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[2021-06-23 15:08:09.589689] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-06-23 15:08:09.644004] INFO: moduleinvoker: 命中缓存
[2021-06-23 15:08:09.646379] INFO: moduleinvoker: instruments.v2 运行完成[0.056697s].
[2021-06-23 15:08:09.652141] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
[2021-06-23 15:08:09.664506] INFO: moduleinvoker: 命中缓存
[2021-06-23 15:08:09.666785] INFO: moduleinvoker: advanced_auto_labeler.v2 运行完成[0.014657s].
[2021-06-23 15:08:09.670381] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-06-23 15:08:09.679416] INFO: moduleinvoker: 命中缓存
[2021-06-23 15:08:09.680797] INFO: moduleinvoker: input_features.v1 运行完成[0.010423s].
[2021-06-23 15:08:09.700313] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-06-23 15:08:12.355182] INFO: 基础特征抽取: 年份 2017, 特征行数=193398
[2021-06-23 15:08:17.033527] INFO: 基础特征抽取: 年份 2018, 特征行数=816987
[2021-06-23 15:08:21.839507] INFO: 基础特征抽取: 年份 2019, 特征行数=884867
[2021-06-23 15:08:26.879319] INFO: 基础特征抽取: 年份 2020, 特征行数=945961
[2021-06-23 15:08:28.411491] INFO: 基础特征抽取: 年份 2021, 特征行数=0
[2021-06-23 15:08:28.860562] INFO: 基础特征抽取: 总行数: 2841213
[2021-06-23 15:08:28.867156] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[19.166838s].
[2021-06-23 15:08:28.874217] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-06-23 15:08:39.619098] INFO: derived_feature_extractor: 提取完成 avg_amount_0/avg_amount_5, 0.009s
[2021-06-23 15:08:39.629401] INFO: derived_feature_extractor: 提取完成 avg_amount_5/avg_amount_20, 0.009s
[2021-06-23 15:08:39.641471] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_0/rank_avg_amount_5, 0.006s
[2021-06-23 15:08:39.655806] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_5/rank_avg_amount_10, 0.012s
[2021-06-23 15:08:39.667917] INFO: derived_feature_extractor: 提取完成 rank_return_0/rank_return_5, 0.010s
[2021-06-23 15:08:39.675877] INFO: derived_feature_extractor: 提取完成 rank_return_5/rank_return_10, 0.006s
[2021-06-23 15:08:40.755808] INFO: derived_feature_extractor: /y_2017, 193398
[2021-06-23 15:08:43.890544] INFO: derived_feature_extractor: /y_2018, 816987
[2021-06-23 15:08:47.903408] INFO: derived_feature_extractor: /y_2019, 884867
[2021-06-23 15:08:52.363901] INFO: derived_feature_extractor: /y_2020, 945961
[2021-06-23 15:08:53.381722] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[24.507499s].
[2021-06-23 15:08:53.386024] INFO: moduleinvoker: join.v3 开始运行..
[2021-06-23 15:09:04.186326] INFO: join: /y_2017, 行数=0/193398, 耗时=1.693051s
[2021-06-23 15:09:09.197705] INFO: join: /y_2018, 行数=813508/816987, 耗时=5.007253s
[2021-06-23 15:09:14.587519] INFO: join: /y_2019, 行数=881288/884867, 耗时=5.368651s
[2021-06-23 15:09:20.305783] INFO: join: /y_2020, 行数=919362/945961, 耗时=5.694754s
[2021-06-23 15:09:22.820699] INFO: join: 最终行数: 2614158
[2021-06-23 15:09:22.901544] INFO: moduleinvoker: join.v3 运行完成[29.515511s].
[2021-06-23 15:09:22.907384] INFO: moduleinvoker: dropnan.v2 开始运行..
[2021-06-23 15:09:23.046042] INFO: dropnan: /y_2017, 0/0
[2021-06-23 15:09:24.660798] INFO: dropnan: /y_2018, 811828/813508
[2021-06-23 15:09:26.500681] INFO: dropnan: /y_2019, 877946/881288
[2021-06-23 15:09:28.426076] INFO: dropnan: /y_2020, 911045/919362
[2021-06-23 15:09:28.507987] INFO: dropnan: 行数: 2600819/2614158
[2021-06-23 15:09:28.546017] INFO: moduleinvoker: dropnan.v2 运行完成[5.638646s].
[2021-06-23 15:09:28.576303] INFO: moduleinvoker: stock_ranker_train.v6 开始运行..
[2021-06-23 15:09:31.511325] INFO: StockRanker: 特征预处理 ..
