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# 本代码由可视化策略环境自动生成 2022年6月27日 11:32
# 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 m6_run_bigquant_run(input_1, input_2, input_3):
    df = input_1.read()
    
    # 数据格式统一：float
    col_names = list(df.columns)
    col_names.remove('instrument')
    col_names.remove('date')
    df.loc[:,col_names] = df.loc[:,col_names].astype(float)
    
    # 处理数据：inf_
    import numpy as np
    df.loc[:,col_names] = df.loc[:,col_names].where(~np.isinf(df.loc[:,col_names].values),other=np.nan)
    data_1 = DataSource.write_df(df)
    return Outputs(data_1=data_1, 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 m6_post_run_bigquant_run(outputs):
    return outputs

# 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 m8_run_bigquant_run(input_1, input_2, input_3):
    df = input_1.read()
    
    # 数据格式统一：float
    col_names = list(df.columns)
    if ('instrument' in col_names):
        col_names.remove('instrument')
    if ('date' in col_names):
        col_names.remove('date')
    df.loc[:,col_names] = df.loc[:,col_names].astype(float)
    
    # 处理数据：inf_
    import numpy as np
    df.loc[:,col_names] = df.loc[:,col_names].where(~np.isinf(df.loc[:,col_names].values),other=np.nan)
    data_1 = DataSource.write_df(df)
    return Outputs(data_1=data_1, 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 m8_post_run_bigquant_run(outputs):
    return outputs

# 回测引擎：初始化函数，只执行一次
def m12_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 = 10
    # 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

# 回测引擎：每日数据处理函数，每天执行一次
def m12_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')]
    
    ranker_prediction = ranker_prediction.sort_values('prediction',ascending=False)
    
    # 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 m12_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 m12_before_trading_start_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2018-01-01',
    end_date='2020-12-31',
    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/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=False
)

m4 = M.standardlize.v9(
    input_1=m2.data,
    standard_func='ZScoreNorm',
    columns_input='label'
)

m3 = M.input_features.v1(
    features="""high_0
turn_0
turn_1
turn_3
rank_return_0
rank_return_5
rank_return_10
rank_return_30
rank_return_0/rank_return_5
rank_avg_amount_0/rank_avg_amount_5
avg_amount_5/avg_amount_10
(close_0-open_0)/close_1
return_5/return_20
return_1
return_0
return_3
return_10

rank(std(amount_0,15))
std(amount_0,15)

ta_bbands_lowerband_28_0
return_20
decay_linear(return_0,5)

ta_sma_10_0/ta_sma_30_0

(low_1-close_0)/close_0

mean(mf_net_pct_s_0,4)

ts_max(high_0,5)
ts_max(open_0,5)
ts_max(low_0,5)
ts_min(turn_0,5)
ts_min(return_0,5)
ts_min(amount_0,5)
ts_argmin(low_0,20)
ts_rank(low_0,5)
mf_net_pct_s_0
sqrt(high_0*low_0)-amount_0/volume_0*adjust_factor_0
correlation(low_0,turn_0,5)
(close_0-mean(close_0,12))/mean(close_0,12)*100
pe_ttm_0

#43: 5天的收益率/20天的收益率
#avg_turn_10
#46：平均10天的换手率
#pb_lf_0
#49:市净率
#fs_cash_ratio_0
#52:现金流量

#ta_sar_0
# 58：SAR抛物线指标
#swing_volatility_10_0/swing_volatility_30_0
#59:   10天的波动率/60天的波动率
#ta_cci_14_0
#60：CCI -14天的指标
#rank_return_3
#61:   3天收益率的 排名
#ta_bbands_middleband_28_0
#69：布林带28天均线
#rank_amount_5
#45：最近5日的成交额排名
#pe_ttm_0
#rank(std(amount_0,15))
#(close_0-mean(close_0,12))/mean(close_0,12)*100
#(low_1-close_0)/close_0
#(close_0-open_0)/close_1
#ta_sma_10_0/close_0
#ta_sma_10_0/ta_sma_30_0
#56:   10天的sma线/30天的sma线

#ts_argmin(low_0,20)
#ta_bbands_lowerband_14_0
#ta_bbands_lowerband_28_0
#mean(mf_net_pct_s_0,4)
#mf_net_pct_s_0
#sqrt(high_0*low_0)-amount_0/volume_0*adjust_factor_0
#avg_turn_15/(turn_0+1e-5)

"""
)

m15 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=180
)

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=m4.data,
    data2=m16.data,
    on='date,instrument',
    how='inner',
    sort=True
)

m11 = M.chinaa_stock_filter.v1(
    input_data=m7.data,
    index_constituent_cond=['全部'],
    board_cond=['上证主板', '深证主板'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

m6 = M.cached.v3(
    input_1=m11.data,
    run=m6_run_bigquant_run,
    post_run=m6_post_run_bigquant_run,
    input_ports='',
    params='{}',
    output_ports=''
)

m13 = M.dropnan.v1(
    input_data=m6.data_1
)

m9 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2020-01-01'),
    end_date=T.live_run_param('trading_date', '2022-6-25'),
    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=180
)

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
)

m5 = M.advanced_auto_labeler.v2(
    instruments=m9.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=False
)

m19 = M.standardlize.v9(
    input_1=m5.data,
    standard_func='ZScoreNorm',
    columns_input='label'
)

m20 = M.join.v3(
    data1=m19.data,
    data2=m18.data,
    on='date,instrument',
    how='inner',
    sort=True
)

m21 = M.chinaa_stock_filter.v1(
    input_data=m20.data,
    index_constituent_cond=['全部'],
    board_cond=['上证主板', '深证主板'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

m8 = M.cached.v3(
    input_1=m21.data,
    run=m8_run_bigquant_run,
    post_run=m8_post_run_bigquant_run,
    input_ports='',
    params='{}',
    output_ports=''
)

m14 = M.dropnan.v1(
    input_data=m8.data_1
)

m10 = M.xgboost.v1(
    training_ds=m13.data,
    features=m3.data,
    predict_ds=m14.data,
    num_boost_round=50,
    objective='排序(pairwise)',
    booster='gbtree',
    max_depth=6,
    key_cols='date,instrument',
    group_col='date',
    nthread=4,
    n_gpus=-1,
    other_train_parameters={
    'tree_method':'hist',
    'learning_rat':'0.01',
    'subsample':'0.7',
}
)

m12 = M.trade.v4(
    instruments=m9.data,
    options_data=m10.predictions,
    start_date='',
    end_date='',
    initialize=m12_initialize_bigquant_run,
    handle_data=m12_handle_data_bigquant_run,
    prepare=m12_prepare_bigquant_run,
    before_trading_start=m12_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='000300.HIX'
)

[2022-06-27 11:05:28.825471] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-06-27 11:05:28.995171] INFO: moduleinvoker: 命中缓存

[2022-06-27 11:05:28.999484] INFO: moduleinvoker: instruments.v2 运行完成[0.17401s].

[2022-06-27 11:05:29.019530] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-06-27 11:05:29.026902] INFO: moduleinvoker: 命中缓存

[2022-06-27 11:05:29.030456] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.010939s].

[2022-06-27 11:05:29.038234] INFO: moduleinvoker: standardlize.v9 开始运行..

[2022-06-27 11:05:29.044578] INFO: moduleinvoker: 命中缓存

[2022-06-27 11:05:29.046550] INFO: moduleinvoker: standardlize.v9 运行完成[0.008307s].

[2022-06-27 11:05:29.050866] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-06-27 11:05:29.056198] INFO: moduleinvoker: 命中缓存

[2022-06-27 11:05:29.057744] INFO: moduleinvoker: input_features.v1 运行完成[0.006878s].

[2022-06-27 11:05:29.075871] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-06-27 11:05:29.081702] INFO: moduleinvoker: 命中缓存

[2022-06-27 11:05:29.085385] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.009506s].

