In [3]:
from rqalpha.api import *
# 在这个方法中编写任何的初始化逻辑。context对象将会在你的算法策略的任何方法之间做传递。
def init(context):
logger.info("init")
def before_trading(context):
pass
# 你选择的证券的数据更新将会触发此段逻辑，例如日或分钟历史数据切片或者是实时数据切片更新
def handle_bar(context, bar_dict):
_preDt = context.prev_trading_dt
_fvalue = get_factors("pe",_preDt.date(),_preDt.date()).iloc[0]
_fvalue = _fvalue[_fvalue>0]
# print(context.now,_fvalue.sort_values())
#买入低估值排名前10的票
buy_codes = list(_fvalue.sort_values().index[:10])
# holdings = [code for code in context.portfolio.positions]
print(buy_codes)
# equalWeight_order(buy_codes,context)
In [4]:
from rqalpha import run_file
config = {
"base": {
"start_date": "2017-01-01",
"end_date": "2017-01-31",
},
"mod": {
"sys_analyser": {
"enabled": True,
"plot": True
}
}
}
file_path = "./testStrategy.ipynb"
run_file(file_path, config,config_file = "../config.yml")
# run_func(,config,config_file=)
2017-01-03 INFO init
2017-01-03 INFO 000001.XSHE 6.7407
000002.XSHE 9.5646
000004.XSHE 48.2571
000005.XSHE 26.5261
000006.XSHE 11.4471
000007.XSHE 42.4395
000008.XSHE 30.5768
000009.XSHE -79.2387
000010.XSHE 137.9092
000011.XSHE 20.9009
000012.XSHE 22.2610
000014.XSHE 1003.7368
000016.XSHE 7.5821
000017.XSHE 1321.2224
000018.XSHE 29.6576
000019.XSHE 32.2956
000020.XSHE 420.9129
000021.XSHE 56.7905
000022.XSHE 23.2090
000023.XSHE -644.1486
000025.XSHE 1425.9790
000026.XSHE 60.6876
000027.XSHE 30.3558
000028.XSHE 16.9075
000029.XSHE 35.0933
000030.XSHE 13.1728
000031.XSHE 20.6855
000032.XSHE 94.0107
000033.XSHE -58.4716
000034.XSHE 18.5765
...
603936.XSHG 117.3741
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 39.6121
603955.XSHG NaN
603958.XSHG 157.8029
603959.XSHG 47.7746
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 26.9517
603969.XSHG 35.8462
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 59.7196
603978.XSHG NaN
603979.XSHG 59.5519
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 65.4678
603988.XSHG 1136.0236
603989.XSHG 36.9102
603990.XSHG 85.8684
603991.XSHG NaN
603993.XSHG 51.2801
603996.XSHG 47.7668
603997.XSHG 25.6374
603998.XSHG 158.9808
603999.XSHG 129.2768
Name: 2017-01-03 00:00:00, Length: 3490, dtype: float64
2017-01-03 WARN 600725.XSHG 在 2017-01-03 15:00:00 时停牌。
2017-01-04 INFO 000001.XSHE NaN
000002.XSHE 9.6200
000004.XSHE 48.5285
000005.XSHE 27.2252
000006.XSHE 11.6010
000007.XSHE 43.0412
000008.XSHE 30.7405
000009.XSHE -80.6780
000010.XSHE 138.6173
000011.XSHE 21.1596
000012.XSHE 22.5344
000014.XSHE 1016.6114
000016.XSHE 7.6486
000017.XSHE 1453.2415
000018.XSHE 29.6858
000019.XSHE 32.7700
000020.XSHE 422.5988
000021.XSHE 57.4426
000022.XSHE 23.3651
000023.XSHE -643.7421
000025.XSHE 1438.5168
000026.XSHE 66.7652
000027.XSHE 30.5313
000028.XSHE 20.1359
000029.XSHE 35.0933
000030.XSHE 13.2184
000031.XSHE 20.7772
000032.XSHE 95.7797
000033.XSHE -58.4716
000034.XSHE 18.9010
...
603936.XSHG 119.7114
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 39.6521
603955.XSHG NaN
603958.XSHG 160.7627
603959.XSHG 48.0668
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 26.9410
603969.XSHG 35.7470
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 59.2980
603978.XSHG NaN
603979.XSHG 60.2448
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 64.7987
603988.XSHG 1249.6898
603989.XSHG 37.0290
603990.XSHG 86.1638
603991.XSHG NaN
603993.XSHG 51.9639
603996.XSHG 48.5919
603997.XSHG 25.8974
603998.XSHG 159.2468
603999.XSHG 131.2987
Name: 2017-01-04 00:00:00, Length: 3490, dtype: float64
2017-01-04 WARN 600725.XSHG 在 2017-01-04 15:00:00 时停牌。
2017-01-05 INFO 000001.XSHE NaN
000002.XSHE 9.6569
000004.XSHE 48.2463
000005.XSHE 27.0698
000006.XSHE 11.6247
000007.XSHE 42.6672
000008.XSHE 30.8060
000009.XSHE -79.8447
000010.XSHE 138.2633
000011.XSHE 20.9440
000012.XSHE 22.6515
000014.XSHE 1018.0419
000016.XSHE 7.6819
000017.XSHE 1423.3310
000018.XSHE 29.4597
000019.XSHE 33.1455
000020.XSHE 429.5298
000021.XSHE 58.0947
000022.XSHE 23.8573
000023.XSHE -644.7584
000025.XSHE 1453.3574
000026.XSHE 72.2702
000027.XSHE 30.6190
000028.XSHE 20.0796
000029.XSHE 35.0933
000030.XSHE 13.0359
000031.XSHE 20.8919
000032.XSHE 105.3829
000033.XSHE -58.4716
000034.XSHE 18.6431
...
603936.XSHG 117.9949
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 39.7321
603955.XSHG NaN
603958.XSHG 159.1530
603959.XSHG 48.0668
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 26.9304
603969.XSHG 35.7470
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 58.0965
603978.XSHG NaN
603979.XSHG 60.4427
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 62.7326
603988.XSHG 1240.2708
603989.XSHG 36.0587
603990.XSHG 86.7079
603991.XSHG NaN
603993.XSHG 51.9639
603996.XSHG 49.2757
603997.XSHG 25.8064
603998.XSHG 157.2961
603999.XSHG 129.7070
Name: 2017-01-05 00:00:00, Length: 3490, dtype: float64
2017-01-05 WARN 600725.XSHG 在 2017-01-05 15:00:00 时停牌。
2017-01-06 INFO 000001.XSHE NaN
000002.XSHE 9.5231
000004.XSHE 47.7251
000005.XSHE 27.3028
000006.XSHE 11.8496
000007.XSHE 41.3826
000008.XSHE 31.0351
000009.XSHE -79.6174
000010.XSHE 136.4929
000011.XSHE 21.8279
000012.XSHE 22.2219
000014.XSHE 1029.4859
000016.XSHE 7.6653
000017.XSHE 1433.6449
000018.XSHE 28.3288
000019.XSHE 33.9361
000020.XSHE 425.0340
000021.XSHE 58.2132
000022.XSHE 23.8453
000023.XSHE -651.4662
000025.XSHE 1416.2559
000026.XSHE 67.7341
000027.XSHE 31.3647
000028.XSHE 20.1596
000029.XSHE 35.0933
000030.XSHE 13.2336
000031.XSHE 20.7084
000032.XSHE 107.4047
000033.XSHE -58.4716
000034.XSHE 18.4850
...
