复制链接
克隆策略
In [26]:
m21.data.read()
Out[26]:
close_1 close_2 date instrument buy_condition sell_condition m:open m:amount m:high m:close m:low label
0 2147.682129 2132.135254 2021-01-04 000001.SZA 0 1 2121.030518 2.891682e+09 2121.030518 2065.506104 2047.738281 13
1 2065.506104 2147.682129 2021-01-05 000001.SZA 0 1 2043.296265 3.284607e+09 2052.180176 2017.755127 1976.667114 16
2 2017.755127 2065.506104 2021-01-06 000001.SZA 0 1 2007.760742 3.648522e+09 2172.112793 2172.112793 1998.876831 10
3 2172.112793 2017.755127 2021-01-07 000001.SZA 0 1 2167.670898 3.111275e+09 2218.753174 2209.869385 2135.466797 8
4 2209.869385 2172.112793 2021-01-08 000001.SZA 0 1 2209.869385 2.348316e+09 2232.079102 2204.316895 2144.350586 10
... ... ... ... ... ... ... ... ... ... ... ... ...
991601 22.371809 22.280621 2021-12-20 872925.BJA 0 1 22.594717 1.754351e+06 22.594717 22.392073 22.169167 5
991602 22.392073 22.371809 2021-12-21 872925.BJA 0 1 22.311016 3.461378e+06 22.554188 21.794275 21.733482 7
991603 21.794275 22.392073 2021-12-22 872925.BJA 0 1 21.814541 3.106497e+06 22.199562 21.986788 21.601765 10
991604 21.986788 21.794275 2021-12-23 872925.BJA 0 1 21.824673 1.526940e+06 22.159035 22.037449 21.824673 19
991605 22.037449 21.986788 2021-12-24 872925.BJA 0 1 22.037449 5.174284e+06 22.098242 21.247139 21.105289 17

990685 rows × 12 columns

    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#号开始的表示注释\n# 0. 每行一个,顺序执行,从第二个开始,可以使用label字段\n# 1. 可用数据字段见 https://bigquant.com/docs/develop/datasource/deprecated/history_data.html\n# 添加benchmark_前缀,可使用对应的benchmark数据\n# 2. 可用操作符和函数见 `表达式引擎 <https://bigquant.com/docs/develop/bigexpr/usage.html>`_\n\n# 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)\nshift(close, -5) / shift(open, -1)\n\n# 极值处理:用1%和99%分位的值做clip\nclip(label, all_quantile(label, 0.01), all_quantile(label, 0.99))\n\n# 将分数映射到分类,这里使用20个分类\nall_wbins(label, 20)\n\n# 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)\nwhere(shift(high, -1) == shift(low, -1), NaN, 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回测引擎:初始化函数,只执行一次\ndef bigquant_run(context):\n # 加载预测数据\n context.ranker_prediction = context.options['data'].read_df()\n\n # 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\n context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))\n # 预测数据,通过options传入进来,使用 read_df 函数,加载到内存 (DataFrame)\n # 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\n stock_count = 5\n # 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, ..]\n context.stock_weights = T.norm([1 / math.log(i + 2) for i in range(0, stock_count)])\n # 设置每只股票占用的最大资金比例\n context.max_cash_per_instrument = 0.2\n context.hold_days = 5\n","type":"Literal","bound_global_parameter":null},{"name":"handle_data","value":"# 回测引擎:每日数据处理函数,每天执行一次\ndef bigquant_run(context, data):\n # 按日期过滤得到今日的预测数据\n ranker_prediction = context.ranker_prediction[\n context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]\n\n # 1. 资金分配\n # 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\n # 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)\n is_staging = context.trading_day_index < context.hold_days # 是否在建仓期间(前 hold_days 天)\n cash_avg = context.portfolio.portfolio_value / context.hold_days\n cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)\n cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)\n positions = {e.symbol: p.amount * p.last_sale_price\n for e, p in context.perf_tracker.position_tracker.positions.items()}\n\n # 2. 生成卖出订单:hold_days天之后才开始卖出;对持仓的股票,按StockRanker预测的排序末位淘汰\n if not is_staging and cash_for_sell > 0:\n equities = {e.symbol: e for e, p in context.perf_tracker.position_tracker.positions.items()}\n instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(\n lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))\n # print('rank order for sell %s' % instruments)\n for instrument in instruments:\n 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    In [25]:
    # 本代码由可视化策略环境自动生成 2022年6月10日 12:30
    # 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 m16_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 = 5
        # 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 = 0.2
        context.hold_days = 5
    
