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