401 lines
14 KiB
Python
401 lines
14 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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# 限制为最近三年数据
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end_date = smic_data.index.max()
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start_date = end_date - pd.Timedelta(days=3*365) # 最近三年
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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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# 对齐数据时间索引
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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"对齐后数据时间范围: {common_index.min()} 到 {common_index.max()}")
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print(f"总交易日数: {len(common_index)}")
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if len(common_index) == 0:
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print("错误: 没有共同交易日数据!")
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exit()
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# 配对交易参数
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PERIOD = 30 # 回看周期
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UPPER = 2.0 # 上界
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LOWER = -2.0 # 下界
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ORDER_PCT1 = 0.1 # 中芯国际交易比例
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ORDER_PCT2 = 0.1 # 华虹半导体交易比例
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COMMPERC = 0.002 # 手续费率 0.2%
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MODE = 'OLS' # 使用OLS方法
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INITIAL_CASH = 100000 # 初始资金
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# 定义数据结构
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Memory = namedtuple("Memory", ('spread', 'zscore', 'status'))
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Params = namedtuple("Params", ('period', 'upper', 'lower', 'order_pct1', 'order_pct2'))
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@njit
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def ols_spread_nb(a, b):
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"""计算OLS价差"""
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a = np.log(a)
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b = np.log(b)
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_b = np.vstack((b, np.ones(len(b)))).T
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slope, intercept = np.dot(np.linalg.inv(np.dot(_b.T, _b)), np.dot(_b.T, a))
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spread = a - (slope * b + intercept)
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return spread[-1]
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@njit
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def pre_group_func_nb(c, _period, _upper, _lower, _order_pct1, _order_pct2):
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"""准备当前组（资产对）"""
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assert c.group_len == 2
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# 初始化内存数组
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spread = np.full(c.target_shape[0], np.nan, dtype=np.float64)
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zscore = np.full(c.target_shape[0], np.nan, dtype=np.float64)
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status = np.full(1, 0, dtype=np.int64)
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memory = Memory(spread, zscore, status)
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# 选择参数
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period = _period[0] if len(_period) > 1 else _period
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upper = _upper[0] if len(_upper) > 1 else _upper
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lower = _lower[0] if len(_lower) > 1 else _lower
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order_pct1 = _order_pct1[0] if len(_order_pct1) > 1 else _order_pct1
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order_pct2 = _order_pct2[0] if len(_order_pct2) > 1 else _order_pct2
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params = Params(period, upper, lower, order_pct1, order_pct2)
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# 创建仓位大小数组
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size = np.empty(c.group_len, dtype=np.float64)
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return (memory, params, size)
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@njit
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def pre_segment_func_nb(c, memory, params, size, mode):
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"""准备当前段（组内行）"""
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# 等待足够的数据
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if c.i < params.period - 1:
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size[0] = np.nan
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size[1] = np.nan
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return (size,)
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# 计算窗口切片
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window_slice = slice(max(0, c.i + 1 - params.period), c.i + 1)
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# 根据模式计算价差
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if mode == 'OLS':
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a = c.close[window_slice, c.from_col] # 中芯国际
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b = c.close[window_slice, c.from_col + 1] # 华虹半导体
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memory.spread[c.i] = ols_spread_nb(a, b)
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elif mode == 'log_return':
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# 对数收益率方法
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logret_a = np.log(c.close[c.i, c.from_col] / c.close[c.i - 1, c.from_col])
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logret_b = np.log(c.close[c.i, c.from_col + 1] / c.close[c.i - 1, c.from_col + 1])
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memory.spread[c.i] = logret_a - logret_b
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else:
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raise ValueError("Unknown mode")
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# 计算z-score
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spread_mean = np.mean(memory.spread[window_slice])
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spread_std = np.std(memory.spread[window_slice])
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memory.zscore[c.i] = (memory.spread[c.i] - spread_mean) / spread_std
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# 使用前一个z-score生成交易信号（避免未来数据）
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if c.i > 0 and not np.isnan(memory.zscore[c.i - 1]):
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# 做空信号：z-score > 上界 且 当前不是做空状态
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if memory.zscore[c.i - 1] > params.upper and memory.status[0] != 1:
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size[0] = -params.order_pct1 # 卖空中芯国际
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size[1] = params.order_pct2 # 买入华虹半导体
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# 执行顺序：先卖后买
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c.call_seq_now[0] = 0
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c.call_seq_now[1] = 1
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memory.status[0] = 1 # 设置为做空状态
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# 做多信号：z-score < 下界 且 当前不是做多状态
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elif memory.zscore[c.i - 1] < params.lower and memory.status[0] != 2:
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size[0] = params.order_pct1 # 买入中芯国际
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size[1] = -params.order_pct2 # 卖空华虹半导体
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# 执行顺序：先卖后买
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c.call_seq_now[0] = 1
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c.call_seq_now[1] = 0
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memory.status[0] = 2 # 设置为做多状态
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else:
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size[0] = np.nan
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size[1] = np.nan
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else:
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size[0] = np.nan
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size[1] = np.nan
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# 设置估值价格
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c.last_val_price[c.from_col] = c.close[c.i - 1, c.from_col]
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c.last_val_price[c.from_col + 1] = c.close[c.i - 1, c.from_col + 1]
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return (size,)
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@njit
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def order_func_nb(c, size, price, commperc):
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"""执行订单"""
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group_col = c.col - c.from_col
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return vbt.portfolio.nb.order_nb(
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size=size[group_col],
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price=price[c.i, c.col],
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size_type=vbt.portfolio.enums.SizeType.TargetPercent,
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fees=commperc
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)
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# 准备价格数据
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print("准备回测数据...")
