def trade_up_slope(s1_tick, s2_tick, table, strategy):
trade_capital = 0
cpA, cpB = 0, 0
trading_profit = 0.0
trade = 0
trade_capital = 0
trade_return = 0.0
history = []
# 波動太小的配對不開倉
if volaitlity_small(strategy, table):
history.append({"time": 0, "type": "配對波動太小，不開倉"})
print(f'{table["S1"]} {table["S2"]} 配對波動太小，不開倉')
return trade, trading_profit, trade_capital, trade_return, history
spread = table["w1"] * np.log(s1_tick) + table["w2"] * np.log(s2_tick)
close, up_open_val, down_open_val = build_open(spread, table, strategy)
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
stock1_profit = []
stock2_profit = []
spread_len = len(spread)
w1 = 0
w2 = 0
for i in range(0, spread_len - 2):
if position == 0 and i != spread_len - 3: # 之前無開倉
if spread[i] < down_open_val[i]: # 碰到下開倉門檻且大於下停損門檻
w1, w2 = num_weight(table["w1"], table["w2"], s1_tick[i],
s2_tick[i], strategy["maxhold"],
strategy["capital"])
stock1_payoff, stock2_payoff = down_open(
w1, w2, s1_tick[1], s2_tick[i], strategy["tax_cost"])
cpA, cpB = stock1_payoff, stock2_payoff
position = 1
trade = 1
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
history.append({
"time": i,
"w1": -w1,
"stock1_payoff": stock1_payoff,
"w2": -w2,
"stock2_payoff": stock2_payoff,
"type": "下開倉"
})
print(
f'{i} {w1} 張 {table["S1"]} {stock1_payoff} , {w2} 張 {table["S2"]} {stock2_payoff} spread = {spread[i]} 下開倉'
)
elif position == 1: # 之前有開多倉，平多倉
if (i == spread_len - 3): # 回測結束，強制平倉
position = -4
stock1_payoff, stock2_payoff = down_close(
w1, w2, s1_tick[i], s2_tick[i], strategy["tax_cost"],
position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
print(
f'{i} {w1} 張 {table["S1"]} {stock1_payoff} , {w2} 張 {table["S2"]} {stock2_payoff} 強制平倉'
)
history.append({
"time": i,
"w1": w1,
"stock1_payoff": stock1_payoff,
"w2": w2,
"stock2_payoff": stock2_payoff,
"type": "尾盤強制平倉"
})
break
elif (spread[i] - close[i]) > 0:
position = 666 # 平倉
stock1_payoff, stock2_payoff = down_close(
w1, w2, s1_tick[i], s2_tick[i], strategy["tax_cost"],
position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
print(
f'{i} {w1} 張 {table["S1"]} {stock1_payoff} , {w2} 張 {table["S2"]} {stock2_payoff} 正常平倉'
)
history.append({
"time": i,
"w1": w1,
"stock1_payoff": stock1_payoff,
"w2": w2,
"stock2_payoff": stock2_payoff,
"type": "正常平倉"
})
break
trading_profit = sum(stock1_profit) + sum(stock2_profit)
if cpA > 0 and cpB > 0:
trade_capital = abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital = abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital = 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital = 0.9 * abs(cpA) + 0.9 * abs(cpB)
if trade > 0: # 如果都沒有開倉，則報酬為0
trade_return = trading_profit / trade_capital
return trade, trading_profit, trade_capital, trade_return, history
def trade_down(spread , trend , Row_ST ,Ibeta , trStd , trCost , tros, trcs, trMtp ):
#spread:共整合序列 , trend:時間趨勢均值 , RowST:原始股價
#Ibeta:整數化股票張數 , trStd:建模期間標準差 , trCost:交易成本
#tros:開倉倍數, trcs:停損倍數
'''
#Debug用
spread, trend = cy[inNum:DailyNum+1,pi] ,cy_mean[inNum:DailyNum+1,pi]
Row_ST= Smin[inNum:DailyNum+1,[int(OMinx[pi,0]), int(OMinx[pi,1])]]
Ibeta ,trStd, trCost ,tros , trcs= IntegerB[:,pi], SStd ,Cost ,Os, Fs
trMtp = Max_tp
'''
#[總獲利,平倉獲利,停損獲利,換日強停獲利,換日強停虧損]
Profit = np.zeros((1,5))
#[開倉次數,平倉次數,停損次數,換日強停獲利次數,換日強停虧損次數]
Count = np.zeros((1,5))
OpenTrend = trend + trStd*tros
StopTrend = trend + trStd*trcs
Position = 0 # 部位控制
LogTradeTime = np.zeros((1,spread.shape[0])) # 時間紀錄
ForceP = 0
openP = 0
opencount = 0
opentime = 0
closetime = 0
LongOrShort = -1
opens1payoff = 0
opens2payoff = 0
closes1payoff = 0
closes2payoff = 0
capital = 50000000
for ti in range(spread.shape[0]):
#尾盤的強制平倉處理
if ti == spread.shape[0]-1:
#若有倉則強制平倉
if Position == 1:
#ForceP = openP - np.dot(Row_ST[ti,:],Ibeta) + TradeCost(Row_ST[ti,:],Ibeta,trCost,'L')
closes1payoff = LongOrShort * Row_ST[97,0] * Ibeta[0]
closes2payoff = LongOrShort * Row_ST[97,1] * Ibeta[1]
ForceP = tax(closes1payoff,trCost)+tax(closes2payoff,trCost)+openP
if ForceP > 0:
Profit[0,3] = ForceP
Count[0,3] = Count[0,3] + 1
Position = 0
LogTradeTime[0,ti] = 3
closetime = 97
elif ForceP <= 0:
Profit[0,4] = ForceP
Count[0,4] = Count[0,4] + 1
Position = 0
LogTradeTime[0,ti] = 3
closetime = 97
#尾盤前的交易
else:
if opencount <= 1 :
#到期前若碰到平倉門檻且有倉，平倉
if Position == 1 and spread[ti] <= trend[ti] and ti < 97:
#Profit[0,1] = openP - np.dot(Row_ST[ti+1,:],Ibeta) - TradeCost(Row_ST[ti+1,:],Ibeta,trCost,'L')
closes1payoff = LongOrShort * Row_ST[ti,0] * Ibeta[0]
closes2payoff = LongOrShort * Row_ST[ti,1] * Ibeta[1]
ForceP = tax(closes1payoff,trCost)+tax(closes2payoff,trCost)+openP
#Profit[0,1] = openP - np.dot(Row_ST[ti,:],Ibeta) + TradeCost(Row_ST[ti,:],Ibeta,trCost,'L')
Profit[0,1] = ForceP
Count[0,1] = Count[0,1] + 1
Position = 0
LogTradeTime[0,ti] = -1
closetime = ti
#到期前若碰到停損門檻且有倉，停損
elif Position == 1 and spread[ti]>=StopTrend[ti]:
#Profit[0,1] = openP - np.dot(Row_ST[ti+1,:],Ibeta) - TradeCost(Row_ST[ti+1,:],Ibeta,trCost,'L')
Profit[0,1] = openP - np.dot(Row_ST[ti,:],Ibeta) + TradeCost(Row_ST[ti,:],Ibeta,trCost,'L')
Count[0,2] = Count[0,2] + 1
Position = -1
LogTradeTime[0,ti] = -2
closetime = ti
#到期前，若碰到開倉門檻且無倉，開倉
elif Position == 0 and spread[ti]>=OpenTrend[ti] and ti<(trMtp-150) and opencount != 1:
#openP = np.dot(Row_ST[ti+1,:],Ibeta) - TradeCost(Row_ST[ti+1,:],Ibeta,trCost,'S')
#openP = np.dot(Row_ST[ti,:],Ibeta) - TradeCost(Row_ST[ti,:],Ibeta,trCost,'S')
Ibeta[0] , Ibeta[1] = num_weight(Ibeta[0],Ibeta[1],
Row_ST[ti,0],Row_ST[ti,1], 5, capital)
opens1payoff = -LongOrShort * Row_ST[ti,0] * Ibeta[0]
opens2payoff = -LongOrShort * Row_ST[ti,1] * Ibeta[1]
openP = tax(opens1payoff,trCost)+tax(opens2payoff,trCost)
Count[0,0] = Count[0,0] + 1
Position = 1
LogTradeTime[0,ti] = 1
opencount += 1
opentime = ti
else:
break
Profit[0,0]=sum(Profit[0,1:5])
trade_capital = 0
if opens1payoff > 0 and opens2payoff > 0:
trade_capital = abs(opens1payoff)+abs( opens2payoff)
elif opens1payoff > 0 and opens2payoff < 0 :
trade_capital = abs(opens1payoff)+0.9*abs( opens2payoff)
elif opens1payoff < 0 and opens2payoff > 0 :
trade_capital = 0.9*abs(opens1payoff)+abs( opens2payoff)
elif opens1payoff < 0 and opens2payoff < 0 :
trade_capital = 0.9*abs(opens1payoff)+0.9*abs(opens2payoff)
return [Profit, Count,opentime,closetime,trade_capital]
def pairs(pos, formate_time, table, min_data, tick_data, maxi, tax_cost,
cost_gate, capital):
actions = [[1.5, 3], [0.5000000000002669, 2.500000000000112],
[0.7288428324698772, 4.0090056748083995],
[1.1218344155846804, 3.0000000000002496],
[1.2162849872773496, 7.4631043256997405],
[1.4751902346226717, 3.9999999999997113],
[1.749999999999973, 3.4999999999998117],
[2.086678832116794, 6.2883211678832325],
[2.193017888055368, 4.018753606462444],
[2.2499999999999822, 7.500000000000021],
[2.6328389830508536, 8.9762711864407],
[2.980046948356806, 13.515845070422579],
[3.2499999999999982, 5.500000000000034],
[3.453852327447829, 11.505617977528125],
[3.693027210884357, 6.0739795918367605],
[4.000000000000004, 12.500000000000034],
[4.151949541284411, 10.021788990825703],
[4.752819548872187, 15.016917293233117],
[4.8633603238866225, 7.977058029689605],
[5.7367647058823605, 13.470588235294136],
[6.071428571428564, 16.47435897435901],
[6.408839779005503, 10.95488029465933],
[7.837962962962951, 12.745370370370392],
[8.772727272727282, 18.23295454545456],
[9.242088607594926, 14.901898734177237], [100, 200]]
s1 = str(table.stock1[pos])
s2 = str(table.stock2[pos])
tw1 = table.w1[pos]
tw2 = table.w2[pos]
e_stdev = table.Estd[pos]
e_mu = table.Emu[pos]
up_open_time = actions[table.action[pos]][0]
down_open_time = up_open_time
stop_loss_time = actions[table.action[pos]][1]
trade_capital = 0
cpA, cpB = 0, 0
trading = [0, 0, 0]
use_fore_lag5 = False
use_adf = False
trade_process = []
# # 波動太小的配對不開倉
# if (up_open_time + down_open_time) *e_stdev < cost_gate:
# trade_process.append([tick_data.mtimestamp[1], "配對波動太小，不開倉"])
# # print("配對波動太小，不開倉")
# trading_profit = 0
# trade = 0
# local_profit = 0
# local_open_num = 0
# local_rt = 0
# local_std = 0
# local_skew = 0
# local_timetrend = 0
# position = 0
# return {
# 'trade_history' : trade_process ,
# "local_profit" : local_profit ,
# "local_open_num" : local_open_num,
# "trade_capital" :trade_capital,
# "local_rt" : "0.000",
# # "profit" : trading_profit
# }
# # return local_profit, local_open_num, trade_capital, trading, trade_process
t = formate_time # formate time
# stock1_seq = min_data[s1].loc[0:t]
# stock2_seq = min_data[s2].loc[0:t]
local_open_num = []
local_profit = []
local_rt = []
local_std = []
local_skew = []
local_timetrend = []
spread = tw1 * np.log(tick_data[s1]) + tw2 * np.log(tick_data[s2])
up_open = e_mu + e_stdev * up_open_time # 上開倉門檻
down_open = e_mu - e_stdev * down_open_time # 下開倉門檻
stop_loss = e_stdev * stop_loss_time # 停損門檻
close = e_mu # 平倉(均值)
# M = round(1 / table.zcr[pos]) # 平均持有時間
trade = 0 # 計算開倉次數
break_point = 0 # 計算累積斷裂點
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
pos = [0, 0]
stock1_profit = []
stock2_profit = []
for i in range(1, len(spread) - 6):
if position == 0 and i != len(spread) - 7: # 之前無開倉
if (spread[i] - up_open) * (
spread[i + 1] - up_open) < 0 and spread[i + 1] < (
close + stop_loss): # 碰到上開倉門檻且小於上停損門檻
# 資金權重轉股票張數，並整數化
# print(tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][i + 1],
tick_data[s2][i + 1], maxi, capital)
