测试内置的择时策略和选股策略 每种策略进行一次回测，回测区间苁1996年到2021年，测试使用默认策略参数，测试参数如下：
- 回测区间起止日期：1996-04-13 —— 2021-04-13，持续25年
- 测试投资标的： “000001.SH”上证指数
- 业绩参考标准： “000001.SH”上证指数
import qteasy as qt
%matplotlib inlineop = qt.Operator(strategies=['crossline'])
op.set_parameter(0, pars=(35, 120, 10, 'buy'))
qt.configure(mode=1,
print_backtest_log=False,
riskfree_ir=0.025,
invest_start='19960413',
invest_end='20210413',
asset_pool='000001.SH',
asset_type='I',
reference_asset='000001.SH')
qt.configuration(up_to=5, default=True)Key Current Default
------------------------------------------------
mode: 1 <1>
asset_pool: 000001.SH <000300.SH>
asset_type: I <I>
trade_batch_size: 0.0 <0.0>
sell_batch_size: 0.0 <0.0>
riskfree_ir: 0.025 <0.0035>
parallel: False <False>
hist_dnld_parallel: 16 <16>
hist_dnld_delay: None <None>
hist_dnld_delay_evy: None <None>
hist_dnld_prog_bar: None <None>
gpu: False <False>
hist_data_channel: local <local>
print_backtest_log: False <False>
reference_asset: 000001.SH <000300.SH>
ref_asset_type: I <I>
ref_asset_dtype: close <close>
visual: True <True>
buy_sell_points: True <True>
show_positions: True <True>
cost_fixed_buy: 0 <0>
cost_fixed_sell: 0 <0>
cost_rate_buy: 0.0003 <0.0003>
cost_rate_sell: 0.0001 <0.0001>
cost_min_buy: 5.0 <5.0>
cost_min_sell: 0.0 <0.0>
cost_slippage: 0.0 <0.0>
log: True <True>
trade_log: True <True>
invest_start: 19960413 <20160405>
invest_end: 20210413 <20210201>
invest_cash_amounts: [100000.0] <[100000.0]>
invest_cash_dates: None <None>
allow_sell_short: False <False>
maximize_cash_usage: False <False>
PT_buy_threshold: 0.03 <0.03>
PT_sell_threshold: 0.03 <0.03>
price_priority_OHLC: OHLC <OHLC>
price_priority_quote: normal <normal>
cash_deliver_period: 0 <0>
stock_deliver_period: 1 <1>
opti_start: 20160405 <20160405>
opti_end: 20191231 <20191231>
opti_cash_amounts: [100000.0] <[100000.0]>
opti_cash_dates: None <None>
opti_type: single <single>
opti_sub_periods: 5 <5>
opti_sub_prd_length: 0.6 <0.6>
test_start: 20200106 <20200106>
test_end: 20210201 <20210201>
test_cash_amounts: [100000.0] <[100000.0]>
test_cash_dates: None <None>
test_type: single <single>
test_indicators: years,fv,return,mdd,v,ref,alpha,beta,sharp,info<years,fv,return,mdd,v,ref,alpha,beta,sharp,info>
indicator_plot_type: histo <histo>
test_sub_periods: 3 <3>
test_sub_prd_length: 0.75 <0.75>
test_cycle_count: 100 <100>
optimize_target: final_value <final_value>
maximize_target: True <True>
opti_method: 1 <1>
opti_grid_size: 1 <1>
opti_sample_count: 256 <256>
opti_r_sample_count: 16 <16>
opti_reduce_ratio: 0.1 <0.1>
opti_max_rounds: 5 <5>
opti_min_volume: 1000 <1000>
opti_population: 1000.0 <1000.0>
opti_built-in_strategy_back_test/output_count: 30 <30>
res = qt.run(op)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 38.3ms
time consumption for operation back looping: 589.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 28 29 57 51.1% 0.0% 48.9%
Total operation fee: ¥ 6,589.95
total investment amount: ¥ 100,000.00
final value: ¥1,015,064.41
Total return: 915.06%
Avg Yearly return: 9.71%
Skewness: -0.79
Kurtosis: 12.30
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.054
Beta: 0.851
Sharp ratio: 0.035
Info ratio: 0.002
250 day volatility: 0.158
Max drawdown: 46.31%
peak / valley: 2015-06-12 / 2020-02-03
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['macd'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 69.8ms
time consumption for operation back looping: 587.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 219 219 438 52.3% 0.0% 47.7%
Total operation fee: ¥ 64,593.15
total investment amount: ¥ 100,000.00
final value: ¥1,882,579.16
Total return: 1782.58%
Avg Yearly return: 12.45%
Skewness: -0.09
Kurtosis: 13.67
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.029
Beta: 0.996
Sharp ratio: 0.044
Info ratio: 0.010
250 day volatility: 0.161
Max drawdown: 38.50%
peak / valley: 2008-01-14 / 2008-10-15
recovered on: 2009-07-20
===========END OF REPORT=============
op = qt.Operator(strategies=['dma'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 7.0ms
time consumption for operation back looping: 572.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 209 209 418 51.3% 0.0% 48.7%
Total operation fee: ¥ 41,939.60