[2021-06-23 15:09:36.038907] INFO: StockRanker: prepare data: training ..
[2021-06-23 15:09:40.634488] INFO: StockRanker: sort ..
[2021-06-23 15:10:16.800431] INFO: StockRanker训练: f33554ca 准备训练: 2600819 行数
[2021-06-23 15:10:16.801810] INFO: StockRanker训练: AI模型训练,将在2600819*13=3381.06万数据上对模型训练进行20轮迭代训练。预计将需要11~21分钟。请耐心等待。
[2021-06-23 15:10:17.157806] INFO: StockRanker训练: 正在训练 ..
[2021-06-23 15:10:17.221437] INFO: StockRanker训练: 任务状态: Pending
[2021-06-23 15:10:27.268014] INFO: StockRanker训练: 任务状态: Running
[2021-06-23 15:10:37.438840] INFO: StockRanker训练: 00:00:17.2829234, finished iteration 1
[2021-06-23 15:10:57.549149] INFO: StockRanker训练: 00:00:33.0428705, finished iteration 2
[2021-06-23 15:11:17.667963] INFO: StockRanker训练: 00:00:48.8655985, finished iteration 3
[2021-06-23 15:11:27.712394] INFO: StockRanker训练: 00:01:06.3262140, finished iteration 4
[2021-06-23 15:11:47.823896] INFO: StockRanker训练: 00:01:23.6016484, finished iteration 5
[2021-06-23 15:12:07.939195] INFO: StockRanker训练: 00:01:45.5060874, finished iteration 6
[2021-06-23 15:12:28.037366] INFO: StockRanker训练: 00:02:06.3639425, finished iteration 7
[2021-06-23 15:12:48.134407] INFO: StockRanker训练: 00:02:28.5262764, finished iteration 8
[2021-06-23 15:13:18.273913] INFO: StockRanker训练: 00:02:54.7767268, finished iteration 9
[2021-06-23 15:13:48.532999] INFO: StockRanker训练: 00:03:20.8744495, finished iteration 10
[2021-06-23 15:14:18.792271] INFO: StockRanker训练: 00:03:49.8965105, finished iteration 11
[2021-06-23 15:14:38.898356] INFO: StockRanker训练: 00:04:13.1027573, finished iteration 12
[2021-06-23 15:14:59.021937] INFO: StockRanker训练: 00:04:33.6229230, finished iteration 13
[2021-06-23 15:15:19.262166] INFO: StockRanker训练: 00:04:54.9080670, finished iteration 14
[2021-06-23 15:15:39.410506] INFO: StockRanker训练: 00:05:15.3037040, finished iteration 15
[2021-06-23 15:15:59.549595] INFO: StockRanker训练: 00:05:36.4758353, finished iteration 16
[2021-06-23 15:16:19.652484] INFO: StockRanker训练: 00:05:57.4294200, finished iteration 17
[2021-06-23 15:16:39.770189] INFO: StockRanker训练: 00:06:18.7776841, finished iteration 18
[2021-06-23 15:16:59.862998] INFO: StockRanker训练: 00:06:38.9177184, finished iteration 19
[2021-06-23 15:17:30.003942] INFO: StockRanker训练: 00:07:01.5450834, finished iteration 20
[2021-06-23 15:17:30.005355] INFO: StockRanker训练: 任务状态: Succeeded
[2021-06-23 15:17:30.224075] INFO: moduleinvoker: stock_ranker_train.v6 运行完成[481.64777s].
[2021-06-23 15:17:30.226493] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-06-23 15:17:30.246064] INFO: moduleinvoker: 命中缓存
[2021-06-23 15:17:30.248492] INFO: moduleinvoker: instruments.v2 运行完成[0.021981s].
[2021-06-23 15:17:30.257369] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-06-23 15:17:32.417042] INFO: 基础特征抽取: 年份 2020, 特征行数=243745
[2021-06-23 15:17:33.407187] INFO: 基础特征抽取: 年份 2021, 特征行数=86766
[2021-06-23 15:17:33.724238] INFO: 基础特征抽取: 总行数: 330511
[2021-06-23 15:17:33.738105] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[3.480735s].
