0.9.58 update

waditu · Aug 25, 2024 · e8d3124 · e8d3124
1 parent 8619085
commit e8d3124
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Showing 6 changed files with 100 additions and 74 deletions.
diff --git a/czsc/utils/st_components.py b/czsc/utils/st_components.py
@@ -23,6 +23,7 @@ def show_daily_return(df: pd.DataFrame, **kwargs):
         - use_st_table: bool，是否使用 st.table 展示绩效指标，默认为 False
         - plot_cumsum: bool，是否展示日收益累计曲线，默认为 True
         - yearly_days: int，年交易天数，默认为 252
+        - show_dailys: bool，是否展示日收益数据详情，默认为 False
 
     """
     if not df.index.dtype == "datetime64[ns]":
@@ -84,17 +85,22 @@ def _stats(df_, type_="持有日"):
     with st.container():
         sub_title = kwargs.get("sub_title", "")
         if sub_title:
-            st.subheader(sub_title, divider="rainbow")
+            st.subheader(sub_title, divider="rainbow", anchor=sub_title)
+        if kwargs.get("show_dailys", False):
+            with st.expander("日收益数据详情", expanded=False):
+                st.dataframe(df, use_container_width=True)
 
         with st.expander("交易日绩效指标", expanded=True):
             if use_st_table:
                 st.table(_stats(df, type_="交易日"))
             else:
                 st.dataframe(_stats(df, type_="交易日"), use_container_width=True)
+            st.caption("交易日：交易所指定的交易日，或者有收益发生变化的日期")
 
         if kwargs.get("stat_hold_days", True):
             with st.expander("持有日绩效指标", expanded=False):
                 st.dataframe(_stats(df, type_="持有日"), use_container_width=True)
+                st.caption("持有日：在交易日的基础上，将收益率为0的日期删除")
 
         if kwargs.get("plot_cumsum", True):
             df = df.cumsum()
@@ -131,7 +137,7 @@ def show_monthly_return(df, ret_col="total", sub_title="月度累计收益", **k
     df.sort_index(inplace=True, ascending=True)
 
     if sub_title:
-        st.subheader(sub_title, divider="rainbow")
+        st.subheader(sub_title, divider="rainbow", anchor=sub_title)
 
     monthly = df[[ret_col]].resample("ME").sum()
     monthly["year"] = monthly.index.year
@@ -493,7 +499,7 @@ def show_splited_daily(df, ret_col, **kwargs):
 
     sub_title = kwargs.get("sub_title", "")
     if sub_title:
-        st.subheader(sub_title, divider="rainbow")
+        st.subheader(sub_title, divider="rainbow", anchor=sub_title)
 
     last_dt = df.index[-1]
     sdt_map = {
@@ -617,8 +623,9 @@ def show_yearly_stats(df, ret_col, **kwargs):
         }
     )
 
-    if kwargs.get("sub_title"):
-        st.subheader(kwargs.get("sub_title"), divider="rainbow")
+    sub_title = kwargs.get("sub_title", "")
+    if sub_title:
+        st.subheader(sub_title, divider="rainbow", anchor=sub_title)
     st.dataframe(stats, use_container_width=True)
 
 
@@ -1029,7 +1036,7 @@ def show_rolling_daily_performance(df, ret_col, **kwargs):
 
     sub_title = kwargs.get("sub_title", "滚动日收益绩效")
     if sub_title:
-        st.subheader(sub_title, divider="rainbow")
+        st.subheader(sub_title, divider="rainbow", anchor=sub_title)
 
     c1, c2, c3 = st.columns(3)
     window = c1.number_input("滚动窗口（自然日）", value=365 * 3, min_value=365, max_value=3650)

diff --git a/examples/Streamlit组件库使用案例/weight_backtest.py b/examples/Streamlit组件库使用案例/weight_backtest.py
@@ -6,8 +6,5 @@
 
 dfw = pd.read_feather(r"C:\Users\zengb\Downloads\ST组件样例数据\时序持仓权重样例数据.feather")
 
