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# 本代码由可视化策略环境自动生成 2023年2月22日 18:36
# 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 m6_initialize_bigquant_run(context):
    # 加载股票指标数据,数据继承自m4模块
    context.indicator_data= context.options['data'].read_df().set_index('date')
    print('indicator data:',context.indicator_data.head())
    # 设置交易费用，买入是万三，卖出是千分之1.3，如果不足5元按5元算
    context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
     # 设置股票数量
    context.stock_num = 30
    
    # 调仓天数,22个交易日大概就是一个月。可以理解为一个月换仓一次
    context.rebalance_days = 22
    
    # 如果策略运行中，需要将数据进行保存，可以借用extension这个对象，类型为dict
    # 比如当前运行的k线的索引，比如个股持仓天数、买入均价
    if 'index' not in context.extension:
        context.extension['index'] = 0
# 回测引擎：每日数据处理函数，每天执行一次
def m6_handle_data_bigquant_run(context, data):
    # 按每个K线递增
    context.extension['index']+=1
    
    # 每隔22个交易日进行换仓
    if context.extension['index'] % context.rebalance_days !=0:
        return
    
    # 日期
    date = data.current_dt.strftime('%Y-%m-%d')
    
    # 买入股票列表
    stock_to_buy = context.indicator_data.loc[date]['instrument'][:context.stock_num]
    
    # 目前持仓列表    
    stock_hold_now = [equity.symbol for equity in context.portfolio.positions]
    # 继续持有股票列表
    no_need_to_sell = [i for i in stock_hold_now  if i in stock_to_buy]
    # 卖出股票列表 
    stock_to_sell = [i for i in stock_hold_now if i not in no_need_to_sell]
    # 执行卖出
    for stock in stock_to_sell:
        if data.can_trade(context.symbol(stock)):
            context.order_target_percent(context.symbol(stock), 0)
            
    # 如果当天没有买入就返回
    if len(stock_to_buy) == 0:
        return
    
    # 等权重
    weight = 1 / len(stock_to_buy)
    # 执行买入
    for  cp in stock_to_buy:
        if data.can_trade(context.symbol(cp)):
            context.order_target_percent(context.symbol(cp), weight)
# 回测引擎：准备数据，只执行一次
def m6_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 m6_before_trading_start_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2023-02-21'),
    end_date=T.live_run_param('trading_date', '2023-02-22'),
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m2 = M.input_features.v1(
    features="""pb_lf_0
pe_ttm_0
amount_0
fs_roe_ttm_0"""
)

m3 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m2.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m4 = M.sort.v5(
    input_ds=m3.data,
    sort_by='fs_roe_ttm_0',
    group_by='date',
    keep_columns='--',
    ascending=True
)

m5 = M.filter.v3(
    input_data=m4.sorted_data,
    expr='pb_lf_0 < 2 & pe_ttm_0 < 20 & amount_0 > 0 & pb_lf_0 > 0 & pe_ttm_0 > 0',
    output_left_data=False
)

m6 = M.trade.v4(
    instruments=m1.data,
    options_data=m5.data,
    start_date='',
    end_date='',
    initialize=m6_initialize_bigquant_run,
    handle_data=m6_handle_data_bigquant_run,
    prepare=m6_prepare_bigquant_run,
    before_trading_start=m6_before_trading_start_bigquant_run,
    volume_limit=0.025,
    order_price_field_buy='open',
    order_price_field_sell='open',
    capital_base=1000000,
    auto_cancel_non_tradable_orders=True,
    data_frequency='daily',
    price_type='后复权',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark='000300.HIX'
)

[2022-08-07 16:21:49.407043] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-08-07 16:21:49.425990] INFO: moduleinvoker: 命中缓存

[2022-08-07 16:21:49.428255] INFO: moduleinvoker: instruments.v2 运行完成[0.021243s].

[2022-08-07 16:21:49.435754] INFO: moduleinvoker: input_features.v1 开始运行..

[2022-08-07 16:21:49.489858] INFO: moduleinvoker: input_features.v1 运行完成[0.054083s].

[2022-08-07 16:21:49.511143] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2022-08-07 16:22:01.991833] INFO: 基础特征抽取: 年份 2020, 特征行数=243745

[2022-08-07 16:22:06.445218] INFO: 基础特征抽取: 年份 2021, 特征行数=1061527

[2022-08-07 16:22:08.483505] INFO: 基础特征抽取: 年份 2022, 特征行数=661306

[2022-08-07 16:22:08.736681] INFO: 基础特征抽取: 总行数: 1966578

[2022-08-07 16:22:08.744901] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[19.233764s].

[2022-08-07 16:22:08.759007] INFO: moduleinvoker: sort.v5 开始运行..

[2022-08-07 16:22:12.327979] INFO: moduleinvoker: sort.v5 运行完成[3.56899s].

[2022-08-07 16:22:12.345174] INFO: moduleinvoker: filter.v3 开始运行..

[2022-08-07 16:22:12.364702] INFO: filter: 使用表达式 pb_lf_0 < 2 & pe_ttm_0 < 20 & amount_0 > 0 & pb_lf_0 > 0 & pe_ttm_0 > 0 过滤

[2022-08-07 16:22:13.300863] INFO: filter: 过滤 /data, 278984/0/1966578

[2022-08-07 16:22:13.349685] INFO: moduleinvoker: filter.v3 运行完成[1.004493s].

[2022-08-07 16:22:18.985420] INFO: moduleinvoker: backtest.v8 开始运行..

[2022-08-07 16:22:18.992163] INFO: backtest: biglearning backtest:V8.6.2

[2022-08-07 16:22:18.994786] INFO: backtest: product_type:stock by specified

[2022-08-07 16:22:19.148318] INFO: moduleinvoker: cached.v2 开始运行..

[2022-08-07 16:22:27.129817] INFO: backtest: 读取股票行情完成:2979307

[2022-08-07 16:22:29.822684] INFO: moduleinvoker: cached.v2 运行完成[10.67437s].

[2022-08-07 16:22:33.266224] INFO: algo: TradingAlgorithm V1.8.8

[2022-08-07 16:22:34.364957] INFO: algo: trading transform...

[2022-08-07 16:22:40.120388] INFO: Performance: Simulated 382 trading days out of 382.

[2022-08-07 16:22:40.122826] INFO: Performance: first open: 2021-01-04 09:30:00+00:00

[2022-08-07 16:22:40.125065] INFO: Performance: last close: 2022-08-01 15:00:00+00:00

[2022-08-07 16:22:47.070744] INFO: moduleinvoker: backtest.v8 运行完成[28.085331s].

[2022-08-07 16:22:47.073075] INFO: moduleinvoker: trade.v4 运行完成[33.701813s].

indicator data:               amount_0  fs_roe_ttm_0  instrument   pb_lf_0   pe_ttm_0
date                                                                 
2020-10-09  22280739.0        2.2250  600781.SHA  0.433295  19.474195
2020-10-09  32406875.0        3.2346  601588.SHA  0.616726  16.136610
2020-10-09  32112658.0        3.4204  601992.SHA  0.722269  15.291884
2020-10-09  39284865.0        3.5951  000926.SZA  0.456032  12.580019
2020-10-09  21912329.0        3.5997  600717.SHA  0.675086  18.753801

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