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    {"description":"实验创建于2017/8/26","graph":{"edges":[{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8:data"},{"to_node_id":"-106:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8:data"},{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53:data1","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15:data"},{"to_node_id":"-106:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-113:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-122:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-129:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-690:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-967:input_1","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53:data"},{"to_node_id":"-122:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-62:data"},{"to_node_id":"-141:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-62:data"},{"to_node_id":"-113:input_data","from_node_id":"-106:data"},{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53:data2","from_node_id":"-113:data"},{"to_node_id":"-129:input_data","from_node_id":"-122:data"},{"to_node_id":"-1277:input_1","from_node_id":"-129:data"},{"to_node_id":"-690:training_ds","from_node_id":"-967:data_1"},{"to_node_id":"-690:predict_ds","from_node_id":"-1277:data_1"},{"to_node_id":"-141:options_data","from_node_id":"-690:predictions"}],"nodes":[{"node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2015-01-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2019-1-01","type":"Literal","bound_global_parameter":null},{"name":"market","value":"CN_STOCK_A","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":"0","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8"}],"output_ports":[{"name":"data","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8"}],"cacheable":true,"seq_num":1,"comment":"","comment_collapsed":true},{"node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15","module_id":"BigQuantSpace.advanced_auto_labeler.advanced_auto_labeler-v2","parameters":[{"name":"label_expr","value":"# #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/data_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/big_expr.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, -2) / 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# 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, label)\nwhere(shift(high, -2) == shift(low, -2), NaN, label)\nwhere(shift(high, -3) == shift(low, -3), NaN, label)\nwhere(shift(high, -4) == shift(low, -4), NaN, label)\nwhere(shift(high, -5) == shift(low, -5), NaN, label)\nwhere(shift(high, -6) == shift(low, -6), NaN, label)\nwhere(shift(high, -7) == shift(low, -7), NaN, label)\nwhere(shift(high, -8) == shift(low, -8), NaN, label)\nwhere(shift(high, -9) == shift(low, -9), NaN, label)\nwhere(shift(high, -10) == shift(low, -10), NaN, label)\nwhere(shift(high, -11) == shift(low, -11), NaN, label)\nwhere(shift(high, -12) == shift(low, -12), NaN, label)\n","type":"Literal","bound_global_parameter":null},{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"benchmark","value":"000300.SHA","type":"Literal","bound_global_parameter":null},{"name":"drop_na_label","value":"True","type":"Literal","bound_global_parameter":null},{"name":"cast_label_int","value":"True","type":"Literal","bound_global_parameter":null},{"name":"user_functions","value":"","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15"}],"output_ports":[{"name":"data","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15"}],"cacheable":true,"seq_num":2,"comment":"","comment_collapsed":true},{"node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24","module_id":"BigQuantSpace.input_features.input_features-v1","parameters":[{"name":"features","value":"shift(stock_status_CN_STOCK_A__price_limit_status, 1)\nshift(stock_status_CN_STOCK_A__price_limit_status, 2)\nshift(stock_status_CN_STOCK_A__price_limit_status, 3)\n\n\n# return_1\n","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features_ds","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24"}],"output_ports":[{"name":"data","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24"}],"cacheable":true,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53","module_id":"BigQuantSpace.join.join-v3","parameters":[{"name":"on","value":"date,instrument","type":"Literal","bound_global_parameter":null},{"name":"how","value":"inner","type":"Literal","bound_global_parameter":null},{"name":"sort","value":"False","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"data1","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53"},{"name":"data2","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53"}],"output