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基于TLS回归与协整关系检验的国债期货统计套利策略

有事您说话发表于:7 月 14 日 18:14回复(1)
bd = '2018-01-01'
ed = '2019-06-30'
f = '1m'
df_TF = get_price('TF9999.CCFX', start_date=bd, end_date=ed, frequency=f)
df_T = get_price('T9999.CCFX', start_date=bd, end_date=ed, frequency=f)
print(df_T.head())
print(df_TF.head())
                       open   close     ...       volume        money
2018-01-02 09:16:00  93.170  93.160     ...        702.0  654121150.0
2018-01-02 09:17:00  93.160  93.185     ...        247.0  230133200.0
2018-01-02 09:18:00  93.185  93.175     ...        136.0  126711500.0
2018-01-02 09:19:00  93.175  93.175     ...         65.0   60562350.0
2018-01-02 09:20:00  93.170  93.185     ...         92.0   85724050.0

[5 rows x 6 columns]
                       open   close     ...       volume        money
2018-01-02 09:16:00  96.600  96.610     ...        144.0  139122550.0
2018-01-02 09:17:00  96.605  96.615     ...        104.0  100470150.0
2018-01-02 09:18:00  96.615  96.605     ...         80.0   77284300.0
2018-01-02 09:19:00  96.605  96.605     ...         52.0   50232950.0
2018-01-02 09:20:00  96.605  96.605     ...         51.0   49266750.0

[5 rows x 6 columns]
import statsmodels.tsa.stattools as ts
def tls_reg(x, y):
    mx = np.mean(x)
    my = np.mean(y)
    c0 = np.sum((x - mx) * (y - my))
    if c0 != 0:
        c1 = np.sum((x - mx) ** 2 - (y - my) ** 2)
        c2 = -c0
        k = (-c1 + (c1 ** 2 - 4 * c0 * c2) ** (1 / 2)) / (2 * c0)

        b = my - mx * k
        resid = y - k * x - b
        if ts.adfuller(resid)[1] <= 0.05:
            adf_r = 1
        else:
            adf_r = 0
    else:
        adf_r = 0
        k = 0
        b = 0
        resid = None
    return adf_r, k, b, resid
import numpy as np
close1 = df_T.close.values
close2 = df_TF.close.values
time_arr = df_T.index.values
spread = close1 - close2
k_window = 30
k_std_open = 4
fee = 12
slip = 0.005
multipilier = 10000
tradetimes = 0
lth = len(df_T.index)
holding1 = np.full((lth,), 0.)
holding2 = np.full((lth,), 0.)
entryprice1 = np.full((lth,), 0.)
entryprice2 = np.full((lth,), 0.)
profit1 = np.full((lth,), 0.)
profit2 = np.full((lth,), 0.)
buy_left = sell_right = sell_left = buy_right = None
for i in range(k_window + 1, lth):
    holding1[i] = holding1[i - 1]
    holding2[i] = holding2[i - 1]
     # calculate trading signal
    if holding1[i] == 0:
        if close1[i] > close2[i]:
            adf_r, k, b, resid = tls_reg(close2[i - k_window:i], close1[i - k_window:i])
            spread = k_std_open * np.std(resid, ddof = 1)
            if close1[i] - k*close2[i] - b >= spread:
                sell_left = 1
                buy_right = 1
        elif close1[i] < close2[i]:
            adf_r, k, b, resid = tls_reg(close1[i - k_window:i], close2[i - k_window:i])
            spread = k_std_open * np.std(resid, ddof = 1)
            if close2[i] - k*close1[i] - b >= spread:
                sell_right = 1
                buy_left = 1
    elif holding1[i] != 0:
        if holding1[i] < 0:
            adf_r, k, b, resid = tls_reg(close2[i - k_window:i], close1[i - k_window:i])
            if close1[i] - k*close2[i] - b <= spread/2 or close1[i] - k*close2[i] - b >= 2*spread:
                buy_left = 1
                sell_right = 1
        elif holding1[i] > 0:
            if close2[i] - k*close1[i] - b <= spread/2 or close2[i] - k*close1[i] - b >= 2*spread:
