在bigquant的主页有这么一个代码,使用的是机器学习,止盈止损大盘风控。从回测来看效果不错,但实际上很不一定。
粘贴在这里,方便以后学习。
学习特征列表包括下面的几项,多数是技术面,只有一个基本面
return_5
return_10
return_20
avg_amount_0/avg_amount_5
avg_amount_5/avg_amount_20
rank_avg_amount_0/rank_avg_amount_5
rank_avg_amount_5/rank_avg_amount_10
rank_return_0
rank_return_5
rank_return_10
rank_return_0/rank_return_5
rank_return_5/rank_return_10
pe_ttm_0
# 本代码由可视化策略环境自动生成 2019年5月6日 20:12
# 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:每日数据处理函数,每天执行一次
def m4_handle_data_bigquant_run(context, data):
#获取当日日期
today_date = data.current_dt.strftime('%Y-%m-%d')
#大盘风控模块,读取风控数据
benckmark_risk=context.benckmark_risk.ix[today_date].values[0]
#当risk为1时,市场有风险,全部平仓,不再执行其它操作
if benckmark_risk > 0:
position_all = context.portfolio.positions.keys()
for i in position_all:
context.order_target(i, 0)
print(today_date,'大盘风控止损触发,全仓卖出')
return
# 按日期过滤得到今日的预测数据
ranker_prediction = context.ranker_prediction[
context.ranker_prediction.date == data.current_dt.strftime('%Y-%m-%d')]
# 1. 资金分配
# 平均持仓时间是hold_days,每日都将买入股票,每日预期使用 1/hold_days 的资金
# 实际操作中,会存在一定的买入误差,所以在前hold_days天,等量使用资金;之后,尽量使用剩余资金(这里设置最多用等量的1.5倍)
is_staging = context.trading_day_index < context.options['hold_days'] # 是否在建仓期间(前 hold_days 天)
cash_avg = context.portfolio.portfolio_value / context.options['hold_days']
cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg)
cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy)
positions = {e.symbol: p.amount * p.last_sale_price
for e, p in context.perf_tracker.position_tracker.positions.items()}
#---------------------------START:止赢止损模块(含建仓期)--------------------
# 新建当日止赢止损股票列表是为了handle_data 策略逻辑部分不再对该股票进行判断
current_stopwin_stock=[]
current_stoploss_stock = []
today_date = data.current_dt.strftime('%Y-%m-%d')
positions_stop={e.symbol:p.cost_basis
for e,p in context.portfolio.positions.items()}
if len(positions_stop)>0:
for i in positions_stop.keys():
stock_cost=positions_stop[i]
stock_market_price=data.current(context.symbol(i),'price')
# 赚3元且为可交易状态就止盈
if stock_market_price-stock_cost-1>3 and data.can_trade(context.symbol(i)) and not context.has_unfinished_sell_order(i):
context.order_target_percent(context.symbol(i),0)
current_stopwin_stock.append(i)
# 亏10%并且为可交易状态就止损
if stock_market_price/stock_cost-1 <= -0.1 and data.can_trade(context.symbol(i)) and not context.has_unfinished_sell_order(i):
context.order_target_percent(context.symbol(i),0)
current_stoploss_stock.append(i)
if len(current_stopwin_stock)>0:
print(today_date,'止盈股票列表',current_stopwin_stock)
if len(current_stoploss_stock)>0:
print(today_date,'止损股票列表',current_stoploss_stock)
#--------------------------END: 止赢止损模块-----------------------------
#--------------------------START:持有固定天数卖出(不含建仓期)---------------
current_stopdays_stock = []
today = data.current_dt
today_date = data.current_dt.strftime('%Y-%m-%d')
# 不是建仓期(在前hold_days属于建仓期)
if not is_staging:
equities = {e.symbol: p for e, p in context.portfolio.positions.items() if p.amount>0}
if len(equities)>0:
for i in equities:
sid = equities[i].sid # 交易标的
#如果上面的止盈止损已经卖出过了,就不要重复卖出以防止产生空单
if i in current_stopwin_stock+current_stoploss_stock:
continue
# 今天和上次交易的时间相隔hold_days就全部卖出 datetime.timedelta(context.options['hold_days'])也可以换成自己需要的天数,比如datetime.timedelta(5)
if today-equities[i].last_sale_date>=datetime.timedelta(5) and data.can_trade(context.symbol(i)) and not context.has_unfinished_sell_order(equities[i]):
context.order_target_percent(sid, 0)
current_stopdays_stock.append(i)
if len(current_stopdays_stock)>0:
print(today_date,'固定天数卖出列表',current_stopdays_stock)
#-------------------------------END:持有固定天数卖出--------------------------
# 2. 生成卖出订单:hold_days天之后才开始卖出;对持仓的股票,按机器学习算法预测的排序末位淘汰
if not is_staging and cash_for_sell > 0:
equities = {e.symbol: e for e, p in context.perf_tracker.position_tracker.positions.items()}
instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply(
lambda x: x in equities and not context.has_unfinished_sell_order(equities[x]))])))
for instrument in instruments:
#防止多个止损条件同时满足,出现多次卖出产生空单
if instrument not in current_stopdays_stock+current_stopwin_stock+current_stoploss_stock:
context.order_target(context.symbol(instrument), 0)
cash_for_sell -= positions[instrument]
else:
cash_for_sell -= positions[instrument]
if cash_for_sell <= 0:
break
# 3. 生成买入订单:按机器学习算法预测的排序,买入前面的stock_count只股票
buy_cash_weights = context.stock_weights
buy_instruments_tmp = list(ranker_prediction.instrument)
#防止卖出后再次买入
buy_instruments=[k for k in buy_instruments_tmp if k not in current_stopdays_stock+current_stopwin_stock+current_stoploss_stock][:len(buy_cash_weights)]
max_cash_per_instrument = context.portfolio.portfolio_value * context.max_cash_per_instrument
for i, instrument in enumerate(buy_instruments):
cash = cash_for_buy * buy_cash_weights[i]
if cash > max_cash_per_instrument - positions.get(instrument, 0):
# 确保股票持仓量不会超过每次股票最大的占用资金量
cash = max_cash_per_instrument - positions.get(instrument, 0)
if cash > 0:
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):
#在数据准备函数中一次性计算每日的大盘风控条件相比于在handle中每日计算风控条件可以提高回测速度
# 多取50天的数据便于计算均值(保证回测的第一天均值不为Nan值),其中context.start_date和context.end_date是回测指定的起始时间和终止时间
start_date= (pd.to_datetime(context.start_date) - datetime.timedelta(days=50)).strftime('%Y-%m-%d')
benckmark_data=D.history_data(instruments=['000001.SZA'], start_date=start_date, end_date=context.end_date,fields=['close'])
#计算指数5日涨幅
benckmark_data['ret5']=benckmark_data['close']/benckmark_data['close'].shift(5)-1
#计算大盘风控条件,如果5日涨幅小于-5%则设置风险状态risk为1,否则为0
benckmark_data['risk'] = np.where(benckmark_data['ret5']<-0.04,1,0)
#修改日期格式为字符串(便于在handle中使用字符串日期索引来查看每日的风险状态)
benckmark_data['date']=benckmark_data['date'].apply(lambda x:x.strftime('%Y-%m-%d'))
#设置日期为索引
benckmark_data.set_index('date',inplace=True)
#把风控序列输出给全局变量context.benckmark_risk
context.benckmark_risk=benckmark_data[['risk']]
