aszerW
6b59855c28
技术修复： - SOCKS5代理IPv6问题：socks5:// → socks5h:// (hybrid_source.py, yfinance_source.py) 目录整理： - scripts/ → 仅保留策略入口(daily_scheduler, run_rotation, run_cci_screener) - 实验脚本移至 tests/experiments/ - 工具脚本移至 tests/utils/ - 实验记录新增 docs/experiments/ - results/ 添加到 gitignore 实验结果： 实验001 - 同大类扩充（添加标普500）： ├─ 累计收益: 1467.35% → 1176.26% (-291%) ├─ CAGR: 48.10% → 43.82% (-4.28%) ├─ 调仓次数: 459 → 501 (+42次) └─ 结论: 添加同大类标的不增加跨类分散，反而侵蚀收益 实验002 - 纳指vs标普替换对比： ├─ 累计收益: 1467.35% → 1118.77% (-348%) ├─ CAGR: 48.10% → 42.87% (-5.22%) ├─ Sharpe: 2.21 → 2.08 (-0.13) ├─ MaxDD: -17.33% → -15.14% (+2.18%) └─ 结论: 纳指100优于标普500，成长风格更适合动量策略 策略建议： - 保持纳指100作为美股大类代表 - 不添加同大类新标的（避免类内切换成本） - 新增标的应优先考虑新大类（增加跨类分散）
110 lines
3.0 KiB
Python
110 lines
3.0 KiB
Python
#!/usr/bin/env python3
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"""
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获取159516 ETF净值数据
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"""
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import os
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import pandas as pd
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import tushare as ts
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from datetime import datetime, timedelta
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# 设置Tushare token
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def get_tushare_token():
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# 首先尝试从环境变量获取
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token = os.environ.get("TUSHARE_TOKEN")
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if token:
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return token
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# 尝试从.env文件获取
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try:
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from dotenv import load_dotenv
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load_dotenv()
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token = os.environ.get("TUSHARE_TOKEN")
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if token:
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return token
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except ImportError:
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pass
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# 手动读取.env文件
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env_path = os.path.join(os.path.dirname(__file__), '.env')
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if os.path.exists(env_path):
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with open(env_path, 'r') as f:
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for line in f:
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if line.startswith('TUSHARE_TOKEN='):
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token = line.strip().split('=', 1)[1].strip().strip('"').strip("'")
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if token:
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return token
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raise ValueError("请设置 TUSHARE_TOKEN 环境变量或在.env文件中配置")
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def fetch_etf_nav(etf_code="159516.SZ", days=30):
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"""
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获取ETF净值数据
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Args:
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etf_code: ETF代码，如 "159516.SZ"
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days: 获取天数
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Returns:
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DataFrame: 包含日期和净值
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"""
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pro = ts.pro_api(get_tushare_token())
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# 计算日期范围
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end_date = datetime.now()
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start_date = end_date - timedelta(days=days + 5)
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start_str = start_date.strftime('%Y%m%d')
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end_str = end_date.strftime('%Y%m%d')
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# 转换代码格式 (tushare使用.SH而不是.SS)
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ts_code = etf_code.replace(".SS", ".SH")
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print(f"获取 {etf_code} 净值数据...")
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print(f"日期范围: {start_str} ~ {end_str}")
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try:
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# 获取ETF净值数据
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nav_df = pro.fund_nav(
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ts_code=ts_code,
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start_date=start_str,
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end_date=end_str
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)
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if nav_df is None or len(nav_df) == 0:
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print("未获取到净值数据")
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return None
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# 排序并处理数据
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nav_df = nav_df.sort_values('nav_date')
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# 转换日期格式
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nav_df['date'] = pd.to_datetime(nav_df['nav_date'])
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nav_df = nav_df.set_index('date')
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print(f"\n获取到 {len(nav_df)} 条净值数据")
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print(f"最新净值日期: {nav_df.index.max().strftime('%Y-%m-%d')}")
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print(f"最新净值: {nav_df['unit_nav'].iloc[-1]}")
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# 显示最近10条数据
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print(f"\n最近10条净值数据:")
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print(nav_df[['unit_nav']].tail(10).to_string())
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return nav_df
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except Exception as e:
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print(f"获取净值数据失败: {e}")
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return None
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if __name__ == "__main__":
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# 获取159516的净值数据
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result = fetch_etf_nav("159516.SZ", days=30)
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if result is not None:
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# 保存到CSV文件
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output_file = "159516_nav_data.csv"
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result[['unit_nav']].to_csv(output_file)
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print(f"\n数据已保存到: {output_file}")
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