603936.XSHG 114.6716
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 39.2252
603955.XSHG NaN
603958.XSHG 155.3624
603959.XSHG 48.7810
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 26.8343
603969.XSHG 35.4989
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 54.8712
603978.XSHG NaN
603979.XSHG 60.5747
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 58.8757
603988.XSHG 1209.1403
603989.XSHG 35.6132
603990.XSHG 82.4480
603991.XSHG NaN
603993.XSHG 51.5536
603996.XSHG 49.1814
603997.XSHG 25.5074
603998.XSHG 155.7887
603999.XSHG 130.8255
Name: 2017-01-06 00:00:00, Length: 3490, dtype: float64
2017-01-06 WARN 600725.XSHG 在 2017-01-06 15:00:00 时停牌。
2017-01-09 INFO 000001.XSHE NaN
000002.XSHE 9.5323
000004.XSHE 46.6938
000005.XSHE 27.4582
000006.XSHE 11.7786
000007.XSHE 40.7972
000008.XSHE 31.1988
000009.XSHE -80.0720
000010.XSHE 137.7322
000011.XSHE 21.9573
000012.XSHE 22.3196
000014.XSHE 1031.3932
000016.XSHE 7.7318
000017.XSHE 1435.7077
000018.XSHE 28.3005
000019.XSHE 33.9361
000020.XSHE 422.7862
000021.XSHE 58.8060
000022.XSHE 23.8573
000023.XSHE -632.1559
000025.XSHE 1443.3784
000026.XSHE 69.1434
000027.XSHE 31.4525
000028.XSHE 20.5831
000029.XSHE 35.0933
000030.XSHE 13.1576
000031.XSHE 20.7772
000032.XSHE 106.1411
000033.XSHE -58.4716
000034.XSHE 17.8444
...
603936.XSHG 115.5116
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 39.6388
603955.XSHG NaN
603958.XSHG 157.1279
603959.XSHG 47.8233
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 26.7169
603969.XSHG 35.3997
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 55.9674
603978.XSHG NaN
603979.XSHG 61.5975
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 58.6199
603988.XSHG 1290.0796
603989.XSHG 35.7914
603990.XSHG 82.2614
603991.XSHG NaN
603993.XSHG 51.8271
603996.XSHG 49.2521
603997.XSHG 25.5854
603998.XSHG 156.9414
603999.XSHG 135.3427
Name: 2017-01-09 00:00:00, Length: 3490, dtype: float64
2017-01-09 WARN 600725.XSHG 在 2017-01-09 15:00:00 时停牌。
2017-01-10 INFO 000001.XSHE NaN
000002.XSHE 9.4954
000004.XSHE 46.9543
000005.XSHE 27.2252
000006.XSHE 11.5537
000007.XSHE 40.3094
000008.XSHE 31.0024
000009.XSHE -80.4507
000010.XSHE 136.4929
000011.XSHE 20.9333
000012.XSHE 23.0030
000014.XSHE 1013.2735
000016.XSHE 7.7318
000017.XSHE 1416.1112
000018.XSHE 28.6115
000019.XSHE 33.1060
000020.XSHE 422.5988
000021.XSHE 57.9761
000022.XSHE 23.0889
000023.XSHE -624.8384
000025.XSHE 1423.1644
000026.XSHE 68.8351
000027.XSHE 31.1454
000028.XSHE 20.4646
000029.XSHE 35.0933
000030.XSHE 13.0359
000031.XSHE 20.6167
000032.XSHE 102.9189
000033.XSHE -58.4716
000034.XSHE 18.0690
...
603936.XSHG 114.2334
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 38.9050
603955.XSHG NaN
603958.XSHG 156.0894
603959.XSHG 49.6414
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 27.4427
603969.XSHG 35.2756
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 54.2599
603978.XSHG NaN
603979.XSHG 61.5645
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 58.1673
603988.XSHG 1292.6339
603989.XSHG 36.0884
603990.XSHG 82.6501
603991.XSHG NaN
603993.XSHG 52.3741
603996.XSHG 48.8749
603997.XSHG 25.5464
603998.XSHG 157.4734
603999.XSHG 133.0626
Name: 2017-01-10 00:00:00, Length: 3490, dtype: float64
2017-01-10 WARN 600725.XSHG 在 2017-01-10 15:00:00 时停牌。
2017-01-11 INFO 000001.XSHE NaN
000002.XSHE 9.4123
000004.XSHE 46.0858
000005.XSHE 26.6426
000006.XSHE 11.4590
000007.XSHE 40.4070
000008.XSHE 30.6423
000009.XSHE -78.1781
000010.XSHE 131.1819
000011.XSHE 19.9955
000012.XSHE 23.2569
000014.XSHE 987.0476
000016.XSHE 7.6819
000017.XSHE 1342.8818
000018.XSHE 27.6785
000019.XSHE 32.2363
000020.XSHE 410.7975
000021.XSHE 59.2210
000022.XSHE 22.5126
000023.XSHE -613.2522
000025.XSHE 1423.9320
000026.XSHE 67.3817
000027.XSHE 30.8383
000028.XSHE 20.2603
000029.XSHE 35.0933
000030.XSHE 12.7925
000031.XSHE 20.4332
000032.XSHE 103.1717
000033.XSHE -58.4716
000034.XSHE 17.7612
...
603936.XSHG 111.5675
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 38.6381
603955.XSHG NaN
603958.XSHG 148.8717
603959.XSHG 48.7486
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 27.0051
603969.XSHG 35.1764
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 52.8475
603978.XSHG NaN
603979.XSHG 61.5645
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 57.6360
603988.XSHG 1303.1704
603989.XSHG 35.9498
603990.XSHG 81.5928
603991.XSHG NaN
603993.XSHG 54.2886
603996.XSHG 47.4367
603997.XSHG 25.0263
603998.XSHG 166.5175
603999.XSHG 128.9326
Name: 2017-01-11 00:00:00, Length: 3490, dtype: float64
2017-01-11 WARN 600725.XSHG 在 2017-01-11 15:00:00 时停牌。
2017-01-12 INFO 000001.XSHE NaN
000002.XSHE 9.4123
000004.XSHE 45.6515
000005.XSHE 26.3707
000006.XSHE 11.0091
000007.XSHE 40.0167
000008.XSHE 30.6423
000009.XSHE -77.0418
000010.XSHE 128.7034
000011.XSHE 19.8769
000012.XSHE 22.8468
000014.XSHE 987.0476
000016.XSHE 7.7151
000017.XSHE 1315.0340
000018.XSHE 27.9047
000019.XSHE 32.0584
000020.XSHE 395.6244
000021.XSHE 57.7390
000022.XSHE 22.2244
000023.XSHE -602.4792
000025.XSHE 1409.0914
000026.XSHE 65.3118
000027.XSHE 30.6629
000028.XSHE 20.1892
000029.XSHE 35.0933
000030.XSHE 12.6252
000031.XSHE 19.9287
000032.XSHE 102.2871
000033.XSHE -58.4716
000034.XSHE 17.6198
...