total investment amount: ¥ 100,000.00
final value: ¥1,123,321.41
Total return: 1023.32%
Avg Yearly return: 10.15%
Skewness: -0.34
Kurtosis: 13.64
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.002
Beta: 0.998
Sharp ratio: 0.035
Info ratio: 0.003
250 day volatility: 0.162
Max drawdown: 42.24%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2015-03-30
===========END OF REPORT=============
op = qt.Operator(strategies=['trix'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 53.6ms
time consumption for operation back looping: 568.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 47 46 93 51.8% 0.0% 48.2%
Total operation fee: ¥ 6,628.99
total investment amount: ¥ 100,000.00
final value: ¥ 647,405.62
Total return: 547.41%
Avg Yearly return: 7.75%
Skewness: -0.87
Kurtosis: 12.33
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.022
Beta: 0.998
Sharp ratio: 0.023
Info ratio: -0.004
250 day volatility: 0.166
Max drawdown: 39.82%
peak / valley: 2015-06-12 / 2019-01-03
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['cdl'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local filesHrom 19950531 to 20210413
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 63.2ms
time consumption for operation back looping: 705.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 1 0 1 100.0% 0.0% 0.0%
Total operation fee: ¥ 29.99
total investment amount: ¥ 100,000.00
final value: ¥ 580,746.64
Total return: 480.75%
Avg Yearly return: 7.29%
Skewness: -0.24
Kurtosis: 5.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.000
Beta: 1.000
Sharp ratio: 0.021
Info ratio: -0.003
250 day volatility: 0.240
Max drawdown: 71.98%
peak / valley: 2007-10-16 / 2008-11-04
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['bband'], signal_type='ps')
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 31.9ms
time consumption for operation back looping: 369.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 91 62 153 49.4% 0.0% 50.6%
Total operation fee: ¥ 27,102.22
total investment amount: ¥ 100,000.00
final value: ¥2,648,108.21
Total return: 2548.11%
Avg Yearly return: 14.00%
Skewness: -0.42
Kurtosis: 14.09
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.036
Beta: 1.000
Sharp ratio: 0.039
Info ratio: 0.015
250 day volatility: 0.156
Max drawdown: 30.62%
peak / valley: 1996-12-09 / 1996-12-24
recovered on: 1997-04-04
===========END OF REPORT=============
op = qt.Operator(strategies=['s-bband'], signal_type='ps')
res = qt.run(op, mode=1, print_backtest_log=False)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 31.9ms
time consumption for operation back looping: 413.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 334 282 616 99.9% 0.0% 0.1%
Total operation fee: ¥ 6,741.51
total investment amount: ¥ 100,000.00
final value: ¥1,265,109.72
Total return: 1165.11%
Avg Yearly return: 10.68%
Skewness: -0.97
Kurtosis: 21.03
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.092
Beta: 1.941
Sharp ratio: 0.030
Info ratio: 0.004
250 day volatility: 0.117
Max drawdown: 30.62%
peak / valley: 1996-12-09 / 1996-12-24
recovered on: 1997-04-04
===========END OF REPORT=============
op = qt.Operator(strategies=['sarext'])
qt.configuration()Key Current
-------------------------------------
mode: 1
asset_pool: 000001.SH
asset_type: I
invest_start: 19960413
invest_end: 20210413
opti_start: 20160405
opti_end: 20191231
test_start: 20200106
test_end: 20210201
op = qt.Operator(strategies=['ssma'])
res = qt.run(op, mode=1, printlog=True)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 26.7ms
time consumption for operation back looping: 568.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 354 353 707 53.6% 0.0% 46.4%
Total operation fee: ¥ 284,858.42
total investment amount: ¥ 100,000.00
final value: ¥5,001,064.13
Total return: 4901.06%
Avg Yearly return: 16.93%
Skewness: -0.22
Kurtosis: 12.77
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.077
Beta: 0.993
Sharp ratio: 0.055
Info ratio: 0.023
250 day volatility: 0.157
Max drawdown: 30.99%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2009-06-26
===========END OF REPORT=============
op = qt.Operator(strategies=['sdema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 35.8ms
