# 导入库
import talib
import numpy as np
import pandas as pd
# 策略参数
short_window = 10 # 短期均线周期
long_window = 30 # 长期均线周期
stop_loss = 0.02 # 止损比例
take_profit = 0.05 # 止盈比例
# 数据准备
data = pd.read_csv('rb_futures.csv') # 读取螺纹钢期货数据
data['short_ma'] = talib.SMA(data['close'], short_window) # 计算短期均线
data['long_ma'] = talib.SMA(data['close'], long_window) # 计算长期均线
# 信号生成
data['signal'] = 0
data.loc[data['short_ma'] > data['long_ma'], 'signal'] = 1 # 短期均线上穿长期均线,买入信号
data.loc[data['short_ma'] < data['long_ma'], 'signal'] = -1 # 短期均线下穿长期均线,卖出信号
# 回测
initial_capital = 100000 # 初始资金
position = 0 # 持仓数量
portfolio_value = [] # 组合价值
for i in range(1, len(data)):
# 计算当前持仓价值
current_value = position * data['close'][i]
# 生成交易信号
signal = data['signal'][i]
# 执行交易
if signal == 1 and position == 0: # 买入
position = initial_capital / data['close'][i]
stop_loss_price = data['close'][i] * (1 - stop_loss)
take_profit_price = data['close'][i] * (1 + take_profit)
elif signal == -1 and position > 0: # 卖出
initial_capital = position * data['close'][i]
position = 0
elif position > 0: # 持仓
if data['close'][i] <= stop_loss_price or data['close'][i] >= take_profit_price: # 止损或止盈
initial_capital = position * data['close'][i]
position = 0
# 记录组合价值
portfolio_value.append(initial_capital + current_value)
# 回测结果分析
print('最终组合价值:', portfolio_value[-1])
print('收益率:', (portfolio_value[-1] - 100000) / 100000 * 100, '%')
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