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# 本代码由可视化策略环境自动生成 2021年12月20日 14:13
# 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='2010-01-01',
    end_date='2015-01-01',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m2 = M.advanced_auto_labeler.v2(
    instruments=m1.data,
    label_expr="""# #号开始的表示注释
# 0. 每行一个，顺序执行，从第二个开始，可以使用label字段
# 1. 可用数据字段见 https://bigquant.com/docs/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
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.v5(
    training_ds=m13.data,
    features=m3.data,
    learning_algorithm='排序',
    number_of_leaves=30,
    minimum_docs_per_leaf=1000,
    number_of_trees=20,
    learning_rate=0.1,
    max_bins=1023,
    feature_fraction=1,
    m_lazy_run=False
)

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

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

m4 = M.strategy_style_show.v1(
    raw_perf=m19.raw_perf
)

[2021-12-20 11:34:32.071644] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-12-20 11:34:32.094084] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.096814] INFO: moduleinvoker: instruments.v2 运行完成[0.025186s].

[2021-12-20 11:34:32.122710] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2021-12-20 11:34:32.132183] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.136206] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.013504s].

[2021-12-20 11:34:32.143463] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-12-20 11:34:32.153743] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.155000] INFO: moduleinvoker: input_features.v1 运行完成[0.011541s].

[2021-12-20 11:34:32.182309] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-12-20 11:34:32.197808] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.200770] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.018463s].

[2021-12-20 11:34:32.219192] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-12-20 11:34:32.230689] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.231988] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.012792s].

[2021-12-20 11:34:32.244277] INFO: moduleinvoker: join.v3 开始运行..

[2021-12-20 11:34:32.253455] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.254739] INFO: moduleinvoker: join.v3 运行完成[0.010461s].

[2021-12-20 11:34:32.265351] INFO: moduleinvoker: dropnan.v1 开始运行..

[2021-12-20 11:34:32.276093] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.277481] INFO: moduleinvoker: dropnan.v1 运行完成[0.01213s].

[2021-12-20 11:34:32.299030] INFO: moduleinvoker: stock_ranker_train.v5 开始运行..

[2021-12-20 11:34:32.314805] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.438281] INFO: moduleinvoker: stock_ranker_train.v5 运行完成[0.139244s].

[2021-12-20 11:34:32.444322] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-12-20 11:34:32.455558] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.456966] INFO: moduleinvoker: instruments.v2 运行完成[0.012654s].

[2021-12-20 11:34:32.471816] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-12-20 11:34:32.483645] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.485079] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.013277s].

[2021-12-20 11:34:32.502859] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-12-20 11:34:32.518755] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.523027] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.020176s].

[2021-12-20 11:34:32.543725] INFO: moduleinvoker: dropnan.v1 开始运行..

[2021-12-20 11:34:32.554925] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.555911] INFO: moduleinvoker: dropnan.v1 运行完成[0.012189s].

[2021-12-20 11:34:32.582162] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..

[2021-12-20 11:34:32.603427] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:32.608643] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[0.026487s].

[2021-12-20 11:34:35.097125] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-12-20 11:34:35.105602] INFO: backtest: biglearning backtest:V8.6.0

[2021-12-20 11:34:35.107864] INFO: backtest: product_type:stock by specified

[2021-12-20 11:34:35.237804] INFO: moduleinvoker: cached.v2 开始运行..

[2021-12-20 11:34:35.255012] INFO: moduleinvoker: 命中缓存

[2021-12-20 11:34:35.256825] INFO: moduleinvoker: cached.v2 运行完成[0.019074s].

[2021-12-20 11:34:37.513547] INFO: algo: TradingAlgorithm V1.8.6

[2021-12-20 11:34:38.700925] INFO: algo: trading transform...

[2021-12-20 11:34:42.025223] INFO: algo: handle_splits get splits [dt:2015-05-11 00:00:00+00:00] [asset:Equity(929 [002381.SZA]), ratio:0.6573165655136108]

[2021-12-20 11:34:42.027012] INFO: Position: position stock handle split[sid:929, orig_amount:7300, new_amount:11105.0, orig_cost:21.760003699082365, new_cost:14.3032, ratio:0.6573165655136108, last_sale_price:14.059999465942383]

[2021-12-20 11:34:42.028205] INFO: Position: after split: PositionStock(asset:Equity(929 [002381.SZA]), amount:11105.0, cost_basis:14.3032, last_sale_price:21.389997482299805)

[2021-12-20 11:34:42.029236] INFO: Position: returning cash: 10.6852

[2021-12-20 11:34:42.165218] INFO: algo: handle_splits get splits [dt:2015-05-15 00:00:00+00:00] [asset:Equity(1694 [000736.SZA]), ratio:0.9987077116966248]

[2021-12-20 11:34:42.570104] INFO: algo: handle_splits get splits [dt:2015-05-22 00:00:00+00:00] [asset:Equity(2968 [300119.SZA]), ratio:0.9944382905960083]

[2021-12-20 11:34:42.571611] INFO: Position: position stock handle split[sid:2968, orig_amount:7900, new_amount:7944.0, orig_cost:16.692152447524837, new_cost:16.5993, ratio:0.9944382905960083, last_sale_price:17.880001068115234]

