量化分析/选股策略/Stock_Maximum_Drawdown.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "tags": []
   },
   "outputs": [],
   "source": [
    "import tushare as ts\n",
    "import pandas as pd\n",
    "from datetime import date, datetime,timedelta\n",
    "import time\n",
    "from tqdm.notebook import tqdm_notebook\n",
    "\n",
    "#设置完整显示数据\n",
    "pd.set_option('display.max_rows', 500)\n",
    "pd.set_option('display.max_columns', \n",
    "              500)\n",
    "pd.set_option('display.width', 1000)\n",
    "pd.set_option('display.float_format', '{:,.2f}'.format)\n",
    "\n",
    "#tushare.org注册获得的token\n",
    "pro = ts.pro_api('xxxxxxxxxxxxxxxxxxxxxxxxxxxxxx')\n",
    "ts.set_token('xxxxxxxxxxxxxxxxxxxxxxxxxxxxxx')\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "#设置时间范围\n",
    "start_date = '20200102'\n",
    "end_date = '20220216'\n",
    "today = '20220315'\n",
    "\n",
    "#输入股票代码、同行竞争对手\n",
    "stock_selections = ['601012']\n",
    "competitors = ['金辰股份', '隆基股份', '中环股份', '迈为股份', '高测股份', '上机数控', '罗博特科', '京运通', '*ST天龙', '精功科技', '先导智能', '晶盛机电', '北方华创', '捷佳伟创', '天宸股份', '聆达股份', '*ST大洲', '江泉实业', '*ST大港', '华金资本', '中国宝安', '悦达投资', '浙江富润', '数源科技', '奥园美谷', '东方日升', '爱旭股份', '通威股份', '横店东磁', '晶澳科技', '协鑫集成', '中来股份', '亿晶光电', '天合光能', '向日葵', '正泰电器', '航天机电', '拓日新能', '大全能源', '安彩高科', '福莱特', '振江股份', '中信博', '新纶科技', '赛伍技术', '乐凯胶片', '海优新材', '爱康科技', '清源股份', '回天新材', '道明光学', '南玻A', '亚玛顿', '易成新能', '福斯特', '明冠新材']"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "tags": []
   },
   "source": [
    "## （1）同行业类型股票参考"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {
    "tags": []
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "<class 'pandas.core.frame.DataFrame'>\n",
      "Int64Index: 53 entries, 7 to 4621\n",
      "Data columns (total 3 columns):\n",
      " #   Column   Non-Null Count  Dtype \n",
      "---  ------   --------------  ----- \n",
      " 0   ts_code  53 non-null     object\n",
      " 1   symbol   53 non-null     object\n",
      " 2   name     53 non-null     object\n",
      "dtypes: object(3)\n",
      "memory usage: 1.7+ KB\n"
     ]
    }
   ],
   "source": [
    "stock_basic = pro.stock_basic(exchange='', list_status='L', fields='ts_code,symbol,name')\n",
    "\n",
    "if competitors[0].isnumeric():\n",
    "    stock_selections = stock_basic[stock_basic['symbol'].isin(competitors)]\n",
    "else:\n",
    "    stock_selections = stock_basic[stock_basic['name'].isin(competitors)]\n",
    "    \n",
    "stock_selections.info()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {
    "tags": []
   },
   "outputs": [],
   "source": [
    "def days(isse_date,trade_date):\n",
    "    is_date = datetime.strptime(isse_date, \"%Y%m%d\")\n",
    "    tr_date = datetime.strptime(trade_date, \"%Y%m%d\")\n",
    "    delta =  tr_date - is_date\n",
    "    return delta.days\n",
    "    \n",
    "def find_max_min_stock_data(stock_data, latest_date):\n",
    "    #获得最新日期的数据\n",
    "    latest_date_row = stock_data[stock_data['trade_date'] == latest_date].iloc[0]\n",
    "        \n",
    "    #最大值\n",
    "    maxValueIndex = stock_data['close'].idxmax()\n",
    "    max_row = stock_data.loc[maxValueIndex]\n",
    "\n",
    "    #find minimum data after maximum point\n",
    "    #最小值\n",
    "    min_stock_data = stock_data[stock_data['trade_date'] > max_row['trade_date']]\n",
    "    \n",
    "    minValueIndex = min_stock_data['close'].idxmin()\n",
    "    min_row = min_stock_data.loc[minValueIndex]\n",
    "        \n",
    "    return latest_date_row, max_row, min_row\n",
    "\n",
    "        \n",
