克隆策略

In [8]:

import tensorflow as tf
gpus = tf.config.list_physical_devices("GPU")
tf.config.experimental.set_memory_growth(gpus[0], True)

In [9]:

from tensorflow.keras import optimizers

In [10]:

# 本代码由可视化策略环境自动生成 2021年11月30日 13:34
# 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。


# Python 代码入口函数，input_1/2/3 对应三个输入端，data_1/2/3 对应三个输出端
def m4_run_bigquant_run(input_1, input_2, input_3):
    # 示例代码如下。在这里编写您的代码
    from sklearn.model_selection import train_test_split
    data = input_1.read()
    x_train, x_val, y_train, y_val = train_test_split(data["x"], data['y'], shuffle=False, test_size=0.2)
    data_1 = DataSource.write_pickle({'x': x_train, 'y': y_train})
    data_2 = DataSource.write_pickle({'x': x_val, 'y': y_val})
    return Outputs(data_1=data_1, data_2=data_2, data_3=None)
# 后处理函数，可选。输入是主函数的输出，可以在这里对数据做处理，或者返回更友好的outputs数据格式。此函数输出不会被缓存。
def m4_post_run_bigquant_run(outputs):
    return outputs

from tensorflow.keras.callbacks import EarlyStopping

m35_earlystop_bigquant_run=EarlyStopping(monitor='val_mse', min_delta=0.0001, patience=5)
# 用户的自定义层需要写到字典中，比如
# {
#   "MyLayer": MyLayer
# }
m35_custom_objects_bigquant_run = {    
    
}

# Python 代码入口函数，input_1/2/3 对应三个输入端，data_1/2/3 对应三个输出端
def m24_run_bigquant_run(input_1, input_2, input_3):
    # 示例代码如下。在这里编写您的代码
    pred_label = input_1.read_pickle()
    df = input_2.read_df()
    df = pd.DataFrame({'pred_label':pred_label[:,0], 'instrument':df.instrument, 'date':df.date})
    df.sort_values(['date','pred_label'],inplace=True, ascending=[True,False])
    return Outputs(data_1=DataSource.write_df(df), data_2=None, data_3=None)

# 后处理函数，可选。输入是主函数的输出，可以在这里对数据做处理，或者返回更友好的outputs数据格式。此函数输出不会被缓存。
def m24_post_run_bigquant_run(outputs):
    return outputs

# 回测引擎：初始化函数，只执行一次
def m19_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=0.0003, 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 = 20
    # 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 = 0.05
    context.options['hold_days'] = 5

# 回测引擎：每日数据处理函数，每天执行一次
def m19_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.options['hold_days'] # 是否在建仓期间（前 hold_days 天）
    cash_avg = context.portfolio.portfolio_value / context.options['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，按机器学习算法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：按机器学习算法预测的排序，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 m19_prepare_bigquant_run(context):
    pass


m1 = M.instruments.v2(
    start_date='2010-01-01',
    end_date='2017-12-31',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m2 = 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/data_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/big_expr.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) - 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))

# 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=False
)

m13 = M.standardlize.v8(
    input_1=m2.data,
    columns_input='label'
)

m3 = M.input_features.v1(
    features="""close_0
open_0
high_0
low_0 
amount_0
turn_0 
return_0

close_1
open_1
high_1
low_1
return_1
amount_1
turn_1
 
close_2
open_2
high_2
low_2
amount_2
turn_2
return_2
 
close_3
open_3
high_3
low_3
amount_3
turn_3
return_3
 
close_4
open_4
high_4
low_4
amount_4
turn_4
return_4
 
mean(close_0, 5)
mean(low_0, 5)
mean(open_0, 5)
mean(high_0, 5)
mean(turn_0, 5)
mean(amount_0, 5)
mean(return_0, 5)
 
ts_max(close_0, 5)
ts_max(low_0, 5)
ts_max(open_0, 5)
ts_max(high_0, 5)
ts_max(turn_0, 5)
ts_max(amount_0, 5)
ts_max(return_0, 5)
 
ts_min(close_0, 5)
ts_min(low_0, 5)
ts_min(open_0, 5)
ts_min(high_0, 5)
ts_min(turn_0, 5)
ts_min(amount_0, 5)
ts_min(return_0, 5) 
 
std(close_0, 5)
std(low_0, 5)
std(open_0, 5)
std(high_0, 5)
std(turn_0, 5)
std(amount_0, 5)
std(return_0, 5)
 
