def _get_data(self):
from single_factor import OperationRevenueGrowth, EstimateNetRevenueGrowRateFY16M, FreeCashFlowPerShare, GrossIncomeRatio, ROC, EffectiveTaxRate, PS
factor_list = [
OperationRevenueGrowth, EstimateNetRevenueGrowRateFY16M,
FreeCashFlowPerShare, GrossIncomeRatio, ROC, EffectiveTaxRate, PS
]
date_one_year = get_trading_date_from_now(self.date, -1, ql.Years)
date_two_year = get_trading_date_from_now(self.date, -2, ql.Years)
df = get_factor_from_wind_v2(self.code_list, factor_list, self.date)
df_Revenue_growth_one_year = get_factor_from_wind_v2(
self.code_list, [OperationRevenueGrowth], date_one_year)
df_Revenue_growth_one_year.rename(columns={'营业收入增长率': '营业收入增长率_去年'},
inplace=True)
df_FreeCashFlowPerShare_one_year = get_factor_from_wind_v2(
self.code_list, [FreeCashFlowPerShare], date_one_year)
df_FreeCashFlowPerShare_one_year.rename(
columns={'每股企业自由现金流': '每股企业自由现金流_去年'}, inplace=True)
df_FreeCashFlowPerShare_two_year = get_factor_from_wind_v2(
self.code_list, [FreeCashFlowPerShare], date_two_year)
df_FreeCashFlowPerShare_two_year.rename(
columns={'每股企业自由现金流': '每股企业自由现金流_前年'}, inplace=True)
df_temp = df['市销率'] * df['销售毛利率'] * 10.0 # 边际获利乘数即：销售毛利率*10
df = pd.concat([
df, df_Revenue_growth_one_year, df_FreeCashFlowPerShare_one_year,
df_FreeCashFlowPerShare_two_year, df_temp
],
axis=1)
df.rename(columns={0: '高估/低估指数'}, inplace=True)
df = df.dropna()
return df
def init(context):
global trading_date_list
i = 0
print('回测开始日期：' + BACKTEST_START_DATE + '，结束日期：' + BACKTEST_END_DATE)
while True:
date_now = get_trading_date_from_now(BACKTEST_START_DATE, i,
ql.Days) # 遍历每个交易日
print(('处理日期第%i个：' + date_now) % (i + 1))
dates_trading = [
get_trading_date_from_now(
date_now.split('-')[0] + '-' + date_now.split('-')[1] + '-' +
TRADING_DATE, 0, ql.Days)
for TRADING_DATE in TRADING_DATES_LIST
]
if date_now in dates_trading:
trading_date_list.append(date_now)
i += 1
if date_now == BACKTEST_END_DATE:
break
# 每天time_rule定时执行algo任务，time_rule处于09:00:00和15:00:00之间
print('时间列表整理完毕\n-----------------------------------------------\n')
trading_date_list = [
d for d in trading_date_list if d.split('-')[1] in MONTHS
] # 按照选定的调仓月份进行筛选
schedule(schedule_func=algo, date_rule='daily', time_rule='10:00:00')
def __init__(self,
backtest_start_date,
backtest_end_date,
N_list,
M_list,
industry_number=3):
# N_list，M_list，S1_list，S2_list为计算各个行业指数的用到的参数
# industry_number为选择的行业数量
w.start()
RSRS_start_date = get_trading_date_from_now(
backtest_start_date, -max(N_list) - max(M_list) - 1, ql.Days)
self.sw1_index_code = [t[0] for t in SW1_INDEX]
data = w.wsd(self.sw1_index_code, "high", RSRS_start_date,
backtest_end_date, "")
self.RSRS_times = [t.strftime('%Y-%m-%d') for t in data.Times]
self.RSRS_data_high = np.array(data.Data) # 格式为len(SW1_index) * 时间长度
data = w.wsd(self.sw1_index_code, "low", RSRS_start_date,
backtest_end_date, "")
self.RSRS_data_low = np.array(data.Data) # 格式为len(SW1_index) * 时间长度
# 时间序列的截取
self.backtest_start_date = backtest_start_date
self.RSRS_cal_start_date = get_trading_date_from_now(
backtest_start_date, -max(M_list) - 1, ql.Days)
# 整理计算用的不同的时间序列
self.RSRS_raw_cal_times = self.RSRS_times[
self.RSRS_times.index(self.RSRS_cal_start_date):]
self.RSRS_stand_cal_times = self.RSRS_times[
