PITCHING.rar_Matlab 回测_backtesting_回测_股

clear; clc; % [ROE_total,Stock_list]=xlsread('roe扣非'); % PE_total=xlsread('PE ttm'); % ROA_total=xlsread('ROA'); % PB_total=xlsread('PB值'); load PE_total; load PB_total; load ROA_total; load ROE_total; load Stock_list; w=windmatlab; %下载交易日数据 [~,~,~,trade_day,~,~]=w.wsd('000001.SZ','close','2005-12-01','2015-12-31','Period=Q','Fill=Previous'); N=length(trade_day); Retr_simple=zeros(N-1,1); Retr_weighted=zeros(N-1,1); for ii=1:N-1; ii if ii==1; date='20060104'; date_previous='20050930'; date_next='20060331'; else date=datestr(trade_day(ii),'yyyymmdd'); date_previous=datestr(trade_day(ii-1),'yyyymmdd'); date_next=datestr(trade_day(ii+1),'yyyymmdd'); end %下载股票名单 download_code = strcat('date=',date,';sectorId=a001010100000000;field=wind_code'); [a_share_list,~,~,~,~,~]=w.wset('SectorConstituent',download_code); %下载基础数据：行业分类，流通股市值 [ev,~,~,~,~,~]=w.wsd(a_share_list,'ev',date,date); [Industry_code,~,~,~,~,~]=w.wsd(a_share_list,'industry_gicscode',date,date,'industryType=1'); %将股票分为金融股和非金融股 Financial_stock_list={};p=1; Finacial_stock_ev=[]; Non_financial_stock_list={};q=1; Non_finacial_stock_ev=[]; N_stock=length(a_share_list); for i=1:N_stock; if ~isnan(ev(i)) if strcmp(Industry_code{i},'40'); Financial_stock_list{p,1}=a_share_list{i}; Finacial_stock_ev(p,1)=ev(i); p=p+1; else Non_financial_stock_list{q,1}=a_share_list{i}; Non_finacial_stock_ev(q,1)=ev(i); q=q+1; end; end; end; %非金融股ROE及PE下载； % [ROE,~,~,~,~,~]=w.wsd(Non_financial_stock_list,'roe_exdiluted',date_previous,date_previous,'Period=Q'); % [PE,~,~,~,~,~]=w.wsd(Non_financial_stock_list,'pe_ttm',date,date,'Period=Q'); % %挑选出数据完整的股票 % Effective_code=[];p=1; % for i=1:length(Non_financial_stock_list); % if ~isnan(ROE(i)) && ~isnan(PE(i)) && ROE(i)>0 && PE(i)>0 && PE(i)<200; % Effective_code(p,1)=i; % p=p+1; % end; % end; % Effective_non_financial_stock_list={}; % for i=1:length(Effective_code); % Effective_non_financial_stock_list{i,1}=Non_financial_stock_list{Effective_code(i),1}; % end % ROE=ROE(Effective_code,1); % PE=PE(Effective_code,1); % Non_finacial_stock_ev=Non_finacial_stock_ev(Effective_code,1); Effective_non_financial_stock_list={}; ROE=[]; PE=[]; Effective_non_finacial_stock_ev=[]; pp=1; N_nonfinancial_stock=length(Non_financial_stock_list); for i=1:N_nonfinancial_stock; stock_name=Non_financial_stock_list{i,1}; A=ismember(Stock_list,stock_name); stock_code=find(A==1); if ~isempty(stock_code) && ~isnan(ROE_total(stock_code,42-ii)) && ~isnan(PE_total(stock_code,41-ii)) && PE_total(stock_code,41-ii)>0; ROE(pp,1)=ROE_total(stock_code,42-ii); PE(pp,1)=PE_total(stock_code,41-ii); Effective_non_finacial_stock_ev(pp,1)=Non_finacial_stock_ev(i,1); Effective_non_financial_stock_list{pp,1}=Non_financial_stock_list{i,1}; pp=pp+1; end; end; % 按照ROE以及PE排序 [Ranked_ROE,~]=sort(ROE,'descend'); [Ranked_PE,~]=sort(PE); rank_ROE=paiming(Ranked_ROE,ROE); rank_PE=paiming(Ranked_PE,PE); rank=rank_ROE+rank_PE; [~,target_code]=sort(rank); target_code=target_code'; %挑选综合排名前30的股票 target_code=target_code(1:30,1); Non_financial_target_stock_list={}; Non_financial_target_stock_ev=[]; for