09.48 新增滚动日收益指标计算

waditu · Apr 18, 2024 · 3adb903 · 3adb903
1 parent 011f5c0
commit 3adb903
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Showing 5 changed files with 511 additions and 318 deletions.
diff --git a/czsc/__init__.py b/czsc/__init__.py
@@ -79,6 +79,7 @@
     SignalAnalyzer,
     SignalPerformance,
     daily_performance,
+    rolling_daily_performance,
     weekly_performance,
     holds_performance,
     net_value_stats,
@@ -130,6 +131,7 @@
     show_out_in_compare,
     show_optuna_study,
     show_drawdowns,
+    show_rolling_daily_performance,
 )
 
 from czsc.utils.bi_info import (

diff --git a/czsc/utils/__init__.py b/czsc/utils/__init__.py
@@ -18,7 +18,15 @@
 from .plotly_plot import KlineChart
 from .trade import cal_trade_price, update_nbars, update_bbars, update_tbars, risk_free_returns, resample_to_daily
 from .cross import CrossSectionalPerformance, cross_sectional_ranker
-from .stats import daily_performance, net_value_stats, subtract_fee, weekly_performance, holds_performance, top_drawdowns
+from .stats import (
+    daily_performance,
+    net_value_stats,
+    subtract_fee,
+    weekly_performance,
+    holds_performance,
+    top_drawdowns,
+    rolling_daily_performance,
+)
 from .signal_analyzer import SignalAnalyzer, SignalPerformance
 from .cache import home_path, get_dir_size, empty_cache_path, DiskCache, disk_cache, clear_cache
 from .index_composition import index_composition
@@ -27,8 +35,27 @@
 from .optuna import optuna_study, optuna_good_params
 
 
-sorted_freqs = ['Tick', '1分钟', '2分钟', '3分钟', '4分钟', '5分钟', '6分钟', '10分钟', '12分钟',
-                '15分钟', '20分钟', '30分钟', '60分钟', '120分钟', '日线', '周线', '月线', '季线', '年线']
+sorted_freqs = [
+    "Tick",
+    "1分钟",
+    "2分钟",
+    "3分钟",
+    "4分钟",
+    "5分钟",
+    "6分钟",
+    "10分钟",
+    "12分钟",
+    "15分钟",
+    "20分钟",
+    "30分钟",
+    "60分钟",
+    "120分钟",
+    "日线",
+    "周线",
+    "月线",
+    "季线",
+    "年线",
+]
 
 
 def x_round(x: Union[float, int], digit: int = 4) -> Union[float, int]:
@@ -56,9 +83,9 @@ def get_py_namespace(file_py: str, keys: list = []) -> dict:
     :param keys: 指定需要的对象名称
     :return: namespace
     """
-    text = open(file_py, 'r', encoding='utf-8').read()
-    code = compile(text, file_py, 'exec')
-    namespace = {"file_py": file_py, 'file_name': os.path.basename(file_py).split('.')[0]}
+    text = open(file_py, "r", encoding="utf-8").read()
+    code = compile(text, file_py, "exec")
+    namespace = {"file_py": file_py, "file_name": os.path.basename(file_py).split(".")[0]}
     exec(code, namespace)
     if keys:
         namespace = {k: v for k, v in namespace.items() if k in keys}
@@ -82,11 +109,11 @@ def import_by_name(name):
     :param name: 模块名，如：'czsc.objects.Factor'
     :return: 模块对象
     """
-    if '.' not in name:
+    if "." not in name:
         return __import__(name)
 
     # 从右边开始分割，分割成模块名和函数名
-    module_name, function_name = name.rsplit('.', 1)
+    module_name, function_name = name.rsplit(".", 1)
     module = __import__(module_name, globals(), locals(), [function_name])
     return vars(module)[function_name]
 
@@ -143,11 +170,12 @@ def create_grid_params(prefix: str = "", multiply=3, **kwargs) -> dict:
         else:
             key = str(i).zfill(multiply)
 
-        row['version'] = f"{prefix}{key}"
+        row["version"] = f"{prefix}{key}"
         params[f"{prefix}@{key}"] = row
     return params
 
 
 def print_df_sample(df, n=5):
     from tabulate import tabulate
-    print(tabulate(df.head(n).values, headers=df.columns, tablefmt='rst'))
+
+    print(tabulate(df.head(n).values, headers=df.columns, tablefmt="rst"))