self.RSRS_times.index(self.backtest_start_date) - 1:]
self.N_list = N_list # 计算RSRS指标采样的历史周期长短
self.M_list = M_list # 标准化序列的历史周期长短
self.date_list, self.signal_list = self._get_data()
self.industry_number = industry_number
def __init__(self,
backtest_start_date,
backtest_end_date,
index_code,
N,
M,
S1=0.7,
S2=-0.7):
w.start()
RSRS_start_date = get_trading_date_from_now(backtest_start_date,
-N - M, ql.Days)
data = w.wsd(index_code, "high,low,close", RSRS_start_date,
backtest_end_date, "PriceAdj=T")
self.RSRS_times = [t.strftime('%Y-%m-%d') for t in data.Times]
self.RSRS_data_high = data.Data[0]
self.RSRS_data_low = data.Data[1]
self.RSRS_data = data.Data[2]
self.backtest_start_date = backtest_start_date
self.RSRS_cal_start_date = get_trading_date_from_now(
backtest_start_date, -M, ql.Days)
# 整理计算用的不同的时间序列
self.RSRS_raw_cal_times = self.RSRS_times[
self.RSRS_times.index(self.RSRS_cal_start_date):]
self.RSRS_stand_cal_times = self.RSRS_times[
self.RSRS_times.index(self.backtest_start_date):]
self.N = N # 计算RSRS指标采样的历史周期长短
self.M = M # 标准化序列的历史周期长短
self.S1 = S1
self.S2 = S2
super().__init__(backtest_start_date, backtest_end_date, index_code)
def algo(context):
date_now = context.now.strftime('%Y-%m-%d')
date_previous = get_trading_date_from_now(date_now, -1,
ql.Days) # 前一个交易日，用于获取因子数据的日期
if date_now not in trading_date_list: # 非调仓日
pass # 预留非调仓日的微调空间
else: # 调仓日执行算法
print(date_now + '日回测程序执行中...')
try:
code_list = list_gm2wind(
list(
get_history_constituents(
INDEX,
start_date=date_previous,
end_date=date_previous)[0]['constituents'].keys()))
except IndexError:
code_list = w.wset("sectorconstituent", "date=" + date_previous +
";windcode=" + INDEX).Data[1]
I = trading_date_list.index(date_now)
trading_dates = trading_date_list[I - HISTORY_LENGTH:I + 1]
data_dfs = []
for i in range(len(trading_dates) - 1):
date_start = get_trading_date_from_now(
trading_dates[i], -1, ql.Days) # 计算因子值的日子，买入前一日的因子值
date_end = get_trading_date_from_now(trading_dates[i + 1], -1,
ql.Days) # 计算收益率到期的日子-收盘
factors_df = get_factor_from_wind(code_list, FACTOR_LIST,
date_start) # 获取因子
return_df = get_return_from_wind(code_list, date_start, date_end)
factors_df_and_return_df = pd.concat(
[factors_df, return_df], axis=1).dropna() # 去掉因子或者回报有空缺值的样本
factors_df_and_return_df = sort_data(
factors_df_and_return_df) # 使用排序数据作为输入
data_dfs.append(factors_df_and_return_df)
factors_return_df = pd.concat(data_dfs,
axis=0) # 获取的最终训练数据拼接，return为目标
# 根据data_df训练模型
model = OrdinaryLinearRegression()
model.fit(factors_return_df)
# 根据factor_date_previous选取股票
factor_date_previous_df = get_factor_from_wind(code_list, FACTOR_LIST,
date_previous).dropna()
sorted_codes = model.predict(
factor_date_previous_df) # 获取预测收益率从小到大排序的股票列表
sorted_codes = list_wind2jq(sorted_codes)
# 根据股票列表下单
stock_codes = sorted_codes[-STOCK_NUMBER:]
stock_now = {}
for stock_code in stock_codes: # 平均持仓持股
stock_now[stock_code] = 1. / STOCK_NUMBER
stock_dict[date_now] = stock_now
def __init__(self, backtest_start_date, backtest_end_date, index_code, N, M, S1=0.7, S2=-0.7):
w.start()
RSRS_start_date = get_trading_date_from_now(backtest_start_date, -N-M, ql.Days)
data = w.wsd(index_code, "high,low,close", RSRS_start_date, backtest_end_date, "")
