diff --git a/PairsTradingSimple.py b/PairsTradingSimple.py index aa9da32..8420e0f 100644 --- a/PairsTradingSimple.py +++ b/PairsTradingSimple.py @@ -199,13 +199,12 @@ try: print("投资组合创建成功!") - # 计算配对交易统计 - 修复统计计算 + # 计算配对交易统计 print("\n=== 配对交易策略表现 ===") # 获取组合总价值 portfolio_value = portfolio.value() - # 绘制结果 print("\n绘制图表...") @@ -252,6 +251,184 @@ try: plt.tight_layout() plt.show() + # ========== 修复：vectorbt自带的可视化 ========== + print("\n=== VectorBT 专业可视化 ===") + + # 1. 组合价值、持仓和交易的可视化 - 分别绘制每只股票 + print("\n绘制中芯国际分析...") + try: + # 中芯国际 + fig1 = portfolio['00981'].plot(subplots=[ + 'orders', # 订单 + 'trade_pnl', # 交易盈亏 + 'cum_returns', # 累积收益 + 'drawdowns' # 回撤 + ]) + fig1.update_layout( + title='中芯国际配对交易分析', + height=800 + ) + fig1.show() + except Exception as e: + print(f"中芯国际分析绘制失败: {e}") + + print("\n绘制华虹半导体分析...") + try: + # 华虹半导体 + fig2 = portfolio['01347'].plot(subplots=[ + 'orders', # 订单 + 'trade_pnl', # 交易盈亏 + 'cum_returns', # 累积收益 + 'drawdowns' # 回撤 + ]) + fig2.update_layout( + title='华虹半导体配对交易分析', + height=800 + ) + fig2.show() + except Exception as e: + print(f"华虹半导体分析绘制失败: {e}") + + # 2. 资产价值变化 - 使用组合总价值 + print("\n绘制组合总价值变化...") + try: + fig = portfolio_value.vbt.plot( + title='配对交易组合总价值', + xlabel='日期', + ylabel='组合价值' + ) + fig.show() + except Exception as e: + print(f"组合价值变化绘制失败: {e}") + + # 3. 累积收益 - 使用组合总收益 + print("\n绘制组合累积收益...") + try: + cumulative_returns = portfolio.cumulative_returns() + # 如果是多列，取第一列或平均值 + if hasattr(cumulative_returns, 'columns') and len(cumulative_returns.columns) > 1: + cumulative_returns = cumulative_returns.mean(axis=1) + fig = cumulative_returns.vbt.plot( + title='配对交易累积收益率', + xlabel='日期', + ylabel='累积收益' + ) + fig.show() + except Exception as e: + print(f"累积收益绘制失败: {e}") + + # 4. 回撤分析 - 使用组合总回撤 + print("\n绘制组合回撤分析...") + try: + # 如果是多列，取第一列或平均值 + if hasattr(drawdown, 'columns') and len(drawdown.columns) > 1: + drawdown = drawdown.mean(axis=1) + fig = drawdown.vbt.plot( + title='配对交易回撤分析', + xlabel='日期', + ylabel='回撤' + ) + fig.show() + except Exception as e: + print(f"回撤分析绘制失败: {e}") + + # 5. 月度收益热力图 + print("\n绘制月度收益热力图...") + try: + monthly_returns = portfolio.returns().vbt.to_monthly() + # 如果是多列，取平均值 + if hasattr(monthly_returns, 'columns') and len(monthly_returns.columns) > 1: + monthly_returns = monthly_returns.mean(axis=1) + fig = monthly_returns.vbt.heatmap( + xaxis_title='年份', + yaxis_title='月份', + title='配对交易月度收益热力图' + ) + fig.show() + except Exception as e: + print(f"月度收益热力图绘制失败: {e}") + + # 6. 交易分析 - 分别分析每只股票 + print("\n绘制交易分析...") + try: + # 中芯国际交易分析 + trades_smic = portfolio['00981'].trades + if len(trades_smic) > 0: + fig = trades_smic.plot_pnl() + fig.update_layout(title='中芯国际交易盈亏分布') + fig.show() + + fig = trades_smic.plot_duration() + fig.update_layout(title='中芯国际交易持续时间分布') + fig.show() + + # 华虹半导体交易分析 + trades_hhic = portfolio['01347'].trades + if len(trades_hhic) > 0: + fig = trades_hhic.plot_pnl() + fig.update_layout(title='华虹半导体交易盈亏分布') + fig.show() + + fig = trades_hhic.plot_duration() + fig.update_layout(title='华虹半导体交易持续时间分布') + fig.show() + except Exception as e: + print(f"交易分析绘制失败: {e}") + + # 7. 订单流分析 - 分别分析每只股票 + print("\n绘制订单流分析...") + try: + # 中芯国际订单 + fig1 = portfolio['00981'].orders.plot() + fig1.update_layout(title='中芯国际订单流分析') + fig1.show() + + # 华虹半导体订单 + fig2 = portfolio['01347'].orders.plot() + fig2.update_layout(title='华虹半导体订单流分析') + fig2.show() + except Exception as e: + print(f"订单流分析绘制失败: {e}") + + # 8. 