    "def qfq_daily_data(ts_code, start_date, end_date, retry_count=3, pause=15):\n",
    "    for _ in range(retry_count):\n",
    "        try:\n",
    "            df = ts.pro_bar(ts_code=ts_code, adj='qfq', freq ='D', start_date=start_date, end_date=end_date)\n",
    "        except:\n",
    "            time.sleep(pause)\n",
    "        else:\n",
    "            return df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {
    "tags": []
   },
   "outputs": [
    {
     "data": {
      "application/vnd.jupyter.widget-view+json": {
       "model_id": "1b55a462f6974f1c9653b4914e22b5e2",
       "version_major": 2,
       "version_minor": 0
      },
      "text/plain": [
       "  0%|          | 0/53 [00:00<?, ?it/s]"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "data = []\n",
    "for index, row in tqdm_notebook(stock_selections.iterrows(), total=stock_selections.shape[0]):\n",
    "    try:\n",
    "        #获取股票日数据\n",
    "        _daily_data = qfq_daily_data(row['ts_code'], start_date, end_date)\n",
    "        _daily_data = _daily_data.drop_duplicates()\n",
    "         \n",
    "        #计算最新、最大、最小值\n",
    "        latest_date_row, max_row, min_row = find_max_min_stock_data(_daily_data, end_date)\n",
    "        \n",
    "        #最大/小值_交易日\n",
    "        max_date = max_row['trade_date']\n",
    "        min_date = min_row['trade_date']\n",
    "        \n",
    "        #计算最大、最小值对应的PE\n",
    "        pe_max = pro.daily_basic(ts_code=row['ts_code'], trade_date = max_date, fields='pe, pe_ttm').iloc[0]\n",
    "        pe_min = pro.daily_basic(ts_code=row['ts_code'],trade_date = min_date, fields='pe, pe_ttm').iloc[0]\n",
    "                \n",
    "        \n",
    "        \n",
    "        #保存数据至新list\n",
    "        ts_data = {}\n",
    "        ts_data['ts_code'] = row['ts_code']\n",
    "        ts_data['名称'] = row['name']\n",
    "        ts_data['数据起始日期'] = start_date\n",
    "        ts_data['数据截至日期'] = end_date\n",
    "        \n",
    "        ts_data['最新_交易日'] = latest_date_row['trade_date']\n",
    "        ts_data['最新_收盘价'] = latest_date_row['close']\n",
    "        ts_data['最大值_交易日'] = max_date\n",
    "        ts_data['最大值_收盘价'] = max_row['close']\n",
    "        ts_data['最大值_PE'] = pe_max['pe']\n",
    "        ts_data['最大值_PE_TTM'] = pe_max['pe_ttm']\n",
    "        \n",
    "        ts_data['最小值_交易日'] = min_row['trade_date']\n",
    "        ts_data['最小值_收盘价'] = min_row['close']\n",
    "        ts_data['最小值_PE'] = pe_min['pe']\n",
    "        ts_data['最小值_PE_TTM'] = pe_min['pe_ttm']\n",
    "        \n",
    "        ts_data['最大回撤_横跨周期'] = days(max_row['trade_date'], min_row['trade_date'])\n",
    "        #最到位之后的回撤\n",
    "        ts_data['最大回撤'] = (min_row['close']/max_row['close'] - 1) * 100\n",
    "        \n",
    "        #最到位之后的到最新收盘价的涨跌幅\n",
    "        ts_data['最高_最新收盘价_涨跌幅'] = (latest_date_row['close']/max_row['close'] - 1) * 100\n",
    "        data.append(ts_data)\n",
    "        \n",
    "    except Exception as e:\n",
    "        print(e)\n",
    "        pass\n",
    "\n",
    "\n",
    "data_df = pd.DataFrame(data) \n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {
    "tags": []
   },
   "outputs": [],
   "source": [
    "data_df['最大回撤_日化'] = data_df['最大回撤'].div(data_df['最大回撤_横跨周期'],'')\n",
    "\n",
    "mv_uptodate = pro.daily_basic(trade_date = today, fields='ts_code,total_mv, pe, pe_ttm')\n",
    "mv_uptodate['total_mv'] = mv_uptodate['total_mv']/10000 \n",
    "mv_uptodate = mv_uptodate.rename(columns={col: col+'_{}'.format(today) \n",