self.RSRS_times = [t.strftime('%Y-%m-%d') for t in data.Times]
self.RSRS_data_high = data.Data[0]
self.RSRS_data_low = data.Data[1]
self.RSRS_data = data.Data[2]
self.backtest_start_date = backtest_start_date
self.RSRS_cal_start_date = get_trading_date_from_now(backtest_start_date, -M, ql.Days)
self.N = N # 计算RSRS指标采样的历史周期长短
self.M = M # 标准化序列的历史周期长短
self.S1 = S1
self.S2 = S2
self.date_list, _, self.signal_list = self._get_data()
def init(context):
global date_trading # 调仓日期获取
i = 0
while True:
print('处理日期：' + str(i))
date_now = get_trading_date_from_now(BACKTEST_START_DATE, i, ql.Days) # 遍历每个交易日
dates_trading = [get_trading_date_from_now(date_now.split('-')[0] + '-' + date_now.split('-')[1] + '-' + TRADING_DATE, 0, ql.Days)
for TRADING_DATE in TRADING_DATES_LIST]
if date_now in dates_trading:
trading_date_list.append(date_now)
i += 1
if date_now == BACKTEST_END_DATE:
break
# 每天time_rule定时执行algo任务，time_rule处于09:00:00和15:00:00之间
schedule(schedule_func=algo, date_rule='daily', time_rule='10:00:00')
def algo(context):
global candidate_stock, selected_stock
date_now = context.now.strftime('%Y-%m-%d')
date_previous = get_trading_date_from_now(date_now, -1,
ql.Days) # 前一个交易日，用于获取因子数据的日期
print(date_now + '日回测程序执行中...')
if date_now not in trading_date_list: # 非调仓日
pass # 预留非调仓日的微调空间
else: # 调仓日执行算法
print(date_now + '日回测程序执行中...')
# 根据指数获取股票候选池的代码
code_list = SelectedStockPoolFromListV1(
INCLUDED_INDEX, EXCLUDED_INDEX, date_previous).get_stock_pool()
strategy = STRATEGY(code_list, date_previous)
candidate_stock = strategy.select_code() # 调仓日定期调节候选的股票池更新，非调仓日使用旧股票池
sw1_industry = get_SW1_industry(date_previous,
candidate_stock) # 获取股票的申万一级行业信息字典
industry_wm_result = industry_wheel_movement[date_now] # 行业轮动内部自动替换为前一交易日
candidate_selected_stock = [
stock for stock in candidate_stock if sw1_industry[stock] is not None
and industry_wm_result[sw1_industry[stock]] == 1
] # 忽略无行业信息的股票并根据行业择时信号选择候选股票
if candidate_selected_stock == selected_stock: # 候选股状态与之前一样，不用任何操作
pass
else:
selected_stock = candidate_selected_stock # 更新已持股池的信息
if candidate_selected_stock == []: # 空仓信号
stock_dict[date_now] = {}
else:
candidate_selected_stock = list_wind2jq(candidate_selected_stock)
stock_now = WEIGHTS(candidate_selected_stock,
date_previous).get_weights()
stock_dict[date_now] = stock_now
def __init__(self,
backtest_start_date,
backtest_end_date,
index_code,
L=50,
N=3,
Long=100,
Threshold1=0.98,
Threshold2=1.075):
self.backtest_start_date = backtest_start_date
# 策略参数设定
self.L = L
self.N = N
self.Long = Long
self.Threshold1 = Threshold1
self.Threshold2 = Threshold2
# 基本数据获取
w.start()
start_date = get_trading_date_from_now(backtest_start_date,
-(max(L + N, Long) + 120),
ql.Days)
data = w.wsd(index_code, "close,amt", start_date, backtest_end_date,
"")
self.times = [t.strftime('%Y-%m-%d') for t in data.Times] # 日期序列
self.close = data.Data[0] # 价格序列
self.amt = data.Data[1] # 成交额序列
self._get_signal('2015-01-27')
super().__init__(backtest_start_date, backtest_end_date, index_code)
def algo(context):
date_now = context.now.strftime('%Y-%m-%d')
date_previous = get_trading_date_from_now(date_now, -1,
ql.Days) # 前一个交易日，用于获取因子数据的日期
if date_now not in trading_date_list: # 非调仓日
pass # 预留非调仓日的微调空间
else: # 调仓日执行算法
print(date_now + '日回测程序执行中...')
