\n \ucd5c\uadfc \ub4e4\uc5b4 \ud30c\uc774\uc36c\uc744 \ud65c\uc6a9\ud55c \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c \uac1c\ubc1c\uc774 \ud65c\ubc1c\ud788 \uc774\ub8e8\uc5b4\uc9c0\uace0 \uc788\uc2b5\ub2c8\ub2e4.
\n \uadf8 \uc911\uc5d0\uc11c\ub3c4 \ub370\uc774\ud130 \ubd84\uc11d \ubc0f \ucc98\ub9ac\ub97c \uc704\ud55c pandas \ub77c\uc774\ube0c\ub7ec\ub9ac\ub294 \ub9ce\uc740 \ud2b8\ub808\uc774\ub354\uc640 \uac1c\ubc1c\uc790\ub4e4 \uc0ac\uc774\uc5d0\uc11c \ud544\uc218\uc801\uc73c\ub85c \uc0ac\uc6a9\ub418\uace0 \uc788\uc2b5\ub2c8\ub2e4.
\n \ubcf8 \uae00\uc5d0\uc11c\ub294 \ud30c\uc774\uc36c\uc744 \uc774\uc6a9\ud55c \uc790\ub3d9\ub9e4\ub9e4 \uac1c\ubc1c \uacfc\uc815\uc5d0\uc11c \uc5b4\ub5bb\uac8c pandas DataFrame\uc744 \ud65c\uc6a9\ud558\uc5ec \ud6a8\uc728\uc801\uc778 \ub370\uc774\ud130 \ubd84\uc11d\uacfc \uc804\ub7b5 \uac1c\ubc1c\uc744 \ud560 \uc218 \uc788\ub294\uc9c0\uc5d0 \ub300\ud574 \uc790\uc138\ud788 \uc124\uba85\ud558\uaca0\uc2b5\ub2c8\ub2e4.\n <\/p>\n
\n \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c(Automated Trading System, ATS)\uc740 \uc124\uc815\ub41c \uc54c\uace0\ub9ac\uc998\uc5d0 \ub530\ub77c \uc790\ub3d9\uc73c\ub85c \ub9e4\ub9e4\ub97c \uc218\ud589\ud558\ub294 \uc2dc\uc2a4\ud15c\uc785\ub2c8\ub2e4.
\n \uc774\ub7ec\ud55c \uc2dc\uc2a4\ud15c\uc740 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529(Algorithmic Trading)\uc758 \uc77c\ud658\uc73c\ub85c \uc0ac\uc6a9\ub418\uba70, \ube60\ub974\uace0 \uc815\ud655\ud55c \ub9e4\ub9e4 \uacb0\uc815\uc744 \ub0b4\ub9b4 \uc218 \uc788\ub294 \uc7a5\uc810\uc774 \uc788\uc2b5\ub2c8\ub2e4.
\n \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c\uc758 \uae30\ubcf8 \uad6c\uc131 \uc694\uc18c\ub294 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4:\n <\/p>\n
\n pandas\ub294 \ud30c\uc774\uc36c\uc5d0\uc11c \ub370\uc774\ud130 \ubd84\uc11d\uc744 \uc704\ud55c \uac15\ub825\ud55c \ub77c\uc774\ube0c\ub7ec\ub9ac\uc785\ub2c8\ub2e4.
\n \uc8fc\ub85c \uad6c\uc870\ud654\ub41c \ub370\uc774\ud130(\ud45c \ud615\uc2dd\uc758 \ub370\uc774\ud130)\ub97c \ucc98\ub9ac\ud558\ub294 \ub370 \ub9e4\uc6b0 \ud6a8\uacfc\uc801\uc774\uba70, \uc2dc\uacc4\uc5f4 \ub370\uc774\ud130\ub098 \ud1b5\uacc4\uc801 \ub370\uc774\ud130 \ubd84\uc11d\uc5d0 \ud2b9\ud788 \uc720\uc6a9\ud569\ub2c8\ub2e4.
\n pandas\uc758 \ud575\uc2ec \ub370\uc774\ud130 \uad6c\uc870\uc778 DataFrame\uc740 2\ucc28\uc6d0 \ud14c\uc774\ube14 \ud615\ud0dc\ub97c \uac00\uc9c0\uace0 \uc788\uc5b4 \ub370\uc774\ud130\ub97c \ud589\uacfc \uc5f4\ub85c \uc27d\uac8c \uc870\uc791\ud558\uace0 \ubd84\uc11d\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.\n <\/p>\n
\n DataFrame\uc740 \ub2e4\uc591\ud55c \ubc29\uc2dd\uc73c\ub85c \uc0dd\uc131\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uac00\uc7a5 \uc77c\ubc18\uc801\uc778 \ubc29\ubc95\uc740 \ub515\uc154\ub108\ub9ac\uc640 \ub9ac\uc2a4\ud2b8\ub97c \uc0ac\uc6a9\ud558\ub294 \uac83\uc785\ub2c8\ub2e4.
