def fixing_is_st(start, end):
# 第一阶段
df = pd.read_excel('data/stock_basic.xlsx', header=0, dtype={'code':str})
df = df.set_index('code')
codes = df[df['是否ST过'] == 1].index.tolist()
total = len(codes)
# all_dates = get_trading_dates(start, end)
daily = DB_CONN['daily']
excel_name = 'data/st_info.xlsx'
for i in range(4):
if i == 0:
all_dates = get_trading_dates('2015-01-01', '2015-12-31')
elif i == 1:
all_dates = get_trading_dates('2016-01-01', '2016-12-31')
if i == 2:
all_dates = get_trading_dates('2017-01-01', '2017-12-31')
elif i == 3:
all_dates = get_trading_dates('2018-01-01', '2018-09-30')
print('数据读取中')
df = pd.read_excel(excel_name, i, header=0, dtype={'code':str})
df = df.set_index(['code','state'])
df.columns = df.columns.astype(np.datetime64)
df.columns = df.columns.to_period('D')
df.columns = df.columns.astype('str')
print('数据读取完毕')
for j, code in enumerate(codes):
update_requests = []
for date in all_dates:
try:
st_state = df.xs([code])[date]['是否ST']
sst_state = df.xs([code])[date]['是否*ST']
if (st_state == '否') and (sst_state == '否'):
is_st_flag = False
else:
is_st_flag = True
update_requests.append(
UpdateOne(
{'code':code, 'date':date, 'index':False},
{'$set':{'is_st':is_st_flag}}
)
)
except:
print('something is wrong, code : %s, date : %s' % (code, date))
if len(update_requests)>0:
update_result = daily.bulk_write(update_requests, ordered=False)
print('第%s年填充进度: %s/%s， 字段名: is_st，数据集：%s，插入：%4d条，更新：%4d条' %
(i+1, j+1, total, 'daily', update_result.upserted_count, update_result.modified_count), flush=True)
def crawl_basic(begin_date=None, end_date=None):
"""
抓取指定时间范围内的股票基础信息
:param begin_date: 开始日期
:param end_date: 结束日期
"""
# 如果没有指定开始日期，则默认为前一日
if begin_date is None:
begin_date = (datetime.now() - timedelta(days=1)).strftime('%Y-%m-%d')
# 如果没有指定结束日期，则默认为前一日
if end_date is None:
end_date = (datetime.now() - timedelta(days=1)).strftime('%Y-%m-%d')
# 获取指定日期范围的所有交易日列表
all_dates = get_trading_dates(begin_date, end_date)
# 按照每个交易日抓取
for date in all_dates:
try:
# 抓取当日的基本信息
crawl_basic_at_date(date)
except:
print('抓取股票基本信息时出错，日期：%s' % date, flush=True)
def fill_daily_k_at_suspension_days(begin_date=None, end_date=None):
"""
:param begin_date:
:param end_date:
:return:
"""
before = datetime.now() - timedelta(days=1)
while 1:
last_trading_date = before.strftime('%Y-%m-%d')
basic_cursor = DB_CONN['basic'].find({'date': last_trading_date},
projection={
'code': True,
'timeToMarket': True,
'_id': False
},
batch_size=5000)
basics = [basic for basic in basic_cursor]
if len(basics) > 0:
break
before -= timedelta(days=1)
all_dates = get_trading_dates(begin_date, end_date)
fill_daily_k_at_suspension_days_at_date_one_collection(
basics, all_dates, 'daily')
fill_daily_k_at_suspension_days_at_date_one_collection(
basics, all_dates, 'daily_hfq')
def fill_high_and_low_price_between(start, end):
all_trades = get_trading_dates(start, end)
codes = ts.get_stock_basics().index.tolist() # get_all_codes()
# basics = getBasics()
total = len(all_trades)
for i, date in enumerate(all_trades):
fill_high_and_low_price_at_one_date(codes, date)
print('涨跌停计算进度: (%s/%s)' % (i + 1, total))
def fill_is_trading_between(start, end):
"""
"""
pass
all_dates = get_trading_dates(start, end)
for date in all_dates:
fill_single_date_is_trading(date, 'daily')
fill_single_date_is_trading(date, 'daily_hfq')
def fill_daily_k_at_suspension_days(begin_date=None, end_date=None):
"""
填充指定日期范围内，股票停牌日的行情数据。
填充时，停牌的开盘价、最高价、最低价和收盘价都为最近一个交易日的收盘价，成交量为0，
is_trading是False
:param begin_date: 开始日期
:param end_date: 结束日期
"""
# 当前日期的前一天
before = datetime.now() - timedelta(days=1)
# 找到据当前最近一个交易日的所有股票的基本信息
basics = []
while 1:
# 转化为str
last_trading_date = before.strftime('%Y-%m-%d')
# 因为TuShare的基本信息最早知道2016-08-09，所以如果日期早于2016-08-09
# 则结束查找
if last_trading_date < '2016-08-09':
break
# 找到当日的基本信息
basic_cursor = DB_CONN['basic'].find(
{'date': last_trading_date},
# 填充时需要用到两个字段股票代码code和上市日期timeToMarket，
# 上市日期用来判断
projection={
'code': True,
'timeToMarket': True,
'_id': False
},
# 一次返回5000条，可以降低网络IO开销，提高速度
batch_size=5000)
# 将数据放到basics列表中
basics = [basic for basic in basic_cursor]
# 如果查询到了数据，在跳出循环
if len(basics) > 0:
break
# 如果没有找到数据，则继续向前一天
before -= timedelta(days=1)
# 获取指定日期范围内所有交易日列表
all_dates = get_trading_dates(begin_date, end_date)
# 填充daily数据集中的停牌日数据
fill_daily_k_at_suspension_days_at_date_one_collection(
basics, all_dates, 'daily')
# 填充daily_hfq数据中的停牌日数据
fill_daily_k_at_suspension_days_at_date_one_collection(
basics, all_dates, 'daily_hfq')
def fill_is_trading_between(begin_date=None, end_date=None):
"""
填充指定时间段内的is_trading字段
:param begin_date: 开始日期
:param end_date: 结束日期
"""
all_dates = get_trading_dates(begin_date, end_date)
for date in all_dates:
fill_single_date_is_trading(date, 'daily')
fill_single_date_is_trading(date, 'daily_hfq')
def fill_is_trading_between(begin_date=None, end_date=None):
"""
填充指定时间段内的is_trading字段
:param begin_date: 开始日期
:param end_date: 结束日期
"""
all_dates = get_trading_dates(begin_date, end_date)
total = len(all_dates)
for i,date in enumerate(all_dates):
fill_single_date_is_trading(date, 'daily')
fill_single_date_is_trading(date, 'daily_hfq')
print('is_trading字段填充进度: (%s/%s)' % (i+1, total))
def get_tushare_code(begin_date='2000-01-01', end_date=None):
if (end_date is None):
end_date = datetime.now().strftime('%Y-%m-%d')
# 初始化pro接口
pro = ts.pro_api(
'f3ef4ac4dc04104e0573aa75c29aef70f30837a416baf6cd1a0f8e81')
tradingdays_list = get_trading_dates(begin_date=begin_date,
end_date=end_date)
# tradingdays_list = get_trade_days(begin_date= begin_date,end_date = end_date)
codes = set()
for day in tradingdays_list:
data = pro.daily(trade_date=day.replace('-', ''))
codes = codes | set(data.ts_code)
return list(codes).sort()
def crawl_basic(start, end=None):
"""
"""
end = start if end is None else end
start = str(start)[0:10]
end = str(end)[0:10]
all_dates = get_trading_dates(start, end)
for date in all_dates:
try:
crawl_basic_at_date(date)
except:
print('抓取股票基本信息时出错，日期：%s' % date, flush=True)
def fill_is_trading_between(begin_date=None, end_date=None):
"""
填充指定时间段内的is_trading字段
:param begin_date: 开始日期
:param end_date: 结束日期
"""
# 获取指定日期范围的所有交易日列表，按日期正序排列
all_dates = get_trading_dates(begin_date, end_date)
# 循环填充所有交易日的is_trading字段
for date in all_dates:
# 填充daily数据集
fill_single_date_is_trading(date, 'daily')
# 填充daily_hfq数据集
fill_single_date_is_trading(date, 'daily_hfq')
def fill_is_trading_between(begin_date=None, end_date=None):
"""
填充指定时间段内的is_trading字段
:param begin_date: 开始日期
:param end_date: 结束日期
"""
all_dates = get_trading_dates(begin_date, end_date)
total = len(all_dates)
for i, date in enumerate(all_dates):
_tic = time.process_time()
