python-优矿-期权合成策略分析

#合成看张策略分析import pandas as pdimport numpy as npimport matplotlib.pyplot as pltfrom lib.qiquan import*############################################################################################读取50etf标的df=pd.read_excel('50etf_fund.xlsx')df.index=df['tradeDate']#获取交易日期date=list(df['tradeDate'])####################################################################profit=[]for i in range(1,len(date)):          day=date[i]        etf_price_close=float(df[df['tradeDate'].isin([day])]['close'])        etf_price_open=float(df[df['tradeDate'].isin([day])]['open'])        secID_data_low=list(get_low(df,day)['secID'])        #print data        #获取近月代码        near_c_low=secID_data_low[-2]        near_p_low=secID_data_low[-1]         #####        secID_data_high=list(get_high(df,day)['secID'])        #print data        #获取近月代码        near_c_high=secID_data_high[-2]        near_p_high=secID_data_high[-1]         #获取近月价格        option_c_data_low=DataAPI.MktOptdGet(tradeDate=day,                                           secID=near_c_low,optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_p_data_low=DataAPI.MktOptdGet(tradeDate=day,secID=near_p_low,                                             optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_c_data_high=DataAPI.MktOptdGet(tradeDate=day,                                           secID=near_c_high,optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        option_p_data_high=DataAPI.MktOptdGet(tradeDate=day,secID=near_p_high,                                             optID=u"",ticker=u"",beginDate=u"",endDate=u"",field=u"",pandas="1")        buy_condition=get_up(df,date,i,20)        #print buy_condition        if buy_condition==False:            money=(-etf_price_close+etf_price_open+float(option_c_data_high['closePrice'])-float(option_c_data_high['openPrice']))*10000            profit.append(money)        if buy_condition==True:            money=(float(option_p_data_low['closePrice'])-float(option_p_data_low['openPrice'])+etf_price_close-etf_price_open)*10000            profit.append(money)all_profit=pd.Series(profit).cumsum()