克隆策略

In [17]:

# 本代码由可视化策略环境自动生成 2021年11月12日 16:32
# 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。


# 用户的自定义层需要写到字典中，比如
# {
#   "MyLayer": MyLayer
# }
m6_custom_objects_bigquant_run = {
    
}

# Python 代码入口函数，input_1/2/3 对应三个输入端，data_1/2/3 对应三个输出端
def m33_run_bigquant_run(input_1, input_2, input_3):
    # 示例代码如下。在这里编写您的代码
    pred_label = input_1.read_pickle()
    df = input_2.read_df()
    df = pd.DataFrame({'pred_label':pred_label[:,0], 'instrument':df.instrument, 'date':df.date})
    df.sort_values(['date','pred_label'],inplace=True, ascending=[True,False])
    return Outputs(data_1=DataSource.write_df(df), data_2=None, data_3=None)

# 后处理函数，可选。输入是主函数的输出，可以在这里对数据做处理，或者返回更友好的outputs数据格式。此函数输出不会被缓存。
def m33_post_run_bigquant_run(outputs):
    return outputs

# 回测引擎：初始化函数，只执行一次
def m32_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=0.00016, 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 = 3
    # 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 = 0.99
    context.options['hold_days'] = 2
# 回测引擎：每日数据处理函数，每天执行一次
def m32_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.perf_tracker.position_tracker.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.perf_tracker.position_tracker.positions.items()}
        instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
                lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))
        # print('rank order for sell %s' % instruments)
        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 m32_prepare_bigquant_run(context):
    pass


m3 = M.dl_layer_input.v1(
    shape='5,8',
    batch_shape='',
    dtype='float32',
    sparse=False,
    name=''
)

m13 = M.dl_layer_reshape.v1(
    inputs=m3.data,
    target_shape='5,8,1',
    name=''
)

m14 = M.dl_layer_conv2d.v1(
    inputs=m13.data,
    filters=16,
    kernel_size='5,5',
    strides='1,1',
    padding='valid',
    data_format='channels_last',
    dilation_rate='1,1',
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m2 = M.dl_layer_conv2d.v1(
    inputs=m14.data,
    filters=1,
    kernel_size='1,1',
    strides='2,2',
    padding='valid',
    data_format='channels_last',
    dilation_rate='1,1',
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m9 = M.dl_layer_dense.v1(
    inputs=m2.data,
    units=1,
    activation='relu',
    use_bias=True,
    kernel_initializer='glorot_uniform',
    bias_initializer='Zeros',
    kernel_regularizer='None',
    kernel_regularizer_l1=0,
    kernel_regularizer_l2=0,
    bias_regularizer='None',
    bias_regularizer_l1=0,
    bias_regularizer_l2=0,
    activity_regularizer='None',
    activity_regularizer_l1=0,
    activity_regularizer_l2=0,
    kernel_constraint='None',
    bias_constraint='None',
    name=''
)

m5 = M.dl_model_init.v1(
    inputs=m3.data,
    outputs=m9.data
)

m8 = M.input_features.v1(
    features="""close_0
high_0
low_0
open_0
close_0/open_0
close_0/low_0
close_0/high_0
return_0"""
)

m24 = M.instruments.v2(
    start_date='2010-01-01',
    end_date='2010-12-31',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m21 = M.advanced_auto_labeler.v2(
    instruments=m24.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/data_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/big_expr.html>`_

# 计算收益：2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, -2) / shift(open, -1)-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))

# 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=False,
    user_functions={}
)

m31 = M.standardlize.v8(
    input_1=m21.data,
    columns_input='label'
)

m22 = M.general_feature_extractor.v7(
    instruments=m24.data,
    features=m8.data,
    start_date='',
    end_date='',
    before_start_days=0
)

m23 = M.derived_feature_extractor.v3(
    input_data=m22.data,
    features=m8.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=True,
    remove_extra_columns=False,
    user_functions={}
)

m17 = M.join.v3(
    data1=m31.data,
    data2=m23.data,
    on='date,instrument',
    how='inner',
    sort=True
)

m19 = M.dropnan.v2(
    input_data=m17.data,
    features=m8.data
)

m1 = M.dl_convert_to_bin.v2(
    input_data=m19.data,
    features=m8.data,
    window_size=5,
    feature_clip=3,
    flatten=False,
    window_along_col='instrument'
)

m6 = M.dl_model_train.v1(
    input_model=m5.data,
    training_data=m1.data,
    optimizer='Adam',
    loss='mean_squared_error',
    metrics='mse',
    batch_size=1024,
    epochs=5,
    custom_objects=m6_custom_objects_bigquant_run,
    n_gpus=0,
    verbose='2:每个epoch输出一行记录'
)

m28 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2018-01-01'),
    end_date=T.live_run_param('trading_date', '2018-09-30'),
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m16 = M.general_feature_extractor.v7(
    instruments=m28.data,
    features=m8.data,
    start_date='',
    end_date='',
    before_start_days=365
)

m26 = M.derived_feature_extractor.v3(
    input_data=m16.data,
    features=m8.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=True,
    remove_extra_columns=False,
    user_functions={}
)

