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xiaochuan
17 lines
570 B
Python
17 lines
570 B
Python
import pandas as pd
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def mean_reversion_strategy(df: pd.DataFrame, short_window=20, long_window=50):
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"""
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简单的均值回归策略（示例）：
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- 价格高于长期均线则卖出
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- 价格低于长期均线则买入
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"""
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df = df.copy()
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df["short_ma"] = df["close"].rolling(window=short_window).mean()
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df["long_ma"] = df["close"].rolling(window=long_window).mean()
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df["signal"] = 0
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df.loc[df["short_ma"] > df["long_ma"], "signal"] = 1 # 买入
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df.loc[df["short_ma"] < df["long_ma"], "signal"] = -1 # 卖出
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return df |