克隆策略

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In [3]:

# 本代码由可视化策略环境自动生成 2021年5月13日16:56
# 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 = 2
    # 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)])
    context.stock_weights  = [0.6 , 0.3]
    # 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')].sort_values('score', ascending=False)

    # 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)])
    print('*********', data.current_dt,buy_instruments)
    
    
    top1_instrument_turn_over = list(ranker_prediction.turn_over_rate)[0]
    
    # 根据条件判断，进行仓位调整
    if top1_instrument_turn_over < 0.15:
        buy_instruments_weights = [0, 0.6+0.3]
        print('=======', data.current_dt, top1_instrument_turn_over)
    else:
        buy_instruments_weights = [0.6, 0.3]
    
    for i, instrument in enumerate(buy_instruments):
        cash = cash_for_buy * buy_cash_weights[i]
        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.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
)

m5 = M.dropnan.v2(
    input_data=m7.data
)

m4 = M.stock_ranker_train.v6(
    training_ds=m5.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,
    data_row_fraction=1,
    ndcg_discount_base=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
)

m10 = M.dropnan.v2(
    input_data=m18.data
)

m8 = M.stock_ranker_predict.v5(
    model=m4.model,
    data=m10.data,
    m_lazy_run=False
)

m11 = M.input_features.v1(
    features='turn_over_rate = amount_0 / market_cap_float_0'
)

m12 = M.general_feature_extractor.v7(
    instruments=m9.data,
    features=m11.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m20 = M.derived_feature_extractor.v3(
    input_data=m12.data,
    features=m11.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)

m21 = M.join.v3(
    data1=m8.predictions,
    data2=m20.data,
    on='date,instrument',
    how='left',
    sort=False
)

m19 = M.trade.v4(
    instruments=m9.data,
    options_data=m21.data,
    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'
)

[2021-05-13 16:18:45.662812] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-05-13 16:18:45.688042] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.689721] INFO: moduleinvoker: instruments.v2 运行完成[0.026931s].

[2021-05-13 16:18:45.694127] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2021-05-13 16:18:45.707102] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.709385] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.015274s].

[2021-05-13 16:18:45.712478] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-05-13 16:18:45.719683] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.721041] INFO: moduleinvoker: input_features.v1 运行完成[0.008567s].

[2021-05-13 16:18:45.733846] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-05-13 16:18:45.749541] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.752035] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.018204s].

[2021-05-13 16:18:45.758273] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-05-13 16:18:45.766288] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.768314] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.010049s].

[2021-05-13 16:18:45.772909] INFO: moduleinvoker: join.v3 开始运行..

[2021-05-13 16:18:45.794420] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.796022] INFO: moduleinvoker: join.v3 运行完成[0.02311s].

[2021-05-13 16:18:45.800388] INFO: moduleinvoker: dropnan.v2 开始运行..

[2021-05-13 16:18:45.814076] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.815903] INFO: moduleinvoker: dropnan.v2 运行完成[0.01551s].

[2021-05-13 16:18:45.822702] INFO: moduleinvoker: stock_ranker_train.v6 开始运行..

[2021-05-13 16:18:45.833076] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.947277] INFO: moduleinvoker: stock_ranker_train.v6 运行完成[0.124575s].

[2021-05-13 16:18:45.951343] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-05-13 16:18:45.958659] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:45.961017] INFO: moduleinvoker: instruments.v2 运行完成[0.009674s].

[2021-05-13 16:18:46.087614] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-05-13 16:18:46.105687] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:46.107932] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.020337s].

[2021-05-13 16:18:46.111418] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-05-13 16:18:46.122104] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:46.124668] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.013247s].

[2021-05-13 16:18:46.129969] INFO: moduleinvoker: dropnan.v2 开始运行..

[2021-05-13 16:18:46.139993] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:46.142056] INFO: moduleinvoker: dropnan.v2 运行完成[0.0121s].

[2021-05-13 16:18:46.150973] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..

[2021-05-13 16:18:46.164329] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:18:46.166897] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[0.015953s].

[2021-05-13 16:18:46.169329] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-05-13 16:18:46.201432] INFO: moduleinvoker: input_features.v1 运行完成[0.032096s].

[2021-05-13 16:18:46.211814] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-05-13 16:18:46.847947] INFO: 基础特征抽取: 年份 2014, 特征行数=141569

[2021-05-13 16:18:48.308089] INFO: 基础特征抽取: 年份 2015, 特征行数=569698

[2021-05-13 16:18:50.098428] INFO: 基础特征抽取: 年份 2016, 特征行数=641546

[2021-05-13 16:18:50.555923] INFO: 基础特征抽取: 年份 2017, 特征行数=0

[2021-05-13 16:18:51.086700] INFO: 基础特征抽取: 总行数: 1352813

[2021-05-13 16:18:51.093038] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[4.881229s].

[2021-05-13 16:18:51.096804] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-05-13 16:18:55.734967] INFO: derived_feature_extractor: 提取完成 turn_over_rate = volume_0 / market_cap_float_0, 0.007s

[2021-05-13 16:18:56.392422] INFO: derived_feature_extractor: /y_2014, 141569

[2021-05-13 16:18:58.383349] INFO: derived_feature_extractor: /y_2015, 569698

[2021-05-13 16:19:00.797717] INFO: derived_feature_extractor: /y_2016, 641546

[2021-05-13 16:19:01.412234] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[10.315423s].

[2021-05-13 16:19:01.415647] INFO: moduleinvoker: join.v3 开始运行..

[2021-05-13 16:19:08.833343] INFO: join: /data, 行数=1342805/1342805, 耗时=6.347406s

[2021-05-13 16:19:09.162401] INFO: join: 最终行数: 1342805

[2021-05-13 16:19:09.205042] INFO: moduleinvoker: join.v3 运行完成[7.789376s].

[2021-05-13 16:19:11.215744] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-05-13 16:19:11.221039] INFO: backtest: biglearning backtest:V8.5.0

[2021-05-13 16:19:11.222924] INFO: backtest: product_type:stock by specified

[2021-05-13 16:19:11.791401] INFO: moduleinvoker: cached.v2 开始运行..

[2021-05-13 16:19:11.803301] INFO: moduleinvoker: 命中缓存

[2021-05-13 16:19:11.804971] INFO: moduleinvoker: cached.v2 运行完成[0.013592s].

[2021-05-13 16:19:15.813293] INFO: algo: TradingAlgorithm V1.8.2

[2021-05-13 16:19:17.439980] INFO: algo: trading transform...

[2021-05-13 16:19:20.374520] INFO: algo: handle_splits get splits [dt:2015-05-11 00:00:00+00:00] [asset:Equity(1822 [002381.SZA]), ratio:0.6573165655136108]

[2021-05-13 16:19:20.376298] INFO: Position: position stock handle split[sid:1822, orig_amount:15700, new_amount:23884.0, orig_cost:21.760016280105855, new_cost:14.3032, ratio:0.6573165655136108, last_sale_price:14.059999465942383]

[2021-05-13 16:19:20.377341] INFO: Position: after split: PositionStock(asset:Equity(1822 [002381.SZA]), amount:23884.0, cost_basis:14.3032, last_sale_price:21.389997482299805)

[2021-05-13 16:19:20.378256] INFO: Position: returning cash: 13.9281

[2021-05-13 16:19:20.472243] INFO: algo: handle_splits get splits [dt:2015-05-15 00:00:00+00:00] [asset:Equity(726 [000736.SZA]), ratio:0.9987077116966248]

[2021-05-13 16:19:26.430359] INFO: algo: handle_splits get splits [dt:2016-05-06 00:00:00+00:00] [asset:Equity(2007 [600654.SHA]), ratio:0.9957947731018066]

[2021-05-13 16:19:26.432779] INFO: Position: position stock handle split[sid:2007, orig_amount:26400, new_amount:26511.0, orig_cost:23.13655309793724, new_cost:23.0393, ratio:0.9957947731018066, last_sale_price:23.68000030517578]

[2021-05-13 16:19:26.434192] INFO: Position: after split: PositionStock(asset:Equity(2007 [600654.SHA]), amount:26511.0, cost_basis:23.0393, last_sale_price:23.780000686645508)

[2021-05-13 16:19:26.435483] INFO: Position: returning cash: 11.5278

[2021-05-13 16:19:27.892653] INFO: algo: handle_splits get splits [dt:2016-07-20 00:00:00+00:00] [asset:Equity(1637 [600814.SHA]), ratio:0.9907918572425842]

[2021-05-13 16:19:27.894379] INFO: Position: position stock handle split[sid:1637, orig_amount:40800, new_amount:41179.0, orig_cost:10.530048374803894, new_cost:10.4331, ratio:0.9907918572425842, last_sale_price:10.760000228881836]

[2021-05-13 16:19:27.895494] INFO: Position: after split: PositionStock(asset:Equity(1637 [600814.SHA]), amount:41179.0, cost_basis:10.4331, last_sale_price:10.860000610351562)

[2021-05-13 16:19:27.896438] INFO: Position: returning cash: 1.9777

[2021-05-13 16:19:30.873207] INFO: Performance: Simulated 488 trading days out of 488.

[2021-05-13 16:19:30.875189] INFO: Performance: first open: 2015-01-05 09:30:00+00:00

[2021-05-13 16:19:30.876226] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

[2021-05-13 16:19:38.476324] INFO: moduleinvoker: backtest.v8 运行完成[27.26057s].

[2021-05-13 16:19:38.478211] INFO: moduleinvoker: trade.v4 运行完成[29.268437s].

设置评估测试数据集，查看训练曲线
[视频教程]StockRanker训练曲线

bigcharts-data-start/{"__type":"tabs","__id":"bigchart-200cb552cf934714844f7b349f0d4659"}/bigcharts-data-end

