帮忙看看螺纹钢代码短线怎么修改才能设置交易手数,才能看见回测数据
# 导入库import talibimport numpy as npimport 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'] = 0data.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, '%')