i=1:30; Non_financial_target_stock_list{i,1}=Effective_non_financial_stock_list{target_code(i,1),1}; Non_financial_target_stock_ev(i,1)=Effective_non_finacial_stock_ev(target_code(i,1),1); end; % 下载股票价格 [open_price_non_financial,~,~,~,~,~]=w.wsd(Non_financial_target_stock_list,'close',date,date,'Fill=Previous','PriceAdj=F'); [close_price_non_financail,~,~,~,~,~]=w.wsd(Non_financial_target_stock_list,'close',date_next,date_next,'Fill=Previous','PriceAdj=F'); %金融股数据下载 Effective_financial_stock_list={}; ROA=[]; PB=[]; Effective_finacial_stock_ev=[]; qq=1; N_financial_stock=length(Financial_stock_list); for i=1:N_financial_stock; stock_name=Financial_stock_list{i,1}; A=ismember(Stock_list,stock_name); stock_code=find(A==1); if ~isempty(stock_code) && ~isnan(ROA_total(stock_code,42-ii)) && ~isnan(PB_total(stock_code,41-ii)); ROA(qq,1)=ROA_total(stock_code,42-ii); PB(qq,1)=PB_total(stock_code,41-ii); Effective_finacial_stock_ev(qq,1)=Finacial_stock_ev(i,1); Effective_financial_stock_list{qq,1}=Financial_stock_list{i,1}; qq=qq+1; end; end; % 按照PB ROA排序 [Ranked_ROA,~]=sort(ROA,'descend'); [Ranked_PB,~]=sort(PB); rank_ROA=paiming(Ranked_ROA,ROA); rank_PB=paiming(Ranked_PB,PB); rank=rank_ROA+rank_PB; [~,target_code]=sort(rank); target_code=target_code'; %挑选综合排名前30的股票 target_code=target_code(1:30,1); Financial_target_stock_list={}; Financial_target_stock_ev=[]; for i=1:30; Financial_target_stock_list{i,1}=Effective_financial_stock_list{target_code(i,1),1}; Financial_target_stock_ev(i,1)=Effective_finacial_stock_ev(target_code(i,1),1); end; % 下载股票价格 [open_price_financial,~,~,~,~,~]=w.wsd(Financial_target_stock_list,'close',date,date,'Fill=Previous','PriceAdj=F'); [close_price_financial,~,~,~,~,~]=w.wsd(Financial_target_stock_list,'close',date_next,date_next,'Fill=Previous','PriceAdj=F'); % 计算return % 等权 c=0.0003; retr_non_financial_simple=mean((close_price_non_financail-open_price_non_financial)./open_price_non_financial)-c; retr_financial_simple=mean((close_price_financial-open_price_financial)./open_price_financial)-c; retr_simple=(retr_financial_simple+retr_non_financial_simple)/2; Retr_simple(ii,1)=retr_simple; %加权 open_price=[open_price_non_financial;open_price_financial]; close_price=[close_price_non_financail;close_price_financial]; Target_ev=[Non_financial_target_stock_ev;Financial_target_stock_ev]; Weight=Target_ev/sum(Target_ev); stock_number=Weight./open_price; retr_weighted=stock_number'*close_price-1-c; Retr_weighted(ii,1)=retr_weighted; end %%收益计算： %净值曲线 % 等权 N=length(Retr_simple); Net_asset_simple=zeros(N+1,1); Net_asset_simple(1,1)=1; for i=2:N+1; Net_asset_simple(i)=Net_asset_simple(i-1)*(1+Retr_simple(i-1)); end; plot(Net_asset_simple) %加权 N=length(Retr_weighted); Net_asset_weighted=zeros(N+1,1); Net_asset_weighted(1,1)=1; for i=2:N+1; Net_asset_weighted(i)=Net_asset_weighted(i-1)*(1+Retr_weighted(i-1)); end; plot(Net_asset_weighted) % Sharpe ratio Sharpe_simple=mean(Retr_simple)/std(Retr_simple)*2; Sharpe_weighted=mean(Retr_weighted)/std(Retr_weighted)*2; %最大回测 [Max_traceback_simple,~,~]=Max_withdraw(Net_asset_simple); [Max_traceback_weighted,~,~]=Max_withdraw(Net_asset_weighted); % 年化收益 yield_simple=mean(Retr_simple)*4; yield_weighted=mean(Retr_weighted)*4;