克隆策略

In [2]:

# 本代码由可视化策略环境自动生成 2019年1月28日 18:00
# 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：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')]

    # 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):
    pass

# 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


m1 = M.instruments.v2(
    start_date='2010-01-01',
    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/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
)

m13 = M.dropnan.v1(
    input_data=m7.data
)

m9 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2015-01-01'),
    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=0
)

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
)

m14 = M.dropnan.v1(
    input_data=m18.data
)

m20 = M.xgboost.v1(
    training_ds=m13.data,
    features=m3.data,
    predict_ds=m14.data,
    num_boost_round=30,
    objective='排序(pairwise)',
    booster='gbtree',
    max_depth=6,
    key_cols='date,instrument',
    group_col='date',
    other_train_parameters={}
)

m19 = M.trade.v4(
    instruments=m9.data,
    options_data=m20.predictions,
    start_date='',
    end_date='',
    handle_data=m19_handle_data_bigquant_run,
    prepare=m19_prepare_bigquant_run,
    initialize=m19_initialize_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.SHA'
)

[2019-01-28 16:24:42.422467] INFO: bigquant: instruments.v2 开始运行..
[2019-01-28 16:24:42.434800] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.436283] INFO: bigquant: instruments.v2 运行完成[0.01384s].
[2019-01-28 16:24:42.440854] INFO: bigquant: advanced_auto_labeler.v2 开始运行..
[2019-01-28 16:24:42.447409] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.449193] INFO: bigquant: advanced_auto_labeler.v2 运行完成[0.008353s].
[2019-01-28 16:24:42.452164] INFO: bigquant: input_features.v1 开始运行..
[2019-01-28 16:24:42.458288] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.459843] INFO: bigquant: input_features.v1 运行完成[0.00766s].
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[2019-01-28 16:24:42.481569] INFO: bigquant: 命中缓存
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[2019-01-28 16:24:42.499280] INFO: bigquant: join.v3 开始运行..
[2019-01-28 16:24:42.505799] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.506836] INFO: bigquant: join.v3 运行完成[0.007541s].
[2019-01-28 16:24:42.510056] INFO: bigquant: dropnan.v1 开始运行..
[2019-01-28 16:24:42.515563] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.516488] INFO: bigquant: dropnan.v1 运行完成[0.006467s].
[2019-01-28 16:24:42.519915] INFO: bigquant: instruments.v2 开始运行..
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[2019-01-28 16:24:42.540339] INFO: bigquant: instruments.v2 运行完成[0.020365s].
[2019-01-28 16:24:42.549281] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-01-28 16:24:42.555673] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.557094] INFO: bigquant: general_feature_extractor.v7 运行完成[0.007811s].
[2019-01-28 16:24:42.560659] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-01-28 16:24:42.567051] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.568230] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.00759s].
[2019-01-28 16:24:42.571140] INFO: bigquant: dropnan.v1 开始运行..
[2019-01-28 16:24:42.577041] INFO: bigquant: 命中缓存
[2019-01-28 16:24:42.578413] INFO: bigquant: dropnan.v1 运行完成[0.00725s].
[2019-01-28 16:24:42.581621] INFO: bigquant: xgboost.v1 开始运行..
[16:25:12] /workspace/src/tree/updater_prune.cc:74: tree pruning end, 1 roots, 126 extra nodes, 0 pruned nodes, max_depth=6
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[16:32:10] /workspace/src/tree/updater_prune.cc:74: tree pruning end, 1 roots, 124 extra nodes, 0 pruned nodes, max_depth=6
[16:32:27] /workspace/src/tree/updater_prune.cc:74: tree pruning end, 1 roots, 126 extra nodes, 0 pruned nodes, max_depth=6
[16:32:43] /workspace/src/tree/updater_prune.cc:74: tree pruning end, 1 roots, 126 extra nodes, 0 pruned nodes, max_depth=6
[16:33:01] /workspace/src/tree/updater_prune.cc:74: tree pruning end, 1 roots, 122 extra nodes, 0 pruned nodes, max_depth=6
[16:33:19] /workspace/src/tree/updater_prune.cc:74: tree pruning end, 1 roots, 126 extra nodes, 0 pruned nodes, max_depth=6
[2019-01-28 16:33:27.286447] INFO: bigquant: xgboost.v1 运行完成[524.704796s].
[2019-01-28 16:33:27.302367] INFO: bigquant: backtest.v8 开始运行..
[2019-01-28 16:33:27.304609] INFO: bigquant: biglearning backtest:V8.1.7
[2019-01-28 16:33:27.305521] INFO: bigquant: product_type:stock by specified
[2019-01-28 16:33:42.775059] INFO: bigquant: 读取股票行情完成:1990277
[2019-01-28 16:34:05.106943] INFO: algo: TradingAlgorithm V1.4.5
[2019-01-28 16:34:15.853533] INFO: algo: trading transform...
[2019-01-28 16:34:29.720732] INFO: Performance: Simulated 488 trading days out of 488.
[2019-01-28 16:34:29.722059] INFO: Performance: first open: 2015-01-05 09:30:00+00:00
[2019-01-28 16:34:29.723007] INFO: Performance: last close: 2016-12-30 15:00:00+00:00

收益率419.55%
年化收益率134.18%
基准收益率-6.33%
阿尔法0.92
贝塔0.92
夏普比率2.24
胜率0.64
盈亏比0.95
收益波动率40.49%
信息比率0.21
最大回撤50.32%

[2019-01-28 16:34:33.286362] INFO: bigquant: backtest.v8 运行完成[65.983968s].

In [15]:

m20.feature_gains()

Out[15]:

	feature	gain
0	return_20	258
10	return_5	213
3	avg_amount_5/avg_amount_20	177
1	avg_amount_0/avg_amount_5	167
8	rank_avg_amount_0/rank_avg_amount_5	159
2	rank_return_5	127
7	rank_avg_amount_5/rank_avg_amount_10	121
5	rank_return_5/rank_return_10	115
6	pe_ttm_0	112
12	rank_return_10	111
11	rank_return_0	110
4	return_10	101
9	rank_return_0/rank_return_5	97

In [13]:

m20.predictions.read_df().head(10)

Out[13]:

	prediction	date	instrument
550388	1.442220	2015-08-03	603023.SHA
310324	1.425380	2015-06-19	300312.SZA
245931	1.410372	2015-07-02	002759.SZA
1112466	1.400640	2016-01-28	600805.SHA
576750	1.394390	2016-01-28	000039.SZA
444539	1.384524	2015-06-18	600573.SHA
1159144	1.377003	2016-01-28	601567.SHA
1161512	1.376757	2016-01-28	601618.SHA
200413	1.373183	2015-07-28	002522.SZA
538663	1.372157	2015-08-25	601789.SHA