********* 2015-01-05 15:00:00+00:00 ['300391.SZA', '300038.SZA']
======= 2015-01-05 15:00:00+00:00 0.0014942995675473107
********* 2015-01-06 15:00:00+00:00 ['300380.SZA', '300238.SZA']
======= 2015-01-06 15:00:00+00:00 0.0020678753127210767
********* 2015-01-07 15:00:00+00:00 ['300238.SZA', '300380.SZA']
======= 2015-01-07 15:00:00+00:00 0.000698573532400365
********* 2015-01-08 15:00:00+00:00 ['300139.SZA', '300209.SZA']
======= 2015-01-08 15:00:00+00:00 0.0017257142380501505
********* 2015-01-09 15:00:00+00:00 ['000981.SZA', '002534.SZA']
======= 2015-01-09 15:00:00+00:00 0.0005762342964413554
********* 2015-01-12 15:00:00+00:00 ['002127.SZA', '000981.SZA']
======= 2015-01-12 15:00:00+00:00 0.0008108481629088344
********* 2015-01-13 15:00:00+00:00 ['600139.SHA', '002059.SZA']
======= 2015-01-13 15:00:00+00:00 0.0013776220979620877
********* 2015-01-14 15:00:00+00:00 ['600490.SHA', '000693.SZA']
======= 2015-01-14 15:00:00+00:00 0.008756740920387399
********* 2015-01-15 15:00:00+00:00 ['000693.SZA', '000809.SZA']
======= 2015-01-15 15:00:00+00:00 0.0025429557680059257
********* 2015-01-16 15:00:00+00:00 ['600490.SHA', '000693.SZA']
======= 2015-01-16 15:00:00+00:00 0.004697428560144029
********* 2015-01-19 15:00:00+00:00 ['000783.SZA', '000693.SZA']
======= 2015-01-19 15:00:00+00:00 0.003369805551062281
********* 2015-01-20 15:00:00+00:00 ['000783.SZA', '000693.SZA']
======= 2015-01-20 15:00:00+00:00 0.003462686698458249
********* 2015-01-21 15:00:00+00:00 ['000809.SZA', '002461.SZA']
======= 2015-01-21 15:00:00+00:00 0.012197714445129057
********* 2015-01-22 15:00:00+00:00 ['002631.SZA', '002164.SZA']
======= 2015-01-22 15:00:00+00:00 0.00044594776805328024
********* 2015-01-23 15:00:00+00:00 ['002208.SZA', '002631.SZA']
======= 2015-01-23 15:00:00+00:00 0.0009469941607675806
********* 2015-01-26 15:00:00+00:00 ['002240.SZA', '002714.SZA']
======= 2015-01-26 15:00:00+00:00 0.006160255729284282
********* 2015-01-27 15:00:00+00:00 ['002240.SZA', '300249.SZA']
======= 2015-01-27 15:00:00+00:00 0.014302045770316843
********* 2015-01-28 15:00:00+00:00 ['002240.SZA', '002090.SZA']
======= 2015-01-28 15:00:00+00:00 0.00850381337233051
********* 2015-01-29 15:00:00+00:00 ['002567.SZA', '002670.SZA']
======= 2015-01-29 15:00:00+00:00 0.0007609992268500198
********* 2015-01-30 15:00:00+00:00 ['002670.SZA', '002640.SZA']
======= 2015-01-30 15:00:00+00:00 0.0017005918816168294
********* 2015-02-02 15:00:00+00:00 ['002508.SZA', '300080.SZA']
======= 2015-02-02 15:00:00+00:00 0.00017986765849576375
********* 2015-02-03 15:00:00+00:00 ['600976.SHA', '002472.SZA']
======= 2015-02-03 15:00:00+00:00 0.0004294654966875571
********* 2015-02-04 15:00:00+00:00 ['600605.SHA', '002201.SZA']
======= 2015-02-04 15:00:00+00:00 0.0006767972931421505
********* 2015-02-05 15:00:00+00:00 ['002402.SZA', '600605.SHA']
======= 2015-02-05 15:00:00+00:00 0.0011347778062913447
********* 2015-02-06 15:00:00+00:00 ['300194.SZA', '002201.SZA']
======= 2015-02-06 15:00:00+00:00 0.00029289813080765083
********* 2015-02-09 15:00:00+00:00 ['002240.SZA', '600558.SHA']
======= 2015-02-09 15:00:00+00:00 0.004279260950304381
********* 2015-02-10 15:00:00+00:00 ['600444.SHA', '000597.SZA']
======= 2015-02-10 15:00:00+00:00 0.0006937350935639574
********* 2015-02-11 15:00:00+00:00 ['300317.SZA', '300305.SZA']
======= 2015-02-11 15:00:00+00:00 0.0004384284695775492
********* 2015-02-12 15:00:00+00:00 ['002427.SZA', '600506.SHA']
======= 2015-02-12 15:00:00+00:00 0.0005198438802381866
********* 2015-02-13 15:00:00+00:00 ['603010.SHA', '600793.SHA']
======= 2015-02-13 15:00:00+00:00 0.0010146671858621778
********* 2015-02-16 15:00:00+00:00 ['600793.SHA', '000038.SZA']
======= 2015-02-16 15:00:00+00:00 0.00041950602445394114
********* 2015-02-17 15:00:00+00:00 ['002563.SZA', '603123.SHA']
======= 2015-02-17 15:00:00+00:00 0.000302465683398924
********* 2015-02-25 15:00:00+00:00 ['002240.SZA', '000885.SZA']
======= 2015-02-25 15:00:00+00:00 0.01596448257532216
********* 2015-02-26 15:00:00+00:00 ['002240.SZA', '000985.SZA']
======= 2015-02-26 15:00:00+00:00 0.011881423626484896
********* 2015-02-27 15:00:00+00:00 ['002240.SZA', '002515.SZA']
======= 2015-02-27 15:00:00+00:00 0.007741915348208961
********* 2015-03-02 15:00:00+00:00 ['002240.SZA', '002623.SZA']
======= 2015-03-02 15:00:00+00:00 0.008184215373286664
********* 2015-03-03 15:00:00+00:00 ['300211.SZA', '000166.SZA']
======= 2015-03-03 15:00:00+00:00 0.0010485489636989287
********* 2015-03-04 15:00:00+00:00 ['600301.SHA', '300389.SZA']
======= 2015-03-04 15:00:00+00:00 0.0007253183561373611
********* 2015-03-05 15:00:00+00:00 ['600462.SHA', '300261.SZA']
======= 2015-03-05 15:00:00+00:00 0.0016148571408385987
********* 2015-03-06 15:00:00+00:00 ['000760.SZA', '002116.SZA']
======= 2015-03-06 15:00:00+00:00 0.0017263297657617942
********* 2015-03-09 15:00:00+00:00 ['000619.SZA', '002370.SZA']
======= 2015-03-09 15:00:00+00:00 0.0016923016666666668
********* 2015-03-10 15:00:00+00:00 ['600033.SHA', '600782.SHA']
======= 2015-03-10 15:00:00+00:00 0.002540351964979127
********* 2015-03-11 15:00:00+00:00 ['000639.SZA', '300261.SZA']
======= 2015-03-11 15:00:00+00:00 0.0008765317113856065
********* 2015-03-12 15:00:00+00:00 ['002688.SZA', '000639.SZA']
======= 2015-03-12 15:00:00+00:00 0.002635585880298185
********* 2015-03-13 15:00:00+00:00 ['002629.SZA', '002696.SZA']
======= 2015-03-13 15:00:00+00:00 0.0062373162310979165
********* 2015-03-16 15:00:00+00:00 ['002504.SZA', '600774.SHA']
======= 2015-03-16 15:00:00+00:00 0.0012571975826411435
********* 2015-03-17 15:00:00+00:00 ['002504.SZA', '600793.SHA']
======= 2015-03-17 15:00:00+00:00 0.0012803633922694718
********* 2015-03-18 15:00:00+00:00 ['002504.SZA', '600715.SHA']
======= 2015-03-18 15:00:00+00:00 0.0012775013287782979
********* 2015-03-19 15:00:00+00:00 ['600774.SHA', '002295.SZA']
======= 2015-03-19 15:00:00+00:00 0.00046353335720210326
********* 2015-03-20 15:00:00+00:00 ['600774.SHA', '600763.SHA']
======= 2015-03-20 15:00:00+00:00 0.00031486803917777734
********* 2015-03-23 15:00:00+00:00 ['002333.SZA', '002210.SZA']
======= 2015-03-23 15:00:00+00:00 0.0016462156024128708
********* 2015-03-24 15:00:00+00:00 ['300260.SZA', '600540.SHA']
======= 2015-03-24 15:00:00+00:00 0.001983559461677589
********* 2015-03-25 15:00:00+00:00 ['600072.SHA', '002472.SZA']
======= 2015-03-25 15:00:00+00:00 0.0015501880473259267
********* 2015-03-26 15:00:00+00:00 ['600071.SHA', '300094.SZA']
======= 2015-03-26 15:00:00+00:00 0.0019220753494074688
********* 2015-03-27 15:00:00+00:00 ['000017.SZA', '000055.SZA']
======= 2015-03-27 15:00:00+00:00 0.0031323351556282798
********* 2015-03-30 15:00:00+00:00 ['300100.SZA', '600301.SHA']
======= 2015-03-30 15:00:00+00:00 0.0016314521457154313
********* 2015-03-31 15:00:00+00:00 ['600421.SHA', '000560.SZA']
======= 2015-03-31 15:00:00+00:00 0.0026979511357123984
********* 2015-04-01 15:00:00+00:00 ['300173.SZA', '600145.SHA']
======= 2015-04-01 15:00:00+00:00 0.0017163937174615568
********* 2015-04-02 15:00:00+00:00 ['600656.SHA', '300282.SZA']
======= 2015-04-02 15:00:00+00:00 0.007145139007386673
********* 2015-04-03 15:00:00+00:00 ['600656.SHA', '002568.SZA']
======= 2015-04-03 15:00:00+00:00 0.0036132947929873975
********* 2015-04-07 15:00:00+00:00 ['600656.SHA', '600671.SHA']
======= 2015-04-07 15:00:00+00:00 0.0031236898263504093
********* 2015-04-08 15:00:00+00:00 ['600452.SHA', '600656.SHA']
======= 2015-04-08 15:00:00+00:00 0.0013693642755004767
********* 2015-04-09 15:00:00+00:00 ['002380.SZA', '002619.SZA']
======= 2015-04-09 15:00:00+00:00 0.0018271237468116838
********* 2015-04-10 15:00:00+00:00 ['600686.SHA', '300236.SZA']
======= 2015-04-10 15:00:00+00:00 0.0009341331694299213
********* 2015-04-13 15:00:00+00:00 ['000610.SZA', '600686.SHA']
======= 2015-04-13 15:00:00+00:00 0.003511976454775406
********* 2015-04-14 15:00:00+00:00 ['300236.SZA', '000610.SZA']
======= 2015-04-14 15:00:00+00:00 0.0006270170825290108
********* 2015-04-15 15:00:00+00:00 ['300169.SZA', '002537.SZA']
======= 2015-04-15 15:00:00+00:00 0.005519918402616148
********* 2015-04-16 15:00:00+00:00 ['000586.SZA', '603600.SHA']
======= 2015-04-16 15:00:00+00:00 0.0026448571359778826
********* 2015-04-17 15:00:00+00:00 ['002058.SZA', '000586.SZA']
======= 2015-04-17 15:00:00+00:00 0.0019227804353291987
********* 2015-04-20 15:00:00+00:00 ['300258.SZA', '600768.SHA']
======= 2015-04-20 15:00:00+00:00 0.0009550927239611273
********* 2015-04-21 15:00:00+00:00 ['300239.SZA', '300258.SZA']
======= 2015-04-21 15:00:00+00:00 0.004626465114566679
********* 2015-04-22 15:00:00+00:00 ['300258.SZA', '000004.SZA']
======= 2015-04-22 15:00:00+00:00 0.0008500663799903166
********* 2015-04-23 15:00:00+00:00 ['600985.SHA', '002323.SZA']
======= 2015-04-23 15:00:00+00:00 0.001003802241685093
********* 2015-04-24 15:00:00+00:00 ['002427.SZA', '600985.SHA']
======= 2015-04-24 15:00:00+00:00 0.0008443212655362969
********* 2015-04-27 15:00:00+00:00 ['600455.SHA', '300313.SZA']
======= 2015-04-27 15:00:00+00:00 0.0008623524941793555
********* 2015-04-28 15:00:00+00:00 ['300123.SZA', '300266.SZA']
======= 2015-04-28 15:00:00+00:00 0.003980494256482512
********* 2015-04-29 15:00:00+00:00 ['002662.SZA', '600167.SHA']
======= 2015-04-29 15:00:00+00:00 0.0007429500897395644
********* 2015-04-30 15:00:00+00:00 ['002662.SZA', '002591.SZA']
======= 2015-04-30 15:00:00+00:00 0.0008385395137275858
********* 2015-05-04 15:00:00+00:00 ['002381.SZA', '600054.SHA']
======= 2015-05-04 15:00:00+00:00 0.002326667120750873
********* 2015-05-05 15:00:00+00:00 ['002372.SZA', '002082.SZA']
======= 2015-05-05 15:00:00+00:00 0.0006494462892525735
********* 2015-05-06 15:00:00+00:00 ['002327.SZA', '300153.SZA']
======= 2015-05-06 15:00:00+00:00 0.0016241768438438134
********* 2015-05-07 15:00:00+00:00 ['000656.SZA', '601010.SHA']
======= 2015-05-07 15:00:00+00:00 0.00927542706866562
********* 2015-05-08 15:00:00+00:00 ['600156.SHA', '300263.SZA']
======= 2015-05-08 15:00:00+00:00 0.003455511932272158