    "                        for col in mv_uptodate.columns if col not in ['ts_code']})\n",
    "\n",
    "data_df=data_df.merge(mv_uptodate, on=['ts_code'])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<div><div id=298dc727-a67f-428e-9e1a-2fd8f3395fda style=\"display:none; background-color:#9D6CFF; color:white; width:200px; height:30px; padding-left:5px; border-radius:4px; flex-direction:row; justify-content:space-around; align-items:center;\" onmouseover=\"this.style.backgroundColor='#BA9BF8'\" onmouseout=\"this.style.backgroundColor='#9D6CFF'\" onclick=\"window.commands?.execute('create-mitosheet-from-dataframe-output');\">See Full Dataframe in Mito</div> <script> if (window.commands.hasCommand('create-mitosheet-from-dataframe-output')) document.getElementById('298dc727-a67f-428e-9e1a-2fd8f3395fda').style.display = 'flex' </script> <table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>ts_code</th>\n",
       "      <th>名称</th>\n",
       "      <th>数据起始日期</th>\n",
       "      <th>数据截至日期</th>\n",
       "      <th>最新_交易日</th>\n",
       "      <th>最新_收盘价</th>\n",
       "      <th>最大值_交易日</th>\n",
       "      <th>最大值_收盘价</th>\n",
       "      <th>最大值_PE</th>\n",
       "      <th>最大值_PE_TTM</th>\n",
       "      <th>最小值_交易日</th>\n",
       "      <th>最小值_收盘价</th>\n",
       "      <th>最小值_PE</th>\n",
       "      <th>最小值_PE_TTM</th>\n",
       "      <th>最大回撤_横跨周期</th>\n",
       "      <th>最大回撤</th>\n",
       "      <th>最高_最新收盘价_涨跌幅</th>\n",
       "      <th>最大回撤_日化</th>\n",
       "      <th>pe_20220315</th>\n",
       "      <th>pe_ttm_20220315</th>\n",
       "      <th>total_mv_20220315</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>000615.SZ</td>\n",
       "      <td>奥园美谷</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>8.32</td>\n",
       "      <td>20210601</td>\n",
       "      <td>29.09</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>20220127</td>\n",
       "      <td>8.11</td>\n",
       "      <td>NaN</td>\n",
       "      <td>36.75</td>\n",
       "      <td>240</td>\n",
       "      <td>-72.12</td>\n",
       "      <td>-71.40</td>\n",
       "      <td>-0.30</td>\n",
       "      <td>NaN</td>\n",
       "      <td>32.40</td>\n",
       "      <td>55.85</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>41</th>\n",
       "      <td>603185.SH</td>\n",
       "      <td>上机数控</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>127.40</td>\n",
       "      <td>20210902</td>\n",
       "      <td>349.66</td>\n",
       "      <td>181.14</td>\n",
       "      <td>78.23</td>\n",
       "      <td>20220211</td>\n",
       "      <td>119.60</td>\n",
       "      <td>61.95</td>\n",
       "      <td>20.65</td>\n",
       "      <td>162</td>\n",
       "      <td>-65.80</td>\n",
       "      <td>-63.56</td>\n",
       "      <td>-0.41</td>\n",
       "      <td>82.08</td>\n",
       "      <td>26.65</td>\n",
       "      <td>436.12</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>48</th>\n",
       "      <td>688408.SH</td>\n",
       "      <td>中信博</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>103.00</td>\n",
       "      <td>20210730</td>\n",
       "      <td>268.00</td>\n",
       "      <td>127.40</td>\n",
       "      <td>128.89</td>\n",
       "      <td>20220211</td>\n",
       "      <td>92.39</td>\n",
       "      <td>43.92</td>\n",
       "      <td>76.12</td>\n",
       "      <td>196</td>\n",
       "      <td>-65.53</td>\n",
       "      <td>-61.57</td>\n",
       "      <td>-0.33</td>\n",
       "      <td>39.57</td>\n",
       "      <td>358.28</td>\n",