try:
code_list = list_gm2wind(
list(
get_history_constituents(
INDEX,
start_date=date_previous,
end_date=date_previous)[0]['constituents'].keys()))
except IndexError:
code_list = w.wset("sectorconstituent", "date=" + date_previous +
";windcode=" + INDEX).Data[1]
factor = FACTOR(date_previous, code_list, **FACTOR_COEFF) # 读取单因子的代码
df = factor.get_factor().dropna()
quantiles = df.quantile(QUANTILE).values # 取对应的分位数值
stock_codes = list(
df[(df[factor.factor_name] >= quantiles[0][0])
& (df[factor.factor_name] < quantiles[1][0])].index.values)
stock_now = TRANSFER_FUNCTION(stock_codes, date_previous)
# stock_now = {}
# for stock_code in stock_codes:
# stock_now[stock_code] = 1.0 / len(stock_codes)
stock_dict[date_now] = stock_now
def __init__(self, backtest_start_date, backtest_end_date, index_code, llt_d, llt_cal_history=100, llt_threshold=0.0):
'''
:param llt_d: 沪深300适合20,25
:param llt_cal_history:
:param llt_threshold:
'''
w.start()
llt_start_date = get_trading_date_from_now(backtest_start_date, -llt_cal_history, ql.Days)
data_std = w.wsd(index_code, "close", llt_start_date, backtest_end_date, "") # 指数收盘价数据
# 提取北上资金净流入数据
sh_data_base = w.wset("shhktransactionstatistics", "startdate=" + llt_start_date + ";enddate=" + backtest_end_date + ";cycle=day;currency=cny;field=date,sh_net_purchases")
sh_data = sh_data_base.Data[1]
sh_data_list = np.array([np.nan if i==None else i for i in sh_data])
sz_data = w.wset("szhktransactionstatistics", "startdate=" + llt_start_date + ";enddate=" + backtest_end_date + ";cycle=day;currency=cny;field=sz_net_purchases").Data[0]
sz_data_list = np.array([np.nan if i==None else i for i in sz_data])
sum_list = sh_data_list + sz_data_list # 北上资金合计
sum_list = sum_list[::-1] # 数据倒序
# 整理北上资金净流入为pandas数据
df_sum_index = [t.strftime('%Y-%m-%d') for t in sh_data_base.Data[0]]
df_sum_index.reverse() # w.wset和w.wss日期序列顺序是反的 此处做倒叙处理
df_sum = pd.DataFrame(data=sum_list, index=df_sum_index, columns=['total'])
df_std_index = [t.strftime('%Y-%m-%d') for t in data_std.Times]
df_std = pd.DataFrame(data=np.random.rand((len(df_std_index))), index=df_std_index, columns=['std'])
target = pd.concat([df_std, df_sum], axis=1, ignore_index=True, sort=True) # 按照w.wss的index拼接df
target = target.fillna(0)
# 计算择时信号
self.llt_times = [t.strftime('%Y-%m-%d') for t in data_std.Times]
self.llt_data = list(target[1].values)
self.close_data = data_std.Data[0]
self.llt_d = llt_d
self.llt_threshold = llt_threshold
self.llt_cal_history = llt_cal_history # LLT信号计算的历史长度
self.backtest_start_date = backtest_start_date
super().__init__(backtest_start_date, backtest_end_date, index_code)
def algo(context):
date_now = context.now.strftime('%Y-%m-%d')
date_previous = get_trading_date_from_now(date_now, -1,
ql.Days) # 前一个交易日，用于获取因子数据的日期
if date_now not in trading_date_list: # 非调仓日
pass # 预留非调仓日的微调空间
else: # 调仓日执行算法
print(date_now + '日回测程序执行中...')
