54 lines
2.7 KiB
Python
54 lines
2.7 KiB
Python
"""加标的 vs 加仓位：同一引擎、按比例缩放资金，隔离"标的数量"的影响。
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注意：把 universe 缩成 N 只、资金缩到 N/3 只能近似"同时持有更多标的"，
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但它同时缩短了白名单，所以结论按"资金可部署机会数"来读，而不是精确预测。
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用法： py -3.14 -B analysis/etf/universe.py
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"""
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import sys
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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 ( # noqa: E402
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MIN_CASH_RATIO, START_CASH, SYMBOLS, SYMBOL_PARAMS, EtfDefaults, EtfSymbolConfig,
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analyze, fetch_daily, precondition, simulate,
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)
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BASE = EtfDefaults()
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FULL = {code: fetch_daily(code) for code in SYMBOLS}
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# (白名单, 起始资金, 说明)
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CASES = []
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for size in (1, 2, 3):
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codes = SYMBOLS[:size]
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CASES.append((f"白名单 {size} 只（{'+'.join(c[:6] for c in codes)}），资金按 {size}/3 缩放",
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codes, START_CASH * size / 3))
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# 同样 20 万资金，但只放 1 只 / 2 只 → 观察"钱多而标的少"是否浪费
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CASES.append(("白名单 1 只，但仍是 20 万资金", SYMBOLS[:1], START_CASH))
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CASES.append(("白名单 2 只，但仍是 20 万资金", SYMBOLS[:2], START_CASH))
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CASES.append(("白名单 3 只，20 万（基准）", SYMBOLS[:3], START_CASH))
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# 每档放大到 5000 股，资金同步放大到 100 万 → 检验"标的不变、仓位变大"的天花板
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CASES.append(("3 只 + buy_shares=5000，资金 100 万", SYMBOLS[:3], 1_000_000.0))
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CASES.append(("3 只 + buy_shares=10000，资金 200 万", SYMBOLS[:3], 2_000_000.0))
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print(f"{'场景':52} {'资金':>10} {'权益变动':>10} {'收益率':>7} {'回撤':>6} "
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f"{'平均占用':>8} {'峰值占用':>8} {'ROI/占用':>8} {'底仓':>4} {'补仓':>4}")
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for label, codes, cash in CASES:
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data = {c: FULL[c] for c in codes}
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shares = 5000 if "5000" in label else 10000 if "10000" in label else SYMBOL_PARAMS[codes[0]]["buy_shares"]
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params = {c: {**SYMBOL_PARAMS[c], "buy_shares": shares, "max_shares": shares * 10} for c in codes}
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pre = {c: precondition(data[c], EtfSymbolConfig(**params[c]), BASE) for c in codes}
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result = simulate(data, symbol_params=params, precomputed=pre, start_cash=cash)
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stats = analyze(result)
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delta = stats["final_equity"] - cash
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util = stats["avg_deployed"] / cash * 100
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max_util = stats["max_deployed"] / cash * 100
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roi = delta / stats["avg_deployed"] * 100 if stats["avg_deployed"] else 0.0
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print(f"{label:52} {cash:10.0f} {delta:10.2f} {stats['return_pct']:6.2f}% "
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f"{stats['max_dd_pct']:5.2f}% {util:7.2f}% {max_util:7.2f}% {roi:7.2f}% "
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f"{sum(1 for f in result['fills'] if f.kind == 'base'):4} "
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f"{sum(1 for f in result['fills'] if f.kind == 'add'):4}")
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