def test_alpha_strategy_dataview():
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
props = {
"benchmark": "000300.SH",
"universe": ','.join(dv.symbol),
"start_date": dv.start_date,
"end_date": dv.end_date,
"period": "month",
"days_delay": 0,
"init_balance": 1e8,
"position_ratio": 1.0,
}
props.update(data_config)
props.update(trade_config)
trade_api = AlphaTradeApi()
trade_api.init_from_config(props)
def selector_growth(context, user_options=None):
growth_rate = context.snapshot['net_profit_growth']
return (growth_rate >= 0.2) & (growth_rate <= 4)
def selector_pe(context, user_options=None):
pe_ttm = context.snapshot['pe_ttm']
return (pe_ttm >= 5) & (pe_ttm <= 80)
stock_selector = model.StockSelector()
stock_selector.add_filter(name='net_profit_growth', func=selector_growth)
stock_selector.add_filter(name='pe', func=selector_pe)
strategy = AlphaStrategy(stock_selector=stock_selector,
pc_method='equal_weight')
pm = PortfolioManager()
bt = AlphaBacktestInstance()
context = model.Context(dataview=dv,
instance=bt,
strategy=strategy,
trade_api=trade_api,
pm=pm)
stock_selector.register_context(context)
bt.init_from_config(props)
bt.run_alpha()
bt.save_results(folder_path=backtest_result_dir_path)
def test_alpha_strategy_dataview():
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
props = {
"benchmark": "000300.SH",
"universe": ','.join(dv.symbol),
"start_date": dv.start_date,
"end_date": dv.end_date,
"period": "month",
"days_delay": 0,
"init_balance": 1e8,
"position_ratio": 1.0,
}
props.update(data_config)
props.update(trade_config)
trade_api = AlphaTradeApi()
trade_api.init_from_config(props)
def selector_growth(context, user_options=None):
growth_rate = context.snapshot['net_profit_growth']
return (growth_rate >= 0.2) & (growth_rate <= 4)
def selector_pe(context, user_options=None):
pe_ttm = context.snapshot['pe_ttm']
return (pe_ttm >= 10) & (pe_ttm <= 20)
stock_selector = model.StockSelector()
stock_selector.add_filter(name='net_profit_growth', func=selector_growth)
stock_selector.add_filter(name='pe', func=selector_pe)
strategy = AlphaStrategy(stock_selector=stock_selector, pc_method='equal_weight')
pm = PortfolioManager()
bt = AlphaBacktestInstance()
context = model.Context(dataview=dv, instance=bt, strategy=strategy, trade_api=trade_api, pm=pm)
stock_selector.register_context(context)
bt.init_from_config(props)
bt.run_alpha()
bt.save_results(folder_path=backtest_result_dir_path)
def alpha_strategy_backtest():
dv = DataView()
dv.load_dataview(folder_path=dataview_folder)
props = {
"benchmark": benchmark,
"universe": ','.join(dv.symbol),
"start_date": dv.start_date,
"end_date": dv.end_date,
"period": "month",
"days_delay": 0,
"init_balance": 1e8,
"position_ratio": 1.0,
}
props.update(data_config)
props.update(trade_config)
trade_api = AlphaTradeApi()
trade_api.init_from_config(props)
stock_selector = model.StockSelector()
stock_selector.add_filter(name='selector_roe_roa_not_new', func=selector_roe_roa_not_new)
strategy = AlphaStrategy(stock_selector=stock_selector, pc_method='equal_weight')
pm = PortfolioManager()
bt = AlphaBacktestInstance()
context = model.Context(dataview=dv, instance=bt, strategy=strategy, trade_api=trade_api, pm=pm)
stock_selector.register_context(context)
bt.init_from_config(props)
bt.run_alpha()
bt.save_results(folder_path=backtest_result_folder)