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克隆策略
In [8]:
df = pd.DataFrame()
df['date'] = ['2022-7-8','2022-7-11','2022-7-12','2022-7-13','2022-7-14','2022-7-15']
df['BETA'] = [1,0.995713,0.992312,0.994299,1.001832,1.00594]
df['动量'] = [1,1.002068,1.004541,1.005869,1.008173,1.010745]
df['市值'] = [1,0.995478,0.996868,0.992717,0.992154,0.992991]
df['盈利'] = [1,0.99875,1.001065,0.999666,0.998795,1.000145]
df['残差波动率'] = [1,1.001011,1.001095,1.000153,1.002326,1.003403]
df['成长'] = [1,1.000416,0.99793,0.997754,0.999187,1.000988]
df['账面市值比'] = [1,1.002818,1.005058,1.006428,1.002673,0.998126]
df['杠杆'] = [1,1.00168,1.003169,1.004496,1.00378,1.003082]
df['流动性'] = [1,0.999259,0.999991,1.001619,0.996661,0.992591]
df['非线性市值'] = [1,1.000045,0.999823,0.997418,0.998179,1.000552]
df = df.set_index('date')
T.plot(df,title="因子收益净值")