ts_rank(close_0, 5)
ts_rank(low_0, 5)
ts_rank(open_0, 5)
ts_rank(high_0, 5)
ts_rank(turn_0, 5)
ts_rank(amount_0, 5)
ts_rank(return_0, 5)
 
decay_linear(close_0, 5)
decay_linear(low_0, 5)
decay_linear(open_0, 5)
decay_linear(high_0, 5)
decay_linear(turn_0, 5)
decay_linear(amount_0, 5)
decay_linear(return_0, 5)
 
correlation(volume_0, return_0, 5)
correlation(volume_0, high_0, 5)
correlation(volume_0, low_0, 5)
correlation(volume_0, close_0, 5)
correlation(volume_0, open_0, 5)
correlation(volume_0, turn_0, 5)
  
correlation(return_0, high_0, 5)
correlation(return_0, low_0, 5)
correlation(return_0, close_0, 5)
correlation(return_0, open_0, 5)
correlation(return_0, turn_0, 5)
 
correlation(high_0, low_0, 5)
correlation(high_0, close_0, 5)
correlation(high_0, open_0, 5)
correlation(high_0, turn_0, 5)
 
correlation(low_0, close_0, 5)
correlation(low_0, open_0, 5)
correlation(low_0, turn_0, 5)
 
correlation(close_0, open_0, 5)
correlation(close_0, turn_0, 5)
correlation(open_0, turn_0, 5)"""
)

m15 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=10
)

m16 = M.derived_feature_extractor.v3(
    input_data=m15.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=True,
    remove_extra_columns=False
)

m14 = M.standardlize.v8(
    input_1=m16.data,
    input_2=m3.data,
    columns_input=''
)

m21 = M.fillnan.v1(
    input_data=m14.data,
    features=m3.data,
    fill_value='0.0'
)

m7 = M.join.v3(
    data1=m13.data,
    data2=m21.data,
    on='date,instrument',
    how='inner',
    sort=False
)

m26 = M.dl_convert_to_bin.v2(
    input_data=m7.data,
    features=m3.data,
    window_size=1,
    feature_clip=5,
    flatten=True,
    window_along_col='instrument'
)

m4 = M.cached.v3(
    input_1=m26.data,
    input_2=m3.data,
    run=m4_run_bigquant_run,
    post_run=m4_post_run_bigquant_run,
    input_ports='',
    params='{}',
    output_ports=''
)

m9 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2018-01-01'),
    end_date=T.live_run_param('trading_date', '2021-10-31'),
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m17 = M.general_feature_extractor.v7(
    instruments=m9.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=10
)

m18 = M.derived_feature_extractor.v3(
    input_data=m17.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=True,
    remove_extra_columns=False
)

m25 = M.standardlize.v8(
    input_1=m18.data,
    input_2=m3.data,
    columns_input=''
)

m22 = M.fillnan.v1(
    input_data=m25.data,
    features=m3.data,
    fill_value='0.0'
)

m27 = M.dl_convert_to_bin.v2(
    input_data=m22.data,
    features=m3.data,
    window_size=1,
    feature_clip=5,
    flatten=True,
    window_along_col='instrument'
)

m6 = M.dl_layer_input.v1(
    shape='98,1',
    batch_shape='',
    dtype='float32',
    sparse=False,
    name=''
)

m37 = M.dl_layer_batchnormalization.v1(
    inputs=m6.data,
    axis=-1,
    momentum=0.99,
    epsilon=0.001,
    center=True,
    scale=True,
    beta_initializer='Zeros',
    gamma_initializer='Ones',
    moving_mean_initializer='Zeros',
    moving_variance_initializer='Ones',
    beta_regularizer='None',
    beta_regularizer_l1=0,
    beta_regularizer_l2=0,
    gamma_regularizer='None',
    gamma_regularizer_l1=0,
    gamma_regularizer_l2=0,
    beta_constraint='None',
    gamma_constraint='None',
    name=''
)

m43 = M.dl_layer_conv1d.v1(
    inputs=m37.data,
    filters=64,
    kernel_size='3',
    strides='1',
    padding='same',
    dilation_rate=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m44 = M.dl_layer_conv1d.v1(
    inputs=m43.data,
    filters=64,
    kernel_size='3',
    strides='1',
    padding='same',
    dilation_rate=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m41 = M.dl_layer_maxpooling1d.v1(
    inputs=m44.data,
    pool_size=2,
    padding='valid',
    name=''
)

