{"description":"实验创建于2021/7/6","graph":{"edges":[{"to_node_id":"-22:instruments","from_node_id":"-6:data"},{"to_node_id":"-37:instruments","from_node_id":"-6:data"},{"to_node_id":"-60:instruments","from_node_id":"-14:data"},{"to_node_id":"-129:instruments","from_node_id":"-14:data"},{"to_node_id":"-53:data1","from_node_id":"-22:data"},{"to_node_id":"-37:features","from_node_id":"-32:data"},{"to_node_id":"-44:features","from_node_id":"-32:data"},{"to_node_id":"-60:features","from_node_id":"-32:data"},{"to_node_id":"-67:features","from_node_id":"-32:data"},{"to_node_id":"-2246:features","from_node_id":"-32:data"},{"to_node_id":"-44:input_data","from_node_id":"-37:data"},{"to_node_id":"-53:data2","from_node_id":"-44:data"},{"to_node_id":"-76:input_data","from_node_id":"-53:data"},{"to_node_id":"-67:input_data","from_node_id":"-60:data"},{"to_node_id":"-80:input_data","from_node_id":"-67:data"},{"to_node_id":"-2246:training_ds","from_node_id":"-76:data"},{"to_node_id":"-2246:predict_ds","from_node_id":"-80:data"},{"to_node_id":"-129:options_data","from_node_id":"-2246:predictions"}],"nodes":[{"node_id":"-6","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2010-01-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2020-12-31","type":"Literal","bound_global_parameter":null},{"name":"market","value":"CN_STOCK_A","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"002271.SZA\n600845.SHA\n000636.SZA\n000625.SZA\n600584.SHA\n002167.SZA\n600199.SHA\n003035.SZA\n600745.SHA\n603881.SHA","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":0,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"-6"}],"output_ports":[{"name":"data","node_id":"-6"}],"cacheable":true,"seq_num":1,"comment":"","comment_collapsed":true},{"node_id":"-14","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2021-01-01","type":"Literal","bound_global_parameter":"交易日期"},{"name":"end_date","value":"2021-07-06","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":"002271.SZA\n600845.SHA\n000636.SZA\n000625.SZA\n600584.SHA\n002167.SZA\n600199.SHA\n003035.SZA\n600745.SHA\n603881.SHA","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":0,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"-14"}],"output_ports":[{"name":"data","node_id":"-14"}],"cacheable":true,"seq_num":2,"comment":"","comment_collapsed":true},{"node_id":"-22","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/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, 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":"-22"}],"output_ports":[{"name":"data","node_id":"-22"}],"cacheable":true,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"-32","module_id":"BigQuantSpace.input_features.input_features-v1","parameters":[{"name":"features","value":"\n# #号开始的表示注释,注释需单独一行\n# 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\nreturn_5\nreturn_10\nreturn_20\navg_amount_0/avg_amount_5\navg_amount_5/avg_amount_10\nrank_avg_amount_0/rank_avg_amount_5\nrank_avg_amount_5/rank_avg_amount_10\nrank_return_0\nrank_return_5\nrank_return_10\nrank_return_0/rank_return_5\nrank_return_5/rank_return_10\nmf_net_amount_5\nta_sma_5_0\nta_sma_5_0/ta_sma_10_0>0\nta_sma_10_0/ta_sma_20_0\n\npe_ttm_0\n","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features_ds","node_id":"-32"}],"output_ports":[{"name":"data","node_id":"-32"}],"cacheable":true,"seq_num":4,"comment":"","comment_collapsed":true},{"node_id":"-37","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":"90","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-37"},{"name":"features","node_id":"-37"}],"output_ports":[{"name":"data","node_id":"-37"}],"cacheable":true,"seq_num":5,"comment":"","comment_collapsed":true},{"node_id":"-44","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":"-44"},{"name":"features","node_id":"-44"}],"output_ports":[{"name":"data","node_id":"-44"}],"cacheable":true,"seq_num":6,"comment":"","comment_collapsed":true},{"node_id":"-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":"-53"},{"name":"data2","node_id":"-53"}],"output_ports":[{"name":"data","node_id":"-53"}],"cacheable":true,"seq_num":7,"comment":"","comment_collapsed":true},{"node_id":"-60","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":90,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-60"},{"name":"features","node_id":"-60"}],"output_ports":[{"name":"data","node_id":"-60"}],"cacheable":true,"seq_num":8,"comment":"","comment_collapsed":true},{"node_id":"-67","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