fill_single_date_is_trading(date, 'daily')
fill_single_date_is_trading(date, 'daily_hfq')
_toc = time.process_time()
expect_time = (_toc - _tic) * (total - i - 1)
print('is_trading字段填充进度: (%s/%s), 预计还需要%.2fs' %
(i + 1, total, expect_time))
def fill_is_trading(date=None):
"""
为日线数据增加is_trading字段，表示是否交易的状态，True - 交易 False - 停牌
从Tushare来的数据不包含交易状态，也不包含停牌的日K数据，为了系统中使用的方便，我们需要填充停牌是的K数据。
一旦填充了停牌的数据，那么数据库中就同时包含了停牌和交易的数据，为了区分这两种数据，就需要增加这个字段。
在填充该字段时，要考虑到是否最坏的情况，也就是数据库中可能已经包含了停牌和交易的数据，但是却没有is_trading
字段。这个方法通过交易量是否为0，来判断是否停牌
"""
if date is None:
all_dates = get_trading_dates()
else:
all_dates = [date]
for date in all_dates:
fill_single_date_is_trading(date, 'daily')
fill_single_date_is_trading(date, 'daily_hfq')
def crawl_basic(start, end=None):
"""
"""
end = start if end is None else end
start = str(start)[0:10]
end = str(end)[0:10]
all_dates = get_trading_dates(start, end)
if all_dates is None:
print('没有获取到交易日历')
total = len(all_dates)
for i, date in enumerate(all_dates):
try:
crawl_basic_at_date(date)
except:
print('抓取股票基本信息时出错，日期：%s' % date, flush=True)
print('基础信息数据获取进度: (%s/%s)' % (i + 1, total))
def fill_is_trading_between(begin_date=None, end_date=None, dates=None):
'''
填充指定时间段内的is_trading字段
parameter:
begin_date: 开始日期
end_date: 结束日期
'''
# 得到时间段
if dates is None:
all_trading_dates = get_trading_dates(begin_date, end_date)
else:
if isinstance(dates, list) is False:
dates = [dates]
all_trading_dates = dates
# 填充单个数据
for trading_date in all_trading_dates:
fill_single_date_is_trading(trading_date, 'daily_none')
fill_single_date_is_trading(trading_date, 'daily_hfq')
def crawl_basic(begin_date=None, end_date=None):
"""
抓取指定时间范围内的股票基础信息
:param begin_date: 开始日期
:param end_date: 结束日期
"""
if begin_date is None:
begin_date = (datetime.now() - timedelta(days=1)).strftime('%Y-%m-%d')
if end_date is None:
end_date = (datetime.now() - timedelta(days=1)).strftime('%Y-%m-%d')
all_dates = get_trading_dates(begin_date, end_date)
for date in all_dates:
try:
crawl_basic_at_date(date)
except:
print('抓取股票基本信息时出错，日期：%s' % date, flush=True)
def threads_supension_days(begin_date=None, end_date=None, dates=None):
'''
多线程补充停牌数据
使用说明：
使用时在main中加入如下代码：
dates, threads = threads_supension_days()
for i in range(len(dates)):
threads[i].start()
for i in range(len(dates)):
threads[i].join()
'''
# codes = get_all_codes()
if dates is None:
dates = get_trading_dates(begin_date, end_date)
threads = []
# dates = get_trading_dates()
for date in dates:
t = threading.Thread(target=fill_daily_k_supension_days, args=(None, None, date))
threads.append(t)
return dates, threads
def threads_fill_is_trading():
'''
多线程补充字段：is_trading
使用说明：
使用时在main中加入如下代码：
dates, threads = threads_fill_is_trading()
for i in range(len(dates)):
threads[i].start()
for i in range(len(dates)):
threads[i].join()
'''
# codes = get_all_codes()
dates = get_trading_dates()
threads = []
# dates = get_trading_dates()
for date in dates:
t = threading.Thread(target=fill_is_trading_between, args=(None, None, date))
threads.append(t)
length = len(dates)
return length, threads
def crawl_basic(self, begin_date=None, end_date=None):
'''
从tushare中抓取指定时间段的基本数据
parameter：
begin_date: 开始日期
end_date: 结束日期
'''
# 没有指定日期范围时设置日期
if begin_date is None:
begin_date = '2016-08-08'
if end_date is None:
end_date = datetime.now().strftime('%Y-%m-%d')
# 得到日期内所有的交易日
all_dates = get_trading_dates(begin_date, end_date)
for date in all_dates:
# 从数据库中拿到需要补充基本信息的股票代码
# 从tushare中得到股票代码的基本数据
# 将股票代码的基本数据补充到原有的数据当中
# 保存更新完的股票数据
self.crawl_basic_at_date(date)
def threads_dates(begin_date, end_date, fun):
'''
date 多线程函数
有几个date就有几个线程
fun:需要多线程的函数
使用说明：
使用时在main中加入如下代码：
dates, threads = threads_dates()
for i in range(len(dates)):
threads[i].start()
for i in range(len(dates)):
threads[i].join()
'''
# codes = get_all_codes()
dates = get_trading_dates(begin_date, end_date)
threads = []
# dates = get_trading_dates()
for date in dates:
t = threading.Thread(target=fun, args=(None, None, date))
threads.append(t)
length = len(dates)
return length, threads
def crawl_basic_one_code(self, code):
all_dates = get_trading_dates()
updata_requests = []
for date in all_dates:
try:
df_basics = ts.get_stock_basics(date)
if df_basics is None:
print('no basic data in tushare, code %s, date %s' % (code, date))
continue
doc = dict(df_basics.loc[code])
time_to_market = datetime.strptime(str(doc['timeToMarket']), '%Y%m%d').strftime('%Y-%m-%d')
totals = float(doc['totals'])
outstanding = float(doc['outstanding'])
doc.update({
'code': code,
'date': date,
'timeToMarket': time_to_market,
'totals': totals,
'outstanding': outstanding
})
# 将股票的基本数据补充到原有的数据当中
updata_requests.append(
UpdateOne(
{'code': doc['code'], 'date': doc['date']},
{'$set': doc}, upsert=True)
)
except:
print('Error!, code: %s, date: %s' % (code, date), flush=True)
print(doc, flush=True)
# 将更新好的数据保存到数据库中
if len(updata_requests) > 0:
# self.basic.create_index([("code", 1), ("date", -1)], background=True)
request_result = self.basic.bulk_write(updata_requests, ordered=False)
print('save basic data for one code, code: %s, date: %s, insert: %4d, update: %4d' %
(code, date, request_result.upserted_count, request_result.modified_count), flush=True)
def fill_daily_k_supension_days(begin_date=None, end_date=None, dates=None):
'''
补充股票在停牌日的数据
parameter：
begin_date: 开始日期，为None时即从‘2008-01-01’开始
end_date: 结束日期， 为None时为数据库中能找到的最新日期
'''
# 找到指定时间段所有的交易日期
if dates is None:
all_dates = get_trading_dates(begin_date, end_date)
else:
if isinstance(dates, list) is False:
dates = [dates]
all_dates = dates
# 找到所有股票的上市日期
basic_date = datetime.now().strftime('%Y-%m-%d')
while True:
basic_cursor = DB_CONN['basic'].find(
{'date': basic_date},
projection={'code': True, 'date': True, 'timeToMarket': True, '_id': False},
).hint([('date', -1)])
basics = [basic for basic in basic_cursor]
if len(basics) > 0:
break
basic_date = (datetime.strptime(basic_date, '%Y-%m-%d') - timedelta(days=1)).strftime('%Y-%m-%d')
for date in all_dates:
for basic in basics:
code = basic['code']
# 判断股票是否在当前交易日期停牌
is_supension_flag = is_supension(date, code)
# 对停牌日期补充数据
if is_supension_flag:
fill_daily_k_supension_days_at_date_one_collection(date, code, basic, 'daily_none')
fill_daily_k_supension_days_at_date_one_collection(date, code, basic, 'daily_hfq')
def stock_pool(begin_date, end_date):
adjust_date_codes_dict = dict()
# 调整周期
adjust_interval = 7
all_adjust_dates = []
last_phase_codes = []
# 从数据库中挑选出0<pe<30的股票
all_dates = get_trading_dates(begin_date=begin_date, end_date=end_date)
for _index in range(0, len(all_dates), adjust_interval):
adjust_date = all_dates[_index]
all_adjust_dates.append(adjust_date)
print('adjust date: %s' % adjust_date)
