operation back looping: 594.2ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 1109 1109 2218 49.7% 0.0% 50.3% Total operation fee: ¥ 459,406.79 total investment amount: ¥ 100,000.00 final value: ¥3,555,180.77 Total return: 3455.18% Avg Yearly return: 15.35% Skewness: 0.26 Kurtosis: 13.93 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.049 Beta: 0.989 Sharp ratio: 0.056 Info ratio: 0.020 250 day volatility: 0.167 Max drawdown: 36.31% peak / valley: 2008-01-17 / 2008-09-18 recovered on: 2009-05-04 ===========END OF REPORT============= ![png](../tutorials/img/output_19_3.png) ### TRIMA 单均线交叉策略 ```python op = qt.Operator(strategies=['strima']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 27.7ms time consumption for operation back looping: 575.1ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 387 386 773 53.8% 0.0% 46.2% Total operation fee: ¥ 154,195.86 total investment amount: ¥ 100,000.00 final value: ¥1,919,160.49 Total return: 1819.16% Avg Yearly return: 12.54% Skewness: -0.25 Kurtosis: 12.93 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.030 Beta: 0.991 Sharp ratio: 0.038 Info ratio: 0.010 250 day volatility: 0.157 Max drawdown: 41.48% peak / valley: 2007-10-16 / 2009-01-15 recovered on: 2014-11-25 ===========END OF REPORT============= ![png](../tutorials/img/output_20_3.png) ### WMA 单均线交叉策略 ```python op = qt.Operator(strategies=['swma']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 26.5ms time consumption for operation back looping: 592.4ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 497 496 993 53.1% 0.0% 46.9% Total operation fee: ¥ 216,059.32 total investment amount: ¥ 100,000.00 final value: ¥2,310,899.63 Total return: 2210.90% Avg Yearly return: 13.38% Skewness: -0.12 Kurtosis: 14.11 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.030 Beta: 0.990 Sharp ratio: 0.039 Info ratio: 0.013 250 day volatility: 0.157 Max drawdown: 31.63% peak / valley: 2015-06-12 / 2018-12-14 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_21_3.png) ## 双均线交叉交易策略类 ### SMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dsma']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 38.5ms time consumption for operation back looping: 593.5ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 33 33 66 54.1% 0.0% 45.9% Total operation fee: ¥ 8,073.73 total investment amount: ¥ 100,000.00 final value: ¥1,282,102.43 Total return: 1182.10% Avg Yearly return: 10.74% Skewness: -0.79 Kurtosis: 11.82 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.003 Beta: 0.918 Sharp ratio: 0.033 Info ratio: 0.006 250 day volatility: 0.164 Max drawdown: 37.77% peak / valley: 2015-06-12 / 2016-01-07 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_22_3.png) ### DEMA 双均线交叉策略 ```python op = qt.Operator(strategies=['ddema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 50.2ms time consumption for operation back looping: 576.0ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 62 61 123 53.9% 0.0% 46.1% Total operation fee: ¥ 13,708.33 total investment amount: ¥ 100,000.00 final value: ¥ 934,220.81 Total return: 834.22% Avg Yearly return: 9.35% Skewness: -0.63 Kurtosis: 12.39 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.001 Beta: 0.998 Sharp ratio: 0.022 Info ratio: 0.001 250 day volatility: 0.167 Max drawdown: 49.41% peak / valley: 2007-10-16 / 2008-11-04 recovered on: 2009-07-27 ===========END OF REPORT============= ![png](../tutorials/img/output_23_3.png) ### EMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 40.9ms time consumption for operation back looping: 581.4ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 152 151 303 53.5% 0.0% 46.5% Total operation fee: ¥ 79,796.95 total investment amount: ¥ 100,000.00 final value: ¥2,743,507.81 Total return: 2643.51% Avg Yearly return: 14.16% Skewness: -0.60 Kurtosis: 13.19 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.047 Beta: 0.996 Sharp ratio: 0.043 Info ratio: 0.016 250 day volatility: 0.161 Max drawdown: 31.93% peak / valley: 2015-06-12 / 2019-01-17 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_24_3.png) ### KAMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dkama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 42.3ms time consumption for operation back looping: 585.2ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 44 45 89 53.1% 0.0% 46.9% Total operation fee: ¥ 8,105.82 total investment amount: ¥ 100,000.00 final value: ¥1,070,862.54 Total return: 