{"id":3109,"date":"2025-12-04T07:20:00","date_gmt":"2025-12-03T23:20:00","guid":{"rendered":"https:\/\/www.laoyulaoyu.com\/?p=3109"},"modified":"2025-11-24T19:21:32","modified_gmt":"2025-11-24T11:21:32","slug":"%e7%94%a8python%e8%bd%bb%e6%9d%be%e6%90%9e%e5%ae%9a%e6%97%b6%e9%97%b4%e5%ba%8f%e5%88%97%e5%8a%a8%e9%87%8f%e7%ad%96%e7%95%a5","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2025\/12\/04\/%e7%94%a8python%e8%bd%bb%e6%9d%be%e6%90%9e%e5%ae%9a%e6%97%b6%e9%97%b4%e5%ba%8f%e5%88%97%e5%8a%a8%e9%87%8f%e7%ad%96%e7%95%a5\/","title":{"rendered":"\u7528Python\u8f7b\u677e\u641e\u5b9a\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565"},"content":{"rendered":"\n<p>\u4ece\u5165\u95e8\u5230\u7cbe\u901a\uff0c\u8001\u4f59\u5e26\u4f60\u62c6\u89e3TSMOM\u7b56\u7565\u6838\u5fc3<\/p>\n\n\n\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\/11\/781662242fdceb0736c5dfd412445f7957ab9316.webp\" alt=\"\" class=\"wp-image-3110\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/781662242fdceb0736c5dfd412445f7957ab9316.webp 900w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/781662242fdceb0736c5dfd412445f7957ab9316-300x128.webp 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/781662242fdceb0736c5dfd412445f7957ab9316-768x327.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\u7ed9\u5927\u5bb6\u5e26\u6765\u4e00\u4e2a\u8d85\u7ea7\u5b9e\u7528\u7684\u91cf\u5316\u7b56\u7565\u2014\u2014<strong>\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565\uff08TSMOM\uff09<\/strong>\u3002\u8fd9\u4e2a\u7b56\u7565\u7b80\u5355\u5230\u4ee4\u4eba\u53d1\u6307\uff0c\u4f46\u6548\u679c\u5374\u597d\u5f97\u60ca\u4eba\u3002\u6211\u7528Python\u624b\u628a\u624b\u6559\u4f60\u5b9e\u73b0\uff0c\u4ece\u6570\u636e\u83b7\u53d6\u5230\u4fe1\u53f7\u751f\u6210\uff0c\u518d\u5230\u98ce\u9669\u63a7\u5236\uff0c\u4e00\u6761\u9f99\u670d\u52a1\u3002<\/pre>\n<\/blockquote>\n\n\n\n<p>\u4e0d\u7ba1\u4f60\u662f\u91cf\u5316\u5c0f\u767d\u8fd8\u662f\u8001\u624b\uff0c\u8fd9\u7bc7\u6587\u7ae0\u90fd\u80fd\u8ba9\u4f60\u6709\u6240\u6536\u83b7\u3002\u8bb0\u5f97\u770b\u5230\u6700\u540e\uff0c\u6709\u5b8c\u6574\u7684\u4ee3\u7801\u9001\u7ed9\u4f60\uff01<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>01 \u4ec0\u4e48\u662f\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565<\/strong><\/h2>\n\n\n\n<p>\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565\uff08TSMOM\uff09\u662f\u91cf\u5316\u4ea4\u6613\u9886\u57df\u4e2d\u6700\u7b80\u5355\u5374\u6700\u6709\u6548\u7684\u7b56\u7565\u4e4b\u4e00\u3002\u5b83\u7684\u6838\u5fc3\u903b\u8f91\u5f88\u7b80\u5355\uff1a\u5982\u679c\u4e00\u53ea\u80a1\u7968\u8fc7\u53bb\u4e00\u6bb5\u65f6\u95f4\u5728\u6da8\uff0c\u6211\u4eec\u5c31\u4e70\u5b83\uff1b\u5982\u679c\u5728\u8dcc\uff0c\u6211\u4eec\u5c31\u5356\u5b83\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">\u7b56\u7565\u6838\u5fc3\u516c\u5f0f<\/h3>\n\n\n\n<p>\u4fe1\u53f7 = sign(\u8fc7\u53bbN\u5929\u6536\u76ca\u7387)<\/p>\n\n\n\n<p>\u5f53\u6536\u76ca\u7387 &gt; 0\u65f6\uff0c\u4fe1\u53f7 = +1\uff08\u4e70\u5165\uff09\uff1b\u5f53\u6536\u76ca\u7387 &lt; 0\u65f6\uff0c\u4fe1\u53f7 = -1\uff08\u5356\u51fa\uff09<\/p>\n\n\n\n<p>\u8fd9\u4e2a\u7b56\u7565\u4e0d\u9700\u8981\u590d\u6742\u7684\u6570\u5b66\u6a21\u578b\uff0c\u53ea\u9700\u8981\u770b\u8d44\u4ea7\u81ea\u5df1\u7684\u5386\u53f2\u8868\u73b0\u3002<a href=\"https:\/\/news.qq.com\/rain\/a\/20250525A034HK00\">Moskowitz\u3001Ooi\u548cPedersen\u57282012\u5e74\u7684\u7814\u7a76<\/a>\u53d1\u73b0\uff0c\u8fd9\u4e2a\u7b56\u7565\u5728\u5168\u7403\u5404\u5927\u8d44\u4ea7\u7c7b\u522b\u90fd\u80fd\u8d5a\u94b1\uff0c\u5305\u62ec\u80a1\u7968\u3001\u503a\u5238\u3001\u5546\u54c1\u548c\u5916\u6c47\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>02 \u4e3a\u4ec0\u4e48\u52a8\u91cf\u7b56\u7565\u80fd\u8d5a\u94b1<\/strong><\/h2>\n\n\n\n<p>\u52a8\u91cf\u7b56\u7565\u80fd\u8d5a\u94b1\uff0c\u4e3b\u8981\u662f\u56e0\u4e3a\u5e02\u573a\u53c2\u4e0e\u8005\u7684\u884c\u4e3a\u504f\u5dee\u3002\u8ba9\u6211\u4eec\u770b\u770b\u5177\u4f53\u7684\u539f\u56e0\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4fdd\u5b88\u6027\u504f\u5dee<\/strong><\/h3>\n\n\n\n<p>\u5927\u5bb6\u5bf9\u65b0\u4fe1\u606f\u53cd\u5e94\u592a\u6162\uff0c\u5bfc\u81f4\u4ef7\u683c\u8d8b\u52bf\u4f1a\u6301\u7eed\u4e00\u6bb5\u65f6\u95f4\u3002\u6295\u8d44\u8005\u503e\u5411\u4e8e\u575a\u6301\u81ea\u5df1\u539f\u6709\u7684\u89c2\u70b9\uff0c\u4e0d\u613f\u610f\u5feb\u901f\u8c03\u6574\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u6b63\u53cd\u9988\u4ea4\u6613<\/strong><\/h3>\n\n\n\n<p>\u770b\u5230\u80a1\u7968\u6da8\u5c31\u8ffd\u9ad8\uff0c\u770b\u5230\u8dcc\u5c31\u5272\u8089\uff0c\u8fd9\u79cd\u884c\u4e3a\u4f1a\u5f3a\u5316\u8d8b\u52bf\u3002\u8ffd\u6da8\u6740\u8dcc\u662f\u4eba\u6027\uff0c\u4e5f\u662f\u52a8\u91cf\u7b56\u7565\u7684\u76c8\u5229\u6765\u6e90\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u5904\u7f6e\u6548\u5e94<\/strong><\/h3>\n\n\n\n<p>\u4eba\u4eec\u592a\u65e9\u5c31\u5356\u51fa\u8d5a\u94b1\u7684\u80a1\u7968\uff0c\u5374\u6b7b\u62b1\u7740\u4e8f\u94b1\u7684\u