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In [5]:
# 回测引擎：初始化函数，只执行一次
def m6_initialize_bigquant_run(context):
    # 加载预测数据
    context.test_data = context.options['data'].read_df()
    
    print(66666666666666666666666666666666666666666666,context.test_data)
    # 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10只
    context.stock_count = 10
    context.stock_weights = 1/context.stock_count
    context.hold_days = 1

# 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):
    
    if context.trading_day_index % context.hold_days != 0:
        return 
    
    today = data.current_dt.strftime('%Y-%m-%d')
    # 获取当前持仓
    positions = {e.symbol: p.amount for e, p in context.portfolio.positions.items()}
    print(positions)
    # 按日期过滤得到今日数据
    today_data = context.test_data[context.test_data.date == today]
    print(77777777777777777777777777,today_data)
    #今日需要买入的股票
    stocks_buy = today_data.instrument.iloc[0:context.stock_count].to_list()
    stocks_buy_name = today_data.name.iloc[0:context.stock_count].to_list() #打印显示用
    print(today,"买入股票池：",stocks_buy,'\n',stocks_buy_name)
   
    #卖出
    for instrument in positions.keys():
        if instrument not in stocks_buy:
            context.order_target(context.symbol(instrument), 0)
            print(today,"sell",instrument)
    #买入
    cash_per_instrument = context.portfolio.portfolio_value * context.stock_weights
    print(cash_per_instrument)
    for instrument in stocks_buy:
        if instrument not in positions.keys():
#             context.order_value(context.symbol(instrument), value=cash_per_instrument)
            context.order_value(context.symbol(instrument), value=100000)
            print(today,"buy",instrument)          
    
# 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


def calcu_stm(df,num=5):
    df['stm'] = df["dtm"].rolling(num, center=True).sum()
    return df.stm
def get_stm(df,close_0,close_1,dtm):
    return df.groupby('instrument', group_keys=False).apply(calcu_stm)


def calcu_sbm(df,num=5):
    df['sbm'] = df["dbm"].rolling(num, center=True).sum()
#      df['sbm'] = df[df["close_0"]<df["close_1"]]["dbm"].rolling(num, center=True).sum()
#     df.loc[df["close_0"]<df["close_1"] , 'sbm'] = df["dbm"].rolling(num, center=True).sum()
    return df.sbm
def get_sbm(df,close_0,close_1,dbm):
    return df.groupby('instrument', group_keys=False).apply(calcu_sbm)

def get_diff(df):
    df.diff=df.stm-df.sbm
    return df.diff
def get_factor(df):
    df.loc[df["stm"]<=df["sbm"] , 'factor'] =df.diff/df.sbm
    df.loc[df["stm"]>df["sbm"] , 'factor'] =-df.diff/df.stm
    #df.loc[df["high_1"]==df["low_1"] , 'factor'] =np.nan
#     df.loc[df["high_1"]==df["low_1"] , 'factor'] =-10000000000
    return df.factor.shift()

def handle_order(context, order):
    """委托回报推送"""
    msg = "handle_order data:{}".format(order.log_str())
    context.write_log(msg, stdout=1)
         
def handle_trade(context, trade):
    """成交回报推送"""
    msg = "handle_trade data:{}".format(trade.log_str())
    context.write_log(msg, stdout=1) 
    # 分别获取最新的多头持仓和空头持仓
    position_long = context.get_position(trade.symbol, Direction.LONG)
    position_short = context.get_position(trade.symbol, Direction.SHORT)
    msg = "当前多头持仓:{} 当前空头持仓:{}".format(str(position_long),str(position_short))
    context.write_log(msg, stdout=1) 

# 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)'

m10_user_functions_bigquant_run = {
   
    'get_stm':  get_stm,
    'get_sbm':  get_sbm,
    'get_diff':  get_diff,
    'get_factor':get_factor
}

m1 = M.instruments.v2(
    start_date='2022-01-01',
    end_date='2022-02-01',
    market='CN_STOCK_A',
    instrument_list=
    """
    """,
    max_count=0
)

m2 = M.input_features.v1(
    features=
    """
    close_1
    high_0
    open_0
    low_0
    close_0
    high_1
    low_1
    dtm=max(high_0-open_0,close_0-close_1)
    dbm=max(open_0-low_0,close_1-close_0)
    in_csi300_0
    """
)

m7 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m2.data,
    start_date='',
    end_date='',
    m_cached=False
)

m3 = M.input_features.v1(
    features=
    """
    r=relative_ret(close_0)
    """
)
m4 = M.input_features.v1(
    features=
    """
    high_1=high_1
    low_1=low_1
    stm=get_stm(close_0,close_1,dtm)
    sbm=get_sbm(close_0,close_1,dbm)
    diff=get_diff()
    factor=get_factor()
    """
)


m8 = M.derived_feature_extractor.v3(
    input_data=m7.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
)

m9 = M.derived_feature_extractor.v3(
    input_data=m8.data,
    features=m2.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m10 = M.derived_feature_extractor.v3(
    input_data=m9.data,
    features=m4.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions=m10_user_functions_bigquant_run
)

m44 = M.chinaa_stock_filter.v1(
    input_data=m10.data,
    index_constituent_cond=['全部'],
    board_cond=['上证主板', '深证主板', '创业板'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

m5 = M.filter.v3(
    input_data=m44.data,
    expr='in_csi300_0==1 or in_csi300_0==0',
    output_left_data=False
)


m11 = M.use_datasource.v1(
    instruments=m1.data,
    datasource_id='instruments_CN_STOCK_A',
    start_date='',
    end_date=''
)


m12 = M.join.v3(
    data1=m5.data,
    data2=m11.data,
    on='date,instrument',
    how='inner',
    sort=False
)


m13 = M.sort.v5(
    input_ds=m12.data,
    sort_by='factor',
    group_by='date',
    keep_columns='--',
    ascending=False
)

m14 = M.trade.v4(
    instruments=m1.data,
    options_data=m13.sorted_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,
    order_price_field_buy='open',
    order_price_field_sell='open',
    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='000905.HIX'
)

66666666666666666666666666666666666666666666            close_0      close_1       date       high_0  in_csi300_0  \
0      1864.619995  1844.473999 2022-01-04  1864.619995            1   
1      3334.489746  3215.691406 2022-01-04  3360.527832            1   
2        81.236603    78.920197 2022-01-04    81.886818            0   
3       171.585342   168.933914 2022-01-04   172.342896            0   
4        66.104462    65.880379 2022-01-04    67.673042            0   
...            ...          ...        ...          ...          ...   
44455    15.720000    15.690000 2022-01-18    15.780000            0   
44456    39.459999    40.480000 2022-01-18    40.669998            0   
44457    37.925297    39.436264 2022-01-18    39.889557            0   
44458    17.430000    18.110001 2022-01-18    18.000000            0   
44459    13.220000    13.880000 2022-01-18    13.880000            0   