":"-67"},{"name":"features","node_id":"-67"}],"output_ports":[{"name":"data","node_id":"-67"}],"cacheable":true,"seq_num":9,"comment":"","comment_collapsed":true},{"node_id":"-76","module_id":"BigQuantSpace.dropnan.dropnan-v2","parameters":[],"input_ports":[{"name":"input_data","node_id":"-76"},{"name":"features","node_id":"-76"}],"output_ports":[{"name":"data","node_id":"-76"}],"cacheable":true,"seq_num":10,"comment":"","comment_collapsed":true},{"node_id":"-80","module_id":"BigQuantSpace.dropnan.dropnan-v2","parameters":[],"input_ports":[{"name":"input_data","node_id":"-80"},{"name":"features","node_id":"-80"}],"output_ports":[{"name":"data","node_id":"-80"}],"cacheable":true,"seq_num":11,"comment":"","comment_collapsed":true},{"node_id":"-129","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 = 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 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StockRanker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 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":"# 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。\ndef bigquant_run(context, data):\n pass\n","type":"Literal","bound_global_parameter":null},{"name":"volume_limit","value":0.025,"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":"close","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":"","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-129"},{"name":"options_data","node_id":"-129"},{"name":"history_ds","node_id":"-129"},{"name":"benchmark_ds","node_id":"-129"},{"name":"trading_calendar","node_id":"-129"}],"output_ports":[{"name":"raw_perf","node_id":"-129"}],"cacheable":false,"seq_num":14,"comment":"","comment_collapsed":true},{"node_id":"-2246","module_id":"BigQuantSpace.decision_tree_classifier.decision_tree_classifier-v1","parameters":[{"name":"criterion","value":"entropy","type":"Literal","bound_global_parameter":null},{"name":"feature_fraction","value":1,"type":"Literal","bound_global_parameter":null},{"name":"max_depth","value":30,"type":"Literal","bound_global_parameter":null},{"name":"min_samples_per_leaf","value":200,"type":"Literal","bound_global_parameter":null},{"name":"key_cols","value":"date,instrument","type":"Literal","bound_global_parameter":null},{"name":"other_train_parameters","value":"{}","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"training_ds","node_id":"-2246"},{"name":"features","node_id":"-2246"},{"name":"model","node_id":"-2246"},{"name":"predict_ds","node_id":"-2246"}],"output_ports":[{"name":"output_model","node_id":"-2246"},{"name":"predictions","node_id":"-2246"}],"cacheable":true,"seq_num":15,"comment":"","comment_collapsed":true}],"node_layout":"<node_postions><node_position 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[2021-07-20 17:32:45.073074] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-07-20 17:32:45.119218] INFO: moduleinvoker: instruments.v2 运行完成[0.046128s].
[2021-07-20 17:32:45.131068] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-07-20 17:32:57.806842] INFO: 自动标注(股票): 加载历史数据: 21047 行
[2021-07-20 17:32:57.808558] INFO: 自动标注(股票): 开始标注 ..
[2021-07-20 17:32:58.141815] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[13.010764s].
[2021-07-20 17:32:58.153824] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-07-20 17:32:58.203703] INFO: moduleinvoker: instruments.v2 运行完成[0.049852s].
[2021-07-20 17:32:58.218992] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-07-20 17:32:58.274177] INFO: moduleinvoker: input_features.v1 运行完成[0.0552s].
[2021-07-20 17:32:58.294317] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-07-20 17:33:00.671604] INFO: 基础特征抽取: 年份 2009, 特征行数=473
[2021-07-20 17:33:03.452781] INFO: 基础特征抽取: 年份 2010, 特征行数=1896
[2021-07-20 17:33:06.102392] INFO: 基础特征抽取: 年份 2011, 特征行数=1892
[2021-07-20 17:33:09.340905] INFO: 基础特征抽取: 年份 2012, 特征行数=1906
[2021-07-20 17:33:12.841050] INFO: 基础特征抽取: 年份 2013, 特征行数=1831
[2021-07-20 17:33:16.667073] INFO: 基础特征抽取: 年份 2014, 特征行数=1677
[2021-07-20 17:33:19.734389] INFO: 基础特征抽取: 年份 2015, 特征行数=1616
[2021-07-20 17:33:23.342851] INFO: 基础特征抽取: 年份 2016, 特征行数=1690
[2021-07-20 17:33:27.424902] INFO: 基础特征抽取: 年份 2017, 特征行数=2136
[2021-07-20 17:33:31.386232] INFO: 基础特征抽取: 年份 2018, 特征行数=2032
[2021-07-20 17:33:36.304937] INFO: 基础特征抽取: 年份 2019, 特征行数=2195
[2021-07-20 17:33:41.183906] INFO: 基础特征抽取: 年份 2020, 特征行数=2176
[2021-07-20 17:33:41.246363] INFO: 基础特征抽取: 总行数: 21520
[2021-07-20 17:33:41.259821] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[42.965551s].