603936.XSHG 110.4354
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 38.1445
603955.XSHG NaN
603958.XSHG 143.2117
603959.XSHG 47.0765
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 26.5461
603969.XSHG 34.2089
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 53.4167
603978.XSHG NaN
603979.XSHG 60.7067
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 57.0260
603988.XSHG 1344.5181
603989.XSHG 35.9795
603990.XSHG 81.6706
603991.XSHG NaN
603993.XSHG 53.1946
603996.XSHG 47.1302
603997.XSHG 24.9093
603998.XSHG 162.2615
603999.XSHG 129.1477
Name: 2017-01-12 00:00:00, Length: 3490, dtype: float64
2017-01-12 WARN 600725.XSHG 在 2017-01-12 15:00:00 时停牌。
2017-01-13 INFO 000001.XSHE NaN
000002.XSHE 10.0629
000004.XSHE 44.5116
000005.XSHE 25.9435
000006.XSHE 10.4527
000007.XSHE 38.7159
000008.XSHE 30.1512
000009.XSHE -76.2843
000010.XSHE 124.9857
000011.XSHE 18.4433
000012.XSHE 23.3741
000014.XSHE 979.8951
000016.XSHE 7.5655
000017.XSHE 1250.0559
000018.XSHE 27.8764
000019.XSHE 30.8132
000020.XSHE 386.4457
000021.XSHE 56.6127
000022.XSHE 21.6121
000023.XSHE -590.4865
000025.XSHE 1355.8699
000026.XSHE 62.6254
000027.XSHE 30.4874
000028.XSHE 20.1033
000029.XSHE 35.0933
000030.XSHE 12.2905
000031.XSHE 19.5159
000032.XSHE 98.5596
000033.XSHE -58.4716
000034.XSHE 16.7546
...
603936.XSHG 107.0390
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 36.9437
603955.XSHG NaN
603958.XSHG 138.0191
603959.XSHG 45.0474
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 25.7882
603969.XSHG 33.7624
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 53.3113
603978.XSHG NaN
603979.XSHG 59.5849
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 54.0940
603988.XSHG 1297.7425
603989.XSHG 34.3558
603990.XSHG 77.1618
603991.XSHG NaN
603993.XSHG 53.6048
603996.XSHG 48.0968
603997.XSHG 23.6613
603998.XSHG 160.6654
603999.XSHG 125.9642
Name: 2017-01-13 00:00:00, Length: 3490, dtype: float64
2017-01-13 WARN 000617.XSHE 在 2017-01-13 15:00:00 时停牌。
2017-01-13 WARN 600725.XSHG 在 2017-01-13 15:00:00 时停牌。
2017-01-16 INFO 000001.XSHE NaN
000002.XSHE 9.6892
000004.XSHE 41.5369
000005.XSHE 25.0114
000006.XSHE 10.0029
000007.XSHE 38.7159
000008.XSHE 28.6453
000009.XSHE -72.5723
000010.XSHE 120.5599
000011.XSHE 17.4947
000012.XSHE 22.2610
000014.XSHE 901.6942
000016.XSHE 7.1997
000017.XSHE 1162.3869
000018.XSHE 26.4911
000019.XSHE 28.2043
000020.XSHE 371.0852
000021.XSHE 54.5378
000022.XSHE 21.0238
000023.XSHE -537.0276
000025.XSHE 1284.2255
000026.XSHE 57.9131
000027.XSHE 29.6101
000028.XSHE 20.4231
000029.XSHE 35.0933
000030.XSHE 12.2297
000031.XSHE 18.6215
000032.XSHE 91.4203
000033.XSHE -58.4716
000034.XSHE 16.6964
...
603936.XSHG 100.2099
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 35.9564
603955.XSHG NaN
603958.XSHG 128.5167
603959.XSHG 41.4436
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 24.6141
603969.XSHG 33.1422
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 51.0136
603978.XSHG NaN
603979.XSHG 57.4074
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 51.0243
603988.XSHG 1281.2992
603989.XSHG 32.6528
603990.XSHG 72.9796
603991.XSHG NaN
603993.XSHG 54.5621
603996.XSHG 49.1106
603997.XSHG 22.3612
603998.XSHG 144.7053
603999.XSHG 115.6392
Name: 2017-01-16 00:00:00, Length: 3490, dtype: float64
2017-01-16 WARN 600725.XSHG 在 2017-01-16 15:00:00 时停牌。
2017-01-16 WARN 订单被拒单: [000037.XSHE] 已跌停。
2017-01-17 INFO 000001.XSHE NaN
000002.XSHE 9.5969
000004.XSHE 40.5707
000005.XSHE 25.1668
000006.XSHE 10.1094
000007.XSHE 38.7159
000008.XSHE 28.4489
000009.XSHE -72.7238
000010.XSHE 121.7991
000011.XSHE 17.8720
000012.XSHE 21.9095
000014.XSHE 895.0185
000016.XSHE 7.2828
000017.XSHE 1191.2661
000018.XSHE 27.1696
000019.XSHE 28.6589
000020.XSHE 374.6444
000021.XSHE 55.6049
000022.XSHE 21.2279
000023.XSHE -566.0946
000025.XSHE 1299.8337
000026.XSHE 59.4545
000027.XSHE 29.8294
000028.XSHE 20.4498
000029.XSHE 35.0933
000030.XSHE 12.1993
000031.XSHE 18.7591
000032.XSHE 93.6316
000033.XSHE -58.4716
000034.XSHE 16.8461
...
603936.XSHG 103.5697
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 36.1032
603955.XSHG NaN
603958.XSHG 131.9957
603959.XSHG 42.0929
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 24.5394
603969.XSHG 33.5888
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 56.1149
603978.XSHG NaN
603979.XSHG 57.1105
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 53.4053
603988.XSHG 1153.1054
603989.XSHG 32.1578
603990.XSHG 74.9385
603991.XSHG NaN
603993.XSHG 54.6988
603996.XSHG 48.7334
603997.XSHG 22.8942
603998.XSHG 145.8580
603999.XSHG 117.8763
Name: 2017-01-17 00:00:00, Length: 3490, dtype: float64
2017-01-17 WARN 600725.XSHG 在 2017-01-17 15:00:00 时停牌。
2017-01-18 INFO 000001.XSHE NaN
000002.XSHE 9.6523
000004.XSHE 40.3319
000005.XSHE 25.4386
000006.XSHE 10.1450
000007.XSHE 38.7159
000008.XSHE 28.1542
000009.XSHE -71.6633
000010.XSHE 120.9140
000011.XSHE 18.2169
000012.XSHE 21.7338
000014.XSHE 911.2309
000016.XSHE 7.2329
000017.XSHE 1185.0777
000018.XSHE 27.3392
000019.XSHE 28.8170
000020.XSHE 382.6992
000021.XSHE 55.3678
000022.XSHE 21.2399
000023.XSHE -573.4122
000025.XSHE 1316.4655
000026.XSHE 59.5426
000027.XSHE 29.7417
000028.XSHE 20.3639
000029.XSHE 35.0933
000030.XSHE 12.3362
000031.XSHE 18.5986
000032.XSHE 92.2416
000033.XSHE -58.4716
000034.XSHE 16.5051
...
603936.XSHG 100.7211
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 36.0231
603955.XSHG NaN
603958.XSHG 132.3073
603959.XSHG 41.3137
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 24.4433
603969.XSHG 33.3655
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 56.0306
603978.XSHG NaN
603979.XSHG 57.0115
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 51.4769
603988.XSHG 1086.3744
603989.XSHG 33.3855
603990.XSHG 71.5026
603991.XSHG NaN
603993.XSHG 53.4681
603996.XSHG 47.2245
603997.XSHG 22.8292
603998.XSHG 145.0600
603999.XSHG 117.1019
Name: 2017-01-18 00:00:00, Length: 3490, dtype: float64
2017-01-18 WARN 600725.XSHG 在 2017-01-18 15:00:00 时停牌。
2017-01-19 INFO 000001.XSHE NaN
000002.XSHE 9.5046
000004.XSHE 38.7468
000005.XSHE 25.0114
000006.XSHE 10.0029
000007.XSHE 38.7159
000008.XSHE 27.9905
000009.XSHE -70.6027
000010.XSHE 120.2058
000011.XSHE 17.8935
000012.XSHE 21.6752
000014.XSHE 927.4433
000016.XSHE 7.1831
000017.XSHE 1165.4811
000018.XSHE 26.6042
000019.XSHE 28.1252
000020.XSHE 371.0852
000021.XSHE 55.6049
000022.XSHE 20.8917
000023.XSHE -569.3469
000025.XSHE 1303.4160
000026.XSHE 59.6747
000027.XSHE 29.8294
000028.XSHE 20.1359
000029.XSHE 35.0933
000030.XSHE 12.1993
000031.XSHE 18.4610
000032.XSHE 92.9366
000033.XSHE -58.4716
000034.XSHE 16.4801
...