m45 = M.dl_layer_conv1d.v1(
    inputs=m41.data,
    filters=128,
    kernel_size='5',
    strides='1',
    padding='same',
    dilation_rate=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m47 = M.dl_layer_conv1d.v1(
    inputs=m45.data,
    filters=128,
    kernel_size='5',
    strides='1',
    padding='same',
    dilation_rate=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m48 = M.dl_layer_batchnormalization.v1(
    inputs=m47.data,
    axis=-1,
    momentum=0.99,
    epsilon=0.001,
    center=True,
    scale=True,
    beta_initializer='Zeros',
    gamma_initializer='Ones',
    moving_mean_initializer='Zeros',
    moving_variance_initializer='Ones',
    beta_regularizer='None',
    beta_regularizer_l1=0,
    beta_regularizer_l2=0,
    gamma_regularizer='None',
    gamma_regularizer_l1=0,
    gamma_regularizer_l2=0,
    beta_constraint='None',
    gamma_constraint='None',
    name=''
)

m50 = M.dl_layer_conv1d.v1(
    inputs=m48.data,
    filters=128,
    kernel_size='3',
    strides='1',
    padding='same',
    dilation_rate=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m51 = M.dl_layer_batchnormalization.v1(
    inputs=m50.data,
    axis=-1,
    momentum=0.99,
    epsilon=0.001,
    center=True,
    scale=True,
    beta_initializer='Zeros',
    gamma_initializer='Ones',
    moving_mean_initializer='Zeros',
    moving_variance_initializer='Ones',
    beta_regularizer='None',
    beta_regularizer_l1=0,
    beta_regularizer_l2=0,
    gamma_regularizer='None',
    gamma_regularizer_l1=0,
    gamma_regularizer_l2=0,
    beta_constraint='None',
    gamma_constraint='None',
    name=''
)

m53 = M.dl_layer_conv1d.v1(
    inputs=m51.data,
    filters=128,
    kernel_size='5',
    strides='1',
    padding='same',
    dilation_rate=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m46 = M.dl_layer_batchnormalization.v1(
    inputs=m53.data,
    axis=-1,
    momentum=0.99,
    epsilon=0.001,
    center=True,
    scale=True,
    beta_initializer='Zeros',
    gamma_initializer='Ones',
    moving_mean_initializer='Zeros',
    moving_variance_initializer='Ones',
    beta_regularizer='None',
    beta_regularizer_l1=0,
    beta_regularizer_l2=0,
    gamma_regularizer='None',
    gamma_regularizer_l1=0,
    gamma_regularizer_l2=0,
    beta_constraint='None',
    gamma_constraint='None',
    name=''
)

m49 = M.dl_layer_conv1d.v1(
    inputs=m46.data,
    filters=128,
    kernel_size='5',
    strides='1',
    padding='same',
    dilation_rate=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m62 = M.dl_layer_add.v1(
    input1=m49.data,
    input2=m47.data,
    name=''
)

m38 = M.dl_layer_globalmaxpooling1d.v1(
    inputs=m62.data,
    name=''
)

m61 = M.dl_layer_dropout.v1(
    inputs=m38.data,
    rate=0.1,
    noise_shape='',
    name=''
)

m57 = M.dl_layer_dense.v1(
    inputs=m61.data,
    units=1,
    activation='linear',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m34 = M.dl_model_init.v1(
    inputs=m6.data,
    outputs=m57.data
)

m35 = M.dl_model_train.v1(
    input_model=m34.data,
    training_data=m4.data_1,
    validation_data=m4.data_2,
    optimizer='Adam',
    user_optimizer=optimizers.Adam(lr=0.002),
    loss='mean_squared_error',
    metrics='mse',
    batch_size=1024,
    epochs=10000,
    earlystop=m35_earlystop_bigquant_run,
    custom_objects=m35_custom_objects_bigquant_run,
    n_gpus=1,
    verbose='2:每个epoch输出一行记录',
    m_cached=False
)

m11 = M.dl_model_predict.v1(
    trained_model=m35.data,
    input_data=m27.data,
    batch_size=1024,
    n_gpus=1,
    verbose='2:每个epoch输出一行记录'
)

m24 = M.cached.v3(
    input_1=m11.data,
    input_2=m18.data,
    run=m24_run_bigquant_run,
    post_run=m24_post_run_bigquant_run,
    input_ports='',
    params='{}',
    output_ports=''
)

m19 = M.trade.v4(
    instruments=m9.data,
    options_data=m24.data_1,
    start_date='',
    end_date='',
    initialize=m19_initialize_bigquant_run,
    handle_data=m19_handle_data_bigquant_run,
    prepare=m19_prepare_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='后复权',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark='000300.SHA'
)

[2021-11-30 12:38:51.625746] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-11-30 12:38:51.814865] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:51.819401] INFO: moduleinvoker: instruments.v2 运行完成[0.193657s].