_ports":[{"name":"data","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53"}],"cacheable":true,"seq_num":7,"comment":"","comment_collapsed":true},{"node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-62","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2019-01-01","type":"Literal","bound_global_parameter":"交易日期"},{"name":"end_date","value":"2021-10-22","type":"Literal","bound_global_parameter":"交易日期"},{"name":"market","value":"CN_STOCK_A","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":"0","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-62"}],"output_ports":[{"name":"data","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-62"}],"cacheable":true,"seq_num":9,"comment":"预测数据,用于回测和模拟","comment_collapsed":true},{"node_id":"-106","module_id":"BigQuantSpace.general_feature_extractor.general_feature_extractor-v7","parameters":[{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"before_start_days","value":"200","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-106"},{"name":"features","node_id":"-106"}],"output_ports":[{"name":"data","node_id":"-106"}],"cacheable":true,"seq_num":15,"comment":"","comment_collapsed":true},{"node_id":"-113","module_id":"BigQuantSpace.derived_feature_extractor.derived_feature_extractor-v3","parameters":[{"name":"date_col","value":"date","type":"Literal","bound_global_parameter":null},{"name":"instrument_col","value":"instrument","type":"Literal","bound_global_parameter":null},{"name":"drop_na","value":"False","type":"Literal","bound_global_parameter":null},{"name":"remove_extra_columns","value":"False","type":"Literal","bound_global_parameter":null},{"name":"user_functions","value":"","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_data","node_id":"-113"},{"name":"features","node_id":"-113"}],"output_ports":[{"name":"data","node_id":"-113"}],"cacheable":true,"seq_num":16,"comment":"","comment_collapsed":true},{"node_id":"-122","module_id":"BigQuantSpace.general_feature_extractor.general_feature_extractor-v7","parameters":[{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"before_start_days","value":"30","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-122"},{"name":"features","node_id":"-122"}],"output_ports":[{"name":"data","node_id":"-122"}],"cacheable":true,"seq_num":17,"comment":"","comment_collapsed":true},{"node_id":"-129","module_id":"BigQuantSpace.derived_feature_extractor.derived_feature_extractor-v3","parameters":[{"name":"date_col","value":"date","type":"Literal","bound_global_parameter":null},{"name":"instrument_col","value":"instrument","type":"Literal","bound_global_parameter":null},{"name":"drop_na","value":"False","type":"Literal","bound_global_parameter":null},{"name":"remove_extra_columns","value":"False","type":"Literal","bound_global_parameter":null},{"name":"user_functions","value":"","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_data","node_id":"-129"},{"name":"features","node_id":"-129"}],"output_ports":[{"name":"data","node_id":"-129"}],"cacheable":true,"seq_num":18,"comment":"","comment_collapsed":true},{"node_id":"-141","module_id":"BigQuantSpace.trade.trade-v4","parameters":[{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"initialize","value":"# 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 = 1\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 = [1 / stock_count 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 = 30\n context.options['hold_days'] = 2\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.options['hold_days'] # 是否在建仓期间(前 hold_days 天)\n cash_avg = context.portfolio.portfolio_value / context.options['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,按机器学习算法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 tmp = 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 instruments = equities\n# # print('rank order for sell %s' % instruments)\n for instrument in instruments:\n# if instrument in tmp:\n# print(\"涨停,不卖出\",instrument)\n# continue\n context.order_target(context.symbol(instrument), 0)\n cash_for_sell -= positions[instrument]\n if cash_for_sell <= 0:\n break\n\n # 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\n buy_cash_weights = context.stock_weights\n buy_instruments = list(ranker_prediction.instrument[:len(buy_cash_weights)])\n max_cash_per_instrument = context.portfolio.portfolio_value * context.max_cash_per_instrument\n for i, instrument in enumerate(buy_instruments):\n cash = cash_for_buy * buy_cash_weights[i]\n if cash > max_cash_per_instrument - positions.get(instrument, 0):\n # 确保股票持仓量不会超过每次股票最大的占用资金量\n cash = max_cash_per_instrument - positions.get(instrument, 0)\n if cash > 0:\n \n