       "      <td>112.96</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>43</th>\n",
       "      <td>603396.SH</td>\n",
       "      <td>金辰股份</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>74.61</td>\n",
       "      <td>20210827</td>\n",
       "      <td>201.30</td>\n",
       "      <td>282.84</td>\n",
       "      <td>249.00</td>\n",
       "      <td>20220211</td>\n",
       "      <td>70.33</td>\n",
       "      <td>99.07</td>\n",
       "      <td>84.71</td>\n",
       "      <td>168</td>\n",
       "      <td>-65.06</td>\n",
       "      <td>-62.94</td>\n",
       "      <td>-0.39</td>\n",
       "      <td>100.02</td>\n",
       "      <td>85.53</td>\n",
       "      <td>82.58</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>300724.SZ</td>\n",
       "      <td>捷佳伟创</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>76.14</td>\n",
       "      <td>20210831</td>\n",
       "      <td>205.99</td>\n",
       "      <td>136.94</td>\n",
       "      <td>97.89</td>\n",
       "      <td>20220214</td>\n",
       "      <td>74.17</td>\n",
       "      <td>49.39</td>\n",
       "      <td>38.44</td>\n",
       "      <td>167</td>\n",
       "      <td>-63.99</td>\n",
       "      <td>-63.04</td>\n",
       "      <td>-0.38</td>\n",
       "      <td>49.52</td>\n",
       "      <td>38.54</td>\n",
       "      <td>258.98</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>002056.SZ</td>\n",
       "      <td>横店东磁</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>16.43</td>\n",
       "      <td>20211214</td>\n",
       "      <td>21.89</td>\n",
       "      <td>35.13</td>\n",
       "      <td>28.74</td>\n",
       "      <td>20220125</td>\n",
       "      <td>15.56</td>\n",
       "      <td>24.97</td>\n",
       "      <td>20.43</td>\n",
       "      <td>42</td>\n",
       "      <td>-28.92</td>\n",
       "      <td>-24.94</td>\n",
       "      <td>-0.69</td>\n",
       "      <td>19.41</td>\n",
       "      <td>19.41</td>\n",
       "      <td>217.49</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>300757.SZ</td>\n",
       "      <td>罗博特科</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>51.00</td>\n",
       "      <td>20211213</td>\n",
       "      <td>69.61</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>20220214</td>\n",
       "      <td>50.08</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>63</td>\n",
       "      <td>-28.06</td>\n",
       "      <td>-26.73</td>\n",
       "      <td>-0.45</td>\n",
       "      <td>NaN</td>\n",
       "      <td>NaN</td>\n",
       "      <td>46.75</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>002459.SZ</td>\n",
       "      <td>晶澳科技</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>81.51</td>\n",
       "      <td>20211122</td>\n",
       "      <td>101.70</td>\n",
       "      <td>107.92</td>\n",
       "      <td>106.44</td>\n",
       "      <td>20220210</td>\n",
       "      <td>74.63</td>\n",
       "      <td>79.21</td>\n",
       "      <td>78.13</td>\n",
       "      <td>80</td>\n",
       "      <td>-26.62</td>\n",
       "      <td>-19.85</td>\n",
       "      <td>-0.33</td>\n",
       "      <td>92.54</td>\n",
       "      <td>91.27</td>\n",
       "      <td>1,394.12</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29</th>\n",
       "      <td>600151.SH</td>\n",
       "      <td>航天机电</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>11.18</td>\n",
       "      <td>20211231</td>\n",
       "      <td>13.85</td>\n",
       "      <td>115.83</td>\n",
       "      <td>79.45</td>\n",