                sell_left = 1
                buy_right = 1 
    
    #  calculate trading profit
    if holding1[i] == 0:
        if buy_left == 1 and sell_right == 1:
            entryprice1 = close1[i]
            entryprice2 = close2[i]
            profit1[i] = - fee 
            profit2[i] = - fee 
            holding1[i] = 1
            holding2[i] = -1
            buy_left = sell_right = 0
            print(time_arr[i], spread, 'long T, short TF')
        elif sell_left == 1 and buy_right == 1:
            entryprice1 = close1[i]
            entryprice2 = close2[i]
            profit1[i] = - fee 
            profit2[i] = - fee 
            holding1[i] = -1
            holding2[i] = 1
            sell_left = buy_right = 0
            print(time_arr[i], spread, 'short T, long TF')
    elif holding1[i] < 0:
        if buy_left == 1 and sell_right == 1:
            profit1[i] = - fee + multipilier * (close1[i - 1] - close1[i])
            profit2[i] = - fee + multipilier * (close2[i] - close2[i - 1])
            holding1[i] = 0
            holding2[i] = 0
            buy_left = sell_right = 0
            print(time_arr[i], spread, 'long T, short TF')
        elif buy_left == 0 and sell_right == 0:
            profit1[i] = multipilier * (close1[i - 1] - close1[i])
            profit2[i] = multipilier * (close2[i] - close2[i - 1])
    elif holding1[i] > 0:
        if sell_left == 1 and buy_right == 1:
            profit1[i] = - fee + multipilier * (close1[i] - close1[i - 1])
            profit2[i] = - fee + multipilier * (close2[i - 1] - close2[i])
            holding1[i] = 0
            holding2[i] = 0
            sell_left = buy_right = 0
            print(time_arr[i], spread, 'short T, long TF')
        elif sell_left == 0 and buy_right == 0:
            profit1[i] = multipilier * (close1[i] - close1[i - 1])
            profit2[i] = multipilier * (close2[i - 1] - close2[i])
2018-01-02T13:43:00.000000000 0.00805278887241811 long T, short TF
2018-01-02T13:58:00.000000000 0.00805278887241811 short T, long TF
2018-01-03T13:46:00.000000000 0.013093549379143138 long T, short TF
2018-01-03T13:52:00.000000000 0.013093549379143138 short T, long TF
2018-01-08T09:17:00.000000000 0.015996153898559497 long T, short TF
2018-01-08T09:19:00.000000000 0.015996153898559497 short T, long TF
2018-01-08T13:06:00.000000000 0.010493580389812296 long T, short TF
2018-01-08T13:08:00.000000000 0.010493580389812296 short T, long TF
2018-01-08T14:42:00.000000000 0.01506476605865818 long T, short TF
2018-01-08T14:50:00.000000000 0.01506476605865818 short T, long TF
2018-01-10T09:16:00.000000000 0.022382310529626272 long T, short TF
2018-01-10T09:17:00.000000000 0.022382310529626272 short T, long TF
2018-01-10T13:52:00.000000000 0.010325063255201555 long T, short TF
2018-01-10T13:57:00.000000000 0.010325063255201555 short T, long TF
2018-01-17T09:20:00.000000000 0.022009785153703026 long T, short TF
2018-01-17T09:24:00.000000000 0.022009785153703026 short T, long TF
2018-01-18T10:00:00.000000000 0.012999661114645804 long T, short TF
2018-01-18T10:15:00.000000000 0.012999661114645804 short T, long TF
2018-01-18T10:53:00.000000000 0.011753495713242022 long T, short TF
2018-01-18T10:54:00.000000000 0.011753495713242022 short T, long TF
2018-01-22T13:22:00.000000000 0.009717111310182987 long T, short TF