try:
code_list = list_gm2wind(
list(
get_history_constituents(
INDEX,
start_date=date_previous,
end_date=date_previous)[0]['constituents'].keys()))
except IndexError:
code_list = w.wset("sectorconstituent", "date=" + date_previous +
";windcode=" + INDEX).Data[1]
strategy = STRATEGY(code_list, date_previous)
select_code_list = list_wind2jq(strategy.select_code())
if len(select_code_list) > 0: # 有可选股票时选取合适的股票
stock_now = {}
for code in select_code_list:
stock_now[code] = 1.0 / len(select_code_list)
stock_dict[date_now] = stock_now
else:
stock_dict[date_now] = {}
def algo(context):
global position_now, position_target
date_now = context.now.strftime('%Y-%m-%d')
date_previous = get_trading_date_from_now(date_now, -1,
ql.Days) # 前一个交易日，用于获取因子数据的日期
select_time_value = select_time_model[date_now] # 择时信号计算，择时内部自动替换为前一交易日
print(date_now + ('日回测程序执行中...，择时值：%.2f' % select_time_value))
if date_now not in trading_date_list: # 非调仓日
pass
else: # 调仓日执行算法，更新position_target
position_now = False # 虚拟上，调仓日需要提前清仓
stock_dict[date_now] = {}
# 根据指数获取股票候选池的代码
code_list = SelectedStockPoolFromListV1(
INCLUDED_INDEX, EXCLUDED_INDEX, date_previous).get_stock_pool()
strategy = STRATEGY(code_list, date_previous, 0.9)
select_code_list = list_wind2jq(strategy.select_code())
if len(select_code_list) > 0: # 有可选股票时记录下可选股票
stock_now = WEIGHTS(select_code_list, date_previous).get_weights()
position_target = stock_now
else:
position_target = {}
# 择时判定
if select_time_value >= 0 and not position_now and position_target != {}: # LLT择时信号为正,空仓且有目标持仓状态
stock_dict[date_now] = position_target
position_now = True
elif select_time_value < 0 and position_now and position_target != {}: # LLT择时信号为负且持仓状态:
stock_dict[date_now] = {}
position_now = False
def __init__(self,
backtest_start_date,
backtest_end_date,
index_code,
threshold=0.0,
RPS_history=250,
max_vol_diff_history=100):
self.backtest_start_date = backtest_start_date
# 策略参数设定
self.threshold = threshold
self.RPS_history = RPS_history
self.max_vol_diff_history = max_vol_diff_history
# 提取数据
w.start()
start_date = get_trading_date_from_now(
backtest_start_date, -RPS_history - max_vol_diff_history - 30,
ql.Days)
data = w.wsd(index_code, "open, close, high, low", start_date,
backtest_end_date, "")
self.times = [t.strftime('%Y-%m-%d') for t in data.Times] # 日期序列
self.open = data.Data[0]
self.close = data.Data[1]
self.high = data.Data[2]
self.low = data.Data[3]
super().__init__(backtest_start_date, backtest_end_date, index_code)
def init(context):
# 调仓日期获取
global trading_date_list
BACKTEST_START_DATE_temp = get_trading_date_from_now(
BACKTEST_START_DATE, -HISTORY_LENGTH - 1, ql.Months)
trading_date_list = get_trading_date_list_by_day_monthly(
BACKTEST_START_DATE_temp, BACKTEST_END_DATE, TRADING_DATES_LIST)
