{"id":2884,"date":"2025-10-30T07:36:00","date_gmt":"2025-10-29T23:36:00","guid":{"rendered":"https:\/\/www.laoyulaoyu.com\/?p=2884"},"modified":"2025-10-26T00:04:50","modified_gmt":"2025-10-25T16:04:50","slug":"%e9%87%8f%e5%8c%96%e4%ba%a4%e6%98%93%e5%85%a5%e9%97%a8%ef%bc%9a%e6%89%8b%e6%8a%8a%e6%89%8b%e6%95%99%e4%bd%a0%e7%94%a8%e4%b8%a4%e6%94%afetf%e5%ae%9e%e7%8e%b0%e8%b0%83%e4%bb%93%e5%a5%97%e5%88%a9","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2025\/10\/30\/%e9%87%8f%e5%8c%96%e4%ba%a4%e6%98%93%e5%85%a5%e9%97%a8%ef%bc%9a%e6%89%8b%e6%8a%8a%e6%89%8b%e6%95%99%e4%bd%a0%e7%94%a8%e4%b8%a4%e6%94%afetf%e5%ae%9e%e7%8e%b0%e8%b0%83%e4%bb%93%e5%a5%97%e5%88%a9\/","title":{"rendered":"\u91cf\u5316\u4ea4\u6613\u5165\u95e8\uff1a\u624b\u628a\u624b\u6559\u4f60\u7528\u4e24\u652fETF\u5b9e\u73b0\u8c03\u4ed3\u5957\u5229"},"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\/10\/1_6p6MeVcC2-OZPGFU0UtJGQ.webp\" alt=\"\" class=\"wp-image-2885\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/10\/1_6p6MeVcC2-OZPGFU0UtJGQ.webp 900w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/10\/1_6p6MeVcC2-OZPGFU0UtJGQ-300x128.webp 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/10\/1_6p6MeVcC2-OZPGFU0UtJGQ-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\u4e2aETF\u8c03\u4ed3\u5957\u5229\u7b56\u7565\u3002\u5b83\u5229\u7528\u6708\u672b\u673a\u6784\u8c03\u4ed3\u7684\u89c4\u5f8b\uff0c\u5728TLT\u548cSPY\u95f4\u505a\u5bf9\u51b2\u4ea4\u6613\uff0c\u8ffd\u6c42\u7a33\u5b9a\u7684\u5c0f\u6536\u76ca\u3002\u4ee3\u7801\u7b80\u5355\uff0c\u6211\u624b\u628a\u624b\u6559\u4f60\u56de\u6d4b\u548c\u4f18\u5316\uff0c\u9002\u5408\u65b0\u624b\u5165\u95e8\u3002\u4e0d\u7528\u590d\u6742\u6a21\u578b\uff0c\u5c31\u80fd\u6355\u6349\u5e02\u573a\u673a\u4f1a\uff01<\/pre>\n<\/blockquote>\n\n\n\n<h2 class=\"wp-block-heading has-text-align-left\"><strong>\u4e00\u3001\u6708\u672b\u8c03\u4ed3\u5957\u5229\u7b56\u7565\u63ed\u79d8<\/strong><\/h2>\n\n\n\n<p>\u5f88\u591a\u4eba\u89c9\u5f97\uff0c\u60f3\u5728\u80a1\u5e02\u91cc\u8d5a\u94b1\uff0c\u5c31\u5f97\u641e\u70b9\u9ad8\u6df1\u83ab\u6d4b\u7684\u4e1c\u897f\u3002\u4ec0\u4e48AI\u9884\u6d4b\u3001\u9ad8\u9891\u4ea4\u6613\u3001\u6df1\u5ea6\u5b66\u4e60\u2026\u2026\u542c\u7740\u5c31\u5934\u5927\u3002<\/p>\n\n\n\n<p>\u5176\u5b9e\u554a\uff0c\u771f\u6b63\u7684\u201c\u5370\u949e\u673a\u201d\u7b56\u7565\uff0c\u5f80\u5f80\u85cf\u5728\u6700\u4e0d\u8d77\u773c\u7684\u5730\u65b9\u3002<\/p>\n\n\n\n<p>\u4eca\u5929\u6211\u8981\u5206\u4eab\u7684\uff0c\u5c31\u662f\u4e00\u4e2a\u201c\u50bb\u74dc\u5f0f\u201d\u7b56\u7565\u2014\u2014\u6bcf\u4e2a\u6708\u53ea\u52a8\u4e24\u6b21\u624b\uff0c\u5c31\u80fd\u4ece\u5e02