同花顺Supermind量化交易 经典量化策略基础-动量策略与均值回归策略

我们的基础策略教程首先教授动量策略与均值回归策略。接下来我们将为大家展示相应策略的策略逻辑，策略信号以及策略表现等

基础策略教程

作者：邱吉尔

一、动量策略

1.导入库包

In [1]:

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

2.获取数据

In [2]:

data = get_price(['000001.SZ'], '20150101', '20170101', '1d', ['close'])['000001.SZ']
data.rename(columns={'close':'price'},inplace=True)
data.head()

Out[2]:

	price
2015-01-05	10.88
2015-01-06	10.72
2015-01-07	10.51
2015-01-08	10.14
2015-01-09	10.22

3.策略逻辑

In [3]:

data['return']=np.log(data['price']/data['price'].shift(1))
data['position']=np.sign(data['return'])
data['strategy']=data['position'].shift(1)*data['return']
data.head()

Out[3]:

	price	return	position	strategy
2015-01-05	10.88	NaN	NaN	NaN
2015-01-06	10.72	-0.014815	-1.0	NaN
2015-01-07	10.51	-0.019784	-1.0	0.019784
2015-01-08	10.14	-0.035839	-1.0	0.035839
2015-01-09	10.22	0.007859	1.0	-0.007859

4.策略表现可视化

In [4]:

data[['return','strategy']].cumsum().apply(np.exp).plot(figsize=(10,8))

Out[4]:

<matplotlib.axes._subplots.AxesSubplot at 0x7f003b733d30>

5.基于10天的收益的动量信号

In [5]:

data['position_10']=np.sign(data['return'].rolling(10).mean())
data['strategy_10']=data['position_10'].shift(1)*data['return']
data[['return','strategy_10']].cumsum().apply(np.exp).plot(figsize=(10,8))

Out[5]:

<matplotlib.axes._subplots.AxesSubplot at 0x7f008a3f0320>

6.基于不同天数的动量策略展示

In [6]:

data = get_price(['000001.SZ'], '20150101', '20170101', '1d', ['close'])['000001.SZ']
data.rename(columns={'close':'price'},inplace=True)
data['return']=np.log(data['price']/data['price'].shift(1))
data['return_cum'] = (data['return']+1).cumprod()

price_plot = ['return_cum']

for days in [5,10,20,50]:
    price_plot.append('sty_cumr_%dd' % days)
    data['position_%dd' % days] = np.sign(data['return'].rolling(days).mean())
    data['strategy_%dd' % days] = data['position_%dd' % days].shift(1) * data['return']
    data['sty_cumr_%dd' % days] = (data['strategy_%dd' % days]+1).cumprod()
data.dropna(inplace=True)
data.head()

Out[6]:

	price	return	return_cum	position_5d	strategy_5d	sty_cumr_5d	position_10d	strategy_10d	sty_cumr_10d	position_20d	strategy_20d	sty_cumr_20d	position_50d	strategy_50d	sty_cumr_50d
2015-03-24	10.42	-0.004787	0.942549	-1.0	-0.004787	0.850773	1.0	-0.004787	0.953402	1.0	-0.004787	1.009770	-1.0	0.004787	1.004787
2015-03-25	10.11	-0.030202	0.914082	-1.0	0.030202	0.876468	1.0	-0.030202	0.924607	1.0	-0.030202	0.979273	-1.0	0.030202	1.035134
2015-03-26	10.25	0.013753	0.926653	-1.0	-0.013753	0.864414	1.0	0.013753	0.937323	1.0	0.013753	0.992741	1.0	-0.013753	1.020898
2015-03-27	10.22	-0.002931	0.923937	-1.0	0.002931	0.866948	1.0	-0.002931	0.934576	1.0	-0.002931	0.989831	-1.0	-0.002931	1.017905
2015-03-30	10.63	0.039334	0.960279	1.0	-0.039334	0.832848	1.0	0.039334	0.971336	1.0	0.039334	1.028765	1.0	-0.039334	0.977867

In [7]:

data[price_plot].plot(figsize=(10,8))

Out[7]:

<matplotlib.axes._subplots.AxesSubplot at 0x7f008a428e80>

二、均值回归策略

1.获取数据

In [8]:

data2 = get_price(['000002.SZ'], '20160101', '20180101', '1d', ['close'])['000002.SZ']
data2.rename(columns={'close':'price'},inplace=True)
data2.head()

Out[8]:

	price
2016-01-04	22.92
2016-01-05	22.92
2016-01-06	22.92
2016-01-07	22.92
2016-01-08	22.92

2.策略逻辑

In [9]:

days=50
data2['return'] = np.log(data2['price'] / data2['price'].shift(1))
data2['price_sma_%dd'%days]=data2['price'].rolling(days).mean()           #使用50天作为移动平均值
data2['distance']=data2['price']-data2['price_sma_%dd'%days]

In [10]:

threshold=data2['distance'].std()       #标准差作通道
#print(threshold)

In [11]:

data2['distance'].plot(figsize=(8,6),legend=True)
plt.axhline(threshold*1, color='r')
plt.axhline(-threshold*1, color='r')
plt.axhline(0, color='r')

Out[11]:

<matplotlib.lines.Line2D at 0x7f008a42f400>

策略逻辑：
1.当距离高于一倍标准差，则做空
2.当距离低于负一倍标准差，则做多
3.当出现价格与移动平均价格交叉时，则仓位归0

In [12]:

data2['position'] = np.where(data2['distance'] > threshold, -1, np.nan)  
data2['position'] = np.where(data2['distance'] < -threshold, 1, data2['position'])
data2['position'] = np.where(data2['distance'] *data2['distance'].shift(1) < 0, 0, data2['position'])
data2['position'] = data2['position'].ffill().fillna(0)

3.策略信号

In [13]:

data2['position'][days:].plot(ylim=[-1.1,1.1],figsize=(10,8))

Out[13]:

<matplotlib.axes._subplots.AxesSubplot at 0x7f008a4bdba8>

4.策略展示

In [14]:

data2['strategy']=data2['position'].shift(1)*data2['return']
data2[['return','strategy']].cumsum().apply(np.exp).plot(figsize=(10,8))

Out[14]:

<matplotlib.axes._subplots.AxesSubplot at 0x7f008a3d5898>

查看以上策略详细请 到 supermind量化交易官网查看：经典量化策略基础-动量策略与均值回归策略