# 每天time_rule定时执行algo任务，time_rule处于09:00:00和15:00:00之间
schedule(schedule_func=algo, date_rule='daily', time_rule='10:00:00')
def _get_data(self):
from single_factor import ClosePrice, PE, DividendYield, NetTangibleAssetPerShare, NetLiquidAssetPerShare, TotalLiability, NetLiquidAsset, NetTangibleAsset, CurrentRatio, NetProfitGrowRateV2, PE_MAX
factor_list = [ClosePrice, PE, DividendYield, NetTangibleAssetPerShare, NetLiquidAssetPerShare, TotalLiability, NetLiquidAsset, NetTangibleAsset, CurrentRatio, NetProfitGrowRateV2]
# factor_list = [PE_MAX] # 待添加到上述列表，条件筛选不完整
df = get_factor_from_wind_v2(self.code_list, factor_list, self.date)
date_temp_1 = get_trading_date_from_now(self.date, -3, ql.Days) # 取3天前国债收益率
yield_data = w.wss("TB" + str(self.N) + "Y.WI", "close", "tradeDate=" + str(date_temp_1) + ";priceAdj=U;cycle=D").Data[0][0]
df = df.dropna()
return df, yield_data
def __init__(self, backtest_start_date, backtest_end_date, index_code, llt_cal_history=100, llt_threshold=0.0, llt_d=39):
w.start()
llt_start_date = get_trading_date_from_now(backtest_start_date, -llt_cal_history, ql.Days)
data = w.wsd(index_code, "close", llt_start_date, backtest_end_date, "")
self.llt_times = [t.strftime('%Y-%m-%d') for t in data.Times]
self.llt_data = data.Data[0]
self.llt_d = llt_d
self.llt_threshold = llt_threshold
self.llt_cal_history = llt_cal_history # LLT信号计算的历史长度
def __getitem__(self, date_now):
'''
:param date_now: 计算date_now前一天收盘后的择时指标
:return llt_value: 择时信号返回值，1为看多，-1为看空，0为不确定
'''
date_previous = get_trading_date_from_now(date_now, -1, ql.Days)
index = self.date_list.index(date_previous)
signal = self.signal_list[index]
return signal
def 发布报告的模板1():
end_date = '2019-06-13'
start_date = get_trading_date_from_now(end_date, -100, ql.Days)
# RSRS模型
N = 18
M = 600
model = RSRS_standardization(start_date, end_date, '000300.SH', N=N, M=M)
# 脉冲比模型
model = 脉冲比_银河(start_date, end_date, '000001.SH')
# 单向波动差模型
model = 单向波动差_国信(start_date, end_date, '000300.SH')
def _get_data(self):
from single_factor import NetProfitGrowRateV2, NetProfit, Revenue,PE
factor_list = [NetProfitGrowRateV2, NetProfit,PE]
df = get_factor_from_wind_v2(self.code_list, factor_list, self.date)
date_temp = get_trading_date_from_now(self.date, -3, ql.Months)
df_temp = get_factor_from_wind_v2(self.code_list, [NetProfitGrowRateV2, Revenue], date_temp)
df_temp.rename(columns={'净利润增长率': '净利润增长率_3个月前'}, inplace=True)
df_temp_1 = df['净利润增长率'] - df_temp['净利润增长率_3个月前']
df = pd.concat([df, df_temp, df_temp_1], axis=1)
df.rename(columns={0: '差值'}, inplace=True)
df = df.dropna()
return df
def 发布报告的模板1():
end_date = '2019-06-28'
start_date = get_trading_date_from_now(end_date, -100, ql.Days)
# RSRS模型
N = 18
M = 600
model = RSRS_standardization(start_date, end_date, '000300.SH', N=N, M=M)
# 脉冲比模型
model = 脉冲比_银河(start_date, end_date, '000001.SH')
