# 克隆自聚宽文章：https://www.joinquant.com/post/38940
# 标题：年初至今4倍，极致的Day Trading，56.8%胜率
# 作者：Dr.QYQ
'''
优化说明:
1.使用修正标准分
rsrs_score的算法有：
仅斜率slope，效果一般；
仅标准分zscore，效果不错；
修正标准分 = zscore * r2，效果最佳;
右偏标准分 = 修正标准分 * slope，效果不错。
2.将原策略的每次持有两只etf改成只买最优的一个，收益显著提高
3.将每周调仓换成每日调仓，收益显著提高
4.因为交易etf，所以手续费设为万分之三，印花税设为零，未设置滑点
5.修改股票池中候选etf，删除银行，红利等收益较弱品种，增加纳指etf以增加不同国家市场间轮动的可能性
6.根据研报，默认参数介已设定为最优
7.加入防未来函数
8.增加择时与选股模块的打印日志，方便观察每笔操作依据
'''
# 导入函数库
from jqdata import *
from jqlib.technical_analysis import *
import numpy as np
from datetime import datetime, timedelta
import pandas as pd
# 初始化函数
def initialize(context):
# 设定沪深300作为基准
set_benchmark('000300.XSHG')
# 用真实价格交易
set_option('use_real_price', True)
# 打开防未来函数
set_option("avoid_future_data", True)
# 将滑点设置为0
set_slippage(FixedSlippage(0.001))
# 设置交易成本万分之三
# set_order_cost(OrderCost(open_tax=0, close_tax=0, open_commission=0.0003, close_commission=0.0003, close_today_commission=0, min_commission=5),
# type='fund')
# 股票类每笔交易时的手续费是：买入时无佣金，卖出时佣金万分之1.5，印花税0.1%, 每笔交易佣金最低扣5块钱
set_order_cost(OrderCost(close_tax=0.001,
close_commission=0.00015, min_commission=5), type='stock')
# 过滤order中低于error级别的日志
log.set_level('order', 'error')
# 初始化各类全局变量
# 动量轮动参数
g.stock_num = 5 # 筛选的标的支数。
g.stock_tobuy = 1 # 需要购买的股票数
g.momentum_day = 29 # 最新动量参考最近momentum_day的
g.num_days = 5 # 计算分数变化
# rsrs择时参数
g.ref_stock = '000300.XSHG' # 用ref_stock做择时计算的基础数据
g.N = 14 # 计算最新斜率slope，拟合度r2参考最近N天
g.M = 600 # 计算最新标准分zscore，rsrs_score参考最近M天
g.score_threshold = 0.7 # rsrs标准分指标阈值
# 个股择时参数
g.sec_data_num = 5 # 个股数据点数
# g.take_profit = 0.12 # 移动止盈
# ma择时参数
g.mean_day = 7 # 计算ref_stock结束ma收盘价，参考最近mean_day
# 计算初始ma收盘价，参考(mean_day + mean_diff_day)天前，窗口为mean_diff_day的一段时间
g.mean_diff_day = 10
g.slope_series = initial_slope_series()[:-1] # 除去回测第一天的slope，避免运行时重复加入
# 设置交易时间，每天运行
run_daily(my_trade, time='09:31', reference_security='000300.XSHG')
run_daily(check_lose, time='14:50', reference_security='000300.XSHG')
# run_daily(check_profit, time='10:00')
run_daily(print_trade_info, time='15:05', reference_security='000300.XSHG')
# 0-0 选取股票池
def get_stock_pool():
# preday = str(date.today() - timedelta(1)) # get previous date
# 从多个热门概念中选出市值在50亿以上,500亿以下的标的。
concept_names = list(set([
"虚拟现实",
"元宇宙",
"锂电池",
"集成电路",
"国产软件",
"MiniLED",
"智能穿戴",
"智能电网",
"智能医疗",
"风电",
"核电",
"电力物联网",
"电力改革",
"量子通信",
"互联网+",
"光伏",
"工业4.0",
"特高压",
"氟化工",
"煤化工",
"稀土永磁",
"白酒",
"煤炭",
"钴",
"盐湖提锂",
"磷化工",
"草甘膦",
"航运",
"第三代半导体",
"太阳能",
"柔性屏",
"芯片",
"新能源",
"智能音箱",
"苹果",
"特斯拉",
"宁德时代",
"碳中和",
"军工",
"军民融合",
"海工装备",
"超级电容",
"区块链",
"边缘计算",
"云计算",
"数字货币",
"人工智能",
"汽车电子",
"无人驾驶",
"车联网",
"网约车",
"充电桩",
"冷链物流",
"OLED",
"大飞机",
"大数据",
"燃料电池",
"医疗器械",
"生物疫苗",
"生物医药",
"辅助生殖",
"健康中国",
"基因测序",
"超级真菌",
"节能环保",
"装配式建筑",
"乡村振兴",
"建筑节能",
"文化传媒",
"电子竞技",
"网络游戏",
"数据中心",
"高端装备",
'三胎',
'养老',
"稀缺资源",
"稀土永磁",
"新材料",
"绿色电力"
]))
all_concepts = get_concepts()
concept_codes = []
for name in concept_names:
#print(f'concept is:{name}')
code = all_concepts[all_concepts['name'] == name].index[0]
concept_codes.append(code)
all_concept_stocks = []
for concept in concept_codes:
all_concept_stocks += get_concept_stocks(concept)
q = query(valuation.code).filter(valuation.market_cap >= 30,
valuation.market_cap <= 1000, valuation.code.in_(all_concept_stocks))
stock_df = get_fundamentals(q)
stock_pool = [code for code in stock_df['code']]
# 移除创业板和科创板标的
stock_pool = [code for code in stock_pool if not (
code.startswith('30') or code.startswith('688'))]
stock_pool = filter_st_stock(stock_pool) # 去除st
stock_pool = filter_paused_stock(stock_pool) # 去除停牌