[2022-06-27 11:05:29.108667] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-06-27 11:05:43.702609] INFO: derived_feature_extractor: 提取完成 rank_return_0/rank_return_5, 0.012s

[2022-06-27 11:05:43.713259] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_0/rank_avg_amount_5, 0.008s

[2022-06-27 11:05:43.728904] INFO: derived_feature_extractor: 提取完成 avg_amount_5/avg_amount_10, 0.012s

[2022-06-27 11:05:43.750213] INFO: derived_feature_extractor: 提取完成 (close_0-open_0)/close_1, 0.018s

[2022-06-27 11:05:43.756884] INFO: derived_feature_extractor: 提取完成 return_5/return_20, 0.004s

[2022-06-27 11:05:48.371388] INFO: derived_feature_extractor: 提取完成 rank(std(amount_0,15)), 4.613s

[2022-06-27 11:05:52.946719] INFO: derived_feature_extractor: 提取完成 std(amount_0,15), 4.574s

[2022-06-27 11:06:01.302651] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0,5), 8.354s

[2022-06-27 11:06:01.319596] INFO: derived_feature_extractor: 提取完成 ta_sma_10_0/ta_sma_30_0, 0.014s

[2022-06-27 11:06:01.335944] INFO: derived_feature_extractor: 提取完成 (low_1-close_0)/close_0, 0.009s

[2022-06-27 11:06:03.892640] INFO: derived_feature_extractor: 提取完成 mean(mf_net_pct_s_0,4), 2.552s

[2022-06-27 11:06:06.516204] INFO: derived_feature_extractor: 提取完成 ts_max(high_0,5), 2.621s

[2022-06-27 11:06:09.100813] INFO: derived_feature_extractor: 提取完成 ts_max(open_0,5), 2.582s

[2022-06-27 11:06:11.585377] INFO: derived_feature_extractor: 提取完成 ts_max(low_0,5), 2.481s

[2022-06-27 11:06:14.161250] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0,5), 2.572s

[2022-06-27 11:06:17.276820] INFO: derived_feature_extractor: 提取完成 ts_min(return_0,5), 3.114s

[2022-06-27 11:06:19.798004] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0,5), 2.519s

[2022-06-27 11:06:33.524584] INFO: derived_feature_extractor: 提取完成 ts_argmin(low_0,20), 13.724s

[2022-06-27 11:06:46.235685] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0,5), 12.709s

[2022-06-27 11:06:46.267043] INFO: derived_feature_extractor: 提取完成 sqrt(high_0*low_0)-amount_0/volume_0*adjust_factor_0, 0.029s

[2022-06-27 11:07:25.202922] INFO: derived_feature_extractor: 提取完成 correlation(low_0,turn_0,5), 38.934s

[2022-06-27 11:07:30.370804] INFO: derived_feature_extractor: 提取完成 (close_0-mean(close_0,12))/mean(close_0,12)*100, 5.165s

[2022-06-27 11:07:32.866927] INFO: derived_feature_extractor: /y_2017, 387943

[2022-06-27 11:07:36.712556] INFO: derived_feature_extractor: /y_2018, 816987

[2022-06-27 11:07:41.717437] INFO: derived_feature_extractor: /y_2019, 884867

[2022-06-27 11:07:48.068672] INFO: derived_feature_extractor: /y_2020, 945961

[2022-06-27 11:07:51.488546] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[142.379856s].

[2022-06-27 11:07:51.500525] INFO: moduleinvoker: join.v3 开始运行..

[2022-06-27 11:08:01.567193] INFO: join: /y_2017, 行数=0/387943, 耗时=3.36235s

[2022-06-27 11:08:15.544532] INFO: join: /y_2018, 行数=813508/816987, 耗时=13.973041s

[2022-06-27 11:08:27.114334] INFO: join: /y_2019, 行数=881288/884867, 耗时=11.560343s

[2022-06-27 11:08:40.064397] INFO: join: /y_2020, 行数=919362/945961, 耗时=12.936319s

[2022-06-27 11:08:40.345597] INFO: join: 最终行数: 2614158

[2022-06-27 11:08:40.379906] INFO: moduleinvoker: join.v3 运行完成[48.879358s].

[2022-06-27 11:08:40.403557] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..

[2022-06-27 11:08:48.938093] INFO: A股股票过滤: 过滤 /y_2018, 628696/0/813508

[2022-06-27 11:08:58.512562] INFO: A股股票过滤: 过滤 /y_2019, 665750/0/881288

[2022-06-27 11:09:08.027397] INFO: A股股票过滤: 过滤 /y_2020, 652182/0/919362

[2022-06-27 11:09:08.035458] INFO: A股股票过滤: 过滤完成, 1946628 + 0

[2022-06-27 11:09:08.064280] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[27.660747s].

[2022-06-27 11:09:08.085480] INFO: moduleinvoker: cached.v3 开始运行..

[2022-06-27 11:09:37.177837] INFO: moduleinvoker: cached.v3 运行完成[29.092377s].

[2022-06-27 11:09:37.192870] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-06-27 11:09:52.069016] INFO: dropnan: /data, 1937300/1946628

[2022-06-27 11:09:52.192231] INFO: dropnan: 行数: 1937300/1946628

[2022-06-27 11:09:52.217569] INFO: moduleinvoker: dropnan.v1 运行完成[15.024705s].

[2022-06-27 11:09:52.227820] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-06-27 11:09:52.307014] INFO: moduleinvoker: instruments.v2 运行完成[0.079201s].

[2022-06-27 11:09:52.332165] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-06-27 11:10:01.110858] INFO: 基础特征抽取: 年份 2019, 特征行数=447927

[2022-06-27 11:10:12.011619] INFO: 基础特征抽取: 年份 2020, 特征行数=945961

[2022-06-27 11:10:24.639960] INFO: 基础特征抽取: 年份 2021, 特征行数=1061527

[2022-06-27 11:10:30.939551] INFO: 基础特征抽取: 年份 2022, 特征行数=535969

[2022-06-27 11:10:31.145309] INFO: 基础特征抽取: 总行数: 2991384

[2022-06-27 11:10:31.152249] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[38.820135s].

[2022-06-27 11:10:31.159459] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2022-06-27 11:10:41.476008] INFO: derived_feature_extractor: 提取完成 rank_return_0/rank_return_5, 0.005s

[2022-06-27 11:10:41.483111] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_0/rank_avg_amount_5, 0.005s

[2022-06-27 11:10:41.498292] INFO: derived_feature_extractor: 提取完成 avg_amount_5/avg_amount_10, 0.012s

[2022-06-27 11:10:41.509787] INFO: derived_feature_extractor: 提取完成 (close_0-open_0)/close_1, 0.008s

[2022-06-27 11:10:41.520605] INFO: derived_feature_extractor: 提取完成 return_5/return_20, 0.008s

[2022-06-27 11:10:45.858132] INFO: derived_feature_extractor: 提取完成 rank(std(amount_0,15)), 4.334s

[2022-06-27 11:10:48.610829] INFO: derived_feature_extractor: 提取完成 std(amount_0,15), 2.750s

[2022-06-27 11:10:56.715239] INFO: derived_feature_extractor: 提取完成 decay_linear(return_0,5), 8.100s

[2022-06-27 11:10:56.726512] INFO: derived_feature_extractor: 提取完成 ta_sma_10_0/ta_sma_30_0, 0.009s

[2022-06-27 11:10:56.736992] INFO: derived_feature_extractor: 提取完成 (low_1-close_0)/close_0, 0.008s

[2022-06-27 11:10:59.203349] INFO: derived_feature_extractor: 提取完成 mean(mf_net_pct_s_0,4), 2.464s

[2022-06-27 11:11:01.757993] INFO: derived_feature_extractor: 提取完成 ts_max(high_0,5), 2.552s

[2022-06-27 11:11:04.466654] INFO: derived_feature_extractor: 提取完成 ts_max(open_0,5), 2.707s

[2022-06-27 11:11:06.959882] INFO: derived_feature_extractor: 提取完成 ts_max(low_0,5), 2.491s

[2022-06-27 11:11:09.517219] INFO: derived_feature_extractor: 提取完成 ts_min(turn_0,5), 2.556s

[2022-06-27 11:11:12.044888] INFO: derived_feature_extractor: 提取完成 ts_min(return_0,5), 2.525s

[2022-06-27 11:11:14.671723] INFO: derived_feature_extractor: 提取完成 ts_min(amount_0,5), 2.625s