\n \ub2e4\uc74c\uc740 \uac04\ub2e8\ud55c \uc608\uc81c\ub97c \ud1b5\ud574 DataFrame\uc744 \uc0dd\uc131\ud558\ub294 \ubc29\ubc95\uc744 \ubcf4\uc5ec\ub4dc\ub9bd\ub2c8\ub2e4.\n <\/p>\n
\n \nimport pandas as pd\n\n# \ub370\uc774\ud130 \uc900\ube44\ndata = {\n '\ub0a0\uc9dc': ['2023-01-01', '2023-01-02', '2023-01-03'],\n '\uc885\uac00': [1000, 1010, 1020],\n '\uac70\ub798\ub7c9': [150, 200, 250]\n}\n\n# DataFrame \uc0dd\uc131\ndf = pd.DataFrame(data)\n# \ub0a0\uc9dc \uc5f4\uc744 datetime \ud615\uc2dd\uc73c\ub85c \ubcc0\ud658\ndf['\ub0a0\uc9dc'] = pd.to_datetime(df['\ub0a0\uc9dc'])\nprint(df)\n <\/code>\n <\/pre>\n\n \uc704 \ucf54\ub4dc\ub97c \uc2e4\ud589\ud558\uba74 \ub2e4\uc74c\uacfc \uac19\uc740 DataFrame\uc774 \uc0dd\uc131\ub429\ub2c8\ub2e4:\n <\/p>\n
\n \n \ub0a0\uc9dc \uc885\uac00 \uac70\ub798\ub7c9\n 0 2023-01-01 1000 150\n 1 2023-01-02 1010 200\n 2 2023-01-03 1020 250\n <\/code>\n <\/pre>\n2.2 DataFrame \uae30\ubcf8 \uc870\uc791<\/h3>\n
\n \uc0dd\uc131\ud55c DataFrame\uc5d0 \ub300\ud574 \uae30\ubcf8\uc801\uc778 \uc870\uc791\uc744 \ud574\ubcf4\uaca0\uc2b5\ub2c8\ub2e4.
\n pandas\ub294 \ub370\uc774\ud130\uc758 \ud544\ud130\ub9c1, \uc815\ub82c, \uadf8\ub8f9\ud654 \ub4f1\uc758 \ub2e4\uc591\ud55c \uae30\ub2a5\uc744 \uc81c\uacf5\ud569\ub2c8\ub2e4.\n <\/p>\n
\ud544\ud130\ub9c1<\/h4>\n
\n \ud2b9\uc815 \uc870\uac74\uc5d0 \ub9de\ub294 \ub370\uc774\ud130\ub97c \ud544\ud130\ub9c1\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc608\ub97c \ub4e4\uc5b4, \uc885\uac00\uac00 1010 \uc774\uc0c1\uc778 \ub370\uc774\ud130\ub9cc \ucd9c\ub825\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4.\n <\/p>\n
\n \nfiltered_df = df[df['\uc885\uac00'] >= 1010]\nprint(filtered_df)\n <\/code>\n <\/pre>\n\n \uc2e4\ud589 \uacb0\uacfc\ub294 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4:\n <\/p>\n
\n \n \ub0a0\uc9dc \uc885\uac00 \uac70\ub798\ub7c9\n 1 2023-01-02 1010 200\n 2 2023-01-03 1020 250\n <\/code>\n <\/pre>\n\uc815\ub82c<\/h4>\n
\n \ub370\uc774\ud130\ub97c \ud2b9\uc815 \uc5f4\uc744 \uae30\uc900\uc73c\ub85c \uc815\ub82c\ud560 \uc218\ub3c4 \uc788\uc2b5\ub2c8\ub2e4. \uc885\uac00\ub97c \uae30\uc900\uc73c\ub85c \ub0b4\ub9bc\ucc28\uc21c \uc815\ub82c\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4.\n <\/p>\n
\n \nsorted_df = df.sort_values(by='\uc885\uac00', ascending=False)\nprint(sorted_df)\n <\/code>\n <\/pre>\n\n \uacb0\uacfc\ub294 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4:\n <\/p>\n
\n \n \ub0a0\uc9dc \uc885\uac00 \uac70\ub798\ub7c9\n 2 2023-01-03 1020 250\n 1 2023-01-02 1010 200\n 0 2023-01-01 1000 150\n <\/code>\n <\/pre>\n\uadf8\ub8f9\ud654<\/h4>\n
