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回测引擎：每日数据处理函数，每天执行一次\ndef bigquant_run(context, data):\n # 按日期过滤得到今日的预测数据\n factor_data = context.factor_data[\n context.factor_data.date == data.current_dt.strftime('%Y-%m-%d')]\n \n for sid in context.instruments:\n factor = factor_data[factor_data.instrument==sid]\n # 标的为字符串格式\n sid = context.symbol(sid)# 标的为字符串格\n price = data.current(sid, 'price') # 最新价格\n golden_cross = factor.golden_cross.values\n death_cross = factor.death_cross.values\n cur_position = context.portfolio.positions[sid].amount # 持仓数量 \n weight = 1 / len(context.instruments) # 等权重\n\n #交易逻辑\n # 如果短期均线大于长期均线形成金叉，并且没有持仓，并且该股票可以交易\n if golden_cross and cur_position == 0: \n context.order_target_percent(sid, weight) # 买入\n print('{}全仓买入{}基金'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))\n # 如果短期均线小于长期均线形成死叉，并且有持仓，并且该股票可以交易\n elif death_cross and cur_position > 0 : \n context.order_target_percent(sid, 0) # 全部卖出\n print('{}卖出{}基金'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))\n \n 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signalperiod=9)","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features_ds","node_id":"-162"}],"output_ports":[{"name":"data","node_id":"-162"}],"cacheable":true,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"-167","module_id":"BigQuantSpace.derived_feature_extractor.derived_feature_extractor-v3","parameters":[{"name":"date_col","value":"date","type":"Literal","bound_global_parameter":null},{"name":"instrument_col","value":"instrument","type":"Literal","bound_global_parameter":null},{"name":"drop_na","value":"False","type":"Literal","bound_global_parameter":null},{"name":"remove_extra_columns","value":"False","type":"Literal","bound_global_parameter":null},{"name":"user_functions","value":"{}","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_data","node_id":"-167"},{"name":"features","node_id":"-167"}],"output_ports":[{"name":"data","node_id":"-167"}],"cacheable":true,"seq_num":4,"comment":"","comment_collapsed":true}],"node_layout":"<node_postions><node_position 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# 本代码由可视化策略环境自动生成 2022年10月21日 17:24
# 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 m2_initialize_bigquant_run(context):
    # 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))
    context.factor_data = context.options['data'].read_df()
# 回测引擎：每日数据处理函数，每天执行一次
def m2_handle_data_bigquant_run(context, data):
    # 按日期过滤得到今日的预测数据
    factor_data = context.factor_data[
        context.factor_data.date == data.current_dt.strftime('%Y-%m-%d')]
    
    for sid in context.instruments:
        factor = factor_data[factor_data.instrument==sid]
        # 标的为字符串格式
        sid = context.symbol(sid)# 标的为字符串格
        price = data.current(sid, 'price') # 最新价格
        golden_cross = factor.golden_cross.values
        death_cross = factor.death_cross.values
        cur_position =  context.portfolio.positions[sid].amount # 持仓数量 
        weight = 1 / len(context.instruments) # 等权重

        #交易逻辑
        # 如果短期均线大于长期均线形成金叉，并且没有持仓，并且该股票可以交易
        if golden_cross and cur_position == 0:  
            context.order_target_percent(sid, weight) # 买入
            print('{}全仓买入{}基金'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))
        # 如果短期均线小于长期均线形成死叉，并且有持仓，并且该股票可以交易
        elif death_cross and cur_position > 0 :  
            context.order_target_percent(sid, 0) # 全部卖出
            print('{}卖出{}基金'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))
        
        

# 回测引擎：准备数据，只执行一次
def m2_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 m2_before_trading_start_bigquant_run(context, data):
    pass


m7 = M.instruments.v2(
    start_date='2019-09-01',
    end_date='2021-09-01',
    market='CN_FUND',
    instrument_list="""159941.ZOF
515030.HOF""",
    max_count=0
)

m1 = M.use_datasource.v2(
    instruments=m7.data,
    datasource_id='bar1d_CN_FUND',
    start_date='',
    end_date='',
    before_start_days=90
)

m3 = M.input_features.v1(
    features="""golden_cross = ta_macd(close,'golden_cross', fastperiod=12, slowperiod=26, signalperiod=9)

death_cross = ta_macd(close,'death_cross', fastperiod=12, slowperiod=26, signalperiod=9)"""
)

m4 = M.derived_feature_extractor.v3(
    input_data=m1.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m2 = M.trade.v4(
    instruments=m7.data,
    options_data=m4.data,
    start_date='',
    end_date='',
    initialize=m2_initialize_bigquant_run,
    handle_data=m2_handle_data_bigquant_run,
    prepare=m2_prepare_bigquant_run,
    before_trading_start=m2_before_trading_start_bigquant_run,
    volume_limit=0,
    order_price_field_buy='open',
    order_price_field_sell='open',
    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=''
)

[2022-10-21 11:42:27.011261] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-10-21 11:42:27.024248] INFO: moduleinvoker: 命中缓存

[2022-10-21 11:42:27.026267] INFO: moduleinvoker: instruments.v2 运行完成[0.015016s].