daily_cursor = daily_collection.find(
{
'date': adjust_date,
'pe': {
'$gt': 0,
'$lt': 30
},
'is_trading': True,
'index': False
},
projection={
'code': True,
'_id': False
},
sort=[('pe', ASCENDING)],
limit=100)
codes = [x['code'] for x in daily_cursor]
if codes == []:
continue
this_phase_codes = []
# 判断是否在调整日停牌
supension_codes = []
if len(last_phase_codes) > 0:
supension_cursor = daily_collection.find(
{
'code': {
'$in': last_phase_codes
},
'date': adjust_date,
'is_trading': False
},
projection={
'code': True
}).hint([('code', 1), ('date', -1)])
supension_codes = [x['code'] for x in supension_cursor]
this_phase_codes = supension_codes
# 判断是否在上一期股票池中
print('last phase code supended in this adjust day:')
print(supension_codes)
# 得到这一期的股票池
this_phase_codes += codes[0:100 - len(this_phase_codes)]
last_phase_codes = this_phase_codes
# 建立该调整日和股票列表的对应关系
adjust_date_codes_dict[adjust_date] = this_phase_codes
print('this phase codes:')
print(this_phase_codes)
return all_adjust_dates, adjust_date_codes_dict
def backtest(begin_date, end_date):
"""
策略回测。结束后打印出收益曲线(沪深300基准)、年化收益、最大回撤、
:param begin_date: 回测开始日期
:param end_date: 回测结束日期
"""
# 初始现金1000万
cash = 1E7
# 单只股票的仓位是20万
single_position = 2E5
# 时间为key的净值、收益和同期沪深基准
df_profit = pd.DataFrame(columns=['net_value', 'profit', 'hs300'])
# 获取回测开始日期和结束之间的所有交易日，并且是按照正序排列
all_dates = get_trading_dates(begin_date, end_date)
# 获取沪深300的在回测开始的第一个交易日的值
hs300_begin_value = DB_CONN['daily'].find_one(
{'code': '000300', 'index': True, 'date': all_dates[0]},
projection={'close': True})['close']
# 获取回测周期内的股票池数据，
# adjust_dates：正序排列的调整日列表；
# date_codes_dict： 调整日和当期的股票列表组成的dict，key是调整日，value是股票代码列表
adjust_dates, date_codes_dict = stock_pool(begin_date, end_date)
# 股票池上期股票代码列表
last_phase_codes = None
# 股票池当期股票代码列表
this_phase_codes = None
# 待卖的股票代码集合
to_be_sold_codes = set()
# 待买的股票代码集合
to_be_bought_codes = set()
# 持仓股票dict，key是股票代码，value是一个dict，
# 三个字段分别为：cost - 持仓成本，volume - 持仓数量，last_value：前一天的市值
holding_code_dict = dict()
# 前一个交易日
last_date = None
# 在交易日的顺序，一天天完成信号检测
for _date in all_dates:
print('Backtest at %s.' % _date)
# 当期持仓股票的代码列表
before_sell_holding_codes = list(holding_code_dict.keys())
"""
持仓股的除权除息处理
如果当前不是第一个交易日，并且有持仓股票，则处理除权除息对持仓股的影响
这里的处理只考虑复权因子的变化，而实际的复权因子变化有可能是因为除权、除息以及配股，
那么具体的持仓股变化要根据它们的不同逻辑来处理
"""
if last_date is not None and len(before_sell_holding_codes) > 0:
# 从daily数据集中查询出所有持仓股的前一个交易日的复权因子
last_daily_cursor = DB_CONN['daily'].find(
{'code': {'$in': before_sell_holding_codes}, 'date': last_date, 'index': False},
projection={'code': True, 'au_factor': True})
# 构造一个dict，key是股票代码，value是上一个交易日的复权因子
code_last_aufactor_dict = dict([(daily['code'], daily['au_factor']) for daily in last_daily_cursor])
# 从daily数据集中查询出所有持仓股的当前交易日的复权因子
current_daily_cursor = DB_CONN['daily'].find(
{'code': {'$in': before_sell_holding_codes}, 'date': _date, 'index': False},
projection={'code': True, 'au_factor': True})
# 一只股票一只股票进行处理
for current_daily in current_daily_cursor:
# 当前交易日的复权因子
current_aufactor = current_daily['au_factor']
# 股票代码
code = current_daily['code']
# 从持仓股中找到该股票的持仓数量
last_volume = holding_code_dict[code]['volume']
# 如果该股票存在前一个交易日的复权因子，则对持仓股数量进行处理
if code in code_last_aufactor_dict:
# 上一个交易日的复权因子
last_aufactor = code_last_aufactor_dict[code]
# 计算复权因子变化后的持仓股票数量，如果复权因子不发生变化，那么持仓数量是不发生变化的
# 相关公式是：
# 市值不变：last_close * last_volume = pre_close * current_volume
# 价格的关系：last_close * last_aufactor = pre_close * current_aufactor
# 转换之后得到下面的公式：
current_volume = int(last_volume * (current_aufactor / last_aufactor))
# 改变持仓数量
holding_code_dict[code]['volume'] = current_volume
print('持仓量调整：%s, %6d, %10.6f, %6d, %10.6f' %
(code, last_volume, last_aufactor, current_volume, current_aufactor))
"""
卖出的逻辑处理：
卖出价格是当日的开盘价，卖出的数量就是持仓股的数量，卖出后获得的资金累加到账户的可用现金上
"""
print('待卖股票池：', to_be_sold_codes, flush=True)
# 如果有待卖股票，则继续处理
if len(to_be_sold_codes) > 0:
# 从daily数据集中查询所有待卖股票的开盘价，这里用的不复权的价格，以模拟出真实的交易情况
sell_daily_cursor = DB_CONN['daily'].find(
{'code': {'$in': list(to_be_sold_codes)}, 'date': _date, 'index': False, 'is_trading': True},
projection={'open': True, 'code': True}
)
# 一只股票一只股票处理
for sell_daily in sell_daily_cursor:
# 待卖股票的代码
code = sell_daily['code']
# 如果股票在持仓股里
if code in before_sell_holding_codes:
# 获取持仓股
holding_stock = holding_code_dict[code]
# 获取持仓数量
holding_volume = holding_stock['volume']
# 卖出价格为当日开盘价
sell_price = sell_daily['open']
# 卖出获得金额为持仓量乘以卖出价格
sell_amount = holding_volume * sell_price
# 卖出得到的资金加到账户的可用现金上
cash += sell_amount
# 获取该只股票的持仓成本
cost = holding_stock['cost']
# 计算持仓的收益
single_profit = (sell_amount - cost) * 100 / cost
print('卖出 %s, %6d, %6.2f, %8.2f, %4.2f' %
(code, holding_volume, sell_price, sell_amount, single_profit))
# 删除该股票的持仓信息
del holding_code_dict[code]
to_be_sold_codes.remove(code)
print('卖出后，现金: %10.2f' % cash)
"""
买入的逻辑处理：
买入的价格是当日的开盘价，每只股票可买入的金额为20万，如果可用现金少于20万，就不再买入了
"""
print('待买股票池：', to_be_bought_codes, flush=True)
# 如果待买股票集合不为空，则执行买入操作
if len(to_be_bought_codes) > 0:
# 获取所有待买入股票的开盘价
buy_daily_cursor = DB_CONN['daily'].find(
{'code': {'$in': list(to_be_bought_codes)}, 'date': _date, 'is_trading': True, 'index': False},
projection={'code': True, 'open': True}
)
# 处理所有待买入股票
for buy_daily in buy_daily_cursor:
# 判断可用资金是否够用
if cash > single_position:
# 获取买入价格
buy_price = buy_daily['open']
# 获取股票代码
code = buy_daily['code']
# 获取可买的数量，数量必须为正手数
volume = int(int(single_position / buy_price) / 100) * 100
# 买入花费的成本为买入价格乘以实际的可买入数量
buy_amount = buy_price * volume
# 从现金中减去本次花费的成本
cash -= buy_amount
# 增加持仓股中
holding_code_dict[code] = {
'volume': volume, # 持仓量
'cost': buy_amount, # 持仓成本
'last_value': buy_amount # 初始前一日的市值为持仓成本
}
print('买入 %s, %6d, %6.2f, %8.2f' % (code, volume, buy_price, buy_amount))
print('买入后，现金: %10.2f' % cash)
# 持仓股代码列表
holding_codes = list(holding_code_dict.keys())
"""
股票池调整日的处理逻辑：
如果当前日期是股票池调整日，那么需要获取当期的备选股票列表，同时找到
本期被调出的股票，如果这些被调出的股票是持仓股，则需要卖出
"""
# 判断当前交易日是否为股票池的调整日
if _date in adjust_dates:
print('股票池调整日：%s，备选股票列表：' % _date, flush=True)
# 如果上期股票列表存在，也就是当前不是第一期股票，则将
# 当前股票列表设为上期股票列表
if this_phase_codes is not None:
last_phase_codes = this_phase_codes
# 获取当期的股票列表
this_phase_codes = date_codes_dict[_date]
print(this_phase_codes, flush=True)
# 如果存在上期的股票列表，则需要找出被调出的股票列表
if last_phase_codes is not None:
# 找到被调出股票池的股票列表
out_codes = find_out_stocks(last_phase_codes, this_phase_codes)
# 将所有被调出的且是在持仓中的股票添加到待卖股票集合中
for out_code in out_codes:
if out_code in holding_code_dict:
to_be_sold_codes.add(out_code)
# 检查是否有需要第二天卖出的股票
for holding_code in holding_codes:
#if is_rsi_over_sold(holding_code, _date):
#if is_boll_break_up(holding_code, _date):
#if is_macd_gold(holding_code, _date):
#if is_fractal_up(holding_code, _date):
