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克隆策略

In [1]:

# 本代码由可视化策略环境自动生成 2023年1月14日 11:37
# 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 = 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

# 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='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)
rank(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
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=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
)

m13 = M.dropnan.v1(
    input_data=m7.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', '2021-01-01'),
    end_date=T.live_run_param('trading_date', '2021-12-31'),
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

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

m14 = M.dropnan.v1(
    input_data=m18.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=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'
)

[2023-01-13 11:24:12.927357] INFO: moduleinvoker: instruments.v2 开始运行..

[2023-01-13 11:24:12.942441] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:24:12.944687] INFO: moduleinvoker: instruments.v2 运行完成[0.017332s].

[2023-01-13 11:24:12.956423] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2023-01-13 11:24:15.614362] INFO: 自动标注(股票): 加载历史数据: 2647809 行

[2023-01-13 11:24:15.616655] INFO: 自动标注(股票): 开始标注 ..

[2023-01-13 11:24:21.546107] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[8.589682s].

[2023-01-13 11:24:21.553018] INFO: moduleinvoker: input_features.v1 开始运行..

[2023-01-13 11:24:21.561696] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:24:21.564974] INFO: moduleinvoker: input_features.v1 运行完成[0.011928s].

[2023-01-13 11:24:21.586953] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2023-01-13 11:24:21.594435] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:24:21.596374] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.009441s].

[2023-01-13 11:24:21.612095] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2023-01-13 11:24:21.622698] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:24:21.624637] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.012542s].

[2023-01-13 11:24:21.636730] INFO: moduleinvoker: join.v3 开始运行..

[2023-01-13 11:24:27.910866] INFO: join: /y_2017, 行数=0/193398, 耗时=1.155046s

[2023-01-13 11:24:31.193176] INFO: join: /y_2018, 行数=813508/816987, 耗时=3.278872s

[2023-01-13 11:24:34.639009] INFO: join: /y_2019, 行数=881288/884867, 耗时=3.439335s

[2023-01-13 11:24:38.354838] INFO: join: /y_2020, 行数=919362/945961, 耗时=3.707702s

[2023-01-13 11:24:38.528931] INFO: join: 最终行数: 2614158

[2023-01-13 11:24:38.545849] INFO: moduleinvoker: join.v3 运行完成[16.909116s].

[2023-01-13 11:24:38.555995] INFO: moduleinvoker: dropnan.v1 开始运行..

[2023-01-13 11:24:39.488847] INFO: dropnan: /y_2017, 0/0

[2023-01-13 11:24:42.190602] INFO: dropnan: /y_2018, 811828/813508

[2023-01-13 11:24:45.186977] INFO: dropnan: /y_2019, 877946/881288

[2023-01-13 11:24:48.167699] INFO: dropnan: /y_2020, 911045/919362

[2023-01-13 11:24:49.025639] INFO: dropnan: 行数: 2600819/2614158

[2023-01-13 11:24:49.044335] INFO: moduleinvoker: dropnan.v1 运行完成[10.488327s].

[2023-01-13 11:24:49.060675] INFO: moduleinvoker: stock_ranker_train.v6 开始运行..

[2023-01-13 11:24:55.682080] INFO: StockRanker: 特征预处理 ..

[2023-01-13 11:24:59.913719] INFO: StockRanker: prepare data: training ..

[2023-01-13 11:25:03.971858] INFO: StockRanker: sort ..

[2023-01-13 11:25:38.571218] INFO: StockRanker训练: d5d74b34 准备训练: 2600819 行数

[2023-01-13 11:25:38.573506] INFO: StockRanker训练: AI模型训练，将在2600819*13=3381.06万数据上对模型训练进行20轮迭代训练。预计将需要11～21分钟。请耐心等待。

[2023-01-13 11:25:38.913247] INFO: StockRanker训练: 正在训练 ..

[2023-01-13 11:25:38.970982] INFO: StockRanker训练: 任务状态: Pending

[2023-01-13 11:25:49.015993] INFO: StockRanker训练: 任务状态: Running

[2023-01-13 11:27:09.390193] INFO: StockRanker训练: 00:01:16.4565853, finished iteration 1

[2023-01-13 11:27:19.445297] INFO: StockRanker训练: 00:01:28.5763867, finished iteration 2

[2023-01-13 11:27:29.491606] INFO: StockRanker训练: 00:01:41.1767896, finished iteration 3

[2023-01-13 11:27:39.551492] INFO: StockRanker训练: 00:01:54.7674631, finished iteration 4

[2023-01-13 11:27:59.633415] INFO: StockRanker训练: 00:02:07.9149647, finished iteration 5

[2023-01-13 11:28:09.678817] INFO: StockRanker训练: 00:02:21.1597011, finished iteration 6

[2023-01-13 11:28:19.728386] INFO: StockRanker训练: 00:02:35.5081474, finished iteration 7