[2022-06-27 11:11:27.819548] INFO: derived_feature_extractor: 提取完成 ts_argmin(low_0,20), 13.146s

[2022-06-27 11:11:40.219646] INFO: derived_feature_extractor: 提取完成 ts_rank(low_0,5), 12.397s

[2022-06-27 11:11:40.251578] INFO: derived_feature_extractor: 提取完成 sqrt(high_0*low_0)-amount_0/volume_0*adjust_factor_0, 0.029s

[2022-06-27 11:12:24.759947] INFO: derived_feature_extractor: 提取完成 correlation(low_0,turn_0,5), 44.506s

[2022-06-27 11:12:29.573797] INFO: derived_feature_extractor: 提取完成 (close_0-mean(close_0,12))/mean(close_0,12)*100, 4.812s

[2022-06-27 11:12:32.240276] INFO: derived_feature_extractor: /y_2019, 447927

[2022-06-27 11:12:36.408900] INFO: derived_feature_extractor: /y_2020, 945961

[2022-06-27 11:12:42.844795] INFO: derived_feature_extractor: /y_2021, 1061527

[2022-06-27 11:12:47.910295] INFO: derived_feature_extractor: /y_2022, 535969

[2022-06-27 11:12:50.008417] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[138.848934s].

[2022-06-27 11:12:50.023360] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2022-06-27 11:12:52.229719] INFO: 自动标注(股票): 加载历史数据: 2543456 行

[2022-06-27 11:12:52.231448] INFO: 自动标注(股票): 开始标注 ..

[2022-06-27 11:12:55.354243] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[5.330871s].

[2022-06-27 11:12:55.375163] INFO: moduleinvoker: standardlize.v9 开始运行..

[2022-06-27 11:13:20.953389] INFO: moduleinvoker: standardlize.v9 运行完成[25.578229s].

[2022-06-27 11:13:20.962096] INFO: moduleinvoker: join.v3 开始运行..

[2022-06-27 11:13:30.449223] INFO: join: /y_2019, 行数=0/447927, 耗时=3.388954s

[2022-06-27 11:13:42.524246] INFO: join: /y_2020, 行数=939924/945961, 耗时=12.071599s

[2022-06-27 11:13:56.487383] INFO: join: /y_2021, 行数=1058571/1061527, 耗时=13.954377s

[2022-06-27 11:14:04.951913] INFO: join: /y_2022, 行数=510193/535969, 耗时=8.450099s

[2022-06-27 11:14:05.355825] INFO: join: 最终行数: 2508688

[2022-06-27 11:14:05.377352] INFO: moduleinvoker: join.v3 运行完成[44.415251s].

[2022-06-27 11:14:05.389163] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..

[2022-06-27 11:14:15.959226] INFO: A股股票过滤: 过滤 /y_2020, 666223/0/939924

[2022-06-27 11:14:28.279005] INFO: A股股票过滤: 过滤 /y_2021, 704542/0/1058571

[2022-06-27 11:14:32.987424] INFO: A股股票过滤: 过滤 /y_2022, 321307/0/510193

[2022-06-27 11:14:32.996207] INFO: A股股票过滤: 过滤完成, 1692072 + 0

[2022-06-27 11:14:33.028589] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[27.639475s].

[2022-06-27 11:14:33.042293] INFO: moduleinvoker: cached.v3 开始运行..

[2022-06-27 11:14:50.605918] INFO: moduleinvoker: cached.v3 运行完成[17.563596s].

[2022-06-27 11:14:50.620201] INFO: moduleinvoker: dropnan.v1 开始运行..

[2022-06-27 11:15:01.277602] INFO: dropnan: /data, 1682959/1692072

[2022-06-27 11:15:01.348859] INFO: dropnan: 行数: 1682959/1692072

[2022-06-27 11:15:01.370284] INFO: moduleinvoker: dropnan.v1 运行完成[10.750082s].

[2022-06-27 11:15:01.419689] INFO: moduleinvoker: xgboost.v1 开始运行..

[2022-06-27 11:15:58.005803] INFO: moduleinvoker: xgboost.v1 运行完成[56.586168s].

[2022-06-27 11:15:58.086974] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-06-27 11:15:58.093567] INFO: backtest: biglearning backtest:V8.6.2

[2022-06-27 11:15:58.095417] INFO: backtest: product_type:stock by specified

[2022-06-27 11:15:58.227330] INFO: moduleinvoker: cached.v2 开始运行..

[2022-06-27 11:15:58.237860] INFO: moduleinvoker: 命中缓存

[2022-06-27 11:15:58.239435] INFO: moduleinvoker: cached.v2 运行完成[0.012131s].

[2022-06-27 11:16:02.179442] INFO: algo: TradingAlgorithm V1.8.8

[2022-06-27 11:16:03.736555] INFO: algo: trading transform...

[2022-06-27 11:16:09.062117] INFO: algo: handle_splits get splits [dt:2020-05-08 00:00:00+00:00] [asset:Equity(3934 [002410.SZA]), ratio:0.998119592666626]

[2022-06-27 11:16:09.064798] INFO: Position: position stock handle split[sid:3934, orig_amount:300, new_amount:300.0, orig_cost:52.0000000037728, new_cost:51.9022, ratio:0.998119592666626, last_sale_price:53.08000183105469]

[2022-06-27 11:16:09.066632] INFO: Position: after split: PositionStock(asset:Equity(3934 [002410.SZA]), amount:300.0, cost_basis:51.9022, last_sale_price:53.18000030517578)

[2022-06-27 11:16:09.068237] INFO: Position: returning cash: 30.0

[2022-06-27 11:16:09.578957] INFO: algo: handle_splits get splits [dt:2020-05-22 00:00:00+00:00] [asset:Equity(2537 [603899.SHA]), ratio:0.9922010898590088]

[2022-06-27 11:16:09.580512] INFO: Position: position stock handle split[sid:2537, orig_amount:400, new_amount:403.0, orig_cost:51.84999851503475, new_cost:51.4456, ratio:0.9922010898590088, last_sale_price:50.88999557495117]

[2022-06-27 11:16:09.581845] INFO: Position: after split: PositionStock(asset:Equity(2537 [603899.SHA]), amount:403.0, cost_basis:51.4456, last_sale_price:51.290000915527344)

[2022-06-27 11:16:09.583124] INFO: Position: returning cash: 7.3325

[2022-06-27 11:16:09.722089] INFO: algo: handle_splits get splits [dt:2020-05-26 00:00:00+00:00] [asset:Equity(2451 [603823.SHA]), ratio:0.705511748790741]

[2022-06-27 11:16:09.935681] INFO: algo: handle_splits get splits [dt:2020-06-01 00:00:00+00:00] [asset:Equity(2240 [603709.SHA]), ratio:0.9903769493103027]

[2022-06-27 11:16:10.144437] INFO: algo: handle_splits get splits [dt:2020-06-05 00:00:00+00:00] [asset:Equity(1278 [603159.SHA]), ratio:0.9868075251579285]

[2022-06-27 11:16:10.196243] INFO: algo: handle_splits get splits [dt:2020-06-08 00:00:00+00:00] [asset:Equity(4937 [000722.SZA]), ratio:0.9917081594467163]

[2022-06-27 11:16:10.200126] INFO: Position: position stock handle split[sid:4937, orig_amount:4900, new_amount:4940.0, orig_cost:6.050002776058388, new_cost:5.9998, ratio:0.9917081594467163, last_sale_price:5.980000019073486]

[2022-06-27 11:16:10.202636] INFO: Position: after split: PositionStock(asset:Equity(4937 [000722.SZA]), amount:4940.0, cost_basis:5.9998, last_sale_price:6.029999732971191)

[2022-06-27 11:16:10.205420] INFO: Position: returning cash: 5.799

[2022-06-27 11:16:10.255479] INFO: algo: handle_splits get splits [dt:2020-06-09 00:00:00+00:00] [asset:Equity(130 [002438.SZA]), ratio:0.993523359298706]