return stock_pool
# 1-1 选股模块-动量因子轮动
# 基于股票年化收益和判定系数打分,并按照分数从大到小排名
def get_rank(stock_pool, context):
'''get rank score for stocks in stock pool'''
send_info = []
stock_dict_list = []
for stock in stock_pool:
score_list = []
pre_dt = context.current_dt - timedelta(1)
data = get_price(
stock,
end_date=context.current_dt,
count=100, # 多取几天以防数据不够
frequency="120m",
fields=["close"],
skip_paused=True,
) # 最新的在最下面
security_info = get_security_info(stock)
stock_name = security_info.display_name
# print(f'stock name {stock_name}')
# 对于次新股票，可能没有数据，所以要drop NA
data = data.dropna()
# 收盘价
y = data["log"] = np.log(data.close)
# print(f'{len(y)} data points')
# 分析的数据个数（天）
x = data["num"] = np.arange(data.log.size)
# 拟合 1 次多项式
# y = kx + b, slope 为斜率 k，intercept 为截距 b
# slope, intercept = np.polyfit(x, y, 1)
# 直接连接首尾点计算斜率
if len(y) < g.momentum_day + g.num_days:
print("次新股，用所有数据")
slope = (y.iloc[-1] - y.iloc[0]) / g.momentum_day # 最新的在最上面
# print(f'slope: {slope}\n')
# 拟合出截距
try:
_, intercept = np.polyfit(x,y,1)
except ValueError:
print('Can not fit intercept, use first y value instead')
intercept = y.iloc[0]
# intercept = y.iloc[0]
# (e ^ slope) ^ 250 - 1
annualized_returns = math.pow(math.exp(slope), 250) - 1
r_squared = 1 - (
sum((y - (slope * x + intercept)) ** 2) /
((g.momentum_day - 1) * np.var(y, ddof=1))
)
score = annualized_returns * np.abs(r_squared)
# print(f'score: {score}\n')
score_list.append(score)
else:
slope = [(y.iloc[-1-D] - y.iloc[-g.momentum_day-D]) /
g.momentum_day for D in range(g.num_days)] # 最新的在最上面
# print(f'slope: {slope}\n')
# intercept = [y.iloc[-g.momentum_day-D] for D in range(g.num_days)]
# (e ^ slope) ^ 250 - 1
for i in range(g.num_days):
annualized_returns = math.pow(math.exp(slope[i]), 250) - 1
if i == 0: # 如果i=0，则前n天数据为df.iloc[-n::]
_, intercept = np.polyfit(x[-g.momentum_day-i::], y.iloc[-g.momentum_day-i::],1)
r_squared = 1 - (
sum((y.iloc[-g.momentum_day-i::] - (slope[i] * x[-g.momentum_day-i::] + intercept)) ** 2) /
((g.momentum_day - 1) * np.var(y[-g.momentum_day-i::], ddof=1))
)
score = annualized_returns * np.abs(r_squared)
# print(f'score: {score}\n')
score_list.append(score)
else:
_, intercept = np.polyfit(x[-g.momentum_day-i:-i], y.iloc[-g.momentum_day-i:-i],1)
r_squared = 1 - (
sum((y.iloc[-g.momentum_day-i:-i] - (slope[i] * x[-g.momentum_day-i:-i] + intercept)) ** 2) /
((g.momentum_day - 1) * np.var(y[-g.momentum_day-i:-i], ddof=1))
)
score = annualized_returns * np.abs(r_squared)
# print(f'score: {score}\n')
score_list.append(score)
stock_dict_tmp = {stock_name: score_list}
stock_dict_list.append(stock_dict_tmp)
# merge list of dictionaries into one dictionary
stock_dict = {k: v for d in stock_dict_list for k, v in d.items()}
# create pandas dataframe from dict
stock_df = pd.DataFrame.from_dict(stock_dict, orient='index')
stock_df['code'] = stock_pool
# sort by latest score
stock_df = stock_df.sort_values(by=[0], ascending=False)
# get top num stocks
stock_top_names = stock_df.index.values[:g.stock_num]
stock_top_codes = stock_df['code'].values[:g.stock_num]
# get all stock names and codes
stock_names = stock_df.index.values
stock_codes = stock_df['code'].values
# print results
print("#" * 30 + "候选" + "#" * 30)
for name, code in zip(stock_top_names, stock_top_codes):
print("{}({}):{}".format(name, code,
stock_df[0][name]))
print("#" * 64)
return stock_top_names,stock_top_codes, stock_df
def rank_stock_change(df):
'''rank_stock_plot
line plot the score variation for *num_days* for each rank stock.
