克隆策略
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class conf:
    instrument = '000300.HIX'  #股票代码
    #设置用于训练和回测的开始/结束日期
    start_date = '2005-01-01'  
    end_date='2018-07-19'
    field='close'
    seq_len=100 #每个input的长度
    prediction_len=20 #预测数据长度
    train_proportion=0.8 #训练数据占总数据量的比值,其余为测试数据
    normalise=True #数据标准化
    epochs  = 1 #LSTM神经网络迭代次数
    batch=100 #整数,指定进行梯度下降时每个batch包含的样本数,训练时一个batch的样本会被计算一次梯度下降,使目标函数优化一步
    validation_split=0.1 # 0~1之间的浮点数,用来指定训练集的一定比例数据作为验证集。
    lr=0.001 #学习效率
In 11
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# 2. LSTM策略主体
import time
import numpy as np
import matplotlib.pyplot as plt
from numpy import newaxis
from tensorflow.keras.layers import Dense, Activation, Dropout, LSTM
# from tensorflow.keras.layers import 
from tensorflow.keras.models import Sequential
from tensorflow.keras import optimizers


def load_data(instrument,start_date,end_date,field,seq_len,prediction_len,train_proportion,normalise=True):
    # 加载数据,数据变化,提取数据模块
    fields=[field,'amount']
    data=D.history_data(instrument,start_date,end_date,fields)
    data=data[data.amount>0]
    datetime=list(data['date'])
    data=list(data[field])
    seq_len=seq_len+1  
    result=[]
    for index in range(len(data)-seq_len):
        result.append(data[index:index+seq_len])
        
    if normalise:
        norm_result=normalise_windows(result)
    else:
        norm_result=result
        
    result=np.array(result)
    norm_result=np.array(norm_result)
    
    row=round(train_proportion*norm_result.shape[0])
    
    data_test=result[int(row):,:]
    datetime=datetime[int(row):]

    test_datetime=[]
    for index in range(len(datetime)):
        if index % prediction_len==0 and index+seq_len<len(datetime)-prediction_len:
            test_datetime.append(datetime[index+seq_len])
    
    train=norm_result[:int(row),:]
    np.random.shuffle(train)   #随机打乱训练样本
    x_train = train[:, :-1]
    y_train = train[:, -1]
    x_test = norm_result[int(row):, :-1]
    y_test = norm_result[int(row):, -1]
    
    x_train = np.reshape(x_train, (x_train.shape[0], x_train.shape[1], 1))
    x_test = np.reshape(x_test, (x_test.shape[0], x_test.shape[1], 1))  

    return [x_train, y_train, x_test, y_test, data_test, test_datetime]
    
def normalise_windows(window_data):
    #数据规范化
    normalised_data = []
    for window in window_data:
        normalised_window = [((float(p) / float(window[0])) - 1) for p in window]
        normalised_data.append(normalised_window)
    return normalised_data

def denormalise_windows(normdata,data,seq_len):
    #数据反规范化
    denormalised_data = []
    wholelen=0
    for i, rowdata in enumerate(normdata):
        denormalise=list()
        if isinstance(rowdata,float)|isinstance(rowdata,np.float32):
            denormalise = [(rowdata+1)*float(data[wholelen][0])]
            denormalised_data.append(denormalise)
            wholelen=wholelen+1
        else:       
            for j in range(len(rowdata)):
                denormalise.append((float(rowdata[j])+1)*float(data[wholelen][0]))
                wholelen=wholelen+1
            denormalised_data.append(denormalise)
    return denormalised_data

def build_model(layers):
    # LSTM神经网络层
    # 详细介绍请参考http://keras-cn.readthedocs.io/en/latest/
    model = Sequential()  

