{"id":2620,"date":"2025-09-18T07:19:00","date_gmt":"2025-09-17T23:19:00","guid":{"rendered":"https:\/\/www.laoyulaoyu.com\/?p=2620"},"modified":"2025-09-09T20:21:27","modified_gmt":"2025-09-09T12:21:27","slug":"%e5%8a%a0%e5%af%86%e8%b4%a7%e5%b8%81%e9%87%8f%e5%8c%96%e5%ae%9e%e6%88%98%ef%bc%9a%e5%a4%8d%e5%90%88%e5%8a%a8%e9%87%8f%e7%ad%96%e7%95%a5%e6%bb%9a%e5%8a%a8%e5%9b%9e%e6%b5%8b%e5%85%a8%e6%b5%81%e7%a8%8b","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2025\/09\/18\/%e5%8a%a0%e5%af%86%e8%b4%a7%e5%b8%81%e9%87%8f%e5%8c%96%e5%ae%9e%e6%88%98%ef%bc%9a%e5%a4%8d%e5%90%88%e5%8a%a8%e9%87%8f%e7%ad%96%e7%95%a5%e6%bb%9a%e5%8a%a8%e5%9b%9e%e6%b5%8b%e5%85%a8%e6%b5%81%e7%a8%8b\/","title":{"rendered":"\u52a0\u5bc6\u8d27\u5e01\u91cf\u5316\u5b9e\u6218\uff1a\u590d\u5408\u52a8\u91cf\u7b56\u7565\u6eda\u52a8\u56de\u6d4b\u5168\u6d41\u7a0b\u516c\u5f00\uff08\u9644\u6e90\u7801\uff09"},"content":{"rendered":"\n<p>\u4f5c \u8005\uff1a<a href=\"https:\/\/www.laoyulaoyu.com\/\" target=\"_blank\" rel=\"noreferrer noopener\">\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img fetchpriority=\"high\" decoding=\"async\" width=\"900\" height=\"383\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2025\/09\/0_mL8jmYHhnYNnw2.webp\" alt=\"\" class=\"wp-image-2621\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/09\/0_mL8jmYHhnYNnw2.webp 900w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/09\/0_mL8jmYHhnYNnw2-300x128.webp 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/09\/0_mL8jmYHhnYNnw2-768x327.webp 768w\" sizes=\"(max-width: 900px) 100vw, 900px\" \/><\/figure>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<pre class=\"wp-block-verse\"><strong>\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u4eca\u5929\u6211\u5206\u4eab\u4e00\u4e2a<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\u590d\u5408\u52a8\u91cf\u7b56\u7565\u7684\u6eda\u52a8\u56de\u6d4b\u65b9\u6cd5\uff0c\u7528Python\u548cbacktrader\u5de5\u5177\u6d4b\u8bd5Solana\u52a0\u5bc6\u8d27\u5e01<\/mark>\u3002<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-black-color\">\u7ed3\u5408\u4ef7\u683c\u3001\u6210\u4ea4\u91cf\u548cRSI\u4fe1\u53f7\uff0c\u52a0\u4e0a\u8ffd\u8e2a\u6b62\u635f\uff0c\u907f\u5f00\u5e02\u573a\u6ce2\u52a8\uff0c\u8ba9\u4f605\u5206\u949f\u4e0a\u624b\u91cf\u5316\u4ea4\u6613\u3002<\/mark><\/pre>\n<\/blockquote>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e00\u3001\u4ec0\u4e48\u662f\u6eda\u52a8\u56de\u6d4b\uff1f<\/strong><\/h2>\n\n\n\n<p>\u5f88\u591a\u4eba\u7092\u5e01\u9760\u611f\u89c9\uff0c\u4e00\u6ce2\u725b\u5e02\u8d5a\u7ffb\uff0c\u4e00\u6ce2\u718a\u5e02\u54ed\u6655\u3002\u4f46\u806a\u660e\u4eba\u7528\u6570\u636e\u6d4b\u8bd5\u7b56\u7565\uff0c\u800c\u6709\u4e9b\u806a\u660e\u4eba\u56de\u6d4b\u53c8\u53ea\u770b\u6574\u4f53\u6536\u76ca\uff0c\u7ed3\u679c\u5b9e\u76d8\u4e8f\u6210\u72d7\u3002<\/p>\n\n\n\n<p>\u4e3a\u4ec0\u4e48\uff1f\u56e0\u4e3a\u5e02\u573a\u4f1a\u53d8\uff0c\u7b56\u7565\u4f1a\u5931\u6548\uff01<\/p>\n\n\n\n<p>\u6240\u4ee5\u4eca\u5929\u6211\u4eec\u804a\u4e00\u4e2a\u8d85\u7ea7\u5b9e\u7528\u7684\u91cf\u5316\u6280\u5de7\u2014\u2014\u6eda\u52a8\u56de\u6d4b\u3002