[2022-10-21 11:42:27.032437] INFO: moduleinvoker: use_datasource.v2 开始运行..

[2022-10-21 11:42:27.039034] INFO: moduleinvoker: 命中缓存

[2022-10-21 11:42:27.041048] INFO: moduleinvoker: use_datasource.v2 运行完成[0.008622s].

[2022-10-21 11:42:27.045761] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-10-21 11:42:27.057391] INFO: moduleinvoker: 命中缓存

[2022-10-21 11:42:27.059423] INFO: moduleinvoker: input_features.v1 运行完成[0.013668s].

[2022-10-21 11:42:27.067807] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-10-21 11:42:27.075421] INFO: moduleinvoker: 命中缓存

[2022-10-21 11:42:27.077596] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.009763s].

[2022-10-21 11:42:27.127477] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-10-21 11:42:27.134422] INFO: backtest: biglearning backtest:V8.6.3

[2022-10-21 11:42:27.135906] INFO: backtest: product_type:stock by specified

[2022-10-21 11:42:27.232931] INFO: moduleinvoker: cached.v2 开始运行..

[2022-10-21 11:42:27.249256] INFO: moduleinvoker: 命中缓存

[2022-10-21 11:42:27.251320] INFO: moduleinvoker: cached.v2 运行完成[0.018403s].

[2022-10-21 11:42:27.291023] INFO: backtest: algo history_data=DataSource(02f1e485915344a7913f2856f1d2c0abT)

[2022-10-21 11:42:27.292847] INFO: algo: TradingAlgorithm V1.8.8

[2022-10-21 11:42:27.747005] INFO: algo: trading transform...

[2022-10-21 11:42:30.225359] INFO: Performance: Simulated 487 trading days out of 487.

[2022-10-21 11:42:30.227347] INFO: Performance: first open: 2019-09-02 09:30:00+00:00

[2022-10-21 11:42:30.228576] INFO: Performance: last close: 2021-09-01 15:00:00+00:00

[2022-10-21 11:42:32.363777] INFO: moduleinvoker: backtest.v8 运行完成[5.236302s].

[2022-10-21 11:42:32.365701] INFO: moduleinvoker: trade.v4 运行完成[5.28099s].

2019-09-02全仓买入159941.ZOF基金
2019-09-20卖出159941.ZOF基金
2019-10-16全仓买入159941.ZOF基金
2019-12-05卖出159941.ZOF基金
2019-12-23全仓买入159941.ZOF基金
2020-01-08卖出159941.ZOF基金
2020-01-09全仓买入159941.ZOF基金
2020-01-23卖出159941.ZOF基金
2020-02-05全仓买入159941.ZOF基金
2020-02-21卖出159941.ZOF基金
2020-03-25全仓买入159941.ZOF基金
2020-05-14卖出159941.ZOF基金
2020-05-29全仓买入515030.HOF基金
2020-06-09全仓买入159941.ZOF基金
2020-06-12卖出159941.ZOF基金
2020-06-19全仓买入159941.ZOF基金
2020-06-29卖出159941.ZOF基金
2020-07-02全仓买入159941.ZOF基金
2020-07-16卖出159941.ZOF基金
2020-07-17卖出515030.HOF基金
2020-07-21全仓买入159941.ZOF基金
2020-07-24卖出159941.ZOF基金
2020-08-04全仓买入159941.ZOF基金
2020-08-12卖出159941.ZOF基金
2020-08-14全仓买入159941.ZOF基金
2020-09-03全仓买入515030.HOF基金
2020-09-04卖出515030.HOF基金
2020-09-09卖出159941.ZOF基金
2020-09-17全仓买入515030.HOF基金
2020-09-28卖出515030.HOF基金
2020-09-29全仓买入515030.HOF基金
2020-10-12全仓买入159941.ZOF基金
2020-10-21卖出159941.ZOF基金
2020-11-06全仓买入159941.ZOF基金
2020-11-12卖出159941.ZOF基金
2020-11-17卖出515030.HOF基金
2020-11-24全仓买入159941.ZOF基金
2020-12-14全仓买入515030.HOF基金
2021-01-05卖出159941.ZOF基金
2021-01-13卖出515030.HOF基金
2021-01-20全仓买入159941.ZOF基金
2021-02-01卖出159941.ZOF基金
2021-02-03全仓买入159941.ZOF基金
2021-02-23卖出159941.ZOF基金
2021-03-16全仓买入159941.ZOF基金
2021-03-18全仓买入515030.HOF基金
2021-03-24卖出515030.HOF基金
2021-03-26全仓买入515030.HOF基金
2021-04-23卖出159941.ZOF基金
2021-05-11卖出515030.HOF基金
2021-05-17全仓买入515030.HOF基金
2021-05-26全仓买入159941.ZOF基金
2021-06-16卖出515030.HOF基金
2021-06-23全仓买入515030.HOF基金
2021-07-16卖出159941.ZOF基金
2021-07-19卖出515030.HOF基金
2021-07-27全仓买入159941.ZOF基金
2021-07-28卖出159941.ZOF基金
2021-08-05全仓买入515030.HOF基金
2021-08-10卖出515030.HOF基金
2021-08-25全仓买入159941.ZOF基金

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