       instrument        low_0       open_0         dtm        dbm  \
0      000001.SZA  1810.897461  1844.473999   20.145996  33.576538   
1      000002.SZA  3150.596436  3171.752441  188.775391  21.156006   
2      000004.SZA    78.879562    78.879562    3.007256   0.000000   
3      000006.SZA   167.040039   168.555130    3.787766   1.515091   
4      000008.SZA    63.863636    66.328545    1.344498   2.464909   
...           ...          ...          ...         ...        ...   
44455  605580.SHA    15.560000    15.690000    0.090000   0.129999   
44456  605588.SHA    39.400002    40.400002    0.269997   1.020000   
44457  605589.SHA    37.643250    39.436264    0.453293   1.793015   
44458  605598.SHA    16.600000    17.980000    0.020000   1.379999   
44459  605599.SHA    13.160000    13.780000    0.100000   0.660000   

            high_1        low_1         stm         sbm        diff    factor  \
0      1891.481201  1835.520264  135.425537  105.206421   30.219116  0.343303   
1      3249.866455  3108.284912  616.774658  144.836426  471.938232       NaN   
2        80.261276    78.838921   16.621201    5.567490   11.053711       NaN   
3       170.070236   165.524933   14.014694    4.924088    9.090607       NaN   
4        67.897125    59.606060   17.254379    7.618813    9.635567       NaN   
...            ...          ...         ...         ...         ...       ...   
44455    15.740000    15.510000         NaN         NaN         NaN       NaN   
44456    40.889999    38.799999         NaN         NaN         NaN       NaN   
44457    39.436264    36.877693         NaN         NaN         NaN       NaN   
44458    18.150000    17.510000         NaN         NaN         NaN       NaN   
44459    13.890000    13.500000         NaN         NaN         NaN       NaN   

       name  
0      平安银行  
1       万科A  
2      国华网安  
3      深振业A  
4      神州高铁  
...     ...  
44455  恒盛能源  
44456  冠石科技  
44457  圣泉集团  
44458  上海港湾  
44459  菜百股份  

[44460 rows x 17 columns]

{}
77777777777777777777777777           close_0      close_1       date       high_0  in_csi300_0  \
0     1864.619995  1844.473999 2022-01-04  1864.619995            1   
1     3334.489746  3215.691406 2022-01-04  3360.527832            1   
2       81.236603    78.920197 2022-01-04    81.886818            0   
3      171.585342   168.933914 2022-01-04   172.342896            0   
4       66.104462    65.880379 2022-01-04    67.673042            0   
...           ...          ...        ...          ...          ...   
4033    16.370001    16.230000 2022-01-04    16.459999            0   
4034    39.750000    39.410000 2022-01-04    39.950001            0   
4035    37.119446    38.580051 2022-01-04    38.378586            0   
4036    15.990000    15.930000 2022-01-04    16.240000            0   
4037    13.710000    13.460000 2022-01-04    14.200000            0   

      instrument        low_0       open_0         dtm        dbm  \
0     000001.SZA  1810.897461  1844.473999   20.145996  33.576538   
1     000002.SZA  3150.596436  3171.752441  188.775391  21.156006   
2     000004.SZA    78.879562    78.879562    3.007256   0.000000   
3     000006.SZA   167.040039   168.555130    3.787766   1.515091   
4     000008.SZA    63.863636    66.328545    1.344498   2.464909   
...          ...          ...          ...         ...        ...   
4033  605580.SHA    16.200001    16.230000    0.230000   0.029999   
4034  605588.SHA    39.279999    39.299999    0.650002   0.020000   
4035  605589.SHA    36.343819    38.287930    0.090656   1.944111   
4036  605598.SHA    15.940000    15.940000    0.300000   0.000000   
4037  605599.SHA    13.480000    13.690000    0.510000   0.210000   

           high_1        low_1         stm         sbm        diff    factor  \
0     1891.481201  1835.520264  135.425537  105.206421   30.219116  0.343303   
1     3249.866455  3108.284912  616.774658  144.836426  471.938232       NaN   
2       80.261276    78.838921   16.621201    5.567490   11.053711       NaN   
3      170.070236   165.524933   14.014694    4.924088    9.090607       NaN   
4       67.897125    59.606060   17.254379    7.618813    9.635567       NaN   
...           ...          ...         ...         ...         ...       ...   
4033    16.400000    16.200001    0.619999    0.699997   -0.079998       NaN   
4034    39.740002    39.110001    2.920006    1.639999    1.280006       NaN   
4035    40.725624    38.106613    4.502682    6.446796   -1.944115       NaN   
4036    16.430000    15.910000    4.420001    0.619999    3.800002       NaN   
4037    13.590000    12.970000    3.110002    1.959998    1.150003       NaN   

      name  
0     平安银行  
1      万科A  
2     国华网安  
3     深振业A  
4     神州高铁  
...    ...  
4033  恒盛能源  
4034  冠石科技  
4035  圣泉集团  
4036  上海港湾  
4037  菜百股份  

[4038 rows x 17 columns]
2022-01-04 买入股票池： ['000001.SZA', '000002.SZA', '000004.SZA', '000006.SZA', '000008.SZA', '000009.SZA', '000010.SZA', '000011.SZA', '000012.SZA', '000014.SZA'] 
 ['平安银行', '万科A', '国华网安', '深振业A', '神州高铁', '中国宝安', '美丽生态', '深物业A', '南玻A', '沙河股份']
100000.0
2022-01-04 buy 000001.SZA
2022-01-04 buy 000002.SZA
2022-01-04 buy 000004.SZA
2022-01-04 buy 000006.SZA
2022-01-04 buy 000008.SZA
2022-01-04 buy 000009.SZA
2022-01-04 buy 000010.SZA
2022-01-04 buy 000011.SZA
2022-01-04 buy 000012.SZA
2022-01-04 buy 000014.SZA
{'000001.SZA': 6000, '000002.SZA': 4800, '000004.SZA': 5000, '000006.SZA': 22000, '000008.SZA': 33800, '000009.SZA': 7100, '000010.SZA': 26100, '000011.SZA': 8400, '000012.SZA': 10100, '000014.SZA': 12200}
77777777777777777777777777          close_0     close_1       date      high_0  in_csi300_0  instrument  \
4038   12.700092   11.549026 2022-01-05   12.700092            0  600272.SHA   
4039  114.721703  108.228027 2022-01-05  119.050827            0  002605.SZA   
4040   28.071075   27.585417 2022-01-05   28.556734            0  002495.SZA   
4041   47.053112   46.822178 2022-01-05   49.073799            0  300279.SZA   
4042  136.398758  134.918182 2022-01-05  138.804718            0  300070.SZA   
...          ...         ...        ...         ...          ...         ...   
8072   17.428699   17.090893 2022-01-05   18.801037            0  002722.SZA   
8073   18.209999   20.010000 2022-01-05   20.480000            0  301127.SZA   
8074   36.464050   34.974201 2022-01-05   38.140129            0  600847.SHA   
8075   57.880001         NaN 2022-01-05   63.580002            0  600941.SHA   
8076    2.970000    2.700000 2022-01-05    2.970000            0  603176.SHA   