# 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=0.0003, sell_cost=0.0013, min_cost=5))
# 预测数据,通过options传入进来,使用 read_df 函数,加载到内存 (DataFrame)
# 设置买入的股票数量,这里买入预测股票列表排名靠前的5只
stock_count = 5
# 每只的股票的权重,如下的权重分配会使得靠前的股票分配多一点的资金,[0.339160, 0.213986, 0.169580, ..]
#context.stock_weights = T.norm([1 / math.log(i + 2) for i in range(0, stock_count)])
#改为等权重配置
context.stock_weights = [1 / stock_count for i in range(0, stock_count)]
# 设置每只股票占用的最大资金比例
context.max_cash_per_instrument = 0.2
context.options['hold_days'] = 5
m1 = M.instruments.v2(
start_date='2010-01-01',
end_date='2015-01-01',
market='CN_STOCK_A',
instrument_list='',
max_count=0
)
m2 = M.advanced_auto_labeler.v2(
instruments=m1.data,
label_expr="""# #号开始的表示注释
# 0. 每行一个,顺序执行,从第二个开始,可以使用label字段
# 1. 可用数据字段见 https://bigquant.com/docs/data_history_data.html
# 添加benchmark_前缀,可使用对应的benchmark数据
# 2. 可用操作符和函数见 `表达式引擎 <https://bigquant.com/docs/big_expr.html>`_
# 计算收益:5日收盘价(作为卖出价格)除以明日开盘价(作为买入价格)
shift(close, -5) / shift(open, -1)
# 极值处理:用1%和99%分位的值做clip
clip(label, all_quantile(label, 0.01), all_quantile(label, 0.99))
# 将分数映射到分类,这里使用20个分类
all_wbins(label, 20)
# 过滤掉一字涨停的情况 (设置label为NaN,在后续处理和训练中会忽略NaN的label)
where(shift(high, -1) == shift(low, -1), NaN, label)
""",
start_date='',
end_date='',
benchmark='000300.SHA',
drop_na_label=True,
cast_label_int=True
)
m3 = M.input_features.v1(
features="""# #号开始的表示注释
# 多个特征,每行一个,可以包含基础特征和衍生特征
return_5
return_10
return_20
avg_amount_0/avg_amount_5
avg_amount_5/avg_amount_20
rank_avg_amount_0/rank_avg_amount_5
rank_avg_amount_5/rank_avg_amount_10
rank_return_0
rank_return_5
rank_return_10
rank_return_0/rank_return_5
rank_return_5/rank_return_10
pe_ttm_0
"""
)
m15 = M.general_feature_extractor.v7(
instruments=m1.data,
features=m3.data,
start_date='',
end_date='',
before_start_days=0
)
m16 = M.derived_feature_extractor.v3(
input_data=m15.data,
features=m3.data,
date_col='date',
instrument_col='instrument',
drop_na=False,
remove_extra_columns=False
)
m7 = M.join.v3(
data1=m2.data,
data2=m16.data,
on='date,instrument',
how='inner',
sort=False
)
m13 = M.dropnan.v1(
input_data=m7.data
)
m6 = M.stock_ranker_train.v5(
training_ds=m13.data,
features=m3.data,
learning_algorithm='排序',
number_of_leaves=30,
minimum_docs_per_leaf=1000,
number_of_trees=20,
learning_rate=0.1,
max_bins=1023,
feature_fraction=1,
m_lazy_run=False
)
m9 = M.instruments.v2(
start_date=T.live_run_param('trading_date', '2015-01-01'),
end_date=T.live_run_param('trading_date', '2017-01-01'),
market='CN_STOCK_A',
instrument_list='',
max_count=0
)
m17 = M.general_feature_extractor.v7(
instruments=m9.data,
features=m3.data,
start_date='',
end_date='',
before_start_days=0
)
m18 = M.derived_feature_extractor.v3(
input_data=m17.data,
features=m3.data,
date_col='date',
instrument_col='instrument',
drop_na=False,
remove_extra_columns=False
)
m14 = M.dropnan.v1(
input_data=m18.data
)
m8 = M.stock_ranker_predict.v5(
model=m6.model,
data=m14.data,
m_lazy_run=False
)
m4 = M.trade.v4(
instruments=m9.data,
options_data=m8.predictions,
start_date='',
end_date='',
handle_data=m4_handle_data_bigquant_run,
prepare=m4_prepare_bigquant_run,
initialize=m4_initialize_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='000300.SHA'
)