if is_k_down_break_ma10(holding_code, _date):
to_be_sold_codes.add(holding_code)
# 检查是否有需要第二天买入的股票
to_be_bought_codes.clear()
if this_phase_codes is not None:
for _code in this_phase_codes:
#if _code not in holding_codes and is_rsi_over_bought(_code, _date):
#if _code not in holding_codes and is_boll_break_down(_code, _date):
#if _code not in holding_codes and is_macd_gold(_code, _date):
#if _code not in holding_codes and is_fractal_down(_code, _date):
if _code not in holding_codes and is_k_up_break_ma10(_code, _date):
to_be_bought_codes.add(_code)
# 计算总资产
total_value = 0
# 获取所有持仓股的当日收盘价
holding_daily_cursor = DB_CONN['daily'].find(
{'code': {'$in': holding_codes}, 'date': _date, 'index':False},
projection={'close': True, 'code': True}
)
# 计算所有持仓股的总市值
for holding_daily in holding_daily_cursor:
code = holding_daily['code']
holding_stock = holding_code_dict[code]
# 单只持仓的市值等于收盘价乘以持仓量
value = holding_daily['close'] * holding_stock['volume']
# 总市值等于所有持仓股市值的累加之和
total_value += value
# 计算单只股票的持仓收益
profit = (value - holding_stock['cost']) * 100 / holding_stock['cost']
# 计算单只股票的单日收益
one_day_profit = (value - holding_stock['last_value']) * 100 / holding_stock['last_value']
# 更新前一日市值
holding_stock['last_value'] = value
print('持仓: %s, %10.2f, %4.2f, %4.2f' %
(code, value, profit, one_day_profit))
# 总资产等于总市值加上总现金
total_capital = total_value + cash
# 获取沪深300的当日收盘值
hs300_current_value = DB_CONN['daily'].find_one(
{'code': '000300', 'index': True, 'date': _date},
projection={'close': True})['close']
print('收盘后，现金: %10.2f, 总资产: %10.2f' % (cash, total_capital))
last_date = _date
# 将当日的净值、收益和沪深300的涨跌幅放入DataFrame
df_profit.loc[_date] = {
'net_value': round(total_capital / 1e7, 2),
'profit': round(100 * (total_capital - 1e7) / 1e7, 2),
'hs300': round(100 * (hs300_current_value - hs300_begin_value) / hs300_begin_value, 2)
}
print(df_profit)
# 计算最大回撤
drawdown = compute_drawdown(df_profit['net_value'])
# 计算年化收益和夏普比率
annual_profit, sharpe_ratio = compute_sharpe_ratio(df_profit['net_value'])
print('回测结果 %s - %s，年化收益： %7.3f, 最大回撤：%7.3f, 夏普比率：%4.2f' %
(begin_date, end_date, annual_profit, drawdown, sharpe_ratio))
# 绘制收益曲线
df_profit.plot(title='Backtest Result', y=['profit', 'hs300'], kind='line')
plt.show()
def stock_pool(begin_date, end_date):
"""
股票池
:param begin_date: 开始日期
:param end_date: 结束日期
:return: tuple，所有调整日，以及调整日和代码列表对应的dict
"""
adjust_date_codes_dict = dict()
# 获取指定时间区间的所有交易日
all_dates = get_trading_dates(begin_date=begin_date, end_date=end_date)
# 上一期的所有股票代码
last_phase_codes = []
# 调整周期是7个交易日
adjust_interval = 7
# 所有的调整日
all_adjust_dates = []
# 在调整日调整股票池
for _index in range(0, len(all_dates), adjust_interval):
# 保存调整日
adjust_date = all_dates[_index]
all_adjust_dates.append(adjust_date)
print('调整日期： %s' % adjust_date, flush=True)
# 查询出调整当日，0 < pe_ttm < 30，且非停牌的股票
# 最重要的一点是，按照pe_ttm正序排列，只取前100只
daily_cursor = daily.find(
{
'date': adjust_date,
'pe': {
'$lt': 30,
'$gt': 0
},
'is_trading': True
},
sort=[('pe', ASCENDING)],
projection={'code': True},
limit=100)
codes = [x['code'] for x in daily_cursor]
# 本期股票列表
this_phase_codes = []
# 查询出上次股票池中正在停牌的股票
if len(last_phase_codes) > 0:
suspension_cursor = daily.find(
{
'code': {
'$in': last_phase_codes
},
'date': adjust_date,
'is_trading': False
},
projection={'code': True})
suspension_codes = [x['code'] for x in suspension_cursor]
# 保留股票池中正在停牌的股票
this_phase_codes = suspension_codes
print('上期停牌', flush=True)
print(this_phase_codes, flush=True)
# 用新的股票将剩余位置补齐
this_phase_codes += codes[0:100 - len(this_phase_codes)]
# 将本次股票设为下次运行的时的上次股票池
last_phase_codes = this_phase_codes
# 建立该调整日和股票列表的对应关系
adjust_date_codes_dict[adjust_date] = this_phase_codes
print('最终出票', flush=True)
print(this_phase_codes, flush=True)
# 返回结果
return all_adjust_dates, adjust_date_codes_dict
def backtest(begin_date, end_date):
"""
策略回测。结束后打印出收益曲线(沪深300基准)、年化收益、最大回撤、
:param begin_date: 回测开始日期
:param end_date: 回测结束日期
"""
cash = 1E7
single_position = 2E5
# 时间为key的净值、收益和同期沪深基准
df_profit = pd.DataFrame(columns=['net_value', 'profit', 'hs300'])
all_dates = get_trading_dates(begin_date, end_date)
hs300_begin_value = DB_CONN['daily'].find_one(
{
'code': '000300',
'index': True,
'date': all_dates[0]
},
projection={'close': True})['close']
adjust_dates, date_codes_dict = stock_pool(begin_date, end_date)
last_phase_codes = None
this_phase_codes = None
to_be_sold_codes = set()
to_be_bought_codes = set()
holding_code_dict = dict()
last_date = None
# 按照日期一步步回测
for _date in all_dates:
print('Backtest at %s.' % _date)
# 当期持仓股票列表
before_sell_holding_codes = list(holding_code_dict.keys())
# 处理复权
if last_date is not None and len(before_sell_holding_codes) > 0:
last_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': last_date,
'index': False
},
projection={
'code': True,
'au_factor': True,
'_id': False
})
code_last_aufactor_dict = dict()
for last_daily in last_daily_cursor:
code_last_aufactor_dict[
last_daily['code']] = last_daily['au_factor']
current_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': _date,
'index': False
},
projection={
'code': True,
'au_factor': True,
'_id': False
})
for current_daily in current_daily_cursor:
print(current_daily['code'], _date)
current_aufactor = current_daily['au_factor']
code = current_daily['code']
before_volume = holding_code_dict[code]['volume']
if code in code_last_aufactor_dict:
last_aufactor = code_last_aufactor_dict[code]
after_volume = int(before_volume *
(current_aufactor / last_aufactor))
holding_code_dict[code]['volume'] = after_volume
print('持仓量调整：%s, %6d, %10.6f, %6d, %10.6f' %
(code, before_volume, last_aufactor, after_volume,
current_aufactor))
# 卖出
print('待卖股票池：', to_be_sold_codes, flush=True)
if len(to_be_sold_codes) > 0:
sell_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': list(to_be_sold_codes)
},
'date': _date,
'index': False,
'is_trading': True
},
projection={
'open': True,
'code': True
})
for sell_daily in sell_daily_cursor:
code = sell_daily['code']
if code in before_sell_holding_codes:
holding_stock = holding_code_dict[code]
holding_volume = holding_stock['volume']
sell_price = sell_daily['open']
sell_amount = holding_volume * sell_price
cash += sell_amount
cost = holding_stock['cost']
single_profit = (sell_amount - cost) * 100 / cost
print('卖出 %s, %6d, %6.2f, %8.2f, %4.2f' %
(code, holding_volume, sell_price, sell_amount,
single_profit))
del holding_code_dict[code]
to_be_sold_codes.remove(code)
print('卖出后，现金: %10.2f' % cash)
# 买入
print('待买股票池：', to_be_bought_codes, flush=True)
if len(to_be_bought_codes) > 0:
buy_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': list(to_be_bought_codes)
},
'date': _date,
'is_trading': True,
'index': False
},
projection={
