76.4 回测验证

def continuous_contract(contracts_data, method='volume'):
    """
    生成连续合约
    """
    if method == 'volume':
        # 成交量加权切换
        roll_dates = find_roll_dates_by_volume(contracts_data)
    elif method == 'open_interest':
        # 持仓量加权切换
        roll_dates = find_roll_dates_by_oi(contracts_data)
    else:
        # 固定日期切换
        roll_dates = find_roll_dates_fixed(contracts_data)

    # 拼接合约
    continuous = pd.DataFrame()
    for i, (start, end) in enumerate(zip(roll_dates, roll_dates[1:])):
        contract_data = contracts_data[i].loc[start:end]
        continuous = pd.concat([continuous, contract_data])

    # 调整价格（消除跳空）
    continuous = adjust_price(continuous, roll_dates)

    return continuous

def find_roll_dates_by_volume(contracts_data):
    """
    根据成交量切换合约
    """
    roll_dates = []
    for i in range(len(contracts_data) - 1):
        # 主力合约切换点：次月合约成交量超过主力
        current_vol = contracts_data[i]['volume']
        next_vol = contracts_data[i+1]['volume']
        crossover = (next_vol > current_vol).idxmax()
        roll_dates.append(crossover)
    return roll_dates