{"description":"实验创建于2017/8/26","graph":{"edges":[{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8:data"},{"to_node_id":"-404:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8:data"},{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53:data1","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15:data"},{"to_node_id":"-404:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-411:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-418:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-425:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-122:features","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-24:data"},{"to_node_id":"-143:input_1","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53:data"},{"to_node_id":"-1918:options_data","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-60:predictions"},{"to_node_id":"-418:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-62:data"},{"to_node_id":"-1918:instruments","from_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-62:data"},{"to_node_id":"-411:input_data","from_node_id":"-404:data"},{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-53:data2","from_node_id":"-411:data"},{"to_node_id":"-425:input_data","from_node_id":"-418:data"},{"to_node_id":"-146:input_1","from_node_id":"-425:data"},{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-60:model","from_node_id":"-122:model"},{"to_node_id":"-122:training_ds","from_node_id":"-136:data"},{"to_node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-60:data","from_node_id":"-140:data"},{"to_node_id":"-136:input_data","from_node_id":"-143:data_1"},{"to_node_id":"-140:input_data","from_node_id":"-146:data_1"}],"nodes":[{"node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2010-01-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2015-01-01","type":"Literal","bound_global_parameter":null},{"name":"market","value":"CN_STOCK_A","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":"0","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8"}],"output_ports":[{"name":"data","node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-8"}],"cacheable":true,"seq_num":1,"comment":"","comment_collapsed":true},{"node_id":"287d2cb0-f53c-4101-bdf8-104b137c8601-15","module_id":"BigQuantSpace.advanced_auto_labeler.advanced_auto_labeler-v2","parameters":[{"name":"label_expr","value":"# 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self._price_field_buy)\n # 返回希望成交的价格和数量\n return (price, order.amount)\n # 设置price_field,默认是开盘买入,收盘卖出\n context.fix_slippage = FixedPriceSlippage(price_field_buy='open', price_field_sell='close')\n context.set_slippage(us_equities=context.fix_slippage)","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 today = 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.options['hold_days'] # 是否在建仓期间(前 hold_days 天)\n cash_avg = context.portfolio.portfolio_value / context.options['hold_days']\n cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)\n cash_for_sell = 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list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(\n lambda x: x in equities)])))\n price_limit_status = context.price_limit_status\n status_today = price_limit_status[price_limit_status.date==today]\n for instrument in instruments:\n # 如果是st股票已经卖过了,就跳过\n if instrument in st_stock_list:\n continue\n # 如果涨停就跳过股票\n status_instrument = status_today[status_today.instrument==instrument]['price_limit_status'].values[0]\n if status_instrument>2:\n continue\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:按机器学习算法预测的排序,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\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 # 获取股票名称 用于过滤st和退市股\n context.name_df = DataSource('instruments_CN_STOCK_A').read()\n # 获取涨跌停状态\n context.price_limit_status = DataSource('stock_status_CN_STOCK_A').read(fields=['price_limit_status'])\n","type":"Literal","bound_global_parameter":null},{"name":"before_trading_start","value":"def bigquant_run(context, data):\n df_price_limit_status=context.price_limit_status.set_index('date')\n today=data.current_dt.strftime('%Y-%m-%d')\n # 得到当前未完成订单\n for orders in get_open_orders().values():\n # 循环,撤销订单\n for _order in orders:\n ins=str(_order.sid.symbol)\n if data.can_trade(_order.sid):\n #判断一下如果当日涨停,则取消卖单\n if 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[2021-08-16 18:35:01.006384] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-08-16 18:35:01.021466] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.023100] INFO: moduleinvoker: instruments.v2 运行完成[0.016724s].
[2021-08-16 18:35:01.028418] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-08-16 18:35:01.036179] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.038351] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.009934s].
[2021-08-16 18:35:01.042157] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-08-16 18:35:01.050718] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.052038] INFO: moduleinvoker: input_features.v1 运行完成[0.009889s].