[2022-06-27 11:16:10.256938] INFO: Position: position stock handle split[sid:130, orig_amount:2800, new_amount:2818.0, orig_cost:7.800005129023178, new_cost:7.7495, ratio:0.993523359298706, last_sale_price:7.6700005531311035]

[2022-06-27 11:16:10.258141] INFO: Position: after split: PositionStock(asset:Equity(130 [002438.SZA]), amount:2818.0, cost_basis:7.7495, last_sale_price:7.720000267028809)

[2022-06-27 11:16:10.259254] INFO: Position: returning cash: 1.9391

[2022-06-27 11:16:10.423730] INFO: algo: handle_splits get splits [dt:2020-06-12 00:00:00+00:00] [asset:Equity(2674 [603332.SHA]), ratio:0.973878800868988]

[2022-06-27 11:16:10.425175] INFO: algo: handle_splits get splits [dt:2020-06-12 00:00:00+00:00] [asset:Equity(378 [002120.SZA]), ratio:0.7643464207649231]

[2022-06-27 11:16:10.426404] INFO: Position: position stock handle split[sid:2674, orig_amount:4000, new_amount:4107.0, orig_cost:23.248024554632927, new_cost:22.6408, ratio:0.973878800868988, last_sale_price:22.369997024536133]

[2022-06-27 11:16:10.427512] INFO: Position: after split: PositionStock(asset:Equity(2674 [603332.SHA]), amount:4107.0, cost_basis:22.6408, last_sale_price:22.970001220703125)

[2022-06-27 11:16:10.428563] INFO: Position: returning cash: 6.4262

[2022-06-27 11:16:10.565939] INFO: algo: handle_splits get splits [dt:2020-06-17 00:00:00+00:00] [asset:Equity(69 [603278.SHA]), ratio:0.9796955585479736]

[2022-06-27 11:16:10.568012] INFO: Position: position stock handle split[sid:69, orig_amount:4700, new_amount:4797.0, orig_cost:7.820006878392494, new_cost:7.6612, ratio:0.9796955585479736, last_sale_price:7.720000743865967]

[2022-06-27 11:16:10.569362] INFO: Position: after split: PositionStock(asset:Equity(69 [603278.SHA]), amount:4797.0, cost_basis:7.6612, last_sale_price:7.87999963760376)

[2022-06-27 11:16:10.570538] INFO: Position: returning cash: 3.1552

[2022-06-27 11:16:10.772524] INFO: algo: handle_splits get splits [dt:2020-06-23 00:00:00+00:00] [asset:Equity(903 [002790.SZA]), ratio:0.9689922332763672]

[2022-06-27 11:16:11.087538] INFO: algo: handle_splits get splits [dt:2020-07-03 00:00:00+00:00] [asset:Equity(1043 [600380.SHA]), ratio:0.9895969033241272]

[2022-06-27 11:16:11.089164] INFO: algo: handle_splits get splits [dt:2020-07-03 00:00:00+00:00] [asset:Equity(1327 [600128.SHA]), ratio:0.9927009344100952]

[2022-06-27 11:16:11.092015] INFO: Position: position stock handle split[sid:1043, orig_amount:1500, new_amount:1515.0, orig_cost:15.900000573550782, new_cost:15.7346, ratio:0.9895969033241272, last_sale_price:15.220000267028809]

[2022-06-27 11:16:11.094251] INFO: Position: after split: PositionStock(asset:Equity(1043 [600380.SHA]), amount:1515.0, cost_basis:15.7346, last_sale_price:15.380000114440918)

[2022-06-27 11:16:11.096113] INFO: Position: returning cash: 11.6994

[2022-06-27 11:16:11.097685] INFO: Position: position stock handle split[sid:1327, orig_amount:22500, new_amount:22665.0, orig_cost:6.646579098538527, new_cost:6.5981, ratio:0.9927009344100952, last_sale_price:6.8000006675720215]

[2022-06-27 11:16:11.099124] INFO: Position: after split: PositionStock(asset:Equity(1327 [600128.SHA]), amount:22665.0, cost_basis:6.5981, last_sale_price:6.84999942779541)

[2022-06-27 11:16:11.101564] INFO: Position: returning cash: 2.9683

[2022-06-27 11:16:11.370110] INFO: algo: handle_splits get splits [dt:2020-07-10 00:00:00+00:00] [asset:Equity(545 [002620.SZA]), ratio:0.9900332689285278]

[2022-06-27 11:16:11.371720] INFO: Position: position stock handle split[sid:545, orig_amount:3500, new_amount:3535.0, orig_cost:5.950000467892599, new_cost:5.8907, ratio:0.9900332689285278, last_sale_price:5.960000514984131]

[2022-06-27 11:16:11.372930] INFO: Position: after split: PositionStock(asset:Equity(545 [002620.SZA]), amount:3535.0, cost_basis:5.8907, last_sale_price:6.020000457763672)

[2022-06-27 11:16:11.373935] INFO: Position: returning cash: 1.399

[2022-06-27 11:16:11.803671] INFO: algo: handle_splits get splits [dt:2020-07-22 00:00:00+00:00] [asset:Equity(4519 [600573.SHA]), ratio:0.9958793520927429]

[2022-06-27 11:16:11.851071] INFO: algo: handle_splits get splits [dt:2020-07-23 00:00:00+00:00] [asset:Equity(5994 [002779.SZA]), ratio:0.9993641376495361]

[2022-06-27 11:16:11.853035] INFO: Position: position stock handle split[sid:5994, orig_amount:16800, new_amount:16810.0, orig_cost:15.306207035709324, new_cost:15.2965, ratio:0.9993641376495361, last_sale_price:15.71999740600586]

[2022-06-27 11:16:11.854922] INFO: Position: after split: PositionStock(asset:Equity(5994 [002779.SZA]), amount:16810.0, cost_basis:15.2965, last_sale_price:15.729999542236328)

[2022-06-27 11:16:11.856250] INFO: Position: returning cash: 10.8355

[2022-06-27 11:16:11.914074] INFO: algo: handle_splits get splits [dt:2020-07-24 00:00:00+00:00] [asset:Equity(3002 [603829.SHA]), ratio:0.9916874170303345]

[2022-06-27 11:16:11.916390] INFO: Position: position stock handle split[sid:3002, orig_amount:5300, new_amount:5344.0, orig_cost:11.463398283997691, new_cost:11.3681, ratio:0.9916874170303345, last_sale_price:11.929999351501465]

[2022-06-27 11:16:11.918933] INFO: Position: after split: PositionStock(asset:Equity(3002 [603829.SHA]), amount:5344.0, cost_basis:11.3681, last_sale_price:12.029999732971191)

[2022-06-27 11:16:11.920256] INFO: Position: returning cash: 5.082

[2022-06-27 11:16:12.027193] INFO: algo: handle_splits get splits [dt:2020-07-28 00:00:00+00:00] [asset:Equity(4333 [603269.SHA]), ratio:0.9087643623352051]

[2022-06-27 11:16:12.028701] INFO: Position: position stock handle split[sid:4333, orig_amount:2200, new_amount:2420.0, orig_cost:14.120000554119493, new_cost:12.8318, ratio:0.9087643623352051, last_sale_price:12.649998664855957]

[2022-06-27 11:16:12.029852] INFO: Position: after split: PositionStock(asset:Equity(4333 [603269.SHA]), amount:2420.0, cost_basis:12.8318, last_sale_price:13.919999122619629)

[2022-06-27 11:16:12.030797] INFO: Position: returning cash: 11.0002

[2022-06-27 11:16:12.727475] WARNING: Performance: maybe_close_position no price for asset:Equity(5272 [600175.SHA]), field:price, dt:2020-08-14 15:00:00+00:00

[2022-06-27 11:16:12.775342] INFO: algo: handle_splits get splits [dt:2020-08-18 00:00:00+00:00] [asset:Equity(2148 [600202.SHA]), ratio:0.9915433526039124]

[2022-06-27 11:16:12.777133] INFO: Position: position stock handle split[sid:2148, orig_amount:13600, new_amount:13715.0, orig_cost:4.644853865979414, new_cost:4.6056, ratio:0.9915433526039124, last_sale_price:4.690000057220459]

