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  3. \u56de\u8e29\u70b9\u7684\u5b9a\u4e49\u4e3a\u5f53\u6839K\u7ebf\u51fb\u7a7f10\u65e5\u5747\u7ebf\uff0c\u672a\u51fb\u7a7f\u66f4\u957f\u5468\u671f\u5747\u7ebf\uff0c\u5e76\u4ecd\u6ee1\u8db3\u591a\u5934\u6392\u5217<\/li>\n
  4. \u4e70\u5165\u80a1\u7968\u6570\u4e0a\u9650\u4e3a100\u53ea\uff0c\u7b49\u6743\u91cd\u4e70\u5165\uff0c\u5f53\u6301\u6709\u80a1\u7968\u6570100\u53ea\u65f6\uff0c\u6709\u80a1\u7968\u5356\u51fa\u624d\u4e70\u5165\u80a1\u7968<\/li>\n
  5. \u4e70\u5165\u65f6\u673a\uff1a\u591a\u5934\u7b56\u7565\u56de\u8e29\u70b9\u7684\u7b2c\u4e8c\u5929\u5f00\u76d8\u4e70\u5165<\/li>\n
  6. \u5356\u51fa\u65f6\u673a\uff1a\u5f535\u65e5\u5747\u7ebf\u4e0b\u7a7f40\u65e5\u5747\u7ebf\uff0c\u7b2c\u4e8c\u5929\u5f00\u76d8\u5356\u51fa<\/li>\n<\/ol>\n

    \u56de\u6d4b\u7ed3\u679c<\/strong><\/p>\n

    \u4ee5\u4e0b\u4e3a\u56de\u6d4b\u7ed3\u679c\u3002\u56de\u6d4b\u65f6\u95f4\u4e3a2013\u5e74\u5e74\u521d\u52302015\u5e741\u6708\uff0c\u603b\u6536\u76ca78.67%\uff0c\u5e74\u5316\u6536\u76ca\u7387\u4e3a34.3%\uff0c\u56e0\u4e3a\u56de\u6d4b\u671f\u95f4\u672c\u8eab\u5927\u76d8\u4e5f\u4e0d\u9519\uff0c\u6240\u4ee5\u8fd8\u9700\u53c2\u770b\u66f4\u957f\u65f6\u95f4\u7684\u8868\u73b0\u3002\u672c\u6587\u76ee\u7684\u662f\u5e0c\u671b\u5927\u5bb6\u5bf9\u56de\u6d4b\u673a\u5236\u66f4\u4e3a\u719f\u6089\uff0c\u66f4\u80fd\u7075\u6d3b\u5730\u5f00\u53d1\u91cf\u5316\u7b56\u7565\u3002<\/p>\n

    \"image\"<\/a><\/p>\n
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    \u5b8c\u6574\u7684\u7b56\u7565\u5982\u4e0b\uff0c\u5927\u5bb6\u53ef\u4ee5\u00a0\u514b\u9686<\/strong>\u5230\u81ea\u5df1\u7684\u8d26\u6237\u8fdb\u884c\u7814\u7a76\u3002<\/p>\n

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    <\/i>\u514b\u9686\u7b56\u7565<\/div>\n<\/div>\n
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    \u6570\u636e\u51c6\u5907\u51fd\u6570<\/h2>\n<\/div>\n<\/div>\n<\/div>\n
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    def<\/span> prepare<\/span>(<\/span>context<\/span>):<\/span>\r\n    # \u52a0\u8f7d\u539f\u59cb\u6570\u636e<\/span>\r\n    stock_raw_data<\/span> =<\/span> D<\/span>.<\/span>history_data<\/span>(<\/span>context<\/span>.<\/span>instruments<\/span>,<\/span> context<\/span>.<\/span>start_date<\/span>,<\/span> context<\/span>.<\/span>end_date<\/span>,<\/span> [<\/span>'close'<\/span>,<\/span>'low'<\/span>])<\/span>\r\n    # \u5305\u542b\u591a\u4e2a\u5468\u671f\u5747\u7ebf\u503c\u7684\u80a1\u7968\u6570\u636e<\/span>\r\n    stock_ma_data<\/span> =<\/span> stock_raw_data<\/span>.<\/span>groupby<\/span>(<\/span>'instrument'<\/span>)<\/span>.<\/span>apply<\/span>(<\/span>ma_calculate<\/span>)<\/span>\r\n    # \u6bcf\u65e5\u4e70\u5165\u80a1\u7968\u7684\u6570\u636e\u6846<\/span>\r\n    context<\/span>.<\/span>daily_stock_to_buy<\/span>=<\/span> stock_ma_data<\/span>.