           low_0      open_0        dtm       dbm      high_1       low_1  \
4038   12.700092   12.700092   1.151066  0.000000   11.549026   11.549026   
4039  108.273117  108.453499  10.597328  0.180382  109.580872  102.500961   
4040   27.294022   27.294022   1.262712  0.000000   28.168207   25.934177   
4041   45.609764   45.956169   3.117630  0.346405   50.921284   44.108685   
4042  134.918182  134.918182   3.886536  0.000000  135.658478  133.067444   
...          ...         ...        ...       ...         ...         ...   
8072   17.154232   18.801037   0.337807  1.646805   17.302021   17.016998   
8073   18.059999   20.000000   0.480000  1.940001   20.980000   19.620001   
8074   33.447105   35.197678   2.942451  1.750572   34.974201   30.448786   
8075   57.750000   63.000000        NaN       NaN         NaN         NaN   
8076    2.970000    2.970000   0.270000  0.000000    2.700000    2.700000   

            stm       sbm       diff    factor  name  
4038   7.213346  0.000000   7.213346  0.991892  开开实业  
4039  36.166199  8.297478  27.868721  0.968410  姚记科技  
4040   5.827904  0.971317   4.856586  0.950000  佳隆股份  
4041  21.072872  2.655762  18.417110  0.947658  和晶科技  
4042  13.140167  2.961182  10.178986  0.947368   碧水源  
...         ...       ...        ...       ...   ...  
8072   1.393450  3.863659  -2.470209       NaN  金轮股份  
8073   4.829994  6.410002  -1.580008       NaN   C天源  
8074        NaN       NaN        NaN       NaN  万里股份  
8075        NaN       NaN        NaN       NaN  中国移动  
8076        NaN       NaN        NaN       NaN  汇通集团  

[4039 rows x 17 columns]
2022-01-05 买入股票池： ['600272.SHA', '002605.SZA', '002495.SZA', '300279.SZA', '300070.SZA', '002443.SZA', '600720.SHA', '600493.SHA', '002987.SZA', '000778.SZA'] 
 ['开开实业', '姚记科技', '佳隆股份', '和晶科技', '碧水源', '金洲管道', '祁连山', '凤竹纺织', '京北方', '新兴铸管']
2022-01-05 sell 000001.SZA
2022-01-05 sell 000002.SZA
2022-01-05 sell 000004.SZA
2022-01-05 sell 000006.SZA
2022-01-05 sell 000008.SZA
2022-01-05 sell 000009.SZA
2022-01-05 sell 000010.SZA
2022-01-05 sell 000011.SZA
2022-01-05 sell 000012.SZA
2022-01-05 sell 000014.SZA
101135.50153877426
2022-01-05 buy 600272.SHA
2022-01-05 buy 002605.SZA
2022-01-05 buy 002495.SZA
2022-01-05 buy 300279.SZA
2022-01-05 buy 300070.SZA
2022-01-05 buy 002443.SZA
2022-01-05 buy 600720.SHA
2022-01-05 buy 600493.SHA
2022-01-05 buy 002987.SZA
2022-01-05 buy 000778.SZA
{'600272.SHA': 10000, '002605.SZA': 3900, '002495.SZA': 34600, '300279.SZA': 12200, '300070.SZA': 13500, '002443.SZA': 11300, '600720.SHA': 9300, '600493.SHA': 15100, '002987.SZA': 2700, '000778.SZA': 21900}
77777777777777777777777777           close_0     close_1       date      high_0  in_csi300_0  instrument  \
8077    13.966265   12.700092 2022-01-06   13.966265            0  600272.SHA   
8078    30.373659   27.597120 2022-01-06   30.373659            0  600077.SHA   
8079   267.246124  270.005402 2022-01-06  271.270050            0  600071.SHA   
8080    54.511280   53.207478 2022-01-06   55.721951            0  603138.SHA   
8081   132.147293  129.839569 2022-01-06  134.090637            0  600720.SHA   
...           ...         ...        ...         ...          ...         ...   
12111   21.687616   21.819857 2022-01-06   21.996180            0  002344.SZA   
12112   39.190044   39.624283 2022-01-06   39.841404            0  000753.SZA   
12113  174.080658  177.319809 2022-01-06  194.348434            0  300261.SZA   
12114   58.000000   57.880001 2022-01-06   59.330002            0  600941.SHA   
12115    3.270000    2.970000 2022-01-06    3.270000            0  603176.SHA   

            low_0      open_0       dtm        dbm      high_1       low_1  \
8077    12.943095   12.943095  1.266172   0.000000   12.700092   12.700092   
8078    30.373659   30.373659  2.776539   0.000000   27.597120   27.597120   
8079   262.877319  270.062897  1.207153   7.185577  285.123871  257.531219   
8080    52.555580   52.555580  3.166370   0.000000   56.125507   51.344906   
8081   128.867905  129.110825  4.979813   0.242920  130.325409  127.653313   
...           ...         ...       ...        ...         ...         ...   
12111   21.467213   21.908018  0.088161   0.440805   22.481066   21.643536   
12112   38.972923   39.515724  0.325680   0.542801   39.732841   37.995888   
12113  164.733429  185.001190  9.347244  20.267761  177.319809  163.437775   
12114   57.580002   57.880001  1.450001   0.299999   63.580002   57.750000   
12115    3.270000    3.270000  0.300000   0.000000    2.970000    2.970000   

             stm        sbm       diff    factor  name  
8077    7.929564   0.115107   7.814458  1.000000  开开实业  
8078   11.358570   3.197227   8.161343  0.984849  宋都股份  
8079    8.335281  76.339615 -68.004333  0.972310  凤凰光学  
8080   22.816502   0.031044  22.785458  0.966011  海量数据  
8081   15.425262   1.336060  14.089203  0.940677   祁连山  
...          ...        ...        ...       ...   ...  
12111   1.234253   1.983624  -0.749371 -0.000000  海宁皮城  
12112   4.342388   4.016712   0.325676 -0.000000  漳州发展  
12113  94.675461  57.101410  37.574051       NaN  雅本化学  
12114        NaN        NaN        NaN       NaN  中国移动  
12115   1.510000   0.000000   1.510000       NaN  汇通集团  