       "      <td>20220208</td>\n",
       "      <td>10.90</td>\n",
       "      <td>91.16</td>\n",
       "      <td>62.52</td>\n",
       "      <td>39</td>\n",
       "      <td>-21.30</td>\n",
       "      <td>-19.28</td>\n",
       "      <td>-0.55</td>\n",
       "      <td>82.46</td>\n",
       "      <td>56.56</td>\n",
       "      <td>141.42</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>600620.SH</td>\n",
       "      <td>天宸股份</td>\n",
       "      <td>20200102</td>\n",
       "      <td>20220216</td>\n",
       "      <td>20220216</td>\n",
       "      <td>9.51</td>\n",
       "      <td>20211013</td>\n",
       "      <td>10.35</td>\n",
       "      <td>67.48</td>\n",
       "      <td>39.73</td>\n",
       "      <td>20211117</td>\n",
       "      <td>8.55</td>\n",
       "      <td>55.74</td>\n",
       "      <td>34.84</td>\n",
       "      <td>35</td>\n",
       "      <td>-17.39</td>\n",
       "      <td>-8.12</td>\n",
       "      <td>-0.50</td>\n",
       "      <td>54.70</td>\n",
       "      <td>34.19</td>\n",
       "      <td>57.61</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table></div>"
      ],
      "text/plain": [
       "      ts_code     名称    数据起始日期    数据截至日期    最新_交易日  最新_收盘价   最大值_交易日  最大值_收盘价   最大值_PE  最大值_PE_TTM   最小值_交易日  最小值_收盘价  最小值_PE  最小值_PE_TTM  最大回撤_横跨周期   最大回撤  最高_最新收盘价_涨跌幅  最大回撤_日化  pe_20220315  pe_ttm_20220315  total_mv_20220315\n",
       "3   000615.SZ   奥园美谷  20200102  20220216  20220216    8.32  20210601    29.09      NaN         NaN  20220127     8.11     NaN       36.75        240 -72.12        -71.40    -0.30          NaN            32.40              55.85\n",
       "41  603185.SH   上机数控  20200102  20220216  20220216  127.40  20210902   349.66   181.14       78.23  20220211   119.60   61.95       20.65        162 -65.80        -63.56    -0.41        82.08            26.65             436.12\n",
       "48  688408.SH    中信博  20200102  20220216  20220216  103.00  20210730   268.00   127.40      128.89  20220211    92.39   43.92       76.12        196 -65.53        -61.57    -0.33        39.57           358.28             112.96\n",
       "43  603396.SH   金辰股份  20200102  20220216  20220216   74.61  20210827   201.30   282.84      249.00  20220211    70.33   99.07       84.71        168 -65.06        -62.94    -0.39       100.02            85.53              82.58\n",
       "24  300724.SZ   捷佳伟创  20200102  20220216  20220216   76.14  20210831   205.99   136.94       97.89  20220214    74.17   49.39       38.44        167 -63.99        -63.04    -0.38        49.52            38.54             258.98\n",
       "27  600070.SH   浙江富润  20200102  20220216  20220216    6.82  20200805    15.47    16.73       21.68  20220207     5.95     NaN         NaN        551 -61.54        -55.92    -0.11          NaN              NaN              31.47\n",
       "11  002506.SZ   协鑫集成  20200102  20220216  20220216    3.54  20200122     6.03   679.11      289.92  20200429     2.46  225.02         NaN         98 -59.20        -41.29    -0.60          NaN              NaN             200.67\n",
       "18  300111.SZ    向日葵  20200102  20220216  20220216    3.11  20200908     6.00      NaN         NaN  20210208     2.57     NaN         NaN        153 -57.17        -48.17    -0.37        62.34           102.91              34.83\n",
       "0   000009.SZ   中国宝安  20200102  20220216  20220216   13.48  20210825    28.98   113.07       62.00  20220128    12.81   49.93       31.99        156 -55.80        -53.49    -0.36        42.17            27.02             279.07\n",