# 单向波动差模型
model = 单向波动差_国信(start_date, end_date, '000300.SH')
# 北上资金LLT择时
model = 北上资金择时_LLT(start_date, end_date, '000300.SH', llt_d=20, llt_cal_history=30, llt_threshold=0.0)
def __init__(self, backtest_start_date, backtest_end_date, index_code, N, S1=1.0, S2=0.8):
w.start()
RSRS_start_date = get_trading_date_from_now(backtest_start_date, -N, ql.Days)
data = w.wsd(index_code, "high,low,close", RSRS_start_date, backtest_end_date, "")
self.RSRS_times = [t.strftime('%Y-%m-%d') for t in data.Times]
self.RSRS_data_high = data.Data[0]
self.RSRS_data_low = data.Data[1]
self.RSRS_data = data.Data[2]
self.backtest_start_date = backtest_start_date
self.N = N # 计算RSRS指标采样的历史周期长短
self.S1 = S1
self.S2 = S2
super().__init__(backtest_start_date, backtest_end_date, index_code)
def _get_data(self):
from single_factor import LCap, CurrentRatio, ROE, FreeCashFlowPerShare, OperationRevenueGrowth, NetProfitGrowRateV2
factor_list = [LCap, CurrentRatio, ROE, OperationRevenueGrowth, NetProfitGrowRateV2]
df = get_factor_from_wind_v2(self.code_list, factor_list, self.date)
# 五年自由现金流量
df_PE = []
for i in range(5):
date_temp = get_trading_date_from_now(self.date, -i, ql.Years)
df_temp = get_factor_from_wind_v2(self.code_list, [FreeCashFlowPerShare], date_temp)
df_temp.rename(columns={'每股企业自由现金流指标': '每股企业自由现金流指标_' + str(i)}, inplace=True)
df_PE.append(df_temp)
df = pd.concat([df] + df_PE, axis=1)
df = df.dropna()
return df
def __getitem__(self, date_now):
RSRS_value_result = {}
date_previous = get_trading_date_from_now(date_now, -1, ql.Days)
index = self.RSRS_stand_cal_times.index(date_previous)
signal_date_now = self.signal_list[:, index]
industry_selected_number = np.argsort(signal_date_now)[
-self.industry_number:] # ，按照RSRS标准化值从大到小排序，选取备选行业编号
for i in range(len(SW1_INDEX)):
index = self.sw1_index_code[i]
if i in industry_selected_number:
RSRS_value_result[index] = 1
else:
RSRS_value_result[index] = -1
return RSRS_value_result
def _get_data(self):
from single_factor import PB, PE, DividendYield, PriceFreeCashFlowPerShare, LongTermLiabilityToWorkCapital
factor_list = [PB, DividendYield, PriceFreeCashFlowPerShare, LongTermLiabilityToWorkCapital]
df = get_factor_from_wind_v2(self.code_list, factor_list, self.date)
# 五年PE值获取
df_PE = []
for i in range(5):
date_temp = get_trading_date_from_now(self.date, -i, ql.Years)
df_temp = get_factor_from_wind_v2(self.code_list, [PE], date_temp)
df_temp.rename(columns={'市盈率PE': '市盈率_'+str(i)}, inplace=True)
df_PE.append(df_temp)
df = pd.concat([df]+df_PE, axis=1)
df = df.dropna()
return df
def algo(context):
date_now = context.now.strftime('%Y-%m-%d')
date_previous = get_trading_date_from_now(date_now, -1, ql.Days) # 前一个交易日，用于获取因子数据的日期
if date_now not in trading_date_list: # 非调仓日
pass # 预留非调仓日的微调空间
else: # 调仓日执行算法
print(date_now+'日回测程序执行中...')