2018-01-22T13:27:00.000000000 0.009717111310182987 short T, long TF
2018-01-23T09:16:00.000000000 0.015393644488357516 long T, short TF
2018-01-23T09:18:00.000000000 0.015393644488357516 short T, long TF
2018-01-24T09:16:00.000000000 0.022487012406657562 long T, short TF
2018-01-24T09:39:00.000000000 0.022487012406657562 short T, long TF
2018-01-24T13:13:00.000000000 0.014247114277039608 long T, short TF
2018-01-24T13:16:00.000000000 0.014247114277039608 short T, long TF
2018-01-25T14:29:00.000000000 0.011383344799379821 long T, short TF
2018-01-25T14:32:00.000000000 0.011383344799379821 short T, long TF
2018-01-26T10:45:00.000000000 0.020106490173580707 long T, short TF
2018-01-26T11:19:00.000000000 0.020106490173580707 short T, long TF
2018-01-29T09:16:00.000000000 0.015695494185587418 long T, short TF
2018-01-29T09:17:00.000000000 0.015695494185587418 short T, long TF
2018-01-29T13:36:00.000000000 0.014769819978253565 long T, short TF
2018-01-29T13:40:00.000000000 0.014769819978253565 short T, long TF
2018-01-31T13:10:00.000000000 0.011307146067324138 long T, short TF
2018-01-31T13:16:00.000000000 0.011307146067324138 short T, long TF
2018-02-01T13:28:00.000000000 0.020338117909817873 long T, short TF
2018-02-01T13:30:00.000000000 0.020338117909817873 short T, long TF
2018-02-05T10:29:00.000000000 0.0073105423612414445 long T, short TF
2018-02-05T10:30:00.000000000 0.0073105423612414445 short T, long TF
2018-02-08T11:08:00.000000000 0.025372832865384592 long T, short TF
2018-02-08T11:20:00.000000000 0.025372832865384592 short T, long TF
2018-02-12T11:14:00.000000000 0.01924792806510862 long T, short TF
2018-02-12T14:09:00.000000000 0.01924792806510862 short T, long TF
2018-02-12T15:15:00.000000000 0.03924600946974552 long T, short TF
2018-02-13T09:16:00.000000000 0.03924600946974552 short T, long TF
2018-02-13T10:28:00.000000000 0.02053935699282069 long T, short TF
2018-02-13T10:31:00.000000000 0.02053935699282069 short T, long TF
2018-02-13T13:53:00.000000000 0.021265599620588896 long T, short TF
2018-02-13T14:05:00.000000000 0.021265599620588896 short T, long TF
2018-02-14T13:36:00.000000000 0.014732845239245798 long T, short TF
2018-02-14T13:49:00.000000000 0.014732845239245798 short T, long TF
2018-02-22T09:22:00.000000000 0.018589269240513354 long T, short TF
2018-02-22T09:25:00.000000000 0.018589269240513354 short T, long TF
2018-02-23T09:22:00.000000000 0.010367205732500365 long T, short TF
2018-02-23T09:29:00.000000000 0.010367205732500365 short T, long TF
2018-02-23T15:07:00.000000000 0.01124034240034944 long T, short TF
2018-02-26T09:16:00.000000000 0.01124034240034944 short T, long TF
2018-02-26T14:55:00.000000000 0.015916391683210587 long T, short TF
2018-02-26T15:15:00.000000000 0.015916391683210587 short T, long TF
2018-03-01T09:46:00.000000000 0.020208537018014772 long T, short TF
2018-03-01T09:50:00.000000000 0.020208537018014772 short T, long TF
2018-03-02T11:21:00.000000000 0.015499828799874953 long T, short TF
2018-03-02T11:27:00.000000000 0.015499828799874953 short T, long TF
2018-03-05T14:48:00.000000000 0.011210729133244082 long T, short TF
2018-03-05T14:49:00.000000000 0.011210729133244082 short T, long TF
2018-03-06T13:30:00.000000000 0.011258685504125659 long T, short TF
2018-03-06T13:31:00.000000000 0.011258685504125659 short T, long TF
2018-03-07T10:34:00.000000000 0.0076373651024553065 long T, short TF