time consumption for operation back looping: 574.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 674 673 1347 52.4% 0.0% 47.6%
Total operation fee: ¥ 246,258.42
total investment amount: ¥ 100,000.00
final value: ¥1,842,314.74
Total return: 1742.31%
Avg Yearly return: 12.35%
Skewness: 0.26
Kurtosis: 14.54
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.013
Beta: 0.990
Sharp ratio: 0.042
Info ratio: 0.010
250 day volatility: 0.158
Max drawdown: 37.01%
peak / valley: 2007-10-16 / 2008-11-04
recovered on: 2009-07-03
===========END OF REPORT=============
op = qt.Operator(strategies=['sema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 28.2ms
time consumption for operation back looping: 578.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 377 376 753 53.6% 0.0% 46.4%
Total operation fee: ¥ 352,080.66
total investment amount: ¥ 100,000.00
final value: ¥5,568,823.83
Total return: 5468.82%
Avg Yearly return: 17.44%
Skewness: -0.28
Kurtosis: 12.83
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.082
Beta: 0.993
Sharp ratio: 0.055
Info ratio: 0.025
250 day volatility: 0.158
Max drawdown: 29.29%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2009-06-29
===========END OF REPORT=============
op = qt.Operator(strategies=['sht'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 134.2ms
time consumption for operation back looping: 580.6ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 246 245 491 54.4% 0.0% 45.6%
Total operation fee: ¥ 213,484.06
total investment amount: ¥ 100,000.00
final value: ¥5,258,142.09
Total return: 5158.14%
Avg Yearly return: 17.17%
Skewness: -0.39
Kurtosis: 12.61
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.077
Beta: 0.995
Sharp ratio: 0.052
Info ratio: 0.025
250 day volatility: 0.160
Max drawdown: 22.35%
peak / valley: 1997-05-12 / 1997-12-18
recovered on: 1999-05-27
===========END OF REPORT=============
op = qt.Operator(strategies=['skama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 30.9ms
time consumption for operation back looping: 571.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 331 330 661 50.7% 0.0% 49.3%
Total operation fee: ¥ 122,059.97
total investment amount: ¥ 100,000.00
final value: ¥1,534,788.53
Total return: 1434.79%
Avg Yearly return: 11.54%
Skewness: -0.32
Kurtosis: 14.09
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.012
Beta: 0.992
Sharp ratio: 0.037
Info ratio: 0.007
250 day volatility: 0.154
Max drawdown: 34.72%
peak / valley: 2007-10-16 / 2008-11-11
recovered on: 2009-07-20
===========END OF REPORT=============
op = qt.Operator(strategies=['smama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 144.5ms
time consumption for operation back looping: 615.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 494 493 987 53.2% 0.0% 46.8%
Total operation fee: ¥ 331,123.13
total investment amount: ¥ 100,000.00
final value: ¥3,839,038.80
Total return: 3739.04%
Avg Yearly return: 15.70%
Skewness: -0.11
Kurtosis: 13.87
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.055
Beta: 0.990
Sharp ratio: 0.048
Info ratio: 0.019
250 day volatility: 0.157
Max drawdown: 25.57%
peak / valley: 2015-07-23 / 2018-12-14
recovered on: 2020-07-06
===========END OF REPORT=============
op = qt.Operator(strategies=['sfama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 141.6ms
time consumption for operation back looping: 576.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 269 268 537 53.0% 0.0% 47.0%
Total operation fee: ¥ 165,473.25
total investment amount: ¥ 100,000.00
final value: ¥3,287,553.28
Total return: 3187.55%
Avg Yearly return: 14.99%
Skewness: -0.57
Kurtosis: 13.75
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.051
Beta: 0.994
Sharp ratio: 0.045
Info ratio: 0.018
250 day volatility: 0.159
Max drawdown: 34.66%
peak / valley: 2015-06-12 / 2016-06-24
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['st3'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 29.9ms
time consumption for operation back looping: 637.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 292 291 583 53.6% 0.0% 46.4%
Total operation fee: ¥ 247,511.22
total investment amount: ¥ 100,000.00
final value: ¥4,541,825.83