[2021-12-20 11:34:42.572750] INFO: Position: after split: PositionStock(asset:Equity(2968 [300119.SZA]), amount:7944.0, cost_basis:16.5993, last_sale_price:17.98000144958496)

[2021-12-20 11:34:42.573778] INFO: Position: returning cash: 3.2763

[2021-12-20 11:34:42.829413] INFO: algo: handle_splits get splits [dt:2015-06-02 00:00:00+00:00] [asset:Equity(1566 [300120.SZA]), ratio:0.9976426959037781]

[2021-12-20 11:34:42.830931] INFO: Position: position stock handle split[sid:1566, orig_amount:7500, new_amount:7517.0, orig_cost:19.440000892864383, new_cost:19.3942, ratio:0.9976426959037781, last_sale_price:21.160001754760742]

[2021-12-20 11:34:42.832021] INFO: Position: after split: PositionStock(asset:Equity(1566 [300120.SZA]), amount:7517.0, cost_basis:19.3942, last_sale_price:21.21000099182129)

[2021-12-20 11:34:42.832978] INFO: Position: returning cash: 15.2681

[2021-12-20 11:34:42.945970] INFO: algo: handle_splits get splits [dt:2015-06-05 00:00:00+00:00] [asset:Equity(568 [002671.SZA]), ratio:0.9965330958366394]

[2021-12-20 11:34:42.947570] INFO: Position: position stock handle split[sid:568, orig_amount:8900, new_amount:8930.0, orig_cost:15.899998878801396, new_cost:15.8449, ratio:0.9965330958366394, last_sale_price:20.120004653930664]

[2021-12-20 11:34:42.948782] INFO: Position: after split: PositionStock(asset:Equity(568 [002671.SZA]), amount:8930.0, cost_basis:15.8449, last_sale_price:20.190000534057617)

[2021-12-20 11:34:42.949873] INFO: Position: returning cash: 19.3714

[2021-12-20 11:34:43.057047] INFO: algo: handle_splits get splits [dt:2015-06-10 00:00:00+00:00] [asset:Equity(2055 [002714.SZA]), ratio:0.49969014525413513]

[2021-12-20 11:34:43.058525] INFO: Position: position stock handle split[sid:2055, orig_amount:1000, new_amount:2001.0, orig_cost:96.2500010945582, new_cost:48.0952, ratio:0.49969014525413513, last_sale_price:48.37000274658203]

[2021-12-20 11:34:43.059577] INFO: Position: after split: PositionStock(asset:Equity(2055 [002714.SZA]), amount:2001.0, cost_basis:48.0952, last_sale_price:96.79999542236328)

[2021-12-20 11:34:43.060509] INFO: Position: returning cash: 11.6179

[2021-12-20 11:34:43.339947] INFO: algo: handle_splits get splits [dt:2015-06-23 00:00:00+00:00] [asset:Equity(2410 [300077.SZA]), ratio:0.9998031258583069]

[2021-12-20 11:34:43.341528] INFO: Position: position stock handle split[sid:2410, orig_amount:2700, new_amount:2700.0, orig_cost:51.98999804876317, new_cost:51.9798, ratio:0.9998031258583069, last_sale_price:50.77000045776367]

[2021-12-20 11:34:43.343643] INFO: Position: after split: PositionStock(asset:Equity(2410 [300077.SZA]), amount:2700.0, cost_basis:51.9798, last_sale_price:50.779998779296875)

[2021-12-20 11:34:43.345280] INFO: Position: returning cash: 26.9926

[2021-12-20 11:34:43.524118] INFO: algo: handle_splits get splits [dt:2015-06-29 00:00:00+00:00] [asset:Equity(2145 [000716.SZA]), ratio:0.997473418712616]

[2021-12-20 11:34:43.525859] INFO: Position: position stock handle split[sid:2145, orig_amount:3700, new_amount:3709.0, orig_cost:23.85000107281935, new_cost:23.7897, ratio:0.997473418712616, last_sale_price:23.689992904663086]

[2021-12-20 11:34:43.527275] INFO: Position: after split: PositionStock(asset:Equity(2145 [000716.SZA]), amount:3709.0, cost_basis:23.7897, last_sale_price:23.75)

[2021-12-20 11:34:43.528405] INFO: Position: returning cash: 8.8134

[2021-12-20 11:34:43.824632] INFO: algo: handle_splits get splits [dt:2015-07-08 00:00:00+00:00] [asset:Equity(1574 [002133.SZA]), ratio:0.9865546822547913]

[2021-12-20 11:34:43.870559] INFO: algo: handle_splits get splits [dt:2015-07-09 00:00:00+00:00] [asset:Equity(528 [603869.SHA]), ratio:0.9944905042648315]

[2021-12-20 11:34:43.872242] INFO: Position: position stock handle split[sid:528, orig_amount:3300, new_amount:3318.0, orig_cost:28.980002258211275, new_cost:28.8203, ratio:0.9944905042648315, last_sale_price:14.44000244140625]