[4039 rows x 17 columns]
2022-01-06 买入股票池： ['600272.SHA', '600077.SHA', '600071.SHA', '603138.SHA', '600720.SHA', '300725.SZA', '000402.SZA', '600132.SHA', '002821.SZA', '300059.SZA'] 
 ['开开实业', '宋都股份', '凤凰光学', '海量数据', '祁连山', '药石科技', '金融街', '重庆啤酒', '凯莱英', '东方财富']
2022-01-06 sell 002605.SZA
2022-01-06 sell 002495.SZA
2022-01-06 sell 300279.SZA
2022-01-06 sell 300070.SZA
2022-01-06 sell 002443.SZA
2022-01-06 sell 600493.SHA
2022-01-06 sell 002987.SZA
2022-01-06 sell 000778.SZA
106700.68534662365
2022-01-06 buy 600077.SHA
2022-01-06 buy 600071.SHA
2022-01-06 buy 603138.SHA
2022-01-06 buy 300725.SZA
2022-01-06 buy 000402.SZA
2022-01-06 buy 600132.SHA
2022-01-06 buy 002821.SZA
2022-01-06 buy 300059.SZA
{'600272.SHA': 10000, '600720.SHA': 9300, '600071.SHA': 2100, '603138.SHA': 5600, '300725.SZA': 800, '000402.SZA': 17300, '600132.SHA': 700, '002821.SZA': 200, '300059.SZA': 2900}
77777777777777777777777777           close_0     close_1       date      high_0  in_csi300_0  instrument  \
12116    3.600000    3.270000 2022-01-07    3.600000            0  603176.SHA   
12117   59.974823   54.511280 2022-01-07   59.974823            0  603138.SHA   
12118   15.360333   13.966265 2022-01-07   15.360333            0  600272.SHA   
12119   67.153572   74.613258 2022-01-07   75.856544            0  002897.SZA   
12120    7.769439    7.990848 2022-01-07    8.010976            0  601778.SHA   
...           ...         ...        ...         ...          ...         ...   
16152   42.954346   35.792252 2022-01-07   42.954346            0  300461.SZA   
16153  343.685486  335.740997 2022-01-07  355.636749            0  300604.SZA   
16154   32.820000   32.080002 2022-01-07   33.369999            0  301068.SZA   
16155   60.099998         NaN 2022-01-07   71.500000            0  301159.SZA   
16156   57.619999   58.000000 2022-01-07   58.060001            0  600941.SHA   

            low_0      open_0        dtm       dbm      high_1       low_1  \
12116    3.600000    3.600000   0.330000  0.000000    3.270000    3.270000   
12117   54.821709   54.821709   5.463543  0.000000   55.721951   52.555580   
12118   12.572196   12.572196   2.788137  0.000000   13.966265   12.943095   
12119   67.153572   75.758392   0.098152  8.604820   77.721466   70.343575   
12120    7.709054    7.990848   0.020128  0.281793    8.111616    7.799631   
...           ...         ...        ...       ...         ...         ...   
16152   42.954346   42.954346   7.162094  0.000000   36.193180   35.682907   
16153  330.214386  334.359344  21.277405  4.144958  340.576782  321.648163   
16154   32.119999   32.119999   1.250000  0.000000   32.770000   31.309999   
16155   57.000000   57.000000        NaN       NaN         NaN         NaN   
16156   57.590000   57.799999   0.260002  0.380001   59.330002   57.580002   

             stm        sbm       diff    factor  name  
12116   1.660000   0.000000   1.660000  1.000000  汇通集团  
12117  27.721275   1.583187  26.138088  0.998639  海量数据  
12118   8.569047   0.767376   7.801671  0.985484  开开实业  
12119   3.075478  30.918453 -27.842976  0.943052  意华股份  
12120   0.110705   1.519670  -1.408964  0.915584  晶科科技  
...          ...        ...        ...       ...   ...  
16152  11.043835   5.102764   5.941071       NaN  田中精机  
16153        NaN        NaN        NaN       NaN  长川科技  
16154        NaN        NaN        NaN       NaN  大地海洋  
16155        NaN        NaN        NaN       NaN   C三维  
16156        NaN        NaN        NaN       NaN  中国移动  

[4041 rows x 17 columns]
2022-01-07 买入股票池： ['603176.SHA', '603138.SHA', '600272.SHA', '002897.SZA', '601778.SHA', '600720.SHA', '603323.SHA', '600132.SHA', '002821.SZA', '603260.SHA'] 
 ['汇通集团', '海量数据', '开开实业', '意华股份', '晶科科技', '祁连山', '苏农银行', '重庆啤酒', '凯莱英', '合盛硅业']
2022-01-07 sell 600071.SHA
2022-01-07 sell 300725.SZA
2022-01-07 sell 000402.SZA
2022-01-07 sell 300059.SZA
107315.01775625968
2022-01-07 buy 603176.SHA
2022-01-07 buy 002897.SZA
2022-01-07 buy 601778.SHA
2022-01-07 buy 603323.SHA
2022-01-07 buy 603260.SHA
{'600272.SHA': 10000, '600720.SHA': 9300, '603138.SHA': 5600, '600132.SHA': 700, '002821.SZA': 200, '002897.SZA': 2400, '601778.SHA': 12900, '603323.SHA': 19700, '603260.SHA': 800}
77777777777777777777777777           close_0     close_1       date      high_0  in_csi300_0  instrument  \
16157    3.960000    3.600000 2022-01-10    3.960000            0  603176.SHA   
16158  131.125381  134.124329 2022-01-10  133.657166            0  300799.SZA   
16159   65.966095   59.974823 2022-01-10   65.966095            0  603138.SHA   
16160    7.809695    7.769439 2022-01-10    7.809695            0  601778.SHA   
16161   61.513077   58.417233 2022-01-10   62.724495            0  600502.SHA   
...           ...         ...        ...         ...          ...         ...   
20192   84.124077   85.812813 2022-01-10   85.437538            0  002455.SZA   
20193   45.010120   44.043564 2022-01-10   45.898304            0  002853.SZA   
20194   47.049458   51.800152 2022-01-10   53.806000            0  300534.SZA   
20195   62.049999   60.099998 2022-01-10   66.800003            0  301159.SZA   
20196   58.799999   57.619999 2022-01-10   59.490002            0  600941.SHA   

            low_0      open_0       dtm        dbm      high_1       low_1  \
16157    3.960000    3.960000  0.360000   0.000000    3.600000    3.600000   
16158  120.561203  132.858444  0.798721  12.297241  137.394562  130.688339   
16159   60.533596   60.533596  5.991272   0.000000   59.974823   54.821709   
16160    7.568158    7.759375  0.050321   0.191216    8.010976    7.709054   
16161   58.282631   58.551834  4.172661   0.269203   60.570866   57.878826   
...           ...         ...       ...        ...         ...         ...   
20192   82.935707   85.062263  0.375275   2.126556   89.878288   85.750267   
20193   42.841900   43.808456  2.089848   0.966557   45.297474   43.782333   
20194   42.580288   46.134510  7.671490   4.750694   51.800152   40.116966   
20195   58.130001   64.000000  2.800003   5.869999   71.500000   57.000000   
20196   57.680000   57.700001  1.790001   0.020000   58.060001   57.590000   

             stm        sbm       diff    factor  name  
16157   1.830000   0.000000   1.830000  1.000000  汇通集团  
16158   3.767540  44.034973 -40.267433  0.963820  左江科技  
16159  24.710121   4.097660  20.612461  0.942889  海量数据  
16160   0.241538   1.107044  -0.865506  0.927152  晶科科技  
16161  11.710365   2.153633   9.556732  0.919540  安徽建工  
...          ...        ...        ...       ...   ...  
20192   8.381134   4.628387   3.752747 -0.000000  百川股份  
20193   3.631111   3.840103  -0.208992 -0.000000   皮阿诺  
20194  33.817894  12.211040  21.606853       NaN  陇神戎发  
20195        NaN        NaN        NaN       NaN   C三维  
20196   4.040005   1.900002   2.140003       NaN  中国移动  