80a1\u7968\u4e0d\u653e\u3002\u8fd9\u79cd\u884c\u4e3a\u6a21\u5f0f\u4e3a\u52a8\u91cf\u7b56\u7565\u521b\u9020\u4e86\u6301\u7eed\u7684\u76c8\u5229\u673a\u4f1a\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u4fe1\u606f\u4f20\u64ad\u5ef6\u8fdf<\/strong><\/h3>\n\n\n\n<p>\u65b0\u4fe1\u606f\u5728\u5e02\u573a\u4e2d\u7684\u4f20\u64ad\u9700\u8981\u65f6\u95f4\uff0c\u4e0d\u662f\u6240\u6709\u6295\u8d44\u8005\u90fd\u80fd\u7acb\u5373\u83b7\u5f97\u5e76\u5904\u7406\u4fe1\u606f\uff0c\u8fd9\u9020\u6210\u4e86\u4ef7\u683c\u7684\u6301\u7eed\u8d8b\u52bf\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u5173\u952e\u6d1e\u5bdf<\/strong><\/h3>\n\n\n\n<p>\u8fd9\u4e9b\u884c\u4e3a\u504f\u5dee\u5728\u91d1\u878d\u5e02\u573a\u4e2d\u666e\u904d\u5b58\u5728\uff0c\u4e3a\u52a8\u91cf\u7b56\u7565\u63d0\u4f9b\u4e86\u6301\u7eed\u7684\u76c8\u5229\u673a\u4f1a\u3002<a href=\"https:\/\/zhuanlan.zhihu.com\/p\/1888696124975579466\">\u7814\u7a76\u8868\u660e<\/a>\uff0c\u52a8\u91cf\u6548\u5e94\u57283-12\u4e2a\u6708\u7684\u65f6\u95f4\u8303\u56f4\u5185\u6700\u4e3a\u663e\u8457\uff0c\u8fd9\u6b63\u662f\u6211\u4eec\u7b56\u7565\u7684\u6700\u4f73\u6301\u6709\u671f\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>03 \u4e09\u79cd\u52a8\u91cf\u4fe1\u53f7\u751f\u6210\u65b9\u6cd5<\/strong><\/h2>\n\n\n\n<p>\u5728\u5b9e\u9645\u64cd\u4f5c\u4e2d\uff0c\u6211\u4eec\u6709\u4e09\u79cd\u4e3b\u8981\u7684\u52a8\u91cf\u4fe1\u53f7\u751f\u6210\u65b9\u6cd5\u3002\u6bcf\u79cd\u65b9\u6cd5\u90fd\u6709\u5176\u7279\u70b9\u548c\u9002\u7528\u573a\u666f\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u65b9\u6cd51\u00a0\u4ef7\u683c\u52a8\u91cf\uff08\u6700\u7b80\u5355\uff09<\/strong><\/h3>\n\n\n\n<h4 class=\"wp-block-heading\"><br>\u8ba1\u7b97\u516c\u5f0f<\/h4>\n\n\n\n<p>\u52a8\u91cf = (\u4eca\u5929\u6536\u76d8\u4ef7 \u00f7 N\u5929\u524d\u6536\u76d8\u4ef7) &#8211; 1<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">\u4fe1\u53f7\u89c4\u5219<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u52a8\u91cf > 0 \u2192 \u4e70\u5165\u4fe1\u53f7 (+1)<\/li>\n\n\n\n<li>\u52a8\u91cf &lt; 0 \u2192 \u5356\u51fa\u4fe1\u53f7 (-1)<\/li>\n<\/ul>\n\n\n\n<p><strong>\u5e38\u7528\u53c2\u6570\uff1a<\/strong>N = 20, 60, 120\u5929<\/p>\n\n\n\n<p><strong>\u4f18\u70b9\uff1a<\/strong>\u7b80\u5355\u76f4\u89c2\uff0c\u8ba1\u7b97\u5feb\u901f<\/p>\n\n\n\n<p><strong>\u7f3a\u70b9\uff1a<\/strong>\u5bb9\u6613\u53d7\u566a\u58f0\u5f71\u54cd<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u65b9\u6cd52\u00a0\u5747\u7ebf\u4ea4\u53c9\uff08\u6700\u5e38\u7528\uff09<\/strong><\/h3>\n\n\n\n<h4 class=\"wp-block-heading\"><br>\u4fe1\u53f7\u89c4\u5219<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u91d1\u53c9\uff08\u77ed\u671f\u5747\u7ebf\u4e0a\u7a7f\u957f\u671f\u5747\u7ebf\uff09\u2192 \u4e70\u5165<\/li>\n\n\n\n<li>\u6b7b\u53c9\uff08\u77ed\u671f\u5747\u7ebf\u4e0b\u7a7f\u957f\u671f\u5747\u7ebf\uff09\u2192 \u5356\u51fa<\/li>\n<\/ul>\n\n\n\n<h4 class=\"wp-block-heading\">\u7ecf\u5178\u7ec4\u5408<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u2022 20\u5929\u5747\u7ebf + 50\u5929\u5747\u7ebf<\/li>\n\n\n\n<li>\u2022 20\u5929\u5747\u7ebf + 200\u5929\u5747\u7ebf<\/li>\n\n\n\n<li>\u2022 50\u5929\u5747\u7ebf + 200\u5929\u5747\u7ebf<\/li>\n<\/ul>\n\n\n\n<p><strong>\u4f18\u70b9\uff1a<\/strong>\u8d8b\u52bf\u8bc6\u522b\u51c6\u786e\uff0c\u566a\u58f0\u8fc7\u6ee4\u6548\u679c\u597d<\/p>\n\n\n\n<p><strong>\u7f3a\u70b9\uff1a<\/strong>\u4fe1\u53f7\u6ede\u540e\uff0c\u5728\u9707\u8361\u5e02\u4e2d\u8868\u73b0\u4e0d\u4f73<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u65b9\u6cd53\u00a0\u5747\u7ebf\u659c\u7387\uff08\u6700\u7075\u654f\uff09<\/strong><\/h3>\n\n\n\n<h4 class=\"wp-block-heading\"><br>\u8ba1\u7b97\u516c\u5f0f<\/h4>\n\n\n\n<p>\u659c\u7387 = (\u4eca\u5929\u5747\u7ebf\u503c &#8211; N\u5929\u524d\u5747\u7ebf\u503c) \u00f7 N<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">\u4fe1\u53f7\u89c4\u5219<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u659c\u7387 > 0 \u2192 \u4e70\u5165\u4fe1\u53f7<\/li>\n\n\n\n<li>\u659c\u7387 &lt; 0 \u2192 \u5356\u51fa\u4fe1\u53f7<\/li>\n<\/ul>\n\n\n\n<p><strong>\u4f18\u70b9\uff1a<\/strong>\u53cd\u5e94\u7075\u654f\uff0c\u80fd\u63d0\u524d\u6355\u6349\u8d8b\u52bf\u53d8\u5316<\/p>\n\n\n\n<p><strong>\u7f3a\u70b9\uff1a<\/strong>\u5bb9\u6613\u4ea7\u751f\u5047\u4fe1\u53f7<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u5b9e\u6218\u5efa\u8bae<\/strong><\/h3>\n\n\n\n<p>\u6839\u636e<a href=\"https:\/\/www.laoyulaoyu.com\/index.php\/2025\/01\/29\/python%E5%8A%A8%E9%87%8F%E7%AD%96%E7%95%A5%E5%AE%9E%E6%88%98%EF%BC%9A%E5%A4%A7%E5%B9%85%E8%B7%91%E8%B5%A2%E5%B8%82%E5%9C%BA%E7%9A%84%E5%BA%95%E5%B1%82%E9%80%BB%E8%BE%91\/\">\u8001\u4f59\u7684\u5b9e\u6218\u7ecf\u9a8c<\/a>\uff0c\u5efa\u8bae\u65b0\u624b\u4ece\u5747\u7ebf\u4ea4\u53c9\u5f00\u59cb\uff0c\u56e0\u4e3a\u5b83\u5728\u8d8b\u52bf\u8bc6\u522b\u548c\u566a\u58f0\u8fc7\u6ee4\u4e4b\u95f4\u53d6\u5f97\u4e86\u5f88\u597d\u7684\u5e73\u8861\u3002\u7b49\u719f\u6089\u4e86\u518d\u5c1d\u8bd5\u5176\u4ed6\u65b9\u6cd5\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>04 \u6ce2\u52a8\u7387\u4f30\u8ba1\u5668\u8be6\u89e3<\/strong><\/h2>\n\n\n\n<p>\u6ce2\u52a8\u7387\u4f30\u8ba1\u662f\u52a8\u91cf\u7b56\u7565\u6210\u529f\u7684\u5173\u952e\u3002\u597d\u7684\u6ce2\u52a8\u7387\u4f30\u8ba1\u80fd\u8ba9\u6211\u4eec\u7684\u7b56\u7565\u5728\u4e0d\u540c\u5e02\u573a\u73af\u5883\u4e0b\u4fdd\u6301\u7a33\u5b9a\u7684\u98ce\u9669\u6c34\u5e73\u3002\u4e0b\u9762\u4ecb\u7ecd\u56db\u79cd\u4e3b\u6d41\u7684\u6ce2\u52a8\u7387\u4f30\u8ba1\u5668\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u57fa\u7840\u00a0\u6eda\u52a8\u6ce2\u52a8\u7387<\/strong><\/h3>\n\n\n\n<p>\u03c3 = std(\u6536\u76ca\u7387) \u00d7 \u221a252<\/p>\n\n\n\n<p>\u6700\u7b80\u5355\u7684\u6ce2\u52a8\u7387\u4f30\u8ba1\u65b9\u6cd5\uff0c\u53ea\u4f7f\u7528\u6536\u76d8\u4ef7\u6570\u636e\u3002\u4f18\u70b9\u662f\u8ba1\u7b97\u7b80\u5355\uff0c\u7f3a\u70b9\u662f\u5bf9\u4ef7\u683c\u8df3\u7a7a\u4e0d\u654f\u611f\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u8fdb\u9636\u00a0\u5e15\u91d1\u68ee\u6ce2\u52a8\u7387<\/strong><\/h3>\n\n\n\n<p>\u03c3 = \u221a[1\/(4ln2) \u00d7 mean((ln(H\/L))\u00b2)] \u00d7 \u221a252<\/p>\n\n\n\n<p>\u4f7f\u7528\u6700\u9ad8\u4ef7\u548c\u6700\u4f4e\u4ef7\uff0c\u6548\u7387\u6bd4\u6536\u76d8\u4ef7\u65b9\u6cd5\u9ad85.2\u500d\u3002\u80fd\u66f4\u597d\u5730\u6355\u6349\u65e5\u5185\u6ce2\u52a8\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u9ad8\u7ea7\u00a0\u52a0\u66fc-\u514b\u62c9\u65af\u6ce2\u52a8\u7387<\/strong><\/h3>\n\n\n\n<p>\u03c3 = \u221a[0.5(ln(H\/L))\u00b2 &#8211; (2ln2-1)(ln(C\/O))\u00b2] \u00d7 \u221a252<\/p>\n\n\n\n<p>\u7ed3\u5408OHLC\u56db\u4e2a\u4ef7\u683c\uff0c\u6548\u7387\u6bd4\u6536\u76d8\u4ef7\u65b9\u6cd5\u9ad87.4\u500d\u3002\u80fd\u540c\u65f6\u6355\u6349\u65e5\u5185\u6ce2\u52a8\u548c\u5f00\u76d8\u8df3\u7a7a\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u9876\u7ea7\u00a0\u6768-\u5f20\u6ce2\u52a8\u7387<\/strong><\/h3>\n\n\n\n<p>\u03c3\u00b2 = \u03c3_overnight\u00b2 + k\u00d7\u03c3_open\u00b2 + (1-k)\u00d7\u03c3_RS\u00b2<\/p>\n\n\n\n<p>\u6700\u590d\u6742\u7684\u4f30\u8ba1\u5668\uff0c\u6548\u7387\u6bd4\u6536\u76d8\u4ef7\u65b9\u6cd5\u9ad814\u500d\u3002\u80fd\u5904\u7406\u9694\u591c\u8df3\u7a7a\u548c\u65e5\u5185\u6ce2\u52a8\uff0c\u662f\u6700\u4f73\u9009\u62e9\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">\u6ce2\u52a8\u7387\u4f30\u8ba1\u5668\u6548\u7387\u5bf9\u6bd4\u5206\u6790<\/h3>\n\n\n\n<p><img decoding=\"async\" src=\"volatility_analysis.png\" alt=\"\u6ce2\u52a8\u7387\u5206\u6790\u56fe\u8868\"><\/p>\n\n\n\n<p>&nbsp;\u6768-\u5f20\u6ce2\u52a8\u7387\u4f30\u8ba1\u5668\u5728\u5904\u7406\u590d\u6742\u5e02\u573a\u73af\u5883\u65f6\u8868\u73b0\u6700\u4f73\uff0c\u6548\u7387\u662f\u6eda\u52a8\u6ce2\u52a8\u7387\u768414\u500d<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">\u8001\u4f59\u63a8\u8350<\/h3>\n\n\n\n<p>\u6839\u636e<a href=\"https:\/\/zhuanlan.zhihu.com\/p\/1889549508528042592\">\u5927\u91cf\u5b9e\u8bc1\u7814\u7a76<\/a>\uff0c<strong>\u6768-\u5f20\u6ce2\u52a8\u7387\u4f30\u8ba1\u5668<\/strong>\u662f\u6700\u4f73\u9009\u62e9\uff0c\u7279\u522b\u662f\u5728\u5904\u7406\u6709\u663e\u8457\u9694\u591c\u8df3\u7a7a\u7684\u8d44\u4ea7\u65f6\u3002\u867d\u7136\u8ba1\u7b97\u590d\u6742\uff0c\u4f46\u51c6\u786e\u5ea6\u6700\u9ad8\u3002<\/p>\n\n\n\n<p>\u5b9e\u6218\u5efa\u8bae\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u2022 \u65b0\u624b\uff1a\u4ece\u6eda\u52a8\u6ce2\u52a8\u7387\u5f00\u59cb\uff0c\u7b80\u5355\u6613\u61c2<\/li>\n\n\n\n<li>\u2022 \u8fdb\u9636\uff1a\u4f7f\u7528\u5e15\u91d1\u68ee\u6216\u52a0\u66fc-\u514b\u62c9\u65af<\/li>\n\n\n\n<li>\u2022 \u4e13\u4e1a\uff1a\u76f4\u63a5\u4f7f\u7528\u6768-\u5f20\u6ce2\u52a8\u7387<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>05 Python\u5b9e\u6218\u4ee3\u7801<\/strong><\/h2>\n\n\n\n<p>\u7ec8\u4e8e\u5230\u4e86\u5927\u5bb6\u6700\u671f\u5f85\u7684\u73af\u8282\uff01\u8001\u4f59\u624b\u628a\u624b\u6559\u4f60\u7528Python\u5b9e\u73b0\u5b8c\u6574\u7684\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565\u3002\u4ee3\u7801\u90fd\u6709\u8be6\u7ec6\u6ce8\u91ca\uff0c\u4fdd\u8bc1\u4f60\u80fd\u770b\u61c2\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading has-text-align-center\">\u7b56\u7565\u8868\u73b0\u5bf9\u6bd4\u5206\u6790<\/h3>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"679\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/volatility_analysis-1024x679.png\" alt=\"\" class=\"wp-image-3111\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/volatility_analysis-1024x679.png 1024w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/volatility_analysis-300x199.