克隆策略

条件过滤——A股股票过滤模块¶

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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 ranker_prediction = context.ranker_prediction[\n context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]\n\n # 1. 资金分配\n # 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\n # 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）\n is_staging = context.trading_day_index < context.options['hold_days'] # 是否在建仓期间（前 hold_days 天）\n cash_avg = context.portfolio.portfolio_value / context.options['hold_days']\n cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)\n cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)\n positions = {e.symbol: p.amount * p.last_sale_price\n for e, p in context.perf_tracker.position_tracker.positions.items()}\n\n # 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\n if not is_staging and cash_for_sell > 0:\n equities = {e.symbol: e for e, p in context.perf_tracker.position_tracker.positions.items()}\n instruments = 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cash)\n","ValueType":"Literal","LinkedGlobalParameter":null},{"Name":"prepare","Value":"# 回测引擎：准备数据，只执行一次\ndef bigquant_run(context):\n pass\n","ValueType":"Literal","LinkedGlobalParameter":null},{"Name":"initialize","Value":"# 回测引擎：初始化函数，只执行一次\ndef bigquant_run(context):\n # 加载预测数据\n context.ranker_prediction = context.options['data'].read_df()\n\n # 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\n context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))\n # 预测数据，通过options传入进来，使用 read_df 函数，加载到内存 (DataFrame)\n # 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\n stock_count = 5\n # 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, ..]\n context.stock_weights = T.norm([1 / math.log(i + 2) for i in range(0, stock_count)])\n # 设置每只股票占用的最大资金比例\n context.max_cash_per_instrument = 0.2\n context.options['hold_days'] = 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In [1]:

# 本代码由可视化策略环境自动生成 2019年2月13日 19:01
# 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：每日数据处理函数，每天执行一次
def m4_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 m4_prepare_bigquant_run(context):
    pass

# 回测引擎：初始化函数，只执行一次
def m4_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.options['hold_days'] = 5


m1 = M.instruments.v2(
    start_date='2010-01-01',
    end_date='2015-01-01',
    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)

# 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
)

m3 = M.input_features.v1(
    features="""# #号开始的表示注释
# 多个特征，每行一个，可以包含基础特征和衍生特征
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
"""
)

m15 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=0
)

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

m7 = M.join.v3(
    data1=m2.data,
    data2=m16.data,
    on='date,instrument',
    how='inner',
    sort=False
)

m5 = M.chinaa_stock_filter.v1(
    input_data=m7.data,
    index_constituent_cond=['全部'],
    board_cond=['全部'],
    industry_cond=['全部'],
    st_cond=['正常'],
    output_left_data=False
)

m13 = M.dropnan.v1(
    input_data=m5.data
)

m6 = M.stock_ranker_train.v5(
    training_ds=m13.data,
    features=m3.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
)

m9 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2015-01-01'),
    end_date=T.live_run_param('trading_date', '2017-01-01'),
    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=0
)

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

m10 = M.chinaa_stock_filter.v1(
    input_data=m18.data,
    index_constituent_cond=['全部'],
    board_cond=['全部'],
    industry_cond=['全部'],
    st_cond=['正常'],
    output_left_data=False
)

m14 = M.dropnan.v1(
    input_data=m10.data
)

m8 = M.stock_ranker_predict.v5(
    model=m6.model,
    data=m14.data,
    m_lazy_run=False
)

m4 = M.trade.v4(
    instruments=m9.data,
    options_data=m8.predictions,
    start_date='',
    end_date='',
    handle_data=m4_handle_data_bigquant_run,
    prepare=m4_prepare_bigquant_run,
    initialize=m4_initialize_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=''
)