[2021-08-16 18:35:01.117490] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-08-16 18:35:01.124935] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.127529] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.010067s].
[2021-08-16 18:35:01.133863] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-08-16 18:35:01.140508] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.143209] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.009345s].
[2021-08-16 18:35:01.149380] INFO: moduleinvoker: join.v3 开始运行..
[2021-08-16 18:35:01.157263] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.159951] INFO: moduleinvoker: join.v3 运行完成[0.01057s].
[2021-08-16 18:35:01.174510] INFO: moduleinvoker: filtet_st_stock.v7 开始运行..
[2021-08-16 18:35:01.184733] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.186434] INFO: moduleinvoker: filtet_st_stock.v7 运行完成[0.011943s].
[2021-08-16 18:35:01.190676] INFO: moduleinvoker: dropnan.v2 开始运行..
[2021-08-16 18:35:01.196744] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.198226] INFO: moduleinvoker: dropnan.v2 运行完成[0.007553s].
[2021-08-16 18:35:01.203461] INFO: moduleinvoker: stock_ranker_train.v6 开始运行..
[2021-08-16 18:35:01.210995] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.314712] INFO: moduleinvoker: stock_ranker_train.v6 运行完成[0.11124s].
[2021-08-16 18:35:01.320706] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-08-16 18:35:01.329780] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.331121] INFO: moduleinvoker: instruments.v2 运行完成[0.010429s].
[2021-08-16 18:35:01.357244] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-08-16 18:35:01.372863] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.374321] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.017084s].
[2021-08-16 18:35:01.387860] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-08-16 18:35:01.398295] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.399524] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.011687s].
[2021-08-16 18:35:01.418429] INFO: moduleinvoker: filtet_st_stock.v7 开始运行..
[2021-08-16 18:35:01.425487] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.427417] INFO: moduleinvoker: filtet_st_stock.v7 运行完成[0.009008s].
[2021-08-16 18:35:01.433736] INFO: moduleinvoker: dropnan.v2 开始运行..
[2021-08-16 18:35:01.441276] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.442980] INFO: moduleinvoker: dropnan.v2 运行完成[0.009249s].
[2021-08-16 18:35:01.453059] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..
[2021-08-16 18:35:01.466425] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:01.469308] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[0.016252s].
[2021-08-16 18:35:03.168855] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-08-16 18:35:03.173473] INFO: backtest: biglearning backtest:V8.5.0
[2021-08-16 18:35:23.928613] INFO: backtest: product_type:stock by specified
[2021-08-16 18:35:24.814755] INFO: moduleinvoker: cached.v2 开始运行..
[2021-08-16 18:35:24.824710] INFO: moduleinvoker: 命中缓存
[2021-08-16 18:35:24.827280] INFO: moduleinvoker: cached.v2 运行完成[0.012543s].
[2021-08-16 18:35:28.329978] INFO: algo: TradingAlgorithm V1.8.3
[2021-08-16 18:35:30.076823] INFO: algo: trading transform...
[2021-08-16 19:54:07.815796] INFO: Performance: Simulated 488 trading days out of 488.
[2021-08-16 19:54:07.818975] INFO: Performance: first open: 2015-01-05 09:30:00+00:00
[2021-08-16 19:54:07.820817] INFO: Performance: last close: 2016-12-30 15:00:00+00:00
[2021-08-16 19:54:17.971128] INFO: moduleinvoker: backtest.v8 运行完成[4754.802256s].
[2021-08-16 19:54:17.973346] INFO: moduleinvoker: trade.v4 运行完成[4756.498993s].