2018-03-07T10:38:00.000000000 0.0076373651024553065 short T, long TF
2018-03-08T09:16:00.000000000 0.013070245445262245 long T, short TF
2018-03-08T09:36:00.000000000 0.013070245445262245 short T, long TF
2018-03-14T10:00:00.000000000 0.012064691215205503 long T, short TF
2018-03-14T10:01:00.000000000 0.012064691215205503 short T, long TF
2018-03-20T15:15:00.000000000 0.010863529756701247 long T, short TF
2018-03-21T09:22:00.000000000 0.010863529756701247 short T, long TF
2018-03-26T14:05:00.000000000 0.010117710514492392 long T, short TF
2018-03-26T14:08:00.000000000 0.010117710514492392 short T, long TF
2018-03-28T09:16:00.000000000 0.012570099536416595 long T, short TF
2018-03-28T09:17:00.000000000 0.012570099536416595 short T, long TF
2018-04-02T09:56:00.000000000 0.018913974652210237 long T, short TF
2018-04-02T09:59:00.000000000 0.018913974652210237 short T, long TF
2018-04-02T11:08:00.000000000 0.008551757240855305 long T, short TF
2018-04-02T11:09:00.000000000 0.008551757240855305 short T, long TF
2018-04-02T11:10:00.000000000 0.010132397268262061 long T, short TF
2018-04-02T11:30:00.000000000 0.010132397268262061 short T, long TF
2018-04-02T14:15:00.000000000 0.012232100192499753 long T, short TF
2018-04-02T14:18:00.000000000 0.012232100192499753 short T, long TF
2018-04-04T09:16:00.000000000 0.02862490249609668 long T, short TF
2018-04-04T09:20:00.000000000 0.02862490249609668 short T, long TF
2018-04-09T09:16:00.000000000 0.01120174503124576 long T, short TF
2018-04-09T09:17:00.000000000 0.01120174503124576 short T, long TF
2018-04-12T13:27:00.000000000 0.011917959263271617 long T, short TF
2018-04-12T13:28:00.000000000 0.011917959263271617 short T, long TF
2018-04-13T11:09:00.000000000 0.012203502276459263 long T, short TF
2018-04-13T11:12:00.000000000 0.012203502276459263 short T, long TF
2018-04-13T14:30:00.000000000 0.012703177719444491 long T, short TF
2018-04-13T14:33:00.000000000 0.012703177719444491 short T, long TF
2018-04-16T09:17:00.000000000 0.02237067933588706 long T, short TF
2018-04-16T09:57:00.000000000 0.02237067933588706 short T, long TF
2018-04-16T11:30:00.000000000 0.012728456636926656 long T, short TF
2018-04-16T13:01:00.000000000 0.012728456636926656 short T, long TF
2018-04-16T13:39:00.000000000 0.011091989552290212 long T, short TF
2018-04-16T13:46:00.000000000 0.011091989552290212 short T, long TF
2018-04-17T14:24:00.000000000 0.019104579259421023 long T, short TF
2018-04-17T14:26:00.000000000 0.019104579259421023 short T, long TF
2018-04-18T10:36:00.000000000 0.018836042708703742 long T, short TF
2018-04-18T10:39:00.000000000 0.018836042708703742 short T, long TF
2018-04-19T09:16:00.000000000 0.05560081947892273 long T, short TF
2018-04-19T09:35:00.000000000 0.05560081947892273 short T, long TF
2018-04-20T09:16:00.000000000 0.049031676767602374 long T, short TF
2018-04-20T09:17:00.000000000 0.049031676767602374 short T, long TF
2018-04-24T14:33:00.000000000 0.015027402188667046 long T, short TF
2018-04-24T14:37:00.000000000 0.015027402188667046 short T, long TF
2018-04-26T10:24:00.000000000 0.017693726986945112 long T, short TF
2018-04-26T10:31:00.000000000 0.017693726986945112 short T, long TF
2018-04-26T13:25:00.000000000 0.015518414830115105 long T, short TF
2018-04-26T14:24:00.000000000 0.015518414830115105 short T, long TF
2018-05-02T13:58:00.000000000 0.01593254357222263 long T, short TF