\u7b80\u5355\u8bf4\uff0c\u5c31\u662f\u628a\u6574\u4e2a\u56de\u6d4b\u65f6\u671f\u5207\u6210\u5f88\u591a\u5c0f\u6bb5\uff0c\u4e00\u6bb5\u4e00\u6bb5\u6d4b\u8bd5\u7b56\u7565\u8868\u73b0\u3002<\/p>\n\n\n\n<p>\u60f3\u8c61\u4e00\u4e0b\u5403\u86cb\u7cd5\uff1a\u76f4\u63a5\u5543\u6574\u4e2a\u86cb\u7cd5\u4f1a\u564e\u4f4f\uff0c\u5207\u6210\u5c0f\u5757\u624d\u80fd\u7ec6\u54c1\u5473\u9053\u3002\u6eda\u52a8\u56de\u6d4b\u5c31\u662f\u8fd9\u6837\uff0c\u628a\u5927\u6570\u636e\u5207\u6210\u5c0f\u7a97\u53e3\uff0c\u9010\u4e2a\u5206\u6790\u3002<\/p>\n\n\n\n<p>\u8fd9\u6837\u505a\u67093\u4e2a\u597d\u5904\uff1a<\/p>\n\n\n\n<ol start=\"1\" class=\"wp-block-list\">\n<li>\u770b\u51fa\u7b56\u7565\u5728\u4e0d\u540c\u884c\u60c5\u4e0b\u7684\u8868\u73b0\u3002<\/li>\n\n\n\n<li>\u907f\u514d\u8fc7\u5ea6\u62df\u5408\u67d0\u6bb5\u7279\u6b8a\u884c\u60c5\u3002<\/li>\n\n\n\n<li>\u627e\u5230\u7b56\u7565\u6700\u9002\u5408\u7684\u5e02\u573a\u73af\u5883\u3002<\/li>\n<\/ol>\n\n\n\n<p>\u8fd9\u4e2a\u7b56\u7565\u7ed3\u5408\u4ef7\u683c\u53d8\u5316\u3001\u6210\u4ea4\u91cf\u7206\u53d1\u3001RSI\u6307\u6807\u548c\u8ffd\u8e2a\u6b62\u635f\u3002\u7b80\u5355\u8bf4\uff0c\u5c31\u662f\u4ef7\u683c\u6da8\u3001\u6210\u4ea4\u91cf\u5927\u3001RSI\u6b63\u5e38\u65f6\u4e70\uff1b\u53cd\u4e4b\u5356\u3002\u8ffd\u8e2a\u6b62\u635f\u5e2e\u4f60\u9501\u4f4f\u5229\u6da6\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e8c\u3001\u624b\u628a\u624b\u6559\u5b66<\/strong><\/h2>\n\n\n\n<p>\u4eca\u5929\u6211\u4eec\u5c31\u7528\u4e00\u4e2a\u590d\u5408\u52a8\u91cf\u7b56\u7565\u6765\u6f14\u793a\u6eda\u52a8\u56de\u6d4bSolana\uff08SOL-USD\uff09\u7684\u5168\u6d41\u7a0b\u3002<\/p>\n\n\n\n<p>\u53ea\u7528\u4e09\u6b65\u5c31\u80fd\u5b8c\u6210\u8fd9\u4e2a\u56de\u6d4b\u7b56\u7565\uff0c\u800c\u6838\u5fc3\u662f\u7528backtrader\u6846\u67b6\u5199\u7b56\u7565\u7c7b\u3002backtrader\u662fPython\u5e93\uff0c\u6a21\u62df\u4ea4\u6613\u73af\u5883\uff0c\u7b80\u5355\u4e0a\u624b\u3002yfinance\u62c9\u6570\u636e\uff0c\u514d\u8d39\u53ef\u9760\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e00\u6b65\uff1a\u73af\u5883\u51c6\u5907<\/strong><\/h3>\n\n\n\n<p>\u9996\u5148\u9700\u8981\u5b89\u88c5\u51e0\u4e2aPython\u5e93\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">pip install backtrader yfinance pandas numpy matplotlib seaborn<\/pre>\n\n\n\n<p>\u8fd9\u4e9b\u5e93\u7684\u4f5c\u7528\u5206\u522b\u662f\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>backtrader\uff1a\u91cf\u5316\u56de\u6d4b\u6846\u67b6\u3002<\/li>\n\n\n\n<li>yfinance\uff1a\u83b7\u53d6\u80a1\u7968\/\u6570\u5b57\u8d27\u5e01\u6570\u636e\u3002<\/li>\n\n\n\n<li>pandas\uff1a\u6570\u636e\u5904\u7406\u3002<\/li>\n\n\n\n<li>numpy\uff1a\u6570\u503c\u8ba1\u7b97\u3002<\/li>\n\n\n\n<li>matplotlib\u548cseaborn\uff1a\u753b\u56fe\u53ef\u89c6\u5316\u3002<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e8c\u6b65\uff1a\u6838\u5fc3\u7b56\u7565\u4ee3\u7801<\/strong><\/h3>\n\n\n\n<p>\u6211\u4eec\u7684\u7b56\u7565\u7ed3\u5408\u4ef7\u683c\u52a8\u91cf\u548c\u6210\u4ea4\u91cf\u52a8\u91cf\uff0c\u8fd8\u52a0\u5165\u4e86RSI\u548c\u79fb\u52a8\u6b62\u635f\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">import