#     model.add(LSTM(input_dim=layers[0],output_dim=layers[1],return_sequences=True))
    model.add(LSTM(layers[1],input_shape=(layers[1],layers[0]),return_sequences=True))
    model.add(Dropout(0.2))
    
    model.add(LSTM(layers[1],return_sequences=False))
    model.add(Dropout(0.2))
    
    model.add(Dense(1))
    model.add(Activation("linear"))

    rms=optimizers.RMSprop(lr=conf.lr, rho=0.9, epsilon=1e-06)
    model.compile(loss="mse", optimizer=rms)
    start = time.time()
    print("> Compilation Time : ", time.time() - start)
    return model

def predict_point_by_point(model, data):
    #每次只预测1步长
    predicted = model.predict(data)
    predicted = np.reshape(predicted, (predicted.size,))
    return predicted

def predict_sequence_full(model, data, seq_len):
    #根据训练模型和第一段用来预测的时间序列长度逐步预测整个时间序列
    curr_frame = data[0]
    predicted = []
    for i in range(len(data)):
        predicted.append(model.predict(curr_frame[newaxis,:,:])[0,0])
        curr_frame = curr_frame[1:]
        curr_frame = np.insert(curr_frame, [seq_len-1], predicted[-1], axis=0)
    return predicted

def predict_sequences_multiple(model, data, seq_len, prediction_len):
    #根据训练模型和每段用来预测的时间序列长度逐步预测prediction_len长度的序列
    prediction_seqs = []
    for i in range(int(len(data)/prediction_len)):
        curr_frame = data[i*prediction_len]
        predicted = []
        for j in range(prediction_len):
            predicted.append(model.predict(curr_frame[newaxis,:,:])[0,0])
            curr_frame = curr_frame[1:]
            curr_frame = np.insert(curr_frame, [seq_len-1], predicted[-1], axis=0)
        prediction_seqs.append(predicted)
    return prediction_seqs

def plot_results(predicted_data, true_data):
    #做图函数,用于predict_point_by_point和predict_sequence_full
    fig = plt.figure(facecolor='white')
    ax = fig.add_subplot(111)
    ax.plot(true_data, label='True Data')
    plt.plot(predicted_data)
    plt.legend()
    figure=plt.gcf()
    figure.set_size_inches(20,10)
    plt.show()

def plot_results_multiple(predicted_data, true_data, prediction_len):
    #做图函数,用于predict_sequences_multiple
    fig = plt.figure(facecolor='white')
    ax = fig.add_subplot(111)
    ax.plot(true_data, label='True Data')
    for i, data in enumerate(predicted_data):
        padding = [None for p in range(i * prediction_len)]
        plt.plot(padding + data)    
    plt.legend()
    figure=plt.gcf()
    figure.set_size_inches(20,10)
    plt.show()

#主程序
global_start_time = time.time() 

print('> Loading data... ')

X_train,y_train,X_test,y_test,data_test,test_datetime=load_data(conf.instrument,conf.start_date,conf.end_date,conf.field,conf.seq_len,conf.prediction_len,conf.train_proportion,normalise=True)

print('> Data Loaded. Compiling...')
print(X_train.shape)
model = build_model([1, conf.seq_len, 1])

model.fit(
    X_train,
    y_train,
    batch_size=conf.batch,
    nb_epoch=conf.epochs,
    validation_split=conf.validation_split)


predictions = predict_sequences_multiple(model, X_test, conf.seq_len, conf.prediction_len)
# predictions = predict_sequence_full(model, X_test, conf.seq_len)
# predictions = predict_point_by_point(model, X_test)  
   
if conf.normalise==True:   
    predictions=denormalise_windows(predictions,data_test,conf.seq_len)
    y_test=denormalise_windows(y_test,data_test,conf.seq_len)