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/volatility_analysis-768x509.png 768w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/volatility_analysis-1536x1019.png 1536w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/volatility_analysis-2048x1358.png 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">\u00a0\u5747\u7ebf\u4ea4\u53c9\u7b56\u7565\u5728\u8d8b\u52bf\u8bc6\u522b\u548c\u98ce\u9669\u63a7\u5236\u4e4b\u95f4\u53d6\u5f97\u4e86\u6700\u4f73\u5e73\u8861<\/figcaption><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><br><strong>\u7b2c\u4e00\u6b65\u00a0\u6570\u636e\u51c6\u5907\u4e0e\u83b7\u53d6<\/strong><\/h3>\n\n\n\n<pre class=\"wp-block-code\"><code>import pandas as pd\nimport numpy as np\nimport yfinance as yf\nfrom datetime import datetime, timedelta\nimport matplotlib.pyplot as plt\n\n# \u8bbe\u7f6e\u4e2d\u6587\u5b57\u4f53\nplt.rcParams&#91;'font.sans-serif'] = &#91;'SimHei']\nplt.rcParams&#91;'axes.unicode_minus'] = False\n\n# 1. \u83b7\u53d6\u80a1\u7968\u6570\u636e\ndef get_stock_data(symbol, period='2y'):\n    \"\"\"\n    \u83b7\u53d6\u80a1\u7968\u5386\u53f2\u6570\u636e\n    symbol: \u80a1\u7968\u4ee3\u7801\uff0c\u5982'AAPL', 'SPY'\n    period: \u65f6\u95f4\u5468\u671f\uff0c\u9ed8\u8ba42\u5e74\n    \"\"\"\n    stock = yf.Ticker(symbol)\n    df = stock.history(period=period)\n    return df\n\n# \u83b7\u53d6SPY\u6570\u636e\u4f5c\u4e3a\u793a\u4f8b\nspy_data = get_stock_data('SPY')\nprint(f\"\u6570\u636e\u5f62\u72b6: {spy_data.shape}\")\nprint(f\"\u65f6\u95f4\u8303\u56f4: {spy_data.index&#91;0]} \u5230 {spy_data.index&#91;-1]}\")\nprint(spy_data.head())<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e8c\u6b65\u00a0\u52a8\u91cf\u4fe1\u53f7\u751f\u6210<\/strong><\/h3>\n\n\n\n<pre class=\"wp-block-code\"><code>class MomentumStrategy:\n    def __init__(self, data, momentum_window=20, volatility_window=40):\n        self.data = data.copy()\n        self.momentum_window = momentum_window\n        self.volatility_window = volatility_window\n        self.signals = pd.DataFrame(index=data.index)\n        \n    def calculate_price_momentum(self):\n        \"\"\"\u8ba1\u7b97\u4ef7\u683c\u52a8\u91cf\"\"\"\n        # \u8ba1\u7b97\u8fc7\u53bbN\u5929\u7684\u6536\u76ca\u7387\n        self.signals&#91;'momentum'] = (self.data&#91;'Close'] \/ \n                                   self.data&#91;'Close'].shift(self.momentum_window)) - 1\n        # \u751f\u6210\u4fe1\u53f7\n        self.signals&#91;'signal'] = np.where(self.signals&#91;'momentum'] &gt; 0, 1, -1)\n        return self.signals&#91;'signal']\n    \n    def calculate_sma_crossover(self, short_window=20, long_window=50):\n        \"\"\"\u8ba1\u7b97\u5747\u7ebf\u4ea4\u53c9\u4fe1\u53f7\"\"\"\n        # \u8ba1\u7b97\u79fb\u52a8\u5e73\u5747\u7ebf\n        self.signals&#91;'sma_short'] = self.data&#91;'Close'].rolling(window=short_window).mean()\n        self.signals&#91;'sma_long'] = self.data&#91;'Close'].rolling(window=long_window).mean()\n        # \u751f\u6210\u4fe1\u53f7\n        self.signals&#91;'signal'] = np.where(self.signals&#91;'sma_short'] &gt; self.signals&#91;'sma_long'], 1, -1)\n        return self.signals&#91;'signal']\n    \n    def calculate_sma_slope(self, ma_window=20, slope_window=5):\n        \"\"\"\u8ba1\u7b97\u5747\u7ebf\u659c\u7387\u4fe1\u53f7\"\"\"\n        # \u8ba1\u7b97\u79fb\u52a8\u5e73\u5747\u7ebf\n        self.signals&#91;'sma'] = self.data&#91;'Close'].rolling(window=ma_window).mean()\n        # \u8ba1\u7b97\u659c\u7387\n        self.signals&#91;'sma_slope'] = (self.signals&#91;'sma'] - \n                                    self.signals&#91;'sma'].shift(slope_window)) \/ slope_window\n        # \u751f\u6210\u4fe1\u53f7\n        self.signals&#91;'signal'] = np.where(self.signals&#91;'sma_slope'] &gt; 0, 1, -1)\n        return self.signals&#91;'signal']\n\n# \u521b\u5efa\u7b56\u7565\u5b9e\u4f8b\nstrategy = MomentumStrategy(spy_data)\n\n# \u751f\u6210\u4e0d\u540c\u7c7b\u578b\u7684\u4fe1\u53f7\nprice_momentum_signal = strategy.calculate_price_momentum()\nsma_crossover_signal = strategy.calculate_sma_crossover()\nsma_slope_signal = strategy.calculate_sma_slope()\n\nprint(\"\u4ef7\u683c\u52a8\u91cf\u4fe1\u53f7\u7edf\u8ba1:\")\nprint(price_momentum_signal.value_counts())<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e09\u6b65\u00a0\u6ce2\u52a8\u7387\u4f30\u8ba1<\/strong><\/h3>\n\n\n\n<pre class=\"wp-block-code\"><code>class VolatilityEstimator:\n    def __init__(self, data):\n        self.data = data.copy()\n        \n    def rolling_volatility(self, window=40):\n        \"\"\"\u6eda\u52a8\u6ce2\u52a8\u7387\"\"\"\n        returns = np.log(self.data&#91;'Close'] \/ self.data&#91;'Close'].shift(1))\n        return returns.rolling(window=window).std() * np.sqrt(252)\n    \n    def parkinson_volatility(self, window=40):\n        \"\"\"\u5e15\u91d1\u68ee\u6ce2\u52a8\u7387\"\"\"\n        log_hl = np.log(self.data&#91;'High'] \/ self.data&#91;'Low'])\n        volatility = np.sqrt(1\/(4*np.log(2)) * (log_hl**2))\n        return volatility.rolling(window=window).mean() * np.sqrt(252)\n    \n    def garman_klass_volatility(self, window=40):\n        \"\"\"\u52a0\u66fc-\u514b\u62c9\u65af\u6ce2\u52a8\u7387\"\"\"\n        log_hl = np.log(self.data&#91;'High'] \/ self.data&#91;'Low'])\n        log_co = np.log(self.data&#91;'Close'] \/ self.data&#91;'Open'])\n        \n        term1 = 0.5 * (log_hl**2)\n        term2 = (2*np.log(2) - 1) * (log_co**2)\n        \n        volatility = np.sqrt(term1 - term2)\n        return volatility.rolling(window=window).mean() * np.sqrt(252)\n    \n    def yang_zhang_volatility(self, window=40):\n        \"\"\"\u6768-\u5f20\u6ce2\u52a8\u7387\"\"\"\n        # \u8ba1\u7b97\u5404\u79cd\u6536\u76ca\u7387\n        log_oc = np.log(self.data&#91;'Open'] \/ self.data&#91;'Close'].shift(1))\n        log_ho = np.log(self.data&#91;'High'] \/ self.data&#91;'Open'])\n        log_lo = np.log(self.data&#91;'Low'] \/ self.data&#91;'Open'])\n        log_co = np.log(self.data&#91;'Close'] \/ self.data&#91;'Open'])\n        \n        # \u8ba1\u7b97\u5404\u90e8\u5206\u6ce2\u52a8\u7387\n        k = 0.34 \/ (1.34 + (window + 1) \/ (window - 1))\n        \n        overnight_var = log_oc.rolling(window=window).var()\n        open_var = log_co.rolling(window=window).var()\n        \n        rs = log_ho * (log_ho - log_co) + log_lo * (log_lo - log_co)\n        rs_var = rs.rolling(window=window).mean()\n        \n        # \u7ec4\u5408\u6ce2\u52a8\u7387\n        total_var = overnight_var + k * open_var + (1 - k) * rs_var\n        return np.sqrt(total_var) * np.sqrt(252)\n\n# \u521b\u5efa\u6ce2\u52a8\u7387\u4f30\u8ba1\u5668\nvol_estimator = VolatilityEstimator(spy_data)\n\n# \u8ba1\u7b97\u5404\u79cd\u6ce2\u52a8\u7387\nrolling_vol = vol_estimator.rolling_volatility()\nparkinson_vol = vol_estimator.parkinson_volatility()\ngk_vol = vol_estimator.garman_klass_volatility()\nyz_vol = vol_estimator.yang_zhang_volatility()\n\nprint(\"\u5404\u79cd\u6ce2\u52a8\u7387\u4f30\u8ba1\u65b9\u6cd5\u7684\u6bd4\u8f83:\")\ncomparison_df = pd.DataFrame({\n    'Rolling': rolling_vol,\n    'Parkinson': parkinson_vol,\n    'Garman-Klass': gk_vol,\n    'Yang-Zhang': yz_vol\n}).dropna()\n\nprint(comparison_df.describe())<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u56db\u6b65\u00a0\u5934\u5bf8\u89c4\u6a21\u7ba1\u7406<\/strong><\/h3>\n\n\n\n<pre class=\"wp-block-code\"><code>class PositionSizing:\n    def __init__(self, signals, volatility, target_vol=0.15):\n        self.signals = signals\n        self.volatility = volatility\n        self.target_vol = target_vol  # \u76ee\u6807\u5e74\u5316\u6ce2\u52a8\u738715%\n        \n    def volatility_scaling(self):\n        \"\"\"\u6ce2\u52a8\u7387\u7f29\u653e\"\"\"\n        # \u8ba1\u7b97\u5934\u5bf8\u89c4\u6a21\n        position_size = self.signals * (self.target_vol \/ self.volatility.replace(0, np.nan))\n        \n        # \u5904\u7406\u6781\u7aef\u503c\n        position_size = position_size.clip(-2, 2)  # \u6700\u5927\u6760\u67462\u500d\n        \n        # \u586b\u5145\u7f3a\u5931\u503c\n        position_size = position_size.fillna(0)\n        \n        return position_size\n\n# \u4f7f\u7528\u6768-\u5f20\u6ce2\u52a8\u7387\u548c\u4ef7\u683c\u52a8\u91cf\u4fe1\u53f7\nposition_sizer = PositionSizing(price_momentum_signal, yz_vol)\npositions = position_sizer.volatility_scaling()\n\nprint(\"\u5934\u5bf8\u89c4\u6a21\u7edf\u8ba1:\")\nprint(positions.describe())<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b2c\u4e94\u6b65\u00a0\u56de\u6d4b\u6846\u67b6<\/strong><\/h3>\n\n\n\n<pre class=\"wp-block-code\"><code>class BacktestEngine:\n    def __init__(self, data, positions):\n        self.data = data\n        self.positions = positions\n        self.results = {}\n        \n    def calculate_returns(self):\n        \"\"\"\u8ba1\u7b97\u7b56\u7565\u6536\u76ca\"\"\"\n        # \u8ba1\u7b97\u6bcf\u65e5\u6536\u76ca\u7387\n        daily_returns = self.data&#91;'Close'].pct_change()\n        \n        # \u8ba1\u7b97\u7b56\u7565\u6536\u76ca\u7387\uff08\u6ede\u540e\u4e00\u5929\u6267\u884c\uff09\n        strategy_returns = self.positions.shift(1) * daily_returns\n        \n        # \u8ba1\u7b97\u7d2f\u8ba1\u6536\u76ca\n        cumulative_returns = (1 + strategy_returns).cumprod()\n        \n        # \u8ba1\u7b97\u57fa\u51c6\u6536\u76ca\n        benchmark_returns = (1 + daily_returns).cumprod()\n        \n        return strategy_returns, cumulative_returns, benchmark_returns\n    \n    def calculate_performance_metrics(self, returns):\n        \"\"\"\u8ba1\u7b97\u7ee9\u6548\u6307\u6807\"\"\"\n        # \u5e74\u5316\u6536\u76ca\u7387\n        annual_return = returns.mean() * 252\n        \n        # \u5e74\u5316\u6ce2\u52a8\u7387\n        annual_volatility = returns.std() * np.sqrt(252)\n        \n        # \u590f\u666e\u6bd4\u7387\n        sharpe_ratio = annual_return \/ annual_volatility if annual_volatility != 0 else 0\n        \n        # \u6700\u5927\u56de\u64a4\n        cumulative = (1 + returns).cumprod()\n        running_max = cumulative.expanding().max()\n        drawdown = (cumulative - running_max) \/ running_max\n        max_drawdown = drawdown.min()\n        \n        # \u80dc\u7387\n        win_rate = (returns &gt; 0).mean()\n        \n        return {\n            '\u5e74\u5316\u6536\u76ca\u7387': annual_return,\n            '\u5e74\u5316\u6ce2\u52a8\u7387': annual_volatility,\n            '\u590f\u666e\u6bd4\u7387': sharpe_ratio,\n            '\u6700\u5927\u56de\u64a4': max_drawdown,\n            '\u80dc\u7387': win_rate\n        }\n    \n    def run_backtest(self):\n        \"\"\"\u8fd0\u884c\u56de\u6d4b\"\"\"\n        strategy_returns, cumulative_returns, benchmark_returns = self.calculate_returns()\n        \n        # \u8ba1\u7b97\u7ee9\u6548\u6307\u6807\n        strategy_metrics = self.calculate_performance_metrics(strategy_returns.dropna())\n        \n        # \u5b58\u50a8\u7ed3\u679c\n        self.results = {\n            'strategy_returns': strategy_returns,\n            'cumulative_returns': cumulative_returns,\n            'benchmark_returns': benchmark_returns,\n            'metrics': strategy_metrics\n        }\n        \n        return self.results\n\n# \u8fd0\u884c\u56de\u6d4b\nbacktest = BacktestEngine(spy_data, positions)\nresults = backtest.run_backtest()\n\nprint(\"\u7b56\u7565\u7ee9\u6548\u6307\u6807:\")\nfor metric, value in results&#91;'metrics'].items():\n    print(f\"{metric}: {value:.4f}\")<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u00a0\u5b8c\u6574\u7b56\u7565\u51fd\u6570<\/strong><\/h3>\n\n\n\n<pre class=\"wp-block-code\"><code>def tsmom_strategy(symbol, momentum_type='sma_cross', volatility_type='yang_zhang',\n                  momentum_window=20, volatility_window=40, target_vol=0.15):\n    \"\"\"\n    \u5b8c\u6574\u7684\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565\n    \n    \u53c2\u6570:\n    - symbol: \u80a1\u7968\u4ee3\u7801\n    - momentum_type: \u52a8\u91cf\u7c7b\u578b ('price', 'sma_cross', 'sma_slope')\n    - volatility_type: \u6ce2\u52a8\u7387\u7c7b\u578b ('rolling', 'parkinson', 'garman_klass', 'yang_zhang')\n    - momentum_window: \u52a8\u91cf\u7a97\u53e3\n    - volatility_window: \u6ce2\u52a8\u7387\u7a97\u53e3\n    - target_vol: \u76ee\u6807\u5e74\u5316\u6ce2\u52a8\u7387\n    \n    \u8fd4\u56de:\n    - results: \u5305\u542b\u56de\u6d4b\u7ed3\u679c\u7684\u5b57\u5178\n    \"\"\"\n    \n    # \u83b7\u53d6\u6570\u636e\n    data = get_stock_data(symbol)\n    \n    # \u521b\u5efa\u7b56\u7565\u5b9e\u4f8b\n    strategy = MomentumStrategy(data, momentum_window, volatility_window)\n    \n    # \u751f\u6210\u52a8\u91cf\u4fe1\u53f7\n    if momentum_type == 'price':\n        signals = strategy.calculate_price_momentum()\n    elif momentum_type == 'sma_cross':\n        signals = strategy.calculate_sma_crossover()\n    elif momentum_type == 'sma_slope':\n        signals = strategy.calculate_sma_slope()\n    else:\n        raise ValueError(f\"\u4e0d\u652f\u6301\u7684\u52a8\u91cf\u7c7b\u578b: {momentum_type}\")\n    \n    # \u8ba1\u7b97\u6ce2\u52a8\u7387\n    vol_estimator = VolatilityEstimator(data)\n    \n    if volatility_type == 'rolling':\n        volatility = vol_estimator.rolling_volatility(volatility_window)\n    elif volatility_type == 'parkinson':\n        volatility = vol_estimator.parkinson_volatility(volatility_window)\n    elif volatility_type == 'garman_klass':\n        volatility = vol_estimator.garman_klass_volatility(volatility_window)\n    elif volatility_type == 'yang_zhang':\n        volatility = vol_estimator.yang_zhang_volatility(volatility_window)\n    else:\n        raise ValueError(f\"\u4e0d\u652f\u6301\u7684\u6ce2\u52a8\u7387\u7c7b\u578b: {volatility_type}\")\n    \n    # \u5934\u5bf8\u89c4\u6a21\u7ba1\u7406\n    position_sizer = PositionSizing(signals, volatility, target_vol)\n    positions = position_sizer.volatility_scaling()\n    \n    # \u56de\u6d4b\n    backtest = BacktestEngine(data, positions)\n    results = backtest.run_backtest()\n    \n    return results\n\n# \u4f7f\u7528\u793a\u4f8b\nprint(\"\u8fd0\u884c\u5b8c\u6574\u7684TSMOM\u7b56\u7565...\")\nstrategy_results = tsmom_strategy('SPY', \n                                 momentum_type='sma_cross',\n                                 volatility_type='yang_zhang',\n                                 momentum_window=20,\n                                 volatility_window=40,\n                                 target_vol=0.15)\n\nprint(\"\\\\n\u5b8c\u6574\u7b56\u7565\u7ee9\u6548:\")\nfor metric, value in strategy_results&#91;'metrics'].items():\n    print(f\"{metric}: {value:.4f}\")<\/code><\/pre>\n\n\n\n<h3 class=\"wp-block-heading has-text-align-center\">\u7b56\u7565\u4f18\u5316\u8fc7\u7a0b\u5206\u6790<\/h3>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"681\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_comparison-1024x681.png\" alt=\"\" class=\"wp-image-3112\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_comparison-1024x681.png 1024w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_comparison-300x199.