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IPython 与 RQAlpha

加载 RQAlpha magic





In [3]:



    


%load_ext rqalpha



    


















    






The rqalpha extension is already loaded. To reload it, use:
  %reload_ext rqalpha

查看 RQAlpha magic 帮助

我们可以通过 %%rqalpha 直接在 cell 中运行回测代码。 %%rqalpha 后面的参数等价于在 CLI 中后面的 rqalpha run 的参数





In [2]:



    


%%rqalpha -h
""



    


















    






Usage: ipykernel_launcher.py [OPTIONS]

  Start to run a strategy

Options:
  -h, --help                      Show this message and exit.
  -d, --data-bundle-path PATH
  -f, --strategy-file PATH
  -s, --start-date DATE
  -e, --end-date DATE
  -bm, --benchmark TEXT
  -mm, --margin-multiplier FLOAT
  -a, --account TEXT...           set account type with starting cash
  -fq, --frequency [1d|1m|tick]
  -rt, --run-type [b|p]
  --resume
  --source-code TEXT
  -l, --log-level [verbose|debug|info|error|none]
  --disable-user-system-log       disable user system log stdout
  --disable-user-log              disable user log stdout
  --locale [cn|en]
  --extra-vars TEXT               override context vars
  --enable-profiler               add line profiler to profile your strategy
  --config TEXT                   config file path
  -mc, --mod-config TEXT...       mod extra config
  --stock-t1 / --no-stock-t1      [sys_accounts] enable/disable stock T+1
  --report PATH                   [sys_analyser] save report
  -o, --output-file PATH          [sys_analyser] output result pickle file
  -p, --plot / --no-plot          [sys_analyser] plot result
  --plot-save TEXT                [sys_analyser] save plot to file
  --progress                      [sys_progress]show progress bar
  --no-short-stock / --short-stock
                                  [sys_risk] enable stock shorting
  --signal                        [sys_simulation] exclude match engine
  -sp, --slippage FLOAT           [sys_simulation] set slippage
  -cm, --commission-multiplier FLOAT
                                  [sys_simulation] set commission multiplier
  -me, --match-engine [current_bar|next_bar|last|best_own|best_counterparty]
                                  [Deprecated][sys_simulation] set matching
                                  type
  -mt, --matching-type [current_bar|next_bar|last|best_own|best_counterparty]
                                  [sys_simulation] set matching type

使用 %%rqalpha 进行回测





In [3]:



    


%%rqalpha -s 20100101 -e 20170505 -p -bm 000001.XSHG --account stock 100000

def init(context):
    context.stocks = ['000300.XSHG', '000905.XSHG', '000012.XSHG']

    
def handle_bar(context, bar_dict):
    [hs, zz, gz] = context.stocks
    hs_history20 = history_bars(hs, 20, '1d', 'close')
    zz_history20 = history_bars(zz, 20, '1d', 'close')
    
    hsIncrease = hs_history20[-1] - hs_history20[0]
    zzIncrease = zz_history20[-1] - zz_history20[0]
    
    positions = context.portfolio.positions
    [hsQuality, zzQuality, gzQuality] = [positions[hs].quantity, positions[zz].quantity, positions[gz].quantity]
    if hsIncrease < 0 and zzIncrease < 0:
        if hsQuality > 0: order_target_percent(hs, 0)
        if zzQuality > 0: order_target_percent(zz, 0)
        order_target_percent(gz, 1)
    elif hsIncrease < zzIncrease:
        if hsQuality > 0: order_target_percent(hs, 0)
        if gzQuality > 0: order_target_percent(gz, 0)
        order_target_percent(zz, 1)
    else:
        if zzQuality > 0: order_target_percent(zz, 0)
        if gzQuality > 0: order_target_percent(gz, 0)
        order_target_percent(hs, 1)
        #logger.info("positions hs300: " + str(hsQuality) + ", zz500: " + str(zzQuality) + ", gz: " + str(gzQuality))

获取回测报告

运行完回测后，报告会自动存储到 report 变量中。可以直接通过 report 变量获取当次回测的结果。

另外 rqalpha 的 mod 的输出会自动存储在 results 变量中。





In [4]:



    


results.keys()



    


















    
Out[4]:








dict_keys(['sys_analyser'])

















In [5]:



    


report.keys()



    


















    
Out[5]:








dict_keys(['summary', 'trades', 'portfolio', 'benchmark_portfolio', 'stock_account', 'stock_positions'])

















In [6]:



    


report.trades[:5]



    


















    
Out[6]:










  
    

      
      commission
      exec_id
      last_price
      last_quantity
      order_book_id
      order_id
      position_effect
      side
      symbol
      tax
      trading_datetime
      transaction_cost
    

    

      datetime
      
      
      
      
      
      
      
      
      
      
      
      
    

  
  
    

      2010-01-04 15:00:00
      79.961424
      1498453688
      122.34
      817
      000012.XSHG
      1498453672
      None
      BUY
      国债指数
      0
      2010-01-04 15:00:00
      79.961424
    

    

      2010-01-06 15:00:00
      79.948352
      1498453689
      122.32
      817
      000012.XSHG
      1498453673
      None
      SELL
      国债指数
      0
      2010-01-06 15:00:00
      79.948352
    

    

      2010-01-06 15:00:00
      76.444704
      1498453690
      4550.28
      21
      000905.XSHG
      1498453674
      None
      BUY
      中证500(沪)
      0
      2010-01-06 15:00:00
      76.444704
    

    