[2022-06-27 11:16:12.778670] INFO: Position: after split: PositionStock(asset:Equity(2148 [600202.SHA]), amount:13715.0, cost_basis:4.6056, last_sale_price:4.730000019073486)

[2022-06-27 11:16:12.779995] INFO: Position: returning cash: 4.6492

[2022-06-27 11:16:15.070602] INFO: algo: handle_splits get splits [dt:2020-10-26 00:00:00+00:00] [asset:Equity(4748 [601012.SHA]), ratio:0.9973510503768921]

[2022-06-27 11:16:19.852864] INFO: algo: handle_splits get splits [dt:2021-03-09 00:00:00+00:00] [asset:Equity(5932 [601633.SHA]), ratio:0.9902675747871399]

[2022-06-27 11:16:22.063494] INFO: algo: handle_splits get splits [dt:2021-05-12 00:00:00+00:00] [asset:Equity(3416 [002982.SZA]), ratio:0.9953651428222656]

[2022-06-27 11:16:22.065304] INFO: Position: position stock handle split[sid:3416, orig_amount:700, new_amount:703.0, orig_cost:42.800006352474284, new_cost:42.6016, ratio:0.9953651428222656, last_sale_price:42.950008392333984]

[2022-06-27 11:16:22.066572] INFO: Position: after split: PositionStock(asset:Equity(3416 [002982.SZA]), amount:703.0, cost_basis:42.6016, last_sale_price:43.150001525878906)

[2022-06-27 11:16:22.067633] INFO: Position: returning cash: 11.1458

[2022-06-27 11:16:22.131650] INFO: algo: handle_splits get splits [dt:2021-05-13 00:00:00+00:00] [asset:Equity(5074 [002008.SZA]), ratio:0.9942495822906494]

[2022-06-27 11:16:22.133392] INFO: Position: position stock handle split[sid:5074, orig_amount:1500, new_amount:1508.0, orig_cost:34.70999909806336, new_cost:34.5104, ratio:0.9942495822906494, last_sale_price:34.57999801635742]

[2022-06-27 11:16:22.134688] INFO: Position: after split: PositionStock(asset:Equity(5074 [002008.SZA]), amount:1508.0, cost_basis:34.5104, last_sale_price:34.779998779296875)

[2022-06-27 11:16:22.135800] INFO: Position: returning cash: 23.3593

[2022-06-27 11:16:22.236708] INFO: algo: handle_splits get splits [dt:2021-05-17 00:00:00+00:00] [asset:Equity(2310 [603288.SHA]), ratio:0.7646482586860657]

[2022-06-27 11:16:22.281391] INFO: algo: handle_splits get splits [dt:2021-05-18 00:00:00+00:00] [asset:Equity(4649 [002593.SZA]), ratio:0.9860724210739136]

[2022-06-27 11:16:22.352198] INFO: algo: handle_splits get splits [dt:2021-05-19 00:00:00+00:00] [asset:Equity(3375 [002896.SZA]), ratio:0.7569084763526917]

[2022-06-27 11:16:22.353885] INFO: Position: position stock handle split[sid:3375, orig_amount:1600, new_amount:2113.0, orig_cost:24.110004904657693, new_cost:18.2491, ratio:0.7569084763526917, last_sale_price:18.90000343322754]

[2022-06-27 11:16:22.356247] INFO: Position: after split: PositionStock(asset:Equity(3375 [002896.SZA]), amount:2113.0, cost_basis:18.2491, last_sale_price:24.969999313354492)

[2022-06-27 11:16:22.358179] INFO: Position: returning cash: 16.2902

[2022-06-27 11:16:22.479012] INFO: algo: handle_splits get splits [dt:2021-05-21 00:00:00+00:00] [asset:Equity(356 [603682.SHA]), ratio:0.9691448211669922]

[2022-06-27 11:16:22.545395] INFO: algo: handle_splits get splits [dt:2021-05-24 00:00:00+00:00] [asset:Equity(5897 [603039.SHA]), ratio:0.8317722678184509]

[2022-06-27 11:16:22.547039] INFO: Position: position stock handle split[sid:5897, orig_amount:900, new_amount:1082.0, orig_cost:83.95555272557144, new_cost:69.8319, ratio:0.8317722678184509, last_sale_price:67.48999786376953]

[2022-06-27 11:16:22.548386] INFO: Position: after split: PositionStock(asset:Equity(5897 [603039.SHA]), amount:1082.0, cost_basis:69.8319, last_sale_price:81.13999938964844)

[2022-06-27 11:16:22.549470] INFO: Position: returning cash: 1.818

[2022-06-27 11:16:22.753242] INFO: algo: handle_splits get splits [dt:2021-05-28 00:00:00+00:00] [asset:Equity(895 [002415.SZA]), ratio:0.9875699281692505]

[2022-06-27 11:16:22.755010] INFO: Position: position stock handle split[sid:895, orig_amount:600, new_amount:607.0, orig_cost:64.80000305406055, new_cost:63.9945, ratio:0.9875699281692505, last_sale_price:63.560001373291016]

[2022-06-27 11:16:22.756408] INFO: Position: after split: PositionStock(asset:Equity(895 [002415.SZA]), amount:607.0, cost_basis:63.9945, last_sale_price:64.36000061035156)

[2022-06-27 11:16:22.757449] INFO: Position: returning cash: 35.0797

[2022-06-27 11:16:22.867940] INFO: algo: handle_splits get splits [dt:2021-06-01 00:00:00+00:00] [asset:Equity(4571 [002493.SZA]), ratio:0.6628831028938293]

[2022-06-27 11:16:23.047414] INFO: algo: handle_splits get splits [dt:2021-06-04 00:00:00+00:00] [asset:Equity(2956 [605100.SHA]), ratio:0.9833131432533264]

[2022-06-27 11:16:23.048908] INFO: algo: handle_splits get splits [dt:2021-06-04 00:00:00+00:00] [asset:Equity(30 [002933.SZA]), ratio:0.9874699115753174]

[2022-06-27 11:16:23.050101] INFO: algo: handle_splits get splits [dt:2021-06-04 00:00:00+00:00] [asset:Equity(1469 [002749.SZA]), ratio:0.9780219793319702]

[2022-06-27 11:16:23.051210] INFO: algo: handle_splits get splits [dt:2021-06-04 00:00:00+00:00] [asset:Equity(580 [002995.SZA]), ratio:0.7067877054214478]

[2022-06-27 11:16:23.052357] INFO: algo: handle_splits get splits [dt:2021-06-04 00:00:00+00:00] [asset:Equity(3678 [601988.SHA]), ratio:0.9402984380722046]

[2022-06-27 11:16:23.053607] INFO: Position: position stock handle split[sid:2956, orig_amount:800, new_amount:813.0, orig_cost:41.15004241627837, new_cost:40.4634, ratio:0.9833131432533264, last_sale_price:41.2499885559082]

[2022-06-27 11:16:23.054709] INFO: Position: after split: PositionStock(asset:Equity(2956 [605100.SHA]), amount:813.0, cost_basis:40.4634, last_sale_price:41.95000076293945)

[2022-06-27 11:16:23.055750] INFO: Position: returning cash: 23.7611

[2022-06-27 11:16:23.056956] INFO: Position: position stock handle split[sid:30, orig_amount:1500, new_amount:1519.0, orig_cost:25.130018192145698, new_cost:24.8151, ratio:0.9874699115753174, last_sale_price:24.43000602722168]

[2022-06-27 11:16:23.058014] INFO: Position: after split: PositionStock(asset:Equity(30 [002933.SZA]), amount:1519.0, cost_basis:24.8151, last_sale_price:24.739999771118164)

[2022-06-27 11:16:23.059003] INFO: Position: returning cash: 0.8215

[2022-06-27 11:16:23.060188] INFO: Position: position stock handle split[sid:580, orig_amount:700, new_amount:990.0, orig_cost:46.35002066718808, new_cost:32.7596, ratio:0.7067877054214478, last_sale_price:33.530006408691406]

[2022-06-27 11:16:23.061250] INFO: Position: after split: PositionStock(asset:Equity(580 [002995.SZA]), amount:990.0, cost_basis:32.7596, last_sale_price:47.439998626708984)

