克隆策略

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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11日 21:51
# 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 m4_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=0.00015, sell_cost=0.00015, min_cost=0))
    #国债放大持有仓位倍数
    context.DEBT = 4
    #每标的购买资金
    context.max_cash_per_instrument = context.portfolio.portfolio_value/(len(context.instruments)-1+context.DEBT)

# 回测引擎：每日数据处理函数，每天执行一次
def m4_handle_data_bigquant_run(context, data):
    
    today = data.current_dt.strftime('%Y-%m-%d')
    # 获取当前持仓
    positions = {e.symbol: p.amount for e, p in context.portfolio.positions.items()}
    #买入并持有
    #每标的购买资金
    for instrument in context.instruments:
        if instrument not in positions.keys():
            cash = context.max_cash_per_instrument
            if instrument=='511010.HOF':
                cash = context.max_cash_per_instrument * context.DEBT
            context.order_value(context.symbol(instrument), cash)
            
    
        
    

            
    
# 回测引擎：准备数据，只执行一次
def m4_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 m4_before_trading_start_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2015-01-01',
    end_date='2021-10-10',
    market='CN_FUND',
    instrument_list="""#日经
513520.HOF
#德国指数
513030.HOF
#纳斯达克
159941.ZOF
#黄金
518880.HOF
#恒生
159920.ZOF
#沪深300
510300.HOF
#国债
511010.HOF""",
    max_count=0
)

m3 = M.use_datasource.v1(
    instruments=m1.data,
    datasource_id='bar1d_CN_FUND',
    start_date='',
    end_date=''
)

m4 = M.trade.v4(
    instruments=m1.data,
    history_ds=m3.data,
    start_date='',
    end_date='',
    initialize=m4_initialize_bigquant_run,
    handle_data=m4_handle_data_bigquant_run,
    prepare=m4_prepare_bigquant_run,
    before_trading_start=m4_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='后复权',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark=''
)
    • 收益率45.04%
    • 年化收益率5.86%
    • 基准收益率39.51%
    • 阿尔法0.02
    • 贝塔0.21
    • 夏普比率0.42
    • 胜率1.0
    • 盈亏比0.0
    • 收益波动率7.05%
    • 信息比率-0.01
    • 最大回撤12.23%
    bigcharts-data-start/{"__type":"tabs","__id":"bigchart-cb3f23278e2b4595a90676b139761d62"}/bigcharts-data-end