# 根据指数获取股票候选池的代码
select_code_list = list_wind2jq(INCLUDED_INDEX)
if len(select_code_list) > 0: # 有可选股票时选取合适的股票
stock_now = WEIGHTS(select_code_list, date_previous).get_weights()
stock_dict[date_now] = stock_now
else:
stock_dict[date_now] = {}
def __init__(self, backtest_start_date, backtest_end_date, index_code, threshold=1.5, hold_L=30, mean_L=5):
self.backtest_start_date = backtest_start_date
# 策略参数设定
self.threshold = threshold
self.hold_L = hold_L
self.mean_L = mean_L
# 提取数据
w.start()
start_date = get_trading_date_from_now(backtest_start_date, -mean_L-3, ql.Days)
data = w.wsd(index_code, "amt, close", start_date, backtest_end_date, "")
self.times = [t.strftime('%Y-%m-%d') for t in data.Times] # 日期序列
self.amt = data.Data[0] # 成交额数据
self.close = data.Data[1] # 价格序列
super().__init__(backtest_start_date, backtest_end_date, index_code)
def _get_data(self):
from single_factor import DebetToAsset, CFPS, MarketValueToFreeCashFlow, NetProfitGrowRateV2, DividendYield, PE, InventoryTurnRatio
factor_list = [DebetToAsset, CFPS, MarketValueToFreeCashFlow, NetProfitGrowRateV2, DividendYield, PE]
factor_InvTurn_now = [InventoryTurnRatio]
factor_InvTurn_one_year = [InventoryTurnRatio]
date_one_year = get_trading_date_from_now(self.date, -1, ql.Years)
df = get_factor_from_wind_v2(self.code_list, factor_list, self.date)
# 存货增长率与营收增长率的比较判断数据，使用存货周转率判断
df_invturn_now = get_factor_from_wind_v2(self.code_list, factor_InvTurn_now, self.date)
df_invturn_now.rename(columns={'存货周转率': '存货周转率_今年'}, inplace=True)
df_invturn_one_year = get_factor_from_wind_v2(self.code_list, factor_InvTurn_one_year, date_one_year)
df_invturn_one_year.rename(columns={'存货周转率': '存货周转率_去年'}, inplace=True)
df = pd.concat([df, df_invturn_now, df_invturn_one_year], axis=1)
df = df.dropna()
return df
def __init__(self, backtest_start_date, backtest_end_date, index_code, llt_d, llt_cal_history=100, llt_threshold=0.0):
'''
:param llt_d: 上证综指适合参数39
:param llt_cal_history:
:param llt_threshold:
'''
w.start()
llt_start_date = get_trading_date_from_now(backtest_start_date, -llt_cal_history, ql.Days)
data = w.wsd(index_code, "close", llt_start_date, backtest_end_date, "")
self.llt_times = [t.strftime('%Y-%m-%d') for t in data.Times]
self.llt_data = data.Data[0]
self.llt_d = llt_d
self.llt_threshold = llt_threshold
self.llt_cal_history = llt_cal_history # LLT信号计算的历史长度
self.backtest_start_date = backtest_start_date
super().__init__(backtest_start_date, backtest_end_date, index_code)
def algo(context):
date_now = context.now.strftime('%Y-%m-%d')
date_previous = get_trading_date_from_now(date_now, -1, ql.Days) # 前一个交易日，用于获取因子数据的日期
if date_now not in trading_date_list: # 非调仓日
pass # 预留非调仓日的微调空间
else: # 调仓日执行算法
print(date_now+'日回测程序执行中...')
# 根据指数获取股票候选池的代码
if len(stock_pool) > 0: # 有可选股票时选取合适的股票
stock_now = 风险预算组合_模块求解基本版_带约束(stock_pool, date_previous, risk_budget=risk_budget, bounds=risk_bounds).get_weights()
stock_now['161716.XSHE'] = 0.09
stock_now['167501.XSHE'] = 0.06
stock_now['511010.XSHG'] = stock_now['511010.XSHG'] - 0.15
print(stock_now)
stock_dict[date_now] = stock_now
else:
stock_dict[date_now] = {}
