fix: 修复回测日期对齐问题,优化收益率计算
- 使用对齐后的index_close数据计算日收益率 - 添加日期对齐逻辑确保信号和收益率数据一致 - 修复pivot重复索引问题,使用pivot_table - 修复tushare期货接口调用(futures_daily -> fut_daily) 回测结果: - 最终净值: 0.9435 - 累计收益: -5.65% - 信号日期: 2302天
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@@ -104,13 +104,14 @@ class TushareSource:
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original_proxy = self._clear_proxy()
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try:
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import tushare as ts
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pro = self._get_pro_api()
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df = pro.futures_daily(
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# 使用 fut_daily 接口
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df = pro.fut_daily(
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ts_code=code,
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start_date=start_date.replace("-", ""),
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end_date=end_date.replace("-", ""),
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exchange=''
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end_date=end_date.replace("-", "")
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)
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if df is None or len(df) == 0:
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