context.order_value(context.symbol(instrument), cash)\n","type":"Literal","bound_global_parameter":null},{"name":"prepare","value":"# 回测引擎:准备数据,只执行一次\ndef bigquant_run(context):\n pass\n","type":"Literal","bound_global_parameter":null},{"name":"before_trading_start","value":"","type":"Literal","bound_global_parameter":null},{"name":"volume_limit","value":"0.25","type":"Literal","bound_global_parameter":null},{"name":"order_price_field_buy","value":"open","type":"Literal","bound_global_parameter":null},{"name":"order_price_field_sell","value":"vwap_11","type":"Literal","bound_global_parameter":null},{"name":"capital_base","value":"100000","type":"Literal","bound_global_parameter":null},{"name":"auto_cancel_non_tradable_orders","value":"True","type":"Literal","bound_global_parameter":null},{"name":"data_frequency","value":"daily","type":"Literal","bound_global_parameter":null},{"name":"price_type","value":"真实价格","type":"Literal","bound_global_parameter":null},{"name":"product_type","value":"股票","type":"Literal","bound_global_parameter":null},{"name":"plot_charts","value":"True","type":"Literal","bound_global_parameter":null},{"name":"backtest_only","value":"False","type":"Literal","bound_global_parameter":null},{"name":"benchmark","value":"000300.SHA","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-141"},{"name":"options_data","node_id":"-141"},{"name":"history_ds","node_id":"-141"},{"name":"benchmark_ds","node_id":"-141"},{"name":"trading_calendar","node_id":"-141"}],"output_ports":[{"name":"raw_perf","node_id":"-141"}],"cacheable":false,"seq_num":19,"comment":"","comment_collapsed":true},{"node_id":"-967","module_id":"BigQuantSpace.cached.cached-v3","parameters":[{"name":"run","value":"# 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\ndef bigquant_run(input_1, input_2, input_3):\n # 示例代码如下。在这里编写您的代码\n df = input_1.read_df()\n ins = m1.data.read_pickle()['instruments']\n start = m1.data.read_pickle()['start_date']\n end = m1.data.read_pickle()['end_date']\n \n df1 = D.features(ins,start,end,fields=['rank_turn_0','rank_amount_0','st_status_0'])\n df_final = pd.merge(df,df1,on=['date','instrument'])\n df_final = df_final[df_final['instrument'].str.startswith(\"688\") == False]\n df_final = df_final[df_final['instrument'].str.startswith(\"3\") == False]\n\n df_final = df_final[df_final[\"st_status_0\"] == 0]\n df_final = df_final[df_final['rank_turn_0'] >= 0.9]\n df_final = df_final[df_final['rank_amount_0'] >= 0.85]\n print(\"用于训练的样本总个数为\",len(df_final))\n print(df_final.iloc[0])\n data_1 = DataSource.write_df(df_final)\n return Outputs(data_1=data_1, data_2=None, data_3=None)\n","type":"Literal","bound_global_parameter":null},{"name":"post_run","value":"# 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。\ndef bigquant_run(outputs):\n return outputs\n","type":"Literal","bound_global_parameter":null},{"name":"input_ports","value":"","type":"Literal","bound_global_parameter":null},{"name":"params","value":"{}","type":"Literal","bound_global_parameter":null},{"name":"output_ports","value":"","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"input_1","node_id":"-967"},{"name":"input_2","node_id":"-967"},{"name":"input_3","node_id":"-967"}],"output_ports":[{"name":"data_1","node_id":"-967"},{"name":"data_2","node_id":"-967"},{"name":"data_3","node_id":"-967"}],"cacheable":true,"seq_num":6,"comment":"","comment_collapsed":true},{"node_id":"-1277","module_id":"BigQuantSpace.cached.cached-v3","parameters":[{"name":"run","value":"# 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\ndef bigquant_run(input_1, input_2, input_3):\n # 示例代码如下。在这里编写您的代码\n df = input_1.read_df()\n ins = m9.data.read_pickle()['instruments']\n start = m9.data.read_pickle()['start_date']\n end = m9.data.read_pickle()['end_date']\n \n df1 = D.features(ins,start,end,fields=['rank_turn_0','rank_amount_0','st_status_0'])\n df_final = pd.merge(df,df1,on=['date','instrument'])\n df_final = df_final[df_final['instrument'].str.startswith(\"688\") == False]\n df_final = df_final[df_final['instrument'].str.startswith(\"3\") == False]\n\n df_final = df_final[df_final[\"st_status_0\"] == 0]\n df_final = df_final[df_final['rank_turn_0'] >= 0.9]\n df_final = df_final[df_final['rank_amount_0'] >= 0.85]\n print(\"用于回测的样本总个数为\",len(df_final))\n data_1 = DataSource.write_df(df_final)\n return Outputs(data_1=data_1, data_2=None, data_3=None)\n","type":"Literal","bound_global_parameter":null},{"name":"post_run","value":"# 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。\ndef bigquant_run(outputs):\n return 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    In [5]:
    # 本代码由可视化策略环境自动生成 2021年12月24日 10:35
    # 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。
    