position = -1
stock1_payoff = w1 * slip(tick_data[s1][i + 1], tw1)
stock2_payoff = w2 * slip(tick_data[s2][i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# down_open = table.mu[pos] - table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉<br>",w1, w2, stock1_payoff+stock2_payoff])
elif (spread[i] - down_open) * (
spread[i + 1] - down_open) < 0 and spread[i + 1] > (
close - stop_loss): # 碰到下開倉門檻且大於下停損門檻
# 資金權重轉股票張數，並整數化
# print(tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][i + 1],
tick_data[s2][i + 1], maxi, capital)
position = 1
stock1_payoff = -w1 * slip(tick_data[s1][i + 1], -tw1)
stock2_payoff = -w2 * slip(tick_data[s2][i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# up_open = table.mu[pos] + table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉<br>", -w1, -w2, stock1_payoff+stock2_payoff])
else:
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
if (spread[i] - close) * (spread[i + 1] -
close) < 0: # 空倉碰到下開倉門檻即平倉
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到均值，平倉")
position = 0 # 平倉
stock1_payoff = -w1 * slip(tick_data[s1][i + 1], -tw1)
stock2_payoff = -w2 * slip(tick_data[s2][i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# down_open = table.mu[pos] - table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i + 1] > (close + stop_loss): # 空倉碰到上停損門檻即平倉停損
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到上停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(tick_data[s1][i + 1], -tw1)
stock2_payoff = -w2 * slip(tick_data[s2][i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上停損門檻，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 7): # 回測結束，強制平倉
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>"])
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = -w1 * slip(tick_data[s1][len(tick_data) - 1],
-tw1)
stock2_payoff = -w2 * slip(tick_data[s2][len(tick_data) - 1],
-tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
if (spread[i] - close) * (spread[i + 1] - close) < 0:
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到均值，平倉")
position = 0 # 平倉
stock1_payoff = w1 * slip(tick_data[s1][i + 1], tw1)
stock2_payoff = w2 * slip(tick_data[s2][i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",w1, w2, stock1_payoff+stock2_payoff])
# up_open = table.mu[pos] + table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i + 1] < (close - stop_loss):
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到下停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(tick_data[s1][i + 1], tw1)
stock2_payoff = w2 * slip(tick_data[s2][i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下停損門檻，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 7): # 回測結束，強制平倉
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = w1 * slip(tick_data[s1][len(tick_data) - 1],
tw1)
stock2_payoff = w2 * slip(tick_data[s2][len(tick_data) - 1],
tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
# -4: 強迫平倉 -3: 結構性斷裂平倉(for lag 5) -2:停損 666:正常平倉
if position == -2 or position == -3 or position == -4 or position == 666:
stock1_payoff = 0
stock2_payoff = 0
else:
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
trading_profit = sum(stock1_profit) + sum(stock2_profit)
if trading_profit != 0 and position == 666:
position = 666
local_profit = trading_profit
# local_open_num.append(trade)
local_open_num = trade
if trade == 0: # 如果都沒有開倉，則報酬為0
# trade_process.append([tick_data.mtimestamp.iloc[-1],"無任何交易"])
# print("沒有開倉")
local_rt = 0
local_std = 0
local_skew = 0
local_timetrend = 0
position = 0
else: # 計算平均報酬
# spread2 = w1 * np.log(min_data[s1].iloc[0:t]) + w2 * np.log(min_data[s2].iloc[0:t])
# x = np.arange(0, t)
# b1, b0 = np.polyfit(x, spread2, 1)
local_rt = trading_profit / trade_capital
# local_std = np.std(spread2)
# local_skew = skew(spread2)
# local_timetrend = b1
# trade_process.append(["總損益", trading_profit])
# if cpA > 0 and cpB > 0:
# trade_capital = abs(cpA)+abs(cpB)
# elif cpA > 0 and cpB < 0 :
# trade_capital = abs(cpA)+0.9*abs(cpB)
# elif cpA < 0 and cpB > 0 :
# trade_capital = 0.9*abs(cpA)+abs(cpB)
# elif cpA < 0 and cpB < 0 :
# trade_capital = 0.9*abs(cpA)+0.9*abs(cpB)
return local_profit, trade_capital
def pairs(pos, formate_time, table, tick_data, maxi, tax_cost, cost_gate,
capital):
# actions = [
# [1.5000000000002669, 2.500000000000112],
# [0.7288428324698772, 4.0090056748083995],
# [1.1218344155846804, 3.0000000000002496],
# [1.2162849872773496, 7.4631043256997405],
# [1.4751902346226717, 3.9999999999997113],
# [1.749999999999973, 3.4999999999998117],
# [2.086678832116794, 6.2883211678832325],
# [2.193017888055368, 4.018753606462444],
# [2.2499999999999822, 7.500000000000021],
# [2.6328389830508536, 8.9762711864407],
# [2.980046948356806, 13.515845070422579],
# [3.2499999999999982, 5.500000000000034],
# [3.453852327447829, 11.505617977528125],
# [3.693027210884357, 6.0739795918367605],
# [4.000000000000004, 12.500000000000034],
# [4.151949541284411, 10.021788990825703],
# [4.752819548872187, 15.016917293233117],
# [4.8633603238866225, 7.977058029689605],
# [5.7367647058823605, 13.470588235294136],
# [6.071428571428564, 16.47435897435901],
# [6.408839779005503, 10.95488029465933],
# [7.837962962962951, 12.745370370370392],
# [8.772727272727282, 18.23295454545456],
# [9.242088607594926, 14.901898734177237],
# [100, 200]
# ]
actions = [[0.5000000000001132, 2.9999999999999174],
[0.5000000000001159, 1.4999999999998659],
[0.5011026964048937, 5.057090545938981],
[0.5997656402578979, 1.9999999999999885],
[0.7450101488498877, 2.500000000000264],
[0.9957274202272546, 3.5038669551108814],
[0.9986299023806298, 3.00000000000035],
[0.9989438479141635, 6.000440063369089],
[1.2502992817239085, 7.499301675977626],
[1.3748807883861818, 5.499999999999963],
[1.4714078698027613, 5.000000000000162],
[1.6540920096852696, 4.3137046004844875],
[1.7331017056222244, 8.988629185091602],
[1.9997078301519378, 10.003506038176837],
[2.131133083912334, 6.300320684126101],
[2.2702554744525623, 7.199270072992672],
[2.6956923890063442, 7.93093727977449],
[2.9601038145823297, 8.740704973442782],
[3.4156698564593317, 10.223684210526311],
[4.180390032502709, 11.496208017334773],
[4.475710508922673, 13.83311302048908],
[5.686262376237629, 16.102103960396033],
[7.189858490566042, 19.562500000000004],
[9.489123012389175, 23.9905618964017], [100, 200]]
s1 = str(table.stock1[pos])
s2 = str(table.stock2[pos])
tw1 = table.w1[pos]
tw2 = table.w2[pos]
Estd = table.Estd[pos] #table.Estd[pos]
Emu = table.Emu[pos] #
up_open_time = 1.5
down_open_time = up_open_time
stop_loss_time = 1000 #actions[table.action[pos]][1] #actions[0][1] 2.5
up_open = Emu + Estd * up_open_time # 上開倉門檻
down_open = Emu - Estd * down_open_time # 下開倉門檻
stop_loss = Estd * stop_loss_time # stop_loss_time # 停損門檻
close = Emu # 平倉(均值)
trade_capital = 0
cpA, cpB = 0, 0
trading = [0, 0, 0]
# # 波動太小的配對不開倉
if up_open_time * Estd < cost_gate:
# trade_process.append([tick_data.mtimestamp[1], "配對波動太小，不開倉"])
# print("配對波動太小，不開倉")
trading_profit = 0
trade = 0
local_profit = 0
position = 0
return local_profit, trade_capital, trade, 0, 0, 0
t = formate_time # formate time
local_profit = []
spread = tw1 * np.log(tick_data[s1]) + tw2 * np.log(tick_data[s2])
# M = round(1 / table.zcr[pos]) # 平均持有時間
trade = 0 # 計算開倉次數
break_point = 0 # 計算累積斷裂點
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
pos = [0, 0]
stock1_profit = []
stock2_profit = []
for i in range(0, len(spread) - 2):
if position == 0 and i != len(spread) - 3 and i < 40: # 之前無開倉
if spread[i] < (close + stop_loss
) and spread[i] > up_open: # 碰到上開倉門檻且小於上停損門檻
# 資金權重轉股票張數，並整數化
# print(tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][i],
tick_data[s2][i], maxi, capital)
position = -1
stock1_payoff = w1 * slip(tick_data[s1][i], tw1)
stock2_payoff = w2 * slip(tick_data[s2][i], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# down_open = table.mu[pos] - table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉<br>",w1, w2, stock1_payoff+stock2_payoff])
elif spread[i] > (close - stop_loss
) and spread[i] < down_open: # 碰到下開倉門檻且大於下停損門檻
# 資金權重轉股票張數，並整數化
# print(tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][i],
tick_data[s2][i], maxi, capital)
position = 1
stock1_payoff = -w1 * slip(tick_data[s1][i], -tw1)
stock2_payoff = -w2 * slip(tick_data[s2][i], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# up_open = table.mu[pos] + table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉<br>", -w1, -w2, stock1_payoff+stock2_payoff])
else:
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
if (spread[i] - close) < 0: # 空倉碰到下開倉門檻即平倉
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到均值，平倉")
position = 666 # 平倉
stock1_payoff = -w1 * slip(tick_data[s1][i], -tw1)
stock2_payoff = -w2 * slip(tick_data[s2][i], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# down_open = table.mu[pos] - table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] > (close + stop_loss): # 空倉碰到上停損門檻即平倉停損
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到上停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(tick_data[s1][i], -tw1)
stock2_payoff = -w2 * slip(tick_data[s2][i], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上停損門檻，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>"])
