按照文档实例配置例子策略,运行报错!


(jijingling777) #1

https://bigquant.com/community/t/topic/131653》 执行第五步的时候报错,配置都是按照例子说明输入的

[2019-10-11 09:48:53.182996] INFO: bigquant: instruments.v2 开始运行..
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[2019-10-11 09:48:53.220190] INFO: bigquant: advanced_auto_labeler.v2 开始运行..
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[2019-10-11 09:48:53.291393] INFO: bigquant: instruments.v2 运行完成[0.030519s].
[2019-10-11 09:48:53.294618] INFO: bigquant: input_features.v1 开始运行..
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[2019-10-11 09:48:53.328265] INFO: bigquant: input_features.v1 运行完成[0.033643s].
[2019-10-11 09:48:53.356984] INFO: bigquant: general_feature_extractor.v7 开始运行..
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[2019-10-11 09:48:53.388727] INFO: bigquant: general_feature_extractor.v7 运行完成[0.031746s].
[2019-10-11 09:48:53.391187] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-10-11 09:48:53.430276] INFO: bigquant: 命中缓存
[2019-10-11 09:48:53.432029] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.040827s].
[2019-10-11 09:48:53.435054] INFO: bigquant: join.v3 开始运行..
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[2019-10-11 09:48:53.474269] INFO: bigquant: join.v3 运行完成[0.039205s].
[2019-10-11 09:48:53.477016] INFO: bigquant: dropnan.v1 开始运行..
[2019-10-11 09:48:53.538866] INFO: bigquant: 命中缓存
[2019-10-11 09:48:53.544621] INFO: bigquant: dropnan.v1 运行完成[0.06758s].
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
<ipython-input-28-3e824483de19> in <module>()
    102     start_date='',
    103     end_date='',
--> 104     before_start_days=90
    105 )
    106 

TypeError: compile() arg 1 must be a string, bytes or AST object

(达达) #2

看一下你的因子呢,可以分享一下策略


(jijingling777) #3

就是按这个教程一步一步配置的

AI量化策略开发入门系列文章请查看:

1.AI量化策略开发第一步:设置训练集、测试集数据范围
2. AI量化策略开发第二步:数据标注
3. AI量化策略开发第三步:找因子
4. AI量化策略开发第四步:数据连接+缺失数据处理
5. AI量化策略开发第五步:模型训练+股票预测
6. AI量化策略开发第六步:回测
7. AI量化策略开发第七步:查看、分析结果
8. AI量化策略开发第八步:模拟实盘


(iQuant) #4

您可以先检查一下连线是否有误,每个模块不同的接口功能不同,如果连线无误可以将您的策略通过下面方式分享到社区,我们来帮您检查一下。


(jijingling777) #5
克隆策略

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    In [40]:
    # 本代码由可视化策略环境自动生成 2019年10月11日 10:29
    # 本代码单元只能在可视化模式下编辑。您也可以拷贝代码,粘贴到新建的代码单元或者策略,然后修改。
    
    
    # 回测引擎:初始化函数,只执行一次
    def m14_initialize_bigquant_run(context):
        # 加载预测数据
        context.ranker_prediction = context.options['data'].read_df()
    
        # 系统已经设置了默认的交易手续费和滑点,要修改手续费可使用如下函数
        context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
        # 预测数据,通过options传入进来,使用 read_df 函数,加载到内存 (DataFrame)
        # 设置买入的股票数量,这里买入预测股票列表排名靠前的5只
        stock_count = 5
        # 每只的股票的权重,如下的权重分配会使得靠前的股票分配多一点的资金,[0.339160, 0.213986, 0.169580, ..]
        context.stock_weights = T.norm([1 / math.log(i + 2) for i in range(0, stock_count)])
        # 设置每只股票占用的最大资金比例
        context.max_cash_per_instrument = 0.2
        context.hold_days = 5
    
    # 回测引擎:每日数据处理函数,每天执行一次
    def m14_handle_data_bigquant_run(context, data):
        # 按日期过滤得到今日的预测数据
        ranker_prediction = context.ranker_prediction[
            context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]
    
        # 1. 资金分配
        # 平均持仓时间是hold_days,每日都将买入股票,每日预期使用 1/hold_days 的资金
        # 实际操作中,会存在一定的买入误差,所以在前hold_days天,等量使用资金;之后,尽量使用剩余资金(这里设置最多用等量的1.5倍)
        is_staging = context.trading_day_index < context.hold_days # 是否在建仓期间(前 hold_days 天)
        cash_avg = context.portfolio.portfolio_value / context.hold_days
        cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)
        cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)
        positions = {e.symbol: p.amount * p.last_sale_price
                     for e, p in context.perf_tracker.position_tracker.positions.items()}
    
        # 2. 生成卖出订单:hold_days天之后才开始卖出;对持仓的股票,按StockRanker预测的排序末位淘汰
        if not is_staging and cash_for_sell > 0:
            equities = {e.symbol: e for e, p in context.perf_tracker.position_tracker.positions.items()}
            instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
                    lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))
            # print('rank order for sell %s' % instruments)
            for instrument in instruments:
                context.order_target(context.symbol(instrument), 0)
                cash_for_sell -= positions[instrument]
                if cash_for_sell <= 0:
                    break
    
        # 3. 生成买入订单:按StockRanker预测的排序,买入前面的stock_count只股票
        buy_cash_weights = context.stock_weights
        buy_instruments = list(ranker_prediction.instrument[:len(buy_cash_weights)])
        max_cash_per_instrument = context.portfolio.portfolio_value * context.max_cash_per_instrument
        for i, instrument in enumerate(buy_instruments):
            cash = cash_for_buy * buy_cash_weights[i]
            if cash > max_cash_per_instrument - positions.get(instrument, 0):
                # 确保股票持仓量不会超过每次股票最大的占用资金量
                cash = max_cash_per_instrument - positions.get(instrument, 0)
            if cash > 0:
                context.order_value(context.symbol(instrument), cash)
    
    # 回测引擎:准备数据,只执行一次
    def m14_prepare_bigquant_run(context):
        pass
    
    # 回测引擎:每个单位时间开始前调用一次,即每日开盘前调用一次。
    def m14_before_trading_start_bigquant_run(context, data):
        pass
    
    
    m1 = M.instruments.v2(
        start_date=T.live_run_param('trading_date', '2016-01-01'),
        end_date='2018-01-01',
        market='CN_STOCK_A',
        instrument_list='',
        max_count=0
    )
    
    m3 = M.advanced_auto_labeler.v2(
        instruments=m1.data,
        label_expr="""# #号开始的表示注释
    # 0. 每行一个,顺序执行,从第二个开始,可以使用label字段
    # 1. 可用数据字段见 https://bigquant.com/docs/develop/datasource/deprecated/history_data.html
    #   添加benchmark_前缀,可使用对应的benchmark数据
    # 2. 可用操作符和函数见 `表达式引擎 <https://bigquant.com/docs/develop/bigexpr/usage.html>`_
    
    # 计算收益:5日收盘价(作为卖出价格)除以明日开盘价(作为买入价格)
    shift(close, -5) / shift(open, -1)
    
    # 极值处理:用1%和99%分位的值做clip
    clip(label, all_quantile(label, 0.01), all_quantile(label, 0.99))
    
    # 将分数映射到分类,这里使用20个分类
    all_wbins(label, 20)
    
    # 过滤掉一字涨停的情况 (设置label为NaN,在后续处理和训练中会忽略NaN的label)
    where(shift(high, -1) == shift(low, -1), NaN, label)
    """,
        start_date='',
        end_date='',
        benchmark='000300.SHA',
        drop_na_label=True,
        cast_label_int=True,
        user_functions={}
    )
    
    m2 = M.instruments.v2(
        start_date='2018-01-02',
        end_date='2019-01-02',
        market='CN_STOCK_A',
        instrument_list='',
        max_count=0
    )
    
    m4 = M.input_features.v1(
        features="""
    # #号开始的表示注释,注释需单独一行
    # 多个特征,每行一个,可以包含基础特征和衍生特征,特征须为本平台特征
    return_5
    return_10
    return_20
    avg_amount_0/avg_amount_5
    avg_amount_5/avg_amount_20
    rank_avg_amount_0/rank_avg_amount_5
    rank_avg_amount_5/rank_avg_amount_10
    rank_return_0
    rank_return_5
    rank_return_10
    rank_return_0/rank_return_5
    rank_return_5/rank_return_10
    pe_ttm_0
    """
    )
    
    m7 = M.general_feature_extractor.v7(
        instruments=m1.data,
        features=m4.data,
        start_date='2016-01-01',
        end_date='2018-01-01',
        before_start_days=90
    )
    
    m5 = M.derived_feature_extractor.v3(
        input_data=m7.data,
        features=m4.data,
        date_col='date',
        instrument_col='instrument',
        drop_na=False,
        remove_extra_columns=False,
        user_functions={}
    )
    
    m9 = M.join.v3(
        data1=m3.data,
        data2=m5.data,
        on='date,instrument',
        how='inner',
        sort=False
    )
    
    m10 = M.dropnan.v1(
        input_data=m9.data
    )
    
    m6 = M.general_feature_extractor.v7(
        instruments=m4.data,
        features=m2.data,
        start_date='2018-01-02',
        end_date='2019-01-02',
        before_start_days=90
    )
    
    m8 = M.derived_feature_extractor.v3(
        input_data=m4.data,
        features=m6.data,
        date_col='date',
        instrument_col='instrument',
        drop_na=False,
        remove_extra_columns=False,
        user_functions={}
    )
    
    m11 = M.dropnan.v1(
        input_data=m8.data
    )
    
    m13 = M.stock_ranker_train.v5(
        training_ds=m10.data,
        features=m4.data,
        learning_algorithm='排序',
        number_of_leaves=30,
        minimum_docs_per_leaf=1000,
        number_of_trees=20,
        learning_rate=0.1,
        max_bins=1023,
        feature_fraction=1,
        m_lazy_run=False
    )
    
    m12 = M.stock_ranker_predict.v5(
        model=m13.model,
        data=m11.data,
        m_lazy_run=False
    )
    
    m14 = M.trade.v4(
        instruments=m2.data,
        options_data=m12.predictions,
        start_date='',
        end_date='',
        initialize=m14_initialize_bigquant_run,
        handle_data=m14_handle_data_bigquant_run,
        prepare=m14_prepare_bigquant_run,
        before_trading_start=m14_before_trading_start_bigquant_run,
        volume_limit=0.025,
        order_price_field_buy='open',
        order_price_field_sell='close',
        capital_base=1000000,
        auto_cancel_non_tradable_orders=True,
        data_frequency='daily',
        price_type='真实价格',
        product_type='股票',
        plot_charts=True,
        backtest_only=False,
        benchmark=''
    )
    
    ---------------------------------------------------------------------------
    TypeError                                 Traceback (most recent call last)
    <ipython-input-40-7c10c57e8537> in <module>()
        102     start_date='2018-01-02',
        103     end_date='2019-01-02',
    --> 104     before_start_days=90
        105 )
        106 
    
    TypeError: compile() arg 1 must be a string, bytes or AST object

    (达达) #6

    连线反了,接口之间不能混乱连接,有顺序