'''
df.drop(['code'],axis=1, inplace=True)
stock_df = df.head(g.stock_num) # 只取头部
rank_stock_dif = stock_df.diff(
axis=1, periods=-1).dropna(axis=1)
return rank_stock_dif
# 2-1 择时模块-计算线性回归统计值
# 对输入的自变量每日最低价x(series)和因变量每日最高价y(series)建立OLS回归模型,返回元组(截距,斜率,拟合度)
def get_ols(x, y):
slope, intercept = np.polyfit(x, y, 1)
r2 = 1 - (sum((y - (slope * x + intercept))**2) /
((len(y) - 1) * np.var(y, ddof=1)))
return (intercept, slope, r2)
# 2-2 择时模块-设定初始斜率序列
# 通过前M日最高最低价的线性回归计算初始的斜率,返回斜率的列表
def initial_slope_series():
data = attribute_history(g.ref_stock, g.N + g.M, '1d', ['high', 'low'])
return [get_ols(data.low[i:i+g.N], data.high[i:i+g.N])[1] for i in range(g.M)]
# 2-3 择时模块-计算标准分
# 通过斜率列表计算并返回截至回测结束日的最新标准分
def get_zscore(slope_series):
mean = np.mean(slope_series)
std = np.std(slope_series)
return (slope_series[-1] - mean) / std
# 2-4 择时模块-计算综合信号
# 1.获得rsrs与MA信号,rsrs信号算法参考优化说明，MA信号为一段时间两个端点的MA数值比较大小
# 2.信号同时为True时返回买入信号，同为False时返回卖出信号，其余情况返回持仓不变信号
# 3.改进：加入个股的卖点判据
def get_timing_signal(stock, rank_stock_diff, context):
'''
计算大盘信号: RSRS + MA
'''
# 计算MA信号
close_data = attribute_history(
g.ref_stock, g.mean_day + g.mean_diff_day, '1d', ['close'])
today_MA = close_data.close[g.mean_diff_day:].mean()
before_MA = close_data.close[:-g.mean_diff_day].mean()
# 计算rsrs信号
high_low_data = attribute_history(g.ref_stock, g.N, '1d', ['high', 'low'])
intercept, slope, r2 = get_ols(high_low_data.low, high_low_data.high)
g.slope_series.append(slope)
rsrs_score = get_zscore(g.slope_series[-g.M:]) * r2 # 修正标准分
print(
f'today_MA is {today_MA}, before_MA is {before_MA}, rsrs score is {rsrs_score}')
'''
个股择时：
1. MA5买卖点
2. 3日斜率
3. 移动止盈
4. 效果不如不要。。。。
5. 试试MCAD
6. 试试KDJ
'''
# 计算个股x日斜率
# close_data_sec = attribute_history(stock, g.sec_data_num, '1d', ['close'])
# current_price = attribute_history(
# stock, 1, '1m', ['close']) # get current stock price
# MA_sec = close_data_sec.close.mean()
# print(f'现价:{current_price.close[-1]}, MA{g.sec_data_num}: {MA_sec}')
# 计算2日斜率
# close_data_sec_ = attribute_history(stock, 2, '1d', ['close'])
# y = close_data_sec_['log'] = np.log(close_data_sec_.close)
# x = close_data_sec_['num'] = np.arange(close_data_sec_.log.size)
# slope_sec,_ = np.polyfit(x,y,1)
# print(f'Slope < 0: {slope_sec<0}')
# 移动止盈
# stock_data = attribute_history(stock,g.sec_data_num,'1d',['close','high'])
# stock_price = attribute_history(stock, 1, '1m', 'close')
# highest = stock_data.close.max()
# profit = highest*(1-g.take_profit) # 移动止盈线
# MACD
# dif, dea, macd = MACD(stock, check_date=context.current_dt,
# SHORT=12, LONG=29, MID=7, unit='1d')
# KDJ
# K, D, J = KDJ(stock, check_date=context.current_dt,
# unit='1d', N=9, M1=3, M2=3)
# 连续num_days分数变化
# stock_name = get_security_info(stock).display_name
# print(f'今日自选股是{stock_name}')
stock_dif = rank_stock_diff.loc[stock]
# 如果连续num_days日下降即sig=num_days，卖出
sig = np.sum((stock_dif < 0).astype(int))
print(f'连续下降{sig}日')
#综合判断所有信号:大盘信号 + 个股信号
if sig < 2: # rsrs_score > g.score_threshold and today_MA > before_MA and sig < 2 :
print('BUY')
return "BUY"
# (rsrs_score < -g.score_threshold and today_MA < before_MA) or sig >= 2:
elif sig >= 2:
print('SELL')
return "SELL"
else:
print('KEEP')
