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量化交易吧 /  数理科学 帖子:3354170 新帖:3

“行为金融学”预测结果分析1(更新: 2019/03/

美联储发表于:5 月 9 日 20:14回复(1)

2019/03/17: 观察了两周,没发现改数据 .  哪位大神会设计股指期货回测?

__biz=MzU2NDQ3NTI0OA==&mid=2247484082&idx=1&sn=c6dc788316ebc3ad7394bdc9415f8a47&chksm=f*b26adcb3cafbbf5*82bd341af8f9523f34b37caa88b1d8bce3c0232ca77d4700328a6610&token=1279847976?=zh_CN#rd

2019/02/28:

最近在读“行为金融学”方面的书, 对这方面比较感兴趣,也经常在网上和微信上查资料。 发现“行为金融学”方面的做法和量化界不同, 他们好像是通过互联网的问卷调查预测行情。 拿到问卷调查后怎么研究得出预测的就不太清楚了。就公布的预测结果来看,似乎挺有效。 在这篇文章里我把公布的预测结果拿到平台上来跑跑回测,分析一把:

1.预测结果获取
几个问卷调查预测网站里,找了下面这个预测中证500指数的。把网页下载下来存盘,上传聚宽的研究空间。

__biz=MzU2NDQ3NTI0OA==&mid=2247484048&idx=1&sn=d9cce02378d2fffbfa9069dd4b1fbb54&chksm=f*b268fcb3caf997d154171c06af4b7a822e45f5974421de036117a1916daa03da76e4aef3d&mpshare=1&scene=1&srcid=0228RGlUtu20VHHaBu2Ju9Mk&pass_ticket=GPnK4NUJ2KY/evQtBkBl9WzAjcv/XVNE0EcGOlagl2OgBVNmmWuLJT9keb5ktgja#rd

1.1写几行Python把HTML 文件内的Table读进来转成  dataframe

1.2还不知道怎么在回测空间内读文件。简单点,把dataframe 先转成JSON ,然后手工copy到回测代码里,如下:
Img
2.回测
以中证500指数000905.XSHG 为基准,按预测值每天开盘买卖000905.XSHG。 回测结果:

import pandas as pdwith open("../duyi.htm", "r") as f:s = f.read()df=pd.read_html(s)[0]df=df.set_index(df.columns[0]).sort_index()df['op']=0df.loc[df['操作']=='做多', 'op']=1df.loc[df['操作']=='做空', 'op']=-1df=df[['op']]s=df.to_json()print(s)
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            op
2016-11-01   0
2016-11-02   0
2016-11-03   0
2016-11-04   1
2016-11-07  -1
2016-11-08   0
2016-11-09   0
2016-11-10   0
2016-11-11   1
2016-11-14   1
2016-11-15   0
2016-11-16   0
2016-11-17  -1
2016-11-18   0
2016-11-21   0
2016-11-22   0
2016-11-23   0
2016-11-24   0
2016-11-25   0
2016-11-28   1
2016-11-29  -1
2016-11-30   0
2016-12-01   0
2016-12-02   0
2016-12-05   0
2016-12-06   0
2016-12-07  -1
2016-12-08   0
2016-12-09  -1
2016-12-12   0
...         ..
2019-01-11   0
2019-01-14  -1
2019-01-15   1
2019-01-16   1
2019-01-17   0
2019-01-18   1
2019-01-21   1
2019-01-22   1
2019-01-23   1
2019-01-24   0
2019-01-25   0
2019-01-28   0
2019-01-29   0
2019-01-30   1
2019-01-31   0
2019-02-01   0
2019-02-11   1
2019-02-12   1
2019-02-13   1
2019-02-14   1
2019-02-15   0
2019-02-18   1
2019-02-19   1
2019-02-20   0
2019-02-21   0
2019-02-22   1
2019-02-25   1
2019-02-26   1
2019-02-27   1
2019-02-28   1

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df.index
DatetimeIndex(['2016-11-01', '2016-11-02', '2016-11-03', '2016-11-04',
               '2016-11-07', '2016-11-08', '2016-11-09', '2016-11-10',
               '2016-11-11', '2016-11-14',
               ...
               '2019-02-15', '2019-02-18', '2019-02-19', '2019-02-20',
               '2019-02-21', '2019-02-22', '2019-02-25', '2019-02-26',
               '2019-02-27', '2019-02-28'],
              dtype='datetime64[ns]', length=568, freq=None)
with open("../duyi.htm", "r") as f:s = f.read()df=pd.read_html(s)[0]
df

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232019-01-214373.630.59%0.6722.859做多
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262019-01-164336.88-0.24%0.6662.813做多
272019-01-154347.361.42%0.6682.820做多
282019-01-144286.55-0.66%0.6592.781做空
292019-01-114314.880.77%0.6632.763平仓
.....................
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5572016-11-156640.460.38%1.0201.008平仓
5582016-11-146615.010.47%1.0161.008做多
5592016-11-116583.890.72%1.0121.003做多
5602016-11-106536.971.29%1.0040.996平仓
5612016-11-096453.57-0.76%0.9920.996平仓
5622016-11-086503.180.53%0.9990.996平仓
5632016-11-076468.820.10%0.9940.996做空
5642016-11-046462.59-0.33%0.9930.997做多
5652016-11-036483.730.44%0.9961.000平仓
5662016-11-026455.13-0.81%0.9921.000平仓
5672016-11-016507.950.00%1.0001.000平仓

568 rows × 6 columns

 

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