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = -w1 * \
slip(tick_data[s1][len(tick_data) - 1], -tw1)
stock2_payoff = -w2 * \
slip(tick_data[s2][len(tick_data) - 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
if (spread[i] - close) > 0:
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到均值，平倉")
position = 666 # 平倉
stock1_payoff = w1 * slip(tick_data[s1][i], tw1)
stock2_payoff = w2 * slip(tick_data[s2][i], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",w1, w2, stock1_payoff+stock2_payoff])
# up_open = table.mu[pos] + table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] < (close - stop_loss):
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到下停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(tick_data[s1][i], tw1)
stock2_payoff = w2 * slip(tick_data[s2][i], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下停損門檻，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = w1 * \
slip(tick_data[s1][len(tick_data) - 1], tw1)
stock2_payoff = w2 * \
slip(tick_data[s2][len(tick_data) - 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
# -4: 強迫平倉 -3: 結構性斷裂平倉(for lag 5) -2:停損 666:正常平倉
if position == -2 or position == -3 or position == -4 or position == 666:
stock1_payoff = 0
stock2_payoff = 0
else:
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
trading_profit = sum(stock1_profit) + sum(stock2_profit)
local_profit = trading_profit
# local_open_num.append(trade)
if trade == 0: # 如果都沒有開倉，則報酬為0
# trade_process.append([tick_data.mtimestamp.iloc[-1],"無任何交易"])
# print("沒有開倉")
position = 0
return local_profit, trade_capital, trade, position, tick_data[s1][
0], tick_data[s2][0]
def pairs(
choose_date,
pos,
formate_time,
table,
tick_data,
half_data,
maxi,
tax_cost,
cost_gate,
capital,
):
s1 = str(table.stock1[pos])
s2 = str(table.stock2[pos])
tw1 = table.w1[pos]
tw2 = table.w2[pos]
Estd = table.Estd[pos] #table.Estd[pos]
Emu = table.Emu[pos] #
up_open_time = 1.5
down_open_time = up_open_time
stop_loss_time = 10000 #actions[table.action[pos]][1] #actions[0][1] 2.5
up_open = Emu + Estd * up_open_time # 上開倉門檻
down_open = Emu - Estd * down_open_time # 下開倉門檻
stop_loss = Estd * stop_loss_time # stop_loss_time # 停損門檻
close = Emu # 平倉(均值)
trade_capital = 0
cpA, cpB = 0, 0
trading = [0, 0, 0]
trade_capital = 0
cpA, cpB = 0, 0
trading = [0, 0, 0]
used_news = False
dup_news = False
# if s1_news.empty and s2_news.empty:
# used_news = False
# # 波動太小的配對不開倉
if up_open_time * Estd < cost_gate:
# trade_process.append([tick_data.mtimestamp[1], "配對波動太小，不開倉"])
# print("配對波動太小，不開倉")
trading_profit = 0
trade = 0
local_profit = 0
position = 0
return False, local_profit, trade_capital, trade, 0, 0, 0, dup_news
t = formate_time # formate time
local_profit = []
spread = tw1 * np.log(tick_data[s1]) + tw2 * np.log(tick_data[s2])
# M = round(1 / table.zcr[pos]) # 平均持有時間
trade = 0 # 計算開倉次數
break_point = 0 # 計算累積斷裂點
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
pos = [0, 0]
stock1_profit = []
stock2_profit = []
for i in range(0, len(spread) - 2):
if position == 0 and i != len(spread) - 3 and i < 40: # 之前無開倉
if spread[i] < (close + stop_loss
) and spread[i] > up_open: # 碰到上開倉門檻且小於上停損門檻
# 資金權重轉股票張數，並整數化
# print(tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][i],
tick_data[s2][i], maxi, capital)
position = -1
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# down_open = table.mu[pos] - table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉<br>",w1, w2, stock1_payoff+stock2_payoff])
elif spread[i] > (close - stop_loss
) and spread[i] < down_open: # 碰到下開倉門檻且大於下停損門檻
# 資金權重轉股票張數，並整數化
# print(tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][i],
tick_data[s2][i], maxi, capital)
position = 1
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# up_open = table.mu[pos] + table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉<br>", -w1, -w2, stock1_payoff+stock2_payoff])
else:
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
if (spread[i] - close) < 0: # 空倉碰到下開倉門檻即平倉
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到均值，平倉")
position = 666 # 平倉
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# down_open = table.mu[pos] - table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] > (close + stop_loss): # 空倉碰到上停損門檻即平倉停損
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到上停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上停損門檻，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>"])
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
if (spread[i] - close) > 0:
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到均值，平倉")
position = 666 # 平倉
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",w1, w2, stock1_payoff+stock2_payoff])
# up_open = table.mu[pos] + table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] < (close - stop_loss):
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到下停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下停損門檻，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
# -4: 強迫平倉 -3: 結構性斷裂平倉(for lag 5) -2:停損 666:正常平倉
if position == -2 or position == -3 or position == -4 or position == 666:
stock1_payoff = 0
stock2_payoff = 0
else:
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
trading_profit = sum(stock1_profit) + sum(stock2_profit)
local_profit = trading_profit
# local_open_num.append(trade)
if trade == 0: # 如果都沒有開倉，則報酬為0
# trade_process.append([tick_data.mtimestamp.iloc[-1],"無任何交易"])
# print("沒有開倉")
position = 0
return used_news, local_profit, trade_capital, trade, position, tick_data[
s1][0], tick_data[s2][0], dup_news
def pairs(pair, formate_time, table, min_data, tick_data, open_time,
close_time, stop_loss_time, day1, maxi, tax_cost, cost_gate, capital,
model):
table = pd.DataFrame(table).T
# 波動太小的配對不開倉
if (open_time + close_time) * table.stdev[
pair] < cost_gate or table.model_type[pair] != 'model5':
trading_profit = 0
trade = 0
local_profit = 0
local_open_num = 0
local_rt = 0
local_std = 0
local_skew = 0
local_timetrend = 0
position = 0
return [
local_profit, local_open_num, local_rt, local_std, local_skew,
local_timetrend, position
]
min_price = day1
#min_price = min_price.dropna(axis = 1)
#min_price.index = np.arange(0,len(min_price),1)
#num = np.arange(0,len(table),1)
t = formate_time # formate time
local_open_num = []
local_profit = []
local_rt = []
#for pair in num:
#spread = table.w1[pair] * np.log(min_data[ table.stock1[pair] ]) + table.w2[pair] * np.log(min_data[ table.stock2[pair] ])
spread = table.w1[pair] * np.log(
tick_data[table.stock1[pair]]) + table.w2[pair] * np.log(
tick_data[table.stock2[pair]])
if table.model_type[pair] == 'model4':
x = np.arange(0, t)
# 算出spread在formation period的斜率
y = table.w1[pair] * np.log(
min_price[table.stock1[pair]].iloc[0:t]) + table.w2[pair] * np.log(
min_price[table.stock2[pair]].iloc[0:t])
b1, b0 = np.polyfit(x, y, 1)
# 算trading period 的序列
x = np.arange(t, len(min_price))
trend_line = x * b1 + b0
spread = spread - trend_line
else:
b1 = 0
up_open = table.mu[pair] + table.stdev[pair] * open_time # 上開倉門檻
down_open = table.mu[pair] - table.stdev[pair] * open_time # 下開倉門檻
stop_loss = table.stdev[pair] * stop_loss_time # 停損門檻
close = table.mu[pair] # 平倉(均值)
M = round(1 / table.zcr[pair]) # 平均持有時間
trade = 0 # 計算開倉次數
break_point = 0
#discount = 1
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
#model=load_model('model.h5')
#model.summary()
pos = []
stock1_profit = []
stock2_profit = []
for i in range(len(spread) - 2):
stock1_seq = min_price[table.stock1[pair]].loc[0:t + i]
stock2_seq = min_price[table.stock2[pair]].loc[0:t + i]
if position == 0 and len(spread) - i > M: # 之前無開倉
if (spread[i] - up_open) * (spread[i + 1] - up_open) < 0:
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[table.stock1[pair]][(i + 1)],
tick_data[table.stock2[pair]][(i + 1)],
maxi, capital)
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if adfuller(spread1, regression='ct'
)[1] > 1 or b1 > 0: # spread平穩才開倉 & 趨勢向上不開空倉
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = -1
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
down_open = table.mu[pair] - table.stdev[pair] * close_time
trade = trade + 1
elif (spread[i] - down_open) * (spread[i + 1] - down_open) < 0:
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[table.stock1[pair]][(i + 1)],
tick_data[table.stock2[pair]][(i + 1)],
maxi, capital)
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if adfuller(spread1, regression='ct'
)[1] > 1 or b1 < 0: # spread平穩才開倉 & 趨勢向下不開多倉
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = 1
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 1)],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 1)],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
up_open = table.mu[pair] + table.stdev[pair] * close_time
trade = trade + 1
else:
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
num = fore_chow(min_price[table.stock1[pair]].loc[0:t],
min_price[table.stock2[pair]].loc[0:t], stock1_seq,
stock2_seq, table.model_type[pair])
if num == 0:
break_point = 0
else: # num == 1
break_point = break_point + num
if (spread[i] - down_open) * (spread[i + 1] - down_open) < 0:
position = 666 # 平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
down_open = table.mu[pair] - table.stdev[pair] * open_time
#每次交易報酬做累加(最後除以交易次數做平均)
elif (spread[i] - (close + stop_loss)) * (spread[i + 1] -
