同花顺Supermind量化交易运用SVM算法“打板”--打板研究

最新推荐文章于 2024-12-25 12:44:25 发布

Supermind量化

最新推荐文章于 2024-12-25 12:44:25 发布

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文章标签：算法支持向量机机器学习

本文链接：https://blog.csdn.net/qq_22808537/article/details/132791545

版权

本课程探讨股票涨跌停板机制，通过分类股票涨停情况并分析其收益，运用支持向量机（SVM）算法进行量化交易策略的研究，旨在实现高效‘打板’操作。

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课程简介：介绍股票涨跌停板机制，对股票涨停进行分类，并研究股票涨停后的收益情况，最终采用SVM算法进行“打板”研究。

#开始时间
startdate = '20140101'
#结束时间
enddate = '20190227'
#全市场股票获取
stock = list(get_all_securities('stock',enddate).index)
#数据获取
data = get_price(stock,startdate,enddate,'1d',['close','low','open','high'],True,'pre',is_panel=1)
close = data['close']
low = data['low']
opens = data['open']

In [2]:

#最低价非涨停价
limit_down = close-low
limit_down = limit_down[limit_down!=0]

#开盘价为涨停价
limit_open = round(close.shift()*1.1,2)-opens
limit_open = limit_open[limit_open==0]

#开板
df = limit_open+limit_down
df = df.T

non_limit = {}
num = 0
for s in list(df.columns):
    day = s.strftime('%Y-%m-%d')
    dt = df[s]
    dt = list(dt[dt>0].index)
    if len(dt)>0:
        num +=len(dt)
        non_limit[day]=dt
    else:
        pass
non_limit
print('开板数:{}'.format(num))

limitdt = {}
num = 0
tradeday = list(get_trade_days(startdate, '20200202', count=None).strftime('%Y-%m-%d'))
for d in tradeday:
    print(tradeday.index(d),len(tradeday))
    if d in list(non_limit.keys()):
        day = tradeday[tradeday.index(d)+1]
        stockdata = get_price(non_limit[d],None,day,'1m',['open','high','close','low'],True,'pre',bar_count=241,is_panel=1)
        pc = stockdata['close'].iloc[0]
        highlimit = round(pc*1.1,2)
        
        c = stockdata['close'].iloc[-240:]
        h = stockdata['high'].iloc[-240:]
        l = stockdata['low'].iloc[-240:]
        
        for t in list(range(1,240)):
            p1 = h.iloc[t]-highlimit
            p1 = list(p1[p1==0].index)
            p2 = c.iloc[t-1]-highlimit
            p2 = list(p2[p2<0].index)
            
            stock = list((set(p1)&set(p2)))
            if d in list(limitdt.keys()):
                limitdt[d] = list(set(limitdt[d]+stock))
            else:
                limitdt[d] = list(stock)        
limitdt

Out[2]:

{'2014-01-03': ['600010.SH'],
 '2014-01-16': ['000767.SZ'],
 '2014-01-27': [],
 '2014-02-12': ['000971.SZ'],
 '2014-02-17': [],
 '2014-02-19': [],
 '2014-02-21': ['603003.SH', '000554.SZ'],
 '2014-02-27': [],
 '2014-02-28': ['600680.SH'],
 '2014-03-05': [],
 '2014-03-10': ['300116.SZ'],
 '2014-03-11': [],
 '2014-03-13': ['000923.SZ'],
 '2014-03-20': [],
 '2014-03-21': [],
 '2014-03-24': [],
 '2014-03-25': [],
 '2014-03-27': ['000687.SZ'],
 '2014-04-01': [],
 '2014-04-03': ['000918.SZ'],
 '2014-04-09': [],
 '2014-04-10': ['300278.SZ'],
 '2014-04-17': [],
 '2014-04-22': [],
 '2014-04-30': ['601001.SH'],
 '2014-05-13': [],
 '2014-05-14': [],
 '2014-05-21': ['002660.SZ'],
 '2014-05-28': [],
 '2014-06-04': ['600601.SH'],
 '2014-06-05': ['600074.SH'],
 '2014-06-06': ['002535.SZ'],
 '2014-06-11': [],
 '2014-06-16': ['300198.SZ'],
 '2014-06-25': [],
 '2014-06-30': ['002093.SZ'],
 '2014-07-02': ['300288.SZ'],
 '2014-07-04': ['002070.SZ'],
 '2014-07-07': ['600568.SH'],
 '2014-07-08': ['600435.SH'],
 '2014-07-11': ['300166.SZ', '002629.SZ'],
 '2014-07-16': ['000868.SZ'],
 '2014-07-17': [],
 '2014-07-23': [],
 '2014-07-24': [],
 '2014-07-25': ['600319.SH'],
 '2014-07-28': ['600157.SH'],
 '2014-08-04': [],
 '2014-08-06': [],
 '2014-08-07': ['600556.SH'],
 '2014-08-08': [],
 '2014-08-11': ['600222.SH'],
 '2014-08-12': [],
 '2014-08-14': ['002535.SZ', '300208.SZ'],
 '2014-08-15': [],
 '2014-08-18': ['002125.SZ'],
 '2014-08-19': [],
 '2014-08-21': ['000922.SZ'],
 '2014-08-22': ['300356.SZ'],
 '2014-09-02': ['600691.SH'],
 '2014-09-05': ['002564.SZ'],
 '2014-09-10': [],
 '2014-09-12': ['300161.SZ'],
 '2014-09-16': [],
 '2014-09-19': ['000852.SZ'],
 '2014-09-30': ['002523.SZ', '600962.SH'],
 '2014-10-13': ['000815.SZ'],
 '2014-10-15': [],
 '2014-10-17': ['600692.SH', '000820.SZ'],
 '2014-10-20': ['000018.SZ'],
 '2014-10-22': [],
 '2014-10-23': [],
 '2014-10-27': [],
 '2014-11-05': ['300297.SZ'],
 '2014-11-25': ['000918.SZ'],
 '2014-11-26': ['000410.SZ'],
 '2014-12-05': ['600792.SH'],
 '2014-12-08': ['600794.SH', '000835.SZ'],
 '2014-12-09': ['600678.SH'],
 '2014-12-10': [],
 '2014-12-12': ['300013.SZ'],
 '2014-12-16': ['002392.SZ'],
 '2014-12-17': ['300256.SZ', '000885.SZ'],
 '2014-12-18': ['300010.SZ'],
 '2014-12-19': ['600569.SH'],
 '2014-12-22': ['601866.SH', '601600.SH', '600169.SH'],
 '2014-12-26': ['000680.SZ'],
 '2014-12-29': ['002337.SZ', '600227.SH'],
 '2014-12-31': ['300268.SZ'],
 '2015-01-06': ['601918.SH'],
 '2015-01-08': [],
 '2015-01-09': [],
 '2015-01-12': ['002738.SZ'],
 '2015-01-13': [],
 '2015-01-14': ['000498.SZ'],
 '2015-01-21': ['300411.SZ'],
 '2015-01-23': ['300268.SZ'],
 '2015-01-27': [],
 '2015-01-30': ['002740.SZ'],
 '2015-02-03': ['000586.SZ'],
 '2015-02-04': ['000875.SZ'],
 '2015-02-16': [],
 '2015-02-26': [],
 '2015-02-27': [],
 '2015-03-02': ['300228.SZ'],
 '2015-03-04