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-0e397aac770b48ad9911917409c2955b"}/bigcharts-data-end
2015-01-13 尾盘涨停取消卖单 300380.SZA
2015-01-15 持仓出现st股/退市股 ['601918.SHA', '000693.SZA'] 进行卖出处理
2015-01-16 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-01-19 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-01-20 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-01-21 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-02-03 尾盘涨停取消卖单 002657.SZA
2015-02-11 尾盘涨停取消卖单 300378.SZA
2015-02-16 尾盘涨停取消卖单 300378.SZA
2015-03-05 尾盘涨停取消卖单 300166.SZA
2015-03-16 尾盘涨停取消卖单 000626.SZA
2015-03-23 尾盘涨停取消卖单 002537.SZA
2015-04-02 持仓出现st股/退市股 ['600306.SHA'] 进行卖出处理
2015-04-03 尾盘涨停取消卖单 300345.SZA
2015-04-03 尾盘涨停取消卖单 300266.SZA
2015-04-16 尾盘涨停取消卖单 002100.SZA
2015-04-17 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-05-13 持仓出现st股/退市股 ['600546.SHA'] 进行卖出处理
2015-05-21 尾盘涨停取消卖单 002275.SZA
2015-05-21 尾盘涨停取消卖单 002531.SZA
2015-06-01 尾盘涨停取消卖单 600006.SHA
2015-06-01 尾盘涨停取消卖单 600774.SHA
2015-06-05 持仓出现st股/退市股 ['000504.SZA'] 进行卖出处理
2015-06-08 尾盘涨停取消卖单 600679.SHA
2015-06-12 尾盘涨停取消卖单 600559.SHA
2015-06-15 尾盘涨停取消卖单 600198.SHA
2015-06-17 尾盘涨停取消卖单 300085.SZA
2015-06-23 尾盘涨停取消卖单 300248.SZA
2015-06-30 尾盘涨停取消卖单 300216.SZA
2015-07-07 持仓出现st股/退市股 ['600375.SHA'] 进行卖出处理
2015-07-08 持仓出现st股/退市股 ['600375.SHA'] 进行卖出处理
2015-07-09 尾盘涨停取消卖单 600375.SHA
2015-07-09 尾盘涨停取消卖单 000514.SZA
2015-07-09 尾盘涨停取消卖单 600893.SHA
2015-07-09 尾盘涨停取消卖单 601216.SHA
2015-07-09 尾盘涨停取消卖单 600783.SHA
2015-07-09 尾盘涨停取消卖单 600503.SHA
2015-07-09 持仓出现st股/退市股 ['600375.SHA'] 进行卖出处理
2015-07-10 尾盘涨停取消卖单 600375.SHA
2015-07-10 持仓出现st股/退市股 ['600375.SHA', '000913.SZA', '600721.SHA'] 进行卖出处理
2015-07-13 尾盘涨停取消卖单 600375.SHA
2015-07-13 尾盘涨停取消卖单 000913.SZA
2015-07-13 尾盘涨停取消卖单 600721.SHA
2015-07-13 持仓出现st股/退市股 ['600375.SHA', '000913.SZA', '600721.SHA'] 进行卖出处理
2015-07-17 尾盘涨停取消卖单 600119.SHA
2015-07-17 尾盘涨停取消卖单 603030.SHA
2015-07-17 尾盘涨停取消卖单 002197.SZA
2015-07-20 尾盘涨停取消卖单 600105.SHA
2015-07-21 尾盘涨停取消卖单 300222.SZA
2015-07-31 持仓出现st股/退市股 ['000933.SZA'] 进行卖出处理
2015-08-04 尾盘涨停取消卖单 000409.SZA
2015-08-04 尾盘涨停取消卖单 600986.SHA
2015-08-07 尾盘涨停取消卖单 300075.SZA
2015-08-07 尾盘涨停取消卖单 000948.SZA
2015-08-10 尾盘涨停取消卖单 002522.SZA
2015-08-27 尾盘涨停取消卖单 002375.SZA
2015-08-27 尾盘涨停取消卖单 300348.SZA
2015-08-27 尾盘涨停取消卖单 600790.SHA
2015-08-28 尾盘涨停取消卖单 002062.SZA
2015-08-28 尾盘涨停取消卖单 300012.SZA
2015-08-28 尾盘涨停取消卖单 000567.SZA
2015-08-28 尾盘涨停取消卖单 300053.SZA
2015-08-31 持仓出现st股/退市股 ['000504.SZA'] 进行卖出处理
