hhh-lll Donchian channel strategy

code

# -*- coding: utf-8 -*-
"""
strat_donchian.py
"""
import itertools; type(itertools)
import os, pathlib, datetime; type(os); type(pathlib);type(datetime)
import pandas as pd; type(pd)
import numpy as np; type(np)
import matplotlib.pyplot as plt; type(plt)

from copy import deepcopy;type(deepcopy)
from collections import OrderedDict ; type(OrderedDict)

import toolkit.myDataIO as mdio ; type(mdio)
import util.ttr as ttr     

import strat_sz100iw_report as wr; type(wr)

import imp; type(imp)
#imp.reload(mdio)
#imp.reload(ttr)

from config import gc


#%%

            
def main():
    '''
    >>> main()
    
    
首先查看一下参数设置:
code                 = 399330
start_year           = None
hh_n                 = 4
ll_n                 = 4
maxloss_pct          = 0.12
with_plot            = True

标的资产的代码和名称是: 深证100 (399330)
++++++++++++++++++++++++++++++++++++++++
初级的买入信号的数量: 279
初级的卖出信号的数量: 173
去除连续的买入信号的数量: 45
去除连续的卖出信号的数量: 45
整理首尾后的买入信号的数量: 45
整理首尾后的卖出信号的数量: 46

End equity :     17369.60

hh_n               : 4
ll_n               : 4
start_date         : 2006-01-25 00:00:00
end_date           : 2020-05-15 00:00:00
end_index          : 4802.32
index_growth       : 4.995
end_equity         : 17369.603
end_nav            : 18.065
cagr               : 0.224
mdd                : 0.306
sharpe             : 1.108
annu_volatility    : 0.202
策略收益率的标准差 : 0.028

    
    '''
    print('首先查看一下参数设置:')
    for k,v in gc.params.items():
        print('{:20s} = {}'.format(k,v) )
    print()
    qsq=ttr.QsQuant(**gc.params)
    qsq.load_data()
    qsq.generate_signal()
    df, perf_dict = qsq.simulate_LineMode()