(close + stop_loss)) < 0:
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif adfuller( spread1 )[1] > 0.05 :
#position = -3 # 出現單跟，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+1)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+1)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif break_point == 3:
position = -3 # 結構性斷裂，強制平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
position = -4
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][len(tick_data) - 1],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][len(tick_data) - 1],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
else:
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
num = fore_chow(min_price[table.stock1[pair]].loc[0:t],
min_price[table.stock2[pair]].loc[0:t], stock1_seq,
stock2_seq, table.model_type[pair])
if num == 0:
break_point = 0
else: # num == 1
break_point = break_point + num
if (spread[i] - up_open) * (spread[i + 1] - up_open) < 0:
position = 666 # 平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
up_open = table.mu[pair] + table.stdev[pair] * open_time
#每次交易報酬做累加(最後除以交易次數做平均)
elif (spread[i] - (close - stop_loss)) * (spread[i + 1] -
(close - stop_loss)) < 0:
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif adfuller( spread1 )[1] > 0.05 :
#position = -2 # 出現單跟，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+1)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+1)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif break_point == 3:
position = -3 # 結構性斷裂，強制平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
position = -4
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][len(tick_data) - 1],
table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][len(tick_data) - 1],
table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
else:
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
if position == -2 or position == -3 or position == -4 or position == 666:
stock1_payoff = 0
stock2_payoff = 0
else:
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
trading_profit = sum(stock1_profit) + sum(stock2_profit)
if trading_profit != 0 and position == 666:
position = 666
#local_profit.append(trading_profit)
local_profit = trading_profit
#local_open_num.append(trade)
local_open_num = trade
if trade == 0: # 如果都沒有開倉，則報酬為0
#local_rt.append(0)
#local_std.append(0)
#local_skew.append(0)
#local_timetrend.append(0)
local_rt = 0
local_std = 0
local_skew = 0
local_timetrend = 0
position = 0
else: # 計算平均報酬
#local_rt.append(trading_profit/(capital*trade) )
spread2 = w1 * np.log(
min_price[table.stock1[pair]].iloc[0:t]) + w2 * np.log(
min_price[table.stock2[pair]].iloc[0:t])
#local_std.append(np.std(spread2))
#local_skew.append(skew(spread2))
x = np.arange(0, t)
b1, b0 = np.polyfit(x, spread2, 1)
#local_timetrend.append(b1)
local_rt = trading_profit / (capital * trade)
local_std = np.std(spread2)
local_skew = skew(spread2)
local_timetrend = b1
#x = np.arange(0,121)
#plt.plot(spread)
#plt.axhline(y=close,color='r')
#plt.axhline(y=up_open,color='r')
#plt.axhline(y=down_open,color='r')
#plt.axhline(y=close+stop_loss,color='green')
#plt.axhline(y=close-stop_loss,color='green')
#bp = np.array(np.where( np.array(pos) == -3 ))
#if bp.size != 0:
#plt.axvline(x=bp[0][0],color='green')
#plt.show()
#print([table.stock1[pair],table.stock2[pair],trading_profit])
#posi = pos[len(spread)-2]
'''
if tax_cost == 0:
local_profit = pd.DataFrame(local_profit) ; local_profit.columns = ["profit without cost"]
else:
local_profit = pd.DataFrame(local_profit) ; local_profit.columns = ["profit"]
local_open_num = pd.DataFrame(local_open_num) ; local_open_num.columns = ["open number"]
local_rt = pd.DataFrame(local_rt) ; local_rt.columns = ["return"]
#back_test = pd.concat([local_profit,local_open_num,local_rt],axis=1)
'''
return [
local_profit, local_open_num, local_rt, local_std, local_skew,
local_timetrend, position
] #table.stock1 , table.stock2 , local_profit , local_open_num , local_rt , local_std , local_skew , local_timetrend #, 0
CNNBreak_price = AllCNNBreak_price
test_spread = Alltest_spread
test_stock1 = Alltest_stock1
test_stock2 = Alltest_stock2
test_vol_stock1 = Alltest_vol_stock1
test_vol_stock2 = Alltest_vol_stock2
record = Allrecord
##Open Test
#ADF Test
Open_table_index = []
int_w = []
for i in range(len(arg_mix)):
if arg_mix[i] != 0:
w1, w2 = num_weight(table.w1.iloc[i], table.w2.iloc[i],
Open_price[i, 0], Open_price[i, 1], maxi, capital)
if Adf:
if tick:
ADF_spread = w1 * np.log( test_stock1[i,:(150*(1*half)+arg_test[i])] ) +\
w2 * np.log( test_stock2[i,:(150*(1*half)+arg_test[i])] )
else: #此處僅為表示tick與非tick算式一樣但想法上有本質上的不同
ADF_spread = w1 * np.log( test_stock1[i,:(150+arg_test[i])] ) +\
w2 * np.log( test_stock2[i,:(150+arg_test[i])] )
if adfuller(ADF_spread, regression='c')[1] <= 0.05:
Open_table_index.append(i)
int_w.append([w1, w2])
else:
Open_table_index.append(i)
int_w.append([w1, w2])
int_w = np.array(int_w)
def pairs(pair,
formate_time,
table,
tick_data,
up_open_time,
down_open_time,
stop_loss_time,
day1,
maxi,
tax_cost,
cost_gate,
capital,
dump=False):
'''
if str(table.stock1[pair]) == '1504' and str(table.stock2[pair]) == '2301':
pass
else:
return 0,0,0,[0,0,0]
'''
#table = pd.DataFrame(table).T
trade_capital = 0
cpA, cpB = 0, 0
trading = [0, 0, 0]
'''
if table.model_type[pair] == 'model1':
model_name = 'H2'
elif table.model_type[pair] == 'model2':
model_name = 'H1*'
else:
model_name = 'H1'
'''
use_fore_lag5 = False
use_adf = False
# 波動太小的配對不開倉
if up_open_time * table.Estd[pair] < cost_gate:
trading_profit = 0
trade = 0
local_profit = 0
local_open_num = 0
local_rt = 0
local_std = 0
local_skew = 0
local_timetrend = 0
position = 0
return local_profit, local_open_num, trade_capital, trading
min_price = day1
# min_price = min_price.dropna(axis = 1)
# min_price.index = np.arange(0,len(min_price),1)
# num = np.arange(0,len(table),1)
t = formate_time # formate time
stock1_seq = min_price[str(table.stock1[pair])].loc[0:t]
stock2_seq = min_price[str(table.stock2[pair])].loc[0:t]
# z = ( np.vstack( [stock1_seq , stock2_seq] ).T )
# p = order_select(z,5)
local_open_num = []
local_profit = []
local_rt = []
local_std = []
local_skew = []
local_timetrend = []
# for pair in num:
spread = table.w1[pair] * np.log(tick_data[str(
table.stock1[pair])]) + table.w2[pair] * np.log(tick_data[str(
table.stock2[pair])])
#print("spread length :",len(spread))
up_open = table.Emu[pair] + table.Estd[pair] * up_open_time # 上開倉門檻
down_open = table.Emu[pair] - table.Estd[pair] * down_open_time # 下開倉門檻
stop_loss = table.Estd[pair] * stop_loss_time # 停損門檻
close = table.Emu[pair] # 平倉(均值)
#M = round(1 / table.zcr[pair]) # 平均持有時間
trade = 0 # 計算開倉次數
break_point = 0 # 計算累積斷裂點
# break_CNN = 0
# discount = 1
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
pos = [0]
stock1_profit = []
stock2_profit = []
num = 0
for i in range(0, len(spread) - 2):
stock1_seq = min_price[str(table.stock1[pair])].loc[0:t + i]
stock2_seq = min_price[str(table.stock2[pair])].loc[0:t + i]
# z = ( np.vstack( [stock1_seq , stock2_seq] ).T )
# r = rank( pd.DataFrame(z) , model_name , p )
# if position == 0 and len(spread) - i > M: # 之前無開倉
#if position == 0 and i != len(spread) - 3 and i < 40: # 之前無開倉
if position == 0 and i != len(spread) - 3:
if spread[i] < (close + stop_loss
) and spread[i] > up_open: # 碰到上開倉門檻且小於上停損門檻
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[str(table.stock1[pair])][i],
tick_data[str(table.stock2[pair])][i],
maxi, capital)
# print(str(table.stock1[pair]),str(table.stock2[pair]),w1,w2,tick_data[str(table.stock1[pair])][(i)],tick_data[str(table.stock2[pair])][(i)])
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if use_adf and adfuller(
spread1, regression='c')[1] > 0.05: # spread平穩才開倉
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = -1
stock1_payoff = w1 * slip(
tick_data[str(table.stock1[pair])][(i)],
table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[str(table.stock2[pair])][(i)],
table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
# down_open = table.mu[pair] - table.stdev[pair] * close_time
trade = trade + 1
elif spread[i] > (close - stop_loss
) and spread[i] < down_open: # 碰到下開倉門檻且大於下停損門檻
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[str(table.stock1[pair])][(i)],
tick_data[str(table.stock2[pair])][(i)],
maxi, capital)
# print(str(table.stock1[pair]), str(table.stock2[pair]),w1,w2,tick_data[str(table.stock1[pair])][(i)],tick_data[str(table.stock2[pair])][(i)])
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if use_adf and adfuller(
spread1, regression='c')[1] > 0.05: # spread平穩才開倉
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = 1
stock1_payoff = -w1 * slip(
tick_data[str(table.stock1[pair])][(i)],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[str(table.stock2[pair])][(i)],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
# up_open = table.mu[pair] + table.stdev[pair] * close_time
trade = trade + 1
else:
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
#num = fore_chow(min_price[str(table.stock1[pair])].loc[0:t], min_price[str(table.stock2[pair])].loc[0:t], stock1_seq,
#stock2_seq, table.model_type[pair]) #做forlag5
if use_fore_lag5:
if num == 0:
break_point = 0
else: # num == 1
break_point = break_point + num
'''
temp=np.array(spread1[i:t+i]).reshape(1,200,1)