       "13  002623.SZ    亚玛顿  20200102  20220216  20220216   27.17  20210726    55.93    80.83       65.31  20220214    26.17   37.82       48.99        203 -53.21        -51.42    -0.26        37.13            48.09              51.14\n",
       "40  601908.SH    京运通  20200102  20220216  20220216    8.14  20210108    14.51   109.79       56.43  20210415     7.17   39.34       39.34         97 -50.59        -43.90    -0.52        40.82            24.58             179.65\n",
       "42  603212.SH   赛伍技术  20200102  20220216  20220216   25.20  20201225    41.37    87.14       95.17  20210517    21.71   44.74       43.09        143 -47.52        -39.08    -0.33        41.30            41.59              80.17\n",
       "47  688303.SH   大全能源  20200102  20220216  20220216   49.59  20210831    91.03   167.94       60.54  20220214    48.30   89.11       18.52        167 -46.94        -45.52    -0.28       106.23            19.36           1,108.41\n",
       "5   002006.SZ   精功科技  20200102  20220216  20220216   20.41  20211201    35.20   565.30      168.03  20220211    18.77  301.44       89.60         72 -46.68        -42.02    -0.65       353.95           105.21             100.32\n",
       "52  688680.SH   海优新材  20200102  20220216  20220216  207.48  20211119   352.00   132.49      129.82  20220211   187.72   70.65       69.31         84 -46.67        -41.06    -0.56        78.65            68.19             175.58\n",
       "15  300029.SZ  *ST天龙  20200102  20220216  20220216    6.24  20200907     8.30      NaN         NaN  20210205     4.46     NaN         NaN        151 -46.27        -24.82    -0.31          NaN              NaN              10.76\n",
       "17  300080.SZ   易成新能  20200102  20220216  20220216    4.76  20201012     7.84    26.36       24.99  20210205     4.22   14.59         NaN        116 -46.17        -39.29    -0.40          NaN              NaN              94.47\n",
       "9   002371.SZ   北方华创  20200102  20220216  20220216  266.00  20211111   451.90   442.37      273.44  20220211   249.19  244.00      150.83         92 -44.86        -41.14    -0.49       290.81           179.76           1,561.47\n",
       "25  300751.SZ   迈为股份  20200102  20220216  20220216  474.88  20210830   796.83   208.28      179.68  20220214   448.75  122.95       84.18        168 -43.68        -40.40    -0.26        87.46            87.46             562.21\n",
       "19  300118.SZ   东方日升  20200102  20220216  20220216   22.45  20211123    37.46   204.21         NaN  20220211    21.59  117.70         NaN         80 -42.37        -40.07    -0.53       151.01              NaN             249.68\n",
       "14  002632.SZ   道明光学  20200102  20220216  20220216    6.74  20200730    10.09    32.33       33.48  20210205     5.82   18.34       19.63        190 -42.32        -33.20    -0.22        21.85            30.50              36.98\n",
       "28  600135.SH   乐凯胶片  20200102  20220216  20220216    7.44  20200217     9.19   348.74       77.68  20210205     5.31   34.66       69.46        354 -42.18        -19.05    -0.12       100.70            69.04              37.51\n",
       "4   000909.SZ   数源科技  20200102  20220216  20220216    7.83  20200325    10.48   119.43      119.43  20211102     6.06   63.90       45.45        587 -42.15        -25.25    -0.07        71.70            51.01              30.86\n",
       "31  600212.SH   江泉实业  20200102  20220216  20220216    4.29  20210322     5.24   137.22      137.22  20211102     3.07   80.39      134.41        225 -41.41        -18.13    -0.18          NaN              NaN              24.56\n",
       "12  002610.SZ   爱康科技  20200102  20220216  20220216    3.79  20211117     6.14 1,245.68         NaN  20220126     3.60  730.37         NaN         70 -41.37        -38.27    -0.59       740.51              NaN             163.50\n",
       "33  600537.SH   亿晶光电  20200102  20220216  20220216    4.21  20201228     5.72      NaN         NaN  20210205     3.45     NaN         NaN         39 -39.69        -26.40    -1.02          NaN              NaN              50.58\n",
       "46  603806.SH    福斯特  20200102  20220216  20220216  104.87  20210830   164.66   100.07       77.82  20220211    99.34   60.37       46.54        165 -39.67        -36.31    -0.24        71.64            55.23           1,121.16\n",
       "32  600438.SH   通威股份  20200102  20220216  20220216   38.41  20210902    61.90    77.23       50.09  20220128    37.35   46.60       27.03        148 -39.66        -37.95    -0.27        54.86            24.13           1,979.33\n",
       "36  600805.SH   悦达投资  20200102  20220216  20220216    4.25  20201209     5.54    44.17         NaN  20210210     3.46   27.58         NaN         63 -37.55        -23.29    -0.60          NaN              NaN              31.74\n",
       "2   000532.SZ   华金资本  20200102  20220216  20220216   11.29  20210723    17.22    36.43       36.06  20220127    10.76   22.76       31.74        188 -37.51        -34.44    -0.20        21.45            29.91              34.95\n",
       "44  603507.SH   振江股份  20200102  20220216  20220216   35.17  20211118    53.80   100.36       48.67  20220121    33.68   62.83       30.47         64 -37.40        -34.63    -0.58        50.87            24.67              34.26\n",
       "8   002218.SZ   拓日新能  20200102  20220216  20220216    5.73  20210924     8.72    65.34       47.54  20220127     5.52   47.06       40.14        125 -36.72        -34.32    -0.29        46.38            39.13              76.87\n",
       "49  688556.SH   高测股份  20200102  20220216  20220216   61.20  20211129    87.52   240.64      110.03  20220211    55.75  153.29       70.09         74 -36.30        -30.07    -0.49       190.00            64.76             111.84\n",
       "20  300125.SZ   聆达股份  20200102  20220216  20220216   13.19  20200818    18.93   311.40      384.19  20200911    12.06  198.39      337.78         24 -36.29        -30.32    -1.51          NaN              NaN              39.19\n",
       "1   000012.SZ    南玻A  20200102  20220216  20220216    8.70  20210903    12.78    50.36       22.55  20211110     8.28   32.62       16.27         68 -35.21        -31.92    -0.52        28.21            14.07             219.86\n",
       "35  600732.SH   爱旭股份  20200102  20220216  20220216   17.48  20211213    26.00    65.73      137.34  20220214    16.86   42.62       89.06         63 -35.15        -32.77    -0.56        40.91            85.47             329.48\n",
       "22  300393.SZ   中来股份  20200102  20220216  20220216   16.68  20211119    22.31   251.50         NaN  20220121    14.47  163.12         NaN         63 -35.14        -25.24    -0.56       249.13              NaN             240.81\n",
       "37  601012.SH   隆基股份  20200102  20220216  20220216   68.07  20211101   100.20    63.42       55.62  20220211    65.15   41.23       36.16        102 -34.98        -32.07    -0.34        48.99            42.96           4,189.63\n",
       "21  300316.SZ   晶盛机电  20200102  20220216  20220216   56.94  20211112    82.73   123.93       73.62  20220211    54.04   81.01       48.12         91 -34.68        -31.17    -0.38        86.09            43.00             738.82\n",
