克隆策略

In [2]:

# 本代码由可视化策略环境自动生成 2021年1月14日 14:33
# 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 = 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.options['hold_days'] = 5
    context.allow_drawback = 0.1

# 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')]

    today = data.current_dt.strftime("%Y-%m-%d")
    print(f"{today}的最大回撤为{context.perf_tracker.cumulative_risk_metrics.max_drawdown}")
    if context.perf_tracker.cumulative_risk_metrics.max_drawdown > context.allow_drawback:
        return
    print(f"{today}的收益率为{context.perf_tracker.cumulative_risk_metrics.algorithm_returns}")
    # 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)])
    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='2014-11-01',
    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
"""
)

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', '2016-12-01'),
    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
)

m19 = M.trade.v4(
    instruments=m9.data,
    options_data=m8.predictions,
    start_date='',
    end_date='',
    initialize=m19_initialize_bigquant_run,
    handle_data=m19_handle_data_bigquant_run,
    prepare=m19_prepare_bigquant_run,
    volume_limit=0.025,
    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'
)

[2021-01-14 11:52:27.459483] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-01-14 11:52:27.466540] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.467405] INFO: moduleinvoker: instruments.v2 运行完成[0.007919s].

[2021-01-14 11:52:27.468836] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..

[2021-01-14 11:52:27.473845] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.474600] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.005764s].

[2021-01-14 11:52:27.475701] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-01-14 11:52:27.479450] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.480192] INFO: moduleinvoker: input_features.v1 运行完成[0.004491s].

[2021-01-14 11:52:27.487925] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-01-14 11:52:27.492871] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.493609] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.005685s].

[2021-01-14 11:52:27.494928] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-01-14 11:52:27.510770] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.511531] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.016602s].

[2021-01-14 11:52:27.512841] INFO: moduleinvoker: join.v3 开始运行..

[2021-01-14 11:52:27.516501] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.517229] INFO: moduleinvoker: join.v3 运行完成[0.004388s].

[2021-01-14 11:52:27.518528] INFO: moduleinvoker: dropnan.v2 开始运行..

[2021-01-14 11:52:27.524151] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.524886] INFO: moduleinvoker: dropnan.v2 运行完成[0.006358s].

[2021-01-14 11:52:27.526167] INFO: moduleinvoker: stock_ranker_train.v6 开始运行..

[2021-01-14 11:52:27.537224] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.577323] INFO: moduleinvoker: stock_ranker_train.v6 运行完成[0.051139s].

[2021-01-14 11:52:27.578653] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-01-14 11:52:27.582548] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.583263] INFO: moduleinvoker: instruments.v2 运行完成[0.004608s].

[2021-01-14 11:52:27.587394] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-01-14 11:52:27.606400] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.607224] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.019835s].

[2021-01-14 11:52:27.608606] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-01-14 11:52:27.612277] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.613011] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.004404s].

[2021-01-14 11:52:27.614335] INFO: moduleinvoker: dropnan.v2 开始运行..

[2021-01-14 11:52:27.619158] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.619900] INFO: moduleinvoker: dropnan.v2 运行完成[0.005564s].

[2021-01-14 11:52:27.621224] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..

[2021-01-14 11:52:27.626226] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.627018] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[0.005794s].

[2021-01-14 11:52:27.659128] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-01-14 11:52:27.662363] INFO: backtest: biglearning backtest:V8.4.2

[2021-01-14 11:52:27.663207] INFO: backtest: product_type:stock by specified

[2021-01-14 11:52:27.740956] INFO: moduleinvoker: cached.v2 开始运行..

[2021-01-14 11:52:27.748701] INFO: moduleinvoker: 命中缓存

[2021-01-14 11:52:27.749526] INFO: moduleinvoker: cached.v2 运行完成[0.008576s].

[2021-01-14 11:52:28.163599] INFO: algo: TradingAlgorithm V1.7.0

[2021-01-14 11:52:28.472459] INFO: algo: trading transform...

[2021-01-14 11:52:28.868111] INFO: Performance: Simulated 22 trading days out of 22.

[2021-01-14 11:52:28.869630] INFO: Performance: first open: 2016-12-01 09:30:00+00:00

[2021-01-14 11:52:28.870434] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

[2021-01-14 11:52:32.282202] INFO: moduleinvoker: backtest.v8 运行完成[4.623074s].

[2021-01-14 11:52:32.283387] INFO: moduleinvoker: trade.v4 运行完成[4.655109s].

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-339a05bf3fd9466ea013189c8d80c975"}/bigcharts-data-end

2016-12-01的最大回撤为0
2016-12-01的最大回撤为None
2016-12-02的最大回撤为0.0
2016-12-02的最大回撤为[0.]
2016-12-05的最大回撤为0.0
2016-12-05的最大回撤为[0.00000000e+00 8.32973922e-05]
2016-12-06的最大回撤为-0.006839504852851269
2016-12-06的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03]
2016-12-07的最大回撤为-0.021072983086062355
2016-12-07的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02]
2016-12-08的最大回撤为-0.021072983086062355
2016-12-08的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02]
2016-12-09的最大回撤为-0.021072983086062355
2016-12-09的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02]
2016-12-12的最大回撤为-0.021072983086062355
2016-12-12的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02]
2016-12-13的最大回撤为-0.04866945124495509
2016-12-13的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02]
2016-12-14的最大回撤为-0.04866945124495509
2016-12-14的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02]
2016-12-15的最大回撤为-0.0561681776555981
2016-12-15的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02]
2016-12-16的最大回撤为-0.0561681776555981
2016-12-16的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03]
2016-12-19的最大回撤为-0.058142910834002075
2016-12-19的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03]
2016-12-20的最大回撤为-0.0634905243407434
2016-12-20的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03]
2016-12-21的最大回撤为-0.0634905243407434
2016-12-21的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03]
2016-12-22的最大回撤为-0.0634905243407434
2016-12-22的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03  9.98011873e-03]
2016-12-23的最大回撤为-0.0634905243407434
2016-12-23的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03  9.98011873e-03  1.46922536e-02]
2016-12-26的最大回撤为-0.0634905243407434
2016-12-26的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03  9.98011873e-03  1.46922536e-02
  3.34020804e-03]
2016-12-27的最大回撤为-0.0634905243407434
2016-12-27的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03  9.98011873e-03  1.46922536e-02
  3.34020804e-03  7.54199814e-03]
2016-12-28的最大回撤为-0.0634905243407434
2016-12-28的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03  9.98011873e-03  1.46922536e-02
  3.34020804e-03  7.54199814e-03  1.42256593e-02]
2016-12-29的最大回撤为-0.0634905243407434
2016-12-29的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03  9.98011873e-03  1.46922536e-02
  3.34020804e-03  7.54199814e-03  1.42256593e-02  1.42577448e-02]
2016-12-30的最大回撤为-0.0634905243407434
2016-12-30的最大回撤为[ 0.00000000e+00  8.32973922e-05 -6.83950485e-03 -1.43314986e-02
  2.13231957e-02 -1.16693060e-02  1.33547067e-02 -4.86694512e-02
  1.72126227e-02 -2.46703379e-02  5.88792692e-03 -7.93346636e-03
 -5.67773346e-03  1.31324786e-03  9.98011873e-03  1.46922536e-02
  3.34020804e-03  7.54199814e-03  1.42256593e-02  1.42577448e-02
 -2.16098797e-02]

收益率-4.78%
年化收益率-42.95%
基准收益率-6.44%
阿尔法0.26
贝塔1.04
夏普比率-2.01
胜率0.32
盈亏比1.73
收益波动率27.6%
信息比率0.06
最大回撤6.35%

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