109 lines
3.6 KiB
Python
109 lines
3.6 KiB
Python
# -*- encoding:utf-8 -*-
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from __future__ import print_function
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import seaborn as sns
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import warnings
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# noinspection PyUnresolvedReferences
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import abu_local_env
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import abupy
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from abupy import ABuSymbolPd
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from abupy import EMarketSourceType
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from abupy import EMarketDataFetchMode
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from abupy import AbuFactorBuyBreak
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from abupy import AbuFactorAtrNStop
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from abupy import AbuFactorPreAtrNStop
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from abupy import AbuFactorCloseAtrNStop
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from abupy import AbuMetricsBase
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from abupy import abu
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warnings.filterwarnings('ignore')
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sns.set_context(rc={'figure.figsize': (14, 7)})
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# 设置选股因子，None为不使用选股因子
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stock_pickers = None
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# 买入因子依然延用向上突破因子
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buy_factors = [{'xd': 60, 'class': AbuFactorBuyBreak},
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{'xd': 42, 'class': AbuFactorBuyBreak}]
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# 卖出因子继续使用上一章使用的因子
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sell_factors = [
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{'stop_loss_n': 1.0, 'stop_win_n': 3.0,
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'class': AbuFactorAtrNStop},
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{'class': AbuFactorPreAtrNStop, 'pre_atr_n': 1.5},
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{'class': AbuFactorCloseAtrNStop, 'close_atr_n': 1.5}
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]
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"""
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附录A 量化环境部署
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abu量化系统github地址：https://github.com/bbfamily/abu (您的star是我的动力！)
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abu量化文档教程ipython notebook：https://github.com/bbfamily/abu/tree/master/abupy_lecture
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* 本节建议对照阅读abu量化文档: 第19节 数据源
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"""
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def sample_a21():
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"""
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A.2.1 数据模式的切换
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:return:
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"""
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# 表A-1所示
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print(ABuSymbolPd.make_kl_df('601398').tail())
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# 局部使用enable_example_env_ipython，示例
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abupy.env.enable_example_env_ipython()
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# 如果本地有相应股票的缓存，可以使用如下代码强制使用本地缓存数据
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# abupy.env.g_data_fetch_mode = EMarketDataFetchMode.E_DATA_FETCH_FORCE_LOCAL
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# 设置初始资金数
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read_cash = 1000000
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# 择时股票池
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choice_symbols = ['usNOAH', 'usSFUN', 'usBIDU', 'usAAPL', 'usGOOG', 'usTSLA', 'usWUBA', 'usVIPS']
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# 使用run_loop_back运行策略
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abu_result_tuple, _ = abu.run_loop_back(read_cash,
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buy_factors, sell_factors, stock_pickers, choice_symbols=choice_symbols,
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n_folds=2)
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metrics = AbuMetricsBase(*abu_result_tuple)
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metrics.fit_metrics()
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metrics.plot_returns_cmp()
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# *****************************************************************************************************************
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# 切换数据源
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abupy.env.g_market_source = EMarketSourceType.E_MARKET_SOURCE_tx
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# 强制走网络数据源
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abupy.env.g_data_fetch_mode = EMarketDataFetchMode.E_DATA_FETCH_FORCE_NET
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# 择时股票池
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choice_symbols = ['601398', '600028', '601857', '601318', '600036', '000002', '600050', '600030']
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# 使用run_loop_back运行策略
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abu_result_tuple, _ = abu.run_loop_back(read_cash,
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buy_factors, sell_factors, stock_pickers, choice_symbols=choice_symbols,
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n_folds=2)
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metrics = AbuMetricsBase(*abu_result_tuple)
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metrics.fit_metrics()
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metrics.plot_returns_cmp()
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"""
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A.2.2 目标市场的切换
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A.2.3 A股市场的回测示例
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* 相关内容请阅读abu量化文档：第8节 A股市场的回测， 第20节 A股全市场回测
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"""
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"""
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A.2.4 港股市场的回测示例
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* 相关内容请阅读abu量化文档：第9节 港股市场的回测
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"""
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if __name__ == "__main__":
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sample_a21()
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# sample_a23_1()
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# sample_a23_2()
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# sample_a23_2(from_cache=True)
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# sample_a24_1()
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# sample_a24_2()
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# sample_a24_2(from_cache=True)
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