********* 2015-05-11 15:00:00+00:00 ['601010.SHA', '002473.SZA']
======= 2015-05-11 15:00:00+00:00 0.0036125336874604373
********* 2015-05-12 15:00:00+00:00 ['000736.SZA', '002473.SZA']
======= 2015-05-12 15:00:00+00:00 0.0018410247632099624
********* 2015-05-13 15:00:00+00:00 ['601010.SHA', '000656.SZA']
======= 2015-05-13 15:00:00+00:00 0.005467034229934847
********* 2015-05-14 15:00:00+00:00 ['000736.SZA', '000678.SZA']
======= 2015-05-14 15:00:00+00:00 0.002262716818807264

********* 2015-05-15 15:00:00+00:00 ['600715.SHA', '600305.SHA']
======= 2015-05-15 15:00:00+00:00 0.00034645632162506564
********* 2015-05-18 15:00:00+00:00 ['002192.SZA', '600715.SHA']
======= 2015-05-18 15:00:00+00:00 0.001274783153838327
********* 2015-05-19 15:00:00+00:00 ['000716.SZA', '600715.SHA']
======= 2015-05-19 15:00:00+00:00 0.0017659416226440982
********* 2015-05-20 15:00:00+00:00 ['600356.SHA', '002088.SZA']
======= 2015-05-20 15:00:00+00:00 0.0021020007824591974
********* 2015-05-21 15:00:00+00:00 ['000155.SZA', '002141.SZA']
======= 2015-05-21 15:00:00+00:00 0.0017897268904499579
********* 2015-05-22 15:00:00+00:00 ['002703.SZA', '600679.SHA']
======= 2015-05-22 15:00:00+00:00 0.0034278938141742727
********* 2015-05-25 15:00:00+00:00 ['300398.SZA', '002262.SZA']
======= 2015-05-25 15:00:00+00:00 0.0010481927818865246
********* 2015-05-26 15:00:00+00:00 ['600731.SHA', '002534.SZA']
======= 2015-05-26 15:00:00+00:00 0.003600403302427107
********* 2015-05-27 15:00:00+00:00 ['600731.SHA', '300120.SZA']
======= 2015-05-27 15:00:00+00:00 0.003978320378512239
********* 2015-05-28 15:00:00+00:00 ['000524.SZA', '000430.SZA']
======= 2015-05-28 15:00:00+00:00 0.0017547756089276833
********* 2015-05-29 15:00:00+00:00 ['002572.SZA', '600771.SHA']
======= 2015-05-29 15:00:00+00:00 0.0005628163024227398
********* 2015-06-01 15:00:00+00:00 ['002599.SZA', '000560.SZA']
======= 2015-06-01 15:00:00+00:00 0.0011968537128023463
********* 2015-06-02 15:00:00+00:00 ['600242.SHA', '002090.SZA']
======= 2015-06-02 15:00:00+00:00 0.0021200403998429275
********* 2015-06-03 15:00:00+00:00 ['600847.SHA', '002330.SZA']
======= 2015-06-03 15:00:00+00:00 0.0009182684086300821
********* 2015-06-04 15:00:00+00:00 ['300191.SZA', '600644.SHA']
======= 2015-06-04 15:00:00+00:00 0.002426700358151388
********* 2015-06-05 15:00:00+00:00 ['600644.SHA', '603088.SHA']
======= 2015-06-05 15:00:00+00:00 0.00326445949105015
********* 2015-06-08 15:00:00+00:00 ['300394.SZA', '300403.SZA']
======= 2015-06-08 15:00:00+00:00 0.0014971283912860911
********* 2015-06-09 15:00:00+00:00 ['300380.SZA', '300430.SZA']
======= 2015-06-09 15:00:00+00:00 0.000586928105333711
********* 2015-06-10 15:00:00+00:00 ['300380.SZA', '300376.SZA']
======= 2015-06-10 15:00:00+00:00 0.00040975851037924454
********* 2015-06-11 15:00:00+00:00 ['300380.SZA', '002124.SZA']
======= 2015-06-11 15:00:00+00:00 0.0007409862405642623
********* 2015-06-12 15:00:00+00:00 ['300385.SZA', '601222.SHA']
======= 2015-06-12 15:00:00+00:00 0.0005759038461538461
********* 2015-06-15 15:00:00+00:00 ['300359.SZA', '600774.SHA']
======= 2015-06-15 15:00:00+00:00 0.0008404653805023077
********* 2015-06-16 15:00:00+00:00 ['300359.SZA', '600446.SHA']
======= 2015-06-16 15:00:00+00:00 0.0007462834094039796
********* 2015-06-17 15:00:00+00:00 ['300359.SZA', '002713.SZA']
======= 2015-06-17 15:00:00+00:00 0.000516177254263217
********* 2015-06-18 15:00:00+00:00 ['300114.SZA', '300318.SZA']
======= 2015-06-18 15:00:00+00:00 0.0002666302650267189
********* 2015-06-19 15:00:00+00:00 ['000555.SZA', '300440.SZA']
======= 2015-06-19 15:00:00+00:00 0.00023843099867764748
********* 2015-06-23 15:00:00+00:00 ['002077.SZA', '600446.SHA']
======= 2015-06-23 15:00:00+00:00 0.001122309307494928
********* 2015-06-24 15:00:00+00:00 ['603703.SHA', '300216.SZA']
======= 2015-06-24 15:00:00+00:00 0.0018218313473407097
********* 2015-06-25 15:00:00+00:00 ['300075.SZA', '603818.SHA']
======= 2015-06-25 15:00:00+00:00 0.0008704061081014998
********* 2015-06-26 15:00:00+00:00 ['002436.SZA', '002095.SZA']
======= 2015-06-26 15:00:00+00:00 0.001319479938296213
********* 2015-06-29 15:00:00+00:00 ['300309.SZA', '600556.SHA']
======= 2015-06-29 15:00:00+00:00 0.005756346727137738
********* 2015-06-30 15:00:00+00:00 ['002341.SZA', '300348.SZA']
======= 2015-06-30 15:00:00+00:00 0.005493975242402659
********* 2015-07-01 15:00:00+00:00 ['300304.SZA', '600105.SHA']
======= 2015-07-01 15:00:00+00:00 0.0014047264096095256
********* 2015-07-02 15:00:00+00:00 ['300219.SZA', '002112.SZA']
======= 2015-07-02 15:00:00+00:00 0.0025546045337267393
********* 2015-07-03 15:00:00+00:00 ['000939.SZA', '600770.SHA']
======= 2015-07-03 15:00:00+00:00 0.0042672903921123564
********* 2015-07-06 15:00:00+00:00 ['600770.SHA', '600235.SHA']
======= 2015-07-06 15:00:00+00:00 0.006503384603022855
********* 2015-07-07 15:00:00+00:00 ['600783.SHA', '002524.SZA']
======= 2015-07-07 15:00:00+00:00 0.0014153813107559505
********* 2015-07-08 15:00:00+00:00 ['000062.SZA', '600826.SHA']
======= 2015-07-08 15:00:00+00:00 0.001152861740828713
********* 2015-07-09 15:00:00+00:00 ['600783.SHA', '300399.SZA']
======= 2015-07-09 15:00:00+00:00 0.0023390666833323684
********* 2015-07-10 15:00:00+00:00 ['600391.SHA', '600783.SHA']
======= 2015-07-10 15:00:00+00:00 0.002288701440359748
********* 2015-07-13 15:00:00+00:00 ['600200.SHA', '600105.SHA']
======= 2015-07-13 15:00:00+00:00 0.00024328794776296996
********* 2015-07-14 15:00:00+00:00 ['300216.SZA', '300366.SZA']
======= 2015-07-14 15:00:00+00:00 4.759662237484394e-06
********* 2015-07-15 15:00:00+00:00 ['300359.SZA', '002590.SZA']
======= 2015-07-15 15:00:00+00:00 0.0025665180018860593
********* 2015-07-16 15:00:00+00:00 ['002590.SZA', '300222.SZA']
======= 2015-07-16 15:00:00+00:00 0.0019806679629021775
********* 2015-07-17 15:00:00+00:00 ['002659.SZA', '600986.SHA']
======= 2015-07-17 15:00:00+00:00 0.0021190005248203085
********* 2015-07-20 15:00:00+00:00 ['000155.SZA', '000554.SZA']
======= 2015-07-20 15:00:00+00:00 0.005171716656816391
********* 2015-07-21 15:00:00+00:00 ['000695.SZA', '600848.SHA']
======= 2015-07-21 15:00:00+00:00 0.002350548369565567
********* 2015-07-22 15:00:00+00:00 ['000517.SZA', '300431.SZA']
======= 2015-07-22 15:00:00+00:00 0.0016664881419540263
********* 2015-07-23 15:00:00+00:00 ['000975.SZA', '300069.SZA']
======= 2015-07-23 15:00:00+00:00 0.005395020627055342
********* 2015-07-24 15:00:00+00:00 ['000061.SZA', '300069.SZA']
======= 2015-07-24 15:00:00+00:00 0.001876296905668998
********* 2015-07-27 15:00:00+00:00 ['000721.SZA', '002081.SZA']
======= 2015-07-27 15:00:00+00:00 0.010928796421987415
********* 2015-07-28 15:00:00+00:00 ['600281.SHA', '300074.SZA']
======= 2015-07-28 15:00:00+00:00 0.00892391434236435
********* 2015-07-29 15:00:00+00:00 ['300074.SZA', '600273.SHA']
======= 2015-07-29 15:00:00+00:00 0.007768741992679937
********* 2015-07-30 15:00:00+00:00 ['000933.SZA', '300120.SZA']
======= 2015-07-30 15:00:00+00:00 0.005014099841632528
********* 2015-07-31 15:00:00+00:00 ['600333.SHA', '300206.SZA']
======= 2015-07-31 15:00:00+00:00 0.004839599057620876
********* 2015-08-03 15:00:00+00:00 ['300384.SZA', '600570.SHA']
======= 2015-08-03 15:00:00+00:00 0.003769709688990254
********* 2015-08-04 15:00:00+00:00 ['002298.SZA', '300226.SZA']
======= 2015-08-04 15:00:00+00:00 0.004988638321411384
********* 2015-08-05 15:00:00+00:00 ['002175.SZA', '300016.SZA']
======= 2015-08-05 15:00:00+00:00 0.0017288679130489089
********* 2015-08-06 15:00:00+00:00 ['300016.SZA', '600890.SHA']
======= 2015-08-06 15:00:00+00:00 0.0015456829579746853
********* 2015-08-07 15:00:00+00:00 ['300248.SZA', '002200.SZA']
======= 2015-08-07 15:00:00+00:00 0.002485230332699032
********* 2015-08-10 15:00:00+00:00 ['002378.SZA', '002614.SZA']
======= 2015-08-10 15:00:00+00:00 0.001718025704748579
********* 2015-08-11 15:00:00+00:00 ['002375.SZA', '002625.SZA']
======= 2015-08-11 15:00:00+00:00 0.001312425709379948
********* 2015-08-12 15:00:00+00:00 ['002375.SZA', '300384.SZA']
======= 2015-08-12 15:00:00+00:00 0.001143862825364174
********* 2015-08-13 15:00:00+00:00 ['002375.SZA', '000503.SZA']
======= 2015-08-13 15:00:00+00:00 0.0008363901987256635
********* 2015-08-14 15:00:00+00:00 ['300212.SZA', '002487.SZA']
======= 2015-08-14 15:00:00+00:00 0.0007755470721146119
********* 2015-08-17 15:00:00+00:00 ['300081.SZA', '002748.SZA']
======= 2015-08-17 15:00:00+00:00 0.0022080104367080446
********* 2015-08-18 15:00:00+00:00 ['300378.SZA', '300380.SZA']
======= 2015-08-18 15:00:00+00:00 0.0027915904630575
********* 2015-08-19 15:00:00+00:00 ['300081.SZA', '300384.SZA']
======= 2015-08-19 15:00:00+00:00 0.003037738651917896
********* 2015-08-20 15:00:00+00:00 ['300081.SZA', '000669.SZA']
======= 2015-08-20 15:00:00+00:00 0.002403791192868333
********* 2015-08-21 15:00:00+00:00 ['300081.SZA', '300252.SZA']
======= 2015-08-21 15:00:00+00:00 0.0027407712317492525
********* 2015-08-24 15:00:00+00:00 ['300449.SZA', '000662.SZA']
======= 2015-08-24 15:00:00+00:00 0.0008256126283170121
********* 2015-08-25 15:00:00+00:00 ['300460.SZA', '600029.SHA']
======= 2015-08-25 15:00:00+00:00 0.004596769646588695
********* 2015-08-26 15:00:00+00:00 ['002518.SZA', '300065.SZA']
======= 2015-08-26 15:00:00+00:00 0.0030181591189086475
********* 2015-08-27 15:00:00+00:00 ['002518.SZA', '002387.SZA']
======= 2015-08-27 15:00:00+00:00 0.0024397587665826157
********* 2015-08-28 15:00:00+00:00 ['000504.SZA', '300212.SZA']
======= 2015-08-28 15:00:00+00:00 0.00506858556093681
********* 2015-08-31 15:00:00+00:00 ['000504.SZA', '002387.SZA']
======= 2015-08-31 15:00:00+00:00 0.00424623271293809
********* 2015-09-01 15:00:00+00:00 ['002617.SZA', '002696.SZA']
======= 2015-09-01 15:00:00+00:00 0.0008714818390695322