970.86% Avg Yearly return: 9.94% Skewness: -0.71 Kurtosis: 11.98 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.128 Beta: 0.724 Sharp ratio: 0.050 Info ratio: 0.003 250 day volatility: 0.159 Max drawdown: 39.87% peak / valley: 2009-08-04 / 2013-12-26 recovered on: 2015-03-23 ===========END OF REPORT============= ![png](../tutorials/img/output_25_3.png) ### MAMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dmama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 270.6ms time consumption for operation back looping: 580.8ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 137 136 273 53.3% 0.0% 46.7% Total operation fee: ¥ 80,851.94 total investment amount: ¥ 100,000.00 final value: ¥2,574,675.59 Total return: 2474.68% Avg Yearly return: 13.87% Skewness: -0.70 Kurtosis: 13.43 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.045 Beta: 0.997 Sharp ratio: 0.038 Info ratio: 0.015 250 day volatility: 0.161 Max drawdown: 39.49% peak / valley: 2015-06-12 / 2020-06-15 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_26_3.png) ### FAMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dfama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 258.3ms time consumption for operation back looping: 547.5ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 58 57 115 52.3% 0.0% 47.7% Total operation fee: ¥ 23,184.64 total investment amount: ¥ 100,000.00 final value: ¥1,764,779.73 Total return: 1664.78% Avg Yearly return: 12.16% Skewness: -0.69 Kurtosis: 12.85 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.031 Beta: 0.997 Sharp ratio: 0.027 Info ratio: 0.010 250 day volatility: 0.160 Max drawdown: 46.06% peak / valley: 2015-06-12 / 2020-06-15 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_27_3.png) ### T3 双均线交叉策略 ```python op = qt.Operator(strategies=['dt3']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 42.1ms time consumption for operation back looping: 572.4ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 118 118 236 52.8% 0.0% 47.2% Total operation fee: ¥ 32,440.65 total investment amount: ¥ 100,000.00 final value: ¥1,286,985.75 Total return: 1186.99% Avg Yearly return: 10.76% Skewness: -0.73 Kurtosis: 13.19 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.008 Beta: 0.997 Sharp ratio: 0.030 Info ratio: 0.006 250 day volatility: 0.164 Max drawdown: 38.98% peak / valley: 2007-10-16 / 2009-01-21 recovered on: 2009-07-24 ===========END OF REPORT============= ![png](../tutorials/img/output_28_3.png) ### TEMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dtema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 64.3ms time consumption for operation back looping: 585.0ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 497 496 993 49.8% 0.0% 50.2% Total operation fee: ¥ 145,631.11 total investment amount: ¥ 100,000.00 final value: ¥1,805,256.44 Total return: 1705.26% Avg Yearly return: 12.26% Skewness: 0.29 Kurtosis: 15.36 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.003 Beta: 0.993 Sharp ratio: 0.044 Info ratio: 0.009 250 day volatility: 0.158 Max drawdown: 44.01% peak / valley: 2007-10-31 / 2008-11-04 recovered on: 2011-02-14 ===========END OF REPORT============= ![png](../tutorials/img/output_29_3.png) ### TRIMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dtrima']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 38.3ms time consumption for operation back looping: 550.6ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 34 34 68 52.3% 0.0% 47.7% Total operation fee: ¥ 9,376.42 total investment amount: ¥ 100,000.00 final value: ¥1,448,674.20 Total return: 1348.67% Avg Yearly return: 11.28% Skewness: -0.68 Kurtosis: 11.80 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.069 Beta: 0.805 Sharp ratio: 0.043 Info ratio: 0.008 250 day volatility: 0.161 Max drawdown: 39.98% peak / valley: 2015-06-12 / 2020-03-23 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_30_3.png) ### WMA 双均线交叉策略 ```python op = qt.Operator(strategies=['dwma']) op.set_parameter(0, pars=(200, 22)) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 35.3ms time consumption for operation back looping: 556.8ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 33 34 67 53.7% 0.0% 46.3% Total operation fee: ¥ 9,293.27 total investment amount: ¥ 100,000.00 final value: ¥1,439,770.26 Total return: 1339.77% Avg Yearly return: 11.25% Skewness: -0.79 Kurtosis: 11.81 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.008 Beta: 0.924 