quantrader
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btr2.py 切换ETF的时候卖和买分成了两周。
btr2.py实测switch sell时,卖出的钱不会进入现金,导致买入会被推迟的下一周,择时效果下降。
2022-06-20, switch sell: 中证500 price 7.253000 2022-06-20, buy: 沪深300 price 4.413000 2022-06-27, SELL EXECUTED, Price: 7.25, Cost: 47166.39, Comm 168.84,value 51000.23 2022-06-27, BUY EXECUTED, Price: 4.41, Cost: 4.41, Comm 0.01,value 51000.23 2022-06-27, buy: 沪深300 price 4.493000 2022-07-04, BUY EXECUTED, Price: 4.49, Cost: 48443.53, Comm 159.86,value 50527.67 2022-07-04, buy: 沪深300 price 4.464000 2022-07-11, BUY EXECUTED, Price: 4.46, Cost: 2267.71, Comm 7.48,value 48612.00 2022-07-11, sell: 沪深300 price 4.295000