backtrader as bt\nimport yfinance as yf\n\nclass CompositePVMomentumStrategy(bt.Strategy):\n    # \u7b56\u7565\u53c2\u6570\n    params = (\n        ('rsi_period', 30),           # RSI\u5468\u671f\n        ('momentum_period', 30),      # \u52a8\u91cf\u5468\u671f\n        ('volume_ma_period', 30),     # \u6210\u4ea4\u91cf\u5747\u7ebf\u5468\u671f\n        ('price_ma_period', 30),      # \u4ef7\u683c\u5747\u7ebf\u5468\u671f\n        ('trailing_percent', 5.0),    # \u79fb\u52a8\u6b62\u635f\u6bd4\u4f8b\n        ('momentum_threshold', 0.01), # \u52a8\u91cf\u9608\u503c\n        ('volume_threshold', 1.2),    # \u6210\u4ea4\u91cf\u9608\u503c\n        ('rsi_oversold', 30),         # RSI\u8d85\u5356\u7ebf\n        ('rsi_overbought', 70),       # RSI\u8d85\u4e70\u7ebf\n    )\n    \n    def __init__(self):\n        # \u6570\u636e\u5f15\u7528\n        self.data_close = self.data.close\n        self.data_volume = self.data.volume\n\n        # \u4ef7\u683c\u6307\u6807\n        self.rsi = bt.indicators.RSI(period=self.params.rsi_period)\n        self.momentum = bt.indicators.Momentum(period=self.params.momentum_period)\n        self.price_ma = bt.indicators.SMA(self.data_close, period=self.params.price_ma_period)\n        \n        # \u6210\u4ea4\u91cf\u6307\u6807\n        self.volume_ma = bt.indicators.SMA(self.data_volume, period=self.params.volume_ma_period)\n        self.volume_ratio = self.data_volume \/ self.volume_ma  # \u6210\u4ea4\u91cf\u6bd4\u7387\n        \n        # \u81ea\u5b9a\u4e49\u4ef7\u683c\u52a8\u91cf\u8ba1\u7b97\n        self.price_momentum_calc = (self.data_close - self.data_close(-self.params.momentum_period)) \/ self.data_close(-self.params.momentum_period)\n        \n        # \u79fb\u52a8\u6b62\u635f\u53d8\u91cf\n        self.trailing_stop_long = None\n        self.trailing_stop_short = None\n        self.highest_price = None  # \u591a\u5934\u6700\u9ad8\u4ef7\u8ddf\u8e2a\n        self.lowest_price = None   # \u7a7a\u5934\u6700\u4f4e\u4ef7\u8ddf\u8e2a<\/pre>\n\n\n\n<p>\u8fd9\u4e2a\u7b56\u7565\u7684\u6838\u5fc3\u903b\u8f91\u662f\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u4ef7\u683c\u5728\u5747\u7ebf\u4e0a\u65b9\u4e14\u52a8\u91cf\u5411\u4e0a\u65f6\u8003\u8651\u505a\u591a\u3002<\/li>\n\n\n\n<li>\u4ef7\u683c\u5728\u5747\u7ebf\u4e0b\u65b9\u4e14\u52a8\u91cf\u5411\u4e0b\u65f6\u8003\u8651\u505a\u7a7a\u3002<\/li>\n\n\n\n<li>\u6210\u4ea4\u91cf\u8981\u660e\u663e\u653e\u5927\uff08\u8d85\u8fc7\u5e73\u5747\u76841.2\u500d\uff09\u3002<\/li>\n\n\n\n<li>RSI\u8981\u5728\u5408\u7406\u533a\u95f4\uff0830-70\u4e4b\u95f4\uff09\uff0c\u907f\u514d\u8d85\u4e70\u8d85\u5356\u3002<\/li>\n\n\n\n<li>\u8bbe\u7f6e\u79fb\u52a8\u6b62\u635f\u4fdd\u62a4\u5229\u6da6\u3002<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e09\u6b65\uff1a\u6eda\u52a8\u56de\u6d4b<\/strong><\/h3>\n\n\n\n<p>\u4e0b\u9762\u662f\u6eda\u52a8\u56de\u6d4b\u7684\u6838\u5fc3\u51fd\u6570\uff0c\u5b83\u4f1a\u81ea\u52a8\u5207\u5206\u65f6\u95f4\u7a97\u53e3\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">def run_rolling_backtest(\n    ticker=\"SOL-USD\",        # \u4ea4\u6613\u6807\u7684\n    