[2021-07-20 17:33:41.267218] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-07-20 17:33:41.646250] INFO: derived_feature_extractor: 提取完成 avg_amount_0/avg_amount_5, 0.003s
[2021-07-20 17:33:41.650425] INFO: derived_feature_extractor: 提取完成 avg_amount_5/avg_amount_10, 0.002s
[2021-07-20 17:33:41.654450] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_0/rank_avg_amount_5, 0.002s
[2021-07-20 17:33:41.658039] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_5/rank_avg_amount_10, 0.002s
[2021-07-20 17:33:41.661860] INFO: derived_feature_extractor: 提取完成 rank_return_0/rank_return_5, 0.002s
[2021-07-20 17:33:41.694127] INFO: derived_feature_extractor: 提取完成 rank_return_5/rank_return_10, 0.030s
[2021-07-20 17:33:41.701271] INFO: derived_feature_extractor: 提取完成 ta_sma_5_0/ta_sma_10_0>0, 0.004s
[2021-07-20 17:33:41.706743] INFO: derived_feature_extractor: 提取完成 ta_sma_10_0/ta_sma_20_0, 0.003s
[2021-07-20 17:33:41.750233] INFO: derived_feature_extractor: /y_2009, 473
[2021-07-20 17:33:41.840335] INFO: derived_feature_extractor: /y_2010, 1896
[2021-07-20 17:33:41.910143] INFO: derived_feature_extractor: /y_2011, 1892
[2021-07-20 17:33:41.962707] INFO: derived_feature_extractor: /y_2012, 1906
[2021-07-20 17:33:42.029580] INFO: derived_feature_extractor: /y_2013, 1831
[2021-07-20 17:33:42.135462] INFO: derived_feature_extractor: /y_2014, 1677
[2021-07-20 17:33:42.182986] INFO: derived_feature_extractor: /y_2015, 1616
[2021-07-20 17:33:42.267533] INFO: derived_feature_extractor: /y_2016, 1690
[2021-07-20 17:33:42.355368] INFO: derived_feature_extractor: /y_2017, 2136
[2021-07-20 17:33:42.416942] INFO: derived_feature_extractor: /y_2018, 2032
[2021-07-20 17:33:42.524436] INFO: derived_feature_extractor: /y_2019, 2195
[2021-07-20 17:33:42.572809] INFO: derived_feature_extractor: /y_2020, 2176
[2021-07-20 17:33:42.665045] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[1.397813s].
[2021-07-20 17:33:42.672522] INFO: moduleinvoker: join.v3 开始运行..
[2021-07-20 17:33:43.126784] INFO: join: /y_2009, 行数=0/473, 耗时=0.061908s
[2021-07-20 17:33:43.200752] INFO: join: /y_2010, 行数=1896/1896, 耗时=0.071036s
[2021-07-20 17:33:43.311327] INFO: join: /y_2011, 行数=1891/1892, 耗时=0.105571s
[2021-07-20 17:33:43.427283] INFO: join: /y_2012, 行数=1904/1906, 耗时=0.112341s
[2021-07-20 17:33:43.618581] INFO: join: /y_2013, 行数=1830/1831, 耗时=0.188035s
[2021-07-20 17:33:43.715331] INFO: join: /y_2014, 行数=1675/1677, 耗时=0.093377s
[2021-07-20 17:33:43.818776] INFO: join: /y_2015, 行数=1591/1616, 耗时=0.101044s
[2021-07-20 17:33:43.912939] INFO: join: /y_2016, 行数=1689/1690, 耗时=0.091176s
[2021-07-20 17:33:44.111322] INFO: join: /y_2017, 行数=2117/2136, 耗时=0.196194s
[2021-07-20 17:33:44.210649] INFO: join: /y_2018, 行数=2032/2032, 耗时=0.097162s
[2021-07-20 17:33:44.349877] INFO: join: /y_2019, 行数=2191/2195, 耗时=0.136486s
[2021-07-20 17:33:44.512994] INFO: join: /y_2020, 行数=2126/2176, 耗时=0.159077s
[2021-07-20 17:33:47.285615] INFO: join: 最终行数: 20942
[2021-07-20 17:33:47.315347] INFO: moduleinvoker: join.v3 运行完成[4.642762s].
