0.9.54 update

czsc/connectors/tq_connector.py

@@ -189,6 +189,8 @@ def create_symbol_trader(api: TqApi, symbol, **kwargs):
 
 
 future_name_map = {
+    "EC": "欧线集运",
+    "LC": "碳酸锂",
     "PG": "LPG",
     "EB": "苯乙烯",
     "CS": "玉米淀粉",

czsc/traders/weight_backtest.py

@@ -337,6 +337,15 @@ def alpha_stats(self):
         stats["结束日期"] = df["date"].max().strftime("%Y-%m-%d")
         return stats
 
+    @property
+    def bench_stats(self):
+        """基准收益统计"""
+        df = self.alpha.copy()
+        stats = czsc.daily_performance(df["基准"].to_list())
+        stats["开始日期"] = df["date"].min().strftime("%Y-%m-%d")
+        stats["结束日期"] = df["date"].max().strftime("%Y-%m-%d")
+        return stats
+
     def get_symbol_daily(self, symbol):
         """获取某个合约的每日收益率
 
@@ -585,6 +594,12 @@ def report(self, res_path):
         fig.write_html(res_path.joinpath("daily_return.html"))
         logger.info(f"费后日收益率资金曲线已保存到 {res_path.joinpath('daily_return.html')}")
 
+        # 绘制alpha曲线
+        alpha = self.alpha.copy()
+        alpha[["策略", "基准", "超额"]] = alpha[["策略", "基准", "超额"]].cumsum()
+        fig = px.line(alpha, x="date", y=["策略", "基准", "超额"], title="策略超额收益")
+        fig.write_html(res_path.joinpath("alpha.html"))
+
         # 所有开平交易记录的表现
         stats = res["绩效评价"].copy()
         logger.info(f"绩效评价：{stats}")

examples/test_offline/test_weight_backtest.py

@@ -14,6 +14,9 @@ def run_by_weights():
     wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002, n_jobs=1)
     # wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002)
     dailys = wb.dailys
+    print(wb.stats)
+    print(wb.alpha_stats)
+    print(wb.bench_stats)
 
     # 计算等权组合的超额
     df1 = dailys.groupby("date").agg({"return": "mean", "n1b": "mean"})