[2022-06-27 11:16:23.062380] INFO: Position: returning cash: 13.2913

[2022-06-27 11:16:23.063495] INFO: Position: position stock handle split[sid:3678, orig_amount:13300, new_amount:14144.0, orig_cost:3.3600001339215284, new_cost:3.1594, ratio:0.9402984380722046, last_sale_price:3.1499996185302734]

[2022-06-27 11:16:23.064582] INFO: Position: after split: PositionStock(asset:Equity(3678 [601988.SHA]), amount:14144.0, cost_basis:3.1594, last_sale_price:3.3499999046325684)

[2022-06-27 11:16:23.065655] INFO: Position: returning cash: 1.4033

[2022-06-27 11:16:23.169214] INFO: algo: handle_splits get splits [dt:2021-06-08 00:00:00+00:00] [asset:Equity(4749 [002730.SZA]), ratio:0.9940072894096375]

[2022-06-27 11:16:23.332518] INFO: algo: handle_splits get splits [dt:2021-06-11 00:00:00+00:00] [asset:Equity(616 [603687.SHA]), ratio:0.9917457103729248]

[2022-06-27 11:16:23.334052] INFO: Position: position stock handle split[sid:616, orig_amount:5800, new_amount:5848.0, orig_cost:8.470009439858641, new_cost:8.4001, ratio:0.9917457103729248, last_sale_price:8.410002708435059]

[2022-06-27 11:16:23.335207] INFO: Position: after split: PositionStock(asset:Equity(616 [603687.SHA]), amount:5848.0, cost_basis:8.4001, last_sale_price:8.479999542236328)

[2022-06-27 11:16:23.336268] INFO: Position: returning cash: 2.2988

[2022-06-27 11:16:23.433132] INFO: algo: handle_splits get splits [dt:2021-06-16 00:00:00+00:00] [asset:Equity(2456 [002976.SZA]), ratio:0.8299440145492554]

[2022-06-27 11:16:23.434826] INFO: algo: handle_splits get splits [dt:2021-06-16 00:00:00+00:00] [asset:Equity(3192 [600031.SHA]), ratio:0.9786476492881775]

[2022-06-27 11:16:23.436105] INFO: Position: position stock handle split[sid:2456, orig_amount:2700, new_amount:3253.0, orig_cost:23.368567951876834, new_cost:19.3946, ratio:0.8299440145492554, last_sale_price:19.18000602722168]

[2022-06-27 11:16:23.437250] INFO: Position: after split: PositionStock(asset:Equity(2456 [002976.SZA]), amount:3253.0, cost_basis:19.3946, last_sale_price:23.110000610351562)

[2022-06-27 11:16:23.438271] INFO: Position: returning cash: 4.4399

[2022-06-27 11:16:23.439374] INFO: Position: position stock handle split[sid:3192, orig_amount:1400, new_amount:1430.0, orig_cost:28.26000022922409, new_cost:27.6566, ratio:0.9786476492881775, last_sale_price:27.499998092651367]

[2022-06-27 11:16:23.440570] INFO: Position: after split: PositionStock(asset:Equity(3192 [600031.SHA]), amount:1430.0, cost_basis:27.6566, last_sale_price:28.099998474121094)

[2022-06-27 11:16:23.441618] INFO: Position: returning cash: 15.0015

[2022-06-27 11:16:23.541095] INFO: algo: handle_splits get splits [dt:2021-06-18 00:00:00+00:00] [asset:Equity(5362 [000404.SZA]), ratio:0.9751242399215698]

[2022-06-27 11:16:23.542590] INFO: Position: position stock handle split[sid:5362, orig_amount:14500, new_amount:14869.0, orig_cost:4.090001469768457, new_cost:3.9883, ratio:0.9751242399215698, last_sale_price:3.919999361038208]

[2022-06-27 11:16:23.543769] INFO: Position: after split: PositionStock(asset:Equity(5362 [000404.SZA]), amount:14869.0, cost_basis:3.9883, last_sale_price:4.019999980926514)

[2022-06-27 11:16:23.544689] INFO: Position: returning cash: 3.5283

[2022-06-27 11:16:23.609681] INFO: algo: handle_splits get splits [dt:2021-06-21 00:00:00+00:00] [asset:Equity(4971 [002511.SZA]), ratio:0.996515691280365]

[2022-06-27 11:16:23.656807] INFO: algo: handle_splits get splits [dt:2021-06-22 00:00:00+00:00] [asset:Equity(922 [603790.SHA]), ratio:0.9905391335487366]

[2022-06-27 11:16:23.658397] INFO: Position: position stock handle split[sid:922, orig_amount:27300, new_amount:27560.0, orig_cost:10.90435121498075, new_cost:10.8012, ratio:0.9905391335487366, last_sale_price:10.469999313354492]

[2022-06-27 11:16:23.659843] INFO: Position: after split: PositionStock(asset:Equity(922 [603790.SHA]), amount:27560.0, cost_basis:10.8012, last_sale_price:10.570000648498535)

[2022-06-27 11:16:23.661653] INFO: Position: returning cash: 7.8374

[2022-06-27 11:16:23.853459] INFO: algo: handle_splits get splits [dt:2021-06-28 00:00:00+00:00] [asset:Equity(4876 [603970.SHA]), ratio:0.9855906367301941]

[2022-06-27 11:16:23.854986] INFO: algo: handle_splits get splits [dt:2021-06-28 00:00:00+00:00] [asset:Equity(876 [605117.SHA]), ratio:0.9930909872055054]

[2022-06-27 11:16:23.856199] INFO: Position: position stock handle split[sid:4876, orig_amount:3100, new_amount:3145.0, orig_cost:20.960005556021656, new_cost:20.658, ratio:0.9855906367301941, last_sale_price:20.519996643066406]

[2022-06-27 11:16:23.857289] INFO: Position: after split: PositionStock(asset:Equity(4876 [603970.SHA]), amount:3145.0, cost_basis:20.658, last_sale_price:20.81999969482422)

[2022-06-27 11:16:23.858387] INFO: Position: returning cash: 6.6093

[2022-06-27 11:16:23.918636] INFO: algo: handle_splits get splits [dt:2021-06-29 00:00:00+00:00] [asset:Equity(21 [002981.SZA]), ratio:0.9980751872062683]

[2022-06-27 11:16:23.920338] INFO: Position: position stock handle split[sid:21, orig_amount:2900, new_amount:2905.0, orig_cost:25.500063966118628, new_cost:25.451, ratio:0.9980751872062683, last_sale_price:25.929994583129883]

[2022-06-27 11:16:23.921636] INFO: Position: after split: PositionStock(asset:Equity(21 [002981.SZA]), amount:2905.0, cost_basis:25.451, last_sale_price:25.98000144958496)

[2022-06-27 11:16:23.922814] INFO: Position: returning cash: 15.3693

[2022-06-27 11:16:23.976068] INFO: algo: handle_splits get splits [dt:2021-06-30 00:00:00+00:00] [asset:Equity(3976 [600038.SHA]), ratio:0.992655336856842]

[2022-06-27 11:16:24.135330] INFO: algo: handle_splits get splits [dt:2021-07-05 00:00:00+00:00] [asset:Equity(1146 [603256.SHA]), ratio:0.9909404516220093]

[2022-06-27 11:16:24.136914] INFO: Position: position stock handle split[sid:1146, orig_amount:16700, new_amount:16852.0, orig_cost:9.218569064760358, new_cost:9.1351, ratio:0.9909404516220093, last_sale_price:8.750003814697266]

[2022-06-27 11:16:24.138112] INFO: Position: after split: PositionStock(asset:Equity(1146 [603256.SHA]), amount:16852.0, cost_basis:9.1351, last_sale_price:8.829999923706055)

[2022-06-27 11:16:24.139276] INFO: Position: returning cash: 5.9294

[2022-06-27 11:16:24.252960] INFO: algo: handle_splits get splits [dt:2021-07-07 00:00:00+00:00] [asset:Equity(4511 [000157.SZA]), ratio:0.9638009667396545]