\n \ub370\uc774\ud130\uc758 \uadf8\ub8f9\ud654\ub294 \ud1b5\uacc4\uc801 \ubd84\uc11d\uc774 \ud544\uc694\ud560 \ub54c \uc720\uc6a9\ud569\ub2c8\ub2e4. \uac70\ub798\ub7c9\uc758 \ud569\uacc4\ub97c \uacc4\uc0b0\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4.\n <\/p>\n
\n \ngrouped_df = df.groupby('\ub0a0\uc9dc')['\uac70\ub798\ub7c9'].sum().reset_index()\nprint(grouped_df)\n <\/code>\n <\/pre>\n\n \ucd9c\ub825 \uacb0\uacfc\ub294 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4:\n <\/p>\n
\n \n \ub0a0\uc9dc \uac70\ub798\ub7c9\n 0 2023-01-01 150\n 1 2023-01-02 200\n 2 2023-01-03 250\n <\/code>\n <\/pre>\n3. \uc790\ub3d9\ub9e4\ub9e4 \uc804\ub7b5 \uac1c\ubc1c<\/h2>\n
\n \uc774\uc81c \ubcf8\uaca9\uc801\uc73c\ub85c pandas\ub97c \ud65c\uc6a9\ud558\uc5ec \uc790\ub3d9\ub9e4\ub9e4 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4.
\n \uae30\ubcf8\uc801\uc778 \ub9e4\ub9e4 \uc804\ub7b5 \uc911 \ud558\ub098\ub85c \uc774\ub3d9\ud3c9\uade0 \uc804\ub7b5(Moving Average Strategy)\uc744 \uc608\ub85c \ub4e4\uc5b4 \uc124\uba85\ud558\uaca0\uc2b5\ub2c8\ub2e4.
\n \uc774\ub3d9\ud3c9\uade0\uc740 \ud2b9\uc815 \uae30\uac04 \ub3d9\uc548\uc758 \ud3c9\uade0 \uac00\uaca9\uc744 \uacc4\uc0b0\ud558\uc5ec \uc8fc\uac00\uc758 \ucd94\uc138\ub97c \ud30c\uc545\ud558\ub294 \ub370 \uc0ac\uc6a9\ub429\ub2c8\ub2e4.\n <\/p>\n
3.1 \uc774\ub3d9\ud3c9\uade0 \uacc4\uc0b0<\/h3>\n
\n \uc774\ub3d9\ud3c9\uade0\uc744 \uacc4\uc0b0\ud558\uae30 \uc704\ud574 pandas\uc758 rolling \ud568\uc218\ub97c \ud65c\uc6a9\ud569\ub2c8\ub2e4.
\n \ub2e8\uae30 \uc774\ub3d9\ud3c9\uade0\uacfc \uc7a5\uae30 \uc774\ub3d9\ud3c9\uade0\uc744 \uacc4\uc0b0\ud558\uc5ec \uad50\ucc28\uc810\uc744 \uae30\uc900\uc73c\ub85c \ub9e4\ub9e4 \uc2e0\ud638\ub97c \uc0dd\uc131\ud560 \uac83\uc785\ub2c8\ub2e4.\n <\/p>\n
\n \n# \ub2e8\uae30(5\uc77c) \ubc0f \uc7a5\uae30(20\uc77c) \uc774\ub3d9\ud3c9\uade0 \uacc4\uc0b0\ndf['\ub2e8\uae30 \uc774\ub3d9\ud3c9\uade0'] = df['\uc885\uac00'].rolling(window=5).mean()\ndf['\uc7a5\uae30 \uc774\ub3d9\ud3c9\uade0'] = df['\uc885\uac00'].rolling(window=20).mean()\nprint(df)\n <\/code>\n <\/pre>\n\n \uc774 \ucf54\ub4dc\ub97c \ud1b5\ud574 \uc0dd\uc131\ub41c DataFrame\uc5d0\ub294 \ub2e8\uae30 \ubc0f \uc7a5\uae30 \uc774\ub3d9\ud3c9\uade0 \uc5f4\uc774 \ucd94\uac00\ub429\ub2c8\ub2e4.\n <\/p>\n
3.2 \ub9e4\ub9e4 \uc2e0\ud638 \uc0dd\uc131<\/h3>\n
\n \uc774\ub3d9\ud3c9\uade0\uc744 \uae30\ubc18\uc73c\ub85c \ub9e4\ub9e4 \uc2e0\ud638\ub97c \uc0dd\uc131\ud558\ub294 \ubc29\ubc95\uc740 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4.
