410 lines
15 KiB
Python
410 lines
15 KiB
Python
import vectorbt as vbt
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import akshare as ak
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import pandas as pd
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import numpy as np
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import matplotlib.pyplot as plt
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import datetime
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from numba import njit
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from collections import namedtuple
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# 设置中文显示
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plt.rcParams['font.sans-serif'] = ['SimHei']
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plt.rcParams['axes.unicode_minus'] = False
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# 获取股票数据
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print("正在获取股票数据...")
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stock_00981 = ak.stock_hk_daily(symbol="00981")
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stock_01347 = ak.stock_hk_daily(symbol="01347")
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print("中芯国际数据列名:", stock_00981.columns.tolist())
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print("华虹半导体数据列名:", stock_01347.columns.tolist())
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# 数据预处理
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def preprocess_data(df, symbol):
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"""预处理股票数据"""
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df = df.copy()
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# 检查列名并重命名（如果需要）
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if 'date' in df.columns:
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df['date'] = pd.to_datetime(df['date'])
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df.set_index('date', inplace=True)
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elif '日期' in df.columns:
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df['date'] = pd.to_datetime(df['日期'])
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df.set_index('date', inplace=True)
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# 重命名中文列为英文
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rename_dict = {
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'开盘': 'open',
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'最高': 'high',
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'最低': 'low',
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'收盘': 'close',
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'成交量': 'volume'
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}
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df = df.rename(columns=rename_dict)
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else:
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# 如果已经有英文列名，直接使用
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df.index = pd.to_datetime(df.index)
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df = df.sort_index()
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return df[['open', 'high', 'low', 'close', 'volume']]
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# 预处理数据
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smic_data = preprocess_data(stock_00981, "00981")
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hhic_data = preprocess_data(stock_01347, "01347")
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print(f"中芯国际原始数据时间范围: {smic_data.index.min()} 到 {smic_data.index.max()}")
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print(f"华虹半导体原始数据时间范围: {hhic_data.index.min()} 到 {hhic_data.index.max()}")
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# 限制为最近半年数据
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end_date = smic_data.index.max()
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start_date = end_date - pd.Timedelta(days=360) # 最近半年
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print(f"\n限制回测时间范围: {start_date} 到 {end_date}")
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smic_data = smic_data.loc[start_date:end_date]
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hhic_data = hhic_data.loc[start_date:end_date]
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print(f"限制后中芯国际数据形状: {smic_data.shape}")
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print(f"限制后华虹半导体数据形状: {hhic_data.shape}")
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# 对齐数据时间范围
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common_index = smic_data.index.intersection(hhic_data.index)
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smic_data = smic_data.loc[common_index]
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hhic_data = hhic_data.loc[common_index]
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print(f"\n对齐后数据时间范围: {smic_data.index.min()} 到 {smic_data.index.max()}")
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print(f"对齐后数据点数: {len(smic_data)}")
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# ========== 创建价格比率作为独立资产 ==========
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print("\n=== 创建价格比率作为独立资产 ===")
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close_smic = smic_data['close']
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close_hhic = hhic_data['close']
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# 计算价格比率 - 作为独立的"股票"
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price_ratio = close_smic / close_hhic
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price_ratio.name = 'SMIC_HHIC_RATIO'
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print(f"价格比率数据形状: {price_ratio.shape}")
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print(f"价格比率统计:")
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print(f" 均值: {price_ratio.mean():.4f}")
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print(f" 标准差: {price_ratio.std():.4f}")
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print(f" 最小值: {price_ratio.min():.4f}")
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print(f" 最大值: {price_ratio.max():.4f}")
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# 设置交易参数
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initial_cash = 100000
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commission = 0.001 # 0.1% 交易佣金
