財報狗的獨門指標<長短期營收年增率>程式碼

from finlab import data

from finlab.backtest import sim

close_not_adj =data.get('price:收盤價')

close_adj = data.get('etl:adj_close')

mon_rev =data.get("monthly_revenue:當月營收")

mon_rev_lag =data.get("monthly_revenue:去年當月營收")

three_mon_rev_yoy = mon_rev.rolling(3).sum()/mon_rev_lag.rolling(3).sum()

twelve_mon_rev_yoy = mon_rev.rolling(12).sum()/mon_rev_lag.rolling(12).sum()

statement_dog_rev_index = three_mon_rev_yoy/twelve_mon_rev_yoy >1.05

close = data.get('price:收盤價')

condition =   statement_dog_rev_index &(close>0) 

result = condition

entries = result 

sellout = (three_mon_rev_yoy<twelve_mon_rev_yoy)&(close>0)

position = entries.hold_until(sellout ).reindex(mon_rev.index_str_to_date().index, method='ffill')

report = sim(position,mae_mfe_window=22,mae_mfe_window_step=2, name="財報狗獨家數據")

report.display()

report.display_mae_mfe_analysis()