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_comparison-768x511.png 768w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_comparison-1536x1021.png 1536w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_comparison-2048x1362.png 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">&nbsp;\u53c2\u6570\u4f18\u5316\u70ed\u529b\u56fe\u663e\u793a\uff0c20-40\u5929\u7684\u52a8\u91cf\u7a97\u53e3\u914d\u540830-50\u5929\u7684\u6ce2\u52a8\u7387\u7a97\u53e3\u8868\u73b0\u6700\u4f73<\/figcaption><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><br><strong>\u4ee3\u7801\u4f7f\u7528\u8bf4\u660e<\/strong><\/h3>\n\n\n\n<h4 class=\"wp-block-heading\"><br>\u53c2\u6570\u8c03\u4f18\u5efa\u8bae\uff1a<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u52a8\u91cf\u7a97\u53e3\uff1a20-60\u5929<\/li>\n\n\n\n<li>\u6ce2\u52a8\u7387\u7a97\u53e3\uff1a30-60\u5929<\/li>\n\n\n\n<li>\u76ee\u6807\u6ce2\u52a8\u7387\uff1a10%-20%<\/li>\n<\/ul>\n\n\n\n<h4 class=\"wp-block-heading\">\u98ce\u9669\u63d0\u793a\uff1a<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u8fc7\u53bb\u8868\u73b0\u4e0d\u4ee3\u8868\u672a\u6765<\/li>\n\n\n\n<li>\u9700\u8981\u4e25\u683c\u7684\u98ce\u9669\u63a7\u5236<\/li>\n\n\n\n<li>\u5efa\u8bae\u5148\u7528\u6a21\u62df\u76d8\u6d4b\u8bd5<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>06 \u7b56\u7565\u4f18\u5316\u4e0e\u98ce\u9669\u63a7\u5236<\/strong><\/h2>\n\n\n\n<p>\u4e00\u4e2a\u597d\u7684\u7b56\u7565\u4e0d\u4ec5\u8981\u80fd\u8d5a\u94b1\uff0c\u8fd8\u8981\u80fd\u63a7\u5236\u98ce\u9669\u3002\u8ba9\u6211\u4eec\u770b\u770b\u5982\u4f55\u4f18\u5316TSMOM\u7b56\u7565\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading has-text-align-center\">\u7b56\u7565\u4f18\u5316\u8fc7\u7a0b\u5206\u6790<\/h3>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"1024\" height=\"682\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_optimization-1024x682.png\" alt=\"\" class=\"wp-image-3113\" srcset=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_optimization-1024x682.png 1024w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_optimization-300x200.png 300w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_optimization-768x511.png 768w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_optimization-1536x1022.png 1536w, https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2025\/11\/strategy_optimization-2048x1363.png 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">\u00a0\u53c2\u6570\u4f18\u5316\u70ed\u529b\u56fe\u663e\u793a\uff0c20-40\u5929\u7684\u52a8\u91cf\u7a97\u53e3\u914d\u540830-50\u5929\u7684\u6ce2\u52a8\u7387\u7a97\u53e3\u8868\u73b0\u6700\u4f73<\/figcaption><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u53c2\u6570\u4f18\u5316<\/strong><br><\/h3>\n\n\n\n<h4 class=\"wp-block-heading\">\u52a8\u91cf\u7a97\u53e3\u4f18\u5316<\/h4>\n\n\n\n<p>\u6d4b\u8bd5\u4e0d\u540c\u7684\u65f6\u95f4\u7a97\u53e3\uff1a10, 20, 30, 40, 50, 60\u5929<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">\u6ce2\u52a8\u7387\u7a97\u53e3\u4f18\u5316<\/h4>\n\n\n\n<p>\u6d4b\u8bd5\uff1a20, 30, 40, 50, 60, 80\u5929<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">\u76ee\u6807\u6ce2\u52a8\u7387\u4f18\u5316<\/h4>\n\n\n\n<p>\u6d4b\u8bd5\uff1a10%, 15%, 20%, 25%<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u98ce\u9669\u7ba1\u7406<\/strong><\/h3>\n\n\n\n<h4 class=\"wp-block-heading\"><br>\u6700\u5927\u5934\u5bf8\u9650\u5236<\/h4>\n\n\n\n<p>\u5355\u4e2a\u8d44\u4ea7\u6700\u59272\u500d\u6760\u6746<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">\u6b62\u635f\u673a\u5236<\/h4>\n\n\n\n<p>\u5355\u65e5\u4e8f\u635f\u8d85\u8fc75%\u51cf\u4ed3<\/p>\n\n\n\n<h4 class=\"wp-block-heading\">\u76f8\u5173\u6027\u63a7\u5236<\/h4>\n\n\n\n<p>\u5206\u6563\u6295\u8d44\uff0c\u907f\u514d\u8fc7\u5ea6\u96c6\u4e2d<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u7b56\u7565\u8868\u73b0\u5bf9\u6bd4<\/strong><\/h3>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><thead><tr><th>\u7b56\u7565\u7c7b\u578b<\/th><th>\u5e74\u5316\u6536\u76ca<\/th><th>\u590f\u666e\u6bd4\u7387<\/th><th>\u6700\u5927\u56de\u64a4<\/th><th>\u80dc\u7387<\/th><\/tr><\/thead><tbody><tr><td>\u7b80\u5355\u4ef7\u683c\u52a8\u91cf<\/td><td>12.3%<\/td><td>0.85<\/td><td>-18.5%<\/td><td>52.3%<\/td><\/tr><tr><td>\u5747\u7ebf\u4ea4\u53c9<\/td><td>15.7%<\/td><td>0.96<\/td><td>-16.2%<\/td><td>54.8%<\/td><\/tr><tr><td>\u5747\u7ebf\u659c\u7387<\/td><td>14.1%<\/td><td>0.89<\/td><td>-19.8%<\/td><td>51.7%<\/td><\/tr><tr><td>\u4f18\u5316\u7ec4\u5408\u7b56\u7565<\/td><td>18.9%<\/td><td>1.23<\/td><td>-12.4%<\/td><td>58.2%<\/td><\/tr><\/tbody><\/table><figcaption class=\"wp-element-caption\">\u00a0\u6570\u636e\u6765\u6e90\uff1a\u57fa\u4e8eSPY 2020-2024\u5e74\u6570\u636e\u56de\u6d4b\u7ed3\u679c<\/figcaption><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>\u5b9e\u6218\u7ecf\u9a8c<br><\/strong><\/h3>\n\n\n\n<h4 class=\"wp-block-heading\">\u7b56\u7565\u4f18\u5316\u8981\u70b9\uff1a<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u2022 \u4e0d\u8981\u8fc7\u5ea6\u4f18\u5316\uff0c\u4fdd\u6301\u53c2\u6570\u7a33\u5065\u6027<\/li>\n\n\n\n<li>\u2022 \u8003\u8651\u4ea4\u6613\u6210\u672c\u548c\u6ed1\u70b9<\/li>\n\n\n\n<li>\u2022 \u5b9a\u671f\u91cd\u65b0\u4f18\u5316\u53c2\u6570<\/li>\n\n\n\n<li>\u2022 \u591a\u8d44\u4ea7\u5206\u6563\u6295\u8d44<\/li>\n<\/ul>\n\n\n\n<h4 class=\"wp-block-heading\">\u98ce\u9669\u63a7\u5236\u8981\u70b9\uff1a<\/h4>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u2022 \u8bbe\u7f6e\u6700\u5927\u56de\u64a4\u9650\u5236<\/li>\n\n\n\n<li>\u2022 \u907f\u514d\u8fc7\u5ea6\u6760\u6746<\/li>\n\n\n\n<li>\u2022 \u76d1\u63a7\u7b56\u7565\u8868\u73b0<\/li>\n\n\n\n<li>\u2022 \u53ca\u65f6\u8c03\u6574\u7b56\u7565<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\">\u603b\u7ed3\u4e0e\u5c55\u671b<\/h2>\n\n\n\n<p>\u901a\u8fc7\u672c\u6587\u7684\u5b66\u4e60\uff0c\u4f60\u4e0d\u4ec5\u7406\u89e3\u4e86\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565\u7684\u6838\u5fc3\u539f\u7406\uff0c\u8fd8\u638c\u63e1\u4e86\u7528Python\u5b9e\u73b0\u7b56\u7565\u7684\u5177\u4f53\u65b9\u6cd5\u3002\u8bb0\u4f4f\uff0c\u6210\u529f\u7684\u91cf\u5316\u4ea4\u6613\u4e0d\u4ec5\u9700\u8981\u597d\u7684\u7b56\u7565\uff0c\u8fd8\u9700\u8981\u4e25\u683c\u7684\u98ce\u9669\u63a7\u5236\u548c\u6301\u7eed\u7684\u4f18\u5316\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">\u6211\u4eec\u5f97\u5230\u4e86\u4ec0\u4e48<\/h3>\n\n\n\n<ul class=\"wp-block-list\">\n<li>TSMOM\u7b56\u7565\u7684\u6838\u5fc3\u539f\u7406\u548c\u5b9e\u73b0\u65b9\u6cd5<\/li>\n\n\n\n<li>\u4e09\u79cd\u52a8\u91cf\u4fe1\u53f7\u751f\u6210\u65b9\u5f0f\u7684\u4f18\u7f3a\u70b9<\/li>\n\n\n\n<li>\u56db\u79cd\u6ce2\u52a8\u7387\u4f30\u8ba1\u5668\u7684\u7279\u70b9\u548c\u9002\u7528\u573a\u666f<\/li>\n\n\n\n<li>\u5b8c\u6574\u7684Python\u5b9e\u73b0\u4ee3\u7801<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\">\u4e0b\u4e00\u6b65\u65b9\u5411<\/h3>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u591a\u8d44\u4ea7\u52a8\u91cf\u7b56\u7565\u7ec4\u5408<\/li>\n\n\n\n<li>\u673a\u5668\u5b66\u4e60\u5728\u52a8\u91cf\u7b56\u7565\u4e2d\u7684\u5e94\u7528<\/li>\n\n\n\n<li>\u52a8\u6001\u53c2\u6570\u8c03\u6574\u7b56\u7565<\/li>\n\n\n\n<li>\u671f\u6743\u52a8\u91cf\u7b56\u7565<\/li>\n<\/ul>\n\n\n\n<p>\u91cf\u5316\u4ea4\u6613\u662f\u4e00\u6761\u9700\u8981\u4e0d\u65ad\u5b66\u4e60\u7684\u8def\uff0c\u5e0c\u671b\u8fd9\u7bc7\u6587\u7ae0\u80fd\u6210\u4e3a\u4f60\u91cf\u5316\u4e4b\u8def\u7684\u4e00\u4e2a\u826f\u597d\u5f00\u7aef\u3002\u8bb0\u4f4f\uff0c\u5e02\u573a\u6c38\u8fdc\u5728\u53d8\u5316\uff0c\u6211\u4eec\u7684\u7b56\u7565\u4e5f\u8981\u4e0d\u65ad\u8fdb\u5316\u3002<br><br>\u5982\u679c\u4f60\u89c9\u5f97\u8fd9\u7bc7\u6587\u7ae0\u5bf9\u4f60\u6709\u5e2e\u52a9\uff0c\u8bb0\u5f97\u5206\u4eab\u7ed9\u66f4\u591a\u7684\u670b\u53cb\u3002\u6709\u4ec0\u4e48\u95ee\u9898\u53ef\u4ee5\u5728\u8bc4\u8bba\u533a\u7559\u8a00\uff0c\u8001\u4f59\u4f1a\u4e00\u4e00\u89e3\u7b54\u3002\u8ba9\u6211\u4eec\u4e00\u8d77\u5728\u91cf\u5316\u4ea4\u6613\u7684\u9053\u8def\u4e0a\u8d8a\u8d70\u8d8a\u8fdc\uff01<\/p>\n\n\n\n<p>\u00a0<a href=\"javascript:;\">#\u91cf\u5316\u4ea4\u6613<\/a>\u00a0<a href=\"javascript:;\">#Python\u91d1\u878d<\/a>\u00a0<a href=\"javascript:;\">#TSMOM<\/a> <a href=\"javascript:;\">#\u52a8\u91cf\u7b56\u7565<\/a>\u00a0<a href=\"javascript:;\">#\u91cf\u5316\u6295\u8d44<\/a>\u00a0<a href=\"javascript:;\">#\u91d1\u878d\u6570\u636e<\/a>\u00a0<a href=\"javascript:;\">#AI\u6295\u8d44<\/a>\u00a0<a href=\"javascript:;\">#\u80a1\u7968\u5206\u6790<\/a>\u00a0<a href=\"javascript:;\">#\u6295\u8d44\u7b56\u7565<\/a><\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"has-text-align-center\">\u98ce\u9669\u63d0\u793a\uff1a\u6295\u8d44\u6709\u98ce\u9669\uff0c\u5165\u5e02\u9700\u8c28\u614e\u3002\u672c\u6587\u4ec5\u4f9b\u5b66\u4e60\u53c2\u8003\uff0c\u4e0d\u6784\u6210\u6295\u8d44\u5efa\u8bae\u3002<\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4ece\u5165\u95e8\u5230\u7cbe\u901a\uff0c\u8001\u4f59\u5e26\u4f60\u62c6\u89e3TSMOM\u7b56\u7565\u6838\u5fc3 \u4f5c\u8005&#8230;<\/p>\n<div class=\"more-link-wrapper\"><a class=\"more-link\" href=\"https:\/\/laoyulaoyu.com\/index.php\/2025\/12\/04\/%e7%94%a8python%e8%bd%bb%e6%9d%be%e6%90%9e%e5%ae%9a%e6%97%b6%e9%97%b4%e5%ba%8f%e5%88%97%e5%8a%a8%e9%87%8f%e7%ad%96%e7%95%a5\/\">Continue reading<span class=\"screen-reader-text\">\u7528Python\u8f7b\u677e\u641e\u5b9a\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7b56\u7565<\/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],"class_list":{"0":"post-3109","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"hentry","6":"category-aiinvest","7":"tag-ai","10":"entry"},"_links":{"self":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/3109","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=3109"}],"version-history":[{"count":2,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/3109\/revisions"}],"predecessor-version":[{"id":3115,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/3109\/revisions\/3115"}],"wp:attachment":[{"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/media?parent=3109"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/categories?post=3109"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/tags?post=3109"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}