2018-05-02T14:07:00.000000000 0.01593254357222263 short T, long TF
2018-05-02T15:15:00.000000000 0.016516510889686118 long T, short TF
2018-05-03T09:17:00.000000000 0.016516510889686118 short T, long TF
2018-05-03T14:03:00.000000000 0.01478549890883799 long T, short TF
2018-05-03T14:22:00.000000000 0.01478549890883799 short T, long TF
2018-05-07T11:24:00.000000000 0.01860045280869998 long T, short TF
2018-05-07T11:30:00.000000000 0.01860045280869998 short T, long TF
2018-05-07T13:01:00.000000000 0.03362519129486125 long T, short TF
2018-05-07T13:47:00.000000000 0.03362519129486125 short T, long TF
2018-05-08T14:53:00.000000000 0.017418675299233317 long T, short TF
2018-05-08T14:57:00.000000000 0.017418675299233317 short T, long TF
2018-05-09T15:08:00.000000000 0.02218409586780424 long T, short TF
2018-05-09T15:14:00.000000000 0.02218409586780424 short T, long TF
2018-05-15T13:38:00.000000000 0.012969277986925171 long T, short TF
2018-05-15T13:41:00.000000000 0.012969277986925171 short T, long TF
2018-05-16T15:15:00.000000000 0.01974768489802058 long T, short TF
2018-05-17T09:16:00.000000000 0.01974768489802058 short T, long TF
2018-05-17T11:02:00.000000000 0.024834427968600897 long T, short TF
2018-05-17T11:20:00.000000000 0.024834427968600897 short T, long TF
2018-05-17T14:45:00.000000000 0.018716085148336312 long T, short TF
2018-05-17T14:47:00.000000000 0.018716085148336312 short T, long TF
2018-05-18T13:21:00.000000000 0.019714567210747363 long T, short TF
2018-05-18T13:22:00.000000000 0.019714567210747363 short T, long TF
2018-05-22T09:28:00.000000000 0.03179387904878615 long T, short TF
2018-05-22T09:36:00.000000000 0.03179387904878615 short T, long TF
2018-05-22T14:58:00.000000000 0.013599916397100207 long T, short TF
2018-05-22T15:01:00.000000000 0.013599916397100207 short T, long TF
2018-05-23T13:01:00.000000000 0.014234426971175046 long T, short TF
2018-05-23T13:07:00.000000000 0.014234426971175046 short T, long TF
2018-05-24T13:56:00.000000000 0.017870800097457066 long T, short TF
2018-05-24T14:14:00.000000000 0.017870800097457066 short T, long TF
2018-05-25T10:36:00.000000000 0.011793320920059339 long T, short TF
2018-05-25T10:40:00.000000000 0.011793320920059339 short T, long TF
2018-05-25T14:04:00.000000000 0.014858395345449298 long T, short TF
2018-05-25T14:06:00.000000000 0.014858395345449298 short T, long TF
2018-05-25T14:19:00.000000000 0.031789463399520816 long T, short TF
2018-05-25T15:09:00.000000000 0.031789463399520816 short T, long TF
2018-05-28T13:18:00.000000000 0.013933162656650866 long T, short TF
2018-05-28T13:20:00.000000000 0.013933162656650866 short T, long TF
2018-05-30T13:39:00.000000000 0.03086304949179131 long T, short TF
2018-05-30T13:42:00.000000000 0.03086304949179131 short T, long TF
2018-06-01T09:45:00.000000000 0.025676190090555343 long T, short TF
2018-06-01T09:47:00.000000000 0.025676190090555343 short T, long TF
2018-06-01T13:38:00.000000000 0.01607134188608372 long T, short TF
2018-06-01T13:49:00.000000000 0.01607134188608372 short T, long TF
2018-06-01T15:13:00.000000000 0.013314452197427742 long T, short TF
2018-06-04T09:19:00.000000000 0.013314452197427742 short T, long TF
2018-06-05T13:29:00.000000000 0.01830556567787446 long T, short TF
2018-06-05T13:31:00.000000000 0.01830556567787446 short T, long TF
2018-06-08T09:16:00.000000000 0.020194073950647932 long T, short TF
2018-06-08T09:37:00.000000000 0.020194073950647932 short T, long TF
