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# [YouTube] 벡테스팅 - 골든크로스 (진성)

Oct 17th, 2020 (edited)
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1. from pykrx import stock
2. import numpy as np
3. import pandas as pd
4. from pandas import Series
5.
6. def 장기_단기_이평선_수익률(df, Ns, Nl):
7.     df = df[  [ '종가' ] ].copy()
8.     df['ma_s'] = df['종가'].rolling( Ns ).mean( ).shift ( 1 )
9.     df['ma_l'] = df['종가'].rolling( Nl ).mean( ).shift ( 1 )
10.     cond = (df['ma_s'] > df['ma_l'])  & (df['ma_l'].pct_change() > 0)
11.     df['status'] = np.where(cond, 1, 0)
12.     df.iloc[-1, -1] = 0
13.
14.     # 매수/매도 조건
15.     매수조건 = (df['status'] == 1) & (df['status'].shift(1) != 1)
16.     매도조건 = (df['status'] == 0) & (df['status'].shift(1) == 1)
17.
18.     # 수익률 계산
19.     수익률 = df.loc[매도조건, '종가'].reset_index(drop=True) / df.loc[매수조건, '종가'].reset_index(drop=True)
20.     수익률 = 수익률 - 0.002
21.     return 수익률.cumprod().iloc[-1]
22.
23. df = stock.get_index_ohlcv_by_date("20200101", "20200831", "1001")
24. df = df[  [ '종가' ] ]
25.
26. result = [ ]
27. for i in range(2, 17):
28.     for j in range(30, 61):
29.         result.append(장기_단기_이평선_수익률(df, i, j))
30.
31. index = pd.MultiIndex.from_product([ range(2, 17), range(30, 61)  ])
32. s = Series(result, index)
33.
34. print(s.idxmax())
35. print(s.max())
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