持仓分析 - 分别分析每只股票 + print("\n绘制持仓分析...") + try: + # 中芯国际持仓 + holdings_smic = portfolio['00981'].holdings + fig1 = holdings_smic.vbt.plot( + title='中芯国际持仓变化', + xlabel='日期', + ylabel='持仓价值' + ) + fig1.show() + + # 华虹半导体持仓 + holdings_hhic = portfolio['01347'].holdings + fig2 = holdings_hhic.vbt.plot( + title='华虹半导体持仓变化', + xlabel='日期', + ylabel='持仓价值' + ) + fig2.show() + except Exception as e: + print(f"持仓分析绘制失败: {e}") + + # 9. 现金变化 - 使用组合总现金 + print("\n绘制现金变化...") + try: + cash = portfolio.cash + # 如果是多列，取第一列 + if hasattr(cash, 'columns') and len(cash.columns) > 1: + cash = cash.iloc[:, 0] + fig = cash.vbt.plot( + title='配对交易现金余额变化', + xlabel='日期', + ylabel='现金余额' + ) + fig.show() + except Exception as e: + print(f"现金变化绘制失败: {e}") + # 显示交易记录 non_zero_size = size[(size != 0).any(axis=1)] print(f"\n非零交易数量: {len(non_zero_size)}") @@ -259,48 +436,51 @@ try: print("交易记录示例:") print(non_zero_size.head(20)) - # 打印详细统计 - 使用更安全的方式 + # 打印详细统计 print("\n=== 详细统计 ===") try: - stats = portfolio.stats() - # 安全地获取统计值 + # 分别获取每只股票的统计 + stats_smic = portfolio['00981'].stats() + stats_hhic = portfolio['01347'].stats() + def safe_get_stat(stat_dict, key, default="N/A"): value = stat_dict.get(key, default) if hasattr(value, 'iloc'): return value.iloc[0] if len(value) == 1 else value return value - print(f"开始日期: {safe_get_stat(stats, 'Start')}") - print(f"结束日期: {safe_get_stat(stats, 'End')}") - print(f"期间: {safe_get_stat(stats, 'Period')}") - print(f"总收益率: {safe_get_stat(stats, 'Total Return [%]', 'N/A')}%") - print(f"年化收益率: {safe_get_stat(stats, 'Annual Return [%]', 'N/A')}%") - print(f"年化波动率: {safe_get_stat(stats, 'Annual Volatility [%]', 'N/A')}%") - print(f"夏普比率: {safe_get_stat(stats, 'Sharpe Ratio', 'N/A')}") - print(f"最大回撤: {safe_get_stat(stats, 'Max Drawdown [%]', 'N/A')}%") - print(f"总交易次数: {safe_get_stat(stats, 'Total Trades', 'N/A')}") - print(f"胜率: {safe_get_stat(stats, 'Win Rate [%]', 'N/A')}%") + print("\n中芯国际统计:") + print(f"总收益率: {safe_get_stat(stats_smic, 'Total Return [%]', 'N/A')}%") + print(f"年化收益率: {safe_get_stat(stats_smic, 'Annual Return [%]', 'N/A')}%") + print(f"夏普比率: {safe_get_stat(stats_smic, 'Sharpe Ratio', 'N/A')}") + print(f"最大回撤: {safe_get_stat(stats_smic, 'Max Drawdown [%]', 'N/A')}%") + + print("\n华虹半导体统计:") + print(f"总收益率: {safe_get_stat(stats_hhic, 'Total Return [%]', 'N/A')}%") + print(f"年化收益率: {safe_get_stat(stats_hhic, 'Annual Return [%]', 'N/A')}%") + print(f"夏普比率: {safe_get_stat(stats_hhic, 'Sharpe Ratio', 'N/A')}") + print(f"最大回撤: {safe_get_stat(stats_hhic, 'Max Drawdown [%]', 'N/A')}%") except Exception as e: print(f"获取详细统计时出错: {e}") # 分析每笔交易 try: - trades = portfolio.trades.records_readable - if len(trades) > 0: - print(f"\n交易分析:") - print(f"总交易次数: {len(trades)}") - if 'Duration' in trades.columns: - print(f"平均持仓时间: {trades['Duration'].mean():.1f} 天") - if 'PnL' in trades.columns: - print(f"最大单笔盈利: {trades['PnL'].max():.2f}") - print(f"最大单笔亏损: {trades['PnL'].min():.2f}") - winning_trades = trades[trades['PnL'] > 0] - losing_trades = trades[trades['PnL'] < 0] - if len(winning_trades) > 0: - print(f"平均盈利: {winning_trades['PnL'].mean():.2f}") - if len(losing_trades) > 0: - print(f"平均亏损: {losing_trades['PnL'].mean():.2f}") + trades_smic = portfolio['00981'].trades.records_readable + trades_hhic = portfolio['01347'].trades.records_readable + + if len(trades_smic) > 0: + print(f"\n中芯国际交易分析:") + print(f"总交易次数: {len(trades_smic)}") + if 'Duration' in trades_smic.columns: + print(f"平均持仓时间: {trades_smic['Duration'].mean():.1f} 天") + + if len(trades_hhic) > 0: + print(f"\n华虹半导体交易分析:") + print(f"总交易次数: {len(trades_hhic)}") + if 'Duration' in trades_hhic.columns: + print(f"平均持仓时间: {trades_hhic['Duration'].mean():.1f} 天") + except Exception as e: print(f"分析交易时出错: {e}")