'code': True,
'open': True
})
for buy_daily in buy_daily_cursor:
if cash > single_position:
buy_price = buy_daily['open']
code = buy_daily['code']
volume = int(int(single_position / buy_price) / 100) * 100
buy_amount = buy_price * volume
cash -= buy_amount
holding_code_dict[code] = {
'volume': volume,
'cost': buy_amount,
'last_value': buy_amount
}
print('买入 %s, %6d, %6.2f, %8.2f' %
(code, volume, buy_price, buy_amount))
print('买入后，现金: %10.2f' % cash)
# 持仓股代码列表
holding_codes = list(holding_code_dict.keys())
# 如果调整日，则获取新一期的股票列表
if _date in adjust_dates:
print('股票池调整日：%s，备选股票列表：' % _date, flush=True)
# 暂存为上期的日期
if this_phase_codes is not None:
last_phase_codes = this_phase_codes
this_phase_codes = date_codes_dict[_date]
print(this_phase_codes, flush=True)
# 找到所有调出股票代码，在第二日开盘时卖出
if last_phase_codes is not None:
out_codes = find_out_stocks(last_phase_codes, this_phase_codes)
for out_code in out_codes:
if out_code in holding_code_dict:
to_be_sold_codes.add(out_code)
# 检查是否有需要第二天卖出的股票
for holding_code in holding_codes:
if is_k_down_break_ma10(holding_code, _date):
to_be_sold_codes.add(holding_code)
# 检查是否有需要第二天买入的股票
to_be_bought_codes.clear()
if this_phase_codes is not None:
for _code in this_phase_codes:
if _code not in holding_codes and is_k_up_break_ma10(
_code, _date):
to_be_bought_codes.add(_code)
# 计算总资产
total_value = 0
holding_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': holding_codes
},
'date': _date
},
projection={
'close': True,
'code': True
})
for holding_daily in holding_daily_cursor:
code = holding_daily['code']
holding_stock = holding_code_dict[code]
value = holding_daily['close'] * holding_stock['volume']
total_value += value
profit = (value -
holding_stock['cost']) * 100 / holding_stock['cost']
one_day_profit = (value - holding_stock['last_value']
) * 100 / holding_stock['last_value']
holding_stock['last_value'] = value
print('持仓: %s, %10.2f, %4.2f, %4.2f' %
(code, value, profit, one_day_profit))
total_capital = total_value + cash
hs300_current_value = DB_CONN['daily'].find_one(
{
'code': '000300',
'index': True,
'date': _date
},
projection={'close': True})['close']
print('收盘后，现金: %10.2f, 总资产: %10.2f' % (cash, total_capital))
last_date = _date
df_profit.loc[_date] = {
'net_value':
round(total_capital / 1e7, 2),
'profit':
round(100 * (total_capital - 1e7) / 1e7, 2),
'hs300':
round(
100 * (hs300_current_value - hs300_begin_value) /
hs300_begin_value, 2)
}
df_profit.plot(title='Backtest Result', y=['profit', 'hs300'], kind='line')
plt.show()
def backtest(begin_date,
end_date,
stop_method=None,
pos_method='equal',
is_saving=False,
save_name=None):
"""
Arguments:
begin_date: 回测开始日期
end_date: 回测结束日期
stop_method : 止损方式
None : 无止损
fixed : 固定比例止损
float : 浮动止损
ATR_float_dynamic : 动态ATR浮动止损
ATR_float_static : 静态ATR浮动止损
pos_method : 头寸分配方式
equal : 均仓分配头寸
atr : 按照ATR分配头寸
Returns:
Account: 数据类型,dict
init_assets : 初始资产, 默认1E7
history_table : 交割单
net_value : 每日净值
final_net_value : 最终日净值
profit : 收益
day_profit : 每日收益
positions : 每日仓位
stop_loss : 止损的方式和止损参数
position_manage : 头寸管理方式和相关参数
"""
# 记录止损时间点
# stop_lose_position_date_current = []
# stop_lose_position_date = []
# 记录回测账户信息
Account = {}
# 仓位相关的初始化
position_manage = {}
if pos_method == 'equal':
single_position = 2E5
position_manage['头寸分配方式'] = '均仓'
Account['position_manage'] = position_manage
elif pos_method == 'atr':
single_position = 0
position_manage['头寸分配方式'] = 'ATR分配头寸'
position_manage['ATR_WIN'] = ATR_WIN
position_manage['RISK_RATIO'] = RISK_RATIO
Account['position_manage'] = position_manage
positions = pd.Series() # 记录每日仓位信息
stop_loss = {}
cash = INIT_ASSETS
init_assets = cash
Account['init_assets'] = init_assets
Account['start'] = begin_date
Account['end'] = end_date
if stop_method is None:
Account['stop_loss'] = '无止损'
elif stop_method == 'fixed':
stop_loss['单日跌幅比例'] = SINGLE_DAY_MAX_DROP_RATE
stop_loss['累计跌幅比例'] = MAX_DROP_RATE
stop_loss['止损方式'] = '固定比例止损'
Account['stop_loss'] = stop_loss
elif stop_method == 'float':
stop_loss['跌幅比例'] = MAX_DROP_RATE
stop_loss['止损方式'] = '浮动止损'
Account['stop_loss'] = stop_loss
elif (stop_method == 'ATR_float_dynamic') or (stop_method
== 'ATR_float_static'):
stop_loss['ATR_WIN'] = ATR_WIN
stop_loss['ATR_RATIO'] = ATR_RATIO
if stop_method == 'ATR_float_dynamic':
stop_loss['止损方式'] = '动态ATR浮动止损'
elif stop_method == 'ATR_float_static':
stop_loss['止损方式'] = '静态ATR浮动止损'
Account['stop_loss'] = stop_loss
# 时间为key的净值、收益和同期沪深基准
df_profit = pd.DataFrame(columns=['net_value', 'profit', 'hs300'])
# 时间为key的单日收益和同期沪深基准
df_day_profit = pd.DataFrame(columns=['profit', 'hs300'])
all_dates = get_trading_dates(begin_date, end_date)
hs300_begin_value = DB_CONN['daily'].find_one(
{
'code': '000300',
'date': all_dates[0],
'index': True
},
projection={'close': True})['close']
adjust_dates, date_codes_dict = stock_pool(begin_date, end_date)
last_phase_codes = None
this_phase_codes = None
to_be_sold_codes = set()
to_be_bought_codes = set()
holding_code_dict = dict()
last_date = None
last_entry_dates = {} # 用于记录入场时间
history_table = pd.DataFrame() # 记录 交割单
last_total_capital = 1e7 # 前一天的总资产值，初始值为初始总资产
last_hs300_close = hs300_begin_value # 前一天的HS300值，初始值为第一天的值
net_value = 1 # 净值
count = 0
# 按照日期一步步回测
for _date in all_dates:
print('Backtest at %s.' % _date)
# 当期持仓股票列表
before_sell_holding_codes = list(holding_code_dict.keys())
# 处理复权
if last_date is not None and len(before_sell_holding_codes) > 0:
last_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': last_date,
'index': False
},
projection={
'code': True,
'au_factor': True,
'_id': False
})
code_last_aufactor_dict = dict()
for last_daily in last_daily_cursor:
code_last_aufactor_dict[
last_daily['code']] = last_daily['au_factor']
current_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': _date,
'index': False
},
projection={
'code': True,
'au_factor': True,
'_id': False
})
for current_daily in current_daily_cursor:
print(current_daily['code'], _date)
current_aufactor = current_daily['au_factor']
code = current_daily['code']
before_volume = holding_code_dict[code]['volume']
if code in code_last_aufactor_dict:
last_aufactor = code_last_aufactor_dict[code]
after_volume = int(before_volume *
(current_aufactor / last_aufactor))
holding_code_dict[code]['volume'] = after_volume
print('持仓量调整：%s, %6d, %10.6f, %6d, %10.6f' %
(code, before_volume, last_aufactor, after_volume,
current_aufactor))
# 卖出
print('待卖股票池：', to_be_sold_codes, flush=True)
if len(to_be_sold_codes) > 0:
sell_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': list(to_be_sold_codes)
},
'date': _date,
'index': False,
'is_trading': True
},
projection={
'open': True,
'code': True,
'low_limit': True
})