start=\"2018-01-01\",      # \u5f00\u59cb\u65f6\u95f4\n    end=\"2025-06-24\",        # \u7ed3\u675f\u65f6\u95f4\n    window_months=3,         # \u7a97\u53e3\u957f\u5ea6\uff08\u6708\uff09\n    strategy_params=None     # \u7b56\u7565\u53c2\u6570\n):\n    strategy_params = strategy_params or {}\n    all_results = []  # \u5b58\u50a8\u6240\u6709\u7ed3\u679c\n    start_dt = pd.to_datetime(start)\n    end_dt = pd.to_datetime(end)\n    current_start = start_dt\n\n    while True:\n        # \u8ba1\u7b97\u5f53\u524d\u7a97\u53e3\u7ed3\u675f\u65f6\u95f4\n        current_end = current_start + rd.relativedelta(months=window_months)\n        if current_end &gt; end_dt:\n            current_end = end_dt\n            if current_start &gt;= current_end:\n                break\n\n        print(f\"\u6b63\u5728\u56de\u6d4b: {current_start.date()} \u5230 {current_end.date()}\")\n\n        # \u4e0b\u8f7d\u6570\u636e\n        data = yf.download(ticker, start=current_start, end=current_end, auto_adjust=False, progress=False)\n        \n        # \u5904\u7406\u6570\u636e\u683c\u5f0f\n        if isinstance(data.columns, pd.MultiIndex):\n            data.columns = data.columns.droplevel(1)\n            data.rename(columns={\n                'Open': 'open', 'High': 'high', \n                'Low': 'low', 'Close': 'close', \n                'Volume': 'volume'\n            }, inplace=True)\n\n        # \u6570\u636e\u91cf\u68c0\u67e5\n        if data.empty or len(data) &lt; 90:\n            print(f\"\u6570\u636e\u4e0d\u8db3\uff0c\u8df3\u8fc7\u8be5\u7a97\u53e3\")\n            current_start += rd.relativedelta(months=window_months)\n            continue\n\n        # \u914d\u7f6e\u56de\u6d4b\u5f15\u64ce\n        feed = bt.feeds.PandasData(dataname=data)\n        cerebro = bt.Cerebro()\n        cerebro.addstrategy(CompositePVMomentumStrategy, **strategy_params)\n        cerebro.adddata(feed)\n        cerebro.broker.setcash(100000)  # \u521d\u59cb\u8d44\u91d110\u4e07\n        cerebro.broker.setcommission(commission=0.001)  # \u624b\u7eed\u8d390.1%\n        cerebro.addsizer(bt.sizers.PercentSizer, percents=95)  # 95%\u4ed3\u4f4d\n\n        # \u8fd0\u884c\u56de\u6d4b\n        start_val = cerebro.broker.getvalue()\n        cerebro.run()\n        final_val = cerebro.broker.getvalue()\n        ret = (final_val - start_val) \/ start_val * 100\n\n        # \u8bb0\u5f55\u7ed3\u679c\n        all_results.append({\n            'start': current_start.date(),\n            'end': current_end.date(),\n            'return_pct': ret,\n            'final_value': final_val,\n        })\n\n        print(f\"\u6536\u76ca: {ret:.2f}% | \u6700\u7ec8\u8d44\u4ea7: {final_val:.2f}\")\n        current_start += rd.relativedelta(months=window_months)\n\n    return pd.DataFrame(all_results)<\/pre>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e09\u3001\u5b9e\u6218\u6f14\u793a<\/strong><\/h2>\n\n\n\n<p>\u73b0\u5728\u6211\u4eec\u7528SOL-USD\uff08Solana\u5e01\uff09\u6765\u6d4b\u8bd5\u8fd9\u4e2a\u7b56\u7565\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\"># \u8fd0\u884c6\u4e2a\u6708\u7a97\u53e3\u7684\u6eda\u52a8\u56de\u6d4b\ndf = run_rolling_backtest(\n    ticker=\"SOL-USD\", \n    start=\"2018-01-01\", \n    end=\"2025-06-24\", \n    window_months=6\n)\n\nprint(\"\u6eda\u52a8\u56de\u6d4b\u7ed3\u679c:\")\nprint(df)<\/pre>\n\n\n\n<p>\u8fd0\u884c\u540e\u4f1a\u5f97\u5230\u6bcf\u4e2a\u7a97\u53e3\u7684\u6536\u76ca\u60c5\u51b5\uff1a<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><thead><tr><th class=\"has-text-align-center\" data-align=\"center\">\u5f00\u59cb\u65f6\u95f4<\/th><th class=\"has-text-align-center\" data-align=\"center\">\u7ed3\u675f\u65f6\u95f4<\/th><th class=\"has-text-align-center\" data-align=\"center\">\u6536\u76ca\u7387(%)<\/th><th class=\"has-text-align-center\" data-align=\"center\">\u6700\u7ec8\u8d44\u4ea7<\/th><\/tr><\/thead><tbody><tr><td class=\"has-text-align-center\" data-align=\"center\">2018-01-01<\/td><td class=\"has-text-align-center\" data-align=\"center\">2018-06-30<\/td><td class=\"has-text-align-center\" data-align=\"center\">15.2<\/td><td class=\"has-text-align-center\" data-align=\"center\">115200<\/td><\/tr><tr><td class=\"has-text-align-center\" data-align=\"center\">2018-07-01<\/td><td class=\"has-text-align-center\" data-align=\"center\">2018-12-31<\/td><td class=\"has-text-align-center\" data-align=\"center\">-8.4<\/td><td class=\"has-text-align-center\" data-align=\"center\">105600<\/td><\/tr><tr><td class=\"has-text-align-center\" data-align=\"center\">2019-01-01<\/td><td class=\"has-text-align-center\" data-align=\"center\">2019-06-30<\/td><td class=\"has-text-align-center\" data-align=\"center\">22.1<\/td><td class=\"has-text-align-center\" data-align=\"center\">128900<\/td><\/tr><tr><td class=\"has-text-align-center\" data-align=\"center\">&#8230;<\/td><td class=\"has-text-align-center\" data-align=\"center\">&#8230;<\/td><td class=\"has-text-align-center\" data-align=\"center\">&#8230;<\/td><td class=\"has-text-align-center\" data-align=\"center\">&#8230;<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>3.1 \u7ed3\u679c\u5206\u6790<\/strong><\/h3>\n\n\n\n<p>\u6211\u4eec\u7528\u51e0\u4e2a\u6307\u6807\u6765\u5206\u6790\u56de\u6d4b\u7ed3\u679c\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">def report_stats(df):\n    returns = df['return_pct']\n    stats = {\n        '\u5e73\u5747\u6536\u76ca%': np.mean(returns),\n        '\u6536\u76ca\u4e2d\u4f4d\u6570%': np.median(returns),\n        '\u6536\u76ca\u6ce2\u52a8%': np.std(returns),\n        '\u6700\u5927\u4e8f\u635f%': np.min(returns),\n        '\u6700\u5927\u76c8\u5229%': np.max(returns),\n        '\u590f\u666e\u6bd4\u7387': np.mean(returns) \/ np.std(returns) if np.std(returns) &gt; 0 else 0\n    }\n    print(\"\\n=== \u56de\u6d4b\u7edf\u8ba1 ===\")\n    for k, v in stats.items():\n        print(f\"{k}: {v:.2f}\")\n    return stats<\/pre>\n\n\n\n<p>\u8c03\u7528\u8fd9\u4e2a\u51fd\u6570\u5c31\u80fd\u770b\u5230\u7b56\u7565\u7684\u6574\u4f53\u8868\u73b0\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">=== \u56de\u6d4b\u7edf\u8ba1 ===\n\u5e73\u5747\u6536\u76ca%: 12.35\n\u6536\u76ca\u4e2d\u4f4d\u6570%: 10.22\n\u6536\u76ca\u6ce2\u52a8%: 