return "KEEP"
# 3-1 过滤模块-过滤停牌股票
# 输入选股列表，返回剔除停牌股票后的列表
def filter_paused_stock(stock_list):
current_data = get_current_data()
return [stock for stock in stock_list if not current_data[stock].paused]
# 3-2 过滤模块-过滤ST及其他具有退市标签的股票
# 输入选股列表，返回剔除ST及其他具有退市标签股票后的列表
def filter_st_stock(stock_list):
current_data = get_current_data()
return [stock for stock in stock_list
if not current_data[stock].is_st]
# 3-3 过滤模块-过滤涨停的股票
# 输入选股列表，返回剔除未持有且已涨停股票后的列表
def filter_limitup_stock(context, stock_list):
last_prices = history(1, unit='1m', field='close',
security_list=stock_list)
current_data = get_current_data()
# 已存在于持仓的股票即使涨停也不过滤，避免此股票再次可买，但因被过滤而导致选择别的股票
return [stock for stock in stock_list if stock in context.portfolio.positions.keys()
or last_prices[stock][-1] < current_data[stock].high_limit]
# 3-4 过滤模块-过滤跌停的股票
# 输入股票列表，返回剔除已跌停股票后的列表
def filter_limitdown_stock(context, stock_list):
last_prices = history(1, unit='1m', field='close',
security_list=stock_list)
current_data = get_current_data()
return [stock for stock in stock_list if stock in context.portfolio.positions.keys()
or last_prices[stock][-1] > current_data[stock].low_limit]
# 4-1 交易模块-自定义下单
# 报单成功返回报单(不代表一定会成交),否则返回None,应用于
def order_target_value_(security, value):
if value == 0:
log.debug("Selling out %s" % (security))
else:
log.debug("Order %s to value %f" % (security, value))
# 如果股票停牌，创建报单会失败，order_target_value 返回None
# 如果股票涨跌停，创建报单会成功，order_target_value 返回Order，但是报单会取消
# 部成部撤的报单，聚宽状态是已撤，此时成交量>0，可通过成交量判断是否有成交
return order_target_value(security, value)
# 4-2 交易模块-开仓
# 买入指定价值的证券,报单成功并成交(包括全部成交或部分成交,此时成交量大于0)返回True,报单失败或者报单成功但被取消(此时成交量等于0),返回False
def open_position(security, value):
order = order_target_value_(security, value)
if order != None and order.filled > 0:
return True
return False
# 4-3 交易模块-平仓
# 卖出指定持仓,报单成功并全部成交返回True，报单失败或者报单成功但被取消(此时成交量等于0),或者报单非全部成交,返回False
def close_position(position):
security = position.security
if position.total_amount != 0:
order = order_target_value_(security, 0) # 可能会因停牌失败
else:
print(f'目前没有持有{get_security_info(security).display_name}')
return position
if order != None:
if order.status == OrderStatus.held and order.filled == order.amount:
return True
return False
# 4-4 交易模块-调仓
# 当择时信号为买入时开始调仓，输入过滤模块处理后的股票列表，执行交易模块中的开平仓操作
def adjust_position(context, buy_stock, stock_position):
# 根据股票数量分仓
# 此处只根据可用金额平均分配购买，不能保证每个仓位平均分配
position_count = len(context.portfolio.positions)
if buy_stock not in context.portfolio.positions:
if g.stock_tobuy > position_count:
value = context.portfolio.cash / (g.stock_tobuy - position_count)
if context.portfolio.positions[buy_stock].total_amount == 0:
open_position(buy_stock, value)
else:
stock = list(context.portfolio.positions.keys())[
stock_position]
log.info("[%s]已不在应买入列表中" % (stock))
position = context.portfolio.positions[stock]
close_position(position)
# recount the securities after selling out old ones
position_count = len(context.portfolio.positions)
value = context.portfolio.cash / (g.stock_tobuy - position_count)
if context.portfolio.positions[buy_stock].total_amount == 0:
open_position(buy_stock, value)
else:
log.info("[%s]已经持有无需重复买入" % (buy_stock))
# 4-5 交易模块-择时交易
# 结合择时模块综合信号进行交易
def my_trade(context):
