没有返回历史数据，请检查资产和时间范围，该怎么修改？帮帮孩子吧

由bqh35n1p创建，最终由bqh35n1p更新于2024-12-28 14:21 被浏览 3 用户

from bigmodule import M
from bigquant import *
import dai
import pandas as pd
import numpy as np
# 交易引擎：初始化函数，只执行一次
def initialize(context):
    from bigtrader.finance.commission import PerOrder
    # 设置手续费
    context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))  
    context.ins = context.instruments 

def handle_data(context, data):
    from datetime import datetime
    dt = data.current_dt.strftime('%Y-%m-%d')

    # 获取历史数据（以 DataFrame 形式）
    historical_data = data.history(context.ins[0], ['close'], 50, '1m')
    
    # 检查历史数据
    if historical_data is None or len(historical_data) == 0:
        raise ValueError("没有返回历史数据，请检查资产和时间范围")
    # 确保有足够的数据
    if len(historical_data) >= 68:  # 68日最高价需要的最小数据量
        # 计算最近50日最低价
        historical_data['lowest_50'] = historical_data['close'].rolling(window=50).min()

        # 计算最近68日最高价
        historical_data['highest_68'] = historical_data['close'].rolling(window=68).max()

        # 计算自定义5日EMA
        historical_data['custom_ema'] = ((historical_data['close'] - historical_data['lowest_50']) /
                                           (4 * (historical_data['highest_68'] - historical_data['lowest_50']))).ewm(span=5, adjust=False).mean()

        # 处理可能的 NaN 值
        historical_data['custom_ema'].fillna(method='bfill', inplace=True)

        # 获取当前收盘价和最后计算的QS值
        close_price = historical_data['close'].iloc[-1]
        qs = historical_data['custom_ema'].iloc[-1]

        # 调试输出
        print(dt, '当前QS值:', qs)
        print(historical_data[['close', 'lowest_50', 'highest_68', 'custom_ema']].tail())

        # 获取当前持仓情况
        positions = context.get_account_positions()
        print(dt, '当前持仓:', positions)

        # 根据QS指标进行交易
        if qs < 0.3 and context.ins[0] not in positions:  # QS指标低于0.3时买入
            stock = context.ins[0]
            context.order_target_percent(stock, 1.0)  # 全仓买入
            print(dt, '买入信号，QS:', qs, '持仓百分比为100%')

        elif qs > 3.5 and context.ins[0] in positions:  # QS指标高于3.5时卖出
            if positions[context.ins[0]].avail_qty > 0: 
                stock = context.ins[0]
                context.order_target_percent(stock, 0)  # 卖出所有持仓
                print(dt, '卖出信号，QS:', qs, '持仓百分比为0%')
    else:
        print(dt, '数据不足，无法计算指标。')


# 回测配置
data = {
    "start_date": '2024-01-01', 
    'end_date': '2024-5-08', 
    'market': 'cn_stock',
    'instruments': ['600839.SH']  # 请替换为您的股票代码
}

m3 = M.bigtrader.v30(
    data=data, 
    initialize=initialize,
    handle_data=handle_data,
    capital_base=500000,
    frequency="""1m""",
    product_type="""股票""",
    rebalance_period_type="""交易日""",
    rebalance_period_days="""1""",
    rebalance_period_roll_forward=True,
    backtest_engine_mode="""标准模式""",
    before_start_days=0,
    volume_limit=1,
    order_price_field_buy="""open""",
    order_price_field_sell="""open""",
    benchmark="""沪深300指数""",
    plot_charts=True
)


ValueError: 没有返回历史数据，请检查资产和时间范围

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