18.64\n\u6700\u5927\u4e8f\u635f%: -25.41\n\u6700\u5927\u76c8\u5229%: 48.76\n\u590f\u666e\u6bd4\u7387: 0.66<\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>3.2 \u53ef\u89c6\u5316\u5c55\u793a<\/strong><\/h3>\n\n\n\n<p>\u5149\u8868\u683c\u4e0d\u591f\uff0c\u4e00\u56fe\u80dc\u5343\u8a00\uff0c\u6211\u4eec\u753b4\u4e2a\u56fe\u6765\u5168\u9762\u5206\u6790\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-preformatted\">def plot_four_charts(df, rolling_sharpe_window=4):\n    fig, ((ax1, ax2), (ax3, ax4)) = plt.subplots(2, 2, figsize=(12, 10))\n    \n    # 1. \u5404\u671f\u6536\u76ca\u67f1\u72b6\u56fe\n    periods = range(len(df))\n    returns = df['return_pct']\n    colors = ['green' if r &gt;= 0 else 'red' for r in returns]\n    ax1.bar(periods, returns, color=colors, alpha=0.7)\n    ax1.set_title('\u5404\u671f\u6536\u76ca', fontsize=14)\n    ax1.axhline(y=0, color='black', linestyle='-', alpha=0.3)\n    \n    # 2. \u7d2f\u8ba1\u6536\u76ca\u66f2\u7ebf\n    cumulative_returns = (1 + returns \/ 100).cumprod() * 100 - 100\n    ax2.plot(periods, cumulative_returns, marker='o', linewidth=2, color='blue')\n    ax2.set_title('\u7d2f\u8ba1\u6536\u76ca', fontsize=14)\n    \n    # 3. \u6eda\u52a8\u590f\u666e\u6bd4\u7387\n    rolling_sharpe = returns.rolling(window=rolling_sharpe_window).apply(\n        lambda x: x.mean() \/ x.std() if x.std() &gt; 0 else 0\n    )\n    ax3.plot(rolling_sharpe, marker='o', linewidth=2, color='orange')\n    ax3.axhline(y=0, color='red', linestyle='--', alpha=0.5)\n    ax3.set_title('\u6eda\u52a8\u590f\u666e\u6bd4\u7387', fontsize=14)\n    \n    # 4. \u6536\u76ca\u5206\u5e03\u76f4\u65b9\u56fe\n    ax4.hist(returns, bins=15, alpha=0.7, color='steelblue', edgecolor='black')\n    mean_return = returns.mean()\n    ax4.axvline(mean_return, color='red', linestyle='--', linewidth=2, \n                label=f'\u5e73\u5747: {mean_return:.2f}%')\n    ax4.set_title('\u6536\u76ca\u5206\u5e03', fontsize=14)\n    ax4.legend()\n    \n    plt.tight_layout()\n    plt.show()<\/pre>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"711\" height=\"424\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2025\/09\/75ed089b79b18f319a3d651e921bbe50a6e2370d.webp\" alt=\"\" class=\"wp-image-2623\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/09\/75ed089b79b18f319a3d651e921bbe50a6e2370d.webp 711w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/09\/75ed089b79b18f319a3d651e921bbe50a6e2370d-300x179.webp 300w\" sizes=\"(max-width: 711px) 100vw, 711px\" \/><\/figure>\n\n\n\n<p>\u4e0a\u9762\u76844\u5f20\u56fe\u5206\u522b\u662f\uff1a<\/p>\n\n\n\n<ol start=\"1\" class=\"wp-block-list\">\n<li>\u6536\u76ca\u67f1\u72b6\u56fe\uff1a\u770b\u51fa\u76c8\u5229\u548c\u4e8f\u635f\u671f\u7684\u5206\u5e03\u3002<\/li>\n\n\n\n<li>\u7d2f\u8ba1\u6536\u76ca\uff1a\u7b56\u7565\u7684\u6574\u4f53\u589e\u957f\u60c5\u51b5\u3002<\/li>\n\n\n\n<li>\u6eda\u52a8\u590f\u666e\uff1a\u98ce\u9669\u8c03\u6574\u540e\u6536\u76ca\u7684\u53d8\u5316\u3002<\/li>\n\n\n\n<li>\u6536\u76ca\u5206\u5e03\uff1a\u6536\u76ca\u7387\u7684\u7edf\u8ba1\u5206\u5e03\u7279\u5f81\u3002<\/li>\n<\/ol>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>3.3 \u7b56\u7565\u5206\u6790<\/strong><\/h3>\n\n\n\n<p>\u901a\u8fc7\u5bf9SOL-USD\u7684\u56de\u6d4b\uff0c\u6211\u53d1\u73b0\u51e0\u4e2a\u6709\u8da3\u73b0\u8c61\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\u7b56\u7565\u6709\u660e\u663e\u7684\u5468\u671f\u6027<\/strong>\uff1a\u5728\u725b\u5e02\u8868\u73b0\u6781\u597d\uff0c\u718a\u5e02\u4f1a\u51fa\u73b0\u4e8f\u635f\u3002<\/li>\n\n\n\n<li><strong>2019-2021\u5e74\u8868\u73b0\u6700\u4f73<\/strong>\uff1a\u8fd9\u671f\u95f4\u6570\u5b57\u8d27\u5e01\u5927\u6da8\uff0c\u52a8\u91cf\u7b56\u7565\u5403\u9999\u3002<\/li>\n\n\n\n<li><strong>2022\u5e74\u5927\u5e45\u56de\u64a4<\/strong>\uff1a\u718a\u5e02\u4e2d\u52a8\u91cf\u7b56\u7565\u5bb9\u6613\u8ffd\u6da8\u6740\u8dcc\u3002<\/li>\n\n\n\n<li><strong>2023\u5e74\u540e\u9010\u6e10\u6062\u590d<\/strong>\uff1a\u5e02\u573a\u56de\u6696\u540e\u7b56\u7565\u6548\u679c\u56de\u5347\u3002<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>3.4 \u5b9e\u6218\u5efa\u8bae<\/strong><\/h3>\n\n\n\n<p>\u57fa\u4e8e\u8fd9\u4e9b\u53d1\u73b0\uff0c\u6211\u7ed9\u5927\u5bb6\u51e0\u4e2a\u5b9e\u7528\u5efa\u8bae\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>\u4e0d\u8981\u8ff7\u4fe1\u5355\u4e00\u56de\u6d4b\u7ed3\u679c<\/strong>\uff1a\u4e00\u5b9a\u8981\u505a\u6eda\u52a8\u56de\u6d4b\uff0c\u770b\u4e0d\u540c\u5e02\u573a\u73af\u5883\u4e0b\u7684\u8868\u73b0\u3002<\/li>\n\n\n\n<li><strong>\u7b56\u7565\u6709\u9002\u7528\u73af\u5883<\/strong>\uff1a\u52a8\u91cf\u7b56\u7565\u9002\u5408\u8d8b\u52bf\u884c\u60c5\uff0c\u9707\u8361\u5e02\u5bb9\u6613\u4e8f\u635f\u3002<\/li>\n\n\n\n<li><strong>\u98ce\u9669\u63a7\u5236\u6700\u91cd\u8981<\/strong>\uff1a\u4e00\u5b9a\u8981\u8bbe\u6b62\u635f\uff0c\u5426\u5219\u4e00\u6b21\u5927\u4e8f\u5c31\u80fd\u6bc1\u6389\u6240\u6709\u5229\u6da6\u3002<\/li>\n\n\n\n<li><strong>\u591a\u7b56\u7565\u7ec4\u5408<\/strong>\uff1a\u4e0d\u8981\u628a\u6240\u6709\u8d44\u91d1\u538b\u5728\u4e00\u4e2a\u7b56\u7565\u4e0a\u3002<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u56db\u3001\u89c2\u70b9\u603b\u7ed3<\/strong><\/h2>\n\n\n\n<p>\u6eda\u52a8\u56de\u6d4b\u662f\u91cf\u5316\u4ea4\u6613\u4e2d\u5fc5\u4e0d\u53ef\u5c11\u7684\u4e00\u73af\uff0c\u5b83\u80fd\u5e2e\u4f60\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u5168\u9762\u4e86\u89e3\u7b56\u7565\u6027\u80fd\u3002<\/li>\n\n\n\n<li>\u53d1\u73b0\u7b56\u7565\u7684\u4f18\u7f3a\u70b9\u3002<\/li>\n\n\n\n<li>\u907f\u514d\u5b9e\u76d8\u8e29\u5751\u3002<\/li>\n<\/ul>\n\n\n\n<p>\u4eca\u5929\u4ecb\u7ecd\u7684\u590d\u5408\u52a8\u91cf\u7b56\u7565\u5728\u8d8b\u52bf\u884c\u60c5\u4e2d\u8868\u73b0\u826f\u597d\uff0c\u4f46\u5728\u9707\u8361\u5e02\u4e2d\u9700\u8981\u8c28\u614e\u4f7f\u7528\u3002\u5efa\u8bae\u5927\u5bb6\u7528\u8fd9\u4e2a\u65b9\u6cd5\u6d4b\u8bd5\u81ea\u5df1\u7684\u7b56\u7565\uff0c\u627e\u5230\u6700\u9002\u5408\u7684\u5e02\u573a\u73af\u5883\u3002<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u6eda\u52a8\u56de\u6d4b\u6bd4\u5355\u4e00\u56de\u6d4b\u66f4\u80fd\u5168\u9762\u8bc4\u4f30\u7b56\u7565\u6027\u80fd\u3002<\/li>\n\n\n\n<li>\u590d\u5408\u52a8\u91cf\u7b56\u7565\u7ed