Total return: 4441.83%
Avg Yearly return: 16.48%
Skewness: -0.36
Kurtosis: 13.34
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.075
Beta: 0.994
Sharp ratio: 0.054
Info ratio: 0.022
250 day volatility: 0.158
Max drawdown: 28.46%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2009-06-18
===========END OF REPORT=============
op = qt.Operator(strategies=['stema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 40.6ms
time consumption for operation back looping: 594.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 1109 1109 2218 49.7% 0.0% 50.3%
Total operation fee: ¥ 459,406.79
total investment amount: ¥ 100,000.00
final value: ¥3,555,180.77
Total return: 3455.18%
Avg Yearly return: 15.35%
Skewness: 0.26
Kurtosis: 13.93
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.049
Beta: 0.989
Sharp ratio: 0.056
Info ratio: 0.020
250 day volatility: 0.167
Max drawdown: 36.31%
peak / valley: 2008-01-17 / 2008-09-18
recovered on: 2009-05-04
===========END OF REPORT=============
op = qt.Operator(strategies=['strima'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 27.7ms
time consumption for operation back looping: 575.1ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 387 386 773 53.8% 0.0% 46.2%
Total operation fee: ¥ 154,195.86
total investment amount: ¥ 100,000.00
final value: ¥1,919,160.49
Total return: 1819.16%
Avg Yearly return: 12.54%
Skewness: -0.25
Kurtosis: 12.93
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.030
Beta: 0.991
Sharp ratio: 0.038
Info ratio: 0.010
250 day volatility: 0.157
Max drawdown: 41.48%
peak / valley: 2007-10-16 / 2009-01-15
recovered on: 2014-11-25
===========END OF REPORT=============
op = qt.Operator(strategies=['swma'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 26.5ms
time consumption for operation back looping: 592.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 497 496 993 53.1% 0.0% 46.9%
Total operation fee: ¥ 216,059.32
total investment amount: ¥ 100,000.00
final value: ¥2,310,899.63
Total return: 2210.90%
Avg Yearly return: 13.38%
Skewness: -0.12
Kurtosis: 14.11
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.030
Beta: 0.990
Sharp ratio: 0.039
Info ratio: 0.013
250 day volatility: 0.157
Max drawdown: 31.63%
peak / valley: 2015-06-12 / 2018-12-14
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['dsma'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 38.5ms
time consumption for operation back looping: 593.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 33 33 66 54.1% 0.0% 45.9%
Total operation fee: ¥ 8,073.73
total investment amount: ¥ 100,000.00
final value: ¥1,282,102.43
Total return: 1182.10%
Avg Yearly return: 10.74%
Skewness: -0.79
Kurtosis: 11.82
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.003
Beta: 0.918
Sharp ratio: 0.033
Info ratio: 0.006
250 day volatility: 0.164
Max drawdown: 37.77%
peak / valley: 2015-06-12 / 2016-01-07
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['ddema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 50.2ms
time consumption for operation back looping: 576.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 62 61 123 53.9% 0.0% 46.1%
Total operation fee: ¥ 13,708.33
total investment amount: ¥ 100,000.00
final value: ¥ 934,220.81
Total return: 834.22%
Avg Yearly return: 9.35%
Skewness: -0.63
Kurtosis: 12.39
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.001
Beta: 0.998
Sharp ratio: 0.022
Info ratio: 0.001
250 day volatility: 0.167
Max drawdown: 49.41%
peak / valley: 2007-10-16 / 2008-11-04
recovered on: 2009-07-27
===========END OF REPORT=============
op = qt.Operator(strategies=['dema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 40.9ms
time consumption for operation back looping: 581.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 152 151 303 53.5% 0.0% 46.5%
Total operation fee: ¥ 79,796.95
total investment amount: ¥ 100,000.00
final value: ¥2,743,507.81
Total return: 2643.51%
Avg Yearly return: 14.16%
Skewness: -0.60
Kurtosis: 13.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.047
Beta: 0.996
Sharp ratio: 0.043
Info ratio: 0.016
250 day volatility: 0.161
Max drawdown: 31.93%
peak / valley: 2015-06-12 / 2019-01-17
