41 lines
1.5 KiB
Python
41 lines
1.5 KiB
Python
"""入场机会频率：日线上"进入门槛 + 当日收回门槛以上"到底出现多少次，以及 MA60 上限的影响。
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用法： py -3.14 -B analysis/etf/entries.py
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"""
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import sys
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from datetime import date
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from pathlib import Path
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HERE = Path(__file__).resolve().parent
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sys.path.insert(0, str(HERE))
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from backtest import SYMBOLS, SYMBOL_PARAMS, EtfDefaults, EtfSymbolConfig, fetch_daily, precondition
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BASE = EtfDefaults()
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data = {c: fetch_daily(c) for c in SYMBOLS}
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print(f"{'标的':11} {'可回放日':>7} {'跌破门槛':>8} {'收在门槛上':>10} {'入场信号':>8} "
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f"{'低于门槛的天数占比':>18} {'现价<MA60 天数占比':>18}")
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for code in SYMBOLS:
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series = precondition(data[code], EtfSymbolConfig(**SYMBOL_PARAMS[code]), BASE)
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below = above = signal = 0
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below_ma = 0
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for bar, ind in series:
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entry, ma60 = ind["etf_entry"], ind["etf_ma60"]
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if bar["low"] <= entry:
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below += 1
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if bar["close"] > entry and bar["low"] <= entry:
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above += 1
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if bar["low"] <= entry and bar["close"] > entry:
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signal += 1
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if bar["close"] < ma60:
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below_ma += 1
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n = len(series)
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print(f"{code:11} {n:7} {below:8} {above:10} {signal:8} "
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f"{below / n * 100:17.1f}% {below_ma / n * 100:17.1f}%")
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print()
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print("说明：'入场信号' = 当日最低价跌破入场门槛、且收盘价收回门槛之上（回测里建网的日线近似）。")
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print(" 它是机会频率的上界：实盘还要再满足盘中反弹 0.5% 的确认。")
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