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position_size = 0.5 # 每次交易仓位比例（现在只交易一个"资产"）
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# ========== 基于比率数据计算信号 ==========
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def calculate_ratio_signals(ratio_series, window=20, num_std=2):
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"""
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基于价格比率计算配对交易信号
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"""
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# 计算布林带
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ratio_ma = ratio_series.rolling(window=window).mean()
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ratio_std = ratio_series.rolling(window=window).std()
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upper_band = ratio_ma + num_std * ratio_std
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lower_band = ratio_ma - num_std * ratio_std
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# 生成交易信号
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# 1: 做多价差 (买中芯/卖华虹) -> 买入比率
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# -1: 做空价差 (卖中芯/买华虹) -> 卖空比率
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# 0: 平仓
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signals = pd.Series(0, index=ratio_series.index, name='signal')
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# 当比率突破下轨时做多价差 -> 买入比率
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long_condition = (ratio_series < lower_band) & (ratio_ma.notna())
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signals[long_condition] = 1
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# 当比率突破上轨时做空价差 -> 卖空比率
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short_condition = (ratio_series > upper_band) & (ratio_ma.notna())
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signals[short_condition] = -1
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# 当比率回归均值时平仓
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close_condition = (ratio_series.between(lower_band, upper_band)) & (signals.shift(1) != 0)
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signals[close_condition] = 0
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return signals, ratio_ma, upper_band, lower_band
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# 计算信号
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signals, ratio_ma, upper_band, lower_band = calculate_ratio_signals(
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price_ratio, window=20, num_std=2
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)
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print(f"信号计算完成，有效信号数量: {(signals != 0).sum()}")
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# ========== 基于信号生成size数据（现在只针对比率） ==========
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def generate_ratio_size(signals, position_size=0.5):
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"""
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生成比率交易的size数据
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返回一个与price_ratio相同形状的Series，包含交易数量
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"""
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# 创建与price_ratio相同形状的size Series，初始为0
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size_series = pd.Series(0, index=signals.index, name='size')
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current_position = 0
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for i in range(len(signals)):
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if i < 20: # 跳过布林带计算期
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continue
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date = signals.index[i]
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signal = signals.iloc[i]
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if signal == 1 and current_position != 1: # 做多价差 -> 买入比率
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# 计算头寸规模（基于比率价值）
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# 这里我们假设比率的"价格"就是其实际值
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ratio_value = price_ratio.iloc[i]
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# 买入相当于做多中芯/做空华虹
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size_series.iloc[i] = position_size # 正数表示买入比率
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current_position = 1
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elif signal == -1 and current_position != -1: # 做空价差 -> 卖空比率
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# 卖空相当于做空中芯/做多华虹
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size_series.iloc[i] = -position_size # 负数表示卖空比率
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current_position = -1
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elif signal == 0 and current_position != 0: # 平仓
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size_series.iloc[i] = 0 # 平仓
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current_position = 0
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return size_series
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# 生成size数据
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size = generate_ratio_size(signals, position_size)
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print(f"size数据形状: {size.shape}")
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print(f"非零交易数量: {(size != 0).sum()}")
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# ========== 创建投资组合（只基于比率） ==========
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print("创建基于价格比率的投资组合...")
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try:
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# 将price_ratio转换为DataFrame（vectorbt需要）
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ratio_close = pd.DataFrame({'RATIO': price_ratio})
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portfolio = vbt.Portfolio.from_orders(
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close=ratio_close, # 只传入比率数据
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size=size, # 基于比率的交易信号
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init_cash=initial_cash,
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fees=commission,
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freq='D'
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)
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print("基于价格比率的投资组合创建成功!")