********* 2015-09-02 15:00:00+00:00 ['600714.SHA', '603008.SHA']
======= 2015-09-02 15:00:00+00:00 0.00557015992866062
********* 2015-09-07 15:00:00+00:00 ['300388.SZA', '603008.SHA']
======= 2015-09-07 15:00:00+00:00 0.005698681613484435
********* 2015-09-08 15:00:00+00:00 ['002515.SZA', '002772.SZA']
======= 2015-09-08 15:00:00+00:00 0.006482768286912555
********* 2015-09-09 15:00:00+00:00 ['000628.SZA', '600807.SHA']
======= 2015-09-09 15:00:00+00:00 0.015606496402933656
********* 2015-09-10 15:00:00+00:00 ['300277.SZA', '600184.SHA']
======= 2015-09-10 15:00:00+00:00 0.005377098401891449
********* 2015-09-11 15:00:00+00:00 ['000738.SZA', '600760.SHA']
======= 2015-09-11 15:00:00+00:00 0.0010757740183114236
********* 2015-09-14 15:00:00+00:00 ['000930.SZA', '002242.SZA']
======= 2015-09-14 15:00:00+00:00 0.011858726041067427
********* 2015-09-15 15:00:00+00:00 ['000921.SZA', '002562.SZA']
======= 2015-09-15 15:00:00+00:00 0.0008595109470243571
********* 2015-09-16 15:00:00+00:00 ['601886.SHA', '300125.SZA']
======= 2015-09-16 15:00:00+00:00 0.002367788465909274
********* 2015-09-17 15:00:00+00:00 ['600747.SHA', '300091.SZA']
======= 2015-09-17 15:00:00+00:00 0.012024933479706913
********* 2015-09-18 15:00:00+00:00 ['000930.SZA', '001696.SZA']
======= 2015-09-18 15:00:00+00:00 0.007030778276405379
********* 2015-09-21 15:00:00+00:00 ['002499.SZA', '300128.SZA']
======= 2015-09-21 15:00:00+00:00 0.0064654461780261204
********* 2015-09-22 15:00:00+00:00 ['002759.SZA', '603166.SHA']
======= 2015-09-22 15:00:00+00:00 0.0033094670638861303
********* 2015-09-23 15:00:00+00:00 ['603021.SHA', '000693.SZA']
======= 2015-09-23 15:00:00+00:00 0.00504594395280236
********* 2015-09-24 15:00:00+00:00 ['002592.SZA', '002645.SZA']
======= 2015-09-24 15:00:00+00:00 0.002389517202961775
********* 2015-09-25 15:00:00+00:00 ['300202.SZA', '300368.SZA']
======= 2015-09-25 15:00:00+00:00 0.0017930365142534454
********* 2015-09-28 15:00:00+00:00 ['600121.SHA', '600969.SHA']
======= 2015-09-28 15:00:00+00:00 0.004824492254112806
********* 2015-09-29 15:00:00+00:00 ['600797.SHA', '600121.SHA']
======= 2015-09-29 15:00:00+00:00 0.0040540398248692655
********* 2015-09-30 15:00:00+00:00 ['000810.SZA', '600401.SHA']
======= 2015-09-30 15:00:00+00:00 0.0021686715702592626
********* 2015-10-08 15:00:00+00:00 ['002414.SZA', '600355.SHA']
======= 2015-10-08 15:00:00+00:00 0.0013417986607880013
********* 2015-10-09 15:00:00+00:00 ['603600.SHA', '000650.SZA']
======= 2015-10-09 15:00:00+00:00 0.002339455735660848
********* 2015-10-12 15:00:00+00:00 ['002399.SZA', '002217.SZA']
======= 2015-10-12 15:00:00+00:00 0.0007337625509948046
********* 2015-10-13 15:00:00+00:00 ['002399.SZA', '600872.SHA']
======= 2015-10-13 15:00:00+00:00 0.0005087529780908813
********* 2015-10-14 15:00:00+00:00 ['600202.SHA', '300310.SZA']
======= 2015-10-14 15:00:00+00:00 0.01783701806303907
********* 2015-10-15 15:00:00+00:00 ['600408.SHA', '300089.SZA']
======= 2015-10-15 15:00:00+00:00 0.014421903474287899
********* 2015-10-16 15:00:00+00:00 ['300089.SZA', '000510.SZA']
======= 2015-10-16 15:00:00+00:00 0.009594840838156518
********* 2015-10-19 15:00:00+00:00 ['600879.SHA', '000887.SZA']
======= 2015-10-19 15:00:00+00:00 0.002638198066295234
********* 2015-10-20 15:00:00+00:00 ['300316.SZA', '000887.SZA']
======= 2015-10-20 15:00:00+00:00 0.002630654528654578
********* 2015-10-21 15:00:00+00:00 ['603686.SHA', '000887.SZA']
======= 2015-10-21 15:00:00+00:00 0.0053583242356089085
********* 2015-10-22 15:00:00+00:00 ['600202.SHA', '000426.SZA']
======= 2015-10-22 15:00:00+00:00 0.00782144100062319
********* 2015-10-23 15:00:00+00:00 ['000782.SZA', '300316.SZA']
======= 2015-10-23 15:00:00+00:00 0.009358117579555571
********* 2015-10-26 15:00:00+00:00 ['002353.SZA', '300411.SZA']
======= 2015-10-26 15:00:00+00:00 0.0021784615262470377
********* 2015-10-27 15:00:00+00:00 ['000782.SZA', '002353.SZA']
======= 2015-10-27 15:00:00+00:00 0.006942845075263798
********* 2015-10-28 15:00:00+00:00 ['300184.SZA', '300411.SZA']
======= 2015-10-28 15:00:00+00:00 0.003699400866302788
********* 2015-10-29 15:00:00+00:00 ['600071.SHA', '600356.SHA']
======= 2015-10-29 15:00:00+00:00 0.0007762705515972258
********* 2015-10-30 15:00:00+00:00 ['300064.SZA', '600356.SHA']
======= 2015-10-30 15:00:00+00:00 0.0023085650713341754
********* 2015-11-02 15:00:00+00:00 ['002616.SZA', '600202.SHA']
======= 2015-11-02 15:00:00+00:00 0.0005383625847679136
********* 2015-11-03 15:00:00+00:00 ['300135.SZA', '600634.SHA']
======= 2015-11-03 15:00:00+00:00 0.011768545473122699
********* 2015-11-04 15:00:00+00:00 ['300135.SZA', '002348.SZA']
======= 2015-11-04 15:00:00+00:00 0.008631031099054515
********* 2015-11-05 15:00:00+00:00 ['600634.SHA', '300316.SZA']
======= 2015-11-05 15:00:00+00:00 0.005823658098962319
********* 2015-11-06 15:00:00+00:00 ['300135.SZA', '600634.SHA']
======= 2015-11-06 15:00:00+00:00 0.00803568735765516
********* 2015-11-09 15:00:00+00:00 ['600186.SHA', '600634.SHA']
======= 2015-11-09 15:00:00+00:00 0.007858931920699216
********* 2015-11-10 15:00:00+00:00 ['300164.SZA', '002674.SZA']
======= 2015-11-10 15:00:00+00:00 0.004614606518923036
********* 2015-11-11 15:00:00+00:00 ['300184.SZA', '002032.SZA']
======= 2015-11-11 15:00:00+00:00 0.005090577458559151
********* 2015-11-12 15:00:00+00:00 ['002674.SZA', '002333.SZA']
======= 2015-11-12 15:00:00+00:00 0.001166307934488905
********* 2015-11-13 15:00:00+00:00 ['600987.SHA', '002674.SZA']
======= 2015-11-13 15:00:00+00:00 0.0015409447189524638
********* 2015-11-16 15:00:00+00:00 ['600479.SHA', '000550.SZA']
======= 2015-11-16 15:00:00+00:00 0.001056697247072974
********* 2015-11-17 15:00:00+00:00 ['300298.SZA', '002238.SZA']
======= 2015-11-17 15:00:00+00:00 0.0014430917016615738
********* 2015-11-18 15:00:00+00:00 ['002051.SZA', '300384.SZA']
======= 2015-11-18 15:00:00+00:00 0.0007974455088448502
********* 2015-11-19 15:00:00+00:00 ['002259.SZA', '000411.SZA']
======= 2015-11-19 15:00:00+00:00 0.002553024519116777
********* 2015-11-20 15:00:00+00:00 ['002259.SZA', '002759.SZA']
======= 2015-11-20 15:00:00+00:00 1.8672766853251733e-05
********* 2015-11-23 15:00:00+00:00 ['000025.SZA', '300357.SZA']
======= 2015-11-23 15:00:00+00:00 0.0008361818728628393
********* 2015-11-24 15:00:00+00:00 ['000920.SZA', '002213.SZA']
======= 2015-11-24 15:00:00+00:00 0.001261668426132582
********* 2015-11-25 15:00:00+00:00 ['000759.SZA', '600145.SHA']
======= 2015-11-25 15:00:00+00:00 0.002000782753094695
********* 2015-11-26 15:00:00+00:00 ['000550.SZA', '600007.SHA']
======= 2015-11-26 15:00:00+00:00 0.0001818927365878744
********* 2015-11-27 15:00:00+00:00 ['300029.SZA', '002577.SZA']
======= 2015-11-27 15:00:00+00:00 0.005125037661236885
********* 2015-11-30 15:00:00+00:00 ['600250.SHA', '000611.SZA']
======= 2015-11-30 15:00:00+00:00 0.0022178888916448178
********* 2015-12-01 15:00:00+00:00 ['000756.SZA', '000908.SZA']
======= 2015-12-01 15:00:00+00:00 0.002128842587554898
********* 2015-12-02 15:00:00+00:00 ['002690.SZA', '600250.SHA']
======= 2015-12-02 15:00:00+00:00 0.0001872076579732474
********* 2015-12-03 15:00:00+00:00 ['002301.SZA', '600475.SHA']
======= 2015-12-03 15:00:00+00:00 0.0005791896658553777
********* 2015-12-04 15:00:00+00:00 ['300308.SZA', '002484.SZA']
======= 2015-12-04 15:00:00+00:00 0.0010912957058661146
********* 2015-12-07 15:00:00+00:00 ['600233.SHA', '600745.SHA']
======= 2015-12-07 15:00:00+00:00 0.0013221969696969697
********* 2015-12-08 15:00:00+00:00 ['600745.SHA', '601177.SHA']
======= 2015-12-08 15:00:00+00:00 0.001673437404147374
********* 2015-12-09 15:00:00+00:00 ['603328.SHA', '002669.SZA']
======= 2015-12-09 15:00:00+00:00 0.0014397477926736063
********* 2015-12-10 15:00:00+00:00 ['601003.SHA', '300134.SZA']
======= 2015-12-10 15:00:00+00:00 0.0015736664514404992
********* 2015-12-11 15:00:00+00:00 ['601003.SHA', '300404.SZA']
======= 2015-12-11 15:00:00+00:00 0.0012576812275666453
********* 2015-12-14 15:00:00+00:00 ['002067.SZA', '600555.SHA']
======= 2015-12-14 15:00:00+00:00 0.007849887999411009
********* 2015-12-15 15:00:00+00:00 ['002067.SZA', '603918.SHA']
======= 2015-12-15 15:00:00+00:00 0.006463312431761766
********* 2015-12-16 15:00:00+00:00 ['600722.SHA', '600615.SHA']
======= 2015-12-16 15:00:00+00:00 0.001748144511772822
********* 2015-12-17 15:00:00+00:00 ['600643.SHA', '000850.SZA']
======= 2015-12-17 15:00:00+00:00 0.004115475038029217
********* 2015-12-18 15:00:00+00:00 ['000862.SZA', '000850.SZA']
======= 2015-12-18 15:00:00+00:00 0.0018224237058087757
********* 2015-12-21 15:00:00+00:00 ['600870.SHA', '002459.SZA']
======= 2015-12-21 15:00:00+00:00 0.0018934234873929448
********* 2015-12-22 15:00:00+00:00 ['600779.SHA', '300381.SZA']
======= 2015-12-22 15:00:00+00:00 0.001329151638478748
********* 2015-12-23 15:00:00+00:00 ['600962.SHA', '600058.SHA']
======= 2015-12-23 15:00:00+00:00 0.0008375517580300712
********* 2015-12-24 15:00:00+00:00 ['002676.SZA', '000700.SZA']
======= 2015-12-24 15:00:00+00:00 0.00017695034665362564
********* 2015-12-25 15:00:00+00:00 ['300393.SZA', '600058.SHA']
======= 2015-12-25 15:00:00+00:00 0.0008249539713904605
********* 2015-12-28 15:00:00+00:00 ['600058.SHA', '300149.SZA']
======= 2015-12-28 15:00:00+00:00 0.0007980170172702007
********* 2015-12-29 15:00:00+00:00 ['600058.SHA', '300094.SZA']
======= 2015-12-29 15:00:00+00:00 0.001342540807665858
********* 2015-12-30 15:00:00+00:00 ['000688.SZA', '300294.SZA']
======= 2015-12-30 15:00:00+00:00 0.003932397034408361
********* 2015-12-31 15:00:00+00:00 ['600613.SHA', '002599.SZA']
======= 2015-12-31 15:00:00+00:00 0.0012184388944738095
********* 2016-01-04 15:00:00+00:00 ['300449.SZA', '002668.SZA']
======= 2016-01-04 15:00:00+00:00 0.0005938202195115691
