qlib中的启动代码展示信号的

firstalpha.py

from pyqlib import init
from qlib.data import D
import matplotlib.pyplot as plt
import pandas as pd
import numpy as np

# 初始化
provider = r"D:\investmentresearch\qlibsystem\data_commod_daily\qlib_data_demo"
init(provider_uri=provider)

symbol = "CU_DOMINANT_DAILY"

# 取收盘价
df = D.features([symbol], ["$close"], start_time="2018-01-02", end_time="2019-12-31")
close = df["$close"]

# 计算短期/长期均线
ma5 = close.rolling(5).mean()
ma20 = close.rolling(20).mean()

# 策略信号
signal = (ma5 > ma20).astype(int)

# 日收益率
ret = close.pct_change().fillna(0)

# 策略收益
strategy_ret = signal.shift(1) * ret
nav_strategy = (1 + strategy_ret).cumprod()

# 基准：买入持有
nav_bh = (1 + ret).cumprod()

# 夏普比率计算函数
def sharpe_ratio(returns, freq=252):
    mean_ret = returns.mean()
    vol = returns.std()
    return (mean_ret / vol) * np.sqrt(freq) if vol > 0 else np.nan

# 计算夏普
sharpe_strategy = sharpe_ratio(strategy_ret)
sharpe_bh = sharpe_ratio(ret)

print(f"Sharpe Ratio (MA策略): {sharpe_strategy:.2f}")
print(f"Sharpe Ratio (买入持有): {sharpe_bh:.2f}")

# 对比画图
plt.figure(figsize=(10,5))
nav_strategy.plot(label="MA Crossover Strategy")
nav_bh.plot(label="Buy & Hold")
plt.title(f"Strategy vs Buy&Hold - {symbol}")
plt.ylabel("Net Value")
plt.legend()
plt.grid(True)
plt.show()