603936.XSHG 100.8307
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 35.7029
603955.XSHG NaN
603958.XSHG 136.8248
603959.XSHG 41.6221
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 24.4220
603969.XSHG 33.7128
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 55.3561
603978.XSHG NaN
603979.XSHG 56.4836
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 52.0476
603988.XSHG 1116.0681
603989.XSHG 32.3459
603990.XSHG 70.8807
603991.XSHG NaN
603993.XSHG 53.7416
603996.XSHG 45.8806
603997.XSHG 22.6342
603998.XSHG 144.1733
603999.XSHG 117.6612
Name: 2017-01-19 00:00:00, Length: 3490, dtype: float64
2017-01-19 WARN 600725.XSHG 在 2017-01-19 15:00:00 时停牌。
2017-01-20 INFO 000001.XSHE NaN
000002.XSHE 9.5415
000004.XSHE 39.6045
000005.XSHE 25.2444
000006.XSHE 10.1094
000007.XSHE 38.7159
000008.XSHE 28.2852
000009.XSHE -71.3603
000010.XSHE 121.7991
000011.XSHE 18.0121
000012.XSHE 21.8314
000014.XSHE 934.1190
000016.XSHE 7.2828
000017.XSHE 1173.7323
000018.XSHE 27.3392
000019.XSHE 28.4415
000020.XSHE 374.4570
000021.XSHE 55.9013
000022.XSHE 21.0598
000023.XSHE -572.8024
000025.XSHE 1311.0921
000026.XSHE 60.2912
000027.XSHE 30.0049
000028.XSHE 20.5653
000029.XSHE 35.0933
000030.XSHE 12.3362
000031.XSHE 18.7821
000032.XSHE 93.3157
000033.XSHE -58.4716
000034.XSHE 16.9543
...
603936.XSHG 103.1314
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 36.7169
603955.XSHG NaN
603958.XSHG 138.1230
603959.XSHG 42.3039
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 24.7529
603969.XSHG 33.9361
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 55.7144
603978.XSHG NaN
603979.XSHG 56.8465
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 53.6808
603988.XSHG 1117.5049
603989.XSHG 33.1578
603990.XSHG 73.4304
603991.XSHG NaN
603993.XSHG 53.6048
603996.XSHG 46.2814
603997.XSHG 22.9722
603998.XSHG 146.0353
603999.XSHG 119.3820
Name: 2017-01-20 00:00:00, Length: 3490, dtype: float64
2017-01-20 WARN 600725.XSHG 在 2017-01-20 15:00:00 时停牌。
2017-01-23 INFO 000001.XSHE NaN
000002.XSHE 9.5692
000004.XSHE 40.7770
000005.XSHE 25.3610
000006.XSHE 10.1805
000007.XSHE 38.7159
000008.XSHE 28.5471
000009.XSHE -72.1178
000010.XSHE 123.3924
000011.XSHE 18.0660
000012.XSHE 22.3391
000014.XSHE 932.2116
000016.XSHE 7.4158
000017.XSHE 1187.1405
000018.XSHE 27.7633
000019.XSHE 28.4612
000020.XSHE 378.3908
000021.XSHE 56.1384
000022.XSHE 21.3719
000023.XSHE -596.9910
000025.XSHE 1315.1861
000026.XSHE 60.6436
000027.XSHE 30.0926
000028.XSHE 20.4350
000029.XSHE 35.0933
000030.XSHE 12.3970
000031.XSHE 18.8050
000032.XSHE 93.5684
000033.XSHE -58.4716
000034.XSHE 18.0940
...
603936.XSHG 104.2270
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 37.4107
603955.XSHG NaN
603958.XSHG 137.5518
603959.XSHG 42.7909
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 25.1265
603969.XSHG 33.8616
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 57.4008
603978.XSHG NaN
603979.XSHG 57.4404
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 53.8185
603988.XSHG 1120.8574
603989.XSHG 33.3063
603990.XSHG 75.6382
603991.XSHG NaN
603993.XSHG 54.9723
603996.XSHG 46.4229
603997.XSHG 23.2062
603998.XSHG 149.7593
603999.XSHG 120.9308
Name: 2017-01-23 00:00:00, Length: 3490, dtype: float64
2017-01-23 WARN 600725.XSHG 在 2017-01-23 15:00:00 时停牌。
2017-01-24 INFO 000001.XSHE NaN
000002.XSHE 9.5461
000004.XSHE 41.9386
000005.XSHE 25.2833
000006.XSHE 10.1213
000007.XSHE 38.7159
000008.XSHE 28.4161
000009.XSHE -71.5875
000010.XSHE 124.6317
000011.XSHE 17.8612
000012.XSHE 22.1048
000014.XSHE 931.2580
000016.XSHE 7.3992
000017.XSHE 1181.9835
000018.XSHE 27.7351
000019.XSHE 28.5205
000020.XSHE 372.5838
000021.XSHE 56.0791
000022.XSHE 21.4320
000023.XSHE -624.2286
000025.XSHE 1298.0426
000026.XSHE 59.8949
000027.XSHE 29.9610
000028.XSHE 20.2721
000029.XSHE 35.0933
000030.XSHE 12.5795
000031.XSHE 18.7133
000032.XSHE 92.0521
000033.XSHE -58.4716
000034.XSHE 17.9692
...
603936.XSHG 104.8844
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 36.8636
603955.XSHG NaN
603958.XSHG 134.0728
603959.XSHG 42.2877
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG NaN
603968.XSHG 24.8276
603969.XSHG 33.5888
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 55.2507
603978.XSHG NaN
603979.XSHG 57.5724
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 53.0314
603988.XSHG 1115.5892
603989.XSHG 32.7023
603990.XSHG 76.0269
603991.XSHG NaN
603993.XSHG 55.2458
603996.XSHG 45.8806
603997.XSHG 23.2322
603998.XSHG 149.6707
603999.XSHG 118.0914
Name: 2017-01-24 00:00:00, Length: 3490, dtype: float64
2017-01-24 WARN 600725.XSHG 在 2017-01-24 15:00:00 时停牌。
2017-01-25 INFO 000001.XSHE NaN
000002.XSHE 9.5092
000004.XSHE 41.5261
000005.XSHE 25.3221
000006.XSHE 10.2160
000007.XSHE 38.7159
000008.XSHE 28.2524
000009.XSHE -71.8148
000010.XSHE 124.8087
000011.XSHE 17.9582
000012.XSHE 22.0657
000014.XSHE 851.6266
000016.XSHE 7.4491
000017.XSHE 1175.7951
000018.XSHE 27.6502
000019.XSHE 28.7182
000020.XSHE 372.3965
000021.XSHE 56.1977
000022.XSHE 21.3840
000023.XSHE -618.1306
000025.XSHE 1296.7633
000026.XSHE 60.0270
000027.XSHE 30.0049
000028.XSHE 20.8230
000029.XSHE 35.0933
000030.XSHE 12.5035
000031.XSHE 18.7133
000032.XSHE 91.9257
000033.XSHE -58.4716
000034.XSHE 18.1356
...
