python-優礦-牛市價差和熊市價差組合策略

#本文分析牛市看張價差和熊市看跌價差的組合策略效果：#牛市看漲價差採用買入平值看漲期權，賣出較高行權價的看漲期權#熊市看跌價差組合採用買入平值看跌期權，賣出較低行行權價的看跌期權#####實際上還有很多不同的方式構造價差組合###################################import pandas as pdimport numpy as npimport matplotlib.pyplot as pltfrom lib.qiquan import*############################################################################################讀取50etf標的df=pd.read_excel('50etf_fund.xlsx')df.index=df['tradeDate']#擷取交易日期date=list(df['tradeDate'])####################################################################profit=[]for i in range(1,len(date)):          day=date[i]        etf_price_close=float(df[df['tradeDate'].isin([day])]['close'])        etf_price_open=float(df[df['tradeDate'].isin([day])]['open'])        secID_data_low=list(get_low(df,day)['secID'])        #print data        #擷取近月代碼        near_c_low=secID_data_low[-2]        near_p_low=secID_data_low[-1]         #####        secID_data_high=list(get_high(df,day)['secID'])        #print data        #擷取近月代碼        near_c_high=secID_data_high[-2]        near_p_high=secID_data_high[-1]         #擷取近月價格        secID_data_near=list(get_near(df,day)['secID'])        #print data        #擷取近月代碼        near_c_near=secID_data_near[-2]        near_p_near=secID_data_near[-1]         #####        option_c_data_low=DataAPI.MktOptdGet(tradeDate=day,                                           secID=near_c_low,optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_p_data_low=DataAPI.MktOptdGet(tradeDate=day,secID=near_p_low,                                             optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_c_data_high=DataAPI.MktOptdGet(tradeDate=day,                                           secID=near_c_high,optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_p_data_high=DataAPI.MktOptdGet(tradeDate=day,secID=near_p_high,                                             optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_c_data_near=DataAPI.MktOptdGet(tradeDate=day,                                           secID=near_c_near,optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_p_data_near=DataAPI.MktOptdGet(tradeDate=day,secID=near_p_near,                                             optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        buy_condition=get_up(df,date,i,20)        #print buy_condition        if buy_condition==False:            money=(float(option_p_data_near['closePrice'])-float(option_p_data_near['openPrice'])-float(option_c_data_low['closePrice'])+float(option_c_data_low['openPrice']))*10000            profit.append(money)        if buy_condition==True:            money=(float(option_c_data_near['closePrice'])-float(option_c_data_near['openPrice'])-float(option_c_data_high['closePrice'])+float(option_c_data_high['openPrice']))*10000            profit.append(money)all_profit=pd.Series(profit).cumsum()

註：代碼僅供參考，請勿直接使用，有bug.另外沒有考慮手續約的問題。