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['dkama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 42.3ms
time consumption for operation back looping: 585.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 44 45 89 53.1% 0.0% 46.9%
Total operation fee: ¥ 8,105.82
total investment amount: ¥ 100,000.00
final value: ¥1,070,862.54
Total return: 970.86%
Avg Yearly return: 9.94%
Skewness: -0.71
Kurtosis: 11.98
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.128
Beta: 0.724
Sharp ratio: 0.050
Info ratio: 0.003
250 day volatility: 0.159
Max drawdown: 39.87%
peak / valley: 2009-08-04 / 2013-12-26
recovered on: 2015-03-23
===========END OF REPORT=============
op = qt.Operator(strategies=['dmama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 270.6ms
time consumption for operation back looping: 580.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 137 136 273 53.3% 0.0% 46.7%
Total operation fee: ¥ 80,851.94
total investment amount: ¥ 100,000.00
final value: ¥2,574,675.59
Total return: 2474.68%
Avg Yearly return: 13.87%
Skewness: -0.70
Kurtosis: 13.43
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.045
Beta: 0.997
Sharp ratio: 0.038
Info ratio: 0.015
250 day volatility: 0.161
Max drawdown: 39.49%
peak / valley: 2015-06-12 / 2020-06-15
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['dfama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 258.3ms
time consumption for operation back looping: 547.5ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 58 57 115 52.3% 0.0% 47.7%
Total operation fee: ¥ 23,184.64
total investment amount: ¥ 100,000.00
final value: ¥1,764,779.73
Total return: 1664.78%
Avg Yearly return: 12.16%
Skewness: -0.69
Kurtosis: 12.85
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.031
Beta: 0.997
Sharp ratio: 0.027
Info ratio: 0.010
250 day volatility: 0.160
Max drawdown: 46.06%
peak / valley: 2015-06-12 / 2020-06-15
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['dt3'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 42.1ms
time consumption for operation back looping: 572.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 118 118 236 52.8% 0.0% 47.2%
Total operation fee: ¥ 32,440.65
total investment amount: ¥ 100,000.00
final value: ¥1,286,985.75
Total return: 1186.99%
Avg Yearly return: 10.76%
Skewness: -0.73
Kurtosis: 13.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.008
Beta: 0.997
Sharp ratio: 0.030
Info ratio: 0.006
250 day volatility: 0.164
Max drawdown: 38.98%
peak / valley: 2007-10-16 / 2009-01-21
recovered on: 2009-07-24
===========END OF REPORT=============
op = qt.Operator(strategies=['dtema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 64.3ms
time consumption for operation back looping: 585.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 497 496 993 49.8% 0.0% 50.2%
Total operation fee: ¥ 145,631.11
total investment amount: ¥ 100,000.00
final value: ¥1,805,256.44
Total return: 1705.26%
Avg Yearly return: 12.26%
Skewness: 0.29
Kurtosis: 15.36
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.003
Beta: 0.993
Sharp ratio: 0.044
Info ratio: 0.009
250 day volatility: 0.158
Max drawdown: 44.01%
peak / valley: 2007-10-31 / 2008-11-04
recovered on: 2011-02-14
===========END OF REPORT=============
op = qt.Operator(strategies=['dtrima'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 38.3ms
time consumption for operation back looping: 550.6ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 34 34 68 52.3% 0.0% 47.7%
Total operation fee: ¥ 9,376.42
total investment amount: ¥ 100,000.00
final value: ¥1,448,674.20
Total return: 1348.67%
Avg Yearly return: 11.28%
Skewness: -0.68
Kurtosis: 11.80
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.069
Beta: 0.805
Sharp ratio: 0.043
Info ratio: 0.008
250 day volatility: 0.161
Max drawdown: 39.98%
peak / valley: 2015-06-12 / 2020-03-23
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['dwma'])
op.set_parameter(0, pars=(200, 22))
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 35.3ms
time consumption for operation back looping: 556.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 33 34 67 53.7% 0.0% 46.3%
Total operation fee: ¥ 9,293.27
total investment amount: ¥ 100,000.00