2018-06-08T09:56:00.000000000 0.013821155271816361 long T, short TF
2018-06-08T10:03:00.000000000 0.013821155271816361 short T, long TF
2018-06-11T14:25:00.000000000 0.013759719330250067 long T, short TF
2018-06-11T14:55:00.000000000 0.013759719330250067 short T, long TF
2018-06-13T14:04:00.000000000 0.019286835300197543 long T, short TF
2018-06-13T14:06:00.000000000 0.019286835300197543 short T, long TF
2018-06-14T13:40:00.000000000 0.010733017736681137 long T, short TF
2018-06-14T13:43:00.000000000 0.010733017736681137 short T, long TF
2018-06-19T11:13:00.000000000 0.012553696308643506 long T, short TF
2018-06-19T11:27:00.000000000 0.012553696308643506 short T, long TF
2018-06-20T09:16:00.000000000 0.02829239330249236 long T, short TF
2018-06-20T09:20:00.000000000 0.02829239330249236 short T, long TF
2018-06-20T13:01:00.000000000 0.01898732778593697 long T, short TF
2018-06-20T13:02:00.000000000 0.01898732778593697 short T, long TF
2018-06-21T11:10:00.000000000 0.011228496386306167 long T, short TF
2018-06-21T11:21:00.000000000 0.011228496386306167 short T, long TF
2018-06-22T14:26:00.000000000 0.023631211352507054 long T, short TF
2018-06-22T14:27:00.000000000 0.023631211352507054 short T, long TF
2018-06-26T10:12:00.000000000 0.011996012307572445 long T, short TF
2018-06-26T10:13:00.000000000 0.011996012307572445 short T, long TF
2018-06-27T15:13:00.000000000 0.034251897540113686 long T, short TF
2018-06-28T10:45:00.000000000 0.034251897540113686 short T, long TF
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2019-02-28T11:17:00.000000000 0.01490272844519479 long T, short TF
2019-02-28T11:29:00.000000000 0.01490272844519479 short T, long TF
2019-02-28T14:08:00.000000000 0.012455189611530637 long T, short TF
2019-02-28T14:12:00.000000000 0.012455189611530637 short T, long TF
2019-02-28T14:24:00.000000000 0.024369310235984033 long T, short TF
2019-02-28T14:31:00.000000000 0.024369310235984033 short T, long TF
2019-03-01T11:12:00.000000000 0.014725073255718039 long T, short TF
2019-03-01T13:10:00.000000000 0.014725073255718039 short T, long TF
2019-03-01T14:30:00.000000000 0.02033320293658434 long T, short TF
2019-03-01T14:34:00.000000000 0.02033320293658434 short T, long TF
2019-03-06T10:11:00.000000000 0.013474286734971322 long T, short TF
2019-03-06T10:12:00.000000000 0.013474286734971322 short T, long TF
2019-03-06T13:35:00.000000000 0.018843170405201826 long T, short TF
2019-03-06T13:43:00.000000000 0.018843170405201826 short T, long TF
2019-03-06T14:03:00.000000000 0.019717325890235043 long T, short TF
2019-03-06T14:04:00.000000000 0.019717325890235043 short T, long TF
2019-03-07T15:01:00.000000000 0.018956116286050272 long T, short TF
2019-03-07T15:06:00.000000000 0.018956116286050272 short T, long TF
2019-03-08T09:16:00.000000000 0.03178098493451769 long T, short TF
2019-03-08T10:59:00.000000000 0.03178098493451769 short T, long TF
2019-03-08T11:17:00.000000000 0.01942938591476392 long T, short TF
2019-03-08T11:18:00.000000000 0.01942938591476392 short T, long TF
2019-03-08T15:15:00.000000000 0.01868707923691475 long T, short TF
2019-03-11T09:19:00.000000000 0.01868707923691475 short T, long TF
2019-03-13T09:16:00.000000000 0.013912003949366146 long T, short TF
2019-03-13T09:26:00.000000000 0.013912003949366146 short T, long TF
2019-03-19T10:30:00.000000000 0.014309817319362452 long T, short TF
