November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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312
｜
第
10
章
图 10-6：不同杠杆值的算法交易策略的表现
杠杆极大地增加了与交易策略相关的风险。交易者应仔细阅读风险免责
声明和规定。积极的回测算法表现也不能保证将来的收益。所有的显示
结果仅仅是示例性的，旨在演示编程和分析方法的应用。在某些司法管
辖区（例如德国），基于不同金融工具类别的个人交易者的杠杆比率也
是有上限的。
10.2.3
风险分析
在某种交易策略中使用杠杆会大大增加相关的风险，因此有必要进行更深入的风险
分析。下面的风险分析假设杠杆率为
30
。首先，应计算最大跌幅和最长跌幅期。最
大跌幅是近期新高之后的最大亏损（跌落）。同样，最长的跌幅期是交易策略需要
恢复到近期高点的最长时间。该分析假设初始权益头寸为
3333 EUR
，杠杆率为
30
时，
初始头寸规模为
100000 EUR
。它还假定，无论业绩如何，随着时间的推移，权益
都不会进行任何调整。
In [83]: equity = 3333
In [84]: risk = pd.DataFrame(test['lstrategy_tc_30'])
自动化交易操作
｜
313
In [85]: risk['equity'] = risk['lstrategy_tc_30'].cumsum(
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