[2021-06-23 15:17:33.742969] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-06-23 15:17:34.964300] INFO: derived_feature_extractor: 提取完成 avg_amount_0/avg_amount_5, 0.003s
[2021-06-23 15:17:34.967604] INFO: derived_feature_extractor: 提取完成 avg_amount_5/avg_amount_20, 0.002s
[2021-06-23 15:17:34.970339] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_0/rank_avg_amount_5, 0.002s
[2021-06-23 15:17:34.973085] INFO: derived_feature_extractor: 提取完成 rank_avg_amount_5/rank_avg_amount_10, 0.002s
[2021-06-23 15:17:34.975908] INFO: derived_feature_extractor: 提取完成 rank_return_0/rank_return_5, 0.002s
[2021-06-23 15:17:34.978362] INFO: derived_feature_extractor: 提取完成 rank_return_5/rank_return_10, 0.001s
[2021-06-23 15:17:35.899548] INFO: derived_feature_extractor: /y_2020, 243745
[2021-06-23 15:17:36.380527] INFO: derived_feature_extractor: /y_2021, 86766
[2021-06-23 15:17:36.506049] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[2.763078s].
[2021-06-23 15:17:36.625711] INFO: moduleinvoker: chinaa_stock_filter.v1 开始运行..
[2021-06-23 15:17:39.843531] INFO: A股股票过滤: 过滤 /y_2020, 231598/0/243745
[2021-06-23 15:17:41.092696] INFO: A股股票过滤: 过滤 /y_2021, 82570/0/86766
[2021-06-23 15:17:41.095248] INFO: A股股票过滤: 过滤完成, 314168 + 0
[2021-06-23 15:17:41.123078] INFO: moduleinvoker: chinaa_stock_filter.v1 运行完成[4.49739s].
[2021-06-23 15:17:41.126069] INFO: moduleinvoker: dropnan.v2 开始运行..
[2021-06-23 15:17:41.457681] INFO: dropnan: /y_2020, 228023/231598
[2021-06-23 15:17:41.585983] INFO: dropnan: /y_2021, 81706/82570
[2021-06-23 15:17:41.717886] INFO: dropnan: 行数: 309729/314168
[2021-06-23 15:17:41.727094] INFO: moduleinvoker: dropnan.v2 运行完成[0.601013s].
[2021-06-23 15:17:41.734235] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..
[2021-06-23 15:17:43.861473] INFO: StockRanker预测: /y_2020 ..
[2021-06-23 15:17:44.311569] INFO: StockRanker预测: /y_2021 ..
[2021-06-23 15:17:45.237103] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[3.502831s].
[2021-06-23 15:17:47.040359] INFO: moduleinvoker: backtest.v8 开始运行..
[2021-06-23 15:17:47.051578] INFO: backtest: biglearning backtest:V8.5.0
[2021-06-23 15:17:47.053374] INFO: backtest: product_type:stock by specified
[2021-06-23 15:17:47.304030] INFO: moduleinvoker: cached.v2 开始运行..
[2021-06-23 15:17:53.872024] INFO: backtest: 读取股票行情完成:1118928
[2021-06-23 15:17:56.315525] INFO: moduleinvoker: cached.v2 运行完成[9.011492s].
[2021-06-23 15:17:57.932055] INFO: algo: TradingAlgorithm V1.8.3
[2021-06-23 15:17:58.342110] INFO: algo: trading transform...
[2021-06-23 15:17:59.092889] INFO: Performance: Simulated 21 trading days out of 21.
[2021-06-23 15:17:59.094616] INFO: Performance: first open: 2021-01-04 09:30:00+00:00
[2021-06-23 15:17:59.095577] INFO: Performance: last close: 2021-02-01 15:00:00+00:00
[2021-06-23 15:18:03.072196] INFO: moduleinvoker: backtest.v8 运行完成[16.031867s].
[2021-06-23 15:18:03.073741] INFO: moduleinvoker: trade.v4 运行完成[17.82947s].
