According to the statistical rules written above, I designed a particularly simple and rude trading strategy, which is essentially chasing the price:

Near the close, randomly select some stocks to buy from the stocks that rose by more than 5% that day, and sell them as long as they make x% profit the next day. Sell ​​at the close if it doesn't rise to x% the next day. And plot the yield curve.

mybacktest.py

 1 # Write a backtest myself to test my rich password
 2 # The latest out-of-sample data is used
 3 import pandas as pd
 4 import random
 5 import matplotlib.pyplot as plt
 6 import numpy as np
 7 #Data needed to read in: open high and close low and gain on the day
 8 datapath = r'D:\MyIntern\example\newdata\\'
 9 plt.rcParams['font.sans-serif'] = ['SimHei']
10 plt.rcParams['axes.unicode_minus'] = False
11 startdate = 20190102
12 enddate = 20200630
13 low = pd.read_pickle(datapath+'low.pkl').loc[:, startdate: enddate].T
14 high = pd.read_pickle(datapath+'high.pkl').loc[:, startdate: enddate].T
15 open = pd.read_pickle(datapath+'open.pkl').loc[:, startdate: enddate].T
16 close = pd.read_pickle(datapath+'close.pkl').loc[:, startdate: enddate].T
17 
18 # cur_increase = (close-open)/open
19 # high_increase = (high-close.shift())/close.shift()
20 # pd.to_pickle(cur_increase, datapath+'increase.pkl')
21 # pd.to_pickle(high_increase, datapath+'high_increase.pkl')
22 # close_increase = (close-close.shift())/close.shift()
23 # pd.to_pickle(close_increase, datapath+'close_increase.pkl')
24 # low_decrease = (low-close.shift())/close.shift()
25 # pd.to_pickle(low_decrease, datapath+'low_decrease.pkl')
26 
27 cur_increase = pd.read_pickle(datapath+'increase.pkl')
28 high_increase = pd.read_pickle(datapath+'high_increase.pkl')
29 close_increase = pd.read_pickle(datapath+'close_increase.pkl')
30 low_decrease = pd.read_pickle(datapath+'low_decrease.pkl')
31 date = open.index
32 
33 # limit_up_stocks = []
34 # for i in date:
35 #     curdata = cur_increase.loc[i, :] # data of the day
36 #     condition1 = curdata >= 0.05
37 #     condition2 = curdata <=0.092
38 #     curdata = curdata[condition1 & condition2]
39 #     limit_up_stocks.append(len(curdata))
40 # print(pd.Series(limit_up_stocks).min())
41 # # According to statistics, in the past year and a half, the number of stocks that meet the requirements is at least 15 per day. Consider randomly selecting ten stocks to buy at the closing price every day
42 
43 # stock picking
44 select_stock_list = [] #Summary of stock symbols selected for each day
45 for i in date:
46     curdata = cur_increase.loc[i, ] # data of the day
47     condition1 = curdata >= 0.05
48     condition2 = curdata <=0.092
49     curdata = curdata[condition1 & condition2]
50     select_stock = random.sample(list(curdata.index),len(list(curdata.index))) #10 random selections from eligible stocks
51     select_stock_list.append(select_stock)
52 
53 # Calculate the rate of return, Assuming equal weights to buy these stocks
54 count = 0
55 ori = 100
56 earnings = []
57 for i in date[1:]:
58     select_stock = select_stock_list[count]
59     payoff = high_increase[select_stock].loc[i, :]
60     close_payoff = close_increase[select_stock].loc[i, :]
61     payoff[payoff>0.03] = 0.03 #up 3%sold when
62     payoff[payoff<0.03] = close_payoff # If it doesn't rise to 3 all day%，sell at close
63     ori = ori * (1+payoff.mean()) #The daily rate of return is the average of each stock’s rate of return
64     earnings.append(ori)
65     count = count + 1
66 
67 date = [str(i) for i in date]
68 plt.plot(date[1:], earnings)
69 plt.xticks(date[1::20],(date[1::20]),rotation=60)
70 plt.xlabel('time')
71 plt.ylabel('net worth(Initially 100)')
72 plt.show()

I was particularly pleasantly surprised because the yield curve drawn is incredibly beautiful:

I am very excited, I think how easy it is to make a fortune. Later I found out that my code was wrong. According to the code I wrote, a stock that goes up 1% a day can be sold for 5%. . . No wonder the earnings are so good.

When I fixed this strategy my strategy became very unreliable.

And the trend of the broader market during this time period is as follows:

I can't beat the market with this strategy, so frustrating.

After tossing in such a circle, the biggest gain is to learn to use plt to draw a line chart and set the coordinate axis spacing. .

1  plt.xticks(date[1::20],(date[1::20]),rotation=60)

The first data[1::20] is to draw the scale (draw a scale every 20 dates), the next data[1::20] is to set the label, and rotation is the rotation angle of the label, which is obviously rotated by 90 degrees. More tags can be dropped.