2019-03-19T10:31:00.000000000 0.014309817319362452 short T, long TF
2019-03-21T10:50:00.000000000 0.012710925294740452 long T, short TF
2019-03-21T11:00:00.000000000 0.012710925294740452 short T, long TF
2019-03-21T14:22:00.000000000 0.012205591144533389 long T, short TF
2019-03-21T14:24:00.000000000 0.012205591144533389 short T, long TF
2019-03-26T10:35:00.000000000 0.030075787994435874 long T, short TF
2019-03-26T10:47:00.000000000 0.030075787994435874 short T, long TF
2019-03-27T13:02:00.000000000 0.018632444817408087 long T, short TF
2019-03-27T13:03:00.000000000 0.018632444817408087 short T, long TF
2019-04-01T09:16:00.000000000 0.02089813646926942 long T, short TF
2019-04-01T09:18:00.000000000 0.02089813646926942 short T, long TF
2019-04-01T15:14:00.000000000 0.048774128400466014 long T, short TF
2019-04-02T09:16:00.000000000 0.048774128400466014 short T, long TF
2019-04-02T10:11:00.000000000 0.018780006156894426 long T, short TF
2019-04-02T10:14:00.000000000 0.018780006156894426 short T, long TF
2019-04-02T14:21:00.000000000 0.01276890713613597 long T, short TF
2019-04-02T14:30:00.000000000 0.01276890713613597 short T, long TF
2019-04-03T13:01:00.000000000 0.020124766944032566 long T, short TF
2019-04-03T13:08:00.000000000 0.020124766944032566 short T, long TF
2019-04-03T13:09:00.000000000 0.017500933223112667 long T, short TF
2019-04-03T13:17:00.000000000 0.017500933223112667 short T, long TF
2019-04-10T14:49:00.000000000 0.01156117523616656 long T, short TF
2019-04-10T15:04:00.000000000 0.01156117523616656 short T, long TF
2019-04-12T14:23:00.000000000 0.012691968921951338 long T, short TF
2019-04-12T14:27:00.000000000 0.012691968921951338 short T, long TF
2019-04-12T14:31:00.000000000 0.024280835199135327 long T, short TF
2019-04-12T14:34:00.000000000 0.024280835199135327 short T, long TF
2019-04-15T14:43:00.000000000 0.016485806358158658 long T, short TF
2019-04-15T14:45:00.000000000 0.016485806358158658 short T, long TF
2019-04-16T09:16:00.000000000 0.02189072155172136 long T, short TF
2019-04-16T09:19:00.000000000 0.02189072155172136 short T, long TF
2019-04-16T15:00:00.000000000 0.022680282588591495 long T, short TF
2019-04-16T15:06:00.000000000 0.022680282588591495 short T, long TF
2019-04-17T11:30:00.000000000 0.01119900243061049 long T, short TF
2019-04-17T13:01:00.000000000 0.01119900243061049 short T, long TF
2019-04-24T09:25:00.000000000 0.012874100587386125 long T, short TF
2019-04-24T09:30:00.000000000 0.012874100587386125 short T, long TF
2019-04-24T15:00:00.000000000 0.013449107787954408 long T, short TF
2019-04-24T15:06:00.000000000 0.013449107787954408 short T, long TF
2019-04-29T11:27:00.000000000 0.015594306698370749 long T, short TF
2019-04-29T11:29:00.000000000 0.015594306698370749 short T, long TF
2019-04-30T09:16:00.000000000 0.015354973941769955 long T, short TF
2019-04-30T09:17:00.000000000 0.015354973941769955 short T, long TF
2019-04-30T11:13:00.000000000 0.01076833783297076 long T, short TF
2019-04-30T11:14:00.000000000 0.01076833783297076 short T, long TF
2019-05-21T09:16:00.000000000 0.019899545061077235 long T, short TF
2019-05-21T09:17:00.000000000 0.019899545061077235 short T, long TF
2019-05-23T09:16:00.000000000 0.03323485852903442 long T, short TF
2019-05-23T09:35:00.000000000 0.03323485852903442 short T, long TF
2019-05-28T10:19:00.000000000 0.014998035276882435 long T, short TF