2015-09-01 持仓出现st股/退市股 ['000504.SZA'] 进行卖出处理
2015-09-08 尾盘涨停取消卖单 300252.SZA
2015-09-09 尾盘涨停取消卖单 002229.SZA
2015-09-09 尾盘涨停取消卖单 600702.SHA
2015-09-09 尾盘涨停取消卖单 002268.SZA
2015-09-11 尾盘涨停取消卖单 002161.SZA
2015-09-16 尾盘涨停取消卖单 002161.SZA
2015-09-16 尾盘涨停取消卖单 300277.SZA
2015-09-16 尾盘涨停取消卖单 002229.SZA
2015-09-24 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-09-30 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-10-14 尾盘涨停取消卖单 002549.SZA
2015-10-14 尾盘涨停取消卖单 600355.SHA
2015-10-22 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2015-11-04 尾盘涨停取消卖单 002197.SZA
2015-11-06 尾盘涨停取消卖单 002197.SZA
2015-11-06 尾盘涨停取消卖单 300310.SZA
2015-12-09 持仓出现st股/退市股 ['000037.SZA'] 进行卖出处理
2015-12-14 尾盘涨停取消卖单 600257.SHA
2016-01-12 尾盘涨停取消卖单 002027.SZA
2016-01-14 尾盘涨停取消卖单 300149.SZA
2016-01-21 持仓出现st股/退市股 ['000633.SZA'] 进行卖出处理
2016-01-22 持仓出现st股/退市股 ['000629.SZA', '000856.SZA'] 进行卖出处理
2016-01-25 持仓出现st股/退市股 ['600866.SHA'] 进行卖出处理
2016-01-26 持仓出现st股/退市股 ['600866.SHA'] 进行卖出处理
2016-01-29 持仓出现st股/退市股 ['000408.SZA'] 进行卖出处理
2016-02-01 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2016-02-02 尾盘涨停取消卖单 300078.SZA
2016-02-04 持仓出现st股/退市股 ['000606.SZA', '000504.SZA'] 进行卖出处理
2016-02-05 持仓出现st股/退市股 ['000504.SZA'] 进行卖出处理
2016-02-16 尾盘涨停取消卖单 000566.SZA
2016-02-26 持仓出现st股/退市股 ['000693.SZA'] 进行卖出处理
2016-03-01 尾盘涨停取消卖单 600978.SHA
2016-03-21 尾盘涨停取消卖单 002388.SZA
2016-04-06 尾盘涨停取消卖单 300023.SZA
2016-04-15 尾盘涨停取消卖单 300028.SZA
2016-05-16 尾盘涨停取消卖单 300081.SZA
2016-06-15 尾盘涨停取消卖单 300236.SZA
2016-06-22 尾盘涨停取消卖单 300201.SZA
2016-07-08 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-07-11 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-07-12 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-07-13 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-07-14 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-07-15 尾盘涨停取消卖单 600556.SHA
2016-07-15 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-07-20 尾盘涨停取消卖单 002219.SZA
2016-07-28 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-08-09 尾盘涨停取消卖单 600084.SHA
2016-08-10 持仓出现st股/退市股 ['600556.SHA'] 进行卖出处理
2016-08-15 尾盘涨停取消卖单 300428.SZA
2016-09-05 尾盘涨停取消卖单 000652.SZA
2016-10-10 尾盘涨停取消卖单 300451.SZA
2016-10-21 尾盘涨停取消卖单 000935.SZA
2016-12-07 尾盘涨停取消卖单 600671.SHA
- 收益率251.39%
- 年化收益率91.36%
- 基准收益率-6.33%
- 阿尔法1.08
- 贝塔1.0
- 夏普比率1.61
- 胜率0.61
- 盈亏比0.91
- 收益波动率44.78%
- 信息比率0.15
- 最大回撤47.0%
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-d26b6759287a49b49b5e904b3f4ac342"}/bigcharts-data-end