昨日外盘有色大涨，立马拉升了国内期货的多头气势。顺手做了一个期货品种在不同统计区间内的收益率，以便大家做品种资金配置，欢迎交流！。
克隆策略
In [2]:
instruments = ['CU.SHF', 'AL.SHF', 'J.DCE', 'JM.DCE', 'ZC.CZC', 'I.DCE', 'RB.SHF', 'HC.SHF'
, 'RU.SHF', 'L.DCE', 'TA.CZC', 'PP.DCE', 'MA.CZC', 'BU.SHF', 'C.DCE','CS.DCE','M.DCE'
, 'RM.CZC', 'A.DCE', 'P.DCE', 'OI.CZC', 'SR.CZC', 'JD.DCE'
]
# 获取数据
df = D.history_data(instruments=instruments, start_date='2010-01-01',
end_date='2017-08-16', fields=['close','high','low'])
# 计算期间收益率
def cal_ret(df, **kw):
df['ret_%s'%kw['days']] = df['close']/df['close'].shift(kw['days'])-1
return df
# 画图函数
def plot_figure(date, days):
result = df.groupby('instrument').apply(cal_ret, days=days)
tmp = result.set_index('date').ix[date]
if days == 120:
title_str = '近半年品种收益率'
elif days == 252:
title_str = '近一年品种收益率'
elif days == 750:
title_str = '近三年品种收益率'
T.plot(tmp[['instrument', 'ret_%s'%days]].sort_values('ret_%s'%days, ascending=False).set_index('instrument'),
chart_type='column', title=title_str)
# 接口调用
plot_figure('2017-08-16', 120)
plot_figure('2017-08-16', 252)
plot_figure('2017-08-16', 750)