print('Training duration (s) : ', time.time() - global_start_time)
plot_results_multiple(predictions, y_test, conf.prediction_len)
# plot_results(predictions, y_test)
> Loading data... 
> Data Loaded. Compiling...
(2553, 100, 1)
> Compilation Time :  9.5367431640625e-07
[2020-05-07 10:13:19.267942] WARNING tensorflow: The `nb_epoch` argument in `fit` has been renamed `epochs`.
Train on 2297 samples, validate on 256 samples
 100/2297 [>.............................] - ETA: 2:21 - loss: 0.1309 200/2297 [=>............................] - ETA: 1:19 - loss: 0.0838 300/2297 [==>...........................] - ETA: 57s - loss: 0.0627  400/2297 [====>.........................] - ETA: 46s - loss: 0.0534 500/2297 [=====>........................] - ETA: 38s - loss: 0.0437 600/2297 [======>.......................] - ETA: 33s - loss: 0.0373 700/2297 [========>.....................] - ETA: 29s - loss: 0.0326 800/2297 [=========>....................] - ETA: 25s - loss: 0.0290 900/2297 [==========>...................] - ETA: 23s - loss: 0.02671000/2297 [============>.................] - ETA: 20s - loss: 0.02541100/2297 [=============>................] - ETA: 18s - loss: 0.02431200/2297 [==============>...............] - ETA: 16s - loss: 0.02361300/2297 [===============>..............] - ETA: 14s - loss: 0.02211400/2297 [=================>............] - ETA: 12s - loss: 0.02091500/2297 [==================>...........] - ETA: 11s - loss: 0.01981600/2297 [===================>..........] - ETA: 9s - loss: 0.0188 1700/2297 [=====================>........] - ETA: 8s - loss: 0.01791800/2297 [======================>.......] - ETA: 6s - loss: 0.01721900/2297 [=======================>......] - ETA: 5s - loss: 0.01652000/2297 [=========================>....] - ETA: 3s - loss: 0.01592100/2297 [==========================>...] - ETA: 2s - loss: 0.01532200/2297 [===========================>..] - ETA: 1s - loss: 0.01482297/2297 [==============================] - 32s 14ms/sample - loss: 0.0143 - val_loss: 0.0029
Training duration (s) :  97.36960220336914
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len(predictions)
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# 1. 策略基本参数
# 3.回测
# 目前回测结构主要针对predict_sequences_multiple的预测结果,并且股票最好没有停牌
# 回测其他结果可自行修改handle_data
def initialize(context):
    # 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))
    # 传入预测数据和真实数据
    context.predictions=predictions
    context.true_data=y_test
    context.date_time=test_datetime
    # 设置持仓比
    context.percent = 0.7
    # 设置持仓天数
    context.hold_days=conf.prediction_len
    # 传入起止时间
    context.start_date=context.date_time[0].strftime('%Y-%m-%d')
    context.end_date=context.date_time[-1].strftime('%Y-%m-%d')
    # 结束时间预计至少比开始时间多gap点才进场
    context.gap=0
    context.dt = 0

# 回测引擎:每日数据处理函数,每天执行一次
def handle_data(context, data):
    current_dt = data.current_dt.strftime('%Y-%m-%d') 
    
    can_do=pd.Timestamp(current_dt) in context.date_time
    if can_do:
        context.dt = current_dt
        
    sid = context.symbol(conf.instrument)
    cur_position = context.portfolio.positions[sid].amount    # 持仓

    row=context.date_time.index(pd.Timestamp(context.dt))
  
    prediction=context.predictions[row]
    # 满足开仓条件
    if prediction[-1]-prediction[0]>=context.gap and cur_position == 0 and data.can_trade(sid):
        context.order_target_percent(sid, 1)
    elif prediction[-1]-prediction[0]<context.gap and cur_position > 0 and data.can_trade(sid):
            context.order_target(sid, 0)

# 调用回测引擎
m8 = M.trade.v4(
    instruments=DataSource().write_pickle(conf.instrument),
    start_date=test_datetime[0].strftime('%Y-%m-%d'),
    end_date=test_datetime[len(test_datetime)-1].strftime('%Y-%m-%d'),
    initialize=initialize,
    handle_data=handle_data,
    volume_limit=0.025,
    order_price_field_buy='open',       # 表示 开盘 时买入
    order_price_field_sell='close',     # 表示 收盘 前卖出
    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', 
    # 通过 options 参数传递预测数据和参数给回测引擎
    options={'predictions': predictions}
)    
  • 收益率12.39%
  • 年化收益率5.02%
  • 基准收益率5.8%
  • 阿尔法0.02
  • 贝塔0.26
  • 夏普比率0.28
  • 胜率0.71
  • 盈亏比0.77
  • 收益波动率8.18%
  • 信息比率0.01
  • 最大回撤13.96%
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