[2022-06-27 11:16:24.254553] INFO: Position: position stock handle split[sid:4511, orig_amount:8700, new_amount:9026.0, orig_cost:8.650000584450309, new_cost:8.3369, ratio:0.9638009667396545, last_sale_price:8.519999504089355]

[2022-06-27 11:16:24.256060] INFO: Position: after split: PositionStock(asset:Equity(4511 [000157.SZA]), amount:9026.0, cost_basis:8.3369, last_sale_price:8.839999198913574)

[2022-06-27 11:16:24.257314] INFO: Position: returning cash: 6.4751

[2022-06-27 11:16:24.371491] INFO: algo: handle_splits get splits [dt:2021-07-09 00:00:00+00:00] [asset:Equity(259 [000858.SZA]), ratio:0.9904387593269348]

[2022-06-27 11:16:24.373069] INFO: algo: handle_splits get splits [dt:2021-07-09 00:00:00+00:00] [asset:Equity(3249 [002311.SZA]), ratio:0.9957895278930664]

[2022-06-27 11:16:24.374443] INFO: Position: position stock handle split[sid:259, orig_amount:200, new_amount:201.0, orig_cost:285.0000305181681, new_cost:282.2751, ratio:0.9904387593269348, last_sale_price:267.260009765625]

[2022-06-27 11:16:24.375637] INFO: Position: after split: PositionStock(asset:Equity(259 [000858.SZA]), amount:201.0, cost_basis:282.2751, last_sale_price:269.84002685546875)

[2022-06-27 11:16:24.376832] INFO: Position: returning cash: 248.7411

[2022-06-27 11:16:24.493993] INFO: algo: handle_splits get splits [dt:2021-07-13 00:00:00+00:00] [asset:Equity(1975 [002821.SZA]), ratio:0.9983980059623718]

[2022-06-27 11:16:24.617263] INFO: algo: handle_splits get splits [dt:2021-07-15 00:00:00+00:00] [asset:Equity(808 [601628.SHA]), ratio:0.9794872999191284]

[2022-06-27 11:16:25.787302] INFO: algo: handle_splits get splits [dt:2021-08-12 00:00:00+00:00] [asset:Equity(269 [605398.SHA]), ratio:0.9901284575462341]

[2022-06-27 11:16:25.790839] INFO: Position: position stock handle split[sid:269, orig_amount:4300, new_amount:4342.0, orig_cost:39.85927757346368, new_cost:39.4658, ratio:0.9901284575462341, last_sale_price:40.1200065612793]

[2022-06-27 11:16:25.794611] INFO: Position: after split: PositionStock(asset:Equity(269 [605398.SHA]), amount:4342.0, cost_basis:39.4658, last_sale_price:40.52000045776367)

[2022-06-27 11:16:25.796595] INFO: Position: returning cash: 34.9379

[2022-06-27 11:16:25.907848] INFO: algo: handle_splits get splits [dt:2021-08-16 00:00:00+00:00] [asset:Equity(1118 [600048.SHA]), ratio:0.9392678737640381]

[2022-06-27 11:16:26.119717] INFO: algo: handle_splits get splits [dt:2021-08-20 00:00:00+00:00] [asset:Equity(1060 [000568.SZA]), ratio:0.9884063601493835]

[2022-06-27 11:16:26.121575] INFO: Position: position stock handle split[sid:1060, orig_amount:200, new_amount:202.0, orig_cost:181.22999573099275, new_cost:179.1289, ratio:0.9884063601493835, last_sale_price:174.77000427246094]

[2022-06-27 11:16:26.123177] INFO: Position: after split: PositionStock(asset:Equity(1060 [000568.SZA]), amount:202.0, cost_basis:179.1289, last_sale_price:176.8199920654297)

[2022-06-27 11:16:26.124500] INFO: Position: returning cash: 60.4575

[2022-06-27 11:16:28.018416] INFO: algo: handle_splits get splits [dt:2021-10-21 00:00:00+00:00] [asset:Equity(5932 [601633.SHA]), ratio:0.9952681660652161]

[2022-06-27 11:16:28.019943] INFO: Position: position stock handle split[sid:5932, orig_amount:1500, new_amount:1507.0, orig_cost:63.0639991814507, new_cost:62.7656, ratio:0.9952681660652161, last_sale_price:63.099998474121094]

[2022-06-27 11:16:28.021013] INFO: Position: after split: PositionStock(asset:Equity(5932 [601633.SHA]), amount:1507.0, cost_basis:62.7656, last_sale_price:63.39999771118164)

[2022-06-27 11:16:28.021935] INFO: Position: returning cash: 8.2974

[2022-06-27 11:16:33.043299] INFO: algo: handle_splits get splits [dt:2022-03-23 00:00:00+00:00] [asset:Equity(1476 [002947.SZA]), ratio:0.7639097571372986]

[2022-06-27 11:16:33.044750] INFO: Position: position stock handle split[sid:1476, orig_amount:2700, new_amount:3534.0, orig_cost:24.92000064325882, new_cost:19.0366, ratio:0.7639097571372986, last_sale_price:20.319997787475586]

[2022-06-27 11:16:33.045819] INFO: Position: after split: PositionStock(asset:Equity(1476 [002947.SZA]), amount:3534.0, cost_basis:19.0366, last_sale_price:26.599998474121094)

[2022-06-27 11:16:33.046730] INFO: Position: returning cash: 9.1216

[2022-06-27 11:16:33.849907] INFO: algo: handle_splits get splits [dt:2022-04-18 00:00:00+00:00] [asset:Equity(5119 [000739.SZA]), ratio:0.9887595772743225]

[2022-06-27 11:16:33.851446] INFO: Position: position stock handle split[sid:5119, orig_amount:3300, new_amount:3337.0, orig_cost:24.010000292144568, new_cost:23.7401, ratio:0.9887595772743225, last_sale_price:24.630001068115234]

[2022-06-27 11:16:33.852627] INFO: Position: after split: PositionStock(asset:Equity(5119 [000739.SZA]), amount:3337.0, cost_basis:23.7401, last_sale_price:24.90999984741211)

[2022-06-27 11:16:33.854227] INFO: Position: returning cash: 12.6864

[2022-06-27 11:16:34.150872] INFO: algo: handle_splits get splits [dt:2022-04-26 00:00:00+00:00] [asset:Equity(3895 [600330.SHA]), ratio:0.9936385750770569]

[2022-06-27 11:16:34.152498] INFO: Position: position stock handle split[sid:3895, orig_amount:4100, new_amount:4126.0, orig_cost:9.429999403976206, new_cost:9.37, ratio:0.9936385750770569, last_sale_price:7.809999465942383]

[2022-06-27 11:16:34.153662] INFO: Position: after split: PositionStock(asset:Equity(3895 [600330.SHA]), amount:4126.0, cost_basis:9.37, last_sale_price:7.860000133514404)

[2022-06-27 11:16:34.154832] INFO: Position: returning cash: 1.9433

[2022-06-27 11:16:35.031600] INFO: algo: handle_splits get splits [dt:2022-05-24 00:00:00+00:00] [asset:Equity(3687 [001217.SZA]), ratio:0.985433042049408]

[2022-06-27 11:16:35.078558] INFO: algo: handle_splits get splits [dt:2022-05-25 00:00:00+00:00] [asset:Equity(1647 [603180.SHA]), ratio:0.9593403339385986]

[2022-06-27 11:16:35.080036] INFO: Position: position stock handle split[sid:1647, orig_amount:1300, new_amount:1355.0, orig_cost:26.610003324165994, new_cost:25.528, ratio:0.9593403339385986, last_sale_price:25.01000213623047]

[2022-06-27 11:16:35.081954] INFO: Position: after split: PositionStock(asset:Equity(1647 [603180.SHA]), amount:1355.0, cost_basis:25.528, last_sale_price:26.06999969482422)

[2022-06-27 11:16:35.084620] INFO: Position: returning cash: 2.4466

[2022-06-27 11:16:35.145227] INFO: algo: handle_splits get splits [dt:2022-05-26 00:00:00+00:00] [asset:Equity(3234 [605268.SHA]), ratio:0.993691086769104]