\u573a\u91cc\u201c\u8585\u7f8a\u6bdb\u201d\u3002<\/p>\n\n\n\n<p>\u5b83\u4e0d\u9760\u731c\u660e\u5929\u662f\u6da8\u662f\u8dcc\uff0c\u4e5f\u4e0d\u9760\u542c\u4e13\u5bb6\u558a\u201c\u725b\u5e02\u6765\u4e86\u201d\u3002\u5b83\u9760\u7684\u662f\u2014\u2014<strong>\u57fa\u91d1\u516c\u53f8\u6708\u5e95\u201c\u88c5\u95e8\u9762\u201d\u7684\u8001\u6bdb\u75c5<\/strong>\u3002<\/p>\n\n\n\n<p>\u4f60\u6ca1\u542c\u9519\uff0c\u5c31\u662f\u90a3\u4e9b\u7ba1\u7406\u7740\u51e0\u767e\u4ebf\u3001\u51e0\u5343\u4ebf\u8d44\u91d1\u7684\u5927\u4f6c\u4eec\uff0c\u6bcf\u5230\u6708\u5e95\u3001\u5b63\u672b\uff0c\u90fd\u4f1a\u5077\u5077\u8c03\u6574\u4e00\u4e0b\u81ea\u5df1\u7684\u6301\u4ed3\uff0c\u8ba9\u62a5\u8868\u770b\u8d77\u6765\u66f4\u6f02\u4eae\u3002<\/p>\n\n\n\n<p>\u6bd4\u5982\uff0c\u5356\u6389\u8868\u73b0\u5dee\u7684\u80a1\u7968\uff0c\u591a\u4e70\u70b9\u6da8\u5f97\u597d\u7684\uff1b\u6216\u8005\uff0c\u4e3a\u4e86\u663e\u5f97\u201c\u7a33\u5065\u201d\uff0c\u4e34\u65f6\u4e70\u70b9\u56fd\u503a\u3002<\/p>\n\n\n\n<p>\u8fd9\u4e00\u4e70\u4e00\u5356\uff0c\u5c31\u4f1a\u8ba9\u5e02\u573a\u5728\u7279\u5b9a\u65f6\u95f4\u70b9\u51fa\u73b0\u201c\u5c0f\u6ce2\u52a8\u201d\u3002\u800c\u6211\u4eec\uff0c\u5c31\u662f\u8981\u6293\u4f4f\u8fd9\u4e9b\u201c\u5c0f\u6ce2\u52a8\u201d\uff0c\u7a33\u7a33\u5730\u8d5a\u70b9\u5c0f\u94b1\u3002<\/p>\n\n\n\n<p>\u8fd9\u4e2a\u7b56\u7565\u7684\u6838\u5fc3\uff0c\u5c31\u662f\u4e24\u53eaETF\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>TLT<\/strong>\uff1a\u8ddf\u8e2a\u7f8e\u56fd\u957f\u671f\u56fd\u503a\uff0c\u76f8\u5f53\u4e8e\u201c\u907f\u98ce\u6e2f\u201d\uff0c\u80a1\u5e02\u8dcc\u7684\u65f6\u5019\u5b83\u5e38\u6da8\u3002<\/li>\n\n\n\n<li><strong>SPY<\/strong>\uff1a\u8ddf\u8e2a\u6807\u666e500\u6307\u6570\uff0c\u4ee3\u8868\u7f8e\u56fd\u5927\u76d8\u80a1\uff0c\u80a1\u5e02\u6da8\u5b83\u5c31\u6da8\u3002<\/li>\n<\/ul>\n\n\n\n<p>\u8fd9\u4e24\u5144\u5f1f\uff0c\u5e73\u65f6\u8d70\u52bf\u7ecf\u5e38\u201c\u5bf9\u7740\u5e72\u201d\uff0c\u7b80\u76f4\u662f\u5929\u751f\u4e00\u5bf9\u3002<\/p>\n\n\n\n<p>\u6211\u4eec\u7684\u64cd\u4f5c\u5f88\u7b80\u5355\uff1a<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p><strong>\u6bcf\u6708\u5012\u6570\u7b2c7\u4e2a\u4ea4\u6613\u65e5\uff1a\u4e70TLT\uff0c\u5356\u7a7aSPY<\/strong><br><strong>\u4e0b\u4e2a\u6708\u7b2c\u4e00\u4e2a\u4ea4\u6613\u65e5\uff1a\u5356TLT\uff0c\u4e70\u56deSPY<\/strong><br><strong>\u518d\u8fc7\u4e00\u5468\uff1a\u5168\u90e8\u5e73\u4ed3<\/strong><\/p>\n<\/blockquote>\n\n\n\n<p>\u5c31\u8fd9\u4e48\u7b80\u5355\u3002\u4e0d\u7528\u76ef\u76d8\uff0c\u4e0d\u7528\u5206\u6790\u8d22\u62a5\uff0c\u4e0d\u7528\u7814\u7a76\u5b8f\u89c2\u7ecf\u6d4e\u3002\u53ea\u8981\u8bb0\u4f4f\u4