[2021-07-20 17:33:47.324551] INFO: moduleinvoker: dropnan.v2 开始运行..
[2021-07-20 17:33:47.692170] INFO: dropnan: /y_2009, 0/0
[2021-07-20 17:33:47.754960] INFO: dropnan: /y_2010, 1414/1896
[2021-07-20 17:33:47.842028] INFO: dropnan: /y_2011, 1332/1891
[2021-07-20 17:33:47.907878] INFO: dropnan: /y_2012, 1904/1904
[2021-07-20 17:33:47.968252] INFO: dropnan: /y_2013, 1830/1830
[2021-07-20 17:33:48.105949] INFO: dropnan: /y_2014, 1675/1675
[2021-07-20 17:33:48.186049] INFO: dropnan: /y_2015, 1591/1591
[2021-07-20 17:33:48.266550] INFO: dropnan: /y_2016, 1689/1689
[2021-07-20 17:33:48.337281] INFO: dropnan: /y_2017, 2111/2117
[2021-07-20 17:33:48.405337] INFO: dropnan: /y_2018, 2032/2032
[2021-07-20 17:33:48.498453] INFO: dropnan: /y_2019, 2191/2191
[2021-07-20 17:33:48.567512] INFO: dropnan: /y_2020, 2105/2126
[2021-07-20 17:33:50.103520] INFO: dropnan: 行数: 19874/20942
[2021-07-20 17:33:50.109879] INFO: moduleinvoker: dropnan.v2 运行完成[2.78535s].
[2021-07-20 17:33:50.119084] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-07-20 17:33:54.322381] INFO: 基础特征抽取: 年份 2020, 特征行数=540
[2021-07-20 17:33:57.473133] INFO: 基础特征抽取: 年份 2021, 特征行数=1208
[2021-07-20 17:33:57.498437] INFO: 基础特征抽取: 总行数: 1748
[2021-07-20 17:33:57.507821] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[7.388732s].
[2021-07-20 17:33:57.513747] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-07-20 17:33:57.590218] INFO: derived_feature_extractor: 提取完成 avg_amount_0/avg_amount_5, 0.001s
[2021-07-20 17:33:57.592866] INFO: derived_feature_extractor: 提取完成 avg_amount_5/avg_amount_10, 0.001s
[2021-07-20 17:33:57.598515] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_0/rank_avg_amount_5, 0.002s
[2021-07-20 17:33:57.602115] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_5/rank_avg_amount_10, 0.001s
[2021-07-20 17:33:57.606176] INFO: derived_feature_extractor: 提取完成 rank_return_0/rank_return_5, 0.001s
[2021-07-20 17:33:57.610033] INFO: derived_feature_extractor: 提取完成 rank_return_5/rank_return_10, 0.002s
[2021-07-20 17:33:57.613927] INFO: derived_feature_extractor: 提取完成 ta_sma_5_0/ta_sma_10_0>0, 0.002s
[2021-07-20 17:33:57.618154] INFO: derived_feature_extractor: 提取完成 ta_sma_10_0/ta_sma_20_0, 0.001s
[2021-07-20 17:33:57.660427] INFO: derived_feature_extractor: /y_2020, 540
[2021-07-20 17:33:57.753907] INFO: derived_feature_extractor: /y_2021, 1208
[2021-07-20 17:33:57.869018] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.355286s].
[2021-07-20 17:33:57.872988] INFO: moduleinvoker: dropnan.v2 开始运行..
[2021-07-20 17:33:57.957368] INFO: dropnan: /y_2020, 536/540
[2021-07-20 17:33:58.023923] INFO: dropnan: /y_2021, 1187/1208
[2021-07-20 17:33:58.084056] INFO: dropnan: 行数: 1723/1748
[2021-07-20 17:33:58.089516] INFO: moduleinvoker: dropnan.v2 运行完成[0.216532s].