2019-05-28T10:31:00.000000000 0.014998035276882435 short T, long TF
2019-05-30T10:49:00.000000000 0.009076977470130405 long T, short TF
2019-05-30T10:50:00.000000000 0.009076977470130405 short T, long TF
2019-05-30T11:04:00.000000000 0.010549874290720443 long T, short TF
2019-05-30T11:05:00.000000000 0.010549874290720443 short T, long TF
2019-06-03T09:16:00.000000000 0.011645496506000061 long T, short TF
2019-06-03T09:17:00.000000000 0.011645496506000061 short T, long TF
2019-06-04T13:50:00.000000000 0.013779114940029594 long T, short TF
2019-06-04T13:51:00.000000000 0.013779114940029594 short T, long TF
2019-06-14T14:35:00.000000000 0.01865289349083315 long T, short TF
2019-06-14T14:42:00.000000000 0.01865289349083315 short T, long TF
2019-06-14T15:15:00.000000000 0.011906304213068779 long T, short TF
2019-06-17T09:19:00.000000000 0.011906304213068779 short T, long TF
2019-06-17T14:59:00.000000000 0.014411482534466608 long T, short TF
2019-06-17T15:08:00.000000000 0.014411482534466608 short T, long TF
2019-06-18T13:01:00.000000000 0.01963785995169769 long T, short TF
2019-06-18T13:07:00.000000000 0.01963785995169769 short T, long TF
2019-06-18T15:03:00.000000000 0.008923096397739794 long T, short TF
2019-06-18T15:04:00.000000000 0.008923096397739794 short T, long TF
2019-06-19T09:16:00.000000000 0.021632832628343573 long T, short TF
2019-06-19T09:21:00.000000000 0.021632832628343573 short T, long TF
2019-06-19T11:30:00.000000000 0.014420266130868446 long T, short TF
2019-06-19T13:07:00.000000000 0.014420266130868446 short T, long TF
2019-06-20T09:16:00.000000000 0.01062533181437527 long T, short TF
2019-06-20T09:17:00.000000000 0.01062533181437527 short T, long TF
2019-06-24T13:56:00.000000000 0.013201769731249174 long T, short TF
2019-06-24T13:57:00.000000000 0.013201769731249174 short T, long TF
2019-06-26T09:26:00.000000000 0.05127779978667347 long T, short TF
2019-06-26T09:28:00.000000000 0.05127779978667347 short T, long TF
2019-06-28T10:34:00.000000000 0.011802646584953214 long T, short TF
2019-06-28T10:40:00.000000000 0.011802646584953214 short T, long TF
sumprofit1 = np.cumsum(profit1)
sumprofit2 = np.cumsum(profit2)
sumprofit = sumprofit1 + sumprofit2
import matplotlib.pyplot as plt
fig=plt.figure(figsize=(15,10))
plt.subplot(311)
plt.plot(time_arr, sumprofit1 + sumprofit2)
plt.legend(['accumulated profit of strategy'], loc='upper left')
plt.grid()
plt.subplot(312)
plt.plot(time_arr, sumprofit1)
plt.plot(time_arr, sumprofit2)
plt.legend(['accumulated profit of T','accumulated profit of TF'], loc='upper left')
plt.grid()
plt.subplot(313)
plt.plot(time_arr, holding1)
plt.plot(time_arr, holding2)
plt.legend(['holding of T','holding of TF'], loc='upper left')
plt.show()
import pandas as pd
drawdown = np.maximum.accumulate(np.maximum.accumulate(sumprofit) - sumprofit)
mb = drawdown[-1]
time = pd.DataFrame(time_arr)[0]
dt = pd.concat([time.dt.year, time.dt.month, time.dt.day, time.dt.hour, time.dt.minute, time.dt.second],axis=1).values
timenum = dt[-1, :] - dt[0, :]
income_risk = sumprofit[-1] / mb / (timenum[0] + timenum[1] / 12 + timenum[2] / 12 / 31 + 
                                    timenum[3] / 12 / 31 / 12 + timenum[4] / 12 / 31 / 12 / 60 + 
                                    timenum[5] / 12 / 31 / 12 / 60 / 60)
print('策略年化收益/最大回撤=', income_risk)
策略年化收益/最大回撤= 1.3192635608364194

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