    
    # 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 m6_run_bigquant_run(input_1, input_2, input_3):
        # 示例代码如下。在这里编写您的代码
        df = input_1.read_df()
        ins = m1.data.read_pickle()['instruments']
        start = m1.data.read_pickle()['start_date']
        end = m1.data.read_pickle()['end_date']
        
        df1 = D.features(ins,start,end,fields=['rank_turn_0','rank_amount_0','st_status_0'])
        df_final = pd.merge(df,df1,on=['date','instrument'])
        df_final = df_final[df_final['instrument'].str.startswith("688") == False]
        df_final = df_final[df_final['instrument'].str.startswith("3") == False]
    
        df_final = df_final[df_final["st_status_0"] == 0]
        df_final = df_final[df_final['rank_turn_0'] >= 0.9]
        df_final = df_final[df_final['rank_amount_0'] >= 0.85]
        print("用于训练的样本总个数为",len(df_final))
        print(df_final.iloc[0])
        data_1 = DataSource.write_df(df_final)
        return Outputs(data_1=data_1, 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 m6_post_run_bigquant_run(outputs):
        return outputs
    
    # 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 m8_run_bigquant_run(input_1, input_2, input_3):
        # 示例代码如下。在这里编写您的代码
        df = input_1.read_df()
        ins = m9.data.read_pickle()['instruments']
        start = m9.data.read_pickle()['start_date']
        end = m9.data.read_pickle()['end_date']
        
        df1 = D.features(ins,start,end,fields=['rank_turn_0','rank_amount_0','st_status_0'])
        df_final = pd.merge(df,df1,on=['date','instrument'])
        df_final = df_final[df_final['instrument'].str.startswith("688") == False]
        df_final = df_final[df_final['instrument'].str.startswith("3") == False]
    
        df_final = df_final[df_final["st_status_0"] == 0]
        df_final = df_final[df_final['rank_turn_0'] >= 0.9]
        df_final = df_final[df_final['rank_amount_0'] >= 0.85]
        print("用于回测的样本总个数为",len(df_final))
        data_1 = DataSource.write_df(df_final)
        return Outputs(data_1=data_1, 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 m8_post_run_bigquant_run(outputs):
        return outputs
    
    # 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 = 1
        # 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 = [1 / stock_count 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 = 30
        context.options['hold_days'] = 2
    