603936.XSHG 105.1765
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 37.3973
603955.XSHG NaN
603958.XSHG 133.9689
603959.XSHG 42.4338
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG 28.0971
603968.XSHG 24.7956
603969.XSHG 33.4151
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 55.7777
603978.XSHG NaN
603979.XSHG 57.9683
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 53.7595
603988.XSHG 1118.6224
603989.XSHG 32.6924
603990.XSHG 78.8565
603991.XSHG NaN
603993.XSHG 55.3826
603996.XSHG 45.9749
603997.XSHG 23.2712
603998.XSHG 151.6214
603999.XSHG 118.0914
Name: 2017-01-25 00:00:00, Length: 3490, dtype: float64
2017-01-25 WARN 600725.XSHG 在 2017-01-25 15:00:00 时停牌。
2017-01-26 INFO 000001.XSHE NaN
000002.XSHE 9.5415
000004.XSHE 41.5695
000005.XSHE 25.4775
000006.XSHE 10.2633
000007.XSHE 38.7159
000008.XSHE 28.5143
000009.XSHE -72.0420
000010.XSHE 125.8709
000011.XSHE 17.9043
000012.XSHE 22.2024
000014.XSHE 845.4277
000016.XSHE 7.5156
000017.XSHE 1189.2033
000018.XSHE 27.8764
000019.XSHE 29.0542
000020.XSHE 379.5147
000021.XSHE 56.1977
000022.XSHE 21.7201
000023.XSHE -626.0580
000025.XSHE 1301.6248
000026.XSHE 60.4674
000027.XSHE 30.6629
000028.XSHE 20.8259
000029.XSHE 35.0933
000030.XSHE 12.5187
000031.XSHE 18.7821
000032.XSHE 92.9366
000033.XSHE -58.4716
000034.XSHE 18.1356
...
603936.XSHG 106.6373
603937.XSHG NaN
603938.XSHG NaN
603939.XSHG 37.8243
603955.XSHG NaN
603958.XSHG 135.9421
603959.XSHG 42.5312
603960.XSHG NaN
603963.XSHG NaN
603966.XSHG 30.8962
603968.XSHG 24.9343
603969.XSHG 33.7376
603970.XSHG NaN
603976.XSHG NaN
603977.XSHG 55.9674
603978.XSHG NaN
603979.XSHG 58.2982
603980.XSHG NaN
603985.XSHG NaN
603986.XSHG 91.2327
603987.XSHG 53.7202
603988.XSHG 1122.4539
603989.XSHG 33.2271
603990.XSHG 80.2091
603991.XSHG NaN
603993.XSHG 56.4765
603996.XSHG 46.4464
603997.XSHG 23.8563
603998.XSHG 152.2420
603999.XSHG 118.4356
Name: 2017-01-26 00:00:00, Length: 3490, dtype: float64
2017-01-26 WARN 600725.XSHG 在 2017-01-26 15:00:00 时停牌。
Out[4]:
{'sys_analyser': {'benchmark_portfolio': cash market_value static_unit_net_value total_value \
date
2017-01-03 673.23 999326.77 1.000 1000000.00
2017-01-04 673.23 1007124.69 0.992 1007797.92
2017-01-05 673.23 1006969.21 1.000 1007642.44
2017-01-06 673.23 1000953.33 1.008 1001626.56
2017-01-09 673.23 1005806.10 1.007 1006479.33
2017-01-10 673.23 1004122.73 1.001 1004795.96
2017-01-11 673.23 997015.50 1.006 997688.73
2017-01-12 673.23 991968.38 1.004 992641.61
2017-01-13 673.23 992653.09 0.997 993326.32
2017-01-16 673.23 992515.55 0.993 993188.78
2017-01-17 673.23 994581.64 0.992 995254.87
2017-01-18 673.23 998471.63 0.989 999144.86
2017-01-19 673.23 995457.71 0.994 996130.94
2017-01-20 673.23 1003112.11 0.997 1003785.34
2017-01-23 673.23 1005859.92 0.995 1006533.15
2017-01-24 673.23 1005970.55 1.005 1006643.78
2017-01-25 673.23 1009394.10 1.006 1010067.33
2017-01-26 673.23 1013000.04 1.006 1013673.27
unit_net_value units
date
2017-01-03 1.000000 1000000.0
2017-01-04 1.007798 1000000.0
2017-01-05 1.007642 1000000.0
2017-01-06 1.001627 1000000.0
2017-01-09 1.006479 1000000.0
2017-01-10 1.004796 1000000.0
2017-01-11 0.997689 1000000.0
2017-01-12 0.992642 1000000.0
2017-01-13 0.993326 1000000.0
2017-01-16 0.993189 1000000.0
2017-01-17 0.995255 1000000.0
2017-01-18 0.999145 1000000.0
2017-01-19 0.996131 1000000.0
2017-01-20 1.003785 1000000.0
2017-01-23 1.006533 1000000.0
2017-01-24 1.006644 1000000.0
2017-01-25 1.010067 1000000.0
2017-01-26 1.013673 1000000.0 ,
'portfolio': cash market_value static_unit_net_value total_value \
date
2017-01-03 104254.977 895029.0 1.000 999283.977
2017-01-04 104443.551 908899.0 0.993 1013342.551
2017-01-05 104760.297 916325.0 0.997 1021085.297
2017-01-06 103844.463 924233.0 1.018 1028077.463
2017-01-09 106441.267 928718.0 1.026 1035159.267
2017-01-10 105904.609 929508.0 1.032 1035412.609
2017-01-11 107331.440 928507.0 1.040 1035838.440
2017-01-12 104772.751 912431.0 1.034 1017203.751
2017-01-13 1026.709 1007706.0 1.032 1008732.709
2017-01-16 110665.150 867968.0 1.027 978633.150
2017-01-17 100143.612 884830.0 0.996 984973.612
2017-01-18 99545.955 895418.0 0.973 994963.955
2017-01-19 99110.048 888076.0 0.982 987186.048
2017-01-20 100860.305 903039.0 0.992 1003899.305
2017-01-23 102120.582 911864.0 0.988 1013984.582
2017-01-24 102948.606 922267.0 1.002 1025215.606
2017-01-25 102145.478 919848.0 1.012 1021993.478
2017-01-26 104010.400 934436.0 1.024 1038446.400
unit_net_value units
date
2017-01-03 0.999284 1000000.0
2017-01-04 1.013343 1000000.0
2017-01-05 1.021085 1000000.0
2017-01-06 1.028077 1000000.0
2017-01-09 1.035159 1000000.0
2017-01-10 1.035413 1000000.0
2017-01-11 1.035838 1000000.0
2017-01-12 1.017204 1000000.0
2017-01-13 1.008733 1000000.0
2017-01-16 0.978633 1000000.0
2017-01-17 0.984974 1000000.0
2017-01-18 0.994964 1000000.0
2017-01-19 0.987186 1000000.0
2017-01-20 1.003899 1000000.0
2017-01-23 1.013985 1000000.0
2017-01-24 1.025216 1000000.0
2017-01-25 1.021993 1000000.0
2017-01-26 1.038446 1000000.0 ,
