[YouTube] 벡테스팅 - 골든크로스 (가성)

from pykrx import stock
import numpy as np
import pandas as pd
from pandas import Series

def 장기_단기_이평선_수익률(df, Ns, Nl):
    df = df[  [ '종가' ] ].copy()
    df['ma_s'] = df['종가'].rolling( Ns ).mean( ).shift ( 1 )
    df['ma_l'] = df['종가'].rolling( Nl ).mean( ).shift ( 1 )
    cond = df['ma_s'] > df['ma_l']
    df['status'] = np.where(cond, 1, 0)
    df.iloc[-1, -1] = 0

    # 매수/매도 조건
    매수조건 = (df['status'] == 1) & (df['status'].shift(1) != 1)
    매도조건 = (df['status'] == 0) & (df['status'].shift(1) == 1)

    # 수익률 계산
    수익률 = df.loc[매도조건, '종가'].reset_index(drop=True) / df.loc[매수조건, '종가'].reset_index(drop=True)
    수익률 = 수익률 - 0.002
    return 수익률.cumprod().iloc[-1]

df = stock.get_index_ohlcv_by_date("20200101", "20200831", "1001")
df = df[  [ '종가' ] ]

result = [ ]
for i in range(2, 17):
    for j in range(30, 61):
        result.append(장기_단기_이평선_수익률(df, i, j))

index = pd.MultiIndex.from_product([ range(2, 17), range(30, 61)  ])
s = Series(result, index)

print(s.idxmax())
print(s.max())