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price_data = pd.DataFrame({
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'SMIC': smic_data['close'],
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'HHIC': hhic_data['close']
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})
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print(f"价格数据形状: {price_data.shape}")
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print(f"价格数据时间范围: {price_data.index.min()} 到 {price_data.index.max()}")
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print(f"价格数据前5行:\n{price_data.head()}")
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# 运行配对交易回测
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print("运行配对交易回测...")
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try:
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portfolio = vbt.Portfolio.from_order_func(
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price_data,
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order_func_nb,
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pre_group_func_nb=pre_group_func_nb,
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pre_segment_func_nb=pre_segment_func_nb,
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pre_group_args=(
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np.array([PERIOD]), # period
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np.array([UPPER]), # upper
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np.array([LOWER]), # lower
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np.array([ORDER_PCT1]), # order_pct1
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np.array([ORDER_PCT2]) # order_pct2
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),
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pre_segment_args=(MODE,), # mode
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order_args=(COMMPERC,), # commperc
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group_by=np.array([0, 0]), # 将两列分为同一组
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cash_sharing=True, # 共享现金
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cash=INITIAL_CASH,
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freq='1D'
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)
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print("回测完成!")
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except Exception as e:
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print(f"回测出错: {e}")
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import traceback
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traceback.print_exc()
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exit()
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# 计算额外指标
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def calculate_additional_metrics(price_data, period, mode):
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"""计算额外指标"""
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smic_close = price_data['SMIC'].values
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hhic_close = price_data['HHIC'].values
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if mode == 'OLS':
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# 使用OLS方法计算价差
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spread = np.full(len(smic_close), np.nan)
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for i in range(period, len(smic_close)):
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window_slice = slice(i - period + 1, i + 1)
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a = smic_close[window_slice]
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b = hhic_close[window_slice]
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spread[i] = ols_spread_nb(a, b)
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else:
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# 对数收益率方法
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spread = np.full(len(smic_close), np.nan)
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spread[1:] = np.log(smic_close[1:] / smic_close[:-1]) - np.log(hhic_close[1:] / hhic_close[:-1])
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# 计算z-score
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zscore = np.full(len(spread), np.nan)
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for i in range(period, len(spread)):
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window_slice = slice(i - period + 1, i + 1)
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spread_mean = np.nanmean(spread[window_slice])
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spread_std = np.nanstd(spread[window_slice])
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if spread_std > 0:
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zscore[i] = (spread[i] - spread_mean) / spread_std
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return pd.Series(spread, index=price_data.index), pd.Series(zscore, index=price_data.index)
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# 计算指标
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spread_series, zscore_series = calculate_additional_metrics(price_data, PERIOD, MODE)
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# 生成交易信号
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short_signals = (zscore_series > UPPER).rename('short_signals')
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long_signals = (zscore_series < LOWER).rename('long_signals')
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# 可视化结果
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print("生成分析图表...")