\n \ub2e8\uae30 \uc774\ub3d9\ud3c9\uade0\uc774 \uc7a5\uae30 \uc774\ub3d9\ud3c9\uade0\uc744 \uc0c1\ud5a5 \ub3cc\ud30c\ud558\uba74 \ub9e4\uc218 \uc2e0\ud638, \ud558\ud5a5 \ub3cc\ud30c\ud558\uba74 \ub9e4\ub3c4 \uc2e0\ud638\ub85c \uc124\uc815\ud558\uaca0\uc2b5\ub2c8\ub2e4.\n <\/p>\n
\n \ndef signal_generator(df):\n if df['\ub2e8\uae30 \uc774\ub3d9\ud3c9\uade0'][-1] > df['\uc7a5\uae30 \uc774\ub3d9\ud3c9\uade0'][-1]:\n return \"BUY\"\n elif df['\ub2e8\uae30 \uc774\ub3d9\ud3c9\uade0'][-1] < df['\uc7a5\uae30 \uc774\ub3d9\ud3c9\uade0'][-1]:\n return \"SELL\"\n else:\n return \"HOLD\"\n\n# \uc608\uc2dc \ub370\uc774\ud130\uc5d0 \ub300\ud55c \ub9e4\ub9e4 \uc2e0\ud638 \uc0dd\uc131\nsignal = signal_generator(df)\nprint(\"\ub9e4\ub9e4 \uc2e0\ud638:\", signal)\n <\/code>\n <\/pre>\n\n \uc704 \ucf54\ub4dc\ub97c \uc2e4\ud589\ud558\uba74 \ub9e4\ub9e4 \uc2e0\ud638\ub97c \ucd9c\ub825\ud569\ub2c8\ub2e4.
\n \uc2e0\ud638\ub97c \ud1a0\ub300\ub85c \ub9e4\ub9e4\ub97c \uc2e4\ud589\ud558\ub294 \ub85c\uc9c1\uc744 \ucd94\uac00\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.\n <\/p>\n
4. \uc131\uacfc \ubd84\uc11d \ubc0f \ubc31\ud14c\uc2a4\ud2b8<\/h2>\n
\n \uc790\ub3d9\ub9e4\ub9e4 \uc804\ub7b5\uc758 \uc131\uacfc\ub97c \ubd84\uc11d\ud558\uae30 \uc704\ud574\uc11c\ub294 \ubc31\ud14c\uc2a4\ud2b8(Backtest)\ub97c \uc218\ud589\ud574\uc57c \ud569\ub2c8\ub2e4.
\n \uc774\ub97c \ud1b5\ud574 \uc804\ub7b5\uc758 \uc720\ud6a8\uc131\uc744 \uac80\uc99d\ud558\uace0 \uc2e4\uc81c \uac70\ub798\uc5d0\uc11c\uc758 \uc131\uacfc\ub97c \uc608\uc0c1\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.
\n \ubc31\ud14c\uc2a4\ud2b8\ub294 \uc8fc\uc5b4\uc9c4 \uacfc\uac70 \ub370\uc774\ud130\ub97c \uae30\ubc18\uc73c\ub85c \uc804\ub7b5\uc744 \ud14c\uc2a4\ud2b8\ud558\ub294 \uacfc\uc815\uc744 \uc758\ubbf8\ud569\ub2c8\ub2e4.\n <\/p>\n
4.1 \ubc31\ud14c\uc2a4\ud2b8 \uad6c\ud604<\/h3>\n
\n \uac04\ub2e8\ud55c \ubc31\ud14c\uc2a4\ud2b8 \ub85c\uc9c1\uc744 \uad6c\ud604\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4.