final value: ¥1,439,770.26
Total return: 1339.77%
Avg Yearly return: 11.25%
Skewness: -0.79
Kurtosis: 11.81
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.008
Beta: 0.924
Sharp ratio: 0.036
Info ratio: 0.008
250 day volatility: 0.161
Max drawdown: 36.23%
peak / valley: 2009-08-04 / 2013-12-26
recovered on: 2014-12-31
===========END OF REPORT=============
op = qt.Operator(strategies=['slsma'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 23.8ms
time consumption for operation back looping: 572.2ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 180 179 359 52.3% 0.0% 47.7%
Total operation fee: ¥ 76,876.35
total investment amount: ¥ 100,000.00
final value: ¥2,212,725.86
Total return: 2112.73%
Avg Yearly return: 13.18%
Skewness: -0.65
Kurtosis: 12.88
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.040
Beta: 0.996
Sharp ratio: 0.029
Info ratio: 0.013
250 day volatility: 0.158
Max drawdown: 44.26%
peak / valley: 2009-08-04 / 2014-07-10
recovered on: 2015-03-30
===========END OF REPORT=============
op = qt.Operator(strategies=['sldema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 30.5ms
time consumption for operation back looping: 574.3ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 292 291 583 53.5% 0.0% 46.5%
Total operation fee: ¥ 322,499.81
total investment amount: ¥ 100,000.00
final value: ¥6,003,557.59
Total return: 5903.56%
Avg Yearly return: 17.79%
Skewness: -0.32
Kurtosis: 13.04
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.089
Beta: 0.994
Sharp ratio: 0.057
Info ratio: 0.026
250 day volatility: 0.158
Max drawdown: 25.23%
peak / valley: 1997-05-12 / 1997-08-11
recovered on: 1999-05-24
===========END OF REPORT=============
op = qt.Operator(strategies=['slema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 25.4ms
time consumption for operation back looping: 599.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 232 231 463 53.3% 0.0% 46.7%
Total operation fee: ¥ 171,936.08
total investment amount: ¥ 100,000.00
final value: ¥4,069,320.46
Total return: 3969.32%
Avg Yearly return: 15.97%
Skewness: -0.49
Kurtosis: 13.53
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.067
Beta: 0.994
Sharp ratio: 0.046
Info ratio: 0.021
250 day volatility: 0.156
Max drawdown: 26.81%
peak / valley: 2007-10-16 / 2009-01-16
recovered on: 2009-06-18
===========END OF REPORT=============
op = qt.Operator(strategies=['slht'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 129.4ms
time consumption for operation back looping: 580.4ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 186 185 371 53.1% 0.0% 46.9%
Total operation fee: ¥ 78,314.29
total investment amount: ¥ 100,000.00
final value: ¥2,313,301.46
Total return: 2213.30%
Avg Yearly return: 13.38%
Skewness: -0.67
Kurtosis: 13.57
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.042
Beta: 0.997
Sharp ratio: 0.038
Info ratio: 0.014
250 day volatility: 0.162
Max drawdown: 32.27%
peak / valley: 2009-08-04 / 2012-11-07
recovered on: 2014-12-02
===========END OF REPORT=============
op = qt.Operator(strategies=['slkama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 24.5ms
time consumption for operation back looping: 566.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 221 220 441 49.3% 0.0% 50.7%
Total operation fee: ¥ 91,979.22
total investment amount: ¥ 100,000.00
final value: ¥2,145,109.68
Total return: 2045.11%
Avg Yearly return: 13.04%
Skewness: -0.36
Kurtosis: 14.19
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.029
Beta: 0.993
Sharp ratio: 0.040
Info ratio: 0.011
250 day volatility: 0.150
Max drawdown: 32.78%
peak / valley: 2007-10-16 / 2008-12-23
recovered on: 2009-07-06
===========END OF REPORT=============
op = qt.Operator(strategies=['slmama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 133.8ms
time consumption for operation back looping: 578.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 494 493 987 53.2% 0.0% 46.8%
Total operation fee: ¥ 331,123.13
total investment amount: ¥ 100,000.00
final value: ¥3,839,038.80
Total return: 3739.04%
Avg Yearly return: 15.70%
Skewness: -0.11
Kurtosis: 13.87
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.055
Beta: 0.990
Sharp ratio: 0.048
Info ratio: 0.019