    # 回测引擎:每日数据处理函数,每天执行一次
    def m16_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.hold_days # 是否在建仓期间(前 hold_days 天)
        cash_avg = context.portfolio.portfolio_value / context.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StockRanker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StockRanker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 m16_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 m16_before_trading_start_bigquant_run(context, data):
        pass
    
    
    m1 = M.instruments.v2(
        start_date='2021-01-01',
        end_date='2021-12-31',
        market='CN_STOCK_A',
        instrument_list='',
        max_count=0
    )
    
    m22 = 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,
        user_functions={}
    )
    
    m3 = M.input_features.v1(
        features="""# #号开始的表示注释,注释需单独一行
    # 多个特征,每行一个,可以包含基础特征和衍生特征,特征须为本平台特征
    buy_condition=where((close_1/close_2>1.15),1,0)
    sell_condition=where((close_1/close_2<1.15),1,0)
    # ta_macd_macd_12_26_9_0/adjust_factor_0
    # ta_macd_macdsignal_12_26_9_0/adjust_factor_0"""
    )
    
    m4 = M.general_feature_extractor.v7(
        instruments=m1.data,
        features=m3.data,
        start_date='',
        end_date='',
        before_start_days=200
    )
    
    m5 = M.derived_feature_extractor.v3(
        input_data=m4.data,
        features=m3.data,
        date_col='date',
        instrument_col='instrument',
        drop_na=False,
        remove_extra_columns=False,
        user_functions={}
    )
    
    m6 = M.filtet_st_stock.v7(
        input_1=m5.data
    )
    
    m7 = M.filter_delist_stocks.v3(
        input_1=m6.data_1
    )
    
    m12 = M.join.v3(
        data1=m22.data,
        data2=m7.data,
        on='date,instrument',
        how='inner',
        sort=False
    )
    
    m21 = M.dropnan.v2(
        input_data=m12.data
    )
    
    m2 = M.stock_ranker_train.v6(
        training_ds=m21.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,
        plot_charts=True,
        ndcg_discount_base=1,
        m_lazy_run=False
    )
    
    m13 = M.instruments.v2(
        start_date='2022-01-01',
        end_date='2022-06-08',
        market='CN_STOCK_A',
        instrument_list='',
        max_count=0
    )
    
    m14 = M.general_feature_extractor.v7(
        instruments=m13.data,
        features=m3.data,
        start_date='2022-01-01',
        end_date='2022-06-01',
        before_start_days=90
    )
    
    m15 = M.derived_feature_extractor.v3(
        input_data=m14.data,
        features=m3.data,
        date_col='date',
        instrument_col='instrument',
        drop_na=False,
        remove_extra_columns=False,
        user_functions={}
    )
    
    m17 = M.filtet_st_stock.v7(
        input_1=m15.data
    )
    
    m18 = M.dropnan.v2(
        input_data=m17.data_1
    )
    
    m19 = M.stock_ranker_predict.v5(
        model=m2.model,
        data=m18.data,
        m_lazy_run=False
    )
    
    m16 = M.trade.v4(
        instruments=m13.data,
        options_data=m19.predictions,
        start_date='',
        end_date='',
        initialize=m16_initialize_bigquant_run,
        handle_data=m16_handle_data_bigquant_run,
        prepare=m16_prepare_bigquant_run,
        before_trading_start=m16_before_trading_start_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.HIX'
    )
    
    ---------------------------------------------------------------------------
    Exception                                 Traceback (most recent call last)
    <ipython-input-25-d1098a0c7b19> in <module>
        151 )
        152 
    --> 153 m2 = M.stock_ranker_train.v6(
        154     training_ds=m21.data,
        155     features=m3.data,
    
    Exception: 模型训练失败:可能导致错误的原因是训练数据问题,请检查训练数据, err_code=1 (a63e28b0e87511eca7045a3246ee9563)