********* 2016-01-05 15:00:00+00:00 ['300189.SZA', '601155.SHA']
======= 2016-01-05 15:00:00+00:00 0.010161072757175546
********* 2016-01-06 15:00:00+00:00 ['300149.SZA', '002592.SZA']
======= 2016-01-06 15:00:00+00:00 0.0027993817594611117
********* 2016-01-07 15:00:00+00:00 ['002625.SZA', '002481.SZA']
======= 2016-01-07 15:00:00+00:00 0.00022049005808571134
********* 2016-01-08 15:00:00+00:00 ['002169.SZA', '002189.SZA']
======= 2016-01-08 15:00:00+00:00 0.004066222685121096
********* 2016-01-11 15:00:00+00:00 ['300016.SZA', '000032.SZA']
======= 2016-01-11 15:00:00+00:00 0.0017778448380720777
********* 2016-01-12 15:00:00+00:00 ['300384.SZA', '300096.SZA']
======= 2016-01-12 15:00:00+00:00 0.0018941460258908558
********* 2016-01-13 15:00:00+00:00 ['300147.SZA', '002205.SZA']
======= 2016-01-13 15:00:00+00:00 0.0012397912190635738
********* 2016-01-14 15:00:00+00:00 ['600385.SHA', '000548.SZA']
======= 2016-01-14 15:00:00+00:00 0.0018756365196188937
********* 2016-01-15 15:00:00+00:00 ['300092.SZA', '300389.SZA']
======= 2016-01-15 15:00:00+00:00 0.010704187805270176
********* 2016-01-18 15:00:00+00:00 ['002173.SZA', '600179.SHA']
======= 2016-01-18 15:00:00+00:00 0.0031527183683002606
********* 2016-01-19 15:00:00+00:00 ['300309.SZA', '002072.SZA']
======= 2016-01-19 15:00:00+00:00 0.0028654815471008824
********* 2016-01-20 15:00:00+00:00 ['603600.SHA', '603222.SHA']
======= 2016-01-20 15:00:00+00:00 0.001986338544122975
********* 2016-01-21 15:00:00+00:00 ['002702.SZA', '603703.SHA']
======= 2016-01-21 15:00:00+00:00 0.007094454980918611
********* 2016-01-22 15:00:00+00:00 ['002329.SZA', '600695.SHA']
======= 2016-01-22 15:00:00+00:00 0.0015985731109407996
********* 2016-01-25 15:00:00+00:00 ['600146.SHA', '300364.SZA']
======= 2016-01-25 15:00:00+00:00 0.005046903938520653
********* 2016-01-26 15:00:00+00:00 ['000519.SZA', '600432.SHA']
======= 2016-01-26 15:00:00+00:00 0.004225444097914225
********* 2016-01-27 15:00:00+00:00 ['000043.SZA', '002310.SZA']
======= 2016-01-27 15:00:00+00:00 0.004538750008870208
********* 2016-01-28 15:00:00+00:00 ['002191.SZA', '601106.SHA']
======= 2016-01-28 15:00:00+00:00 0.0023590400031134437
********* 2016-01-29 15:00:00+00:00 ['600865.SHA', '600150.SHA']
======= 2016-01-29 15:00:00+00:00 0.0021984745893202256
********* 2016-02-01 15:00:00+00:00 ['000519.SZA', '300037.SZA']
======= 2016-02-01 15:00:00+00:00 0.004814839707477496
********* 2016-02-02 15:00:00+00:00 ['600226.SHA', '000720.SZA']
======= 2016-02-02 15:00:00+00:00 0.004691874043995172
********* 2016-02-03 15:00:00+00:00 ['000606.SZA', '600150.SHA']
======= 2016-02-03 15:00:00+00:00 0.00779573081750311
********* 2016-02-04 15:00:00+00:00 ['002363.SZA', '300215.SZA']
======= 2016-02-04 15:00:00+00:00 0.0018430363643707598
********* 2016-02-05 15:00:00+00:00 ['600568.SHA', '002568.SZA']
======= 2016-02-05 15:00:00+00:00 0.004106337359502015
********* 2016-02-15 15:00:00+00:00 ['601918.SHA', '603800.SHA']
======= 2016-02-15 15:00:00+00:00 0.0024265016071589613
********* 2016-02-16 15:00:00+00:00 ['002781.SZA', '603508.SHA']
======= 2016-02-16 15:00:00+00:00 0.0036928902126516067
********* 2016-02-17 15:00:00+00:00 ['002781.SZA', '300355.SZA']
======= 2016-02-17 15:00:00+00:00 0.004316184283216423
********* 2016-02-18 15:00:00+00:00 ['002308.SZA', '002373.SZA']
======= 2016-02-18 15:00:00+00:00 1.5940210087732072e-05
********* 2016-02-19 15:00:00+00:00 ['002782.SZA', '000889.SZA']
======= 2016-02-19 15:00:00+00:00 0.005425472822000409
********* 2016-02-22 15:00:00+00:00 ['002308.SZA', '000901.SZA']
======= 2016-02-22 15:00:00+00:00 0.0035732269065589803
********* 2016-02-23 15:00:00+00:00 ['000901.SZA', '300242.SZA']
======= 2016-02-23 15:00:00+00:00 0.0011045152130375845
********* 2016-02-24 15:00:00+00:00 ['300242.SZA', '002368.SZA']
======= 2016-02-24 15:00:00+00:00 0.0007026415731874506
********* 2016-02-25 15:00:00+00:00 ['300011.SZA', '002228.SZA']
======= 2016-02-25 15:00:00+00:00 0.0014443783869269105
********* 2016-02-26 15:00:00+00:00 ['300011.SZA', '300242.SZA']
======= 2016-02-26 15:00:00+00:00 0.0013078642677937916
********* 2016-02-29 15:00:00+00:00 ['002465.SZA', '300242.SZA']
======= 2016-02-29 15:00:00+00:00 0.002210838215992725
********* 2016-03-01 15:00:00+00:00 ['600734.SHA', '002373.SZA']
======= 2016-03-01 15:00:00+00:00 0.00526044123120575
********* 2016-03-02 15:00:00+00:00 ['000712.SZA', '300365.SZA']
======= 2016-03-02 15:00:00+00:00 0.002292568992740765
********* 2016-03-03 15:00:00+00:00 ['000712.SZA', '600462.SHA']
======= 2016-03-03 15:00:00+00:00 0.001927412887695189
********* 2016-03-04 15:00:00+00:00 ['300278.SZA', '002373.SZA']
======= 2016-03-04 15:00:00+00:00 0.0030203268906652298
********* 2016-03-07 15:00:00+00:00 ['002373.SZA', '300278.SZA']
======= 2016-03-07 15:00:00+00:00 0.0013304139958677835
********* 2016-03-08 15:00:00+00:00 ['600645.SHA', '300069.SZA']
======= 2016-03-08 15:00:00+00:00 0.0016186133545394348
********* 2016-03-09 15:00:00+00:00 ['300368.SZA', '300379.SZA']
======= 2016-03-09 15:00:00+00:00 0.0035663820029140777
********* 2016-03-10 15:00:00+00:00 ['600603.SHA', '002137.SZA']
======= 2016-03-10 15:00:00+00:00 0.003607826986776221
********* 2016-03-11 15:00:00+00:00 ['002373.SZA', '002137.SZA']
======= 2016-03-11 15:00:00+00:00 0.0009470722140866615
********* 2016-03-14 15:00:00+00:00 ['601388.SHA', '600490.SHA']
======= 2016-03-14 15:00:00+00:00 0.003544256654366167
********* 2016-03-15 15:00:00+00:00 ['601388.SHA', '000748.SZA']
======= 2016-03-15 15:00:00+00:00 0.002690150443087243
********* 2016-03-16 15:00:00+00:00 ['601388.SHA', '002053.SZA']
======= 2016-03-16 15:00:00+00:00 0.0023571534440577353
********* 2016-03-17 15:00:00+00:00 ['000901.SZA', '600871.SHA']
======= 2016-03-17 15:00:00+00:00 0.0015110355134875493
********* 2016-03-18 15:00:00+00:00 ['000748.SZA', '002049.SZA']
======= 2016-03-18 15:00:00+00:00 0.003542280704077358
********* 2016-03-21 15:00:00+00:00 ['002049.SZA', '601388.SHA']
======= 2016-03-21 15:00:00+00:00 0.0011740643154890768
********* 2016-03-22 15:00:00+00:00 ['002049.SZA', '000748.SZA']
======= 2016-03-22 15:00:00+00:00 0.0009107212754317593
********* 2016-03-23 15:00:00+00:00 ['600052.SHA', '601567.SHA']
======= 2016-03-23 15:00:00+00:00 1.3365254499256288e-05
********* 2016-03-24 15:00:00+00:00 ['600681.SHA', '000748.SZA']
======= 2016-03-24 15:00:00+00:00 0.002512998766919657
********* 2016-03-25 15:00:00+00:00 ['002049.SZA', '603377.SHA']
======= 2016-03-25 15:00:00+00:00 0.0009087497093443735
********* 2016-03-28 15:00:00+00:00 ['002616.SZA', '000877.SZA']
======= 2016-03-28 15:00:00+00:00 0.000853971083319354
********* 2016-03-29 15:00:00+00:00 ['000748.SZA', '002049.SZA']
======= 2016-03-29 15:00:00+00:00 0.00158229907926262
********* 2016-03-30 15:00:00+00:00 ['000748.SZA', '000066.SZA']
======= 2016-03-30 15:00:00+00:00 0.0016738740671764425
********* 2016-03-31 15:00:00+00:00 ['600983.SHA', '000748.SZA']
======= 2016-03-31 15:00:00+00:00 0.0010351449086498784
********* 2016-04-01 15:00:00+00:00 ['000748.SZA', '600973.SHA']
======= 2016-04-01 15:00:00+00:00 0.0012230108510059077
********* 2016-04-05 15:00:00+00:00 ['300028.SZA', '000748.SZA']
======= 2016-04-05 15:00:00+00:00 0.00041623729592066354
********* 2016-04-06 15:00:00+00:00 ['000748.SZA', '600654.SHA']
======= 2016-04-06 15:00:00+00:00 0.0013103883410239146
********* 2016-04-07 15:00:00+00:00 ['002386.SZA', '600654.SHA']
======= 2016-04-07 15:00:00+00:00 0.002599118534528074
********* 2016-04-08 15:00:00+00:00 ['600654.SHA', '002386.SZA']
======= 2016-04-08 15:00:00+00:00 0.0018791849716989766
********* 2016-04-11 15:00:00+00:00 ['600200.SHA', '002049.SZA']
======= 2016-04-11 15:00:00+00:00 0.0016617263096863073
********* 2016-04-12 15:00:00+00:00 ['000908.SZA', '300028.SZA']
======= 2016-04-12 15:00:00+00:00 0.0003831576109422352
********* 2016-04-13 15:00:00+00:00 ['002729.SZA', '600654.SHA']
======= 2016-04-13 15:00:00+00:00 0.0003459953157861194
********* 2016-04-14 15:00:00+00:00 ['002311.SZA', '002659.SZA']
======= 2016-04-14 15:00:00+00:00 0.0005014092970646284
********* 2016-04-15 15:00:00+00:00 ['600654.SHA', '300456.SZA']
======= 2016-04-15 15:00:00+00:00 0.0013473940896545943
********* 2016-04-18 15:00:00+00:00 ['000596.SZA', '601515.SHA']
======= 2016-04-18 15:00:00+00:00 0.00018640991902546972
********* 2016-04-19 15:00:00+00:00 ['603718.SHA', '000596.SZA']
======= 2016-04-19 15:00:00+00:00 0.0006288958654239281
********* 2016-04-20 15:00:00+00:00 ['600984.SHA', '300430.SZA']
======= 2016-04-20 15:00:00+00:00 0.002270590352338246
********* 2016-04-21 15:00:00+00:00 ['600452.SHA', '300247.SZA']
======= 2016-04-21 15:00:00+00:00 0.0006565719637839525
********* 2016-04-22 15:00:00+00:00 ['300064.SZA', '600452.SHA']
======= 2016-04-22 15:00:00+00:00 0.0016449447217509938
********* 2016-04-25 15:00:00+00:00 ['300431.SZA', '300064.SZA']
======= 2016-04-25 15:00:00+00:00 0.0011054110230484186
********* 2016-04-26 15:00:00+00:00 ['300028.SZA', '000631.SZA']
======= 2016-04-26 15:00:00+00:00 0.007625592001698757
********* 2016-04-27 15:00:00+00:00 ['300238.SZA', '300028.SZA']
======= 2016-04-27 15:00:00+00:00 0.0005364788174679065
********* 2016-04-28 15:00:00+00:00 ['300028.SZA', '300336.SZA']
======= 2016-04-28 15:00:00+00:00 0.008558284542844897
********* 2016-04-29 15:00:00+00:00 ['600654.SHA', '300028.SZA']
======= 2016-04-29 15:00:00+00:00 0.0010627967403989468
********* 2016-05-03 15:00:00+00:00 ['600265.SHA', '600654.SHA']
======= 2016-05-03 15:00:00+00:00 0.00014267451443513595
********* 2016-05-04 15:00:00+00:00 ['600745.SHA', '002312.SZA']
======= 2016-05-04 15:00:00+00:00 0.004085506261465755
********* 2016-05-05 15:00:00+00:00 ['600745.SHA', '600803.SHA']
======= 2016-05-05 15:00:00+00:00 0.002988617398253972