[2021-12-20 11:34:43.873547] INFO: Position: after split: PositionStock(asset:Equity(528 [603869.SHA]), amount:3318.0, cost_basis:28.8203, last_sale_price:14.520000457763672)

[2021-12-20 11:34:43.874715] INFO: Position: returning cash: 4.073

[2021-12-20 11:34:45.880258] INFO: algo: handle_splits get splits [dt:2015-09-17 00:00:00+00:00] [asset:Equity(449 [600446.SHA]), ratio:0.33293941617012024]

[2021-12-20 11:34:45.882389] INFO: Position: position stock handle split[sid:449, orig_amount:4200, new_amount:12614.0, orig_cost:150.97643035601573, new_cost:50.266, ratio:0.33293941617012024, last_sale_price:33.80999755859375]

[2021-12-20 11:34:45.885420] INFO: Position: after split: PositionStock(asset:Equity(449 [600446.SHA]), amount:12614.0, cost_basis:50.266, last_sale_price:101.54999542236328)

[2021-12-20 11:34:45.889235] INFO: Position: returning cash: 30.6889

[2021-12-20 11:34:50.062169] INFO: algo: handle_splits get splits [dt:2016-03-18 00:00:00+00:00] [asset:Equity(2455 [600145.SHA]), ratio:0.2527026832103729]

[2021-12-20 11:34:50.063900] INFO: Position: position stock handle split[sid:2455, orig_amount:27800, new_amount:110010.0, orig_cost:6.980000283129761, new_cost:1.7639, ratio:0.2527026832103729, last_sale_price:1.869999885559082]

[2021-12-20 11:34:50.065146] INFO: Position: after split: PositionStock(asset:Equity(2455 [600145.SHA]), amount:110010.0, cost_basis:1.7639, last_sale_price:7.400000095367432)

[2021-12-20 11:34:50.066279] INFO: Position: returning cash: 1.3159

[2021-12-20 11:34:51.177361] INFO: algo: handle_splits get splits [dt:2016-05-06 00:00:00+00:00] [asset:Equity(591 [600654.SHA]), ratio:0.9957947731018066]

[2021-12-20 11:34:51.179180] INFO: Position: position stock handle split[sid:591, orig_amount:28200, new_amount:28319.0, orig_cost:23.070212579512752, new_cost:22.9732, ratio:0.9957947731018066, last_sale_price:23.68000030517578]

[2021-12-20 11:34:51.180806] INFO: Position: after split: PositionStock(asset:Equity(591 [600654.SHA]), amount:28319.0, cost_basis:22.9732, last_sale_price:23.780000686645508)

[2021-12-20 11:34:51.183474] INFO: Position: returning cash: 2.0884

[2021-12-20 11:34:51.391577] INFO: algo: handle_splits get splits [dt:2016-05-16 00:00:00+00:00] [asset:Equity(116 [300081.SZA]), ratio:0.3987395465373993]

[2021-12-20 11:34:51.395102] INFO: Position: position stock handle split[sid:116, orig_amount:3400, new_amount:8526.0, orig_cost:35.13000167988079, new_cost:14.0077, ratio:0.3987395465373993, last_sale_price:13.919997215270996]

[2021-12-20 11:34:51.398640] INFO: Position: after split: PositionStock(asset:Equity(116 [300081.SZA]), amount:8526.0, cost_basis:14.0077, last_sale_price:34.90999984741211)

[2021-12-20 11:34:51.401609] INFO: Position: returning cash: 12.1007

[2021-12-20 11:34:53.678175] INFO: algo: handle_splits get splits [dt:2016-08-12 00:00:00+00:00] [asset:Equity(1260 [600578.SHA]), ratio:0.9562363624572754]

[2021-12-20 11:34:53.679889] INFO: Position: position stock handle split[sid:1260, orig_amount:30300, new_amount:31686.0, orig_cost:4.560002461953038, new_cost:4.3604, ratio:0.9562363624572754, last_sale_price:4.37000036239624]

[2021-12-20 11:34:53.682542] INFO: Position: after split: PositionStock(asset:Equity(1260 [600578.SHA]), amount:31686.0, cost_basis:4.3604, last_sale_price:4.570000171661377)

[2021-12-20 11:34:53.684667] INFO: Position: returning cash: 3.1744

[2021-12-20 11:34:56.830723] INFO: Performance: Simulated 488 trading days out of 488.

[2021-12-20 11:34:56.832566] INFO: Performance: first open: 2015-01-05 09:30:00+00:00

[2021-12-20 11:34:56.834322] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

[2021-12-20 11:35:03.842241] INFO: moduleinvoker: backtest.v8 运行完成[28.745121s].

[2021-12-20 11:35:03.844451] INFO: moduleinvoker: trade.v4 运行完成[31.010594s].

[2021-12-20 11:35:03.858617] INFO: moduleinvoker: strategy_style_show.v1 开始运行..

[2021-12-20 11:35:04.815242] INFO: moduleinvoker: strategy_style_show.v1 运行完成[0.956613s].

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-609955ab05824adc857d8bc088afe81b"}/bigcharts-data-end

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-f4701510ccdd4d0a8c8ee7299d52e9fe"}/bigcharts-data-end