克隆策略

买入并持有策略

版本 v1.0

目录

策略交易规则

策略构建步骤

正文

一、买入并持有策略的交易规则

等权重买入两只股票，股票300059.SZA(东方财富),600519.SHA(贵州茅台)，买入后一直持有。

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

在回测的开始时间就等权买入股票，一旦持有股票后，不卖出，也不再买入。

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)查看每日持仓信息，若已持有相应股票则不再买入，否则等权重买入。

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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 17:56
# 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 m5_initialize_bigquant_run(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=0.0001, sell_cost=0.001, min_cost=5))
    
    
 
    

# 回测引擎：每日数据处理函数，每天执行一次
def m5_handle_data_bigquant_run(context, data):
    instruments = context.instruments # 标的池
    weight = 1 / len(instruments) # 等权重
    positions = [equity.symbol for equity in context.portfolio.positions] # 持仓
     
    for i in instruments:
        if i not  in positions:
            if data.can_trade(context.symbol(i)): # 判断当天是否可交易，若停牌则为False
                context.order_target_percent(context.symbol(i), weight) # 按百分比等权重下单
                print('时间:', data.current_dt, '计划买入股票:', i) # 打印下单日志
          
# 回测引擎：准备数据，只执行一次
def m5_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 m5_before_trading_start_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2018-01-01',
    end_date='2021-11-19',
    market='CN_STOCK_A',
    instrument_list="""300059.SZA
600519.SHA""",
    max_count=0
)

m5 = M.trade.v4(
    instruments=m1.data,
    start_date='',
    end_date='',
    initialize=m5_initialize_bigquant_run,
    handle_data=m5_handle_data_bigquant_run,
    prepare=m5_prepare_bigquant_run,
    before_trading_start=m5_before_trading_start_bigquant_run,
    volume_limit=0.025,
    order_price_field_buy='open',
    order_price_field_sell='open',
    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.HIX'
)

    时间: 2018-01-02 15:00:00+00:00 计划买入股票: 300059.SZA
时间: 2018-01-02 15:00:00+00:00 计划买入股票: 600519.SHA
    • 收益率317.33%
    • 年化收益率46.49%
    • 基准收益率21.32%
    • 阿尔法0.42
    • 贝塔1.45
    • 夏普比率1.17
    • 胜率1.0
    • 盈亏比0.0
    • 收益波动率35.63%
    • 信息比率0.11
    • 最大回撤27.16%
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