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解决仓位不匹配，用到杠杆的问题

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bingyi
2025-11-02 20:03:24 +08:00
parent f474b31f57
commit b4ddb0ffad
2 changed files with 85 additions and 64 deletions
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16
gogogo/result_visualizer.py
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@ -223,21 +223,9 @@ def print_trade_orders(strategy_data, stock_portfolio):
print(f" 总订单数: {len(column_orders)}")
print(f" 买入订单: {len(buy_orders)}")
print(f" 卖出订单: {len(sell_orders)}")
print(f" 总交易金额: {column_orders['Size'].abs().sum():.2f} 股")
print(f" 总交易股数: {column_orders['Size'].abs().sum():.2f} 股")
print(f" 总手续费: {column_orders['Fees'].sum():.2f}")
# 按日期分组统计
if time_column:
print(f"\n【按日期统计】")
daily_orders = orders_sorted.groupby(time_column).agg({
'Column': 'count',
'Size': 'sum',
'Fees': 'sum'
}).rename(columns={'Column': '订单数'})
print(daily_orders.to_string())
else:
print(f"\n【按日期统计】- 未找到时间列")
# 重置pandas显示选项
pd.reset_option('display.max_rows')

133
gogogo/strategy_executor.py
View File

@ -7,6 +7,7 @@ from data_fetcher import get_processed_data
def calculate_ratio_signals(ratio_series, window=20, num_std=2):
"""
基于价格比率计算配对交易信号
优化信号逻辑，避免过于频繁的交易
"""
# 计算布林带
ratio_ma = ratio_series.rolling(window=window).mean()
@ -16,25 +17,36 @@ def calculate_ratio_signals(ratio_series, window=20, num_std=2):
lower_band = ratio_ma - num_std * ratio_std
# 生成交易信号
# 1: 做多价差 (买中芯/卖华虹) -> 买入比率
# -1: 做空价差 (卖中芯/买华虹) -> 卖空比率
# 0: 平仓
signals = pd.Series(0, index=ratio_series.index, name='signal')
current_signal = 0
# 当比率突破下轨时做多价差 -> 买入比率
long_condition = (ratio_series < lower_band) & (ratio_ma.notna())
signals[long_condition] = 1
# 当比率突破上轨时做空价差 -> 卖空比率
short_condition = (ratio_series > upper_band) & (ratio_ma.notna())
signals[short_condition] = -1
# 当比率回归均值时平仓
close_condition = (ratio_series.between(lower_band, upper_band)) & (signals.shift(1) != 0)
signals[close_condition] = 0
for i in range(len(ratio_series)):
if i < window: # 跳过布林带计算期
continue
ratio_val = ratio_series.iloc[i]
ma_val = ratio_ma.iloc[i]
# 当前无仓位时的开仓条件
if current_signal == 0:
if ratio_val < lower_band.iloc[i]: # 比率突破下轨，做多价差
signals.iloc[i] = 1
current_signal = 1
elif ratio_val > upper_band.iloc[i]: # 比率突破上轨，做空价差
signals.iloc[i] = -1
current_signal = -1
# 当前有仓位时的平仓条件
elif current_signal != 0:
# 当比率回归均值时平仓
if (current_signal == 1 and ratio_val >= ma_val) or \
(current_signal == -1 and ratio_val <= ma_val):
signals.iloc[i] = 0
current_signal = 0
return signals, ratio_ma, upper_band, lower_band
def generate_ratio_size(signals, price_ratio, position_size=0.5):
"""
生成比率交易的size数据
@ -69,13 +81,15 @@ def generate_ratio_size(signals, price_ratio, position_size=0.5):
def generate_stock_sizes(signals, close_smic, close_hhic, initial_cash=100000, position_ratio=0.5):
"""
生成真实股票交易的size数据
返回两个DataFrame：smic_size和hhic_size
确保每次配对交易都是等市值对冲，避免使用杠杆
"""
# 创建空的size Series
smic_size = pd.Series(0.0, index=signals.index, name='SMIC')