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# 计算配对交易统计
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print("\n=== 基于价格比率的配对交易策略表现 ===")
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# 获取组合总价值
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portfolio_value = portfolio.value()
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# ========== 使用vectorbt进行专业分析 ==========
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print("\n=== VectorBT 专业分析（基于价格比率） ===")
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# 修复：使用正确的列选择方法
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try:
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# 选择第一列（也是唯一的一列）
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portfolio_single = portfolio['RATIO']
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print(portfolio_single.stats())
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fig = portfolio_single.plot(subplots=[
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'orders', # 订单
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'trade_pnl', # 交易盈亏
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'cum_returns', # 累积收益
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'drawdowns' # 回撤
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])
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fig.update_layout(
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title='基于价格比率的配对交易详细分析',
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height=800
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)
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fig.show()
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except Exception as e:
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print(f"详细分析绘制失败: {e}")
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# 2. 组合价值变化
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try:
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fig = portfolio_value.vbt.plot(
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title='基于价格比率的配对交易组合价值'
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)
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fig.update_layout(
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xaxis_title='日期',
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yaxis_title='组合价值'
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)
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fig.show()
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except Exception as e:
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print(f"组合价值变化绘制失败: {e}")
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# 3. 累积收益
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try:
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cumulative_returns = portfolio.cumulative_returns()
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fig = cumulative_returns.vbt.plot(
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title='基于价格比率的配对交易累积收益率'
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)
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fig.update_layout(
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xaxis_title='日期',
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yaxis_title='累积收益'
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)
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fig.show()
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except Exception as e:
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print(f"累积收益绘制失败: {e}")
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# 4. 回撤分析
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try:
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drawdown = portfolio.drawdown()
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fig = drawdown.vbt.plot(
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title='基于价格比率的配对交易回撤分析'
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)
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fig.update_layout(
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xaxis_title='日期',
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yaxis_title='回撤'
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)
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fig.show()
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except Exception as e:
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print(f"回撤分析绘制失败: {e}")
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# 5. 交易分析 - 修复：使用正确的列选择
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try:
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trades = portfolio['RATIO'].trades
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if len(trades) > 0:
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fig = trades.plot_pnl()
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fig.update_layout(title='基于价格比率的交易盈亏分布')
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fig.show()
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fig = trades.plot_duration()
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fig.update_layout(title='基于价格比率的交易持续时间分布')
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fig.show()
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except Exception as e:
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print(f"交易分析绘制失败: {e}")
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# 6. 订单流分析 - 修复：使用正确的列选择
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try:
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fig = portfolio['RATIO'].orders.plot()
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fig.update_layout(title='基于价格比率的订单流分析')
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fig.show()
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except Exception as e:
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print(f"订单流分析绘制失败: {e}")
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# ========== 绘制基于比率的技术分析图表 ==========
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print("\n绘制基于比率的技术分析图表...")
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# 创建详细的技术分析图表
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fig, axes = plt.subplots(4, 1, figsize=(15, 16))
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# 1. 价格比率和布林带 + 交易信号
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axes[0].plot(price_ratio.index, price_ratio, label='价格比率(中芯/华虹)', linewidth=1.5, color='blue')
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axes[0].plot(price_ratio.index, ratio_ma, label='移动平均', linewidth=1, alpha=0.7, color='orange')
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axes[0].plot(price_ratio.index, upper_band, label='上轨', linewidth=1, alpha=0.7, linestyle='--', color='red')
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axes[0].plot(price_ratio.index, lower_band, label='下轨', linewidth=1, alpha=0.7, linestyle='--', color='green')
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axes[0].set_title('中芯国际-华虹半导体价格比率 (配对交易标的)')
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axes[0].set_ylabel('价格比率')
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axes[0].legend()
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axes[0].grid(True, alpha=0.3)
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# 标记交易信号
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long_signals = signals[signals == 1]
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short_signals = signals[signals == -1]