Sharp ratio: 0.036 Info ratio: 0.008 250 day volatility: 0.161 Max drawdown: 36.23% peak / valley: 2009-08-04 / 2013-12-26 recovered on: 2014-12-31 ===========END OF REPORT============= ![png](../tutorials/img/output_31_3.png) ## 均线斜率回归策略类 ### SMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['slsma']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 23.8ms time consumption for operation back looping: 572.2ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 180 179 359 52.3% 0.0% 47.7% Total operation fee: ¥ 76,876.35 total investment amount: ¥ 100,000.00 final value: ¥2,212,725.86 Total return: 2112.73% Avg Yearly return: 13.18% Skewness: -0.65 Kurtosis: 12.88 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.040 Beta: 0.996 Sharp ratio: 0.029 Info ratio: 0.013 250 day volatility: 0.158 Max drawdown: 44.26% peak / valley: 2009-08-04 / 2014-07-10 recovered on: 2015-03-30 ===========END OF REPORT============= ![png](../tutorials/img/output_32_3.png) ### DEMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['sldema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 30.5ms time consumption for operation back looping: 574.3ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 292 291 583 53.5% 0.0% 46.5% Total operation fee: ¥ 322,499.81 total investment amount: ¥ 100,000.00 final value: ¥6,003,557.59 Total return: 5903.56% Avg Yearly return: 17.79% Skewness: -0.32 Kurtosis: 13.04 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.089 Beta: 0.994 Sharp ratio: 0.057 Info ratio: 0.026 250 day volatility: 0.158 Max drawdown: 25.23% peak / valley: 1997-05-12 / 1997-08-11 recovered on: 1999-05-24 ===========END OF REPORT============= ![png](../tutorials/img/output_33_3.png) ### EMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['slema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 25.4ms time consumption for operation back looping: 599.7ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 232 231 463 53.3% 0.0% 46.7% Total operation fee: ¥ 171,936.08 total investment amount: ¥ 100,000.00 final value: ¥4,069,320.46 Total return: 3969.32% Avg Yearly return: 15.97% Skewness: -0.49 Kurtosis: 13.53 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.067 Beta: 0.994 Sharp ratio: 0.046 Info ratio: 0.021 250 day volatility: 0.156 Max drawdown: 26.81% peak / valley: 2007-10-16 / 2009-01-16 recovered on: 2009-06-18 ===========END OF REPORT============= ![png](../tutorials/img/output_34_3.png) ### HT_TRENDLINE 均线斜率回归策略 ```python op = qt.Operator(strategies=['slht']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 129.4ms time consumption for operation back looping: 580.4ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 186 185 371 53.1% 0.0% 46.9% Total operation fee: ¥ 78,314.29 total investment amount: ¥ 100,000.00 final value: ¥2,313,301.46 Total return: 2213.30% Avg Yearly return: 13.38% Skewness: -0.67 Kurtosis: 13.57 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.042 Beta: 0.997 Sharp ratio: 0.038 Info ratio: 0.014 250 day volatility: 0.162 Max drawdown: 32.27% peak / valley: 2009-08-04 / 2012-11-07 recovered on: 2014-12-02 ===========END OF REPORT============= ![png](../tutorials/img/output_35_3.png) ### KAMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['slkama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 24.5ms time consumption for operation back looping: 566.7ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 221 220 441 49.3% 0.0% 50.7% Total operation fee: ¥ 91,979.22 total investment amount: ¥ 100,000.00 final value: ¥2,145,109.68 Total return: 2045.11% Avg Yearly return: 13.04% Skewness: -0.36 Kurtosis: 14.19 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.029 Beta: 0.993 Sharp ratio: 0.040 Info ratio: 0.011 250 day volatility: 0.150 Max drawdown: 32.78% peak / valley: 2007-10-16 / 2008-12-23 recovered on: 2009-07-06 ===========END OF REPORT============= ![png](../tutorials/img/output_36_3.png) ### MAMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['slmama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 133.8ms time consumption for operation back looping: 578.8ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 494 493 987 53.2% 0.0% 46.8% Total operation fee: ¥ 331,123.13 total investment amount: ¥ 100,000.00 final value: ¥3,839,038.80 Total return: 3739.04% Avg Yearly return: 15.70% Skewness: -0.11 Kurtosis: 13.87 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.055 Beta: 0.990 Sharp