e24\u4e2a\u65e5\u5b50\uff0c\u6309\u8ba1\u5212\u64cd\u4f5c\u5c31\u884c\u3002<\/p>\n\n\n\n<p>\u8fd9\u53eb\u201c\u5e02\u573a\u4e2d\u6027\u7b56\u7565\u201d\u2014\u2014\u4e0d\u8d4c\u5927\u76d8\u6da8\u8dcc\uff0c\u53ea\u8d5a\u4e24\u53eaETF\u4e4b\u95f4\u7684\u201c\u76f8\u5bf9\u5dee\u4ef7\u201d\u3002<\/p>\n\n\n\n<p>\u597d\u5904\u662f\u5565\uff1f\u98ce\u9669\u4f4e\u554a\uff01\u5c31\u7b972022\u5e74\u90a3\u79cd\u718a\u5e02\uff0c\u80a1\u5e02\u548c\u503a\u5e02\u4e00\u8d77\u8dcc\uff0c\u4f46\u5b83\u4eec\u8dcc\u7684\u901f\u5ea6\u4e0d\u4e00\u6837\uff0c\u6211\u4eec\u7167\u6837\u80fd\u8d5a\u5230\u201c\u526a\u5200\u5dee\u201d\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e8c\u3001\u4e3a\u4ec0\u4e48\u8fd9\u4e2a\u7b56\u7565\u80fd\u201c\u5077\u61d2\u8d5a\u94b1\u201d\uff1f<\/strong><\/h2>\n\n\n\n<p>\u8bf4\u767d\u4e86\uff0c\u8fd9\u5c31\u662f\u5728\u201c\u8585\u673a\u6784\u7684\u7f8a\u6bdb\u201d\u3002<\/p>\n\n\n\n<p>\u57fa\u91d1\u516c\u53f8\u5e74\u5e95\u6216\u5b63\u672b\u8981\u53d1\u62a5\u544a\uff0c\u8001\u677f\u548c\u5ba2\u6237\u90fd\u8981\u770b\u3002\u4ed6\u4eec\u4e0d\u60f3\u770b\u5230\u81ea\u5df1\u91cd\u4ed3\u4e86\u4e00\u5806\u201c\u5783\u573e\u80a1\u201d\uff0c\u6240\u4ee5\u4f1a\u505a\u70b9\u201c\u7f8e\u5316\u201d\u3002<\/p>\n\n\n\n<p>\u6bd4\u5982\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u5356\u6389\u6700\u8fd1\u8868\u73b0\u5dee\u7684\u80a1\u7968\uff0c\u6362\u6210\u6da8\u5f97\u597d\u7684\u3002<\/li>\n\n\n\n<li>\u4e34\u65f6\u4e70\u70b9\u56fd\u503a\uff0c\u663e\u5f97\u201c\u98ce\u63a7\u505a\u5f97\u597d\u201d\u3002<\/li>\n<\/ul>\n\n\n\n<p>\u8fd9\u79cd\u884c\u4e3a\uff0c\u5728\u91d1\u878d\u5708\u6709\u4e2a\u4e13\u6709\u540d\u8bcd\u2014\u2014<strong>\u201c\u7a97\u53e3\u88c5\u9970\u201d<\/strong>\uff08Window Dressing\uff09\u3002<\/p>\n\n\n\n<p>\u542c\u8d77\u6765\u5f88\u4e13\u4e1a\uff0c\u5176\u5b9e\u5c31\u662f\u201c\u4e34\u8003\u524d\u7a81\u51fb\u80cc\u4e66\u201d\u3002<\/p>\n\n\n\n<p>\u5386\u53f2\u4e0a\u5c31\u6709\u7ecf\u5178\u6848\u4f8b\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>2008\u5e74\u96f7\u66fc\u5144\u5f1f<\/strong>\uff1a\u5b63\u5ea6\u672b\u7528\u201cRepo 105\u201d\u628a\u8d1f\u503a\u6682\u65f6\u79fb\u51fa\u62a5\u8868\uff0c\u5047\u88c5\u81ea\u5df1\u6ca1\u90a3\u4e48\u5371\u9669\u3002<\/li>\n\n\n\n<li><strong>\u666e\u901a\u516c\u52df\u57fa\u91d1<\/strong>\uff1a\u5b63\u672b\u72c2\u5356\u4e8f\u635f\u80a1\uff0c\u731b\u4e70\u660e\u661f\u80a1\uff0c\u5bfc\u81f4\u80a1\u4ef7\u88ab\u201c\u626d\u66f2\u201d\u51e0\u4e2a\u767e\u5206\u70b9\u3002<\/li>\n\n\n\n<li><strong>\u4fdd\u9669\u516c\u53f8<\/strong>\uff1a\u6708\u5e95\u96c6\u4e2d\u4e70\u56fd\u503a\uff0c\u63a8\u9ad8\u4ef7\u683c\uff0c\u5bfc\u81f4\u56fd\u503a\u6700\u540e\u51e0\u5929\u5e73\u5747\u80fd\u6da80.25%\u3002<\/li>\n<\/ul>\n\n\n\n<p>\u8fd9\u4e9b\u884c\u4e3a\uff0c\u90fd\u662f\u6709\u89c4\u5f8b\u53ef\u5faa\u7684\u3002\u800c\u6211\u4eec\u7684\u7b56\u7565\uff0c\u5c31\u662f\u4e13\u95e8\u6293\u8fd9\u4e9b\u201c\u89c4\u5f8b\u201d\u3002<\/p>\n\n\n\n<p><strong>\u8fd9\u4e0d\u662f\u8d4c\u535a\uff0c\u8fd9\u662f\u5229\u7528\u4eba\u6027\u5f31\u70b9\u8d5a\u94b1\u3002<\/strong><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e09\u3001\u624b\u628a\u624b\u6559\u5b66<\/strong><\/h2>\n\n\n\n<p>\u4e0b\u9762\uff0c\u6211\u624b\u628a\u624b\u5e26\u4f60\u7528Python\u628a\u8fd9\u4e2a\u7b56\u7565\u8dd1\u8d77\u6765\u3002\u5168\u7a0b\u4ee3\u7801\u6e05\u6670\uff0c\u6ce8\u91ca\u8be6\u7ec6\uff0c\u7167\u7740\u6572\u5c31\u80fd\u8dd1\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e00\u6b65\uff1a\u5b89\u88c5\u5fc5\u5907\u5de5\u5177\u5305<\/strong><\/h3>\n\n\n\n<p>\u6253\u5f00\u4f60\u7684Python\u73af\u5883\uff08\u63a8\u8350Jupyter Notebook\u6216Google Colab\uff09\uff0c\u5148\u88c5\u8fd9\u51e0\u4e2a\u5e93\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>pip install yfinance pandas numpy vectorbt<\/code><\/pre>\n\n\n\n<p>\u5982\u679c\u4f60\u4e0d\u4f1a\u88c5\uff0c\u76f4\u63a5\u53bbGoogle Colab\uff0c\u65b0\u5efa\u4e00\u4e2aNotebook\uff0c\u7c98\u8d34\u4ee3\u7801\u5c31\u80fd\u8dd1\uff0c\u5b8c\u5168\u514d\u8d39\uff01<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e8c\u6b65\uff1a\u5bfc\u5165\u6570\u636e\uff082010\u5e74\u81f3\u4eca\uff09<\/strong><\/h3>\n\n\n\n<p>\u8fd9\u6bb5\u4ee3\u7801\u4ece2010\u5e74\u5230\u73b0\u5728\u4e0b\u8f7dTLT\u548cSPY\u7684\u6570\u636e\u3002yfinance\u5e93\u80fd\u81ea\u52a8\u4ece\u96c5\u864e\u8d22\u7ecf\u6293\u6570\u636e\uff0c\u8d85\u7ea7\u65b9\u4fbf\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>import yfinance as yf\nimport pandas as pd\nimport numpy as np\nimport vectorbt as vbt\n\n# \u8bbe\u7f6e\u65f6\u95f4\u8303\u56f4\nstart_date = \"2010-01-01\"\nend_date = pd.Timestamp.today().strftime(\"%Y-%m-%d\")  # \u81ea\u52a8\u83b7\u53d6\u5f53\u524d\u65e5\u671f\nsymbols = &#91;\"TLT\", \"SPY\"]  # \u6211\u4eec\u8981\u64cd\u4f5c\u7684\u4e24\u53eaETF\n\n# \u4e0b\u8f7d\u6536\u76d8\u4ef7\ntry:\n    price_data = yf.download(symbols, start=start_date, end=end_date, auto_adjust=False)&#91;\"Close\"]\nexcept Exception as e:\n    print(f\"\u4e0b\u8f7d\u6570\u636e\u5931\u8d25: {e}\")\n    # \u53ef\u4ee5\u6362Alpha Vantage\u7b49\u5176\u4ed6\u6570\u636e\u6e90\n\n# \u586b\u5145\u7f3a\u5931\u503c\uff08\u6bd4\u5982\u8282\u5047\u65e5\uff09\nprice_data = price_data.fillna(method='ffill').dropna()<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e09\u6b65\uff1a\u627e\u5173\u952e\u4ea4\u6613\u65e5<\/strong><\/h3>\n\n\n\n<p>\u6211\u4eec\u8981\u627e\u7684\u662f\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u6bcf\u4e2a\u6708\u5012\u6570\u7b2c7\u4e2a\u4ea4\u6613\u65e5\uff08\u5f00\u4ed3\u65e5\uff09<\/li>\n\n\n\n<li>\u6bcf\u4e2a\u6708\u7b2c\u4e00\u4e2a\u4ea4\u6613\u65e5\uff08\u5e73\u4ed3+\u53cd\u5411\u5f00\u4ed3\u65e5\uff09<\/li>\n\n\n\n<li>\u5e73\u4ed3\u65e5\u4e4b\u540e\u7b2c7\u4e2a\u4ea4\u6613\u65e5\uff08\u6700\u7ec8\u5e73\u4ed3\u65e5\uff09<\/li>\n<\/ul>\n\n\n\n<p>\u4ee3\u7801\u5982\u4e0b\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>dates = price_data.index\nyear_month = dates.to_period('M')\ngrouped = pd.DataFrame({\"dt\": dates, \"ym\": year_month}).groupby(\"ym\")&#91;\"dt\"]\n\nfirst_trading_days = grouped.first().values  # \u6bcf\u6708\u7b2c\u4e00\u4e2a\u4ea4\u6613\u65e5\nlast_trading_days = grouped.last().values    # \u6bcf\u6708\u6700\u540e\u4e00\u4e2a\u4ea4\u6613\u65e5\n\n# \u5b9a\u4e49\u51fd\u6570\uff1a\u627e\u524d\u9762\u7b2cN\u4e2a\u4ea4\u6613\u65e5\ndef get_prev_trading_day_idx(trading_dates, base_dates, offset):\n    idx = &#91;]\n    trading_dates = pd.Series(trading_dates)\n    for d in base_dates:\n        pos = trading_dates.searchsorted(d)  # \u627e\u5230\u63d2\u5165\u70b9\n        prev_idx = pos - offset\n        if prev_idx >= 0:\n            idx.append(trading_dates.iloc&#91;prev_idx])\n    return pd.DatetimeIndex(idx)\n\n# \u5b9a\u4e49\u51fd\u6570\uff1a\u627e\u540e\u9762\u7b2cN\u4e2a\u4ea4\u6613\u65e5\ndef get_offset_trading_day_idx(trading_dates, base_dates, offset):\n    idx = &#91;]\n    trading_dates = pd.Series(trading_dates)\n    for d in base_dates:\n        pos = trading_dates.searchsorted(d)\n        target_idx = pos + offset\n        if target_idx &lt; len(trading_dates):\n            idx.append(trading_dates.iloc&#91;target_idx])\n    return pd.DatetimeIndex(idx)\n\n# \u8ba1\u7b97\u5173\u952e\u65e5\u671f\npre_end_idx = get_prev_trading_day_idx(dates, last_trading_days, 7)   # 7\u5929\u524d\u5f00\u4ed3\nmonth_start_idx = get_offset_trading_day_idx(dates, last_trading_days, 1)  # \u6708\u521d\u53cd\u5411\nweek_after_start_idx = get_offset_trading_day_idx(dates, month_start_idx, 7)  # \u4e00\u5468\u540e\u5e73\u4ed3<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u56db\u6b65\uff1a<strong>\u521b\u5efa\u4ea4\u6613\u4fe1\u53f7<\/strong><\/strong><\/h3>\n\n\n\n<p>\u6211\u4eec\u521b\u5efa\u4e00\u4e2a\u4fe1\u53f7\u8868\uff0c\u544a\u8bc9\u7a0b\u5e8f\u4ec0\u4e48\u65f6\u5019\u4e70\u3001\u4ec0\u4e48\u65f6\u5019\u5356\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code># \u521d\u59cb\u5316\u4fe1\u53f7\u8868\nsignals = pd.DataFrame(\n    index=dates,\n    columns=pd.MultiIndex.from_product(&#91;symbols, &#91;'long_entry', 'long_exit', 'short_entry', 'short_exit']]),\n    data=False\n)\n\n# \u5f00\u4ed3\u4fe1\u53f7\uff1a\u6708\u5e95\u524d7\u5929\uff0c\u4e70TLT\uff0c\u5356SPY\nsignals.loc&#91;pre_end_idx, (\"TLT\", \"long_entry\")] = True\nsignals.loc&#91;pre_end_idx, (\"SPY\", \"short_entry\")] = True\n\n# \u53cd\u5411\u5f00\u4ed3\u4fe1\u53f7\uff1a\u6708\u521d\uff0c\u5356TLT\uff0c\u4e70SPY\nsignals.loc&#91;month_start_idx, (\"TLT\", \"short_entry\")] = True\nsignals.loc&#91;month_start_idx, (\"SPY\", \"long_entry\")] = True\n\n# \u5e73\u4ed3\u4fe1\u53f7\uff1a\u6708\u521d\u5e73\u6389\u7b2c\u4e00\u7b14\uff0c\u4e00\u5468\u540e\u5e73\u6389\u7b2c\u4e8c\u7b14\nsignals.loc&#91;month_start_idx, (\"TLT\", \"long_exit\")] = True\nsignals.loc&#91;month_start_idx, (\"SPY\", \"short_exit\")] = True\nsignals.loc&#91;week_after_start_idx, (\"TLT\", \"short_exit\")] = True\nsignals.loc&#91;week_after_start_idx, (\"SPY\", \"long_exit\")] = True\n\n# \u6574\u7406\u6210vectorbt\u80fd\u8bc6\u522b\u7684\u683c\u5f0f\nlong_entry = pd.DataFrame({sym: signals&#91;(sym, \"long_entry\")] for sym in symbols})\nlong_exit = pd.DataFrame({sym: signals&#91;(sym, \"long_exit\")] for sym in symbols})\nshort_entry = pd.DataFrame({sym: signals&#91;(sym, \"short_entry\")] for sym in symbols})\nshort_exit = pd.DataFrame({sym: signals&#91;(sym, \"short_exit\")] for sym in symbols})<\/code><\/pre>\n\n\n\n<p>\u8fd9\u4e9b\u51fd\u6570\u5e2e\u4f60\u7cbe\u51c6\u5b9a\u4f4d\u4ea4\u6613\u70b9\uff0c\u907f\u514d\u9519\u8fc7\u65f6\u673a\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e94\u6b65\uff1a<strong>\u56de\u6d4b\u7b56\u7565<\/strong><\/strong><\/h3>\n\n\n\n<p>\u6700\u540e\uff0c\u6211\u4eec\u7528vectorbt\u56de\u6d4b\uff0c\u770b\u770b\u7b56\u7565\u8868\u73b0\u3002\u5047\u8bbe\u8d77\u59cb\u8d44\u91d110\u4e07\u7f8e\u5143\u3002\u4ee3\u7801\u5982\u4e0b\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code># \u5f00\u59cb\u56de\u6d4b\uff0c\u521d\u59cb\u8d44\u91d110\u4e07\u7f8e\u91d1\npf = vbt.Portfolio.from_signals(\n    price_data,\n    entries=long_entry,\n    exits=long_exit,\n    short_entries=short_entry,\n    short_exits=short_exit,\n    freq='D',\n    size_type=1,      # \u7528\u767e\u5206\u6bd4\u4e0b\u5355\n    size=np.inf,      # \u65e0\u9650\u8d44\u91d1\uff08\u7b80\u5316\u7248\uff0c\u5b9e\u9645\u53ef\u7528size=1\uff09\n    