\n \ub9e4\uc218 \uc2e0\ud638\uac00 \ubc1c\uc0dd\ud560 \uacbd\uc6b0 \uc8fc\uc2dd\uc744 \uad6c\ub9e4\ud558\uace0, \ub9e4\ub3c4 \uc2e0\ud638\uac00 \ubc1c\uc0dd\ud560 \uacbd\uc6b0 \uc8fc\uc2dd\uc744 \ud310\ub9e4\ud558\ub294 \uae30\ubcf8\uc801\uc778 \ub85c\uc9c1\uc785\ub2c8\ub2e4.\n <\/p>\n
\n \ninitial_balance = 10000 # \ucd08\uae30 \uc790\ubcf8\nbalance = initial_balance\nposition = 0 # \ubcf4\uc720 \uc8fc\uc2dd \uc218\n\nfor index, row in df.iterrows():\n if signal_generator(df.iloc[:index+1]) == \"BUY\":\n position += balance \/\/ row['\uc885\uac00'] # \uac00\ub2a5\ud55c \ub9cc\ud07c \uad6c\ub9e4\n balance -= position * row['\uc885\uac00']\n elif signal_generator(df.iloc[:index+1]) == \"SELL\" and position > 0:\n balance += position * row['\uc885\uac00'] # \ubcf4\uc720 \uc8fc\uc2dd \ubaa8\ub450 \ud310\ub9e4\n position = 0\n \nfinal_balance = balance + (position * df['\uc885\uac00'].iloc[-1]) # \ucd5c\uc885 \uc790\uc0b0\nprint(\"\ucd5c\uc885 \uc790\uc0b0:\", final_balance)\n <\/code>\n <\/pre>\n\n \uc774 \ucf54\ub4dc\ub97c \ud1b5\ud574 \ucd5c\uc885 \uc790\uc0b0\uc744 \uacc4\uc0b0\ud560 \uc218 \uc788\uc73c\uba70, \ucd08\uae30 \uc790\ubcf8\uacfc\uc758 \ube44\uad50\ub97c \ud1b5\ud574 \uc804\ub7b5\uc758 \uc131\uacfc\ub97c \ud3c9\uac00\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.\n <\/p>\n
5. \uacb0\ub860<\/h2>\n
\n \uc790\ub3d9\ub9e4\ub9e4 \uac1c\ubc1c\uc5d0 \uc788\uc5b4 pandas DataFrame\uc744 \ud65c\uc6a9\ud55c \ub370\uc774\ud130 \ubd84\uc11d\uc740 \ub9e4\uc6b0 \uc911\uc694\ud569\ub2c8\ub2e4.
\n \ubcf8 \uae00\uc5d0\uc11c\ub294 pandas\uc758 \uae30\ubcf8\uc801\uc778 \ud65c\uc6a9 \ubc29\ubc95\uacfc \ud568\uaed8 \uc774\ub3d9\ud3c9\uade0 \uae30\ubc18\uc758 \uc790\ub3d9\ub9e4\ub9e4 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud558\ub294 \uacfc\uc815\uc744 \uc0b4\ud3b4\ubcf4\uc558\uc2b5\ub2c8\ub2e4.
\n pandas\ub97c \ud65c\uc6a9\ud558\uc5ec \ub370\uc774\ud130 \uc870\uc791 \ubc0f \ubd84\uc11d\uc744 \ud6a8\uc728\uc801\uc73c\ub85c \uc218\ud589\ud568\uc73c\ub85c\uc368 \ub354\uc6b1 \ubc1c\uc804\ub41c \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c\uc744 \uad6c\ucd95\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.
\n \ub610\ud55c, \uc774\ub7ec\ud55c \uc2dc\uc2a4\ud15c\uc740 \uae30\uc874 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc744 \uac1c\ub7c9\ud558\uac70\ub098 \uc0c8\ub85c\uc6b4 \uc804\ub7b5\uc744 \uac1c\ubc1c\ud558\ub294 \ub370 \ud070 \ub3c4\uc6c0\uc744 \uc904 \uac83\uc785\ub2c8\ub2e4.
\n \uc55e\uc73c\ub85c \ub354 \uae4a\uc774 \uc788\ub294 \uae08\uc735 \ub370\uc774\ud130 \ubd84\uc11d\uacfc \uc790\ub3d9\ud654 \uc804\ub7b5 \uac1c\ubc1c\uc5d0 \ub300\ud55c \uc5f0\uad6c\ub97c \ud1b5\ud574 \ub354\uc6b1 \uc815\uad50\ud55c \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c\uc744 \uad6c\ucd95\ud558\uae38 \ubc14\ub78d\ub2c8\ub2e4.\n <\/p>\n
\uc800\uc790: \uc870\uad11\ud615<\/p>\n
\ub0a0\uc9dc: 2024\ub144 11\uc6d4 26\uc77c<\/p>\n
<\/body><\/p>\n","protected":false},"excerpt":{"rendered":"