profolio.py 文件源码

def main():

    legend = []

    # p0 = Profolio('All short-only')
    # for etf in ETFs:
    #     data = util.get_data(etf, '2016/1/1', '2016/12/31')
    #     p0.profits -= data.Return
    # label, = plt.plot(range(1, 253), p0.accProfits(), 'y--', label=p0.name)
    # legend.append(label)

    # baseline1 SPY long-only
    p1 = Profolio('SPY long-only')
    data = util.get_data('SPY', '2016/1/1', '2016/12/31')
    p1.profits = data.Return * 9
    label, = plt.plot(range(1, 253), p1.accProfits(), 'b--', label=p1.name)
    legend.append(label)

    # baseline2 All long-only
    p2 = Profolio('All long-only')
    for etf in ETFs:
        data = util.get_data(etf, '2016/1/1', '2016/12/31')
        p2.profits += data.Return
    label, = plt.plot(range(1, 253), p2.accProfits(), 'g--', label=p2.name)
    legend.append(label)

    # My strategy
    my = Profolio('My strategy')
    my.profits = numpy.zeros(252)
    for etf in ETFs:
        my.profits += smart_trade(etf, 'SVM', 4)
    label, = plt.plot(range(1, 253), my.accProfits(), 'r--', label=my.name)
    legend.append(label)

    plt.legend(handles=legend)
    plt.show()

    print p1.annualSharpeRatio(), p2.annualSharpeRatio(), my.annualSharpeRatio()