'stock_account': cash dividend_receivable market_value total_value \
date
2017-01-03 104254.977 0 895029.0 999283.977
2017-01-04 104443.551 0 908899.0 1013342.551
2017-01-05 104760.297 0 916325.0 1021085.297
2017-01-06 103844.463 0 924233.0 1028077.463
2017-01-09 106441.267 0 928718.0 1035159.267
2017-01-10 105904.609 0 929508.0 1035412.609
2017-01-11 107331.440 0 928507.0 1035838.440
2017-01-12 104772.751 0 912431.0 1017203.751
2017-01-13 1026.709 0 1007706.0 1008732.709
2017-01-16 110665.150 0 867968.0 978633.150
2017-01-17 100143.612 0 884830.0 984973.612
2017-01-18 99545.955 0 895418.0 994963.955
2017-01-19 99110.048 0 888076.0 987186.048
2017-01-20 100860.305 0 903039.0 1003899.305
2017-01-23 102120.582 0 911864.0 1013984.582
2017-01-24 102948.606 0 922267.0 1025215.606
2017-01-25 102145.478 0 919848.0 1021993.478
2017-01-26 104010.400 0 934436.0 1038446.400
transaction_cost
date
2017-01-03 716.023
2017-01-04 33.426
2017-01-05 308.254
2017-01-06 41.834
2017-01-09 25.196
2017-01-10 36.658
2017-01-11 30.169
2017-01-12 27.689
2017-01-13 116.042
2017-01-16 220.558
2017-01-17 33.538
2017-01-18 288.657
2017-01-19 32.907
2017-01-20 273.742
2017-01-23 276.723
2017-01-24 21.976
2017-01-25 32.128
2017-01-26 36.078 ,
'stock_positions': avg_price last_price market_value order_book_id quantity symbol
date
2017-01-03 6.930 6.93 99792.0 600581.XSHG 14400 八一钢铁
2017-01-03 6.440 6.44 99820.0 600675.XSHG 15500 中华企业
2017-01-03 11.220 11.22 99858.0 000037.XSHE 8900 深南电A
2017-01-03 2.860 2.86 99814.0 600808.XSHG 34900 马钢股份
2017-01-03 2.740 2.74 99736.0 600307.XSHG 36400 酒钢宏兴
2017-01-03 3.010 3.01 99932.0 600569.XSHG 33200 安阳钢铁
2017-01-03 19.030 19.03 98956.0 000617.XSHE 5200 中油资本
2017-01-03 42.250 42.25 97175.0 002352.XSHE 2300 顺丰控股
2017-01-03 4.130 4.13 99946.0 600546.XSHG 24200 山煤国际
2017-01-04 6.930 7.14 101388.0 600581.XSHG 14200 八一钢铁
2017-01-04 6.440 6.54 101370.0 600675.XSHG 15500 中华企业
2017-01-04 11.216 11.03 100373.0 000037.XSHE 9100 深南电A
2017-01-04 2.860 2.90 101210.0 600808.XSHG 34900 马钢股份
2017-01-04 2.740 2.77 101105.0 600307.XSHG 36500 酒钢宏兴
2017-01-04 3.010 3.04 101232.0 600569.XSHG 33300 安阳钢铁
2017-01-04 19.030 19.98 101898.0 000617.XSHE 5100 中油资本
2017-01-04 42.250 43.04 98992.0 002352.XSHE 2300 顺丰控股
2017-01-04 4.130 4.17 101331.0 600546.XSHG 24300 山煤国际
2017-01-05 6.932 7.03 101935.0 600581.XSHG 14500 八一钢铁
2017-01-05 6.440 6.67 0.0 600675.XSHG 0 中华企业
2017-01-05 11.214 11.03 101476.0 000037.XSHE 9200 深南电A
2017-01-05 2.860 2.90 102080.0 600808.XSHG 35200 马钢股份
2017-01-05 2.740 2.77 101936.0 600307.XSHG 36800 酒钢宏兴
2017-01-05 3.010 3.03 102111.0 600569.XSHG 33700 安阳钢铁
2017-01-05 19.030 20.98 102802.0 000617.XSHE 4900 中油资本
2017-01-05 5.030 5.03 102109.0 601666.XSHG 20300 平煤股份
2017-01-05 42.250 43.32 99636.0 002352.XSHE 2300 顺丰控股
2017-01-05 4.130 4.26 102240.0 600546.XSHG 24000 山煤国际
2017-01-06 6.932 7.09 102805.0 600581.XSHG 14500 八一钢铁
2017-01-06 11.208 10.92 102648.0 000037.XSHE 9400 深南电A
... ... ... ... ... ... ...
2017-01-23 5.400 5.49 101565.0 600117.XSHG 18500 西宁特钢
2017-01-23 3.015 3.22 101108.0 600569.XSHG 31400 安阳钢铁
2017-01-23 5.029 5.02 101404.0 601666.XSHG 20200 平煤股份
2017-01-24 6.875 6.34 102708.0 600581.XSHG 16200 八一钢铁
2017-01-24 11.167 11.06 102858.0 000037.XSHE 9300 深南电A
2017-01-24 2.863 3.15 102375.0 600808.XSHG 32500 马钢股份
2017-01-24 6.890 6.89 101972.0 600375.XSHG 14800 华菱星马
2017-01-24 2.742 2.90 102660.0 600307.XSHG 35400 酒钢宏兴
2017-01-24 4.133 4.37 102258.0 600546.XSHG 23400 山煤国际
2017-01-24 5.400 5.56 102860.0 600117.XSHG 18500 西宁特钢
2017-01-24 3.015 3.26 102364.0 600569.XSHG 31400 安阳钢铁
2017-01-24 5.029 5.06 102212.0 601666.XSHG 20200 平煤股份
2017-01-25 6.871 6.26 102038.0 600581.XSHG 16300 八一钢铁
2017-01-25 11.167 11.10 103230.0 000037.XSHE 9300 深南电A
2017-01-25 2.864 3.12 102024.0 600808.XSHG 32700 马钢股份
2017-01-25 6.890 6.83 101767.0 600375.XSHG 14900 华菱星马
2017-01-25 2.742 2.88 101952.0 600307.XSHG 35400 酒钢宏兴
2017-01-25 4.133 4.39 102287.0 600546.XSHG 23300 山煤国际
2017-01-25 5.400 5.63 102466.0 600117.XSHG 18200 西宁特钢
2017-01-25 3.017 3.22 102074.0 600569.XSHG 31700 安阳钢铁
2017-01-25 5.029 5.05 102010.0 601666.XSHG 20200 平煤股份
2017-01-26 6.871 6.34 103342.0 600581.XSHG 16300 八一钢铁
2017-01-26 11.167 11.22 104346.0 000037.XSHE 9300 深南电A
2017-01-26 2.864 3.17 103659.0 600808.XSHG 32700 马钢股份
2017-01-26 6.889 6.87 103737.0 600375.XSHG 15100 华菱星马
2017-01-26 2.744 2.90 103820.0 600307.XSHG 35800 酒钢宏兴
2017-01-26 4.136 4.39 103604.0 600546.XSHG 23600 山煤国际
2017-01-26 5.400 5.85 104130.0 600117.XSHG 17800 西宁特钢
2017-01-26 3.018 3.26 103668.0 600569.XSHG 31800 安阳钢铁
2017-01-26 5.029 5.34 104130.0 601666.XSHG 19500 平煤股份
[168 rows x 6 columns],
'summary': {'STOCK': 1000000.0,
'alpha': 0.115,
'annualized_returns': 0.775,
'benchmark': '000300.XSHG',
'benchmark_annualized_returns': 0.229,
'benchmark_total_returns': 0.014,
'beta': 1.55,
'cash': 104010.4,
'downside_risk': 0.204,
'end_date': '2017-01-26',
'information_ratio': 1.763,
'max_drawdown': 0.098,
'run_type': 'BACKTEST',
'sharpe': 3.486,
'sortino': 5.12,
'start_date': '2017-01-03',
