量化投资 — 简单均值回归策略（Mean Reverting Strategy）

均值回归_Mean Reverting Strategy

0. 引库

%matplotlib inline
import matplotlib.pyplot as plt
import seaborn
plt.style.use('seaborn')
import matplotlib as mpl
mpl.rcParams['font.family'] = 'serif'
import warnings; warnings.simplefilter('ignore')    # 忽略警告信息

import numpy as np
import pandas as pd
import tushare as ts

1. 数据准备 & 回测准备

data = ts.get_k_data('hs300', start = '2010-01-01', end='2016-06-30')[['date','close']]
data.rename(columns={'close': 'price'}, inplace=True)
data.set_index('date', inplace = True)

data['price'].plot(figsize = (10,8));

data.head()

	price
date
2010-01-04	3535.229
2010-01-05	3564.038
2010-01-06	3541.727
2010-01-07	3471.456
2010-01-08	3480.130

2. 策略开发思路

data['returns'] = np.log(data['price'] / data['price'].shift(1))
SMA = 50
data['SMA'] = data['price'].rolling(SMA).mean()

data.tail()

	price	returns	SMA
date
2016-06-24	3077.16	-0.012967	3135.5614
2016-06-27	3120.54	0.013999	3132.7446
2016-06-28	3136.40	0.005070	3129.9560
2016-06-29	3151.39	0.004768	3127.5396
2016-06-30	3153.92	0.000802	3126.0490

# 阈值
threshold = 250
data['distance'] = data['price'] - data['SMA']
data['distance'].dropna().plot(figsize=(10, 6), legend=True);
plt.axhline(threshold, color='r');
plt.axhline(-threshold, color='r');
plt.axhline(0, color='r');     

data['position'] = np.where(data['distance'] > threshold, -1, np.nan)
data['position'] = np.where(data['distance'] < -threshold, 1, data['position'])
data['position'] = np.where(data['distance'] * data['distance'].shift(1) < 0, 0, data['position'])
data['position'] = data['position'].ffill().fillna(0)

data['position'].ix[SMA:].plot(ylim=[-1.1, 1.1], figsize=(10, 6));

3. 计算策略年化收益并可视化

data['strategy'] = data['position'].shift(1) * data['returns']
data[['returns', 'strategy']].dropna().cumsum().apply(np.exp).plot(figsize=(10, 6));

# 计算年化收益
data[['returns', 'strategy']].mean() * 252

returns    -0.018261
strategy   -0.080739
dtype: float64

策略思想总结

均值回归策略应用了股市投资中经典的高抛低吸思想，该类策略一般在震荡市中表现优异；但在单边趋势行情中一般表现糟糕，往往会大幅跑输市场