for sell_daily in sell_daily_cursor:
code = sell_daily['code']
# 若开盘价是跌停价不准卖出
open_price = sell_daily['open']
low_limit = sell_daily['low_limit']
if (code in before_sell_holding_codes) & (open_price >
low_limit):
holding_stock = holding_code_dict[code]
holding_volume = holding_stock['volume']
sell_price = sell_daily['open']
sell_amount = holding_volume * sell_price
cash += sell_amount
cost = holding_stock['cost']
single_profit = (sell_amount - cost) * 100 / cost
last_entry_dates[code] = None
print('卖出 %s, %6d, %6.2f, %8.2f, %4.2f' %
(code, holding_volume, sell_price, sell_amount,
single_profit))
# 记录 交易记录
count += 1
_order = {
'datetime': _date,
'code': code,
'price': sell_price,
'amount': -1 * holding_volume,
'cash': cash
}
temp = pd.DataFrame(data=_order, index=[count])
history_table = pd.concat([history_table, temp])
del holding_code_dict[code]
to_be_sold_codes.remove(code)
print('卖出后，现金: %10.2f' % cash)
# 买入
print('待买股票池：', to_be_bought_codes, flush=True)
if len(to_be_bought_codes) > 0:
buy_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': list(to_be_bought_codes)
},
'date': _date,
'index': False,
'is_trading': True
},
projection={
'code': True,
'open': True,
'high_limit': True
})
for buy_daily in buy_daily_cursor:
# 若开盘价是涨停价不准买入
open_price = buy_daily['open']
high_limit = buy_daily['high_limit']
code = buy_daily['code']
# ===========================ATR分配头寸 code start=========================
if pos_method == 'atr':
ATR = calc_ATR(code, _date)
if ATR is not None:
single_position = init_assets * RISK_RATIO / (
ATR_RATIO * ATR) // 100 * 100
else:
single_position = 0
if (cash > single_position) & (open_price < high_limit) & (
single_position != 0):
buy_price = buy_daily['open']
volume = int(int(single_position / buy_price) / 100) * 100
if volume > 100:
buy_amount = buy_price * volume
cash -= buy_amount
holding_code_dict[code] = {
'volume': volume,
'cost': buy_amount,
'last_value': buy_amount
}
last_entry_dates[code] = _date
print('买入 %s, %6d, %6.2f, %8.2f' %
(code, volume, buy_price, buy_amount))
# 记录 交易记录
count += 1
_order = {
'datetime': _date,
'code': code,
'price': buy_price,
'amount': volume,
'cash': cash
}
temp = pd.DataFrame(data=_order, index=[count])
history_table = pd.concat([history_table, temp])
print('买入后，现金: %10.2f' % cash)
# 持仓股代码列表
holding_codes = list(holding_code_dict.keys())
# 如果调整日，则获取新一期的股票列表
if _date in adjust_dates:
print('股票池调整日：%s，备选股票列表：' % _date, flush=True)
# 暂存为上期的日期
if this_phase_codes is not None:
last_phase_codes = this_phase_codes
this_phase_codes = date_codes_dict[_date]
print(this_phase_codes, flush=True)
# 找到所有调出股票代码，在第二日开盘时卖出
if last_phase_codes is not None:
out_codes = find_out_stocks(last_phase_codes, this_phase_codes)
for out_code in out_codes:
if out_code in holding_code_dict:
to_be_sold_codes.add(out_code)
# 检查是否有需要第二天卖出的股票
for holding_code in holding_codes:
if is_k_down_break_ma10(holding_code, _date):
to_be_sold_codes.add(holding_code)
# ===========================止损判断 code start=========================
if stop_method is not None:
stop_loss_positions(holding_code, _date, last_entry_dates,
to_be_sold_codes, stop_method)
# 检查是否有需要第二天买入的股票
to_be_bought_codes.clear()
if this_phase_codes is not None:
for _code in this_phase_codes:
if _code not in holding_codes and is_k_up_break_ma10(
_code, _date):
to_be_bought_codes.add(_code)
# 计算总资产
total_value = 0
holding_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': holding_codes
},
'date': _date
},
projection={
'close': True,
'code': True
})
for holding_daily in holding_daily_cursor:
code = holding_daily['code']
holding_stock = holding_code_dict[code]
value = holding_daily['close'] * holding_stock['volume']
total_value += value
profit = (value -
holding_stock['cost']) * 100 / holding_stock['cost']
one_day_profit = (value - holding_stock['last_value']
) * 100 / holding_stock['last_value']
holding_stock['last_value'] = value
print('持仓: %s, %10.2f, %4.2f, %4.2f' %
(code, value, profit, one_day_profit))
total_capital = total_value + cash
positions.loc[_date] = total_value / total_capital
hs300_current_value = DB_CONN['daily'].find_one(
{
'code': '000300',
'date': _date,
'index': True
},
projection={'close': True})['close']
print('收盘后，现金: %10.2f, 总资产: %10.2f' % (cash, total_capital))
last_date = _date
net_value = np.round(total_capital / 1e7, 4)
df_profit.loc[_date] = {
'net_value':
np.round(total_capital / 1e7, 4),
'profit':
np.round(100 * (total_capital - 1e7) / 1e7, 4),
'hs300':
np.round(
100 * (hs300_current_value - hs300_begin_value) /
hs300_begin_value, 4)
}
# 计算单日收益
df_day_profit.loc[_date] = {
'profit':
np.round(
100 * (total_capital - last_total_capital) /
last_total_capital, 4),
'hs300':
np.round(
100 * (hs300_current_value - last_hs300_close) /
last_hs300_close, 4)
}
# 暂存当日的总资产和HS300，作为下一个交易日计算单日收益的基础
last_total_capital = total_capital
last_hs300_close = hs300_current_value
Account['history_table'] = history_table
Account['net_value'] = df_profit['net_value']
Account['final_net_value'] = net_value
Account['profit'] = df_profit
Account['day_profit'] = df_day_profit
Account['positions'] = positions
try:
if is_saving:
if save_name is None:
print('保存失败,没有输入save_name, 请使用save_file函数重新保存')
else:
save_file(Account, save_name)
except:
print('保存失败,请使用save_file函数重新保存')
return Account
def stock_pool(begin_date, end_date):
"""
股票池的选股逻辑
:param begin_date: 开始日期
:param end_date: 结束日期
:return: tuple，所有调整日，以及调整日和代码列表对应的dict
"""
"""
下面的几个参数可以自己修改
"""
# 调整周期是7个交易日，可以改变的参数
adjust_interval = 7
# PE的范围
pe_range = (0, 30)
# PE的排序方式， ASCENDING - 从小到大，DESCENDING - 从大到小
sort = ASCENDING
# 股票池内的股票数量
pool_size = 100
# 返回值：调整日和当期股票代码列表
adjust_date_codes_dict = dict()
# 返回值：所有的调整日列表
all_adjust_dates = []
# 获取指定时间范围内的所有交易日列表，按照日期正序排列
all_dates = get_trading_dates(begin_date=begin_date, end_date=end_date)
# 上一期的所有股票代码
last_phase_codes = []
# 在调整日调整股票池
for _index in range(0, len(all_dates), adjust_interval):
# 保存调整日
adjust_date = all_dates[_index]
all_adjust_dates.append(adjust_date)
print('调整日期： %s' % adjust_date, flush=True)
# 查询出调整当日，0 < pe < 30，且非停牌的股票
# 最重要的一点是，按照pe正序排列，只取前100只
daily_cursor = daily.find(
{'date': adjust_date, 'pe': {'$lt': pe_range[1], '$gt': pe_range[0]},
'is_trading': True},
sort=[('pe', sort)],
projection={'code': True},
limit=pool_size
)
# 拿到所有的股票代码
codes = [x['code'] for x in daily_cursor]
# 本期股票列表
this_phase_codes = []
# 如果上期股票代码列表不为空，则查询出上次股票池中正在停牌的股票
if len(last_phase_codes) > 0:
suspension_cursor = daily.find(
# 查询是股票代码、日期和是否为交易，这里is_trading=False
{'code': {'$in': last_phase_codes}, 'date': adjust_date, 'is_trading': False},
# 只需要使用股票代码
projection={'code': True}
)
# 拿到股票代码
suspension_codes = [x['code'] for x in suspension_cursor]