ratio: 0.048 Info ratio: 0.019 250 day volatility: 0.157 Max drawdown: 25.57% peak / valley: 2015-07-23 / 2018-12-14 recovered on: 2020-07-06 ===========END OF REPORT============= ![png](../tutorials/img/output_37_3.png) ### FAMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['slfama']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 139.5ms time consumption for operation back looping: 588.8ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 121 120 241 52.9% 0.0% 47.1% Total operation fee: ¥ 34,547.45 total investment amount: ¥ 100,000.00 final value: ¥1,187,917.00 Total return: 1087.92% Avg Yearly return: 10.40% Skewness: -0.75 Kurtosis: 13.33 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.007 Beta: 0.997 Sharp ratio: 0.027 Info ratio: 0.004 250 day volatility: 0.163 Max drawdown: 47.92% peak / valley: 2015-06-12 / 2020-06-15 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_38_3.png) ### T3 均线斜率回归策略 ```python op = qt.Operator(strategies=['slt3']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 24.6ms time consumption for operation back looping: 554.0ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 106 106 212 53.1% 0.0% 46.9% Total operation fee: ¥ 23,376.58 total investment amount: ¥ 100,000.00 final value: ¥ 984,738.14 Total return: 884.74% Avg Yearly return: 9.58% Skewness: -0.73 Kurtosis: 13.29 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: -0.002 Beta: 0.997 Sharp ratio: 0.027 Info ratio: 0.002 250 day volatility: 0.163 Max drawdown: 35.69% peak / valley: 2007-10-16 / 2009-01-21 recovered on: 2009-07-15 ===========END OF REPORT============= ![png](../tutorials/img/output_39_3.png) ### TEMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['sltema']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 25.1ms time consumption for operation back looping: 627.7ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 637 636 1273 53.4% 0.0% 46.6% Total operation fee: ¥ 271,491.57 total investment amount: ¥ 100,000.00 final value: ¥2,071,418.67 Total return: 1971.42% Avg Yearly return: 12.88% Skewness: -0.07 Kurtosis: 13.77 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.028 Beta: 0.989 Sharp ratio: 0.035 Info ratio: 0.011 250 day volatility: 0.159 Max drawdown: 40.19% peak / valley: 2015-07-13 / 2018-12-14 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_40_3.png) ### TRIMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['sltrima']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 23.8ms time consumption for operation back looping: 554.7ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 84 83 167 53.7% 0.0% 46.3% Total operation fee: ¥ 18,479.00 total investment amount: ¥ 100,000.00 final value: ¥1,124,468.69 Total return: 1024.47% Avg Yearly return: 10.16% Skewness: -0.77 Kurtosis: 12.34 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.002 Beta: 0.997 Sharp ratio: 0.023 Info ratio: 0.004 250 day volatility: 0.166 Max drawdown: 39.94% peak / valley: 2007-10-16 / 2008-12-31 recovered on: 2010-10-25 ===========END OF REPORT============= ![png](../tutorials/img/output_41_3.png) ### WMA 均线斜率回归策略 ```python op = qt.Operator(strategies=['slwma']) res = qt.run(op, mode=1) ``` Progress: [########################################] 1/1. 100.0% Extracting data local files /Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created! warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning) ==================================== | | | BACK TESTING RESULT | | | ==================================== qteasy running mode: 1 - History back testing time consumption for operate signal creation: 23.2ms time consumption for operation back looping: 601.8ms investment starts on 1996-04-15 00:00:00 ends on 2021-04-13 00:00:00 Total looped periods: 25.0 years. -------------operation summary:------------ Sell Cnt Buy Cnt Total Long pct Short pct Empty pct 000001.SH 111 111 222 54.0% 0.0% 46.0% Total operation fee: ¥ 33,484.92 total investment amount: ¥ 100,000.00 final value: ¥1,433,746.89 Total return: 1333.75% Avg Yearly return: 11.23% Skewness: -0.69 Kurtosis: 12.70 Benchmark return: 480.92% Benchmark Yearly return: 7.29% ------strategy loop_results indicators------ alpha: 0.022 Beta: 0.991 Sharp ratio: 0.025 Info ratio: 0.008 250 day volatility: 0.160 Max drawdown: 39.66% peak / valley: 2015-06-12 / 2020-06-16 recovered on: Not recovered! ===========END OF REPORT============= ![png](../tutorials/img/output_42_3.png) ```python ```