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使用ffn库对净值曲线进行绩效统计

使用ffn库对净值曲线进行绩效统计

上一篇文章已经介绍了如何生成净值曲线,这次我们介绍如何对净值曲线进行统计

我们将上次的核心代码用于这次的测试。

['/home/jquser/mylib', '', '/opt/conda/envs/python3new/lib/python3.6/jqcommon', '/opt/conda/envs/python3new/lib/python36.zip', '/opt/conda/envs/python3new/lib/python3.6', '/opt/conda/envs/python3new/lib/python3.6/lib-dynload', '/opt/conda/envs/python3new/lib/python3.6/site-packages', '/opt/conda/envs/python3new/lib/python3.6/site-packages/IPython/extensions', '/home/jquser/.ipython']

Stat 000300.XSHG 399673.XSHE------------------- ------------- -------------Start 2014-06-18 2014-06-18End 2018-11-14 2018-11-14Risk-free rate 0.00% 0.00%Total Return 12.54% 42.90%Daily Sharpe 0.25 0.45Daily Sortino 0.36 0.69CAGR 2.72% 8.43%Max Drawdown -39.41% -51.16%Calmar Ratio 0.07 0.16MTD -0.66% 2.45%3m -9.81% -6.32%6m -15.79% -14.30%YTD -17.84% -17.47%1Y -20.11% -20.38%3Y (ann.) -9.06% -19.51%5Y (ann.) 2.72% 8.43%10Y (ann.) 2.72% 8.43%Since Incep. (ann.) 2.72% 8.43%Daily Sharpe 0.25 0.45Daily Sortino 0.36 0.69Daily Mean (ann.) 4.35% 11.71%Daily Vol (ann.) 17.75% 25.86%Daily Skew -0.92 -0.32Daily Kurt 13.34 7.73Best Day 5.67% 7.35%Worst Day -9.93% -11.23%Monthly Sharpe 0.24 0.45Monthly Sortino 0.58 1.20Monthly Mean (ann.) 4.66% 10.81%Monthly Vol (ann.) 19.48% 24.15%Monthly Skew 2.22 1.24Monthly Kurt 8.80 1.12Best Month 26.21% 20.50%Worst Month -8.97% -8.34%Yearly Sharpe -0.37 0.29Yearly Sortino -0.58 2.80Yearly Mean -4.55% 24.55%Yearly Vol 12.25% 83.34%Yearly Skew 0.62 2.00Yearly Kurt 0.87 3.99Best Year 11.46% 149.52%Worst Year -17.84% -19.18%Avg. Drawdown -4.51% -6.56%Avg. Drawdown Days 67.43 54.21Avg. Up Month 4.75% 6.53%Avg. Down Month -2.71% -3.76%Win Year % 25.00% 25.00%Win 12m % 51.16% 30.23%

总结

在已经通过其它方式得到净值曲线后,再对其进行统计极为简单,只计算单个指标时也很方便

  • 发表于:
  • 原文链接https://kuaibao.qq.com/s/20181128G0WAGF00?refer=cp_1026
  • 腾讯「腾讯云开发者社区」是腾讯内容开放平台帐号(企鹅号)传播渠道之一,根据《腾讯内容开放平台服务协议》转载发布内容。
  • 如有侵权,请联系 cloudcommunity@tencent.com 删除。

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