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# 本代码由可视化策略环境自动生成 2022年12月17日 13:08
# 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 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=0.0013, 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 = 3
    # 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 = 0.33
    context.options['hold_days'] = 1

# 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.portfolio.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.portfolio.positions.items()}
        instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
                lambda x: x in equities)])))

        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='2021-07-01',
    end_date='2022-06-30',
    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/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.HIX',
    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
(close_0-ts_min(low_0, 120))/(ts_max(high_0, 120)-ts_min(low_0, 120))
close_0/ta_ma(close_0, 5)
close_0/ta_ma(close_0, 10)
arctan(close_0-close_5)
arctan(close_0-close_10)
rank_amount_0/rank(sum(amount_0, 3))
rank_amount_0/rank(sum(amount_0, 10))
mean(volume_0, 3)/mean(volume_0, 60)
rank_turn_0-rank(sum(turn_0, 3))
rank_turn_0-rank(sum(turn_0, 10))
zt_20=sum(price_limit_status_0==3, 20)
zt_60=sum(price_limit_status_0==3, 60)
zt_120=sum(price_limit_status_0==3, 120)
zt_250=sum(price_limit_status_0==3, 250)
return_3/return_10
(return_3/return_10)/shift(return_3/return_10, 1)
close_0/ts_min(close_0, 120)
close_0/ts_max(close_0, 120)
close_0/ts_min(close_0, 250)
close_0/ts_max(close_0, 250)
#行业情况
group_mean(industry_sw_level2_0, return_0)
#大盘情况
isZT=where(price_limit_status_0==3, 1, 0)
zt_num=group_sum(industry_sw_level2_0, isZT)
isDT=where(price_limit_status_0==1, 1, 0)
isSZ=where(return_0>1, 1, 0)
isXD=where(return_0<1, 1, 0)
zt_num=group_sum(industry_sw_level2_0, isZT)
dt_num=group_sum(industry_sw_level2_0, isDT)
sz_num=group_sum(industry_sw_level2_0, isSZ)
xd_num=group_sum(industry_sw_level2_0, isXD)"""
)

m15 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=90
)

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
)

m10 = M.chinaa_stock_filter.v1(
    input_data=m7.data,
    index_constituent_cond=['全部'],
    board_cond=['全部', '上证主板', '深证主板', '创业板'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

m13 = M.dropnan.v1(
    input_data=m10.data
)

m6 = M.stock_ranker_train.v6(
    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,
    data_row_fraction=1,
    plot_charts=True,
    ndcg_discount_base=1,
    m_lazy_run=False
)

m9 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2022-07-01'),
    end_date=T.live_run_param('trading_date', '2022-11-24'),
    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=90
)

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
)

m4 = M.chinaa_stock_filter.v1(
    input_data=m18.data,
    index_constituent_cond=['全部'],
    board_cond=['上证主板', '深证主板', '创业板'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

m14 = M.dropnan.v1(
    input_data=m4.data
)

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

m19 = M.trade.v4(
    instruments=m9.data,
    options_data=m8.predictions,
    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=100000,
    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='000300.HIX'
)

[2022-12-17 13:07:03.228889] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-12-17 13:07:03.236655] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.238275] INFO: moduleinvoker: instruments.v2 运行完成[0.00939s].

[2022-12-17 13:07:03.246869] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-12-17 13:07:03.260562] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.262346] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.015492s].

[2022-12-17 13:07:03.266765] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-12-17 13:07:03.274074] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.275846] INFO: moduleinvoker: input_features.v1 运行完成[0.009072s].

[2022-12-17 13:07:03.291054] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-12-17 13:07:03.304368] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.306320] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.015284s].

[2022-12-17 13:07:03.315483] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-12-17 13:07:03.321494] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.323043] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.00756s].

[2022-12-17 13:07:03.330371] INFO: moduleinvoker: join.v3 开始运行..

[2022-12-17 13:07:03.336903] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.338300] INFO: moduleinvoker: join.v3 运行完成[0.007926s].

[2022-12-17 13:07:03.359786] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..

[2022-12-17 13:07:03.369204] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.371049] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[0.011272s].

[2022-12-17 13:07:03.379145] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-12-17 13:07:03.384996] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.386663] INFO: moduleinvoker: dropnan.v1 运行完成[0.007524s].

[2022-12-17 13:07:03.394161] INFO: moduleinvoker: stock_ranker_train.v6 开始运行..

[2022-12-17 13:07:03.401702] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.528849] INFO: moduleinvoker: stock_ranker_train.v6 运行完成[0.134671s].

[2022-12-17 13:07:03.534323] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-12-17 13:07:03.542161] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.543559] INFO: moduleinvoker: instruments.v2 运行完成[0.009242s].

[2022-12-17 13:07:03.556570] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-12-17 13:07:03.561891] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.563393] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.006826s].

[2022-12-17 13:07:03.570653] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-12-17 13:07:03.590814] INFO: moduleinvoker: 命中缓存

[2022-12-17 13:07:03.592541] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.021888s].

[2022-12-17 13:07:03.601218] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..

[2022-12-17 13:07:09.365458] INFO: A股股票过滤: 过滤 /y_2022, 652668/0/761195

[2022-12-17 13:07:09.370020] INFO: A股股票过滤: 过滤完成, 652668 + 0

[2022-12-17 13:07:09.393312] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[5.792074s].

[2022-12-17 13:07:09.404555] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-12-17 13:07:11.280467] INFO: dropnan: /y_2022, 0/652668

[2022-12-17 13:07:11.306460] ERROR: moduleinvoker: module name: dropnan, module version: v1, trackeback: Exception: no data left after dropnan

设置评估测试数据集，查看训练曲线
[视频教程]StockRanker训练曲线

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-04c881fe681d45a9a136009e0edececf"}/bigcharts-data-end

---------------------------------------------------------------------------
Exception                                 Traceback (most recent call last)
<ipython-input-27-f24bf2567114> in <module>
    226 )
    227 
--> 228 m14 = M.dropnan.v1(
    229     input_data=m4.data
    230 )

Exception: no data left after dropnan