<\/span>groupby<\/span>(<\/span>'date'<\/span>)<\/span>.<\/span>apply<\/span>(<\/span>open_pos_con<\/span>)<\/span>\r\n    # \u6bcf\u65e5\u5356\u51fa\u80a1\u7968\u7684\u6570\u636e\u6846<\/span>\r\n    context<\/span>.<\/span>daily_stock_to_sell<\/span>=<\/span> stock_ma_data<\/span>.<\/span>groupby<\/span>(<\/span>'date'<\/span>)<\/span>.<\/span>apply<\/span>(<\/span>close_pos_con<\/span>)<\/span>\r\n\r\n# \u8ba1\u7b97\u591a\u4e2a\u5468\u671f\u5747\u7ebf\u7684\u51fd\u6570<\/span>\r\ndef<\/span> ma_calculate<\/span>(<\/span>df<\/span>):<\/span>\r\n    ma_list<\/span> =<\/span> [<\/span>5<\/span>,<\/span>10<\/span>,<\/span>20<\/span>,<\/span>40<\/span>,<\/span>120<\/span>]<\/span>\r\n    for<\/span> ma_len<\/span> in<\/span> ma_list<\/span>:<\/span>\r\n        df<\/span>[<\/span>'ma_'<\/span>+<\/span>str<\/span>(<\/span>ma_len<\/span>)]<\/span> =<\/span> pd<\/span>.<\/span>rolling_mean<\/span>(<\/span>df<\/span>[<\/span>'close'<\/span>],<\/span> ma_len<\/span>)<\/span>\r\n    return<\/span> df<\/span>\r\n\r\n# \u51fd\u6570\uff1a\u6c42\u6ee1\u8db3\u5f00\u4ed3\u6761\u4ef6\u7684\u80a1\u7968\u5217\u8868<\/span>\r\ndef<\/span> open_pos_con<\/span>(<\/span>df<\/span>):<\/span>\r\n    return<\/span> list<\/span>(<\/span>df<\/span>[(<\/span>df<\/span>[<\/span>'ma_5'<\/span>]<\/span>><\/span>df<\/span>[<\/span>'ma_10'<\/span>])<\/span>&<\/span>(<\/span>df<\/span>[<\/span>'ma_10'<\/span>]<\/span>><\/span>df<\/span>[<\/span>'ma_20'<\/span>])<\/span>&<\/span>(<\/span>df<\/span>[<\/span>'ma_20'<\/span>]<\/span>><\/span>df<\/span>[<\/span>'ma_40'<\/span>])<\/span>&<\/span>(<\/span>df<\/span>[<\/span>'ma_40'<\/span>]<\/span>><\/span>df<\/span>[<\/span>'ma_120'<\/span>])<\/span>&<\/span>(<\/span>df<\/span>[<\/span>'low'<\/span>]<\/span><<\/span>df<\/span>[<\/span>'ma_10'<\/span>])]<\/span>.<\/span>instrument<\/span>)<\/span>\r\n\r\n# \u51fd\u6570\uff1a\u6c42\u6ee1\u8db3\u5e73\u4ed3\u6761\u4ef6\u7684\u80a1\u7968\u5217\u8868<\/span>\r\ndef<\/span> close_pos_con<\/span>(<\/span>df<\/span>):<\/span>\r\n    return<\/span> list<\/span>(<\/span>df<\/span>[<\/span>df<\/span>[<\/span>'ma_5'<\/span>]<\/span><<\/span>df<\/span>[<\/span>'ma_40'<\/span>]]<\/span>.<\/span>instrument<\/span>)<\/span>\r\n<\/pre>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n
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    \u7b56\u7565\u903b\u8f91\u4e3b\u4f53\u51fd\u6570<\/h2>\n<\/div>\n<\/div>\n<\/div>\n
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    # \u521d\u59cb\u5316\u865a\u62df\u8d26\u6237\u72b6\u6001\uff0c\u53ea\u5728\u7b2c\u4e00\u4e2a\u4ea4\u6613\u65e5\u8fd0\u884c<\/span>\r\ndef<\/span> initialize<\/span>(<\/span>context<\/span>):<\/span>\r\n    # \u8bbe\u7f6e\u624b\u7eed\u8d39\uff0c\u4e70\u5165\u65f6\u4e073\uff0c\u5356\u51fa\u662f\u5343\u5206\u4e4b1.3,\u4e0d\u8db35\u5143\u4ee55\u5143\u8ba1<\/span>\r\n    context<\/span>.