num = model.predict_classes(temp)
if num == 0 or num == 4:
break_CNN = 0
else: # num == 1
num = 1
break_CNN = break_CNN + num
'''
if i == (len(spread) - 3): # 回測結束，強制平倉
position = -4
stock1_payoff = -w1 * slip(
tick_data[str(table.stock1[pair])][i], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[str(table.stock2[pair])][i], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
elif (spread[i] - close) < 0: # 空倉碰到下開倉門檻即平倉
position = 666 # 平倉
stock1_payoff = -w1 * slip(
tick_data[str(table.stock1[pair])][i], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[str(table.stock2[pair])][i], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
# print(str(table.stock1[pair]),str(table.stock2[pair]),w1,w2,tick_data[str(table.stock1[pair])][(i)],tick_data[str(table.stock2[pair])][(i)])
trading[0] += 1
# down_open = table.mu[pair] - table.stdev[pair] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] > (close + stop_loss): # 空倉碰到上停損門檻即平倉停損
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(
tick_data[str(table.stock1[pair])][(i)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[str(table.stock2[pair])][(i)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif adfuller( spread1 , regression='c' )[1] > 0.05 :
# position = -3 # 出現單跟，強制平倉
# stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+1)] , -table.w1[pair] )
# stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+1)] , -table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif r < 1:
# position = -3 # 結構性斷裂，強制平倉
# stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+1)] , -table.w1[pair] )
# stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+1)] , -table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
elif break_point == 5:
position = -3 # 結構性斷裂，強制平倉
stock1_payoff = -w1 * slip(
tick_data[str(table.stock1[pair])][(i + 1)],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[str(table.stock2[pair])][(i + 1)],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif spread_chow( spread1 , i ) == 1 :
# position = -2 # 結構性斷裂，強制平倉
# stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
# stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif send_request( spread1 , 150 , 0.9 ) == 1:
# position = -2 # LSTM偵測，強制平倉
# stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
# stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif break_CNN == 5:
# position = -3 # CNN偵測，強制平倉
# stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
# stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
# print(str(table.stock1[pair]), str(table.stock2[pair]), w1, w2, tick_data[str(table.stock1[pair])][(i)],
# tick_data[str(table.stock2[pair])][(i)])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
#num = fore_chow(min_price[str(table.stock1[pair])].loc[0:t], min_price[str(table.stock2[pair])].loc[0:t], stock1_seq,
# stock2_seq, table.model_type[pair]) #做forlag5
if use_fore_lag5:
if num == 0:
break_point = 0
else: # num == 1
break_point = break_point + num
'''
temp=np.array(spread1[i:t+i]).reshape(1,200,1)
num = model.predict_classes(temp)
if num == 0 or num == 4:
break_CNN = 0
else: # num == 1
num = 1
break_CNN = break_CNN + num
'''
if i == (len(spread) - 3): # 回測結束，強制平倉
position = -4
stock1_payoff = w1 * slip(
tick_data[str(table.stock1[pair])][i], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[str(table.stock2[pair])][i], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# print(str(table.stock1[pair]), str(table.stock2[pair]), w1, w2, tick_data[str(table.stock1[pair])][(i)],
# tick_data[str(table.stock2[pair])][(i)])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif (spread[i] - close) > 0:
position = 666 # 平倉
stock1_payoff = w1 * slip(
tick_data[str(table.stock1[pair])][(i)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[str(table.stock2[pair])][(i)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
# print(str(table.stock1[pair]),str(table.stock2[pair]),w1,w2,tick_data[str(table.stock1[pair])][(i)],tick_data[str(table.stock2[pair])][(i)])
trading[0] += 1
# up_open = table.mu[pair] + table.stdev[pair] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] < (close - stop_loss):
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(
tick_data[str(table.stock1[pair])][(i)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[str(table.stock2[pair])][(i)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif adfuller( spread1 , regression='c' )[1] > 0.05 :
# position = -3 # 出現單跟，強制平倉
# stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+1)] , table.w1[pair] )
# stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+1)] , table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif r < 1:
# position = -3 # 結構性斷裂，強制平倉
# stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+1)] , table.w1[pair] )
# stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+1)] , table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
elif break_point == 5:
position = -3 # 結構性斷裂，強制平倉
stock1_payoff = w1 * slip(
tick_data[str(table.stock1[pair])][(i)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[str(table.stock2[pair])][(i)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif spread_chow( spread1 , i ) == 1 :
# position = -2 # 結構性斷裂，強制平倉
# stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
# stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif send_request( spread1 , 150 , 0.9 ) == 1:
# position = -2 # LSTM偵測，強制平倉
# stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
# stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
# elif break_CNN == 5:
# position = -3 # CNN偵測，強制平倉
# stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
# stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
# stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
# -4: 強迫平倉 -3: 結構性斷裂平倉(for lag 5) -2:停損 666:正常平倉
if position == -2 or position == -3 or position == -4 or position == 666:
stock1_payoff = 0
stock2_payoff = 0
else:
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
trading_profit = sum(stock1_profit) + sum(stock2_profit)
if trading_profit != 0 and position == 666:
position = 666
# if (open_time + close_time) * table.stdev[pair] < cost_gate:
# trading_profit = 0
# trade = 0
# local_profit.append(trading_profit)
local_profit = trading_profit
# local_open_num.append(trade)
local_open_num = trade
if trade == 0: # 如果都沒有開倉，則報酬為0
# local_rt.append(0)
# local_std.append(0)
# local_skew.append(0)
# local_timetrend.append(0)
local_rt = 0
local_std = 0
local_skew = 0
local_timetrend = 0
position = 0
else: # 計算平均報酬
# local_rt.append(trading_profit/(capital*trade) )
spread2 = w1 * np.log(min_price[str(
table.stock1[pair])].iloc[0:t]) + w2 * np.log(min_price[str(
table.stock2[pair])].iloc[0:t])
# local_std.append(np.std(spread2))
# local_skew.append(skew(spread2))
x = np.arange(0, t)
b1, b0 = np.polyfit(x, spread2, 1)
# local_timetrend.append(b1)
local_rt = trading_profit / (capital * trade)
local_std = np.std(spread2)
local_skew = skew(spread2)
local_timetrend = b1
if cpA > 0 and cpB > 0:
trade_capital = abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital = abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital = 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital = 0.9 * abs(cpA) + 0.9 * abs(cpB)
# -4: 強迫平倉 -3: 結構性斷裂平倉(for lag 5) -2:停損 666:正常平倉
if True: # (position == -2 or position == -3 or position == -4) and local_profit <= -10 :
if dump:
plot_spread(table.stock1[pair], table.stock2[pair], spread,
up_open, down_open, stop_loss, close, local_profit,
pos, position, up_open_time, down_open_time,
stop_loss_time)
return local_profit, local_open_num, trade_capital, trading
def pairs(pair, formate_time, table, min_data, tick_data, open_time,
stop_loss_time, day1, maxi, tax_cost, capital):
text_file = open("./label/label5.txt", "a", encoding="utf-8")
table = pd.DataFrame(table).T
#print(table.stock1[pair],table.stock2[pair])
min_price = day1
#min_price = min_price.dropna(axis = 1)
#min_price.index = np.arange(0,len(min_price),1)
#num = np.arange(0,len(table),1)
t = formate_time # formate time
local_open_num = []
local_profit = []
local_rt = []
#for pair in num:
spread = table.w1[pair] * np.log(
min_data[table.stock1[pair]]) + table.w2[pair] * np.log(
min_data[table.stock2[pair]])
up_open = table.mu[pair] + table.stdev[pair] * open_time # 上開倉門檻
down_open = table.mu[pair] - table.stdev[pair] * open_time # 下開倉門檻
stop_loss = table.stdev[pair] * stop_loss_time # 停損門檻
close = table.mu[pair] # 平倉(均值)
M = round(1 /
table.zcr[pair]) if (len(spread) >= 115
and table.zcr[pair] != 0) else 0 # 平均持有時間
trade = 0 # 計算開倉次數
#discount = 1
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
#model=load_model('model.h5')
#model.summary()
pos = []
stock1_profit = []
stock2_profit = []
no_more = False
for i in range(len(spread) - 2):
#print(str(min_price["mtimestamp"][t+i]) + ": ", end="")
stock1_seq = min_price[table.stock1[pair]].loc[0:t + i]
stock2_seq = min_price[table.stock2[pair]].loc[0:t + i]
if position == 0 and len(spread) - i > M: # 之前無開倉
#print("之前無開倉，且剩餘時間大於平均持有時間 ", end="")
if (spread[i] - up_open) * (spread[i + 1] - up_open) < 0:
#print("碰到上開倉門檻, ", end="")
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[table.stock1[pair]][(i + 2)],
tick_data[table.stock2[pair]][(i + 2)],
maxi, capital)