[2023-01-13 11:28:39.816244] INFO: StockRanker训练: 00:02:50.7841497, finished iteration 8

[2023-01-13 11:28:59.921504] INFO: StockRanker训练: 00:03:07.2634733, finished iteration 9

[2023-01-13 11:29:09.964367] INFO: StockRanker训练: 00:03:23.6284427, finished iteration 10

[2023-01-13 11:29:30.050686] INFO: StockRanker训练: 00:03:40.0505785, finished iteration 11

[2023-01-13 11:29:50.138789] INFO: StockRanker训练: 00:03:57.3365174, finished iteration 12

[2023-01-13 11:30:00.210708] INFO: StockRanker训练: 00:04:14.7910782, finished iteration 13

[2023-01-13 11:30:20.315110] INFO: StockRanker训练: 00:04:32.1618753, finished iteration 14

[2023-01-13 11:30:40.430954] INFO: StockRanker训练: 00:04:48.6287251, finished iteration 15

[2023-01-13 11:30:50.475039] INFO: StockRanker训练: 00:05:05.1503083, finished iteration 16

[2023-01-13 11:31:10.549820] INFO: StockRanker训练: 00:05:21.7516315, finished iteration 17

[2023-01-13 11:31:30.654214] INFO: StockRanker训练: 00:05:38.9260686, finished iteration 18

[2023-01-13 11:31:40.701016] INFO: StockRanker训练: 00:05:56.5669938, finished iteration 19

[2023-01-13 11:32:00.838987] INFO: StockRanker训练: 00:06:14.2462196, finished iteration 20

[2023-01-13 11:32:00.841724] INFO: StockRanker训练: 任务状态: Succeeded

[2023-01-13 11:32:01.433022] INFO: moduleinvoker: stock_ranker_train.v6 运行完成[432.372319s].

[2023-01-13 11:32:01.442736] INFO: moduleinvoker: instruments.v2 开始运行..

[2023-01-13 11:32:01.454573] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:32:01.457217] INFO: moduleinvoker: instruments.v2 运行完成[0.014483s].

[2023-01-13 11:32:01.479949] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2023-01-13 11:32:01.494138] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:32:01.496327] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.016418s].

[2023-01-13 11:32:01.506007] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2023-01-13 11:32:01.518321] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:32:01.523255] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.017243s].

[2023-01-13 11:32:01.533657] INFO: moduleinvoker: dropnan.v1 开始运行..

[2023-01-13 11:32:01.550527] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:32:01.552433] INFO: moduleinvoker: dropnan.v1 运行完成[0.01878s].

[2023-01-13 11:32:01.760023] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..

[2023-01-13 11:32:06.946706] INFO: StockRanker预测: /y_2020 ..

[2023-01-13 11:32:08.980503] INFO: StockRanker预测: /y_2021 ..

[2023-01-13 11:32:12.515106] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[10.755087s].

[2023-01-13 11:32:16.227620] INFO: moduleinvoker: backtest.v8 开始运行..

[2023-01-13 11:32:16.234872] INFO: backtest: biglearning backtest:V8.6.3

[2023-01-13 11:32:16.236346] INFO: backtest: product_type:stock by specified

[2023-01-13 11:32:16.298751] INFO: moduleinvoker: cached.v2 开始运行..

[2023-01-13 11:32:16.315021] INFO: moduleinvoker: 命中缓存

[2023-01-13 11:32:16.316804] INFO: moduleinvoker: cached.v2 运行完成[0.018075s].

[2023-01-13 11:32:26.662400] INFO: backtest: algo history_data=DataSource(a929ac626e724fc5a53ed51cf775e582T)

[2023-01-13 11:32:26.664395] INFO: algo: TradingAlgorithm V1.8.9

[2023-01-13 11:32:29.648474] INFO: algo: trading transform...

[2023-01-13 11:32:38.521449] INFO: Performance: Simulated 243 trading days out of 243.

[2023-01-13 11:32:38.523724] INFO: Performance: first open: 2021-01-04 09:30:00+00:00

[2023-01-13 11:32:38.526834] INFO: Performance: last close: 2021-12-31 15:00:00+00:00

[2023-01-13 11:32:42.260186] INFO: moduleinvoker: backtest.v8 运行完成[26.032503s].

[2023-01-13 11:32:42.262841] INFO: moduleinvoker: trade.v4 运行完成[29.735005s].

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-f6f65994ccaf450c862a4f2e3ae7cb48"}/bigcharts-data-end

收益率56.65%
年化收益率59.28%
基准收益率-5.2%
阿尔法0.6
贝塔0.29
夏普比率2.55
胜率0.56
盈亏比1.47
收益波动率17.69%
信息比率0.15
最大回撤5.77%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-c40c4b30032a482b8dd2c46a2a563c87"}/bigcharts-data-end

In [3]:

m2.plot_label_counts()

In [ ]: