克隆策略

In [18]:

# 本代码由可视化策略环境自动生成 2021年9月16日 15:47
# 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 = 1
    # 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 = 1
    context.options['hold_days'] = 1
    context.days = 0

# 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）
    
    if context.portfolio.portfolio_value < 1500000:
        stock_count = 1
    elif context.portfolio.portfolio_value >= 1500000 and context.portfolio.portfolio_value < 2000000:
        stock_count = 2
    else:
        stock_count = 3
        
    context.stock_weights = T.norm([1 / math.log(i + 2) for i in range(0, stock_count)])
    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
    if context.days % (context.options['hold_days'] + 1) == 0:
        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)

    context.days += 1
# 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.SHA',
    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.SHA'
)

[2021-09-16 11:19:28.061685] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-09-16 11:19:28.068874] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.070413] INFO: moduleinvoker: instruments.v2 运行完成[0.008734s].

[2021-09-16 11:19:28.077483] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2021-09-16 11:19:28.085119] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.086559] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.009073s].

[2021-09-16 11:19:28.089965] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-09-16 11:19:28.095830] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.097226] INFO: moduleinvoker: input_features.v1 运行完成[0.00726s].

[2021-09-16 11:19:28.116529] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-09-16 11:19:28.124923] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.126453] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.009943s].

[2021-09-16 11:19:28.132926] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

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[2021-09-16 11:19:28.142197] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.009271s].

[2021-09-16 11:19:28.149272] INFO: moduleinvoker: join.v3 开始运行..

[2021-09-16 11:19:28.159005] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.160557] INFO: moduleinvoker: join.v3 运行完成[0.011284s].

[2021-09-16 11:19:28.167583] INFO: moduleinvoker: dropnan.v1 开始运行..

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[2021-09-16 11:19:28.182296] INFO: moduleinvoker: stock_ranker_train.v5 开始运行..

[2021-09-16 11:19:28.192221] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.268432] INFO: moduleinvoker: stock_ranker_train.v5 运行完成[0.086124s].

[2021-09-16 11:19:28.273198] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-09-16 11:19:28.281520] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.282921] INFO: moduleinvoker: instruments.v2 运行完成[0.009725s].

[2021-09-16 11:19:28.293909] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-09-16 11:19:28.299375] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.300706] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.006806s].

[2021-09-16 11:19:28.306750] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-09-16 11:19:28.312187] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.313430] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.006689s].

[2021-09-16 11:19:28.320559] INFO: moduleinvoker: dropnan.v1 开始运行..

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[2021-09-16 11:19:28.327784] INFO: moduleinvoker: dropnan.v1 运行完成[0.007222s].

[2021-09-16 11:19:28.334526] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..

[2021-09-16 11:19:28.341875] INFO: moduleinvoker: 命中缓存

[2021-09-16 11:19:28.343199] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[0.008672s].

[2021-09-16 11:19:28.409038] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-09-16 11:19:28.414478] INFO: backtest: biglearning backtest:V8.5.0

[2021-09-16 11:19:28.415781] INFO: backtest: product_type:stock by specified

[2021-09-16 11:19:29.211229] INFO: moduleinvoker: cached.v2 开始运行..

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[2021-09-16 11:19:29.221993] INFO: moduleinvoker: cached.v2 运行完成[0.010783s].

[2021-09-16 11:19:32.390944] INFO: algo: TradingAlgorithm V1.8.5

[2021-09-16 11:19:33.613390] INFO: algo: trading transform...

[2021-09-16 11:19:35.221526] INFO: algo: handle_splits get splits [dt:2015-05-15 00:00:00+00:00] [asset:Equity(3125 [000736.SZA]), ratio:0.9987077116966248]

[2021-09-16 11:19:42.199922] INFO: Performance: Simulated 488 trading days out of 488.

[2021-09-16 11:19:42.201545] INFO: Performance: first open: 2015-01-05 09:30:00+00:00

[2021-09-16 11:19:42.202706] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

[2021-09-16 11:19:48.771458] INFO: moduleinvoker: backtest.v8 运行完成[20.362417s].

[2021-09-16 11:19:48.773191] INFO: moduleinvoker: trade.v4 运行完成[20.424789s].

设置测试数据集，查看训练迭代过程的NDCG

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-d2d6a6f961184845841593d3a23cb84a"}/bigcharts-data-end

收益率246.81%
年化收益率90.06%
基准收益率-6.33%
阿尔法1.13
贝塔1.03
夏普比率1.46
胜率0.58
盈亏比1.02
收益波动率50.89%
信息比率0.12
最大回撤65.7%

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-743d38ae11ba41fbbaabba87ac94d977"}/bigcharts-data-end