250 day volatility: 0.157
Max drawdown: 25.57%
peak / valley: 2015-07-23 / 2018-12-14
recovered on: 2020-07-06
===========END OF REPORT=============
op = qt.Operator(strategies=['slfama'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 139.5ms
time consumption for operation back looping: 588.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 121 120 241 52.9% 0.0% 47.1%
Total operation fee: ¥ 34,547.45
total investment amount: ¥ 100,000.00
final value: ¥1,187,917.00
Total return: 1087.92%
Avg Yearly return: 10.40%
Skewness: -0.75
Kurtosis: 13.33
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.007
Beta: 0.997
Sharp ratio: 0.027
Info ratio: 0.004
250 day volatility: 0.163
Max drawdown: 47.92%
peak / valley: 2015-06-12 / 2020-06-15
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['slt3'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 24.6ms
time consumption for operation back looping: 554.0ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 106 106 212 53.1% 0.0% 46.9%
Total operation fee: ¥ 23,376.58
total investment amount: ¥ 100,000.00
final value: ¥ 984,738.14
Total return: 884.74%
Avg Yearly return: 9.58%
Skewness: -0.73
Kurtosis: 13.29
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: -0.002
Beta: 0.997
Sharp ratio: 0.027
Info ratio: 0.002
250 day volatility: 0.163
Max drawdown: 35.69%
peak / valley: 2007-10-16 / 2009-01-21
recovered on: 2009-07-15
===========END OF REPORT=============
op = qt.Operator(strategies=['sltema'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 25.1ms
time consumption for operation back looping: 627.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 637 636 1273 53.4% 0.0% 46.6%
Total operation fee: ¥ 271,491.57
total investment amount: ¥ 100,000.00
final value: ¥2,071,418.67
Total return: 1971.42%
Avg Yearly return: 12.88%
Skewness: -0.07
Kurtosis: 13.77
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.028
Beta: 0.989
Sharp ratio: 0.035
Info ratio: 0.011
250 day volatility: 0.159
Max drawdown: 40.19%
peak / valley: 2015-07-13 / 2018-12-14
recovered on: Not recovered!
===========END OF REPORT=============
op = qt.Operator(strategies=['sltrima'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 23.8ms
time consumption for operation back looping: 554.7ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 84 83 167 53.7% 0.0% 46.3%
Total operation fee: ¥ 18,479.00
total investment amount: ¥ 100,000.00
final value: ¥1,124,468.69
Total return: 1024.47%
Avg Yearly return: 10.16%
Skewness: -0.77
Kurtosis: 12.34
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.002
Beta: 0.997
Sharp ratio: 0.023
Info ratio: 0.004
250 day volatility: 0.166
Max drawdown: 39.94%
peak / valley: 2007-10-16 / 2008-12-31
recovered on: 2010-10-25
===========END OF REPORT=============
op = qt.Operator(strategies=['slwma'])
res = qt.run(op, mode=1)Progress: [########################################] 1/1. 100.0% Extracting data local files
/Users/jackie/OneDrive/Projects/PycharmProjects/qteasy/qteasy/operator.py:1049: UserWarning: User-defined Signal blenders do not exist, default ones will be created!
warnings.warn(f'User-defined Signal blenders do not exist, default ones will be created!', UserWarning)
====================================
| |
| BACK TESTING RESULT |
| |
====================================
qteasy running mode: 1 - History back testing
time consumption for operate signal creation: 23.2ms
time consumption for operation back looping: 601.8ms
investment starts on 1996-04-15 00:00:00
ends on 2021-04-13 00:00:00
Total looped periods: 25.0 years.
-------------operation summary:------------
Sell Cnt Buy Cnt Total Long pct Short pct Empty pct
000001.SH 111 111 222 54.0% 0.0% 46.0%
Total operation fee: ¥ 33,484.92
total investment amount: ¥ 100,000.00
final value: ¥1,433,746.89
Total return: 1333.75%
Avg Yearly return: 11.23%
Skewness: -0.69
Kurtosis: 12.70
Benchmark return: 480.92%
Benchmark Yearly return: 7.29%
------strategy loop_results indicators------
alpha: 0.022
Beta: 0.991
Sharp ratio: 0.025
Info ratio: 0.008
250 day volatility: 0.160
Max drawdown: 39.66%
peak / valley: 2015-06-12 / 2020-06-16
recovered on: Not recovered!
===========END OF REPORT=============