[4040 rows x 17 columns]
2022-01-10 买入股票池： ['603176.SHA', '300799.SZA', '603138.SHA', '601778.SHA', '600502.SHA', '600272.SHA', '601997.SHA', '001205.SZA', '002897.SZA', '603260.SHA'] 
 ['汇通集团', '左江科技', '海量数据', '晶科科技', '安徽建工', '开开实业', '贵阳银行', '盛航股份', '意华股份', '合盛硅业']
2022-01-10 sell 600720.SHA
2022-01-10 sell 600132.SHA
2022-01-10 sell 002821.SZA
2022-01-10 sell 603323.SHA
109604.23480076529
2022-01-10 buy 603176.SHA
2022-01-10 buy 300799.SZA
2022-01-10 buy 600502.SHA
2022-01-10 buy 601997.SHA
2022-01-10 buy 001205.SZA
{'600272.SHA': 10000, '603138.SHA': 5600, '002897.SZA': 2400, '601778.SHA': 12900, '603260.SHA': 800, '300799.SZA': 1100, '600502.SHA': 21800, '601997.SHA': 14700, '001205.SZA': 3300}
77777777777777777777777777           close_0     close_1       date      high_0  in_csi300_0  instrument  \
20197    4.360000    3.960000 2022-01-11    4.360000            0  603176.SHA   
20198   22.718472   20.650412 2022-01-11   22.718472            0  002715.SZA   
20199   19.744179   19.515835 2022-01-11   20.155199            0  002767.SZA   
20200   84.072647   86.806534 2022-01-11   88.004021            0  300722.SZA   
20201   24.707668   22.448683 2022-01-11   24.707668            0  002370.SZA   
...           ...         ...        ...         ...          ...         ...   
24235  169.558319  167.628769 2022-01-11  171.487854            0  600577.SHA   
24236   23.799999         NaN 2022-01-11   23.799999            0  001234.SZA   
24237   24.000000         NaN 2022-01-11   27.000000            0  301136.SZA   
24238   62.529999   62.049999 2022-01-11   66.599998            0  301159.SZA   
24239   60.189999         NaN 2022-01-11   64.000000            0  301196.SZA   

            low_0      open_0       dtm        dbm      high_1       low_1  \
20197    4.360000    4.360000  0.400000   0.000000    3.960000    3.960000   
20198   20.635317   20.756079  2.068060   0.120762   20.740984   19.895645   
20199   19.500612   19.500612  0.654587   0.000000   19.576727   19.059145   
20200   69.454262   87.077660  0.926361  17.623398   87.484352   86.106117   
20201   24.707668   24.707668  2.258986   0.000000   22.448683   20.648552   
...           ...         ...       ...        ...         ...         ...   
24235  166.905197  167.628769  3.859085   0.723572  169.799500  163.769699   
24236   19.840000   19.840000       NaN        NaN         NaN         NaN   
24237   23.100000   25.000000       NaN        NaN         NaN         NaN   
24238   56.029999   57.450001  9.149998   1.420002   66.800003   58.130001   
24239   58.889999   64.000000       NaN        NaN         NaN         NaN   

             stm        sbm       diff    factor  name  
20197   2.010000   0.000000   2.010000  1.000000  汇通集团  
20198   6.038132   1.766151   4.271980  0.947644  登云股份  
20199   2.527010   0.548029   1.978981  0.927272  先锋电子  
20200   2.846855  24.672752 -21.825897  0.921173  新余国科  
20201  11.294933   2.364878   8.930056  0.918089  亚太药业  
...          ...        ...        ...       ...   ...  
24235  29.666672  15.195114  14.471558 -0.000000  精达股份  
24236        NaN        NaN        NaN       NaN   泰慕士  
24237        NaN        NaN        NaN       NaN   C招标  
24238        NaN        NaN        NaN       NaN   C三维  
24239        NaN        NaN        NaN       NaN   C唯科  

[4043 rows x 17 columns]
2022-01-11 买入股票池： ['603176.SHA', '002715.SZA', '002767.SZA', '300722.SZA', '002370.SZA', '300923.SZA', '300799.SZA', '300942.SZA', '300847.SZA', '605167.SHA'] 
 ['汇通集团', '登云股份', '先锋电子', '新余国科', '亚太药业', '研奥股份', '左江科技', '易瑞生物', '中船汉光', '利柏特']
2022-01-11 sell 600272.SHA
2022-01-11 sell 603138.SHA
2022-01-11 sell 002897.SZA
2022-01-11 sell 601778.SHA
2022-01-11 sell 603260.SHA
2022-01-11 sell 600502.SHA
2022-01-11 sell 601997.SHA
2022-01-11 sell 001205.SZA
110665.80084593753
2022-01-11 buy 603176.SHA
2022-01-11 buy 002715.SZA
2022-01-11 buy 002767.SZA
2022-01-11 buy 300722.SZA
2022-01-11 buy 002370.SZA
2022-01-11 buy 300923.SZA
2022-01-11 buy 300942.SZA
2022-01-11 buy 300847.SZA
2022-01-11 buy 605167.SHA
{'300799.SZA': 1100, '002715.SZA': 6600, '002767.SZA': 7700, '300722.SZA': 2600, '300923.SZA': 3000, '300942.SZA': 2700, '300847.SZA': 5400, '605167.SHA': 9000}
77777777777777777777777777          close_0    close_1       date     high_0  in_csi300_0  instrument  \
24240   4.800000   4.360000 2022-01-12   4.800000            0  603176.SHA   
24241  33.174583  33.154465 2022-01-12  34.814198            0  300923.SZA   
24242  37.011189  36.750828 2022-01-12  38.122726            0  300942.SZA   
24243  30.709999  31.379999 2022-01-12  32.299999            0  001205.SZA   
24244  81.903610  84.072647 2022-01-12  84.185616            0  300722.SZA   
...          ...        ...        ...        ...          ...         ...   
28278  26.180000  23.799999 2022-01-12  26.180000            0  001234.SZA   
28279  22.799999  24.000000 2022-01-12  24.100000            0  301136.SZA   
28280  59.860001  62.529999 2022-01-12  64.360001            0  301159.SZA   
28281  58.820000  60.189999 2022-01-12  60.500000            0  301196.SZA   
28282  43.375034  44.507687 2022-01-12  44.507687            0  603990.SHA   

           low_0     open_0       dtm       dbm     high_1      low_1  \
24240   4.800000   4.800000  0.440000  0.000000   4.360000   4.360000   
24241  32.359802  32.430218  2.383980  0.070415  36.966824  31.203018   
24242  34.247368  34.958351  3.164375  0.710983  41.557476  32.605095   
24243  29.400000  30.270000  2.029999  0.870001  32.639999  28.760000   
24244  80.886879  84.050049  0.135567  3.163170  88.004021  69.454262   
...          ...        ...       ...       ...        ...        ...   
28278  26.180000  26.180000  2.380001  0.000000  23.799999  19.840000   
28279  21.500000  22.000000  2.100000  1.200001  27.000000  23.100000   
28280  58.680000  60.650002  3.709999  2.669998  66.599998  56.029999   
28281  58.000000  58.150002  2.349998  1.369999  64.000000  58.889999   
28282  43.375034  44.173462  0.334225  1.132652  45.844589  42.279518   

             stm        sbm       diff    factor  name  
24240   2.210000   0.000000   2.210000  1.000000  汇通集团  
24241  12.161327   1.820681  10.340647  0.934360  研奥股份  
24242  30.512199   1.852558  28.659641  0.926910  易瑞生物  
24243  10.229998   2.240000   7.989998  0.919934  盛航股份  
24244   4.405853  24.017525 -19.611671  0.884615  新余国科  
...          ...        ...        ...       ...   ...  
28278        NaN        NaN        NaN       NaN   泰慕士  
28279        NaN        NaN        NaN       NaN   C招标  
28280  29.479996  17.239998  12.239998       NaN   C三维  
28281        NaN        NaN        NaN       NaN   C唯科  
28282        NaN        NaN        NaN       NaN  麦迪科技  