hhic_size = pd.Series(0.0, index=signals.index, name='HHIC')
current_position = 0 # 0: 无仓位, 1: 做多价差, -1: 做空价差
smic_position = 0.0 # 当前中芯持仓数量
hhic_position = 0.0 # 当前华虹持仓数量
for i in range(len(signals)):
if i < 20: # 跳过布林带计算期
@ -85,44 +99,63 @@ def generate_stock_sizes(signals, close_smic, close_hhic, initial_cash=100000, p
smic_price = close_smic.iloc[i]
hhic_price = close_hhic.iloc[i]
if signal == 1 and current_position != 1: # 做多价差：买入中芯，卖空华虹
# 计算每只股票的仓位价值
position_value = initial_cash * position_ratio
# 做多中芯国际
smic_shares = position_value / smic_price
smic_size.iloc[i] = smic_shares
# 做空华虹半导体
hhic_shares = -position_value / hhic_price
hhic_size.iloc[i] = hhic_shares
current_position = 1
elif signal == -1 and current_position != -1: # 做空价差：卖空中芯，买入华虹
# 计算每只股票的仓位价值
position_value = initial_cash * position_ratio
# 做空中芯国际
smic_shares = -position_value / smic_price
smic_size.iloc[i] = smic_shares
# 做多华虹半导体
hhic_shares = position_value / hhic_price
hhic_size.iloc[i] = hhic_shares
current_position = -1
elif signal == 0 and current_position != 0: # 平仓
# 平仓条件：信号为0且当前有仓位
if signal == 0 and current_position != 0:
# 平掉所有仓位
if current_position == 1: # 平掉做多价差仓位
smic_size.iloc[i] = -smic_size.shift(1).iloc[i] if i > 0 else 0
hhic_size.iloc[i] = -hhic_size.shift(1).iloc[i] if i > 0 else 0
elif current_position == -1: # 平掉做空价差仓位
smic_size.iloc[i] = -smic_size.shift(1).iloc[i] if i > 0 else 0
hhic_size.iloc[i] = -hhic_size.shift(1).iloc[i] if i > 0 else 0
if smic_position != 0:
smic_size.iloc[i] = -smic_position
smic_position = 0.0
if hhic_position != 0:
hhic_size.iloc[i] = -hhic_position
hhic_position = 0.0
current_position = 0
continue
# 开仓条件：只有当前无仓位时才开新仓
if current_position == 0:
if signal == 1: # 做多价差：买入中芯，卖空华虹
# 计算每只股票的仓位价值（等市值对冲）
position_value = initial_cash * position_ratio
# 做多中芯国际
smic_shares = position_value / smic_price
smic_size.iloc[i] = smic_shares
smic_position = smic_shares
# 做空华虹半导体
hhic_shares = -position_value / hhic_price
hhic_size.iloc[i] = hhic_shares
hhic_position = hhic_shares
current_position = 1
print(f"开仓做多价差: {signals.index[i]} - 买入SMIC {smic_shares:.2f}股 @{smic_price:.2f}, 卖空HHIC {abs(hhic_shares):.2f}股 @{hhic_price:.2f}")
elif signal == -1: # 做空价差：卖空中芯，买入华虹
# 计算每只股票的仓位价值（等市值对冲）
position_value = initial_cash * position_ratio
# 做空中芯国际
smic_shares = -position_value / smic_price
smic_size.iloc[i] = smic_shares
smic_position = smic_shares
# 做多华虹半导体
hhic_shares = position_value / hhic_price
hhic_size.iloc[i] = hhic_shares
hhic_position = hhic_shares
current_position = -1
print(f"开仓做空价差: {signals.index[i]} - 卖空SMIC {abs(smic_shares):.2f}股 @{smic_price:.2f}, 买入HHIC {hhic_shares:.2f}股 @{hhic_price:.2f}")
# 最后检查是否有未平仓的仓位，如果有则在最后一天平仓
if current_position != 0:
last_index = len(signals) - 1
if smic_position != 0:
smic_size.iloc[last_index] = -smic_position
if hhic_position != 0:
hhic_size.iloc[last_index] = -hhic_position
print(f"最终平仓: {signals.index[last_index]} - 平掉所有剩余仓位")
# 创建size DataFrame
size_df = pd.DataFrame({