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# 创建子图
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fig = plt.figure(figsize=(15, 12))
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# 1. 价格走势
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ax1 = plt.subplot(3, 1, 1)
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plt.plot(price_data.index, price_data['SMIC'], label='中芯国际(00981)', linewidth=1)
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plt.plot(price_data.index, price_data['HHIC'], label='华虹半导体(01347)', linewidth=1)
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plt.title(f'股票价格走势 ({start_date.strftime("%Y-%m-%d")} 至 {end_date.strftime("%Y-%m-%d")})')
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plt.ylabel('价格(港元)')
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plt.legend()
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plt.grid(True, alpha=0.3)
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# 2. 价差和z-score
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ax2 = plt.subplot(3, 1, 2)
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plt.plot(spread_series.index, spread_series.values, label='价差', color='blue', linewidth=1)
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plt.title('价差走势')
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plt.ylabel('价差')
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plt.legend()
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plt.grid(True, alpha=0.3)
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ax3 = ax2.twinx()
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plt.plot(zscore_series.index, zscore_series.values, label='Z-Score', color='red', linewidth=1, alpha=0.7)
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plt.axhline(y=UPPER, color='red', linestyle='--', alpha=0.5, label=f'上界({UPPER})')
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plt.axhline(y=0, color='black', linestyle='-', alpha=0.3)
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plt.axhline(y=LOWER, color='green', linestyle='--', alpha=0.5, label=f'下界({LOWER})')
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plt.ylabel('Z-Score')
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plt.legend()
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# 标记交易信号
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short_points = zscore_series[short_signals]
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long_points = zscore_series[long_signals]
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plt.scatter(short_points.index, short_points.values, color='red', marker='v', s=30, label='做空信号')
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plt.scatter(long_points.index, long_points.values, color='green', marker='^', s=30, label='做多信号')
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# 3. 资产价值
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ax4 = plt.subplot(3, 1, 3)
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portfolio.value().vbt.plot(ax=ax4, title='投资组合价值')
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plt.ylabel('资产价值(港元)')
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plt.xlabel('日期')
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plt.grid(True, alpha=0.3)
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plt.tight_layout()
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plt.show()
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# 输出回测结果
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print("\n" + "="*50)
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print("配对交易回测结果（最近三年）")
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print("="*50)
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# 基本统计
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stats = portfolio.stats()
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print(f"回测期间: {start_date.strftime('%Y-%m-%d')} 至 {end_date.strftime('%Y-%m-%d')}")
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print(f"初始资金: {INITIAL_CASH:,.2f} 港元")
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print(f"最终资产: {portfolio.value().iloc[-1]:,.2f} 港元")
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print(f"总收益率: {stats['Total Return']:.2%}")
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print(f"年化收益率: {stats['Annual Return']:.2%}")
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print(f"夏普比率: {stats['Sharpe Ratio']:.2f}")
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print(f"最大回撤: {stats['Max Drawdown']:.2%}")
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print(f"总交易次数: {stats['Total Trades']}")
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# 交易统计
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orders = portfolio.orders()
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if len(orders) > 0:
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print(f"\n交易统计:")
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print(f"中芯国际交易次数: {len(orders[orders['Column'] == 'SMIC'])}")
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print(f"华虹半导体交易次数: {len(orders[orders['Column'] == 'HHIC'])}")
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# 计算平均持仓时间
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positions = portfolio.positions()
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if len(positions) > 0:
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avg_holding = positions.duration.mean()
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print(f"平均持仓时间: {avg_holding:.1f} 天")
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# 信号统计
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print(f"\n信号统计:")
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print(f"做空信号数量: {short_signals.sum()}")
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print(f"做多信号数量: {long_signals.sum()}")
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print(f"总信号数量: {short_signals.sum() + long_signals.sum()}")
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# 相关性分析
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correlation = price_data['SMIC'].corr(price_data['HHIC'])
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print(f"\n股票相关性: {correlation:.4f}")
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# 基本价格统计
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print(f"\n价格统计:")
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print(f"中芯国际 - 期初价格: {price_data['SMIC'].iloc[0]:.2f} 港元")
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print(f"中芯国际 - 期末价格: {price_data['SMIC'].iloc[-1]:.2f} 港元")
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print(f"华虹半导体 - 期初价格: {price_data['HHIC'].iloc[0]:.2f} 港元")
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print(f"华虹半导体 - 期末价格: {price_data['HHIC'].iloc[-1]:.2f} 港元")
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print(f"中芯国际 - 价格波动率: {price_data['SMIC'].pct_change().std():.4f}")
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print(f"华虹半导体 - 价格波动率: {price_data['HHIC'].pct_change().std():.4f}")
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# 保存结果到文件
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results_df = pd.DataFrame({
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'Date': price_data.index,
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'SMIC_Price': price_data['SMIC'],
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'HHIC_Price': price_data['HHIC'],
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'Spread': spread_series,
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'ZScore': zscore_series,
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'Portfolio_Value': portfolio.value(),
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'Short_Signals': short_signals,
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'Long_Signals': long_signals
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})
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results_df.to_csv('pair_trading_results_3years.csv', index=False)
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print(f"\n详细结果已保存到: pair_trading_results_3years.csv")
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# 显示最近交易
|
||
recent_trades = orders.tail(10)
|
||
if len(recent_trades) > 0:
|
||
print(f"\n最近10笔交易:")
|
||
print(recent_trades[['Timestamp', 'Column', 'Size', 'Price', 'Fees']])
|
||
|
||
# 年度绩效分析
|
||
print(f"\n年度绩效分析:")
|
||
yearly_returns = portfolio.annual_returns()
|
||
for year, ret in yearly_returns.items():
|
||
print(f"{year}年收益率: {ret:.2%}") |