-if __name__ == "__main__":
-    st.subheader("时序持仓策略回测样例", anchor="时序持仓策略回测样例", divider="rainbow")
-    czsc.show_weight_backtest(
-        dfw, fee=2, digits=2, show_drawdowns=True, show_monthly_return=True, show_yearly_stats=True
-    )
+st.subheader("时序持仓策略回测样例", anchor="时序持仓策略回测样例", divider="rainbow")
+czsc.show_weight_backtest(dfw, fee=2, digits=2, show_drawdowns=True, show_monthly_return=True, show_yearly_stats=True)
diff --git a/examples/Streamlit组件库使用案例/日收益分析.py b/examples/Streamlit组件库使用案例/日收益分析.py
@@ -0,0 +1,17 @@
+import czsc
+import pandas as pd
+import streamlit as st
+
+st.set_page_config(layout="wide")
+
+dfw = pd.read_feather(r"C:\Users\zengb\Downloads\ST组件样例数据\截面持仓权重样例数据.feather")
+st.subheader("截面数据回测", divider="rainbow", anchor="截面数据回测")
+czsc.show_holds_backtest(
+    dfw,
+    fee=2,
+    digits=2,
+    show_drawdowns=True,
+    show_splited_daily=True,
+    show_monthly_return=True,
+    show_yearly_stats=True,
+)
diff --git a/examples/gm_0701.py → examples/dropit/gm_0701.py b/examples/gm_0701.py → examples/dropit/gm_0701.py
diff --git a/examples/gm_backtest.py → examples/dropit/gm_backtest.py b/examples/gm_backtest.py → examples/dropit/gm_backtest.py
@@ -32,48 +32,49 @@
 os.environ['backtest_slippage_ratio'] = '0.0005'
 """
 import sys
-sys.path.insert(0, '.')
-sys.path.insert(0, '..')
+
+sys.path.insert(0, "..")
+sys.path.insert(0, "../..")
 from czsc.connectors.gm_connector import *
 from czsc.strategies import CzscStrategyExample2
 
-os.environ['strategy_id'] = 'b24661f5-838d-11ed-882c-988fe0675a5b'
-os.environ['max_sym_pos'] = '0.5'
-os.environ['path_gm_logs'] = 'C:/gm_logs'
-os.environ['backtest_start_time'] = '2020-01-01 14:30:00'
-os.environ['backtest_end_time'] = '2020-12-31 15:30:00'
-os.environ['backtest_initial_cash'] = '100000000'
-os.environ['backtest_transaction_ratio'] = '1'
-os.environ['backtest_commission_ratio'] = '0.001'
-os.environ['backtest_slippage_ratio'] = '0.0005'
+os.environ["strategy_id"] = "b24661f5-838d-11ed-882c-988fe0675a5b"
+os.environ["max_sym_pos"] = "0.5"
+os.environ["path_gm_logs"] = "C:/gm_logs"
+os.environ["backtest_start_time"] = "2020-01-01 14:30:00"
+os.environ["backtest_end_time"] = "2020-12-31 15:30:00"
+os.environ["backtest_initial_cash"] = "100000000"
+os.environ["backtest_transaction_ratio"] = "1"
+os.environ["backtest_commission_ratio"] = "0.001"
+os.environ["backtest_slippage_ratio"] = "0.0005"
 
 
 def init(context):
     symbols = [
-        'SZSE.300014',
-        'SHSE.600143',
-        'SZSE.002216',
-        'SZSE.300033',
-        'SZSE.000795',
-        'SZSE.002739',
-        'SHSE.600000',
-        'SHSE.600008',
-        'SHSE.600006',
-        'SHSE.600009',
-        'SHSE.600010',
-        'SHSE.600011'
+        "SZSE.300014",
+        "SHSE.600143",
+        "SZSE.002216",
+        "SZSE.300033",
+        "SZSE.000795",
+        "SZSE.002739",
+        "SHSE.600000",
+        "SHSE.600008",
+        "SHSE.600006",
+        "SHSE.600009",
+        "SHSE.600010",
+        "SHSE.600011",
     ]
 
     # 配置消息推送服务，支持飞书、企业微信通道
     context.push_msg_conf = {
         "wx_key": "",
         "fs_app": {
             # 飞书应用的 app_id 和 app_secret
-            'feishu_app_id': 'cli_a30770****39500e',
-            'feishu_app_secret': 'jVoMf688Gbw2*****HhoVbZ7fiTkTkgg',
+            "feishu_app_id": "cli_a30770****39500e",
+            "feishu_app_secret": "jVoMf688Gbw2*****HhoVbZ7fiTkTkgg",
             # 指定消息推送给哪些飞书用户，
-            'feishu_members': ['ou_6fa04b5b4d8*****fdc87d267e8f2a270'],
-        }
+            "feishu_members": ["ou_6fa04b5b4d8*****fdc87d267e8f2a270"],
+        },
     }
 
     name = "stocks_sma5"
@@ -84,14 +85,18 @@ def init(context):
     init_context_schedule(context)
 