[2019-02-13 17:41:58.958668] INFO: bigquant: instruments.v2 开始运行..
[2019-02-13 17:41:58.970871] INFO: bigquant: 命中缓存
[2019-02-13 17:41:58.971825] INFO: bigquant: instruments.v2 运行完成[0.013261s].
[2019-02-13 17:41:58.975377] INFO: bigquant: advanced_auto_labeler.v2 开始运行..
[2019-02-13 17:41:58.978662] INFO: bigquant: 命中缓存
[2019-02-13 17:41:58.979468] INFO: bigquant: advanced_auto_labeler.v2 运行完成[0.004099s].
[2019-02-13 17:41:58.981835] INFO: bigquant: input_features.v1 开始运行..
[2019-02-13 17:41:58.985092] INFO: bigquant: 命中缓存
[2019-02-13 17:41:58.985943] INFO: bigquant: input_features.v1 运行完成[0.004109s].
[2019-02-13 17:41:59.002957] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-02-13 17:41:59.006603] INFO: bigquant: 命中缓存
[2019-02-13 17:41:59.007629] INFO: bigquant: general_feature_extractor.v7 运行完成[0.004681s].
[2019-02-13 17:41:59.011533] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-02-13 17:41:59.015043] INFO: bigquant: 命中缓存
[2019-02-13 17:41:59.015811] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.00428s].
[2019-02-13 17:41:59.024645] INFO: bigquant: join.v3 开始运行..
[2019-02-13 17:41:59.028242] INFO: bigquant: 命中缓存
[2019-02-13 17:41:59.028925] INFO: bigquant: join.v3 运行完成[0.004296s].
[2019-02-13 17:41:59.034628] INFO: bigquant: chinaa_stock_filter.v1 开始运行..
[2019-02-13 17:42:01.769434] INFO: A股股票过滤: 过滤 /y_2010, 401478/0/431028
[2019-02-13 17:42:06.622962] INFO: A股股票过滤: 过滤 /y_2011, 481982/0/510922
[2019-02-13 17:42:09.372966] INFO: A股股票过滤: 过滤 /y_2012, 540654/0/564582
[2019-02-13 17:42:13.255228] INFO: A股股票过滤: 过滤 /y_2013, 550031/0/563132
[2019-02-13 17:42:16.455889] INFO: A股股票过滤: 过滤 /y_2014, 546785/0/555191
[2019-02-13 17:42:16.460456] INFO: A股股票过滤: 过滤完成, 2520930 + 0
[2019-02-13 17:42:16.483595] INFO: bigquant: chinaa_stock_filter.v1 运行完成[17.448915s].
[2019-02-13 17:42:16.487127] INFO: bigquant: dropnan.v1 开始运行..
[2019-02-13 17:42:17.281676] INFO: dropnan: /y_2010, 394189/401478
[2019-02-13 17:42:18.144558] INFO: dropnan: /y_2011, 475786/481982
[2019-02-13 17:42:19.008335] INFO: dropnan: /y_2012, 537181/540654
[2019-02-13 17:42:19.945363] INFO: dropnan: /y_2013, 550001/550031
[2019-02-13 17:42:20.811175] INFO: dropnan: /y_2014, 545002/546785
[2019-02-13 17:42:20.872622] INFO: dropnan: 行数: 2502159/2520930
[2019-02-13 17:42:20.915692] INFO: bigquant: dropnan.v1 运行完成[4.428536s].
[2019-02-13 17:42:20.919990] INFO: bigquant: stock_ranker_train.v5 开始运行..
[2019-02-13 17:42:23.666704] INFO: StockRanker: 特征预处理 ..
[2019-02-13 17:42:27.383368] INFO: StockRanker: prepare data: training ..
[2019-02-13 17:42:33.208663] INFO: StockRanker: sort ..
[2019-02-13 17:43:04.411215] INFO: StockRanker训练: a8ae2744 准备训练: 2502159 行数
[2019-02-13 17:43:04.511810] INFO: StockRanker训练: 正在训练 ..
[2019-02-13 17:48:20.918650] INFO: bigquant: stock_ranker_train.v5 运行完成[359.998624s].
[2019-02-13 17:48:20.921676] INFO: bigquant: instruments.v2 开始运行..
[2019-02-13 17:48:20.925870] INFO: bigquant: 命中缓存
[2019-02-13 17:48:20.926886] INFO: bigquant: instruments.v2 运行完成[0.005224s].
[2019-02-13 17:48:20.934574] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-02-13 17:48:20.938569] INFO: bigquant: 命中缓存
[2019-02-13 17:48:20.939453] INFO: bigquant: general_feature_extractor.v7 运行完成[0.004887s].
[2019-02-13 17:48:20.942114] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-02-13 17:48:20.946167] INFO: bigquant: 命中缓存
[2019-02-13 17:48:20.947110] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.005003s].
[2019-02-13 17:48:20.949578] INFO: bigquant: chinaa_stock_filter.v1 开始运行..
[2019-02-13 17:48:23.289761] INFO: A股股票过滤: 过滤 /y_2015, 561179/0/569698
[2019-02-13 17:48:26.008347] INFO: A股股票过滤: 过滤 /y_2016, 630635/0/641546
[2019-02-13 17:48:26.011559] INFO: A股股票过滤: 过滤完成, 1191814 + 0
[2019-02-13 17:48:26.039052] INFO: bigquant: chinaa_stock_filter.v1 运行完成[5.089409s].
[2019-02-13 17:48:26.042319] INFO: bigquant: dropnan.v1 开始运行..
[2019-02-13 17:48:26.877822] INFO: dropnan: /y_2015, 556627/561179
[2019-02-13 17:48:27.955421] INFO: dropnan: /y_2016, 626001/630635
[2019-02-13 17:48:27.983130] INFO: dropnan: 行数: 1182628/1191814
[2019-02-13 17:48:28.027157] INFO: bigquant: dropnan.v1 运行完成[1.984833s].
[2019-02-13 17:48:28.031139] INFO: bigquant: stock_ranker_predict.v5 开始运行..
[2019-02-13 17:48:28.938410] INFO: StockRanker: prepare data: prediction ..
[2019-02-13 17:48:45.699360] INFO: stock_ranker_predict: 准备预测: 1182628 行
[2019-02-13 17:48:45.700436] INFO: stock_ranker_predict: 正在预测 ..
[2019-02-13 17:49:16.521936] INFO: bigquant: stock_ranker_predict.v5 运行完成[48.490769s].
[2019-02-13 17:49:16.559429] INFO: bigquant: backtest.v8 开始运行..
[2019-02-13 17:49:16.561383] INFO: bigquant: biglearning backtest:V8.1.8
[2019-02-13 17:49:16.562166] INFO: bigquant: product_type:stock by specified
[2019-02-13 17:49:28.752269] INFO: bigquant: 读取股票行情完成:1990277
[2019-02-13 17:49:50.061700] INFO: algo: TradingAlgorithm V1.4.6
[2019-02-13 17:49:59.878532] INFO: algo: trading transform...
[2019-02-13 17:50:11.838496] INFO: Performance: Simulated 488 trading days out of 488.
[2019-02-13 17:50:11.839934] INFO: Performance: first open: 2015-01-05 09:30:00+00:00
[2019-02-13 17:50:11.842312] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

收益率215.09%
年化收益率80.88%
基准收益率-6.33%
阿尔法0.68
贝塔1.02
夏普比率1.47
胜率0.61
盈亏比0.88
收益波动率45.43%
信息比率0.14
最大回撤47.07%

[2019-02-13 17:50:15.078083] INFO: bigquant: backtest.v8 运行完成[58.518619s].