[2021-11-30 12:38:51.831584] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2021-11-30 12:38:51.844412] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:51.847024] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.015447s].

[2021-11-30 12:38:51.855441] INFO: moduleinvoker: standardlize.v8 开始运行..

[2021-11-30 12:38:51.873216] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:51.875796] INFO: moduleinvoker: standardlize.v8 运行完成[0.02035s].

[2021-11-30 12:38:51.883304] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-11-30 12:38:51.895600] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:51.899561] INFO: moduleinvoker: input_features.v1 运行完成[0.01626s].

[2021-11-30 12:38:51.929778] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-11-30 12:38:51.941992] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:51.944688] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.014957s].

[2021-11-30 12:38:51.963233] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-11-30 12:38:51.982235] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:51.985242] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.02201s].

[2021-11-30 12:38:51.992874] INFO: moduleinvoker: standardlize.v8 开始运行..

[2021-11-30 12:38:52.007522] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.010445] INFO: moduleinvoker: standardlize.v8 运行完成[0.017568s].

[2021-11-30 12:38:52.025566] INFO: moduleinvoker: fillnan.v1 开始运行..

[2021-11-30 12:38:52.046671] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.049472] INFO: moduleinvoker: fillnan.v1 运行完成[0.023914s].

[2021-11-30 12:38:52.062058] INFO: moduleinvoker: join.v3 开始运行..

[2021-11-30 12:38:52.074946] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.078095] INFO: moduleinvoker: join.v3 运行完成[0.016031s].

[2021-11-30 12:38:52.118209] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2021-11-30 12:38:52.132486] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.135510] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[0.017332s].

[2021-11-30 12:38:52.159520] INFO: moduleinvoker: cached.v3 开始运行..

[2021-11-30 12:38:52.202798] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.205609] INFO: moduleinvoker: cached.v3 运行完成[0.046104s].

[2021-11-30 12:38:52.217567] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-11-30 12:38:52.225690] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.228127] INFO: moduleinvoker: instruments.v2 运行完成[0.010578s].

[2021-11-30 12:38:52.247956] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-11-30 12:38:52.268246] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.271463] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.023539s].

[2021-11-30 12:38:52.284894] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-11-30 12:38:52.306582] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.309152] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.024255s].

[2021-11-30 12:38:52.318505] INFO: moduleinvoker: standardlize.v8 开始运行..

[2021-11-30 12:38:52.339233] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.341957] INFO: moduleinvoker: standardlize.v8 运行完成[0.023417s].

[2021-11-30 12:38:52.354584] INFO: moduleinvoker: fillnan.v1 开始运行..

[2021-11-30 12:38:52.371197] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.374754] INFO: moduleinvoker: fillnan.v1 运行完成[0.020163s].

[2021-11-30 12:38:52.403158] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2021-11-30 12:38:52.415966] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:52.419280] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[0.016132s].

[2021-11-30 12:38:52.431618] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.002529s].

[2021-11-30 12:38:52.477436] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.030289s].

[2021-11-30 12:38:52.521521] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.02688s].

[2021-11-30 12:38:52.557974] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.025788s].

[2021-11-30 12:38:52.586359] INFO: moduleinvoker: dl_layer_maxpooling1d.v1 运行完成[0.017595s].

[2021-11-30 12:38:52.627422] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.027423s].

[2021-11-30 12:38:52.663834] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.025581s].

[2021-11-30 12:38:52.697983] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.025307s].

[2021-11-30 12:38:52.737200] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.023598s].

[2021-11-30 12:38:52.782556] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.035928s].

[2021-11-30 12:38:52.821884] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.027746s].

[2021-11-30 12:38:52.864324] INFO: moduleinvoker: dl_layer_batchnormalization.v1 运行完成[0.028222s].

[2021-11-30 12:38:52.894184] INFO: moduleinvoker: dl_layer_conv1d.v1 运行完成[0.021149s].

[2021-11-30 12:38:52.912320] INFO: moduleinvoker: dl_layer_add.v1 运行完成[0.009163s].

[2021-11-30 12:38:52.930991] INFO: moduleinvoker: dl_layer_globalmaxpooling1d.v1 运行完成[0.007989s].

[2021-11-30 12:38:52.949941] INFO: moduleinvoker: dl_layer_dropout.v1 运行完成[0.010881s].

[2021-11-30 12:38:52.972611] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.013629s].

[2021-11-30 12:38:53.072936] INFO: moduleinvoker: cached.v3 开始运行..