[4043 rows x 17 columns]
2022-01-12 买入股票池： ['603176.SHA', '300923.SZA', '300942.SZA', '001205.SZA', '300722.SZA', '002163.SZA', '600458.SHA', '603323.SHA', '002985.SZA', '605299.SHA'] 
 ['汇通集团', '研奥股份', '易瑞生物', '盛航股份', '新余国科', '海南发展', '时代新材', '苏农银行', '北摩高科', '舒华体育']
2022-01-12 sell 300799.SZA
2022-01-12 sell 002715.SZA
2022-01-12 sell 002767.SZA
2022-01-12 sell 300847.SZA
2022-01-12 sell 605167.SHA
114063.13877362803
2022-01-12 buy 603176.SHA
2022-01-12 buy 001205.SZA
2022-01-12 buy 002163.SZA
2022-01-12 buy 600458.SHA
2022-01-12 buy 603323.SHA
2022-01-12 buy 002985.SZA
2022-01-12 buy 605299.SHA
{'300722.SZA': 2600, '300923.SZA': 3000, '300942.SZA': 2700, '001205.SZA': 3200, '002163.SZA': 8000, '600458.SHA': 8200, '603323.SHA': 18400, '002985.SZA': 800, '605299.SHA': 5500}
77777777777777777777777777           close_0     close_1       date      high_0  in_csi300_0  instrument  \
28283    5.280000    4.800000 2022-01-13    5.280000            0  603176.SHA   
28284   33.379025   34.261692 2022-01-13   34.454456            0  605336.SHA   
28285   36.850967   37.011189 2022-01-13   41.076813            0  300942.SZA   
28286   27.420000   24.930000 2022-01-13   27.420000            0  003042.SZA   
28287  917.123657  946.457825 2022-01-13  951.203064            1  002236.SZA   
...           ...         ...        ...         ...          ...         ...   
32323   28.799999   26.180000 2022-01-13   28.799999            0  001234.SZA   
32324   50.500000         NaN 2022-01-13   52.340000            0  300834.SZA   
32325   22.990000   22.799999 2022-01-13   24.180000            0  301136.SZA   
32326   58.529999   58.820000 2022-01-13   59.590000            0  301196.SZA   
32327   68.154793   61.939686 2022-01-13   68.154793            0  600072.SHA   

            low_0      open_0       dtm        dbm      high_1       low_1  \
28283    5.280000    5.280000  0.480000   0.000000    4.800000    4.800000   
28284   33.257278   34.292130  0.162327   1.034851   34.484894   33.997906   
28285   35.849583   35.849583  5.227230   0.160221   38.122726   34.247368   
28286   24.980000   24.980000  2.490000   0.000000   25.080000   24.480000   
28287  913.672607  948.614746  2.588318  34.942139  956.811035  935.241821   
...           ...         ...       ...        ...         ...         ...   
32323   28.799999   28.799999  2.619999   0.000000   26.180000   26.180000   
32324   50.000000   51.980000       NaN        NaN         NaN         NaN   
32325   22.010000   22.700001  1.480000   0.690001   24.100000   21.500000   
32326   58.009998   58.099998  1.490002   0.290001   60.500000   58.000000   
32327   68.154793   68.154793  6.215107   0.000000   62.024246   60.713577   

             stm         sbm        diff    factor  name  
28283   2.430000    0.000000    2.430000  1.000000  汇通集团  
28284   0.720337    4.545231   -3.824894  0.953532  帅丰电器  
28285  24.674126    6.208584   18.465542  0.939285  易瑞生物  
28286   9.470001    1.979998    7.490004  0.932665  中农联合  
28287  23.726074  130.278137 -106.552063  0.928125  大华股份  
...          ...         ...         ...       ...   ...  
32323        NaN         NaN         NaN       NaN   泰慕士  
32324        NaN         NaN         NaN       NaN   C星辉  
32325        NaN         NaN         NaN       NaN   C招标  
32326        NaN         NaN         NaN       NaN   C唯科  
32327  19.321796    8.371380   10.950417       NaN  中船科技  

[4045 rows x 17 columns]
2022-01-13 买入股票池： ['603176.SHA', '605336.SHA', '300942.SZA', '003042.SZA', '002236.SZA', '002750.SZA', '002336.SZA', '002163.SZA', '600668.SHA', '300204.SZA'] 
 ['汇通集团', '帅丰电器', '易瑞生物', '中农联合', '大华股份', '龙津药业', '人人乐', '海南发展', '尖峰集团', '舒泰神']
2022-01-13 sell 300722.SZA
2022-01-13 sell 300923.SZA
2022-01-13 sell 001205.SZA
2022-01-13 sell 600458.SHA
2022-01-13 sell 603323.SHA
2022-01-13 sell 002985.SZA
2022-01-13 sell 605299.SHA
113725.95375659541
2022-01-13 buy 603176.SHA
2022-01-13 buy 605336.SHA
2022-01-13 buy 003042.SZA
2022-01-13 buy 002236.SZA
2022-01-13 buy 002750.SZA
2022-01-13 buy 002336.SZA
2022-01-13 buy 600668.SHA
2022-01-13 buy 300204.SZA
{'300942.SZA': 2700, '002163.SZA': 8000, '605336.SHA': 3000, '003042.SZA': 3600, '002236.SZA': 4700, '002750.SZA': 4400, '002336.SZA': 16900, '600668.SHA': 5300, '300204.SZA': 5600}
77777777777777777777777777           close_0     close_1       date      high_0  in_csi300_0  instrument  \
32328    5.810000    5.280000 2022-01-14    5.810000            0  603176.SHA   
32329   52.740608   53.737476 2022-01-14   57.615921            0  300584.SZA   
32330   18.180658   16.518543 2022-01-14   18.180658            0  002330.SZA   
32331   24.597599   24.736177 2022-01-14   25.775511            0  002512.SZA   
32332   29.643188   28.539877 2022-01-14   29.988806            0  603773.SHA   
...           ...         ...        ...         ...          ...         ...   
36366  110.788918  108.189888 2022-01-14  111.547554            0  003031.SZA   
36367  252.838043  210.729218 2022-01-14  252.838043            0  300261.SZA   
36368   47.790001   50.500000 2022-01-14   48.750000            0  300834.SZA   
36369   22.809999   22.990000 2022-01-14   23.980000            0  301136.SZA   
36370   56.369999   58.529999 2022-01-14   58.099998            0  301196.SZA   

