克隆策略

双均线模板策略

版本 v1.0

目录

策略交易规则

策略构建步骤

正文

一、双均线模板策略的交易规则

金叉死叉策略其实就是双均线策略。策略思想是：当短期均线上穿长期均线时，形成金叉，此时买入股票。当短期均线下穿长期均线时，形成死叉，此时卖出股票。研究表明，双均线系统虽然简单，但只要严格执行，也能长期盈利。

二、策略构建步骤

1、确定股票池和回测时间 通过证券代码列表输入要回测的两只股票，以及回测的起止日期。

2、确定买卖原则

当短期均线上穿长期均线时，形成金叉，此时买入股票。当短期均线下穿长期均线时，形成死叉，此时卖出股票。

3、模拟回测

通过 trade 模块中的初始化函数定义交易手续费。 通过 trade 模块中的主函数(handle函数)形成金叉买入股票；形成死叉卖出股票。并打印交易日志。

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    In [14]:
    # 本代码由可视化策略环境自动生成 2021年11月25日 17:38
# 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 m2_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))

   

# 回测引擎：每日数据处理函数，每天执行一次
def m2_handle_data_bigquant_run(context, data):
    # 按日期过滤得到今日的预测数据
    options_data = context.ranker_prediction[context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]
    # 标的为字符串格式
    sid = context.symbol(context.instruments[0])# 标的为字符串格式
    price = data.current(sid, 'price') # 最新价格
    cash = context.portfolio.cash  # 现金
    cur_position = context.portfolio.positions[sid].amount # 持仓
    short_mavg = options_data['mean5'].values  # 短期均线值
    long_mavg = options_data['mean50'].values # 长期均线值
    #交易逻辑
    # 如果短期均线大于长期均线形成金叉，并且没有持仓，并且该股票可以交易
    if short_mavg > long_mavg and cur_position == 0 and data.can_trade(sid):  
        context.order(sid, int(cash/price/100)*100) # 买入
        print('{}全仓买入{}股票'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))
    # 如果短期均线小于长期均线形成死叉，并且有持仓，并且该股票可以交易
    elif short_mavg < long_mavg and cur_position > 0 and data.can_trade(sid):  
        context.order_target_percent(sid, 0) # 全部卖出
        print('{}卖出{}股票'.format(data.current_dt.strftime('%Y-%m-%d'),sid.symbol))
        
        

# 回测引擎：准备数据，只执行一次
def m2_prepare_bigquant_run(context):
    pass

# 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。
def m2_before_trading_start_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2017-11-24',
    end_date='2021-11-24',
    market='CN_STOCK_A',
    instrument_list='600519.SHA',
    max_count=0
)

m3 = M.input_features.v1(
    features="""
# #号开始的表示注释，注释需单独一行
# 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
mean5=mean(close_0,5)
mean50=mean(close_0,50)"""
)

m4 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m5 = M.derived_feature_extractor.v3(
    input_data=m4.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=True,
    remove_extra_columns=False,
    user_functions={}
)

m2 = M.trade.v4(
    instruments=m1.data,
    options_data=m5.data,
    start_date='',
    end_date='',
    initialize=m2_initialize_bigquant_run,
    handle_data=m2_handle_data_bigquant_run,
    prepare=m2_prepare_bigquant_run,
    before_trading_start=m2_before_trading_start_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=''
)

    2017-11-24全仓买入600519.SHA股票
2018-02-09卖出600519.SHA股票
2018-02-23全仓买入600519.SHA股票
2018-03-06卖出600519.SHA股票
2018-03-20全仓买入600519.SHA股票
2018-03-23卖出600519.SHA股票
2018-05-11全仓买入600519.SHA股票

    2018-07-03卖出600519.SHA股票
2018-07-16全仓买入600519.SHA股票
2018-07-27卖出600519.SHA股票
2018-09-25全仓买入600519.SHA股票
2018-10-12卖出600519.SHA股票
2018-12-18全仓买入600519.SHA股票
2018-12-20卖出600519.SHA股票
2019-01-03全仓买入600519.SHA股票
2019-05-28卖出600519.SHA股票
2019-05-30全仓买入600519.SHA股票
2019-06-05卖出600519.SHA股票
2019-06-17全仓买入600519.SHA股票

    2019-11-29卖出600519.SHA股票
2020-03-05全仓买入600519.SHA股票
2020-03-18卖出600519.SHA股票
2020-04-01全仓买入600519.SHA股票

    2020-09-22卖出600519.SHA股票
2020-10-13全仓买入600519.SHA股票
2020-10-27卖出600519.SHA股票
2020-11-09全仓买入600519.SHA股票
2021-03-04卖出600519.SHA股票
2021-05-19全仓买入600519.SHA股票
2021-06-23卖出600519.SHA股票
2021-09-28全仓买入600519.SHA股票
    • 收益率128.82%
    • 年化收益率23.94%
    • 基准收益率19.85%
    • 阿尔法0.21
    • 贝塔0.62
    • 夏普比率0.87
    • 胜率0.33
    • 盈亏比5.64
    • 收益波动率24.84%
    • 信息比率0.05
    • 最大回撤31.96%
    bigcharts-data-start/{"__type":"tabs","__id":"bigchart-f612dc24747d431a970221227070cb62"}/bigcharts-data-end