       "30  600207.SH   安彩高科  20200102  20220216  20220216    6.24  20210723     9.05    70.30       32.29  20220125     5.96   46.30       20.06        186 -34.14        -31.05    -0.18        44.51            23.57              49.45\n",
       "45  603628.SH   清源股份  20200102  20220216  20220216   11.55  20211122    16.75    67.02       70.43  20220127    11.06   44.26       46.51         66 -33.97        -31.04    -0.51        51.90            54.54              35.51\n",
       "51  688599.SH   天合光能  20200102  20220216  20220216   59.40  20211213    85.14   143.23      113.30  20220211    56.50   95.31       75.39         60 -33.64        -30.23    -0.56       119.94            78.58           1,474.44\n",
       "39  601877.SH   正泰电器  20200102  20220216  20220216   42.88  20210831    62.95    21.06       20.95  20220214    42.53   14.23       14.85        167 -32.44        -31.88    -0.19        14.21            14.83             913.31\n",
       "7   002129.SZ   中环股份  20200102  20220216  20220216   42.95  20210830    54.92   152.96       82.03  20220107    37.74  112.00       40.60        130 -31.28        -21.80    -0.24       130.72            35.41           1,423.58\n",
       "38  601865.SH    福莱特  20200102  20220216  20220216   43.19  20210902    59.73    78.73       52.79  20220214    41.17   54.27       34.88        165 -31.07        -27.69    -0.19        65.51            42.11           1,067.01\n",
       "50  688560.SH   明冠新材  20200102  20220216  20220216   35.80  20211208    42.94    66.79       61.98  20220126    29.97   46.62       43.26         49 -30.20        -16.63    -0.62        54.15            45.95              57.12\n",
       "16  300041.SZ   回天新材  20200102  20220216  20220216   15.88  20210825    20.99    41.45       37.99  20211012    14.69   29.01       26.49         48 -30.01        -24.34    -0.63        27.35            24.94              59.68\n",
       "23  300450.SZ   先导智能  20200102  20220216  20220216   63.47  20211112    87.29   178.01      120.72  20220214    61.25  124.80       84.63         94 -29.83        -27.29    -0.32       113.90            77.24             874.16\n",
       "6   002056.SZ   横店东磁  20200102  20220216  20220216   16.43  20211214    21.89    35.13       28.74  20220125    15.56   24.97       20.43         42 -28.92        -24.94    -0.69        19.41            19.41             217.49\n",
       "26  300757.SZ   罗博特科  20200102  20220216  20220216   51.00  20211213    69.61      NaN         NaN  20220214    50.08     NaN         NaN         63 -28.06        -26.73    -0.45          NaN              NaN              46.75\n",
       "10  002459.SZ   晶澳科技  20200102  20220216  20220216   81.51  20211122   101.70   107.92      106.44  20220210    74.63   79.21       78.13         80 -26.62        -19.85    -0.33        92.54            91.27           1,394.12\n",
       "29  600151.SH   航天机电  20200102  20220216  20220216   11.18  20211231    13.85   115.83       79.45  20220208    10.90   91.16       62.52         39 -21.30        -19.28    -0.55        82.46            56.56             141.42\n",
       "34  600620.SH   天宸股份  20200102  20220216  20220216    9.51  20211013    10.35    67.48       39.73  20211117     8.55   55.74       34.84         35 -17.39         -8.12    -0.50        54.70            34.19              57.61"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "data_df.sort_values(by='最大回撤', ascending=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "data_df.to_excel('同行业跌幅排行榜.xlsx')"
   ]
  }
 ],
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