m29 = M.dropnan.v2(
    input_data=m26.data,
    features=m8.data
)

m27 = M.dl_convert_to_bin.v2(
    input_data=m29.data,
    features=m8.data,
    window_size=5,
    feature_clip=3,
    flatten=False,
    window_along_col='instrument'
)

m7 = M.dl_model_predict.v1(
    trained_model=m6.data,
    input_data=m27.data,
    batch_size=1024,
    n_gpus=0,
    verbose='2:每个epoch输出一行记录'
)

m33 = M.cached.v3(
    input_1=m7.data,
    input_2=m29.data,
    run=m33_run_bigquant_run,
    post_run=m33_post_run_bigquant_run,
    input_ports='',
    params='{}',
    output_ports=''
)

m32 = M.trade.v4(
    instruments=m28.data,
    options_data=m33.data_1,
    start_date='',
    end_date='',
    initialize=m32_initialize_bigquant_run,
    handle_data=m32_handle_data_bigquant_run,
    prepare=m32_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='后复权',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark='000300.SHA'
)

[2021-11-12 16:28:13.823308] INFO: moduleinvoker: dl_layer_input.v1 运行完成[0.001441s].

[2021-11-12 16:28:13.839375] INFO: moduleinvoker: dl_layer_reshape.v1 运行完成[0.009809s].

[2021-11-12 16:28:13.855351] INFO: moduleinvoker: dl_layer_conv2d.v1 运行完成[0.010467s].

[2021-11-12 16:28:13.870242] INFO: moduleinvoker: dl_layer_conv2d.v1 运行完成[0.009532s].

[2021-11-12 16:28:13.896985] INFO: moduleinvoker: dl_layer_dense.v1 运行完成[0.021467s].

[2021-11-12 16:28:13.924199] INFO: moduleinvoker: cached.v3 开始运行..

[2021-11-12 16:28:13.983256] INFO: moduleinvoker: cached.v3 运行完成[0.059053s].

[2021-11-12 16:28:13.984993] INFO: moduleinvoker: dl_model_init.v1 运行完成[0.08365s].

[2021-11-12 16:28:13.988567] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-11-12 16:28:13.995849] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:13.997071] INFO: moduleinvoker: input_features.v1 运行完成[0.008508s].

[2021-11-12 16:28:14.001228] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-11-12 16:28:14.013259] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.014454] INFO: moduleinvoker: instruments.v2 运行完成[0.013226s].

[2021-11-12 16:28:14.022036] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2021-11-12 16:28:14.030684] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.031862] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.009825s].

[2021-11-12 16:28:14.036156] INFO: moduleinvoker: standardlize.v8 开始运行..

[2021-11-12 16:28:14.043569] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.044758] INFO: moduleinvoker: standardlize.v8 运行完成[0.008601s].

[2021-11-12 16:28:14.056221] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-11-12 16:28:14.065335] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.066701] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.010498s].

[2021-11-12 16:28:14.073098] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-11-12 16:28:14.081899] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.083197] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.010098s].

[2021-11-12 16:28:14.092627] INFO: moduleinvoker: join.v3 开始运行..

[2021-11-12 16:28:14.101719] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.102947] INFO: moduleinvoker: join.v3 运行完成[0.01032s].

[2021-11-12 16:28:14.109870] INFO: moduleinvoker: dropnan.v2 开始运行..

[2021-11-12 16:28:14.119227] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.120416] INFO: moduleinvoker: dropnan.v2 运行完成[0.010546s].

[2021-11-12 16:28:14.130972] INFO: moduleinvoker: dl_convert_to_bin.v2 开始运行..

[2021-11-12 16:28:14.142437] INFO: moduleinvoker: 命中缓存

[2021-11-12 16:28:14.143777] INFO: moduleinvoker: dl_convert_to_bin.v2 运行完成[0.012814s].

[2021-11-12 16:28:14.147608] INFO: moduleinvoker: dl_model_train.v1 开始运行..

[2021-11-12 16:28:14.353837] INFO: dl_model_train: 准备训练，训练样本个数：426697，迭代次数：5

[2021-11-12 16:28:14.976662] ERROR: moduleinvoker: module name: dl_model_train, module version: v1, trackeback: tensorflow.python.framework.errors_impl.InvalidArgumentError:  Incompatible shapes: [1024,1,2,1] vs. [1024,1]
	 [[node gradient_tape/mean_squared_error/BroadcastGradientArgs (defined at :267) ]] [Op:__inference_train_function_14924]

Function call stack:
train_function

Epoch 1/5

---------------------------------------------------------------------------
InvalidArgumentError                      Traceback (most recent call last)
<ipython-input-17-ac43b3cebb0e> in <module>
    265 )
    266 
--> 267 m6 = M.dl_model_train.v1(
    268     input_model=m5.data,
    269     training_data=m1.data,

InvalidArgumentError:  Incompatible shapes: [1024,1,2,1] vs. [1024,1]
	 [[node gradient_tape/mean_squared_error/BroadcastGradientArgs (defined at <ipython-input-17-ac43b3cebb0e>:267) ]] [Op:__inference_train_function_14924]

Function call stack:
train_function