 
-if __name__ == '__main__':
-    run(filename=os.path.basename(__file__), token=gm_token, mode=MODE_BACKTEST,
-        strategy_id=os.environ['strategy_id'],
-        backtest_start_time=os.environ['backtest_start_time'],
-        backtest_end_time=os.environ['backtest_end_time'],
-        backtest_initial_cash=int(os.environ['backtest_initial_cash']),
-        backtest_transaction_ratio=float(os.environ['backtest_transaction_ratio']),
-        backtest_commission_ratio=float(os.environ['backtest_commission_ratio']),
-        backtest_slippage_ratio=float(os.environ['backtest_slippage_ratio']),
+if __name__ == "__main__":
+    run(
+        filename=os.path.basename(__file__),
+        token=gm_token,
+        mode=MODE_BACKTEST,
+        strategy_id=os.environ["strategy_id"],
+        backtest_start_time=os.environ["backtest_start_time"],
+        backtest_end_time=os.environ["backtest_end_time"],
+        backtest_initial_cash=int(os.environ["backtest_initial_cash"]),
+        backtest_transaction_ratio=float(os.environ["backtest_transaction_ratio"]),
+        backtest_commission_ratio=float(os.environ["backtest_commission_ratio"]),
+        backtest_slippage_ratio=float(os.environ["backtest_slippage_ratio"]),
         backtest_adjust=ADJUST_PREV,
-        backtest_check_cache=1)
+        backtest_check_cache=1,
+    )
diff --git a/examples/gm_realtime.py → examples/dropit/gm_realtime.py b/examples/gm_realtime.py → examples/dropit/gm_realtime.py
@@ -20,44 +20,45 @@
 os.environ['path_gm_logs'] = 'C:/gm_logs'
 """
 import sys
-sys.path.insert(0, '.')
-sys.path.insert(0, '..')
+
+sys.path.insert(0, "..")
+sys.path.insert(0, "../..")
 from czsc.connectors.gm_connector import *
 from czsc.strategies import CzscStrategyExample2
 
 
-os.environ['strategy_id'] = '43b099b8-*****-11ed-99a6-988fe0675a5b'
-os.environ['account_id'] = '613019f5-****-11ed-bdad-00163e18a8b3'
-os.environ['max_sym_pos'] = '0.5'
-os.environ['path_gm_logs'] = 'C:/gm_logs'
+os.environ["strategy_id"] = "43b099b8-*****-11ed-99a6-988fe0675a5b"
+os.environ["account_id"] = "613019f5-****-11ed-bdad-00163e18a8b3"
+os.environ["max_sym_pos"] = "0.5"
+os.environ["path_gm_logs"] = "C:/gm_logs"
 
 
 def init(context):
     # 股票池配置
     symbols = [
-        'SZSE.300014',
-        'SHSE.600143',
-        'SZSE.002216',
-        'SZSE.300033',
-        'SZSE.000795',
-        'SZSE.002739',
-        'SHSE.600000',
-        'SHSE.600008',
-        'SHSE.600006',
-        'SHSE.600009',
-        'SHSE.600010',
-        'SHSE.600011'
+        "SZSE.300014",
+        "SHSE.600143",
+        "SZSE.002216",
+        "SZSE.300033",
+        "SZSE.000795",
+        "SZSE.002739",
+        "SHSE.600000",
+        "SHSE.600008",
+        "SHSE.600006",
+        "SHSE.600009",
+        "SHSE.600010",
+        "SHSE.600011",
     ]
 
     # 配置消息推送服务，支持飞书、企业微信通道
     context.push_msg_conf = {
-        "wx_key": os.environ.get('wx_key', None),
+        "wx_key": os.environ.get("wx_key", None),
         "fs_app": {
             # 飞书消息推送
-            'feishu_app_id': 'cli_*****015cc39500e',
-            'feishu_app_secret': 'jV******688Gbw20fkR2HhoVbZ7fiTkTkgg',
-            'feishu_members': ['ou_6fa*****d853e9fdc87d267e8f2a270'],
-        }
+            "feishu_app_id": "cli_*****015cc39500e",
+            "feishu_app_secret": "jV******688Gbw20fkR2HhoVbZ7fiTkTkgg",
+            "feishu_members": ["ou_6fa*****d853e9fdc87d267e8f2a270"],
+        },
     }
     strategy = CzscStrategyExample2
     init_context_universal(context, strategy.__name__)
@@ -66,6 +67,5 @@ def init(context):
     init_context_schedule(context)
 
 
-if __name__ == '__main__':
-    run(filename=os.path.basename(__file__), token=gm_token, mode=MODE_LIVE, strategy_id=os.environ['strategy_id'])
-
+if __name__ == "__main__":
+    run(filename=os.path.basename(__file__), token=gm_token, mode=MODE_LIVE, strategy_id=os.environ["strategy_id"])