********* 2016-05-06 15:00:00+00:00 ['002018.SZA', '300023.SZA']
======= 2016-05-06 15:00:00+00:00 0.009689782157517693
********* 2016-05-09 15:00:00+00:00 ['002174.SZA', '002423.SZA']
======= 2016-05-09 15:00:00+00:00 0.0020849004985750617
********* 2016-05-10 15:00:00+00:00 ['002018.SZA', '002757.SZA']
======= 2016-05-10 15:00:00+00:00 0.00843630754444174
********* 2016-05-11 15:00:00+00:00 ['002326.SZA', '002018.SZA']
======= 2016-05-11 15:00:00+00:00 0.002745568022629019
********* 2016-05-12 15:00:00+00:00 ['002326.SZA', '600306.SHA']
======= 2016-05-12 15:00:00+00:00 0.001908408994805824
********* 2016-05-13 15:00:00+00:00 ['002018.SZA', '600306.SHA']
======= 2016-05-13 15:00:00+00:00 0.010749669036599732
********* 2016-05-16 15:00:00+00:00 ['002018.SZA', '000034.SZA']
======= 2016-05-16 15:00:00+00:00 0.007423388516473257
********* 2016-05-17 15:00:00+00:00 ['600306.SHA', '002326.SZA']
======= 2016-05-17 15:00:00+00:00 0.0023715677843438184
********* 2016-05-18 15:00:00+00:00 ['600760.SHA', '002326.SZA']
======= 2016-05-18 15:00:00+00:00 0.0024973518626741106
********* 2016-05-19 15:00:00+00:00 ['002757.SZA', '600485.SHA']
======= 2016-05-19 15:00:00+00:00 0.0021739984726605118
********* 2016-05-20 15:00:00+00:00 ['600485.SHA', '601918.SHA']
======= 2016-05-20 15:00:00+00:00 0.00220206943853635
********* 2016-05-23 15:00:00+00:00 ['600485.SHA', '002018.SZA']
======= 2016-05-23 15:00:00+00:00 0.002107724656480845
********* 2016-05-24 15:00:00+00:00 ['601918.SHA', '000622.SZA']
======= 2016-05-24 15:00:00+00:00 0.0030570920136646397
********* 2016-05-25 15:00:00+00:00 ['000622.SZA', '601918.SHA']
======= 2016-05-25 15:00:00+00:00 0.001739349526530785
********* 2016-05-26 15:00:00+00:00 ['600485.SHA', '600247.SHA']
======= 2016-05-26 15:00:00+00:00 0.0022525424854604754
********* 2016-05-27 15:00:00+00:00 ['002312.SZA', '000796.SZA']
======= 2016-05-27 15:00:00+00:00 0.002968582689802183
********* 2016-05-30 15:00:00+00:00 ['000796.SZA', '300117.SZA']
======= 2016-05-30 15:00:00+00:00 0.00196456130044874
********* 2016-05-31 15:00:00+00:00 ['002208.SZA', '000796.SZA']
======= 2016-05-31 15:00:00+00:00 0.0042055579619081525
********* 2016-06-01 15:00:00+00:00 ['300410.SZA', '002208.SZA']
======= 2016-06-01 15:00:00+00:00 0.00016369352461567598
********* 2016-06-02 15:00:00+00:00 ['600365.SHA', '002208.SZA']
======= 2016-06-02 15:00:00+00:00 0.005123309765625
********* 2016-06-03 15:00:00+00:00 ['600365.SHA', '002629.SZA']
======= 2016-06-03 15:00:00+00:00 0.005910384174311926
********* 2016-06-06 15:00:00+00:00 ['600377.SHA', '600365.SHA']
======= 2016-06-06 15:00:00+00:00 0.00020109374469103224
********* 2016-06-07 15:00:00+00:00 ['300063.SZA', '000989.SZA']
======= 2016-06-07 15:00:00+00:00 0.001338074394526871
********* 2016-06-08 15:00:00+00:00 ['000670.SZA', '300063.SZA']
======= 2016-06-08 15:00:00+00:00 0.008284440406268164
********* 2016-06-13 15:00:00+00:00 ['300063.SZA', '002323.SZA']
======= 2016-06-13 15:00:00+00:00 0.0016188098639648638
********* 2016-06-14 15:00:00+00:00 ['300063.SZA', '002323.SZA']
======= 2016-06-14 15:00:00+00:00 0.0010139852722043305
********* 2016-06-15 15:00:00+00:00 ['300366.SZA', '002667.SZA']
======= 2016-06-15 15:00:00+00:00 0.0031236044745987443
********* 2016-06-16 15:00:00+00:00 ['002667.SZA', '000717.SZA']
======= 2016-06-16 15:00:00+00:00 0.0019363707351106687
********* 2016-06-17 15:00:00+00:00 ['000153.SZA', '000856.SZA']
======= 2016-06-17 15:00:00+00:00 0.001638850277977457
********* 2016-06-20 15:00:00+00:00 ['600613.SHA', '000605.SZA']
======= 2016-06-20 15:00:00+00:00 0.00095374004030652
********* 2016-06-21 15:00:00+00:00 ['000670.SZA', '600725.SHA']
======= 2016-06-21 15:00:00+00:00 0.0051853689047827506
********* 2016-06-22 15:00:00+00:00 ['000670.SZA', '601566.SHA']
======= 2016-06-22 15:00:00+00:00 0.003849820193346388
********* 2016-06-23 15:00:00+00:00 ['000713.SZA', '300071.SZA']
======= 2016-06-23 15:00:00+00:00 0.0018482220251798032
********* 2016-06-24 15:00:00+00:00 ['600230.SHA', '600122.SHA']
======= 2016-06-24 15:00:00+00:00 0.0022332423360377548
********* 2016-06-27 15:00:00+00:00 ['000670.SZA', '600356.SHA']
======= 2016-06-27 15:00:00+00:00 0.0038265886936297826
********* 2016-06-28 15:00:00+00:00 ['002219.SZA', '000856.SZA']
======= 2016-06-28 15:00:00+00:00 0.0027993721606997595
********* 2016-06-29 15:00:00+00:00 ['600377.SHA', '002219.SZA']
======= 2016-06-29 15:00:00+00:00 0.00018733603622220584
********* 2016-06-30 15:00:00+00:00 ['600230.SHA', '600548.SHA']
======= 2016-06-30 15:00:00+00:00 0.0008375130517701409
********* 2016-07-01 15:00:00+00:00 ['600230.SHA', '601116.SHA']
======= 2016-07-01 15:00:00+00:00 0.0008211959102551594
********* 2016-07-04 15:00:00+00:00 ['002219.SZA', '000927.SZA']
======= 2016-07-04 15:00:00+00:00 0.0017166647931467496
********* 2016-07-05 15:00:00+00:00 ['600381.SHA', '600581.SHA']
======= 2016-07-05 15:00:00+00:00 0.0007744750242008565
********* 2016-07-06 15:00:00+00:00 ['600393.SHA', '600581.SHA']
======= 2016-07-06 15:00:00+00:00 0.0008415383368634371
********* 2016-07-07 15:00:00+00:00 ['600153.SHA', '600122.SHA']
======= 2016-07-07 15:00:00+00:00 0.002196072861015914
********* 2016-07-08 15:00:00+00:00 ['600153.SHA', '600122.SHA']
======= 2016-07-08 15:00:00+00:00 0.0017984014438104728
********* 2016-07-11 15:00:00+00:00 ['600153.SHA', '600381.SHA']
======= 2016-07-11 15:00:00+00:00 0.002260237439098358
********* 2016-07-12 15:00:00+00:00 ['600153.SHA', '000715.SZA']
======= 2016-07-12 15:00:00+00:00 0.002139805475289866
********* 2016-07-13 15:00:00+00:00 ['600892.SHA', '600898.SHA']
======= 2016-07-13 15:00:00+00:00 0.0004153643513397773
********* 2016-07-14 15:00:00+00:00 ['600814.SHA', '002330.SZA']
======= 2016-07-14 15:00:00+00:00 0.001514137300063613
********* 2016-07-15 15:00:00+00:00 ['002612.SZA', '603008.SHA']
======= 2016-07-15 15:00:00+00:00 0.0032983235115957863
********* 2016-07-18 15:00:00+00:00 ['002612.SZA', '002520.SZA']
======= 2016-07-18 15:00:00+00:00 0.0017149322163075716
********* 2016-07-19 15:00:00+00:00 ['002520.SZA', '600301.SHA']
======= 2016-07-19 15:00:00+00:00 0.0007058862779566023