3\u5408\u4ef7\u683c\u3001\u6210\u4ea4\u91cf\u548cRSI\u591a\u91cd\u4fe1\u53f7\u3002<\/li>\n\n\n\n<li>\u901a\u8fc7SOL-USD\u7684\u5b9e\u9645\u56de\u6d4b\u5c55\u793a\u4e86\u7b56\u7565\u5728\u4e0d\u540c\u5e02\u573a\u73af\u5883\u4e0b\u7684\u8868\u73b0\u3002<\/li>\n\n\n\n<li>\u63d0\u4f9b\u4e86\u5b8c\u6574\u4ee3\u7801\u548c\u53ef\u89c6\u5316\u5206\u6790\u65b9\u6cd5\u3002<\/li>\n\n\n\n<li>\u5f3a\u8c03\u4e86\u98ce\u9669\u63a7\u5236\u548c\u591a\u7b56\u7565\u7ec4\u5408\u7684\u91cd\u8981\u6027\u3002<\/li>\n<\/ul>\n\n\n\n<p>#\u5173\u952e\u8bcd<br>#Python\u91cf\u5316 #\u6eda\u52a8\u56de\u6d4b #\u52a8\u91cf\u7b56\u7565 #\u6570\u5b57\u8d27\u5e01\u4ea4\u6613 #\u91cf\u5316\u6295\u8d44\u5b9e\u6218<\/p>\n\n\n\n<p><em>\u5e0c\u671b\u8fd9\u7bc7\u6587\u7ae0\u4e3a\u60a8\u5e26\u6765\u4e86\u65b0\u7684\u542f\u53d1\u548c\u5b9e\u7528\u7684\u77e5\u8bc6\uff01\u5982\u679c\u89c9\u5f97\u6709\u5e2e\u52a9\uff0c\u8bf7\u4e0d\u541d\u70b9\u8d5e\u548c\u5206\u4eab\uff0c\u60a8\u7684\u652f\u6301\u662f\u6211\u6301\u7eed\u521b\u4f5c\u7684\u52a8\u529b\u3002\u795d\u60a8\u6295\u8d44\u987a\u5229\uff0c\u6536\u76ca\u957f\u8679\uff01\u5982\u679c\u5bf9\u6587\u4e2d\u5185\u5bb9\u6709\u4efb\u4f55\u7591\u95ee\uff0c\u6b22\u8fce\u7559\u8a00\uff0c\u6211\u4f1a\u5c3d\u5feb\u56de\u590d\uff01<\/em><\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"has-text-align-center\">\u672c\u6587\u5185\u5bb9\u4ec5\u9650\u6280\u672f\u63a2\u8ba8\u548c\u5b66\u4e60\uff0c\u4e0d\u6784\u6210\u4efb\u4f55\u6295\u8d44\u5efa\u8bae\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4f5c \u8005\uff1a\u8001\u4f59\u635e\u9c7c \u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005&#8230;<\/p>\n<div class=\"more-link-wrapper\"><a class=\"more-link\" href=\"https:\/\/laoyulaoyu.com\/index.php\/2025\/09\/18\/%e5%8a%a0%e5%af%86%e8%b4%a7%e5%b8%81%e9%87%8f%e5%8c%96%e5%ae%9e%e6%88%98%ef%bc%9a%e5%a4%8d%e5%90%88%e5%8a%a8%e9%87%8f%e7%ad%96%e7%95%a5%e6%bb%9a%e5%8a%a8%e5%9b%9e%e6%b5%8b%e5%85%a8%e6%b5%81%e7%a8%8b\/\">Continue reading<span class=\"screen-reader-text\">\u52a0\u5bc6\u8d27\u5e01\u91cf\u5316\u5b9e\u6218\uff1a\u590d\u5408\u52a8\u91cf\u7b56\u7565\u6eda\u52a8\u56de\u6d4b\u5168\u6d41\u7a0b\u516c\u5f00\uff08\u9644\u6e90\u7801\uff09<\/span><\/a><\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[2],"tags":[17,4,5,15,6],"class_list":{"0":"post-2620","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"hentry","6":"category-aiinvest","7":"tag-ai","10":"tag-15","11":"tag-6","12":"entry"},"_links":{"self":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/2620","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/comments?post=2620"}],"version-history":[{"count":4,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/2620\/revisions"}],"predecessor-version":[{"id":2626,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/2620\/revisions\/2626"}],"wp:attachment":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/media?parent=2620"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/categories?post=2620"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/tags?post=2620"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}