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-5946c4139ae14f4ca40738fc03c1e44e"}/bigcharts-data-end
2021-01-04买入600131.SHA, 100000.0
2021-01-04买入300916.SZA, 100000.0
2021-01-04买入300650.SZA, 100000.0
2021-01-04买入603815.SHA, 100000.0
2021-01-04买入002765.SZA, 100000.0
2021-01-04买入300318.SZA, 100000.0
2021-01-04买入300668.SZA, 100000.0
2021-01-04买入003018.SZA, 100000.0
2021-01-04买入300276.SZA, 100000.0
2021-01-04买入003015.SZA, 100000.0
今日 2021-01-05 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-05, 300916.SZA
卖出 ------ 2021-01-05, 003015.SZA
2021-01-05买入600890.SHA, 2113.390952913149
2021-01-05买入300135.SZA, 2113.390952913149
今日 2021-01-06 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-06, 002765.SZA
卖出 ------ 2021-01-06, 603815.SHA
2021-01-06买入002168.SZA, 96766.6825601079
2021-01-06买入002213.SZA, 96766.6825601079
今日 2021-01-07 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-07, 600131.SHA
卖出 ------ 2021-01-07, 003018.SZA
2021-01-07买入002659.SZA, 93539.62367183868
2021-01-07买入300514.SZA, 93539.62367183868
今日 2021-01-08 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-08, 002659.SZA
卖出 ------ 2021-01-08, 300650.SZA
2021-01-08买入603655.SHA, 94831.0219647823
2021-01-08买入000638.SZA, 94831.0219647823
今日 2021-01-11 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-11, 600890.SHA
卖出 ------ 2021-01-11, 002213.SZA
2021-01-11买入300807.SZA, 91040.62886454645
2021-01-11买入300819.SZA, 91040.62886454645
今日 2021-01-12 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-12, 300276.SZA
卖出 ------ 2021-01-12, 002168.SZA
2021-01-12买入300781.SZA, 56421.36731458281
2021-01-12买入688222.SHA, 56421.36731458281
今日 2021-01-13 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-13, 300819.SZA
卖出 ------ 2021-01-13, 300135.SZA
2021-01-13买入300809.SZA, 86478.71000365482
2021-01-13买入300491.SZA, 86478.71000365482
今日 2021-01-14 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-14, 300318.SZA
卖出 ------ 2021-01-14, 300668.SZA
2021-01-14买入300727.SZA, 42972.35218785651
2021-01-14买入603090.SHA, 42972.35218785651
今日 2021-01-15 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-15, 300781.SZA
卖出 ------ 2021-01-15, 603655.SHA
2021-01-15买入600766.SHA, 85753.23279138125
2021-01-15买入605358.SHA, 85753.23279138125
今日 2021-01-18 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-18, 300491.SZA
卖出 ------ 2021-01-18, 688222.SHA
2021-01-18买入603222.SHA, 80711.95373566641
2021-01-18买入600318.SHA, 80711.95373566641
今日 2021-01-19 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-19, 300727.SZA
卖出 ------ 2021-01-19, 605358.SHA
2021-01-19买入600418.SHA, 79976.4952075766
2021-01-19买入300589.SZA, 79976.4952075766
今日 2021-01-20 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-20, 600318.SHA
卖出 ------ 2021-01-20, 000638.SZA
2021-01-20买入603617.SHA, 70397.30687714968
2021-01-20买入688488.SHA, 70397.30687714968
今日 2021-01-21 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-21, 300589.SZA
卖出 ------ 2021-01-21, 600418.SHA
2021-01-21买入603909.SHA, 85491.14229008491
2021-01-21买入300598.SZA, 85491.14229008491
今日 2021-01-22 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-22, 603617.SHA
卖出 ------ 2021-01-22, 603222.SHA
2021-01-22买入000813.SZA, 79529.82965174667
2021-01-22买入600158.SHA, 79529.82965174667
今日 2021-01-25 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-25, 603909.SHA
卖出 ------ 2021-01-25, 600766.SHA
2021-01-25买入000863.SZA, 70281.77422442229
2021-01-25买入300292.SZA, 70281.77422442229
今日 2021-01-26 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-26, 300809.SZA
卖出 ------ 2021-01-26, 000863.SZA
2021-01-26买入300824.SZA, 85874.68559659598
2021-01-26买入002125.SZA, 85874.68559659598
今日 2021-01-27 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-27, 603090.SHA
卖出 ------ 2021-01-27, 600158.SHA
2021-01-27买入300722.SZA, 82864.4529358226
2021-01-27买入600616.SHA, 82864.4529358226
今日 2021-01-28 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-28, 300824.SZA
卖出 ------ 2021-01-28, 002125.SZA
2021-01-28买入300645.SZA, 60896.56808169733
2021-01-28买入603976.SHA, 60896.56808169733
今日 2021-01-29 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-01-29, 000813.SZA
卖出 ------ 2021-01-29, 688488.SHA
2021-01-29买入600333.SHA, 81233.25258655881
2021-01-29买入300223.SZA, 81233.25258655881
今日 2021-02-01 卖出 2 只 >>>>>>> 10, 2
卖出 ------ 2021-02-01, 300645.SZA
卖出 ------ 2021-02-01, 600333.SHA
2021-02-01买入002239.SZA, 76288.82851330709
2021-02-01买入600316.SHA, 76288.82851330709
- 收益率-10.7%
- 年化收益率-74.29%
- 基准收益率3.96%
- 阿尔法-0.7
- 贝塔-0.23
- 夏普比率-3.31
- 胜率0.32
- 盈亏比1.1
- 收益波动率39.55%
- 信息比率-0.23
- 最大回撤13.43%
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-05fc5b72b9a24db389c35aab0e56215b"}/bigcharts-data-end