0.9.60 新增两个统计指标

czsc/traders/weight_backtest.py

@@ -554,8 +554,7 @@ def backtest(self, n_jobs=1):
         dret = pd.concat([v["daily"] for k, v in res.items() if k in symbols], ignore_index=True)
         dret = pd.pivot_table(dret, index="date", columns="symbol", values="return").fillna(0)
         dret["total"] = dret[list(res.keys())].mean(axis=1)
-        # dret = dret.shift(1).fillna(0).round(4).reset_index()
-        # ret 中的 date 对应的是上一日；date 后移一位，对应的才是当日收益
+        # dret 中的 date 对应的是上一日；date 后移一位，对应的才是当日收益
         dret = dret.round(4).reset_index()
         res["品种等权日收益"] = dret
 
@@ -572,6 +571,8 @@ def backtest(self, n_jobs=1):
         stats.update({"多头占比": round(long_rate, 4), "空头占比": round(short_rate, 4)})
 
         alpha = self.alpha.copy()
+        stats["波动比"] = round(alpha["策略"].std() / alpha["基准"].std(), 4)
+        stats["与基准波动相关性"] = round(alpha["策略"].corr(alpha["基准"].abs()), 4)
         stats["与基准相关性"] = round(alpha["策略"].corr(alpha["基准"]), 4)
         alpha_short = alpha[alpha["基准"] < 0].copy()
         stats["与基准空头相关性"] = round(alpha_short["策略"].corr(alpha_short["基准"]), 4)

examples/develop/weight_backtest.py

@@ -1,6 +1,7 @@
 # https://s0cqcxuy3p.feishu.cn/wiki/Pf1fw1woQi4iJikbKJmcYToznxb
 import sys
-sys.path.insert(0, r"D:\ZB\git_repo\waditu\czsc")
+
+sys.path.insert(0, r"A:\ZB\git_repo\waditu\czsc")
 import czsc
 import pandas as pd
 
@@ -9,7 +10,6 @@
 
 def test_ensemble_weight():
     """从持仓权重样例数据中回测"""
-    dfw = pd.read_feather(r"C:\Users\zengb\Desktop\weight_example.feather")
+    dfw = pd.read_feather(r"C:\Users\zengb\Downloads\weight_example.feather")
     wb = czsc.WeightBacktest(dfw, digits=1, fee_rate=0.0002, res_path=r"C:\Users\zengb\Desktop\weight_example")
-    res = wb.backtest()
-
+    # res = wb.backtest()