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if adfuller(spread1, regression='ct')[1] > 0.05: # spread平穩才開倉
#print("spread不平穩，不開倉")
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = -1
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 2)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 2)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trade = trade + 1
#print("spread平穩，上開倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
elif (spread[i] - down_open) * (spread[i + 1] - down_open) < 0:
#print("碰到下開倉門檻, ", end="")
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[table.stock1[pair]][(i + 2)],
tick_data[table.stock2[pair]][(i + 2)],
maxi, capital)
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if adfuller(spread1, regression='ct')[1] > 0.05: # spread平穩才開倉
#print("spread不平穩，不開倉")
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = 1
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 2)],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 2)],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trade = trade + 1
#print("spread平穩，下開倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
else:
#print("沒碰到開倉門檻，維持不開倉")
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
#print("之前有開空倉, ", end="")
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
#temp=spread1[i+1:t+i+1].reshape(1,150,1)
#pre=model.predict_classes(temp)
if (spread[i] - close) * (spread[i + 1] - close) < 0:
position = 0 # 平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 2)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 2)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#print("碰到均值，平空倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
elif (spread[i] - (close + stop_loss)) * (spread[i + 1] -
(close + stop_loss)) < 0:
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 2)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 2)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#print("碰到停損門檻，強制平倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
#elif adfuller( spread1 , regression='ct' )[1] > 0.05 :
#position = -3 # 出現單跟，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif fore_chow(min_price[table.stock1[pair]].loc[0:t],
min_price[table.stock2[pair]].loc[0:t], stock1_seq,
stock2_seq) == 1:
position = -3 # 結構性斷裂，強制平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 2)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 2)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
print("結構性斷裂，強制平倉", int(w1), stock1_payoff, int(w2),
stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
#elif spread_chow( spread1 , i ) == 1 :
#position = -2 # 結構性斷裂，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif send_request( spread1 , 150 , 0.9 ) == 1:
#position = -2 # LSTM偵測，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif ( (pre!=0) | (pre!=4) ):
#position = -2 # CNN偵測，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
position = -2
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][len(tick_data) - 1],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][len(tick_data) - 1],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#print("回測結束，強制平倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
else:
#print("沒碰到均值，維持")
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
#print("之前有開多倉, ", end="")
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
#temp=spread1[i+1:t+i+1].reshape(1,150,1)
#pre=model.predict_classes(temp)
if (spread[i] - close) * (spread[i + 1] - close) < 0:
position = 0 # 平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 2)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 2)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#print("碰到均值，平多倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
elif (spread[i] - (close - stop_loss)) * (spread[i + 1] -
(close - stop_loss)) < 0:
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 2)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 2)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#print("碰到停損門檻，強制平倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
#elif adfuller( spread1 , regression='ct' )[1] > 0.05 :
#position = -3 # 出現單跟，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif fore_chow(min_price[table.stock1[pair]].loc[0:t],
min_price[table.stock2[pair]].loc[0:t], stock1_seq,
stock2_seq) == 1:
position = -3 # 結構性斷裂，強制平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 2)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 2)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
print("結構性斷裂，強制平倉", int(w1), stock1_payoff, int(w2),
stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
#elif spread_chow( spread1 , i ) == 1 :
#position = -2 # 結構性斷裂，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif send_request( spread1 , 150 , 0.9 ) == 1:
#position = -2 # LSTM偵測，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif ( (pre!=0) | (pre!=4) ):
#position = -2 # CNN偵測，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
position = -2
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][len(tick_data) - 1],
table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][len(tick_data) - 1],
table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#print("回測結束，強制平倉", int(w1), stock1_payoff, int(w2), stock2_payoff)
#每次交易報酬做累加(最後除以交易次數做平均)
else:
#print("沒碰到均值，維持")
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
no_more = True
if position == -2 or position == -3:
if (position == -3):
#print(",".join([table.stock1[pair],str(min_price["mtimestamp"][t+i])]))
print(",".join([
table.stock1[pair], table.stock2[pair],
str(min_price["mtimestamp"][t + i])
]),
file=text_file)
#print(",".join([table.stock1[pair],str(min_price["mtimestamp"][t+i])]),file=text_file)
print("配對已經不適合交易")
stock1_payoff = 0
stock2_payoff = 0
else:
#print("剩下時間少於預期開倉時間，不開倉，避免損失")
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
if (no_more):
break
#print(position)
#x = np.arange(0,121)
#plt.plot(spread)
#plt.axhline(y=close,color='r')
#plt.axhline(y=up_open,color='r')
#plt.axhline(y=down_open,color='r')
#plt.axhline(y=close+stop_loss,color='green')
#plt.axhline(y=close-stop_loss,color='green')
#bp = np.array(np.where( pos == -3 ))
#if bp.size != 0:
#plt.axvline(x=bp[0][0],color='green')
#plt.show()
trading_profit = sum(stock1_profit) + sum(stock2_profit)
if 1.2 * table.stdev[pair] < tax_cost:
trading_profit = 0
trade = 0
local_profit.append(trading_profit)
#local_profit = trading_profit
local_open_num.append(trade)
#local_open_num = trade
if trade == 0: # 如果都沒有開倉，則報酬為0
local_rt.append(0)
#local_rt = 0
else: # 計算平均報酬
local_rt.append(trading_profit / (capital * trade))
#local_rt = trading_profit/(capital*trade)
#posi = pos[len(spread)-2]
'''
if tax_cost == 0:
local_profit = pd.DataFrame(local_profit) ; local_profit.columns = ["profit without cost"]
else:
local_profit = pd.DataFrame(local_profit) ; local_profit.columns = ["profit"]
local_open_num = pd.DataFrame(local_open_num) ; local_open_num.columns = ["open number"]
local_rt = pd.DataFrame(local_rt) ; local_rt.columns = ["return"]
#back_test = pd.concat([local_profit,local_open_num,local_rt],axis=1)
'''
return table.stock1, table.stock2, local_profit, local_open_num, local_rt #, 0
def pairs(pair, formate_time, table, min_data, tick_data, open_time,
close_time, stop_loss_time, day1, maxi, tax_cost, cost_gate, capital,
model):
table = pd.DataFrame(table).T
'''
if table.model_type[pair] == 'model1':
model_name = 'H2'
elif table.model_type[pair] == 'model2':
model_name = 'H1*'
else:
model_name = 'H1'
'''
# 波動太小的配對不開倉
if (open_time + close_time) * table.stdev[pair] < cost_gate:
trading_profit = 0
trade = 0
local_profit = 0
local_open_num = 0
local_rt = 0
local_std = 0
local_skew = 0
local_timetrend = 0
position = 0
return [
local_profit, local_open_num, local_rt, local_std, local_skew,
local_timetrend, position
]
min_price = day1
#min_price = min_price.dropna(axis = 1)
#min_price.index = np.arange(0,len(min_price),1)
#num = np.arange(0,len(table),1)
t = formate_time # formate time
stock1_seq = min_price[table.stock1[pair]].loc[0:t]
stock2_seq = min_price[table.stock2[pair]].loc[0:t]
#z = ( np.vstack( [stock1_seq , stock2_seq] ).T )
#p = order_select(z,5)
local_open_num = []
local_profit = []
local_rt = []
local_std = []
local_skew = []
local_timetrend = []
#for pair in num:
#spread = table.w1[pair] * np.log(min_data[ table.stock1[pair] ]) + table.w2[pair] * np.log(min_data[ table.stock2[pair] ])
spread = table.w1[pair] * np.log(
tick_data[table.stock1[pair]]) + table.w2[pair] * np.log(
tick_data[table.stock2[pair]])
up_open = table.mu[pair] + table.stdev[pair] * open_time # 上開倉門檻
down_open = table.mu[pair] - table.stdev[pair] * open_time # 下開倉門檻
stop_loss = table.stdev[pair] * stop_loss_time # 停損門檻
close = table.mu[pair] # 平倉(均值)
M = round(1 / table.zcr[pair]) # 平均持有時間
trade = 0 # 計算開倉次數
break_point = 0 # 計算累積斷裂點
#break_CNN = 0
#discount = 1
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
pos = []
stock1_profit = []
stock2_profit = []
for i in range(len(spread) - 2):
stock1_seq = min_price[table.stock1[pair]].loc[0:t + i]
stock2_seq = min_price[table.stock2[pair]].loc[0:t + i]
#z = ( np.vstack( [stock1_seq , stock2_seq] ).T )
#r = rank( pd.DataFrame(z) , model_name , p )
if position == 0 and len(spread) - i > M: # 之前無開倉
