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[2018-03-06 23:32:21.009798] INFO: bigquant: instruments.v2 开始运行..
[2018-03-06 23:32:21.059874] INFO: bigquant: 命中缓存
[2018-03-06 23:32:21.061659] INFO: bigquant: instruments.v2 运行完成[0.05193s].
[2018-03-06 23:32:21.133849] INFO: bigquant: advanced_auto_labeler.v2 开始运行..
[2018-03-06 23:32:31.431049] INFO: 自动数据标注: 加载历史数据: 1134116 行
[2018-03-06 23:32:31.432886] INFO: 自动数据标注: 开始标注 ..
[2018-03-06 23:32:34.807667] INFO: bigquant: advanced_auto_labeler.v2 运行完成[13.673809s].
[2018-03-06 23:32:34.818730] INFO: bigquant: input_features.v1 开始运行..
[2018-03-06 23:32:34.822297] INFO: bigquant: 命中缓存
[2018-03-06 23:32:34.823418] INFO: bigquant: input_features.v1 运行完成[0.004729s].
[2018-03-06 23:32:34.863559] INFO: bigquant: general_feature_extractor.v6 开始运行..
[2018-03-06 23:32:44.110117] INFO: 基础特征抽取: 年份 2013, 特征行数=564168
[2018-03-06 23:32:48.848734] INFO: 基础特征抽取: 年份 2014, 特征行数=569948
[2018-03-06 23:32:51.767313] INFO: 基础特征抽取: 年份 2015, 特征行数=0
[2018-03-06 23:32:51.788840] INFO: 基础特征抽取: 总行数: 1134116
[2018-03-06 23:32:51.792546] INFO: bigquant: general_feature_extractor.v6 运行完成[16.928994s].
[2018-03-06 23:32:51.807498] INFO: bigquant: derived_feature_extractor.v2 开始运行..
[2018-03-06 23:32:52.473524] INFO: derived_feature_extractor: 提取完成 (close_0 + close_1 + close_2 + close_3 + close_4) / 5 / close_0, 0.007s
[2018-03-06 23:32:52.991548] INFO: derived_feature_extractor: 提取完成 delta(open_0/shift(close_0,1), 10), 0.516s
[2018-03-06 23:32:54.108434] INFO: derived_feature_extractor: 提取完成 max(high_0, high_1, high_2) / min(low_0, low_1, low_2), 1.114s
[2018-03-06 23:32:58.606535] INFO: derived_feature_extractor: 提取完成 mean(close_0,20)/std(close_0,20), 4.496s
[2018-03-06 23:33:01.595124] INFO: derived_feature_extractor: /y_2013, 564168
[2018-03-06 23:33:04.783719] INFO: derived_feature_extractor: /y_2014, 569948
[2018-03-06 23:33:08.029000] INFO: bigquant: derived_feature_extractor.v2 运行完成[16.221534s].
[2018-03-06 23:33:08.043935] INFO: bigquant: join.v3 开始运行..
[2018-03-06 23:33:14.293991] INFO: join: /y_2013, 行数=563132/564168, 耗时=5.971352s
[2018-03-06 23:33:20.560785] INFO: join: /y_2014, 行数=555191/569948, 耗时=6.24566s
[2018-03-06 23:33:20.631417] INFO: join: 最终行数: 1118323
[2018-03-06 23:33:20.633637] INFO: bigquant: join.v3 运行完成[12.589748s].
[2018-03-06 23:33:20.645793] INFO: bigquant: dropnan.v1 开始运行..
[2018-03-06 23:33:21.307183] INFO: dropnan: /y_2013, 516392/563132
[2018-03-06 23:33:21.969142] INFO: dropnan: /y_2014, 553580/555191
[2018-03-06 23:33:21.987720] INFO: dropnan: 行数: 1069972/1118323
[2018-03-06 23:33:22.009235] INFO: bigquant: dropnan.v1 运行完成[1.36342s].
[2018-03-06 23:33:22.025206] INFO: bigquant: stock_ranker_train.v5 开始运行..
[2018-03-06 23:33:26.763636] INFO: df2bin: prepare bins ..
[2018-03-06 23:33:27.187699] INFO: df2bin: prepare data: training ..
[2018-03-06 23:33:29.451400] INFO: df2bin: sort ..
[2018-03-06 23:33:43.341762] INFO: stock_ranker_train: b3f9bbd8 准备训练: 1069972 行数
[2018-03-06 23:35:19.812446] INFO: bigquant: stock_ranker_train.v5 运行完成[117.787203s].
[2018-03-06 23:35:19.819536] INFO: bigquant: instruments.v2 开始运行..
[2018-03-06 23:35:19.823210] INFO: bigquant: 命中缓存
[2018-03-06 23:35:19.824366] INFO: bigquant: instruments.v2 运行完成[0.004822s].
[2018-03-06 23:35:19.838457] INFO: bigquant: general_feature_extractor.v6 开始运行..
