最近N日绩效评估

# 最近N日绩效评估

定义

M.N_days_performance_statistics.v5(backtest_ds,N)

目的

得到N日组合收益率和基准收益率之间的对比

参数

  • N:N日绩效指标评估,可选,整数,默认值5,最大值2147483647,最小值1

返回

  • evaluation_of_perf_indicator:evaluation_of_perf_indicator,N日绩效指标
  • analysis_of_stage_return_rat:analysis_of_stage_return_rat,N日阶段收益率分析

返回类型:图表

工作流截图

示例代码

# m2为回测模块
m5 = M.N_days_performance_statistics.v5(
    backtest_ds=m2.raw_perf,
    N=5
)

运行结果

[2019-07-16 18:42:52.273203] INFO: bigquant: instruments.v2 开始运行..
[2019-07-16 18:42:52.327285] INFO: bigquant: 命中缓存
[2019-07-16 18:42:52.329746] INFO: bigquant: instruments.v2 运行完成[0.056536s].
[2019-07-16 18:42:52.333218] INFO: bigquant: advanced_auto_labeler.v2 开始运行..
[2019-07-16 18:42:52.388716] INFO: bigquant: 命中缓存
[2019-07-16 18:42:52.391735] INFO: bigquant: advanced_auto_labeler.v2 运行完成[0.058485s].
[2019-07-16 18:42:52.394880] INFO: bigquant: input_features.v1 开始运行..
[2019-07-16 18:42:52.450308] INFO: bigquant: 命中缓存
[2019-07-16 18:42:52.452285] INFO: bigquant: input_features.v1 运行完成[0.057379s].
[2019-07-16 18:42:52.494692] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-07-16 18:42:52.526318] INFO: bigquant: 命中缓存
[2019-07-16 18:42:52.528712] INFO: bigquant: general_feature_extractor.v7 运行完成[0.034018s].
[2019-07-16 18:42:52.531383] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-07-16 18:42:52.586050] INFO: bigquant: 命中缓存
[2019-07-16 18:42:52.588354] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.056931s].
[2019-07-16 18:42:52.594944] INFO: bigquant: join.v3 开始运行..
[2019-07-16 18:42:52.644812] INFO: bigquant: 命中缓存
[2019-07-16 18:42:52.647129] INFO: bigquant: join.v3 运行完成[0.052178s].
[2019-07-16 18:42:52.650546] INFO: bigquant: dropnan.v1 开始运行..
[2019-07-16 18:42:52.711573] INFO: bigquant: 命中缓存
[2019-07-16 18:42:52.713580] INFO: bigquant: dropnan.v1 运行完成[0.063013s].
[2019-07-16 18:42:52.716554] INFO: bigquant: stock_ranker_train.v5 开始运行..
[2019-07-16 18:42:52.784402] INFO: bigquant: 命中缓存
[2019-07-16 18:42:53.235283] INFO: bigquant: stock_ranker_train.v5 运行完成[0.518688s].
[2019-07-16 18:42:53.239002] INFO: bigquant: instruments.v2 开始运行..
[2019-07-16 18:42:53.314950] INFO: bigquant: 命中缓存
[2019-07-16 18:42:53.317113] INFO: bigquant: instruments.v2 运行完成[0.078093s].
[2019-07-16 18:42:53.401418] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-07-16 18:42:53.488885] INFO: bigquant: 命中缓存
[2019-07-16 18:42:53.491458] INFO: bigquant: general_feature_extractor.v7 运行完成[0.090022s].
[2019-07-16 18:42:53.495202] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-07-16 18:42:53.583746] INFO: bigquant: 命中缓存
[2019-07-16 18:42:53.588591] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.093361s].
[2019-07-16 18:42:53.593132] INFO: bigquant: dropnan.v1 开始运行..
[2019-07-16 18:42:53.650164] INFO: bigquant: 命中缓存
[2019-07-16 18:42:53.655081] INFO: bigquant: dropnan.v1 运行完成[0.061934s].
[2019-07-16 18:42:53.659136] INFO: bigquant: stock_ranker_predict.v5 开始运行..
[2019-07-16 18:42:53.732148] INFO: bigquant: 命中缓存
[2019-07-16 18:42:53.736601] INFO: bigquant: stock_ranker_predict.v5 运行完成[0.077438s].
[2019-07-16 18:42:53.811397] INFO: bigquant: backtest.v8 开始运行..
[2019-07-16 18:42:53.953857] INFO: bigquant: 命中缓存
[2019-07-16 18:42:55.684720] INFO: bigquant: backtest.v8 运行完成[1.873323s].
[2019-07-16 18:42:55.751654] INFO: bigquant: N_days_performance_statistics.v5 开始运行..
[2019-07-16 18:42:55.863704] INFO: bigquant: 命中缓存
[2019-07-16 18:42:56.019228] INFO: bigquant: N_days_performance_statistics.v5 运行完成[0.267571s].

输出图表


更多应用,可参见BigQuant平台【量化分析】模块中的绩效归因模板策略