if (spread[i] - up_open) * (spread[i + 1] - up_open) < 0:
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[table.stock1[pair]][(i + 1)],
tick_data[table.stock2[pair]][(i + 1)],
maxi, capital)
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if adfuller(spread1, regression='c')[1] > 1: # spread平穩才開倉
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = -1
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
down_open = table.mu[pair] - table.stdev[pair] * close_time
trade = trade + 1
elif (spread[i] - down_open) * (spread[i + 1] - down_open) < 0:
# 資金權重轉股票張數，並整數化
w1, w2 = num_weight(table.w1[pair], table.w2[pair],
tick_data[table.stock1[pair]][(i + 1)],
tick_data[table.stock2[pair]][(i + 1)],
maxi, capital)
spread1 = w1 * np.log(stock1_seq) + w2 * np.log(stock2_seq)
if adfuller(spread1, regression='c')[1] > 1: # spread平穩才開倉
position = 0
stock1_payoff = 0
stock2_payoff = 0
else:
position = 1
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 1)],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 1)],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
up_open = table.mu[pair] + table.stdev[pair] * close_time
trade = trade + 1
else:
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
num = fore_chow(min_price[table.stock1[pair]].loc[0:t],
min_price[table.stock2[pair]].loc[0:t], stock1_seq,
stock2_seq, table.model_type[pair])
if num == 0:
break_point = 0
else: # num == 1
break_point = break_point + num
'''
temp=np.array(spread1[i:t+i]).reshape(1,200,1)
num = model.predict_classes(temp)
if num == 0 or num == 4:
break_CNN = 0
else: # num == 1
num = 1
break_CNN = break_CNN + num
'''
if (spread[i] - down_open) * (spread[i + 1] - down_open) < 0:
position = 666 # 平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
down_open = table.mu[pair] - table.stdev[pair] * open_time
#每次交易報酬做累加(最後除以交易次數做平均)
elif (spread[i] - (close + stop_loss)) * (spread[i + 1] -
(close + stop_loss)) < 0:
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], -table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], -table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif adfuller( spread1 , regression='c' )[1] > 0.05 :
#position = -3 # 出現單跟，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+1)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+1)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif r < 1:
#position = -3 # 結構性斷裂，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+1)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+1)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif break_point == 1:
#position = -3 # 結構性斷裂，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+1)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+1)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif spread_chow( spread1 , i ) == 1 :
#position = -2 # 結構性斷裂，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif send_request( spread1 , 150 , 0.9 ) == 1:
#position = -2 # LSTM偵測，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif break_CNN == 5:
#position = -3 # CNN偵測，強制平倉
#stock1_payoff = -w1 * slip( tick_data[table.stock1[pair]][(i+2)] , -table.w1[pair] )
#stock2_payoff = -w2 * slip( tick_data[table.stock2[pair]][(i+2)] , -table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
position = -4
stock1_payoff = -w1 * slip(
tick_data[table.stock1[pair]][len(tick_data) - 1],
-table.w1[pair])
stock2_payoff = -w2 * slip(
tick_data[table.stock2[pair]][len(tick_data) - 1],
-table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
else:
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
spread1 = table.w1[pair] * np.log(
stock1_seq) + table.w2[pair] * np.log(stock2_seq)
num = fore_chow(min_price[table.stock1[pair]].loc[0:t],
min_price[table.stock2[pair]].loc[0:t], stock1_seq,
stock2_seq, table.model_type[pair])
if num == 0:
break_point = 0
else: # num == 1
break_point = break_point + num
'''
temp=np.array(spread1[i:t+i]).reshape(1,200,1)
num = model.predict_classes(temp)
if num == 0 or num == 4:
break_CNN = 0
else: # num == 1
num = 1
break_CNN = break_CNN + num
'''
if (spread[i] - up_open) * (spread[i + 1] - up_open) < 0:
position = 666 # 平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
up_open = table.mu[pair] + table.stdev[pair] * open_time
#每次交易報酬做累加(最後除以交易次數做平均)
elif (spread[i] - (close - stop_loss)) * (spread[i + 1] -
(close - stop_loss)) < 0:
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][(i + 1)], table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][(i + 1)], table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif adfuller( spread1 , regression='c' )[1] > 0.05 :
#position = -3 # 出現單跟，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+1)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+1)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif r < 1:
#position = -3 # 結構性斷裂，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+1)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+1)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif break_point == 1:
#position = -3 # 結構性斷裂，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+1)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+1)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif spread_chow( spread1 , i ) == 1 :
#position = -2 # 結構性斷裂，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif send_request( spread1 , 150 , 0.9 ) == 1:
#position = -2 # LSTM偵測，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
#elif break_CNN == 5:
#position = -3 # CNN偵測，強制平倉
#stock1_payoff = w1 * slip( tick_data[table.stock1[pair]][(i+2)] , table.w1[pair] )
#stock2_payoff = w2 * slip( tick_data[table.stock2[pair]][(i+2)] , table.w2[pair] )
#stock1_payoff , stock2_payoff = tax(stock1_payoff , stock2_payoff , position , tax_cost ) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
position = -4
stock1_payoff = w1 * slip(
tick_data[table.stock1[pair]][len(tick_data) - 1],
table.w1[pair])
stock2_payoff = w2 * slip(
tick_data[table.stock2[pair]][len(tick_data) - 1],
table.w2[pair])
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
#每次交易報酬做累加(最後除以交易次數做平均)
else:
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
if position == -2 or position == -3 or position == -4 or position == 666:
stock1_payoff = 0
stock2_payoff = 0
else:
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
trading_profit = sum(stock1_profit) + sum(stock2_profit)
if trading_profit != 0 and position == 666:
position = 666
#if (open_time + close_time) * table.stdev[pair] < cost_gate:
#trading_profit = 0
#trade = 0
#local_profit.append(trading_profit)
local_profit = trading_profit
#local_open_num.append(trade)
local_open_num = trade
if trade == 0: # 如果都沒有開倉，則報酬為0
#local_rt.append(0)
#local_std.append(0)
#local_skew.append(0)
#local_timetrend.append(0)
local_rt = 0
local_std = 0
local_skew = 0
local_timetrend = 0
position = 0
else: # 計算平均報酬
#local_rt.append(trading_profit/(capital*trade) )
spread2 = w1 * np.log(
min_price[table.stock1[pair]].iloc[0:t]) + w2 * np.log(
min_price[table.stock2[pair]].iloc[0:t])
#local_std.append(np.std(spread2))
#local_skew.append(skew(spread2))
x = np.arange(0, t)
b1, b0 = np.polyfit(x, spread2, 1)
#local_timetrend.append(b1)
local_rt = trading_profit / (capital * trade)
local_std = np.std(spread2)
local_skew = skew(spread2)
local_timetrend = b1
#x = np.arange(0,121)
#plt.plot(spread)
#plt.axhline(y=close,color='r')
#plt.axhline(y=up_open,color='r')
#plt.axhline(y=down_open,color='r')
#plt.axhline(y=close+stop_loss,color='green')
#plt.axhline(y=close-stop_loss,color='green')
#bp = np.array(np.where( np.array(pos) == -3 ))
#if bp.size != 0:
#plt.axvline(x=bp[0][0],color='green')
#plt.show()
#print([table.stock1[pair],table.stock2[pair],trading_profit])
#posi = pos[len(spread)-2]
'''
if tax_cost == 0:
local_profit = pd.DataFrame(local_profit) ; local_profit.columns = ["profit without cost"]
else:
local_profit = pd.DataFrame(local_profit) ; local_profit.columns = ["profit"]
local_open_num = pd.DataFrame(local_open_num) ; local_open_num.columns = ["open number"]
local_rt = pd.DataFrame(local_rt) ; local_rt.columns = ["return"]
#back_test = pd.concat([local_profit,local_open_num,local_rt],axis=1)
'''
return [
local_profit, local_open_num, local_rt, local_std, local_skew,
local_timetrend, position
] #table.stock1 , table.stock2 , local_profit , local_open_num , local_rt , local_std , local_skew , local_timetrend #, 0
def pairs(s1_tick, s2_tick, table, strategy):
trade_capital = 0
cpA,cpB = 0,0
trading_profit = 0.0
trade = 0
trade_capital = 0
trade_return = 0.0
# 波動太小的配對不開倉
if volaitlity_small(strategy, table):
return trade, trading_profit, trade_capital, trade_return
spread = table["w1"] * np.log(s1_tick) + table["w2"] * np.log(s2_tick)
close, up_open, down_open = build_open(spread, table, strategy)
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
stock1_profit = []
stock2_profit = []
spread_len = len(spread)
for i in range(0, spread_len - 2):
if position == 0 and i != spread_len - 3: # 之前無開倉
if spread[i] < down_open[i]: # 碰到下開倉門檻且大於下停損門檻
w1, w2 = num_weight(table["w1"], table["w2"], s1_tick[i], s2_tick[i], strategy["maxhold"], strategy["captial"])
stock1_payoff, stock2_payoff = down_open(
time = i,
s1_tick = s1_tick
s2_tick = s2_tick,
table = table,
strategy = strategy
)
cpA, cpB = stock1_payoff, stock2_payoff