[2018-03-06 23:35:30.653397] INFO: 基础特征抽取: 年份 2016, 特征行数=641546
[2018-03-06 23:35:48.014913] INFO: 基础特征抽取: 年份 2017, 特征行数=0
[2018-03-06 23:35:48.029892] INFO: 基础特征抽取: 总行数: 641546
[2018-03-06 23:35:48.032721] INFO: bigquant: general_feature_extractor.v6 运行完成[28.194291s].
[2018-03-06 23:35:48.042088] INFO: bigquant: derived_feature_extractor.v2 开始运行..
[2018-03-06 23:35:49.019778] INFO: derived_feature_extractor: 提取完成 (close_0 + close_1 + close_2 + close_3 + close_4) / 5 / close_0, 0.004s
[2018-03-06 23:35:49.393092] INFO: derived_feature_extractor: 提取完成 delta(open_0/shift(close_0,1), 10), 0.371s
[2018-03-06 23:35:50.297697] INFO: derived_feature_extractor: 提取完成 max(high_0, high_1, high_2) / min(low_0, low_1, low_2), 0.903s
[2018-03-06 23:35:54.321216] INFO: derived_feature_extractor: 提取完成 mean(close_0,20)/std(close_0,20), 4.022s
[2018-03-06 23:35:54.499514] INFO: derived_feature_extractor: /y_2016, 641546
[2018-03-06 23:35:56.066001] INFO: bigquant: derived_feature_extractor.v2 运行完成[8.023896s].
[2018-03-06 23:35:56.074043] INFO: bigquant: dropnan.v1 开始运行..
[2018-03-06 23:35:57.120520] INFO: dropnan: /y_2016, 584306/641546
[2018-03-06 23:35:57.132559] INFO: dropnan: 行数: 584306/641546
[2018-03-06 23:35:57.159776] INFO: bigquant: dropnan.v1 运行完成[1.085689s].
[2018-03-06 23:35:57.177088] INFO: bigquant: stock_ranker_predict.v5 开始运行..
[2018-03-06 23:35:58.394028] INFO: df2bin: prepare data: prediction ..
[2018-03-06 23:36:04.150418] INFO: stock_ranker_predict: 准备预测: 584306 行
[2018-03-06 23:36:08.335199] INFO: bigquant: stock_ranker_predict.v5 运行完成[11.158029s].
[2018-03-06 23:36:08.416559] INFO: bigquant: backtest.v7 开始运行..
[2018-03-06 23:36:08.558531] INFO: algo: set price type:original
[2018-03-06 23:36:37.563783] INFO: algo: get splits [2016-03-17 00:00:00+00:00] [asset:Equity(2197 [000975.SZA]), ratio:0.9825327485010633]
[2018-03-06 23:36:37.565622] INFO: Position: position handle split[sid:2197, orig_amount:3300, new_amount:3358.0, orig_cost:11.263378115688415,new_cost:11.07, ratio:0.9825327485010633, last_sale_price:11.249999970337175]
[2018-03-06 23:36:37.566732] INFO: Position: after split: asset: Equity(2197 [000975.SZA]), amount: 3358.0, cost_basis: 11.07, last_sale_price: 11.45
[2018-03-06 23:36:37.568069] INFO: Position: returning cash: 7.5
[2018-03-06 23:36:38.310196] INFO: algo: get splits [2016-04-20 00:00:00+00:00] [asset:Equity(484 [002730.SZA]), ratio:0.4535570498740011]
[2018-03-06 23:36:38.607404] INFO: algo: get splits [2016-04-29 00:00:00+00:00] [asset:Equity(2972 [300127.SZA]), ratio:0.987421399301558]
[2018-03-06 23:36:38.608943] INFO: Position: position handle split[sid:2972, orig_amount:2600, new_amount:2633.0, orig_cost:15.564668550180837,new_cost:15.37, ratio:0.987421399301558, last_sale_price:15.699999872223401]
[2018-03-06 23:36:38.610335] INFO: Position: after split: asset: Equity(2972 [300127.SZA]), amount: 2633.0, cost_basis: 15.37, last_sale_price: 15.899999618530273
[2018-03-06 23:36:38.611397] INFO: Position: returning cash: 1.9
[2018-03-06 23:36:39.665967] INFO: algo: get splits [2016-06-03 00:00:00+00:00] [asset:Equity(915 [601933.SHA]), ratio:0.4913694269823426]
[2018-03-06 23:36:39.667388] INFO: Position: position handle split[sid:915, orig_amount:5600, new_amount:11396.0, orig_cost:8.672601133517642,new_cost:4.26, ratio:0.4913694269823426, last_sale_price:4.27000011428974]
[2018-03-06 23:36:39.668973] INFO: Position: after split: asset: Equity(915 [601933.SHA]), amount: 11396.0, cost_basis: 4.26, last_sale_price: 8.6899995803833
[2018-03-06 23:36:39.670536] INFO: Position: returning cash: 3.08
[2018-03-06 23:36:39.944592] INFO: algo: get splits [2016-06-16 00:00:00+00:00] [asset:Equity(2675 [300397.SZA]), ratio:0.5]