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if len(long_signals) > 0:
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axes[0].scatter(long_signals.index, price_ratio[long_signals.index],
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color='green', marker='^', s=80, label='买入比率(做多中芯/做空华虹)', zorder=5)
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if len(short_signals) > 0:
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axes[0].scatter(short_signals.index, price_ratio[short_signals.index],
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color='red', marker='v', s=80, label='卖空比率(做空中芯/做多华虹)', zorder=5)
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# 2. 交易信号
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axes[1].plot(signals.index, signals, label='交易信号', linewidth=2, color='purple', drawstyle='steps-post')
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axes[1].axhline(y=1, color='green', linestyle='--', alpha=0.5, label='买入信号')
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axes[1].axhline(y=-1, color='red', linestyle='--', alpha=0.5, label='卖出信号')
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axes[1].axhline(y=0, color='gray', linestyle='-', alpha=0.3)
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axes[1].set_title('交易信号时序')
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axes[1].set_ylabel('信号')
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axes[1].set_ylim(-1.5, 1.5)
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axes[1].legend()
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axes[1].grid(True, alpha=0.3)
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# 4. 组合净值
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if len(portfolio_value) > 0:
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axes[3].plot(portfolio_value.index, portfolio_value, label='组合净值', linewidth=2, color='darkblue')
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# 标记初始资金线
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axes[3].axhline(y=initial_cash, color='red', linestyle='--', alpha=0.7, label=f'初始资金({initial_cash})')
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axes[3].set_title('基于价格比率的配对交易组合净值')
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axes[3].set_ylabel('组合价值')
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axes[3].set_xlabel('日期')
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axes[3].legend()
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axes[3].grid(True, alpha=0.3)
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plt.tight_layout()
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plt.show()
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# ========== 打印详细统计 ==========
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print("\n=== 详细统计 ===")
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try:
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# 使用单列统计
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stats = portfolio['RATIO'].stats()
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def safe_get_stat(stat_dict, key, default="N/A"):
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value = stat_dict.get(key, default)
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if hasattr(value, 'iloc'):
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return value.iloc[0] if len(value) == 1 else value
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return value
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print(f"开始日期: {safe_get_stat(stats, 'Start')}")
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print(f"结束日期: {safe_get_stat(stats, 'End')}")
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print(f"期间: {safe_get_stat(stats, 'Period')}")
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print(f"总收益率: {safe_get_stat(stats, 'Total Return [%]', 'N/A')}%")
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print(f"年化收益率: {safe_get_stat(stats, 'Annual Return [%]', 'N/A')}%")
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print(f"年化波动率: {safe_get_stat(stats, 'Annual Volatility [%]', 'N/A')}%")
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print(f"夏普比率: {safe_get_stat(stats, 'Sharpe Ratio', 'N/A')}")
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print(f"最大回撤: {safe_get_stat(stats, 'Max Drawdown [%]', 'N/A')}%")
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print(f"总交易次数: {safe_get_stat(stats, 'Total Trades', 'N/A')}")
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print(f"胜率: {safe_get_stat(stats, 'Win Rate [%]', 'N/A')}%")
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print(f"盈亏比: {safe_get_stat(stats, 'Profit Factor', 'N/A')}")
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except Exception as e:
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print(f"获取详细统计时出错: {e}")
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# 分析每笔交易
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try:
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trades_df = portfolio['RATIO'].trades.records_readable
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if len(trades_df) > 0:
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print(f"\n交易分析:")
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print(f"总交易次数: {len(trades_df)}")
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if 'Duration' in trades_df.columns:
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print(f"平均持仓时间: {trades_df['Duration'].mean():.1f} 天")
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if 'PnL' in trades_df.columns:
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print(f"最大单笔盈利: {trades_df['PnL'].max():.2f}")
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print(f"最大单笔亏损: {trades_df['PnL'].min():.2f}")
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winning_trades = trades_df[trades_df['PnL'] > 0]
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losing_trades = trades_df[trades_df['PnL'] < 0]
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if len(winning_trades) > 0:
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print(f"平均盈利: {winning_trades['PnL'].mean():.2f}")
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if len(losing_trades) > 0:
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print(f"平均亏损: {losing_trades['PnL'].mean():.2f}")
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except Exception as e:
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print(f"分析交易时出错: {e}")
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# ========== 比率数据统计摘要 ==========
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print("\n=== 价格比率统计摘要 ===")
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print(f"数据期间: {price_ratio.index.min()} 到 {price_ratio.index.max()}")
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print(f"数据点数: {len(price_ratio)}")
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print(f"比率均值: {price_ratio.mean():.4f}")
|
||
print(f"比率标准差: {price_ratio.std():.4f}")
|
||
print(f"比率变异系数: {price_ratio.std()/price_ratio.mean():.4f}")
|
||
|
||
# 计算交易信号统计
|
||
long_count = (signals == 1).sum()
|
||
short_count = (signals == -1).sum()
|
||
total_signals = long_count + short_count
|
||
print(f"\n交易信号统计:")
|
||
print(f"做多信号次数: {long_count}")
|
||
print(f"做空信号次数: {short_count}")
|
||
print(f"总信号次数: {total_signals}")
|
||
|
||
except Exception as e:
|
||
print(f"创建投资组合时出错: {e}")
|
||
import traceback
|
||
traceback.print_exc()
|
||
|
||
print("程序执行完成!") |