            low_0      open_0        dtm       dbm      high_1       low_1  \
32328    5.810000    5.810000   0.530000  0.000000    5.280000    5.280000   
32329   48.130089   48.130089   9.485832  0.996868   56.167343   49.796726   
32330   18.180658   18.180658   1.662115  0.000000   16.518543   16.518543   
32331   24.320442   24.389732   1.385778  0.138578   25.429068   24.666887   
32332   28.313898   28.513292   1.475513  0.199394   29.045008   28.141090   
...           ...         ...        ...       ...         ...         ...   
36366  105.675148  108.189888   3.357666  2.514740  110.283157  105.113197   
36367  211.839783  212.857803  42.108826  1.018021  219.150986  188.055237   
36368   47.470001   48.000000   0.750000  2.709999   52.340000   50.000000   
36369   20.750000   21.830000   2.150000  1.080000   24.180000   22.010000   
36370   56.200001   58.009998   0.090000  2.160000   59.590000   58.009998   

             stm        sbm       diff    factor  name  
32328   2.670000   0.000000   2.670000  1.000000  汇通集团  
32329  35.684803  12.834690  22.850113  0.942997  海辰药业  
32330   8.372131   0.000000   8.372131  0.929032   得利斯  
32331   4.642363   0.762178   3.880184  0.909091  达华智能  
32332   8.201725   0.850746   7.350979  0.908879  沃格光电  
...          ...        ...        ...       ...   ...  
36366        NaN        NaN        NaN       NaN  中瓷电子  
36367        NaN        NaN        NaN       NaN  雅本化学  
36368        NaN        NaN        NaN       NaN   C星辉  
36369  13.919998   3.380001  10.539997       NaN   C招标  
36370   5.580002   5.439995   0.140007       NaN   C唯科  

[4043 rows x 17 columns]
2022-01-14 买入股票池： ['603176.SHA', '300584.SZA', '002330.SZA', '002512.SZA', '603773.SHA', '301089.SZA', '300913.SZA', '605188.SHA', '601007.SHA', '002134.SZA'] 
 ['汇通集团', '海辰药业', '得利斯', '达华智能', '沃格光电', '拓新药业', '兆龙互连', '国光连锁', '金陵饭店', '天津普林']
2022-01-14 sell 300942.SZA
2022-01-14 sell 002163.SZA
2022-01-14 sell 605336.SHA
2022-01-14 sell 003042.SZA
2022-01-14 sell 002236.SZA
2022-01-14 sell 002750.SZA
2022-01-14 sell 002336.SZA
2022-01-14 sell 600668.SHA
2022-01-14 sell 300204.SZA
119315.03075045184
2022-01-14 buy 603176.SHA
2022-01-14 buy 300584.SZA
2022-01-14 buy 002330.SZA
2022-01-14 buy 002512.SZA
2022-01-14 buy 603773.SHA
2022-01-14 buy 301089.SZA
2022-01-14 buy 300913.SZA
2022-01-14 buy 605188.SHA
2022-01-14 buy 601007.SHA
2022-01-14 buy 002134.SZA
{'300584.SZA': 2900, '002512.SZA': 28100, '603773.SHA': 4400, '301089.SZA': 1000, '300913.SZA': 3500, '605188.SHA': 10700, '002134.SZA': 9200}
77777777777777777777777777          close_0    close_1       date     high_0  in_csi300_0  instrument  \
36371   6.390000   5.810000 2022-01-17   6.390000            0  603176.SHA   
36372  20.006931  18.180658 2022-01-17  20.006931            0  002330.SZA   
36373  34.849998  31.680000 2022-01-17  34.849998            0  001234.SZA   
36374  29.647207  26.936798 2022-01-17  29.647207            0  002530.SZA   
36375  16.991438  17.730770 2022-01-17  18.417292            0  603028.SHA   
...          ...        ...        ...        ...          ...         ...   
40409  88.264946  88.472137 2022-01-17  89.508110            0  600261.SHA   
40410   5.140000        NaN 2022-01-17   5.140000            0  001227.SZA   
40411  48.090000  47.790001 2022-01-17  48.950001            0  300834.SZA   
40412  81.989998        NaN 2022-01-17  92.500000            0  301117.SZA   
40413  26.590000        NaN 2022-01-17  28.900000            0  301158.SZA   

           low_0     open_0       dtm       dbm     high_1      low_1  stm  \
36371   6.390000   6.390000  0.580000  0.000000   5.810000   5.810000  NaN   
36372  20.006931  20.006931  1.826273  0.000000  18.180658  18.180658  NaN   
36373  32.860001  33.000000  3.169998  0.139999  31.680000  31.680000  NaN   
36374  29.647207  29.647207  2.710409  0.000000  26.936798  24.460619  NaN   
36375  16.780199  18.417292  0.000000  1.637093  18.298471  17.664757  NaN   
...          ...        ...       ...       ...        ...        ...  ...   
40409  87.850555  88.679329  0.828781  0.828773  90.751282  88.057747  NaN   
40410   4.280000   4.280000       NaN       NaN        NaN        NaN  NaN   
40411  47.400002  47.520000  1.430000  0.119999  48.750000  47.470001  NaN   
40412  65.000000  65.000000       NaN       NaN        NaN        NaN  NaN   
40413  26.010000  26.100000       NaN       NaN        NaN        NaN  NaN   

       sbm  diff    factor  name  
36371  NaN   NaN  1.000000  汇通集团  
36372  NaN   NaN  1.000000   得利斯  
36373  NaN   NaN  0.945667   泰慕士  
36374  NaN   NaN  0.934783  金财互联  
36375  NaN   NaN  0.927393   赛福天  
...    ...   ...       ...   ...  
40409  NaN   NaN -0.000000  阳光照明  
40410  NaN   NaN       NaN  兰州银行  
40411  NaN   NaN       NaN   C星辉  
40412  NaN   NaN       NaN   C佳缘  
40413  NaN   NaN       NaN   C德石  

[4043 rows x 17 columns]
2022-01-17 买入股票池： ['603176.SHA', '002330.SZA', '001234.SZA', '002530.SZA', '603028.SHA', '600756.SHA', '603757.SHA', '300204.SZA', '603087.SHA', '603773.SHA'] 
 ['汇通集团', '得利斯', '泰慕士', '金财互联', '赛福天', '浪潮软件', '大元泵业', '舒泰神', '甘李药业', '沃格光电']
2022-01-17 sell 300584.SZA
2022-01-17 sell 002512.SZA
2022-01-17 sell 301089.SZA
2022-01-17 sell 300913.SZA
2022-01-17 sell 605188.SHA
2022-01-17 sell 002134.SZA
127285.79002261092
2022-01-17 buy 603176.SHA
2022-01-17 buy 002330.SZA
2022-01-17 buy 001234.SZA
2022-01-17 buy 002530.SZA
2022-01-17 buy 603028.SHA
2022-01-17 buy 600756.SHA
2022-01-17 buy 603757.SHA
2022-01-17 buy 300204.SZA
2022-01-17 buy 603087.SHA
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777            close_0      close_1       date       high_0  in_csi300_0  \
40414  1848.950928  1815.374268 2022-01-18  1851.189331            1   
40415  3513.500977  3396.330078 2022-01-18  3563.949707            1   
40416    93.346909    91.477531 2022-01-18   100.621223            0   
40417   170.827789   170.827789 2022-01-18   172.721664            0   
40418    61.846889    61.622807 2022-01-18    62.519138            0   
...            ...          ...        ...          ...          ...   
44455    15.720000    15.690000 2022-01-18    15.780000            0   
44456    39.459999    40.480000 2022-01-18    40.669998            0   
44457    37.925297    39.436264 2022-01-18    39.889557            0   
44458    17.430000    18.110001 2022-01-18    18.000000            0   
44459    13.220000    13.880000 2022-01-18    13.880000            0   