********* 2016-07-20 15:00:00+00:00 ['002406.SZA', '300435.SZA']
======= 2016-07-20 15:00:00+00:00 0.002648787751050739
********* 2016-07-21 15:00:00+00:00 ['600425.SHA', '601798.SHA']
======= 2016-07-21 15:00:00+00:00 0.0026487816673619025
********* 2016-07-22 15:00:00+00:00 ['603889.SHA', '600815.SHA']
======= 2016-07-22 15:00:00+00:00 0.0014716384703523215
********* 2016-07-25 15:00:00+00:00 ['600379.SHA', '603686.SHA']
======= 2016-07-25 15:00:00+00:00 0.00033889212477260526
********* 2016-07-26 15:00:00+00:00 ['600379.SHA', '600230.SHA']
======= 2016-07-26 15:00:00+00:00 0.0003831131782796298
********* 2016-07-27 15:00:00+00:00 ['600556.SHA', '300481.SZA']
======= 2016-07-27 15:00:00+00:00 0.008726614053797582
********* 2016-07-28 15:00:00+00:00 ['002798.SZA', '300508.SZA']
======= 2016-07-28 15:00:00+00:00 0.0017183733581374373
********* 2016-07-29 15:00:00+00:00 ['600180.SHA', '600241.SHA']
======= 2016-07-29 15:00:00+00:00 0.0003788326125166379
********* 2016-08-01 15:00:00+00:00 ['002112.SZA', '002798.SZA']
======= 2016-08-01 15:00:00+00:00 0.002329550337164621
********* 2016-08-02 15:00:00+00:00 ['300508.SZA', '300513.SZA']
======= 2016-08-02 15:00:00+00:00 0.0007301749962802639
********* 2016-08-03 15:00:00+00:00 ['002112.SZA', '300516.SZA']
======= 2016-08-03 15:00:00+00:00 0.001988795423126997
********* 2016-08-04 15:00:00+00:00 ['601611.SHA', '603996.SHA']
======= 2016-08-04 15:00:00+00:00 0.0031038670275458677
********* 2016-08-05 15:00:00+00:00 ['002112.SZA', '601388.SHA']
======= 2016-08-05 15:00:00+00:00 0.0032193558811227808
********* 2016-08-08 15:00:00+00:00 ['002112.SZA', '603131.SHA']
======= 2016-08-08 15:00:00+00:00 0.006746356127749546
********* 2016-08-09 15:00:00+00:00 ['002112.SZA', '600556.SHA']
======= 2016-08-09 15:00:00+00:00 0.004027280943264815
********* 2016-08-10 15:00:00+00:00 ['300372.SZA', '600452.SHA']
======= 2016-08-10 15:00:00+00:00 0.04335989155520248
********* 2016-08-11 15:00:00+00:00 ['300372.SZA', '300493.SZA']
======= 2016-08-11 15:00:00+00:00 0.03764366534101531
********* 2016-08-12 15:00:00+00:00 ['300493.SZA', '600724.SHA']
======= 2016-08-12 15:00:00+00:00 0.0009879647020497751
********* 2016-08-15 15:00:00+00:00 ['600725.SHA', '600608.SHA']
======= 2016-08-15 15:00:00+00:00 0.000814939230467755
********* 2016-08-16 15:00:00+00:00 ['300372.SZA', '600091.SHA']
======= 2016-08-16 15:00:00+00:00 0.02804083103742518
********* 2016-08-17 15:00:00+00:00 ['300372.SZA', '600760.SHA']
======= 2016-08-17 15:00:00+00:00 0.02874790761362096
********* 2016-08-18 15:00:00+00:00 ['601898.SHA', '300362.SZA']
======= 2016-08-18 15:00:00+00:00 0.000433212241457631
********* 2016-08-19 15:00:00+00:00 ['600033.SHA', '603939.SHA']
======= 2016-08-19 15:00:00+00:00 0.0022729776301128584
********* 2016-08-22 15:00:00+00:00 ['300450.SZA', '000993.SZA']
======= 2016-08-22 15:00:00+00:00 0.0020029366370977407
********* 2016-08-23 15:00:00+00:00 ['002422.SZA', '002267.SZA']
======= 2016-08-23 15:00:00+00:00 0.0005354603126294904
********* 2016-08-24 15:00:00+00:00 ['000951.SZA', '002332.SZA']
======= 2016-08-24 15:00:00+00:00 0.0007375332820835143
********* 2016-08-25 15:00:00+00:00 ['000638.SZA', '603696.SHA']
======= 2016-08-25 15:00:00+00:00 0.005043634856491471
********* 2016-08-26 15:00:00+00:00 ['000638.SZA', '002697.SZA']
======= 2016-08-26 15:00:00+00:00 0.00391553108308572
********* 2016-08-29 15:00:00+00:00 ['600393.SHA', '002473.SZA']
======= 2016-08-29 15:00:00+00:00 0.0005402409182784111
********* 2016-08-30 15:00:00+00:00 ['600393.SHA', '000965.SZA']
======= 2016-08-30 15:00:00+00:00 0.0006545111995890988
********* 2016-08-31 15:00:00+00:00 ['002684.SZA', '300200.SZA']
======= 2016-08-31 15:00:00+00:00 0.0004191207689381571
********* 2016-09-01 15:00:00+00:00 ['600356.SHA', '600814.SHA']
======= 2016-09-01 15:00:00+00:00 0.0010674849741981697
********* 2016-09-02 15:00:00+00:00 ['600238.SHA', '600882.SHA']
======= 2016-09-02 15:00:00+00:00 0.0006702077814958109
********* 2016-09-05 15:00:00+00:00 ['603555.SHA', '300419.SZA']
======= 2016-09-05 15:00:00+00:00 0.0006890841389449828
********* 2016-09-06 15:00:00+00:00 ['601116.SHA', '603315.SHA']
======= 2016-09-06 15:00:00+00:00 0.00044202382408216074
********* 2016-09-07 15:00:00+00:00 ['603315.SHA', '000695.SZA']
======= 2016-09-07 15:00:00+00:00 0.0010322002835468798
********* 2016-09-08 15:00:00+00:00 ['601116.SHA', '002203.SZA']
======= 2016-09-08 15:00:00+00:00 0.00034340608888439375
********* 2016-09-09 15:00:00+00:00 ['002419.SZA', '600269.SHA']
======= 2016-09-09 15:00:00+00:00 0.00037735768335026124
********* 2016-09-12 15:00:00+00:00 ['600230.SHA', '000048.SZA']
======= 2016-09-12 15:00:00+00:00 0.0012380122023479905
********* 2016-09-13 15:00:00+00:00 ['600725.SHA', '000622.SZA']
======= 2016-09-13 15:00:00+00:00 0.0015633510397564821
********* 2016-09-14 15:00:00+00:00 ['600234.SHA', '000581.SZA']
======= 2016-09-14 15:00:00+00:00 0.000684830131417261
********* 2016-09-19 15:00:00+00:00 ['600230.SHA', '600234.SHA']
======= 2016-09-19 15:00:00+00:00 0.0009427564022316258
********* 2016-09-20 15:00:00+00:00 ['002370.SZA', '000638.SZA']
======= 2016-09-20 15:00:00+00:00 0.00030210526109131366
********* 2016-09-21 15:00:00+00:00 ['002530.SZA', '600866.SHA']
======= 2016-09-21 15:00:00+00:00 0.00023404115408346302
********* 2016-09-22 15:00:00+00:00 ['601126.SHA', '002595.SZA']
======= 2016-09-22 15:00:00+00:00 0.0005753157867633623
********* 2016-09-23 15:00:00+00:00 ['300523.SZA', '603322.SHA']
======= 2016-09-23 15:00:00+00:00 0.0006326905526560549
********* 2016-09-26 15:00:00+00:00 ['300523.SZA', '600977.SHA']
======= 2016-09-26 15:00:00+00:00 0.0005970739143367044
********* 2016-09-27 15:00:00+00:00 ['601811.SHA', '300529.SZA']
======= 2016-09-27 15:00:00+00:00 0.002243309928950478
********* 2016-09-28 15:00:00+00:00 ['300292.SZA', '600977.SHA']
======= 2016-09-28 15:00:00+00:00 0.006477833893377101
********* 2016-09-29 15:00:00+00:00 ['601811.SHA', '300451.SZA']
======= 2016-09-29 15:00:00+00:00 0.002653642826136627
********* 2016-09-30 15:00:00+00:00 ['300292.SZA', '300242.SZA']
======= 2016-09-30 15:00:00+00:00 0.00745986586534698
********* 2016-10-10 15:00:00+00:00 ['300292.SZA', '300428.SZA']
======= 2016-10-10 15:00:00+00:00 0.007600536529631118
********* 2016-10-11 15:00:00+00:00 ['002802.SZA', '300313.SZA']
======= 2016-10-11 15:00:00+00:00 0.0014818535278420296
********* 2016-10-12 15:00:00+00:00 ['002382.SZA', '600793.SHA']
======= 2016-10-12 15:00:00+00:00 0.0005814478158099596
********* 2016-10-13 15:00:00+00:00 ['002293.SZA', '002487.SZA']
======= 2016-10-13 15:00:00+00:00 0.0002511930826512292
********* 2016-10-14 15:00:00+00:00 ['002423.SZA', '600569.SHA']
======= 2016-10-14 15:00:00+00:00 0.0007884781035843507
