整理 course 目录：原课程归入同名文件夹，新增学习资料/动手练习分类

2026-09-28 11:52:44 +08:00
parent 5629d57ea7
commit cb211da473
51 changed files with 398 additions and 32 deletions
@@ -0,0 +1,36 @@
+"""04 | 动量轮动策略
+目标：从"单票择时"升级到"多标的轮动"。
+策略：每月末看过去 N 日涨幅，持有最强的一只。
+"""
+import pandas as pd, numpy as np
+from lib_quant import get_daily, net_value, stats
+
+POOL = {"600519": "贵州茅台", "000001": "平安银行", "300750": "宁德时代",
+        "601318": "中国平安", "000858": "五粮液"}
+LOOKBACK, FREQ = 20, 20   # 回看20日，每20个交易日调仓
+
+px = {}
+for c in POOL:
+    d = get_daily(c, "20200101", "20241231")[["日期", "收盘"]].set_index("日期")
+    px[c] = d["收盘"]
+prices = pd.DataFrame(px).dropna()
+mom = prices.pct_change(LOOKBACK)
+
+rets = []
+cur = None
+for i in range(LOOKBACK, len(prices) - 1):
+    if (i - LOOKBACK) % FREQ == 0:                 # 调仓日
+        cur = mom.iloc[i].idxmax()                 # 动量最强
+    if cur is not None:
+        r = prices[cur].iloc[i + 1] / prices[cur].iloc[i] - 1
+        rets.append(r)
+    else:
+        rets.append(0.0)
+
+s = pd.Series(rets)
+print("== 动量轮动 ==", stats(s))
+print("== 等权买入持有 ==", stats(prices.pct_change().mean(axis=1).iloc[LOOKBACK:]))
+
+# 思考题：
+# 1) 换 LOOKBACK (10/60/120) 看结果——动量在A股有效吗？
+# 2) 为什么不持有全部、按动量加权？(提示: 集中 vs 分散)