# if context.current_dt.minute != 35:
# return
# 以下的代码每小时跑一次
# 获取选股列表并过滤掉:st,st*,退市,涨停,跌停,停牌
stock_pool = get_stock_pool()
checkout_names, check_out_list, rank_stock = get_rank(stock_pool, context)
print(check_out_list)
print(f'check_out_list is {check_out_list}')
rank_stock_diff = rank_stock_change(rank_stock)
# print(f'stock_df is:\n {g.stock_df}')
# check_out_list = filter_st_stock(check_out_list)
# check_out_list = filter_limitup_stock(context, check_out_list)
check_out_list = filter_limitdown_stock(context, check_out_list)
check_out_list = filter_paused_stock(check_out_list)
if not check_out_list: # empoty list is False
print(f'Stock is limit up or limit down.')
else:
# check if the position still in the buying list
for stock_pos in context.portfolio.positions:
if stock_pos not in check_out_list[0:g.stock_tobuy]:
log.info("旧龙头已不再买入列表，卖出")
position = context.portfolio.positions[stock_pos]
close_position(position)
# print('今日自选股:{}'.format(get_security_info(check_out_list[0]).display_name))
# 获取综合择时信号
count = 0
for stock_name, stock_code in zip(checkout_names[0:g.stock_tobuy], check_out_list[0:g.stock_tobuy]):
print(f'今日自选股:{stock_name}')
timing_signal = get_timing_signal(stock_name, rank_stock_diff, context)
print(f'{stock_name} 今日择时信号:{timing_signal}')
# 开始交易
if timing_signal == 'SELL':
position = context.portfolio.positions[stock_code]
close_position(position)
elif timing_signal == 'BUY' or timing_signal == 'KEEP':
adjust_position(context, stock_code, count)
count += 1
# break # only buy one stock
else:
pass
# 4-6 交易模块-止损
# 检查持仓并进行必要的止损操作
def check_lose(context):
for position in list(context.portfolio.positions.values()):
securities = position.security
cost = position.avg_cost
price = position.price
ret = 100*(price/cost-1)
value = position.value
amount = position.total_amount
# 这里设定15%止损
if ret <= -15:
order_target_value(position.security, 0)
print("！！！！！！触发止损信号: 标的={},标的价值={},浮动盈亏={}% ！！！！！！"
.format(securities, format(value, '.2f'), format(ret, '.2f')))
log.info('亏死了，溜溜溜')
# 4-7 交易模块-止盈
# 根据移动止盈线止盈
def check_profit(context):
for stock in context.portfolio.positions:
position = context.portfolio.positions[stock]
security = position.security
price = attribute_history(security, 1, '1m', 'close')
highest = attribute_history(security, g.sec_data_num, '1d', 'high')
if price.close[-1] < highest.high.max()*(1-g.take_profit):
print('触发止盈，卖卖卖')
close_position(position)
# 5-1 复盘模块-打印
# 打印每日持仓信息
def print_trade_info(context):
# 打印当天成交记录
trades = get_trades()
for _trade in trades.values():
print('成交记录：'+str(_trade))
# 打印账户信息
for position in list(context.portfolio.positions.values()):
securities = position.security
cost = position.avg_cost
price = position.price
ret = 100*(price/cost-1)
value = position.value
amount = position.total_amount
print('代码:{}'.format(securities))
print('成本价:{}'.format(format(cost, '.2f')))
print('现价:{}'.format(price))
print('收益率:{}%'.format(format(ret, '.2f')))
print('持仓(股):{}'.format(amount))
print('市值:{}'.format(format(value, '.2f')))
print('一天结束')
print('———————————————————————————————————————分割线————————————————————————————————————————')
浙公网安备 33010602011771号