********* 2016-10-17 15:00:00+00:00 ['600539.SHA', '601139.SHA']
======= 2016-10-17 15:00:00+00:00 0.0005922494738291476
********* 2016-10-18 15:00:00+00:00 ['601139.SHA', '002343.SZA']
======= 2016-10-18 15:00:00+00:00 0.00015624141157810623
********* 2016-10-19 15:00:00+00:00 ['000022.SZA', '300387.SZA']
======= 2016-10-19 15:00:00+00:00 0.000335265839568954
********* 2016-10-20 15:00:00+00:00 ['600615.SHA', '000899.SZA']
======= 2016-10-20 15:00:00+00:00 0.000935083844481898
********* 2016-10-21 15:00:00+00:00 ['300442.SZA', '002380.SZA']
======= 2016-10-21 15:00:00+00:00 0.000498465341511429
********* 2016-10-24 15:00:00+00:00 ['601098.SHA', '000899.SZA']
======= 2016-10-24 15:00:00+00:00 8.887902605565399e-05
********* 2016-10-25 15:00:00+00:00 ['002485.SZA', '600806.SHA']
======= 2016-10-25 15:00:00+00:00 0.00029255911695485445
********* 2016-10-26 15:00:00+00:00 ['300041.SZA', '600299.SHA']
======= 2016-10-26 15:00:00+00:00 0.0015262065816054628
********* 2016-10-27 15:00:00+00:00 ['603088.SHA', '002295.SZA']
======= 2016-10-27 15:00:00+00:00 0.00034596909667194926
********* 2016-10-28 15:00:00+00:00 ['002527.SZA', '600476.SHA']
======= 2016-10-28 15:00:00+00:00 0.0008526276661835208
********* 2016-10-31 15:00:00+00:00 ['300239.SZA', '300034.SZA']
======= 2016-10-31 15:00:00+00:00 0.0020086041887482035
********* 2016-11-01 15:00:00+00:00 ['600793.SHA', '002487.SZA']
======= 2016-11-01 15:00:00+00:00 0.0003358643517679664
********* 2016-11-02 15:00:00+00:00 ['300215.SZA', '603015.SHA']
======= 2016-11-02 15:00:00+00:00 0.002098257897080773
********* 2016-11-03 15:00:00+00:00 ['600483.SHA', '600548.SHA']
======= 2016-11-03 15:00:00+00:00 0.0010561062925548339
********* 2016-11-04 15:00:00+00:00 ['300301.SZA', '600302.SHA']
======= 2016-11-04 15:00:00+00:00 0.0020291561607141493
********* 2016-11-07 15:00:00+00:00 ['600295.SHA', '300259.SZA']
======= 2016-11-07 15:00:00+00:00 0.0014557532207097716
********* 2016-11-08 15:00:00+00:00 ['000616.SZA', '300057.SZA']
======= 2016-11-08 15:00:00+00:00 0.0018560452501732148
********* 2016-11-09 15:00:00+00:00 ['601579.SHA', '601965.SHA']
======= 2016-11-09 15:00:00+00:00 0.001336163066627132
********* 2016-11-10 15:00:00+00:00 ['002409.SZA', '603899.SHA']
======= 2016-11-10 15:00:00+00:00 0.00029238616328048847
********* 2016-11-11 15:00:00+00:00 ['600758.SHA', '600429.SHA']
======= 2016-11-11 15:00:00+00:00 0.007244968150283373
********* 2016-11-14 15:00:00+00:00 ['603288.SHA', '002107.SZA']
======= 2016-11-14 15:00:00+00:00 0.00016119559283886545
********* 2016-11-15 15:00:00+00:00 ['002484.SZA', '002768.SZA']
======= 2016-11-15 15:00:00+00:00 0.0007099225694886992
********* 2016-11-16 15:00:00+00:00 ['002275.SZA', '600004.SHA']
======= 2016-11-16 15:00:00+00:00 0.00026498611770086824
********* 2016-11-17 15:00:00+00:00 ['002209.SZA', '002380.SZA']
======= 2016-11-17 15:00:00+00:00 0.0005356174479232725
********* 2016-11-18 15:00:00+00:00 ['002209.SZA', '601566.SHA']
======= 2016-11-18 15:00:00+00:00 0.0005816063555356885
********* 2016-11-21 15:00:00+00:00 ['600186.SHA', '002083.SZA']
======= 2016-11-21 15:00:00+00:00 0.003324318732347642
********* 2016-11-22 15:00:00+00:00 ['600091.SHA', '300389.SZA']
======= 2016-11-22 15:00:00+00:00 0.0006519360338397765
********* 2016-11-23 15:00:00+00:00 ['600091.SHA', '600520.SHA']
======= 2016-11-23 15:00:00+00:00 0.0006818340707155041
********* 2016-11-24 15:00:00+00:00 ['000557.SZA', '300112.SZA']
======= 2016-11-24 15:00:00+00:00 0.0026794401948656444
********* 2016-11-25 15:00:00+00:00 ['000004.SZA', '600262.SHA']
======= 2016-11-25 15:00:00+00:00 0.0007272399686378096
********* 2016-11-28 15:00:00+00:00 ['600866.SHA', '601799.SHA']
======= 2016-11-28 15:00:00+00:00 0.0018661348870164234
********* 2016-11-29 15:00:00+00:00 ['600605.SHA', '300260.SZA']
======= 2016-11-29 15:00:00+00:00 0.0011664293656794378
********* 2016-11-30 15:00:00+00:00 ['300321.SZA', '300154.SZA']
======= 2016-11-30 15:00:00+00:00 0.0004233279843986743
********* 2016-12-01 15:00:00+00:00 ['600723.SHA', '000856.SZA']
======= 2016-12-01 15:00:00+00:00 0.0007842756643645105
********* 2016-12-02 15:00:00+00:00 ['600671.SHA', '000525.SZA']
======= 2016-12-02 15:00:00+00:00 0.0009494410295766845
********* 2016-12-05 15:00:00+00:00 ['600149.SHA', '600265.SHA']
======= 2016-12-05 15:00:00+00:00 0.0032571975354059946
********* 2016-12-06 15:00:00+00:00 ['002473.SZA', '300415.SZA']
======= 2016-12-06 15:00:00+00:00 0.00041445523667390794
********* 2016-12-07 15:00:00+00:00 ['002703.SZA', '600573.SHA']
======= 2016-12-07 15:00:00+00:00 0.0015708272369564403
********* 2016-12-08 15:00:00+00:00 ['600317.SHA', '002658.SZA']
======= 2016-12-08 15:00:00+00:00 0.0006446935405914119
********* 2016-12-09 15:00:00+00:00 ['603007.SHA', '002207.SZA']
======= 2016-12-09 15:00:00+00:00 0.0015886365845295771
********* 2016-12-12 15:00:00+00:00 ['603067.SHA', '300549.SZA']
======= 2016-12-12 15:00:00+00:00 0.0038825396842371
********* 2016-12-13 15:00:00+00:00 ['300551.SZA', '300300.SZA']
======= 2016-12-13 15:00:00+00:00 0.001134072742429251
********* 2016-12-14 15:00:00+00:00 ['002703.SZA', '300300.SZA']
======= 2016-12-14 15:00:00+00:00 0.002033887064727018
********* 2016-12-15 15:00:00+00:00 ['603016.SHA', '002703.SZA']
======= 2016-12-15 15:00:00+00:00 0.0019352706079027687
********* 2016-12-16 15:00:00+00:00 ['603016.SHA', '603258.SHA']
======= 2016-12-16 15:00:00+00:00 0.0021584609402164065
********* 2016-12-19 15:00:00+00:00 ['002703.SZA', '600233.SHA']
======= 2016-12-19 15:00:00+00:00 0.001789923508451871
********* 2016-12-20 15:00:00+00:00 ['300520.SZA', '002801.SZA']
======= 2016-12-20 15:00:00+00:00 0.0004054605124973745
********* 2016-12-21 15:00:00+00:00 ['002288.SZA', '002801.SZA']
======= 2016-12-21 15:00:00+00:00 0.004170353199320498
********* 2016-12-22 15:00:00+00:00 ['002781.SZA', '002175.SZA']
======= 2016-12-22 15:00:00+00:00 0.003423601252665309
********* 2016-12-23 15:00:00+00:00 ['002787.SZA', '300507.SZA']
======= 2016-12-23 15:00:00+00:00 0.0022953411774176238
********* 2016-12-26 15:00:00+00:00 ['300532.SZA', '002818.SZA']
======= 2016-12-26 15:00:00+00:00 0.0008698146330413772
********* 2016-12-27 15:00:00+00:00 ['603858.SHA', '002801.SZA']
======= 2016-12-27 15:00:00+00:00 0.00024722183501304926
********* 2016-12-28 15:00:00+00:00 ['600773.SHA', '002816.SZA']
======= 2016-12-28 15:00:00+00:00 0.001385538589525204
********* 2016-12-29 15:00:00+00:00 ['002801.SZA', '300532.SZA']
======= 2016-12-29 15:00:00+00:00 0.0003532383852400041
********* 2016-12-30 15:00:00+00:00 ['300491.SZA', '300532.SZA']
======= 2016-12-30 15:00:00+00:00 0.0021043812080536912

收益率172.12%
年化收益率67.69%
基准收益率-6.33%
阿尔法0.59
贝塔0.89
夏普比率1.36
胜率0.61
盈亏比0.83
收益波动率42.57%
信息比率0.12
最大回撤49.09%

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