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克隆策略
大盘风控功能¶
版本v1.0
在开发策略时，经常需要根据大盘指数计算相关技术指标来进行仓位风险控制。
本策略以上证指数5日累计涨幅作为风险控制指标，如果5日累计涨幅小于-4%，则执行清仓止损。
功能实现步骤：
1、新建AI可视化模板策略
2、在回测/模拟模块m19的属性栏中进入“数据准备函数”代码框，在函数体中计算上证指数000001.HIX在回测起止时间段内的5日涨幅指标，同时计算风控信号risk指标保存在context.benckmark_risk变量中：
3、在回测/模拟模块m19的属性栏中进入“主函数”代码框，在函数体中最前端获取当日的风控信号benckmark_risk指标, 如果满足风控条件则将持仓全部卖出后通过return语句返回，结束当天交易实现风险控制功能。
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In [12]:
# 本代码由可视化策略环境自动生成 2021年12月6日 22:12
# 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
# 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):
#获取当日日期
today = data.current_dt.strftime('%Y-%m-%d')
stock_hold_now = [equity.symbol for equity in context.portfolio.positions ]
#大盘风控模块，读取风控数据
benckmark_risk=context.benckmark_risk[today]
context.symbol
#当risk为1时，市场有风险，全部平仓，不再执行其它操作
if benckmark_risk > 0:
for instrument in stock_hold_now:
context.order_target(symbol(instrument), 0)
print(today,'大盘风控止损触发,全仓卖出')
return
# 按日期过滤得到今日的预测数据
ranker_prediction = context.ranker_prediction[
context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]
# 1. 资金分配
# 平均持仓时间是hold_days，每日都将买入股票，每日预期使用 1/hold_days 的资金
# 实际操作中，会存在一定的买入误差，所以在前hold_days天，等量使用资金；之后，尽量使用剩余资金（这里设置最多用等量的1.5倍）
is_staging = context.trading_day_index < context.options['hold_days'] # 是否在建仓期间（前 hold_days 天）
cash_avg = context.portfolio.portfolio_value / context.options['hold_days']
cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)
cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)
positions = {e.symbol: p.amount * p.last_sale_price
for e, p in context.perf_tracker.position_tracker.positions.items()}
# 2. 生成卖出订单：hold_days天之后才开始卖出；对持仓的股票，按机器学习算法预测的排序末位淘汰
if not is_staging and cash_for_sell > 0:
equities = {e.symbol: e for e, p in context.perf_tracker.position_tracker.positions.items()}
instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))
# print('rank order for sell %s' % instruments)
for instrument in instruments:
context.order_target(context.symbol(instrument), 0)
cash_for_sell -= positions[instrument]
if cash_for_sell <= 0:
break
# 3. 生成买入订单：按机器学习算法预测的排序，买入前面的stock_count只股票
buy_cash_weights = context.stock_weights
buy_instruments = list(ranker_prediction.instrument[:len(buy_cash_weights)])
max_cash_per_instrument = context.portfolio.portfolio_value * context.max_cash_per_instrument
for i, instrument in enumerate(buy_instruments):
cash = cash_for_buy * buy_cash_weights[i]
if cash > max_cash_per_instrument - positions.get(instrument, 0):
# 确保股票持仓量不会超过每次股票最大的占用资金量
cash = max_cash_per_instrument - positions.get(instrument, 0)
if cash > 0:
context.order_value(context.symbol(instrument), cash)
# 回测引擎：准备数据，只执行一次
def m19_prepare_bigquant_run(context):
#在数据准备函数中一次性计算每日的大盘风控条件相比于在handle中每日计算风控条件可以提高回测速度
# 多取50天的数据便于计算均值(保证回测的第一天均值不为Nan值)，其中context.start_date和context.end_date是回测指定的起始时间和终止时间
start_date= (pd.to_datetime(context.start_date) - datetime.timedelta(days=50)).strftime('%Y-%m-%d')
df=DataSource('bar1d_index_CN_STOCK_A').read(start_date=start_date,end_date=context.end_date,fields=['close'])
benckmark_data=df[df.instrument=='000001.HIX']
#计算上证指数5日涨幅
benckmark_data['ret5']=benckmark_data['close']/benckmark_data['close'].shift(5)-1
#计算大盘风控条件，如果5日涨幅小于-4%则设置风险状态risk为1，否则为0
benckmark_data['risk'] = np.where(benckmark_data['ret5']<-0.04,1,0)
#修改日期格式为字符串(便于在handle中使用字符串日期索引来查看每日的风险状态)
benckmark_data['date']=benckmark_data['date'].apply(lambda x:x.strftime('%Y-%m-%d'))
#设置日期为索引
benckmark_data.set_index('date',inplace=True)
#把风控序列输出给全局变量context.benckmark_risk
context.benckmark_risk=benckmark_data['risk']
m1 = M.instruments.v2(
start_date='2010-01-01',
end_date='2010-05-01',
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, -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=0
)
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,
plot_charts=True,
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', '2015-05-01'),
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=60
)
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='后复权',
product_type='股票',
plot_charts=True,
backtest_only=False,
benchmark='000300.HIX'
)