python 策略回测期货_可转债双低策略量化回测python源码

2020-11-12 00:00:00 [INFO] 20201112 , 223478.9394 , 218040.2727 , 0.1316560980842020-11-12 00:00:00 [INFO] {'120003.XSHE': 38, '128099.XSHE': 43, '120004.XSHE': 53, '132018.XSHG': 52}发现没考虑交换债，如果要过滤交换债

星隧木鸣

1823人浏览 · 2021-01-28 22:53:07

星隧木鸣 · 2021-01-28 22:53:07 发布

2020-11-12 00:00:00 [INFO] 20201112 , 223478.9394 , 218040.2727 , 0.131656098084

2020-11-12 00:00:00 [INFO] {'120003.XSHE': 38, '128099.XSHE': 43, '120004.XSHE': 53, '132018.XSHG': 52}

发现没考虑交换债，如果要过滤交换债，取值时字段加上secShortNameBond，再加一句过滤EB

data = DataAPI.MktConsBondPerfGet(beginDate=today_date,endDate=today_date,secID=ConBonds['secID'],tickerBond=u"",tickerEqu=u"",field=u"secShortNameBond,secID,closePriceBond,bondPremRatio",pandas="1")

data=data[~data['secShortNameBond'].str.contains('EB')] #过滤交换债

嗯，交换债消失了

2020-11-12 00:00:00 [INFO] 20201112 , 223380.4756 , 215550.9689 , 0.131656098084

2020-11-12 00:00:00 [INFO] {'113034.XSHG': 38, '128099.XSHE': 43, '128108.XSHE': 59, '123026.XSHE': 38}