# 保留股票池中正在停牌的股票
this_phase_codes = suspension_codes
# 打印出所有停牌的股票代码
print('上期停牌', flush=True)
print(this_phase_codes, flush=True)
# 用新的股票将剩余位置补齐
this_phase_codes += codes[0: pool_size - len(this_phase_codes)]
# 将本次股票设为下次运行的时的上次股票池
last_phase_codes = this_phase_codes
# 建立该调整日和股票列表的对应关系
adjust_date_codes_dict[adjust_date] = this_phase_codes
print('最终出票', flush=True)
print(this_phase_codes, flush=True)
# 返回结果
return all_adjust_dates, adjust_date_codes_dict
def backtest(begin_date, end_date):
"""
策略回测。结束后打印出收益曲线(沪深300基准)、年化收益、最大回撤、
:param begin_date: 回测开始日期
:param end_date: 回测结束日期
"""
stop_lose_position_date_current = []
stop_lose_position_date = []
cash = 1E7
single_position = 2E5
# 时间为key的净值、收益和同期沪深基准
df_profit = pd.DataFrame(columns=['net_value', 'profit', 'hs300'])
all_dates = get_trading_dates(begin_date, end_date)
hs300_begin_value = DB_CONN['daily'].find_one(
{
'code': '000300',
'date': all_dates[0],
'index': True
},
projection={'close': True})['close']
adjust_dates, date_codes_dict = stock_pool(begin_date, end_date)
last_phase_codes = None
this_phase_codes = None
to_be_sold_codes = set()
to_be_bought_codes = set()
holding_code_dict = dict()
last_date = None
last_entry_dates = {}
# 按照日期一步步回测
for _date in all_dates:
print('Backtest at %s.' % _date)
# 当期持仓股票列表
before_sell_holding_codes = list(holding_code_dict.keys())
# 处理复权
if last_date is not None and len(before_sell_holding_codes) > 0:
last_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': last_date,
'index': False
},
projection={
'code': True,
'au_factor': True,
'_id': False
})
code_last_aufactor_dict = dict()
for last_daily in last_daily_cursor:
code_last_aufactor_dict[
last_daily['code']] = last_daily['au_factor']
current_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': _date,
'index': False
},
projection={
'code': True,
'au_factor': True,
'_id': False
})
for current_daily in current_daily_cursor:
print(current_daily['code'], _date)
current_aufactor = current_daily['au_factor']
code = current_daily['code']
before_volume = holding_code_dict[code]['volume']
if code in code_last_aufactor_dict:
last_aufactor = code_last_aufactor_dict[code]
after_volume = int(before_volume *
(current_aufactor / last_aufactor))
holding_code_dict[code]['volume'] = after_volume
print('持仓量调整：%s, %6d, %10.6f, %6d, %10.6f' %
(code, before_volume, last_aufactor, after_volume,
current_aufactor))
# 卖出
print('待卖股票池：', to_be_sold_codes, flush=True)
if len(to_be_sold_codes) > 0:
sell_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': list(to_be_sold_codes)
},
'date': _date,
'index': False,
'is_trading': True
},
projection={
'open': True,
'code': True,
'low_limit': True
})
for sell_daily in sell_daily_cursor:
code = sell_daily['code']
# 若开盘价是跌停价不准卖出
open_price = sell_daily['open']
low_limit = sell_daily['low_limit']
if (code in before_sell_holding_codes) & (open_price >
low_limit):
holding_stock = holding_code_dict[code]
holding_volume = holding_stock['volume']
sell_price = sell_daily['open']
sell_amount = holding_volume * sell_price
cash += sell_amount
cost = holding_stock['cost']
single_profit = (sell_amount - cost) * 100 / cost
last_entry_dates[code] = None
print('卖出 %s, %6d, %6.2f, %8.2f, %4.2f' %
(code, holding_volume, sell_price, sell_amount,
single_profit))
del holding_code_dict[code]
to_be_sold_codes.remove(code)
print('卖出后，现金: %10.2f' % cash)
# 买入
print('待买股票池：', to_be_bought_codes, flush=True)
if len(to_be_bought_codes) > 0:
buy_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': list(to_be_bought_codes)
},
'date': _date,
'index': False,
'is_trading': True
},
projection={
'code': True,
'open': True,
'high_limit': True
})
for buy_daily in buy_daily_cursor:
# 若开盘价是涨停价不准买入
open_price = buy_daily['open']
high_limit = buy_daily['high_limit']
if (cash > single_position) & (open_price < high_limit):
buy_price = buy_daily['open']
code = buy_daily['code']
volume = int(int(single_position / buy_price) / 100) * 100
buy_amount = buy_price * volume
cash -= buy_amount
holding_code_dict[code] = {
'volume': volume,
'cost': buy_amount,
'last_value': buy_amount
}
last_entry_dates[code] = _date
print('买入 %s, %6d, %6.2f, %8.2f' %
(code, volume, buy_price, buy_amount))
print('买入后，现金: %10.2f' % cash)
# 持仓股代码列表
holding_codes = list(holding_code_dict.keys())
# 如果调整日，则获取新一期的股票列表
if _date in adjust_dates:
print('股票池调整日：%s，备选股票列表：' % _date, flush=True)
# 暂存为上期的日期
if this_phase_codes is not None:
last_phase_codes = this_phase_codes
this_phase_codes = date_codes_dict[_date]
print(this_phase_codes, flush=True)
# 找到所有调出股票代码，在第二日开盘时卖出
if last_phase_codes is not None:
out_codes = find_out_stocks(last_phase_codes, this_phase_codes)
for out_code in out_codes:
if out_code in holding_code_dict:
to_be_sold_codes.add(out_code)
# 检查是否有需要第二天卖出的股票
for holding_code in holding_codes:
if is_k_down_break_ma10(holding_code, _date):
to_be_sold_codes.add(holding_code)
"""
止损条件:
1.当日亏损超过3%
2.累计亏损超过10%
满足其一就卖出
注意，这里的回测逻辑是无法应用到模拟盘的，因为用了当天的收盘价去计算亏损；
当然在回测里没问题，毕竟是第二天要卖出的股票，所以姑且当做收盘后的判断吧；
"""
# 当天收盘价
current_close = DB_CONN['daily'].find_one({
'code': holding_code,
'date': _date,
'index': False
})['close']
# 买入时的价格和日期
entry_date = last_entry_dates[holding_code]
entry_daily_cursor = DB_CONN['daily'].find_one({
'code': holding_code,
'date': entry_date,
'index': False
})
entry_price = entry_daily_cursor['open']
entry_date_close = entry_daily_cursor['close']
if (entry_date == _date) & (((entry_price - entry_date_close) /
entry_price) > CURRENT_MAX_DROP_RATE):
to_be_sold_codes.add(holding_code)
stop_lose_position_date_current.append(_date)
elif ((entry_price - current_close) / entry_price) > MAX_DROP_RATE:
to_be_sold_codes.add(holding_code)
stop_lose_position_date.append(_date)
# 检查是否有需要第二天买入的股票
to_be_bought_codes.clear()
if this_phase_codes is not None:
for _code in this_phase_codes:
if _code not in holding_codes and is_k_up_break_ma10(
_code, _date):
to_be_bought_codes.add(_code)
# 计算总资产
total_value = 0
holding_daily_cursor = DB_CONN['daily'].find(
{
'code': {
'$in': holding_codes
},
'date': _date
},
projection={
'close': True,
'code': True
})
for holding_daily in holding_daily_cursor:
code = holding_daily['code']
holding_stock = holding_code_dict[code]
value = holding_daily['close'] * holding_stock['volume']
total_value += value
profit = (value -
holding_stock['cost']) * 100 / holding_stock['cost']
one_day_profit = (value - holding_stock['last_value']
) * 100 / holding_stock['last_value']
holding_stock['last_value'] = value
print('持仓: %s, %10.2f, %4.2f, %4.2f' %
(code, value, profit, one_day_profit))
total_capital = total_value + cash
hs300_current_value = DB_CONN['daily'].find_one(
{