[2021-07-20 17:33:58.183358] INFO: moduleinvoker: decision_tree_classifier.v1 开始运行..
[2021-07-20 17:33:59.323782] INFO: moduleinvoker: decision_tree_classifier.v1 运行完成[1.140384s].
[2021-07-20 17:34:01.698201] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-07-20 17:34:01.704978] INFO: backtest: biglearning backtest:V8.5.0
[2021-07-20 17:34:01.707752] INFO: backtest: product_type:stock by specified
[2021-07-20 17:34:02.352520] INFO: moduleinvoker: cached.v2 开始运行..
[2021-07-20 17:34:10.366125] INFO: backtest: 读取股票行情完成:115929
[2021-07-20 17:34:10.739471] INFO: moduleinvoker: cached.v2 运行完成[8.386929s].
[2021-07-20 17:34:11.011854] INFO: algo: TradingAlgorithm V1.8.3
[2021-07-20 17:34:11.239025] INFO: algo: trading transform...
[2021-07-20 17:34:12.606839] INFO: algo: handle_splits get splits [dt:2021-06-24 00:00:00+00:00] [asset:Equity(951 [003035.SZA]), ratio:0.9990448355674744]
[2021-07-20 17:34:12.608957] INFO: Position: position stock handle split[sid:951, orig_amount:300, new_amount:300.0, orig_cost:10.699999809284195, new_cost:10.6898, ratio:0.9990448355674744, last_sale_price:10.460000038146973]
[2021-07-20 17:34:12.610707] INFO: Position: after split: PositionStock(asset:Equity(951 [003035.SZA]), amount:300.0, cost_basis:10.6898, last_sale_price:10.470000267028809)
[2021-07-20 17:34:12.612135] INFO: Position: returning cash: 3.0002
[2021-07-20 17:34:12.628604] INFO: algo: handle_splits get splits [dt:2021-06-25 00:00:00+00:00] [asset:Equity(748 [000636.SZA]), ratio:0.9982443451881409]
[2021-07-20 17:34:12.631660] INFO: Position: position stock handle split[sid:748, orig_amount:700, new_amount:701.0, orig_cost:26.44714491712454, new_cost:26.4007, ratio:0.9982443451881409, last_sale_price:28.43000030517578]
[2021-07-20 17:34:12.633572] INFO: Position: after split: PositionStock(asset:Equity(748 [000636.SZA]), amount:701.0, cost_basis:26.4007, last_sale_price:28.48000144958496)
[2021-07-20 17:34:12.634946] INFO: Position: returning cash: 6.5707
[2021-07-20 17:34:12.705910] INFO: algo: handle_splits get splits [dt:2021-07-01 00:00:00+00:00] [asset:Equity(882 [000625.SZA]), ratio:0.7058599591255188]
[2021-07-20 17:34:12.708542] INFO: Position: position stock handle split[sid:882, orig_amount:1300, new_amount:1841.0, orig_cost:19.88153868455801, new_cost:14.0336, ratio:0.7058599591255188, last_sale_price:18.55000114440918]
[2021-07-20 17:34:12.710042] INFO: Position: after split: PositionStock(asset:Equity(882 [000625.SZA]), amount:1841.0, cost_basis:14.0336, last_sale_price:26.280000686645508)
[2021-07-20 17:34:12.712548] INFO: Position: returning cash: 13.4505
[2021-07-20 17:34:12.758107] INFO: Performance: Simulated 122 trading days out of 122.
[2021-07-20 17:34:12.759578] INFO: Performance: first open: 2021-01-04 09:30:00+00:00
[2021-07-20 17:34:12.760895] INFO: Performance: last close: 2021-07-06 15:00:00+00:00
[2021-07-20 17:34:14.714581] INFO: moduleinvoker: backtest.v8 运行完成[13.016392s].
[2021-07-20 17:34:14.717219] INFO: moduleinvoker: trade.v4 运行完成[15.382425s].
- 收益率13.08%
- 年化收益率28.91%
- 基准收益率-2.46%
- 阿尔法0.32
- 贝塔0.48
- 夏普比率1.07
- 胜率0.46
- 盈亏比1.44
- 收益波动率23.6%
- 信息比率0.08
- 最大回撤11.22%
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