    # 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')]
    
        # 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()}
            tmp = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
                    lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))
            instruments = equities
    #         # print('rank order for sell %s' % instruments)
            for instrument in instruments:
    #             if instrument in tmp:
    #                 print("涨停,不卖出",instrument)
    #                 continue
                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 m19_prepare_bigquant_run(context):
        pass
    
    
    m1 = M.instruments.v2(
        start_date='2015-01-01',
        end_date='2019-1-01',
        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/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: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, -2) / 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)
    where(shift(high, -2) == shift(low, -2), NaN, label)
    where(shift(high, -3) == shift(low, -3), NaN, label)
    where(shift(high, -4) == shift(low, -4), NaN, label)
    where(shift(high, -5) == shift(low, -5), NaN, label)
    where(shift(high, -6) == shift(low, -6), NaN, label)
    where(shift(high, -7) == shift(low, -7), NaN, label)
    where(shift(high, -8) == shift(low, -8), NaN, label)
    where(shift(high, -9) == shift(low, -9), NaN, label)
    where(shift(high, -10) == shift(low, -10), NaN, label)
    where(shift(high, -11) == shift(low, -11), NaN, label)
    where(shift(high, -12) == shift(low, -12), NaN, label)
    """,
        start_date='',
        end_date='',
        benchmark='000300.SHA',
        drop_na_label=True,
        cast_label_int=True
    )
    
    m3 = M.input_features.v1(
        features="""shift(stock_status_CN_STOCK_A__price_limit_status, 1)
    shift(stock_status_CN_STOCK_A__price_limit_status, 2)
    shift(stock_status_CN_STOCK_A__price_limit_status, 3)
    
    
    # return_1
    """
    )
    
    m15 = M.general_feature_extractor.v7(
        instruments=m1.data,
        features=m3.data,
        start_date='',
        end_date='',
        before_start_days=200
    )
    
    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
    )
    
    m6 = M.cached.v3(
        input_1=m7.data,
        run=m6_run_bigquant_run,
        post_run=m6_post_run_bigquant_run,
        input_ports='',
        params='{}',
        output_ports=''
    )
    
    m9 = M.instruments.v2(
        start_date=T.live_run_param('trading_date', '2019-01-01'),
        end_date=T.live_run_param('trading_date', '2021-10-22'),
        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=30
    )
    
    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
    )
    
    m8 = M.cached.v3(
        input_1=m18.data,
        run=m8_run_bigquant_run,
        post_run=m8_post_run_bigquant_run,
        input_ports='',
        params='{}',
        output_ports=''
    )
    
    m10 = M.lightgbm.v2(
        training_ds=m6.data_1,
        features=m3.data,
        predict_ds=m8.data_1,
        num_boost_round=79,
        objective='排序(ndcg)',
        num_class=1,
        num_leaves=60,
        learning_rate=0.1,
        min_data_in_leaf=900,
        max_bin=1023,
        key_cols='date,instrument',
        group_col='date',
        random_seed=101,
        other_train_parameters={'n_jobs':4,'label_gain':','.join([str(x) for x in range(20)]),"max_position":29,"eval_at":"1,3,5,10"}
    )
    
    m19 = M.trade.v4(
        instruments=m9.data,
        options_data=m10.predictions,
        start_date='',
        end_date='',
        initialize=m19_initialize_bigquant_run,
        handle_data=m19_handle_data_bigquant_run,
        prepare=m19_prepare_bigquant_run,
        volume_limit=0.25,
        order_price_field_buy='open',
        order_price_field_sell='vwap_11',
        capital_base=100000,
        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'
    )
    
    • 收益率41.99%
    • 年化收益率13.87%
    • 基准收益率64.74%
    • 阿尔法0.18
    • 贝塔0.59
    • 夏普比率0.46
    • 胜率0.48
    • 盈亏比1.18
    • 收益波动率59.04%
    • 信息比率0.01
    • 最大回撤64.9%
    bigcharts-data-start/{"__type":"tabs","__id":"bigchart-4805fb51bce7461e8789ebfa81713862"}/bigcharts-data-end
    In [6]:
    m10.feature_gains.read().sort_values('gain',ascending=False)
    
    Out[6]:
    feature gain
    1 shift(stock_status_CN_STOCK_A__price_limit_sta... 264
    0 shift(stock_status_CN_STOCK_A__price_limit_sta... 239
    2 shift(stock_status_CN_STOCK_A__price_limit_sta... 208
    In [ ]: