量化投资 — 配对交易策略 （Pair Trading）

配对交易策略 Pair Trading

0. 引库

import pandas as pd
import numpy as np
import tushare as ts
import seaborn
from matplotlib import pyplot as plt
plt.style.use('seaborn')
%matplotlib inline

data = pd.read_csv('pair-trade-data.csv')
data.set_index('date',inplace = True)
data.head()

	000568	000858
date
2010/1/4	27.488118	26.117536
2010/1/5	27.335123	26.391583
2010/1/6	26.941707	25.694008
2010/1/7	26.388011	24.913389
2010/1/8	26.825140	24.863562

data.plot(figsize=(8, 6));

2. 策略开发思路

# 价差是回归的（不科学想法）
data['priceDelta'] = data['000568'] - data['000858']
data.head()

	000568	000858	priceDelta
date
2010/1/4	27.488118	26.117536	1.370582
2010/1/5	27.335123	26.391583	0.943540
2010/1/6	26.941707	25.694008	1.247699
2010/1/7	26.388011	24.913389	1.474622
2010/1/8	26.825140	24.863562	1.961578

# 图示价差及其均值
data['priceDelta'].plot(figsize=(8, 6));
plt.ylabel('Spread')
plt.axhline(data['priceDelta'].mean());

# 对价差进行标准化
data['zscore'] = (data['priceDelta'] - np.mean(data['priceDelta']))/np.std(data['priceDelta'])
data.head()

	000568	000858	priceDelta	zscore
date
2010/1/4	27.488118	26.117536	1.370582	0.569895
2010/1/5	27.335123	26.391583	0.943540	0.500520
2010/1/6	26.941707	25.694008	1.247699	0.549932
2010/1/7	26.388011	24.913389	1.474622	0.586796
2010/1/8	26.825140	24.863562	1.961578	0.665903

len(data[data['zscore'] > 1.5])

17

# 'position_1'是000568开平仓信号
data['position_1'] = np.where(data['zscore'] > 1.5, -1, np.nan)
data['position_1'] = np.where(data['zscore'] < -1.5, 1, data['position_1'])
data['position_1'] = np.where(abs(data['zscore']) < 0.5, 0, data['position_1'])

data.head()

	000568	000858	priceDelta	zscore	position_1
date
2010/1/4	27.488118	26.117536	1.370582	0.569895	NaN
2010/1/5	27.335123	26.391583	0.943540	0.500520	NaN
2010/1/6	26.941707	25.694008	1.247699	0.549932	NaN
2010/1/7	26.388011	24.913389	1.474622	0.586796	NaN
2010/1/8	26.825140	24.863562	1.961578	0.665903	NaN

产生交易信号

data['position_1'] = data['position_1'].ffill().fillna(0)

data['position_1'].plot(ylim=[-1.1, 1.1], figsize=(10, 6));

# 'position_2'是000858开平仓信号（与000568符号相反）
data['position_2'] = -np.sign(data['position_1'])
data['position_2'].plot(ylim=[-1.1, 1.1], figsize=(10, 6));

3. 计算策略年化收益并可视化

data['returns_1'] = (np.log(data['000568'] / data['000568'].shift(1))).fillna(0)
data