'strategy_file': './testStrategy.ipynb',
'strategy_name': 'testStrategy',
'total_returns': 0.038,
'total_value': 1038446.4,
'tracking_error': 0.252,
'unit_net_value': 1.038,
'units': 1000000.0,
'volatility': 0.299},
'trades': commission exec_id last_price last_quantity \
datetime
2017-01-03 15:00:00 79.1648 1524487211 19.03 5200
2017-01-03 15:00:00 77.7400 1524487212 42.25 2300
2017-01-03 15:00:00 79.8336 1524487213 6.93 14400
2017-01-03 15:00:00 79.8864 1524487214 11.22 8900
2017-01-03 15:00:00 79.7888 1524487215 2.74 36400
2017-01-03 15:00:00 79.9456 1524487216 3.01 33200
2017-01-03 15:00:00 79.9568 1524487217 4.13 24200
2017-01-03 15:00:00 79.8512 1524487218 2.86 34900
2017-01-03 15:00:00 79.8560 1524487219 6.44 15500
2017-01-04 15:00:00 5.0000 1524487220 19.98 100
2017-01-04 15:00:00 5.0000 1524487221 11.03 200
2017-01-04 15:00:00 5.0000 1524487222 7.14 200
2017-01-04 15:00:00 5.0000 1524487223 2.77 100
2017-01-04 15:00:00 5.0000 1524487224 3.04 100
2017-01-04 15:00:00 5.0000 1524487225 4.17 100
2017-01-05 15:00:00 82.7080 1524487226 6.67 15500
2017-01-05 15:00:00 5.0000 1524487227 20.98 200
2017-01-05 15:00:00 5.0000 1524487228 11.03 100
2017-01-05 15:00:00 5.0000 1524487229 7.03 300
2017-01-05 15:00:00 5.0000 1524487230 2.77 300
2017-01-05 15:00:00 5.0000 1524487231 3.03 400
2017-01-05 15:00:00 5.0000 1524487232 4.26 300
2017-01-05 15:00:00 5.0000 1524487233 2.90 300
2017-01-05 15:00:00 81.6872 1524487234 5.03 20300
2017-01-06 15:00:00 5.0000 1524487235 22.03 200
2017-01-06 15:00:00 5.0000 1524487236 42.31 100
2017-01-06 15:00:00 5.0000 1524487237 10.92 200
2017-01-06 15:00:00 5.0000 1524487238 2.81 200
2017-01-06 15:00:00 5.0000 1524487239 3.11 600
2017-01-06 15:00:00 5.0000 1524487240 2.91 100
... ... ... ... ...
2017-01-19 15:00:00 5.0000 1524487290 6.07 100
2017-01-19 15:00:00 5.0000 1524487291 10.49 200
2017-01-19 15:00:00 5.0000 1524487292 2.76 100
2017-01-19 15:00:00 5.0000 1524487293 3.12 300
2017-01-19 15:00:00 5.0000 1524487294 4.22 400
2017-01-19 15:00:00 5.0000 1524487295 3.06 200
2017-01-20 15:00:00 81.0560 1524487296 6.80 14900
2017-01-20 15:00:00 5.0000 1524487297 3.20 200
2017-01-20 15:00:00 5.0000 1524487298 4.32 100
2017-01-20 15:00:00 80.2944 1524487299 6.97 14400
2017-01-23 15:00:00 82.2528 1524487300 7.14 14400
2017-01-23 15:00:00 5.0000 1524487301 6.28 100
2017-01-23 15:00:00 5.0000 1524487302 3.12 200
2017-01-23 15:00:00 81.0264 1524487303 6.89 14700
2017-01-24 15:00:00 5.0000 1524487304 11.06 100
2017-01-24 15:00:00 5.0000 1524487305 2.90 300
2017-01-24 15:00:00 5.0000 1524487306 4.37 100
2017-01-24 15:00:00 5.0000 1524487307 6.89 100
2017-01-25 15:00:00 5.0000 1524487308 6.26 100
2017-01-25 15:00:00 5.0000 1524487309 3.22 300
2017-01-25 15:00:00 5.0000 1524487310 4.39 100
2017-01-25 15:00:00 5.0000 1524487311 3.12 200
2017-01-25 15:00:00 5.0000 1524487312 5.63 300
2017-01-25 15:00:00 5.0000 1524487313 6.83 100
2017-01-26 15:00:00 5.0000 1524487314 2.90 400
2017-01-26 15:00:00 5.0000 1524487315 3.26 100
2017-01-26 15:00:00 5.0000 1524487316 4.39 300
2017-01-26 15:00:00 5.0000 1524487317 5.34 700
2017-01-26 15:00:00 5.0000 1524487318 5.85 400
2017-01-26 15:00:00 5.0000 1524487319 6.87 200
order_book_id order_id position_effect side symbol \
datetime
2017-01-03 15:00:00 000617.XSHE 1524487252 None BUY 中油资本
2017-01-03 15:00:00 002352.XSHE 1524487253 None BUY 顺丰控股
2017-01-03 15:00:00 600581.XSHG 1524487254 None BUY 八一钢铁
2017-01-03 15:00:00 000037.XSHE 1524487255 None BUY 深南电A
2017-01-03 15:00:00 600307.XSHG 1524487256 None BUY 酒钢宏兴
2017-01-03 15:00:00 600569.XSHG 1524487257 None BUY 安阳钢铁
2017-01-03 15:00:00 600546.XSHG 1524487258 None BUY 山煤国际
2017-01-03 15:00:00 600808.XSHG 1524487259 None BUY 马钢股份
2017-01-03 15:00:00 600675.XSHG 1524487260 None BUY 中华企业
2017-01-04 15:00:00 000617.XSHE 1524487262 None SELL 中油资本
2017-01-04 15:00:00 000037.XSHE 1524487263 None BUY 深南电A
2017-01-04 15:00:00 600581.XSHG 1524487264 None SELL 八一钢铁
2017-01-04 15:00:00 600307.XSHG 1524487265 None BUY 酒钢宏兴
2017-01-04 15:00:00 600569.XSHG 1524487266 None BUY 安阳钢铁
2017-01-04 15:00:00 600546.XSHG 1524487267 None BUY 山煤国际
2017-01-05 15:00:00 600675.XSHG 1524487268 None SELL 中华企业
2017-01-05 15:00:00 000617.XSHE 1524487270 None SELL 中油资本
2017-01-05 15:00:00 000037.XSHE 1524487271 None BUY 深南电A
2017-01-05 15:00:00 600581.XSHG 1524487272 None BUY 八一钢铁
2017-01-05 15:00:00 600307.XSHG 1524487273 None BUY 酒钢宏兴
2017-01-05 15:00:00 600569.XSHG 1524487274 None BUY 安阳钢铁
2017-01-05 15:00:00 600546.XSHG 1524487275 None SELL 山煤国际
2017-01-05 15:00:00 600808.XSHG 1524487276 None BUY 马钢股份
2017-01-05 15:00:00 601666.XSHG 1524487277 None BUY 平煤股份
2017-01-06 15:00:00 000617.XSHE 1524487279 None SELL 中油资本
2017-01-06 15:00:00 002352.XSHE 1524487280 None BUY 顺丰控股
2017-01-06 15:00:00 000037.XSHE 1524487281 None BUY 深南电A
2017-01-06 15:00:00 600307.XSHG 1524487282 None SELL 酒钢宏兴
2017-01-06 15:00:00 600569.XSHG 1524487283 None SELL 安阳钢铁
2017-01-06 15:00:00 600808.XSHG 1524487284 None BUY 马钢股份
... ... ... ... ... ...