'code': '000300',
'date': _date,
'index': True
},
projection={'close': True})['close']
print('收盘后，现金: %10.2f, 总资产: %10.2f' % (cash, total_capital))
last_date = _date
df_profit.loc[_date] = {
'net_value':
round(total_capital / 1e7, 2),
'profit':
round(100 * (total_capital - 1e7) / 1e7, 2),
'hs300':
round(
100 * (hs300_current_value - hs300_begin_value) /
hs300_begin_value, 2)
}
print(np.sort(list(set(stop_lose_position_date))))
print(np.sort(list(set(stop_lose_position_date_current))))
df_profit.plot(title='Backtest Result', y=['profit', 'hs300'], kind='line')
plt.show()
def backtest(begin_date, end_date, fun_sell, fun_buy):
'''
回测系统
parameter:
fun_sell: 卖出信号
fun_buy: 买入信号函数
'''
# 设置初始值
cash = 1E7
single_positon = 2E5
df_profit = pd.DataFrame(columns=['net_value', 'profit', 'hs300'])
# 得到回测日期
all_dates = get_trading_dates(begin_date, end_date)
adjust_dates, date_codes_dict = stock_pool(begin_date, end_date)
hs300_begin_value = daily_collection.find_one(
{
'code': '000300',
'index': True,
'date': adjust_dates[0]
},
projection={
'close': True,
'_id': False
})['close']
holding_code_dict = dict()
last_date = None
this_phase_codes = None
last_phase_codes = None
to_be_bought_codes = set()
to_be_sold_codes = set()
for _date in all_dates:
print('Back test begin at: %s' % _date)
before_sell_holding_codes = list(holding_code_dict.keys())
# 对于每一个回测日期处理复权
if last_date is not None and len(before_sell_holding_codes) > 0:
# produce_au(before_sell_holding_codes)
last_daily_cursor = daily_collection.find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': last_date
},
projection={
'code': True,
'_id': False,
'au_factor': True
}).hint([('code', 1), ('date', 1)])
code_last_aufactor_dict = dict()
for last_daily in last_daily_cursor:
code_last_aufactor_dict[
last_daily['code']] = last_daily['au_factor']
current_daily_cursor = daily_collection.find(
{
'code': {
'$in': before_sell_holding_codes
},
'date': _date
},
projection={
'code': True,
'_id': False,
'au_factor': True
}).hint([('code', 1), ('date', 1)])
for current_daily in current_daily_cursor:
current_aufactor = current_daily['au_factor']
code = current_daily['code']
before_volume = holding_code_dict[code]['volume']
if code in code_last_aufactor_dict:
last_aufactor = code_last_aufactor_dict[code]
after_volume = int(before_volume *
(current_aufactor / last_aufactor))
holding_code_dict[code]['volume'] = after_volume
print(
'hold volume adjust: code: %s, %6d, %10.6f, %6d, %10.6f'
% (code, before_volume, last_aufactor, after_volume,
current_aufactor))
# 卖出上一期持仓股
# print('to sell stocks: %s' % to_be_sold_codes, flush=True)
if len(to_be_sold_codes) > 0:
sell_daily_cursor = daily_collection.find(
{
'code': {
'$in': list(to_be_sold_codes)
},
'date': _date,
'index': True,
'is_trading': True
},
projection={
'open': True,
'code': True,
'_id': False
}).hint([('code', 1), ('date', -1)])
for sell_daily in sell_daily_cursor:
sell_code = sell_daily['code']
if sell_code in before_sell_holding_codes:
holding_stock = before_sell_holding_codes[code]
sell_price = sell_daily['open']
holding_volume = holding_stock['volume']
sell_amount = holding_volume * sell_price
cash += sell_amount
cost = holding_stock['cost']
single_profit = (sell_amount - cost) * 100 / cost
print('sell: %s, %6d, %6.2f, %8.2f, %4.2f' %
(code, holding_volume, sell_price, sell_amount,
single_profit))
del holding_code_dict[code]
to_be_sold_codes.remove(code)
print('cash after sell: %10.2f' % cash)
# 买入这一期股票
# print('to buy stocks: ', to_be_bought_codes, flush=True)
if len(to_be_bought_codes) > 0:
buy_daily_cursor = daily_collection.find(
{
'code': {
'$in': list(to_be_bought_codes)
},
'date': _date,
'index': False,
'is_trading': True
},
projection={
'code': True,
'_id': False,
'open': True
}).hint([('code', 1), ('date', -1)])
for buy_daily in buy_daily_cursor:
if cash > single_positon:
code = buy_daily['code']
buy_price = buy_daily['open']
buy_volume = int(
int(single_positon / buy_price) / 100) * 100
buy_amount = buy_price * buy_volume
cash -= buy_amount
holding_code_dict[code] = {
'volume': buy_volume,
'last_value': buy_amount,
'cost': buy_amount
}
print('buy %s, %6d, %6.2f, %8.2f' %
(code, buy_volume, buy_price, buy_amount))
print('cash after buy: %10.2f' % cash)
# 计算收益率
holding_codes = list(holding_code_dict.keys())
if _date in adjust_dates:
print('stock pool adjust date: %s' % _date)
if this_phase_codes is not None:
last_phase_codes = this_phase_codes
this_phase_codes = date_codes_dict[_date]
# print(this_phase_codes, flush=True)
if last_phase_codes is not None:
out_codes = find_out_stocks(last_phase_codes, this_phase_codes)
for out_code in out_codes:
if out_code in holding_code_dict:
to_be_sold_codes.add(out_code)
for holding_code in holding_codes:
if fun_sell(holding_code, _date):
to_be_sold_codes.add(holding_code)
to_be_bought_codes.clear()
if this_phase_codes is not None:
for _code in this_phase_codes:
if _code not in holding_codes and fun_buy(_code, _date):
to_be_bought_codes.add(_code)
# 计算持仓股票市值
total_value = 0
holding_daily_cursor = daily_collection.find(
{
'code': {
'$in': holding_codes
},
'date': _date,
'index': False
},
projection={
'code': True,
'_id': False,
'close': True
}).hint([('code', 1), ('date', -1)])
for holding_daily in holding_daily_cursor:
code = holding_daily['code']
holding_stock = holding_code_dict[code]
value = holding_daily['close'] * holding_stock['volume']
total_value += value
profit = (value -
holding_stock['cost']) * 100 / holding_stock['cost']
one_day_profit = (value - holding_stock['last_value']
) * 100 / holding_stock['last_value']
holding_stock['last_value'] = value
# print('holding stocks: %s, %10.2f, %4.2f, %4.2f' %
# (code, value, profit, one_day_profit))
# 计算总资产
total_capital = total_value + cash
# 计算基准收益
hs300_current_value = daily_collection.find_one(
{
'code': '000300',
'date': _date,
'index': True
},
projection={
'code': True,
'close': True,
'_id': False
})['close']
print('after close, cash: %10.2f, total_capital: %10.2f' %
(cash, total_capital))
dt_date = datetime.strptime(_date, '%Y-%m-%d')
df_profit.loc[dt_date] = {
'net_value':
round(total_capital / 1e7, 2),
'profit':
round(100 * (total_capital - 1e7) / 1e7, 2),
'hs300':
round(
100 * (hs300_current_value - hs300_begin_value) /
hs300_begin_value, 2)
}
drawdown = compute_drawdown(df_profit['net_value'])
annual_profit, sharpe_ratio = compute_sharpe_ratio(df_profit['net_value'])
print(
'Backtest result: %s - %s, annual_profit: %7.3f, maxdrawdown：%7.3f, sharpe ratio: %4.2f'
% (begin_date, end_date, annual_profit, drawdown, sharpe_ratio))
df_profit.plot(title='Backtest Result', y=['profit', 'hs300'], kind='line')
plt.show()