[2022-06-27 11:16:35.147189] INFO: Position: position stock handle split[sid:3234, orig_amount:29800, new_amount:29989.0, orig_cost:9.341910634009416, new_cost:9.283, ratio:0.993691086769104, last_sale_price:9.45000171661377]

[2022-06-27 11:16:35.148608] INFO: Position: after split: PositionStock(asset:Equity(3234 [605268.SHA]), amount:29989.0, cost_basis:9.283, last_sale_price:9.50999927520752)

[2022-06-27 11:16:35.149956] INFO: Position: returning cash: 1.883

[2022-06-27 11:16:35.215728] INFO: algo: handle_splits get splits [dt:2022-05-27 00:00:00+00:00] [asset:Equity(1874 [603029.SHA]), ratio:0.7634335160255432]

[2022-06-27 11:16:35.217430] INFO: Position: position stock handle split[sid:1874, orig_amount:3000, new_amount:3929.0, orig_cost:14.980003433572499, new_cost:11.4362, ratio:0.7634335160255432, last_sale_price:11.649996757507324]

[2022-06-27 11:16:35.218782] INFO: Position: after split: PositionStock(asset:Equity(1874 [603029.SHA]), amount:3929.0, cost_basis:11.4362, last_sale_price:15.260001182556152)

[2022-06-27 11:16:35.219785] INFO: Position: returning cash: 7.1679

[2022-06-27 11:16:35.275781] INFO: algo: handle_splits get splits [dt:2022-05-30 00:00:00+00:00] [asset:Equity(5654 [002969.SZA]), ratio:0.9975183010101318]

[2022-06-27 11:16:35.277377] INFO: Position: position stock handle split[sid:5654, orig_amount:50700, new_amount:50826.0, orig_cost:3.9777466283296015, new_cost:3.9679, ratio:0.9975183010101318, last_sale_price:4.019998550415039]

[2022-06-27 11:16:35.278601] INFO: Position: after split: PositionStock(asset:Equity(5654 [002969.SZA]), amount:50826.0, cost_basis:3.9679, last_sale_price:4.029999732971191)

[2022-06-27 11:16:35.279577] INFO: Position: returning cash: 0.5434

[2022-06-27 11:16:35.399314] INFO: algo: handle_splits get splits [dt:2022-06-01 00:00:00+00:00] [asset:Equity(2451 [603823.SHA]), ratio:0.9759998321533203]

[2022-06-27 11:16:35.455418] INFO: algo: handle_splits get splits [dt:2022-06-02 00:00:00+00:00] [asset:Equity(4937 [000722.SZA]), ratio:0.9940792322158813]

[2022-06-27 11:16:35.697547] INFO: algo: handle_splits get splits [dt:2022-06-10 00:00:00+00:00] [asset:Equity(848 [605058.SHA]), ratio:0.9836158752441406]

[2022-06-27 11:16:35.701592] INFO: Position: position stock handle split[sid:848, orig_amount:4800, new_amount:4879.0, orig_cost:18.413348859170945, new_cost:18.1117, ratio:0.9836158752441406, last_sale_price:18.010007858276367]

[2022-06-27 11:16:35.705102] INFO: Position: after split: PositionStock(asset:Equity(848 [605058.SHA]), amount:4879.0, cost_basis:18.1117, last_sale_price:18.310001373291016)

[2022-06-27 11:16:35.708044] INFO: Position: returning cash: 17.1774

[2022-06-27 11:16:35.766709] INFO: algo: handle_splits get splits [dt:2022-06-13 00:00:00+00:00] [asset:Equity(1505 [603530.SHA]), ratio:0.9912128448486328]

[2022-06-27 11:16:35.768248] INFO: Position: position stock handle split[sid:1505, orig_amount:5400, new_amount:5447.0, orig_cost:11.250023496278299, new_cost:11.1512, ratio:0.9912128448486328, last_sale_price:11.28000259399414]

[2022-06-27 11:16:35.769415] INFO: Position: after split: PositionStock(asset:Equity(1505 [603530.SHA]), amount:5447.0, cost_basis:11.1512, last_sale_price:11.380000114440918)

[2022-06-27 11:16:35.770363] INFO: Position: returning cash: 9.8282

[2022-06-27 11:16:36.050646] INFO: algo: handle_splits get splits [dt:2022-06-22 00:00:00+00:00] [asset:Equity(4330 [603042.SHA]), ratio:0.9989896416664124]

[2022-06-27 11:16:36.052284] INFO: Position: position stock handle split[sid:4330, orig_amount:33300, new_amount:33333.0, orig_cost:9.837099780724255, new_cost:9.8272, ratio:0.9989896416664124, last_sale_price:9.889998435974121]

[2022-06-27 11:16:36.053873] INFO: Position: after split: PositionStock(asset:Equity(4330 [603042.SHA]), amount:33333.0, cost_basis:9.8272, last_sale_price:9.90000057220459)

[2022-06-27 11:16:36.055005] INFO: Position: returning cash: 6.7149

[2022-06-27 11:16:36.073182] INFO: algo: handle_splits get splits [dt:2022-06-23 00:00:00+00:00] [asset:Equity(2883 [001209.SZA]), ratio:0.714353621006012]

[2022-06-27 11:16:36.074670] INFO: Position: position stock handle split[sid:2883, orig_amount:2000, new_amount:2799.0, orig_cost:20.800019263792493, new_cost:14.8586, ratio:0.714353621006012, last_sale_price:15.08000373840332]

[2022-06-27 11:16:36.075797] INFO: Position: after split: PositionStock(asset:Equity(2883 [001209.SZA]), amount:2799.0, cost_basis:14.8586, last_sale_price:21.10999870300293)

[2022-06-27 11:16:36.076866] INFO: Position: returning cash: 11.0662

[2022-06-27 11:16:36.119357] INFO: Performance: Simulated 599 trading days out of 599.

[2022-06-27 11:16:36.121316] INFO: Performance: first open: 2020-01-02 09:30:00+00:00

[2022-06-27 11:16:36.123299] INFO: Performance: last close: 2022-06-24 15:00:00+00:00

[2022-06-27 11:16:44.168428] INFO: moduleinvoker: backtest.v8 运行完成[46.081441s].

[2022-06-27 11:16:44.170451] INFO: moduleinvoker: trade.v4 运行完成[46.157309s].

['adjust_factor_0', 'amount_0', 'avg_amount_10', 'avg_amount_5', 'close_0', 'close_1', 'date', 'high_0', 'instrument', 'low_0', 'low_1', 'mf_net_pct_s_0', 'open_0', 'pe_ttm_0', 'rank_avg_amount_0', 'rank_avg_amount_5', 'rank_return_0', 'rank_return_10', 'rank_return_30', 'rank_return_5', 'return_0', 'return_1', 'return_10', 'return_20', 'return_3', 'return_5', 'ta_bbands_lowerband_28_0', 'ta_sma_10_0', 'ta_sma_30_0', 'turn_0', 'turn_1', 'turn_3', 'volume_0', 'rank_return_0/rank_return_5', 'rank_avg_amount_0/rank_avg_amount_5', 'avg_amount_5/avg_amount_10', '(close_0-open_0)/close_1', 'return_5/return_20', 'rank(std(amount_0,15))', 'std(amount_0,15)', 'decay_linear(return_0,5)', 'ta_sma_10_0/ta_sma_30_0', '(low_1-close_0)/close_0', 'mean(mf_net_pct_s_0,4)', 'ts_max(high_0,5)', 'ts_max(open_0,5)', 'ts_max(low_0,5)', 'ts_min(turn_0,5)', 'ts_min(return_0,5)', 'ts_min(amount_0,5)', 'ts_argmin(low_0,20)', 'ts_rank(low_0,5)', 'sqrt(high_0*low_0)-amount_0/volume_0*adjust_factor_0', 'correlation(low_0,turn_0,5)', '(close_0-mean(close_0,12))/mean(close_0,12)*100', 'm:open', 'm:amount', 'm:low', 'm:high', 'm:close', 'label']

收益率170.43%
年化收益率51.97%
基准收益率7.28%
阿尔法0.49
贝塔0.77
夏普比率1.7
胜率0.56
盈亏比1.14
收益波动率24.65%
信息比率0.13
最大回撤28.31%

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