增加基金组合数据可靠性验证文档

README.md

@@ -71,8 +71,16 @@ pip install -r requirements.txt&&python fund_portfolio_backtesting_tool.py
         ├── fund_portfolio_trend.png    # 基金组合与沪深300对比
         ├── 沪深300基金参考.csv          # 沪深300参考基金历史数据
         └── 自选组合基金回测数据.csv     # 基金组合回测历史数据
+├── 数据可靠性验证                       # 使用EXCEL验证组合基金复权净值的数据可靠性
+    ├── 数据可靠性验证.xlsx             # 数据可靠性数据验证文档，使用EXCEL函数来实现
+    ├── fund_portfolio_result.csv       # 基金组合份额数据
+    └── 自选组合基金回测数据.csv        # 基金组合回测历史数据
 ├── 基金关键字筛选结果                   # 大盘基金关键字及策略筛选结果
 ├── 基金组合筛选结果列表                 # 筛选结果基金性能指标
+    ├── fund_portfolio_result.csv       # 基金组合清单及份额占比
+    ├── fund_portfolio_trend.png        # 基金组合与沪深300对比
+    ├── 沪深300基金参考.csv              # 沪深300参考基金历史数据
+    └── 自选组合基金回测数据.csv        # 基金组合回测历史数据
 ├── 累计净值趋势                         # 下载的公募基金累计净值历史数据       
 └── 累计回报趋势                        # 下载的公募基金累计回报历史数据    
 ```
@@ -94,6 +102,17 @@ Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatil
 
 ```
 
+- 数据可靠性验证
+使用EXCEL按照组合基金份额占比，计算基金组合组合复权净值，测试结果如下（详情见【数据可靠性验证】目录）：
+
+**EXCEL计算基金组合复权净值**
+![image-20221106234134442](https://robot-futures-oss-zone.oss-cn-hangzhou.aliyuncs.com/imgs/202211062341074.png)
+
+**fund_portfolio_backtestng_tool回测工具计算基金组合复权净值**
+![image-20221106234413472](https://robot-futures-oss-zone.oss-cn-hangzhou.aliyuncs.com/imgs/202211062344541.png)
+
+可以看到两者的数据是一致的，因此工具的数据可靠性是可以保证的。
+
 # 3. 自建组合
 找到代码的这个位置
 ```

fund_portfolio_backtesting_tool.py

@@ -997,7 +997,7 @@ if __name__ == "__main__":
     # 定投基金组合回测
     fund_portfolio_backtesting(
         fund_kinds_list = [df_kpi_csi300, df_kpi_csi500, df_kpi_gem, df_kpi_gold, df_kpi_bond, df_kpi_sp500, df_kpi_nasda],
-        fund_share_cfg = [0.05, 0.15, 0.10, 0.10, 0.20, 0.35, 0.05],
+        fund_share_cfg = [0.25, 0.15, 0.10, 0.10, 0.20, 0.15, 0.05],
         start_date = '2018-01-01', end_date = '2022-10-31', fund_id_ref = '160706'
     )
   
\ No newline at end of file

回测结果/2022-11-06_01-23-39/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.5
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.05
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.05
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_10-11-46/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_10-11-49/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_10-34-52/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_10-57-55/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_10-58-09/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_11-03-53/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_14-25-04/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_16-20-52/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05

回测结果/2022-11-06_22-45-43/fund_portfolio_result.csv

-Unnamed: 0,code,years,withdrawal,annual_return,total_return,sharp,calmar,volatility,name,type,scale,m_fee,c_fee,sale_fee,sub_fee,total_fee,share
-16.0,002670,6.11,27.34,6.74,37.02,0.46,12.9743,19.4,万家沪深300指数增强A,股票指数,6.34,1.0,0.12,0.0,0.1,1.22,0.05
-97.0,502000,7.55,29.38,9.81,57.14,0.62,18.3793,20.16,西部利得中证500指数增强A,股票指数,5.08,1.0,0.2,0.0,0.1,1.3,0.15
-3.0,001879,5.42,37.64,12.36,75.57,0.59,16.5217,26.3,长城创业板指数增强A,股票指数,6.58,1.0,0.15,0.0,0.15,1.3,0.1
-4.0,002610,6.43,20.27,7.04,38.89,0.65,15.5788,12.22,博时黄金ETF联接A,联接基金,8.27,0.5,0.1,0.0,0.06,0.66,0.1
-134.0,002864,6.38,0.61,3.38,17.41,10.81,224.7164,0.32,广发安泽短债债券A,债券型,28.99,0.3,0.1,0.0,0.04,0.4399999999999999,0.2
-4.0,050025,10.39,31.17,11.3,67.75,0.65,17.4237,20.85,博时标普500ETF联接A,QDII-指数,8.87,0.6,0.25,0.0,0.12,0.97,0.35
-5.0,161130,5.37,28.32,13.13,81.43,0.66,23.5765,25.47,易方达纳斯达克100人民币,QDII-指数,7.36,0.8,0.25,0.0,0.12,1.17,0.05