<\/span>set_commission<\/span>(<\/span>PerOrder<\/span>(<\/span>buy_cost<\/span>=<\/span>0.0003<\/span>,<\/span> sell_cost<\/span>=<\/span>0.0013<\/span>,<\/span> min_cost<\/span>=<\/span>5<\/span>))<\/span>\r\n    context<\/span>.<\/span>num_stock<\/span> =<\/span> 100<\/span> # \u6700\u591a\u540c\u65f6\u6301\u6709100\u53ea\u80a1\u7968<\/span>\r\n    \r\n# \u7b56\u7565\u4ea4\u6613\u903b\u8f91\uff0c\u6bcf\u4e2a\u4ea4\u6613\u65e5\u8fd0\u884c\u4e00\u6b21<\/span>\r\ndef<\/span> handle_data<\/span>(<\/span>context<\/span>,<\/span> data<\/span>):<\/span>\r\n    date<\/span> =<\/span> data<\/span>.<\/span>current_dt<\/span>.<\/span>strftime<\/span>(<\/span>'%Y-%m-<\/span>%d<\/span>'<\/span>)<\/span>  # \u65e5\u671f<\/span>\r\n    buy_stock<\/span> =<\/span> context<\/span>.<\/span>daily_stock_to_buy<\/span>[<\/span>date<\/span>]<\/span>  # \u5f53\u65e5\u7b26\u5408\u4e70\u5165\u6761\u4ef6\u7684\u80a1\u7968<\/span>\r\n    sell_stock<\/span> =<\/span> context<\/span>.<\/span>daily_stock_to_sell<\/span>[<\/span>date<\/span>]<\/span>  # \u5f53\u65e5\u7b26\u5408\u5356\u51fa\u6761\u4ef6\u7684\u80a1\u7968<\/span>\r\n    weight<\/span> =<\/span> 1<\/span>\/<\/span>context<\/span>.<\/span>num_stock<\/span>   # \u7b49\u6743\u91cd\u914d\u7f6e<\/span>\r\n    stock_hold_num<\/span> =<\/span> len<\/span>(<\/span>context<\/span>.<\/span>portfolio<\/span>.<\/span>positions<\/span>)<\/span>  # \u76ee\u524d\u6301\u6709\u7684\u80a1\u7968\u6570\u91cf<\/span>\r\n    remain_num<\/span> =<\/span> context<\/span>.<\/span>num_stock<\/span> -<\/span> stock_hold_num<\/span>   # \u8fd8\u53ef\u4ee5\u4e70\u5165\u7684\u80a1\u7968\u6570\u91cf,\u9700\u8981\u628a\u5356\u51fa\u7684\u80a1\u7968\u52a0\u56de\u6765<\/span>\r\n    # \u521d\u59cb\u5316\u5f53\u65e5\u4e70\u5165\u8ba2\u5355\u7684\u6570\u91cf\u4e3a0 <\/span>\r\n    order_count<\/span> =<\/span> 0<\/span>\r\n    # \u4e70\u5165\u80a1\u7968<\/span>\r\n    for<\/span> i<\/span> in<\/span> buy_stock<\/span>:<\/span>\r\n        # \u5982\u679c\u53d1\u9001\u4e70\u5165\u8ba2\u5355\u7684\u80a1\u7968\u6570\u91cf\u5df2\u7ecf\u8d85\u8fc7\u4e86\u8fd8\u53ef\u4ee5\u4e70\u5165\u7684\u80a1\u7968\u6570\u91cf\uff0c\u90a3\u4e48\u5e94\u9000\u51fafor\u5faa\u73af<\/span>\r\n        if<\/span> order_count<\/span> >=<\/span> remain_num<\/span>:<\/span>\r\n            break<\/span>\r\n        # \u5bf9\u4e8e\u6ca1\u6709\u4e70\u5165\u7684\u80a1\u7968\u4e14\u53ef\u4ee5\u4ea4\u6613\u7684\u80a1\u7968\uff0c\u5e94\u4e70\u5165<\/span>\r\n        if<\/span> context<\/span>.<\/span>portfolio<\/span>.<\/span>positions<\/span>[<\/span>context<\/span>.<\/span>symbol<\/span>(<\/span>i<\/span>)]<\/span>.<\/span>amount<\/span> ==<\/span> 0<\/span> and<\/span> data<\/span>.<\/span>can_trade<\/span>(<\/span>context<\/span>.<\/span>symbol<\/span>(<\/span>i<\/span>)):<\/span>\r\n            order_target_percent<\/span>(<\/span>context<\/span>.