init_cash=100_000\n)\n\n# \u8f93\u51fa\u7edf\u8ba1\u7ed3\u679c\nprint(pf.stats())<\/code><\/pre>\n\n\n\n<p>\u8fd0\u884c\u5b8c\uff0c\u4f60\u4f1a\u770b\u5230\u7c7b\u4f3c\u8fd9\u6837\u7684\u7ed3\u679c\uff1a<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"366\" height=\"314\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2025\/10\/a1a084fc1b70c00e17e893742e94a98affec8b35.webp\" alt=\"\" class=\"wp-image-2886\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/10\/a1a084fc1b70c00e17e893742e94a98affec8b35.webp 366w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/10\/a1a084fc1b70c00e17e893742e94a98affec8b35-300x257.webp 300w\" sizes=\"(max-width: 366px) 100vw, 366px\" \/><\/figure>\n\n\n\n<p>\u662f\u4e0d\u662f\u770b\u7740\u4e0d\u9ad8\uff1f\u522b\u6025\uff0c\u8fd9\u53ef\u662f<strong>15\u5e74\u65e0\u8111\u64cd\u4f5c\u7684\u7ed3\u679c<\/strong>\uff0c\u800c\u4e14\u6700\u5927\u56de\u64a4\u53ea\u67099%\uff0c\u98ce\u9669\u6781\u4f4e\u3002<\/p>\n\n\n\n<p>\u5bf9\u6bd4\u4e00\u4e0b\uff0c\u540c\u671f\u4e70\u5165\u6301\u6709SPY\uff0c\u5e74\u5316\u53ef\u80fd\u67097-8%\uff0c\u4f46\u6700\u5927\u56de\u64a4\u80fd\u523030%\u4ee5\u4e0a\u3002<\/p>\n\n\n\n<p>\u6211\u4eec\u8fd9\u4e2a\u7b56\u7565\uff0c\u80dc\u5728<strong>\u7a33<\/strong>\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u56db\u3001\u8fdb\u9636\u73a9\u6cd5<\/strong><\/h2>\n\n\n\n<p>\u4e0a\u9762\u7684\u4ee3\u7801\u662f\u57fa\u7840\u7248\uff0c\u5982\u679c\u4f60\u60f3\u8ba9\u5b83\u66f4\u8d5a\u94b1\uff0c\u53ef\u4ee5\u8bd5\u8bd5\u8fd9\u4e9b\u6539\u8fdb\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>1. \u8c03\u6574\u5f00\u4ed3\u65f6\u95f4<\/strong><\/h3>\n\n\n\n<p>\u539f\u7248\u662f\u201c\u6708\u5e95\u524d7\u5929\u201d\uff0c\u4f60\u53ef\u4ee5\u6539\u6210\u201c\u524d3\u5929\u201d\u6216\u201c\u524d10\u5929\u201d\uff0c\u770b\u770b\u54ea\u4e2a\u6548\u679c\u66f4\u597d\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>pre_end_idx = get_prev_trading_day_idx(dates, last_trading_days, 3)  # \u6539\u62103\u5929\u524d<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>2. \u6362ETF\u7ec4\u5408<\/strong><\/h3>\n\n\n\n<p>\u9664\u4e86TLT\u548cSPY\uff0c\u8fd8\u53ef\u4ee5\u8bd5\u8bd5\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>IEF<\/strong>\uff08\u4e2d\u671f\u56fd\u503a\uff09 + SPY<\/li>\n\n\n\n<li><strong>QQQ<\/strong>\uff08\u7eb3\u65af\u8fbe\u514b\uff09 + TLT<\/li>\n\n\n\n<li><strong>AGG<\/strong>\uff08\u7efc\u5408\u503a\u5238\uff09 + QQQ<\/li>\n<\/ul>\n\n\n\n<p>\u4e0d\u540c\u7684\u7ec4\u5408\uff0c\u6709\u4e0d\u540c\u7684\u201c\u526a\u5200\u5dee\u201d\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>3. \u52a0\u4e2a\u201c\u8d8b\u52bf\u8fc7\u6ee4\u5668\u201d<\/strong><\/h3>\n\n\n\n<p>\u5982\u679c\u6700\u8fd1\u4e00\u4e2a\u6708\uff0cTLT\u6da8\u5f97\u6bd4SPY\u591a\uff0c\u6211\u4eec\u5c31\u6267\u884c\u7b56\u7565\uff1b\u5426\u5219\uff0c\u4f11\u606f\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code># \u8ba1\u7b9720\u65e5\u6da8\u5e45\ntlr_change = price_data&#91;'TLT'].pct_change(20)\nspy_change = price_data&#91;'SPY'].pct_change(20)\n\n# \u53ea\u6709\u5f53TLT\u6da8\u5f97\u66f4\u591a\u65f6\uff0c\u624d\u5f00\u4ed3\ntrade_filter = tlr_change > spy_change\n\n# \u5e94\u7528\u5230\u5f00\u4ed3\u4fe1\u53f7\nlong_entry_filtered = long_entry &amp; trade_filter\nshort_entry_filtered = short_entry &amp; trade_filter<\/code><\/pre>\n\n\n\n<p>\u8fd9\u6837\u80fd\u907f\u514d\u5728\u201c\u6781\u7aef\u884c\u60c5\u201d\u4e0b\u4e8f\u94b1\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>4. \u52a0\u5165\u624b\u7eed\u8d39\u548c\u878d\u5238\u6210\u672c<\/strong><\/h3>\n\n\n\n<p>\u73b0\u5b9e\u4e2d\uff0c\u5356\u7a7aSPY\u662f\u8981\u4ed8\u5229\u606f\u7684\uff0c\u5927\u6982\u6bcf\u5e740.3%-1%\u3002\u6211\u4eec\u53ef\u4ee5\u6a21\u62df\u4e00\u4e0b\uff1a<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>pf = vbt.Portfolio.from_signals(\n    price_data,\n    entries=long_entry,\n    exits=long_exit,\n    short_entries=short_entry,\n    short_exits=short_exit,\n    freq='D',\n    size_type=1,\n    size=np.inf,\n    init_cash=100_000,\n    fees=0.001,         # \u6bcf\u7b14\u4ea4\u66130.1%\u624b\u7eed\u8d39\n    short_fees=0.0005   # \u5356\u7a7a\u8d39\uff0c\u6309\u65e5\u8ba1\u7b97\uff08\u7ea60.5%\/\u5e74\uff09\n)<\/code><\/pre>\n\n\n\n<p>\u52a0\u4e0a\u6210\u672c\u540e\uff0c\u6536\u76ca\u4f1a\u7565\u964d\uff0c\u4f46\u66f4\u8d34\u8fd1\u73b0\u5b9e\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e94\u3001\u89c2\u70b9\u603b\u7ed3<\/strong><\/h2>\n\n\n\n<p>\u603b\u7684\u6765\u8bf4\uff0c\u8fd9\u662f\u4e00\u4e2a\u201c\u4f4e\u98ce\u9669\u3001\u4f4e\u6536\u76ca\u3001\u9ad8\u7a33\u5b9a\u201d\u7684\u7b56\u7565\u3002\u5b83\u4e0d\u9002\u5408\u8ffd\u6c42\u66b4\u5bcc\u7684\u4eba\uff0c\u4f46\u975e\u5e38\u9002\u5408\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u60f3\u5b66\u91cf\u5316\u4ea4\u6613\u7684\u65b0\u624b\u3002<\/li>\n\n\n\n<li>\u4e0d\u60f3\u5929\u5929\u76ef\u76d8\u7684\u4e0a\u73ed\u65cf\u3002<\/li>\n\n\n\n<li>\u5e0c\u671b\u8d44\u4ea7\u7a33\u5065\u589e\u503c\u7684\u4fdd\u5b88\u6d3e\u3002<\/li>\n<\/ul>\n\n\n\n<p>\u5b83\u6700\u5927\u7684\u4f18\u70b9\u662f\uff1a<strong>\u7b80\u5355\u3001\u900f\u660e\u3001\u53ef\u9a8c\u8bc1<\/strong>\u3002\u4f60\u4e0d\u9700\u8981\u76f8\u4fe1\u4efb\u4f55\u201c\u5927\u5e08\u201d\uff0c\u53ea\u9700\u8981\u76f8\u4fe1\u6570\u636e\u548c\u4ee3\u7801\u3002<\/p>\n\n\n\n<ul start=\"1\" 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