       instrument        low_0       open_0         dtm        dbm  \
40414  000001.SZA  1808.658936  1818.731934   33.576660  10.072998   
40415  000002.SZA  3394.702637  3409.349121  154.600586  14.646484   
40416  000004.SZA    89.811348    91.030510    9.590714   1.219162   
40417  000006.SZA   169.312683   171.964111    0.757553   2.651428   
40418  000008.SZA    60.054226    61.174641    1.344498   1.120415   
...           ...          ...          ...         ...        ...   
44455  605580.SHA    15.560000    15.690000    0.090000   0.129999   
44456  605588.SHA    39.400002    40.400002    0.269997   1.020000   
44457  605589.SHA    37.643250    39.436264    0.453293   1.793015   
44458  605598.SHA    16.600000    17.980000    0.020000   1.379999   
44459  605599.SHA    13.160000    13.780000    0.100000   0.660000   

            high_1        low_1  stm  sbm  diff  factor  name  
40414  1844.473999  1804.182129  NaN  NaN   NaN     NaN  平安银行  
40415  3453.288086  3362.155273  NaN  NaN   NaN     NaN   万科A  
40416    92.859245    87.373032  NaN  NaN   NaN     NaN  国华网安  
40417   171.964111   168.176361  NaN  NaN   NaN     NaN  深振业A  
40418    63.191387    60.950558  NaN  NaN   NaN     NaN  神州高铁  
...            ...          ...  ...  ...   ...     ...   ...  
44455    15.740000    15.510000  NaN  NaN   NaN     NaN  恒盛能源  
44456    40.889999    38.799999  NaN  NaN   NaN     NaN  冠石科技  
44457    39.436264    36.877693  NaN  NaN   NaN     NaN  圣泉集团  
44458    18.150000    17.510000  NaN  NaN   NaN     NaN  上海港湾  
44459    13.890000    13.500000  NaN  NaN   NaN     NaN  菜百股份  

[4046 rows x 17 columns]
2022-01-18 买入股票池： ['000001.SZA', '000002.SZA', '000004.SZA', '000006.SZA', '000008.SZA', '000009.SZA', '000010.SZA', '000011.SZA', '000012.SZA', '000014.SZA'] 
 ['平安银行', '万科A', '国华网安', '深振业A', '神州高铁', '中国宝安', '美丽生态', '深物业A', '南玻A', '沙河股份']
2022-01-18 sell 603773.SHA
2022-01-18 sell 001234.SZA
2022-01-18 sell 603028.SHA
2022-01-18 sell 603757.SHA
2022-01-18 sell 300204.SZA
2022-01-18 sell 603087.SHA
127820.69398267822
2022-01-18 buy 000001.SZA
2022-01-18 buy 000002.SZA
2022-01-18 buy 000004.SZA
2022-01-18 buy 000006.SZA
2022-01-18 buy 000008.SZA
2022-01-18 buy 000009.SZA
2022-01-18 buy 000010.SZA
2022-01-18 buy 000011.SZA
2022-01-18 buy 000012.SZA
2022-01-18 buy 000014.SZA
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-19 买入股票池： [] 
 []
2022-01-19 sell 603773.SHA
2022-01-19 sell 001234.SZA
2022-01-19 sell 603028.SHA
2022-01-19 sell 603757.SHA
2022-01-19 sell 300204.SZA
2022-01-19 sell 603087.SHA
127820.69398267822
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-20 买入股票池： [] 
 []
2022-01-20 sell 603773.SHA
2022-01-20 sell 001234.SZA
2022-01-20 sell 603028.SHA
2022-01-20 sell 603757.SHA
2022-01-20 sell 300204.SZA
2022-01-20 sell 603087.SHA
127820.69398267822
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-21 买入股票池： [] 
 []
2022-01-21 sell 603773.SHA
2022-01-21 sell 001234.SZA
2022-01-21 sell 603028.SHA
2022-01-21 sell 603757.SHA
2022-01-21 sell 300204.SZA
2022-01-21 sell 603087.SHA
127820.69398267822
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-24 买入股票池： [] 
 []
2022-01-24 sell 603773.SHA
2022-01-24 sell 001234.SZA
2022-01-24 sell 603028.SHA
2022-01-24 sell 603757.SHA
2022-01-24 sell 300204.SZA
2022-01-24 sell 603087.SHA
127820.69398267822
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-25 买入股票池： [] 
 []
2022-01-25 sell 603773.SHA
2022-01-25 sell 001234.SZA
2022-01-25 sell 603028.SHA
2022-01-25 sell 603757.SHA
2022-01-25 sell 300204.SZA
2022-01-25 sell 603087.SHA
127820.69398267822
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-26 买入股票池： [] 
 []
2022-01-26 sell 603773.SHA
2022-01-26 sell 001234.SZA
2022-01-26 sell 603028.SHA
2022-01-26 sell 603757.SHA
2022-01-26 sell 300204.SZA
2022-01-26 sell 603087.SHA
127820.69398267822
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-27 买入股票池： [] 
 []
2022-01-27 sell 603773.SHA
2022-01-27 sell 001234.SZA
2022-01-27 sell 603028.SHA
2022-01-27 sell 603757.SHA
2022-01-27 sell 300204.SZA
2022-01-27 sell 603087.SHA
127820.69398267822
{'603773.SHA': 4400, '001234.SZA': 2800, '603028.SHA': 7700, '603757.SHA': 5400, '300204.SZA': 3900, '603087.SHA': 1400}
77777777777777777777777777 Empty DataFrame
Columns: [close_0, close_1, date, high_0, in_csi300_0, instrument, low_0, open_0, dtm, dbm, high_1, low_1, stm, sbm, diff, factor, name]
Index: []
2022-01-28 买入股票池： [] 
 []
2022-01-28 sell 603773.SHA
2022-01-28 sell 001234.SZA
2022-01-28 sell 603028.SHA
2022-01-28 sell 603757.SHA
2022-01-28 sell 300204.SZA
2022-01-28 sell 603087.SHA
127820.69398267822
  • 收益率27.82%
  • 年化收益率2493.39%
  • 基准收益率-2.67%
  • 阿尔法42.65
  • 贝塔1.32
  • 夏普比率9.7
  • 胜率0.62
  • 盈亏比3.1
  • 收益波动率34.02%
  • 信息比率0.74
  • 最大回撤0.3%
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-5834c665939849278c26f05f50bbf30b"}/bigcharts-data-end