position = 1
trade = 1
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
elif position == -1: # 之前有開空倉，平空倉
if i == (spread_len - 3): # 回測結束，強制平倉
position = -4
stock1_payoff, stock2_payoff = up_close(w1, w2, s1_tick[i], s2_tick[i], strategy["tax_cost"], position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
break
elif (spread[i] - close[i]) < 0: # 空倉碰到下開倉門檻即平倉
position = 666 # 平倉
stock1_payoff, stock2_payoff = up_close(w1, w2, s1_tick[i], s2_tick[i], strategy["tax_cost"], position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
break
elif position == 1: # 之前有開多倉，平多倉
if (i == spread_len - 3): # 回測結束，強制平倉
position = -4
stock1_payoff, stock2_payoff = down_close(w1, w2, s1_tick[i], s2_tick[i], strategy["tax_cost"], position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
break
elif (spread[i] - close[i]) > 0:
position = 666 # 平倉
stock1_payoff, stock2_payoff = down_close(w1, w2, s1_tick[i], s2_tick[i], strategy["tax_cost"], position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
break
trading_profit = sum(stock1_profit) + sum(stock2_profit)
if cpA > 0 and cpB > 0:
trade_capital = abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0 :
trade_capital = abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0 :
trade_capital = 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0 :
trade_capital = 0.9 * abs(cpA) + 0.9 * abs(cpB)
if trade > 0: # 如果都沒有開倉，則報酬為0
trade_return = trading_profit / trade_capital
return trade, trading_profit, trade_capital
def pairs(
choose_date,
pos,
formate_time,
table,
tick_data,
half_data,
prev_data,
maxi,
tax_cost,
cost_gate,
capital,
):
s1 = str(table.stock1[pos])
s2 = str(table.stock2[pos])
tw1 = table.w1[pos]
tw2 = table.w2[pos]
Estd = table.Estd[pos]
Emu = table.Emu[pos]
up_open_time = 1.5
down_open_time = up_open_time
stop_loss_time = 10000 #actions[table.action[pos]][1] #actions[0][1] 2.5
up_open = Emu + Estd * up_open_time # 上開倉門檻
down_open = Emu - Estd * down_open_time # 下開倉門檻
stop_loss = Estd * stop_loss_time # stop_loss_time # 停損門檻
close = Emu # 平倉(均值)
trade_capital = 0
cpA, cpB = 0, 0
trading = [0, 0, 0]
trade_capital = 0
cpA, cpB = 0, 0
trading = [0, 0, 0]
used_news = False
re_last = False
choose_date = choose_date[:4] + "-" + choose_date[4:6] + "-" + choose_date[
6:]
s1_news = pd.DataFrame()
s2_news = pd.DataFrame()
if s1 in all_news:
s1_news = pd.DataFrame.from_dict(all_news[s1])
s1_news = s1_news[s1_news["time"].str.startswith(choose_date)]
if s2 in all_news:
s2_news = pd.DataFrame.from_dict(all_news[s2])
s2_news = s2_news[s2_news["time"].str.startswith(choose_date)]
_9am = pd.to_datetime(choose_date + " 01:00", utc=True)
if not s1_news.empty:
s1_news["predict"] = s1_news["predict"].apply(lambda x: -1
if x == 0 else x)
s1_news["time"] = pd.to_datetime(s1_news["time"], utc=True)
s1_news["9am_offset"] = s1_news["time"].apply(
lambda x: (x.ceil(freq='1T') - _9am).total_seconds() // 60)
s1_news = s1_news[(s1_news["9am_offset"] <= 300)
& (s1_news["9am_offset"] >= -120)]
if not s2_news.empty:
s2_news["predict"] = s2_news["predict"].apply(lambda x: -1
if x == 0 else x)
s2_news["time"] = pd.to_datetime(s2_news["time"], utc=True)
s2_news["9am_offset"] = s2_news["time"].apply(
lambda x: (x.ceil(freq='1T') - _9am).total_seconds() // 60)
s2_news = s2_news[(s2_news["9am_offset"] <= 300)
& (s2_news["9am_offset"] >= -120)]
# if not s1_news.empty or not s2_news.empty:
# print(s1_news, s2_news)
# # 波動太小的配對不開倉
if up_open_time * Estd < cost_gate:
# trade_process.append([tick_data.mtimestamp[1], "配對波動太小，不開倉"])
# print("配對波動太小，不開倉")
trading_profit = 0
trade = 0
local_profit = 0
position = 0
return used_news, local_profit, trade_capital, trade, 0, 0, 0, re_last
t = formate_time # formate time
local_profit = []
spread = tw1 * np.log(tick_data[s1]) + tw2 * np.log(tick_data[s2])
# M = round(1 / table.zcr[pos]) # 平均持有時間
trade = 0 # 計算開倉次數
break_point = 0 # 計算累積斷裂點
position = 0 # 持倉狀態，1:多倉，0:無倉，-1:空倉，-2：強制平倉
pos = [0, 0]
stock1_profit = []
stock2_profit = []
# print(s1_news, s2_news)
for i in range(0, len(spread) - 2):
if (position == 0 and i != (len(spread) - 3) and i < 40): # 之前無開倉
s1_news_trend = 0
s2_news_trend = 0
if not s1_news.empty:
tmp_s1_news = s1_news[(s1_news["9am_offset"] <=
(i + formate_time))].tail()
if not tmp_s1_news.empty:
s1_news_trend = tmp_s1_news["predict"].iloc[0]
if not s2_news.empty:
tmp_s2_news = s2_news[(s2_news["9am_offset"] <=
(i + formate_time))].tail()
if not tmp_s2_news.empty:
s2_news_trend = tmp_s2_news["predict"].iloc[0]
s1_stock_trend = tick_data[s1][i] - prev_data[s1][0]
s2_stock_trend = tick_data[s2][i] - prev_data[s2][0]
if spread[i] < (close + stop_loss
) and spread[i] > up_open: # 碰到上開倉門檻且小於上停損門檻
# 資金權重轉股票張數，並整數化
if ((s1_news_trend * (-tw1)) < 0
or (s2_news_trend * (-tw2)) < 0):
used_news = True
if (((-tw1) * (-s1_stock_trend)) < 0
or ((-tw2) * (-s2_stock_trend)) < 0):
re_last = True
continue
else:
if (s1_news_trend != 0 or s2_news_trend != 0):
used_news = True
if (((-tw1) * (-s1_stock_trend)) < 0
or ((-tw2) * (-s2_stock_trend)) < 0):
re_last = True
continue
# print(tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][2 * i + 1],
tick_data[s2][2 * i + 1], maxi, capital)
position = -1
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# down_open = table.mu[pos] - table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上開倉門檻 ,上開倉<br>",w1, w2, stock1_payoff+stock2_payoff])
elif spread[i] > (close - stop_loss
) and spread[i] < down_open: # 碰到下開倉門檻且大於下停損門檻
# 資金權重轉股票張數，並整數化
if ((s1_news_trend * tw1) < 0 or (s2_news_trend * tw2) < 0):
used_news = True
if (((tw1) * (-s1_stock_trend)) < 0
or ((tw2) * (-s2_stock_trend)) < 0):
re_last = True
continue
else:
if (s1_news_trend != 0 or s2_news_trend != 0):
used_news = True
if (((tw1) * (-s1_stock_trend)) < 0
or ((tw2) * (-s2_stock_trend)) < 0):
re_last = True
continue
# print(tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉")
w1, w2 = num_weight(tw1, tw2, tick_data[s1][2 * i + 1],
tick_data[s2][2 * i + 1], maxi, capital)
position = 1
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
cpA, cpB = stock1_payoff, stock2_payoff
if cpA > 0 and cpB > 0:
trade_capital += abs(cpA) + abs(cpB)
elif cpA > 0 and cpB < 0:
trade_capital += abs(cpA) + 0.9 * abs(cpB)
elif cpA < 0 and cpB > 0:
trade_capital += 0.9 * abs(cpA) + abs(cpB)
elif cpA < 0 and cpB < 0:
trade_capital += 0.9 * abs(cpA) + 0.9 * abs(cpB)
# up_open = table.mu[pos] + table.stdev[pos] * close_time
trade += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下開倉門檻 ,下開倉<br>", -w1, -w2, stock1_payoff+stock2_payoff])
else:
position = 0
stock1_payoff = 0
stock2_payoff = 0
elif position == -1: # 之前有開空倉，平空倉
if (spread[i] - close) < 0: # 空倉碰到下開倉門檻即平倉
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到均值，平倉")
position = 666 # 平倉
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# down_open = table.mu[pos] - table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] > (close + stop_loss): # 空倉碰到上停損門檻即平倉停損
# print(tick_data.mtimestamp[i],"之前有開空倉，碰到上停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到上停損門檻，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>"])
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = -w1 * slip(half_data[s1][2 * i + 1], -tw1)
stock2_payoff = -w2 * slip(half_data[s2][2 * i + 1], -tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>",-w1, -w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = -1
stock1_payoff = 0
stock2_payoff = 0
elif position == 1: # 之前有開多倉，平多倉
if (spread[i] - close) > 0:
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到均值，平倉")
position = 666 # 平倉
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[0] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到均值，平倉<br>",w1, w2, stock1_payoff+stock2_payoff])
# up_open = table.mu[pos] + table.stdev[pos] * open_time
# 每次交易報酬做累加(最後除以交易次數做平均)
elif spread[i] < (close - stop_loss):
# print(tick_data.mtimestamp[i],"之前有開多倉，碰到下停損門檻，強制平倉")
position = -2 # 碰到停損門檻，強制平倉
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[1] += 1
# trade_process.append([tick_data.mtimestamp[i],"碰到下停損門檻，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
elif i == (len(spread) - 3): # 回測結束，強制平倉
# print(tick_data.mtimestamp[i],"回測結束，強制平倉")
position = -4
stock1_payoff = w1 * slip(half_data[s1][2 * i + 1], tw1)
stock2_payoff = w2 * slip(half_data[s2][2 * i + 1], tw2)
stock1_payoff, stock2_payoff = tax(stock1_payoff,
stock2_payoff, position,
tax_cost) # 計算交易成本
trading[2] += 1
# trade_process.append([tick_data.mtimestamp[i],"回測結束，強制平倉<br>", w1, w2, stock1_payoff+stock2_payoff])
# 每次交易報酬做累加(最後除以交易次數做平均)
else:
position = 1
stock1_payoff = 0
stock2_payoff = 0
else:
# -4: 強迫平倉 -3: 結構性斷裂平倉(for lag 5) -2:停損 666:正常平倉
if position == -2 or position == -3 or position == -4 or position == 666:
stock1_payoff = 0
stock2_payoff = 0
else:
position = 0 # 剩下時間少於預期開倉時間，則不開倉，避免損失
stock1_payoff = 0
stock2_payoff = 0
pos.append(position)
stock1_profit.append(stock1_payoff)
stock2_profit.append(stock2_payoff)
trading_profit = sum(stock1_profit) + sum(stock2_profit)
local_profit = trading_profit
# local_open_num.append(trade)
if trade == 0: # 如果都沒有開倉，則報酬為0
# trade_process.append([tick_data.mtimestamp.iloc[-1],"無任何交易"])
# print("沒有開倉")
position = 0
return used_news, local_profit, trade_capital, trade, position, tick_data[
s1][0], tick_data[s2][0], re_last