2017-01-19 15:00:00 600581.XSHG 1524487345 None SELL 八一钢铁
2017-01-19 15:00:00 000037.XSHE 1524487346 None BUY 深南电A
2017-01-19 15:00:00 600307.XSHG 1524487347 None BUY 酒钢宏兴
2017-01-19 15:00:00 600569.XSHG 1524487348 None BUY 安阳钢铁
2017-01-19 15:00:00 600546.XSHG 1524487349 None SELL 山煤国际
2017-01-19 15:00:00 600808.XSHG 1524487350 None SELL 马钢股份
2017-01-20 15:00:00 600375.XSHG 1524487351 None SELL 华菱星马
2017-01-20 15:00:00 600569.XSHG 1524487353 None SELL 安阳钢铁
2017-01-20 15:00:00 600546.XSHG 1524487354 None SELL 山煤国际
2017-01-20 15:00:00 600675.XSHG 1524487355 None BUY 中华企业
2017-01-23 15:00:00 600675.XSHG 1524487356 None SELL 中华企业
2017-01-23 15:00:00 600581.XSHG 1524487358 None SELL 八一钢铁
2017-01-23 15:00:00 600808.XSHG 1524487359 None BUY 马钢股份
2017-01-23 15:00:00 600375.XSHG 1524487360 None BUY 华菱星马
2017-01-24 15:00:00 000037.XSHE 1524487362 None SELL 深南电A
2017-01-24 15:00:00 600307.XSHG 1524487363 None SELL 酒钢宏兴
2017-01-24 15:00:00 600546.XSHG 1524487364 None BUY 山煤国际
2017-01-24 15:00:00 600375.XSHG 1524487365 None BUY 华菱星马
2017-01-25 15:00:00 600581.XSHG 1524487367 None BUY 八一钢铁
2017-01-25 15:00:00 600569.XSHG 1524487368 None BUY 安阳钢铁
2017-01-25 15:00:00 600546.XSHG 1524487369 None SELL 山煤国际
2017-01-25 15:00:00 600808.XSHG 1524487370 None BUY 马钢股份
2017-01-25 15:00:00 600117.XSHG 1524487371 None SELL 西宁特钢
2017-01-25 15:00:00 600375.XSHG 1524487372 None BUY 华菱星马
2017-01-26 15:00:00 600307.XSHG 1524487374 None BUY 酒钢宏兴
2017-01-26 15:00:00 600569.XSHG 1524487375 None BUY 安阳钢铁
2017-01-26 15:00:00 600546.XSHG 1524487376 None BUY 山煤国际
2017-01-26 15:00:00 601666.XSHG 1524487377 None SELL 平煤股份
2017-01-26 15:00:00 600117.XSHG 1524487378 None SELL 西宁特钢
2017-01-26 15:00:00 600375.XSHG 1524487379 None BUY 华菱星马
tax trading_datetime transaction_cost
datetime
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.1648
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 77.7400
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.8336
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.8864
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.7888
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.9456
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.9568
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.8512
2017-01-03 15:00:00 0.000 2017-01-03 15:00:00 79.8560
2017-01-04 15:00:00 1.998 2017-01-04 15:00:00 6.9980
2017-01-04 15:00:00 0.000 2017-01-04 15:00:00 5.0000
2017-01-04 15:00:00 1.428 2017-01-04 15:00:00 6.4280
2017-01-04 15:00:00 0.000 2017-01-04 15:00:00 5.0000
2017-01-04 15:00:00 0.000 2017-01-04 15:00:00 5.0000
2017-01-04 15:00:00 0.000 2017-01-04 15:00:00 5.0000
2017-01-05 15:00:00 103.385 2017-01-05 15:00:00 186.0930
2017-01-05 15:00:00 4.196 2017-01-05 15:00:00 9.1960
2017-01-05 15:00:00 0.000 2017-01-05 15:00:00 5.0000
2017-01-05 15:00:00 0.000 2017-01-05 15:00:00 5.0000
2017-01-05 15:00:00 0.000 2017-01-05 15:00:00 5.0000
2017-01-05 15:00:00 0.000 2017-01-05 15:00:00 5.0000
2017-01-05 15:00:00 1.278 2017-01-05 15:00:00 6.2780
2017-01-05 15:00:00 0.000 2017-01-05 15:00:00 5.0000
2017-01-05 15:00:00 0.000 2017-01-05 15:00:00 81.6872
2017-01-06 15:00:00 4.406 2017-01-06 15:00:00 9.4060
2017-01-06 15:00:00 0.000 2017-01-06 15:00:00 5.0000
2017-01-06 15:00:00 0.000 2017-01-06 15:00:00 5.0000
2017-01-06 15:00:00 0.562 2017-01-06 15:00:00 5.5620
2017-01-06 15:00:00 1.866 2017-01-06 15:00:00 6.8660
2017-01-06 15:00:00 0.000 2017-01-06 15:00:00 5.0000
... ... ... ...
2017-01-19 15:00:00 0.607 2017-01-19 15:00:00 5.6070
2017-01-19 15:00:00 0.000 2017-01-19 15:00:00 5.0000
2017-01-19 15:00:00 0.000 2017-01-19 15:00:00 5.0000
2017-01-19 15:00:00 0.000 2017-01-19 15:00:00 5.0000
2017-01-19 15:00:00 1.688 2017-01-19 15:00:00 6.6880
2017-01-19 15:00:00 0.612 2017-01-19 15:00:00 5.6120
2017-01-20 15:00:00 101.320 2017-01-20 15:00:00 182.3760
2017-01-20 15:00:00 0.640 2017-01-20 15:00:00 5.6400
2017-01-20 15:00:00 0.432 2017-01-20 15:00:00 5.4320
2017-01-20 15:00:00 0.000 2017-01-20 15:00:00 80.2944
2017-01-23 15:00:00 102.816 2017-01-23 15:00:00 185.0688
2017-01-23 15:00:00 0.628 2017-01-23 15:00:00 5.6280
2017-01-23 15:00:00 0.000 2017-01-23 15:00:00 5.0000
2017-01-23 15:00:00 0.000 2017-01-23 15:00:00 81.0264
2017-01-24 15:00:00 1.106 2017-01-24 15:00:00 6.1060
2017-01-24 15:00:00 0.870 2017-01-24 15:00:00 5.8700
2017-01-24 15:00:00 0.000 2017-01-24 15:00:00 5.0000
2017-01-24 15:00:00 0.000 2017-01-24 15:00:00 5.0000
2017-01-25 15:00:00 0.000 2017-01-25 15:00:00 5.0000
2017-01-25 15:00:00 0.000 2017-01-25 15:00:00 5.0000
2017-01-25 15:00:00 0.439 2017-01-25 15:00:00 5.4390
2017-01-25 15:00:00 0.000 2017-01-25 15:00:00 5.0000
2017-01-25 15:00:00 1.689 2017-01-25 15:00:00 6.6890
2017-01-25 15:00:00 0.000 2017-01-25 15:00:00 5.0000
2017-01-26 15:00:00 0.000 2017-01-26 15:00:00 5.0000
2017-01-26 15:00:00 0.000 2017-01-26 15:00:00 5.0000
2017-01-26 15:00:00 0.000 2017-01-26 15:00:00 5.0000
2017-01-26 15:00:00 3.738 2017-01-26 15:00:00 8.7380
2017-01-26 15:00:00 2.340 2017-01-26 15:00:00 7.3400
2017-01-26 15:00:00 0.000 2017-01-26 15:00:00 5.0000
[109 rows x 12 columns]}}
In [1]:
%load_ext rqalpha
WARNING: better_exceptions will only inspect code from the command line
when using: `python -m better_exceptions'. Otherwise, only code
loaded from files will be inspected!
In [3]:
%rqalpha -s 20170101 -e 20170131 --config ../config.yml -f ./testStrategy.ipynb -p
Content source: xclxxl414/rqalpha
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