[2021-11-30 12:38:53.095832] INFO: moduleinvoker: 命中缓存

[2021-11-30 12:38:53.101512] INFO: moduleinvoker: cached.v3 运行完成[0.028601s].

[2021-11-30 12:38:53.104562] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.124745s].

[2021-11-30 12:38:53.110231] INFO: moduleinvoker: dl_model_train.v1 开始运行..

[2021-11-30 12:39:01.470474] INFO: dl_model_train: 准备训练，训练样本个数：3641276，迭代次数：10000

[2021-11-30 13:04:20.412637] INFO: dl_model_train: 训练结束，耗时：1518.94s

[2021-11-30 13:04:20.642077] INFO: moduleinvoker: dl_model_train.v1 运行完成[1527.531831s].

[2021-11-30 13:04:20.648364] INFO: moduleinvoker: dl_model_predict.v1 开始运行..

[2021-11-30 13:05:06.642309] INFO: moduleinvoker: dl_model_predict.v1 运行完成[45.993929s].

[2021-11-30 13:05:06.660093] INFO: moduleinvoker: cached.v3 开始运行..

[2021-11-30 13:06:08.700588] INFO: moduleinvoker: cached.v3 运行完成[62.040526s].

[2021-11-30 13:06:08.805935] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-11-30 13:06:08.817278] INFO: backtest: biglearning backtest:V8.6.0

[2021-11-30 13:06:08.818709] INFO: backtest: product_type:stock by specified

[2021-11-30 13:06:08.966769] INFO: moduleinvoker: cached.v2 开始运行..

[2021-11-30 13:06:08.981789] INFO: moduleinvoker: 命中缓存

[2021-11-30 13:06:08.984464] INFO: moduleinvoker: cached.v2 运行完成[0.017714s].

[2021-11-30 13:06:14.690071] INFO: algo: TradingAlgorithm V1.8.5

[2021-11-30 13:06:16.872181] INFO: algo: trading transform...

[2021-11-30 13:07:54.923959] INFO: Performance: Simulated 928 trading days out of 928.

[2021-11-30 13:07:54.926074] INFO: Performance: first open: 2018-01-02 09:30:00+00:00

[2021-11-30 13:07:54.928684] INFO: Performance: last close: 2021-10-29 15:00:00+00:00

[2021-11-30 13:08:15.685689] INFO: moduleinvoker: backtest.v8 运行完成[126.879733s].

[2021-11-30 13:08:15.693508] INFO: moduleinvoker: trade.v4 运行完成[126.985103s].

Epoch 1/10000
3556/3556 - 158s - loss: 1.0345 - mse: 1.0345 - val_loss: 0.9790 - val_mse: 0.9790
Epoch 2/10000
3556/3556 - 150s - loss: 0.9921 - mse: 0.9921 - val_loss: 0.9780 - val_mse: 0.9780
Epoch 3/10000
3556/3556 - 150s - loss: 0.9901 - mse: 0.9901 - val_loss: 0.9779 - val_mse: 0.9779
Epoch 4/10000
3556/3556 - 151s - loss: 0.9889 - mse: 0.9889 - val_loss: 0.9778 - val_mse: 0.9778
Epoch 5/10000
3556/3556 - 151s - loss: 0.9875 - mse: 0.9875 - val_loss: 0.9761 - val_mse: 0.9761
Epoch 6/10000
3556/3556 - 150s - loss: 0.9866 - mse: 0.9866 - val_loss: 0.9775 - val_mse: 0.9775
Epoch 7/10000
3556/3556 - 151s - loss: 0.9856 - mse: 0.9856 - val_loss: 0.9778 - val_mse: 0.9778
Epoch 8/10000
3556/3556 - 151s - loss: 0.9847 - mse: 0.9847 - val_loss: 0.9779 - val_mse: 0.9779
Epoch 9/10000
3556/3556 - 152s - loss: 0.9838 - mse: 0.9838 - val_loss: 0.9775 - val_mse: 0.9775
Epoch 10/10000
3556/3556 - 151s - loss: 0.9829 - mse: 0.9829 - val_loss: 0.9781 - val_mse: 0.9781

3419/3419 - 37s
DataSource(7a880d84a4ec40d3adaa512ad03fa013T)

收益率92.44%
年化收益率19.45%
基准收益率21.78%
阿尔法0.16
贝塔0.91
夏普比率0.65
胜率0.52
盈亏比1.04
收益波动率29.68%
信息比率0.04
最大回撤25.24%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-07c82f19b2124bcebef7ba46dabe1118"}/bigcharts-data-end

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