<\/span>symbol<\/span>(<\/span>i<\/span>),<\/span> weight<\/span>)<\/span>\r\n            order_count<\/span> +=<\/span> 1<\/span>  # \u7edf\u8ba1\u4e00\u4e0b\u5f53\u5929\u80a1\u7968\u4e70\u5165\u6570\u91cf<\/span>\r\n    # \u5356\u51fa\u80a1\u7968<\/span>\r\n    for<\/span> j<\/span> in<\/span> sell_stock<\/span>:<\/span>\r\n        if<\/span> context<\/span>.<\/span>portfolio<\/span>.<\/span>positions<\/span>[<\/span>context<\/span>.<\/span>symbol<\/span>(<\/span>j<\/span>)]<\/span>.<\/span>amount<\/span> ><\/span> 0<\/span> and<\/span> data<\/span>.<\/span>can_trade<\/span>(<\/span>context<\/span>.<\/span>symbol<\/span>(<\/span>j<\/span>)):<\/span>\r\n            order_target_percent<\/span>(<\/span>context<\/span>.<\/span>symbol<\/span>(<\/span>j<\/span>),<\/span> 0<\/span>)<\/span>\r\n<\/pre>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n
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    \u7b56\u7565\u56de\u6d4b\u63a5\u53e3<\/h2>\n<\/div>\n<\/div>\n<\/div>\n
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    # \u7b56\u7565\u56de\u6d4b\u63a5\u53e3: https:\/\/bigquant.com\/docs\/strategy_backtest.html<\/span>\r\nm<\/span> =<\/span> M<\/span>.<\/span>trade<\/span>.<\/span>v3<\/span>(<\/span>\r\n    instruments<\/span>=<\/span>D<\/span>.<\/span>instruments<\/span>(<\/span>market<\/span>=<\/span>'CN_STOCK_A'<\/span>),<\/span>\r\n    start_date<\/span>=<\/span>'2013-01-01'<\/span>,<\/span>\r\n    end_date<\/span>=<\/span>'2015-01-21'<\/span>,<\/span>\r\n    prepare<\/span>=<\/span>prepare<\/span>,<\/span> # \u6570\u636e\u51c6\u5907\u51fd\u6570<\/span>\r\n    initialize<\/span>=<\/span>initialize<\/span>,<\/span> # \u521d\u59cb\u5316\u51fd\u6570<\/span>\r\n    handle_data<\/span>=<\/span>handle_data<\/span>,<\/span> # \u7b56\u7565\u4e3b\u4f53\u51fd\u6570<\/span>\r\n    # \u4e70\u5165\u8ba2\u5355\u4ee5\u5f00\u76d8\u4ef7\u6210\u4ea4<\/span>\r\n    order_price_field_buy<\/span>=<\/span>'open'<\/span>,<\/span>\r\n    # \u5356\u51fa\u8ba2\u5355\u4ee5\u5f00\u76d8\u4ef7\u6210\u4ea4<\/span>\r\n    order_price_field_sell<\/span>=<\/span>'open'<\/span>,<\/span>\r\n    capital_base<\/span>=<\/span>1000000<\/span>,<\/span>\r\n    benchmark<\/span>=<\/span>'000300.INDX'<\/span>,<\/span>\r\n)<\/span>\r\n<\/pre>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n
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    [2018-03-22 20:25:10.915836] INFO: bigquant: backtest.v7 \u5f00\u59cb\u8fd0\u884c..\r\n[2018-03-22 20:25:52.494662] INFO: algo: set price type:backward_adjusted\r\n[2018-03-22 20:28:30.866130] INFO: Performance: Simulated 496 trading days out of 496.\r\n[2018-03-22 20:28:30.870726] INFO: Performance: first open: 2013-01-04 01:30:00+00:00\r\n[2018-03-22 20:28:30.872439] INFO: Performance: last close: 2015-01-21 07:00:00+00:00\r\n<\/pre>\n<\/div>\n<\/div>\n
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