[2018-03-06 23:36:39.946466] INFO: Position: position handle split[sid:2675, orig_amount:800, new_amount:1600.0, orig_cost:56.326894773135685,new_cost:28.16, ratio:0.5, last_sale_price:30.90999984741211]
[2018-03-06 23:36:39.947937] INFO: Position: after split: asset: Equity(2675 [300397.SZA]), amount: 1600.0, cost_basis: 28.16, last_sale_price: 61.81999969482422
[2018-03-06 23:36:39.949570] INFO: Position: returning cash: 0.0
[2018-03-06 23:36:40.100390] INFO: algo: get splits [2016-06-22 00:00:00+00:00] [asset:Equity(1170 [002357.SZA]), ratio:0.987678227401202]
[2018-03-06 23:36:40.184172] INFO: algo: get splits [2016-06-24 00:00:00+00:00] [asset:Equity(53 [300477.SZA]), ratio:0.39733563797825194]
[2018-03-06 23:36:40.185872] INFO: Position: position handle split[sid:53, orig_amount:800, new_amount:2013.0, orig_cost:60.608177152947725,new_cost:24.08, ratio:0.39733563797825194, last_sale_price:23.860005060594027]
[2018-03-06 23:36:40.187063] INFO: Position: after split: asset: Equity(53 [300477.SZA]), amount: 2013.0, cost_basis: 24.08, last_sale_price: 60.05
[2018-03-06 23:36:40.188742] INFO: Position: returning cash: 9.81
[2018-03-06 23:36:41.415356] INFO: algo: get splits [2016-08-30 00:00:00+00:00] [asset:Equity(2059 [300185.SZA]), ratio:0.3302047674826683]
[2018-03-06 23:36:41.416738] INFO: algo: get splits [2016-08-30 00:00:00+00:00] [asset:Equity(794 [000652.SZA]), ratio:0.9982174661353876]
[2018-03-06 23:36:41.418017] INFO: Position: position handle split[sid:2059, orig_amount:2900, new_amount:8782.0, orig_cost:11.793537001368218,new_cost:3.89, ratio:0.3302047674826683, last_sale_price:3.8699998748968727]
[2018-03-06 23:36:41.419145] INFO: Position: after split: asset: Equity(2059 [300185.SZA]), amount: 8782.0, cost_basis: 3.89, last_sale_price: 11.72
[2018-03-06 23:36:41.420307] INFO: Position: returning cash: 1.66
[2018-03-06 23:36:41.421747] INFO: Position: position handle split[sid:794, orig_amount:6800, new_amount:6812.0, orig_cost:5.601679911038989,new_cost:5.59, ratio:0.9982174661353876, last_sale_price:5.600000118295935]
[2018-03-06 23:36:41.423008] INFO: Position: after split: asset: Equity(794 [000652.SZA]), amount: 6812.0, cost_basis: 5.59, last_sale_price: 5.610000133514404
[2018-03-06 23:36:41.424285] INFO: Position: returning cash: 0.8
[2018-03-06 23:36:41.478565] INFO: algo: get splits [2016-09-01 00:00:00+00:00] [asset:Equity(2802 [002113.SZA]), ratio:0.25004305549971184]
[2018-03-06 23:36:41.833776] INFO: algo: get splits [2016-09-27 00:00:00+00:00] [asset:Equity(2693 [300292.SZA]), ratio:0.2501295971253566]
[2018-03-06 23:36:41.835228] INFO: Position: position handle split[sid:2693, orig_amount:800, new_amount:3198.0, orig_cost:39.46183501448412,new_cost:9.87, ratio:0.2501295971253566, last_sale_price:9.649999857096256]
[2018-03-06 23:36:41.836360] INFO: Position: after split: asset: Equity(2693 [300292.SZA]), amount: 3198.0, cost_basis: 9.87, last_sale_price: 38.58
[2018-03-06 23:36:41.837569] INFO: Position: returning cash: 3.3
[2018-03-06 23:36:41.861966] INFO: algo: get splits [2016-09-28 00:00:00+00:00] [asset:Equity(2027 [002802.SZA]), ratio:0.997721155008083]
[2018-03-06 23:36:43.309158] INFO: Performance: Simulated 244 trading days out of 244.
[2018-03-06 23:36:43.310551] INFO: Performance: first open: 2016-01-04 01:30:00+00:00
[2018-03-06 23:36:43.311559] INFO: Performance: last close: 2016-12-30 07:00:00+00:00
- 收益率-1.94%
- 年化收益率-2.0%
- 基准收益率-11.28%
- 阿尔法0.06
- 贝塔0.74
- 夏普比率-0.16
- 胜率0.554
- 盈亏比0.887
- 收益波动率33.69%
- 信息比率0.32
- 最大回撤29.39%
[2018-03-06 23:36:45.749971] INFO: bigquant: backtest.v7 运行完成[37.333414s].