      2010-01-07 15:00:00
      74.913888
      1498453691
      4459.16
      21
      000905.XSHG
      1498453675
      None
      SELL
      中证500(沪)
      0
      2010-01-07 15:00:00
      74.913888
    

    

      2010-01-07 15:00:00
      78.180552
      1498453692
      122.31
      799
      000012.XSHG
      1498453676
      None
      BUY
      国债指数
      0
      2010-01-07 15:00:00
      78.180552
    

  




















In [7]:



    


report.portfolio[:5]



    


















    
Out[7]:










  
    

      
      cash
      market_value
      static_unit_net_value
      total_value
      unit_net_value
      units
    

    

      date
      
      
      
      
      
      
    

  
  
    

      2010-01-04
      -31.741
      99951.78
      1.000
      99920.039
      0.999200
      100000.0
    

    

      2010-01-05
      -31.741
      99902.76
      0.999
      99871.019
      0.998710
      100000.0
    

    

      2010-01-06
      4191.426
      95555.88
      0.999
      99747.306
      0.997473
      100000.0
    

    

      2010-01-07
      -44.999
      97725.69
      0.997
      97680.691
      0.976807
      100000.0
    

    

      2010-01-08
      -44.999
      97733.68
      0.977
      97688.681
      0.976887
      100000.0
    

  




















In [8]:



    


report.stock_positions[:5]



    


















    
Out[8]:










  
    

      
      avg_price
      last_price
      market_value
      order_book_id
      quantity
      symbol
    

    

      date
      
      
      
      
      
      
    

  
  
    

      2010-01-04
      122.34
      122.34
      99951.78
      000012.XSHG
      817
      国债指数
    

    

      2010-01-05
      122.34
      122.28
      99902.76
      000012.XSHG
      817
      国债指数
    

    

      2010-01-06
      122.34
      122.32
      0.00
      000012.XSHG
      0
      国债指数
    

    

      2010-01-06
      4550.28
      4550.28
      95555.88
      000905.XSHG
      21
      中证500(沪)
    

    

      2010-01-07
      4550.28
      4459.16
      0.00
      000905.XSHG
      0
      中证500(沪)

使用 run_func 运行回测





In [9]:



    


config = {
  "base": {
    "start_date": "2010-01-01",
    "end_date": "2017-05-05",
    "benchmark": "000001.XSHG",
    "accounts": {
        "stock": 100000
    }
  },
  "extra": {
    "log_level": "info",
  },
  "mod": {
    "sys_analyser": {
      "enabled": True,
      "plot": True,
    },
  }
}


from rqalpha.api import *
from rqalpha import run_func


def init(context):
    context.stocks = ['000300.XSHG', '000905.XSHG', '000012.XSHG']

    
def handle_bar(context, bar_dict):
    [hs, zz, gz] = context.stocks
    hs_history20 = history_bars(hs, 20, '1d', 'close')
    zz_history20 = history_bars(zz, 20, '1d', 'close')
    
    hsIncrease = hs_history20[-1] - hs_history20[0]
    zzIncrease = zz_history20[-1] - zz_history20[0]
    
    positions = context.portfolio.positions
    [hsQuality, zzQuality, gzQuality] = [positions[hs].quantity, positions[zz].quantity, positions[gz].quantity]
    if hsIncrease < 0 and zzIncrease < 0:
        if hsQuality > 0: order_target_percent(hs, 0)
        if zzQuality > 0: order_target_percent(zz, 0)
        order_target_percent(gz, 1)
    elif hsIncrease < zzIncrease:
        if hsQuality > 0: order_target_percent(hs, 0)
        if gzQuality > 0: order_target_percent(gz, 0)
        order_target_percent(zz, 1)
    else:
        if zzQuality > 0: order_target_percent(zz, 0)
        if gzQuality > 0: order_target_percent(gz, 0)
        order_target_percent(hs, 1)
        
        
results = run_func(init=init, handle_bar=handle_bar, config=config)



    


















    
























In [10]:



    


report = results["sys_analyser"]



    











In [11]:



    


report["trades"][:5]



    


















    
Out[11]:










  
    

      
      commission
      exec_id
      last_price
      last_quantity
      order_book_id
      order_id
      position_effect
      side
      symbol
      tax
      trading_datetime
      transaction_cost
    

    

      datetime
      
      
      
      
      
      
      
      
      
      
      
      
    

  
  
    

      2010-01-04 15:00:00
      79.961424
      1498454089
      122.34
      817
      000012.XSHG
      1498454073
      None
      BUY
      国债指数
      0
      2010-01-04 15:00:00
      79.961424
    

    

      2010-01-06 15:00:00
      79.948352
      1498454090
      122.32
      817
      000012.XSHG
      1498454074
      None
      SELL
      国债指数
      0
      2010-01-06 15:00:00
      79.948352
    

    

      2010-01-06 15:00:00
      76.444704
      1498454091
      4550.28
      21
      000905.XSHG
      1498454075
      None
      BUY
      中证500(沪)
      0
      2010-01-06 15:00:00
      76.444704
    

    

      2010-01-07 15:00:00
      74.913888
      1498454092
      4459.16
      21
      000905.XSHG
      1498454076
      None
      SELL
      中证500(沪)
      0
      2010-01-07 15:00:00
      74.913888
    

    

      2010-01-07 15:00:00
      78.180552
      1498454093
      122.31
      799
      000012.XSHG
      1498454077
      None
      BUY
      国债指数
      0
      2010-01-07 15:00:00
      78.180552
    

  




















In [ ]:

Content source: xclxxl414/rqalpha

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