回測(引用外部 data)
線上連結¶
初始化，設定回測股票代碼、時間區間
import numpy as np
import pandas as pd
from FinMind import strategies
from FinMind.data import DataLoader
from FinMind.strategies.base import Strategy
from ta.momentum import StochasticOscillator
data_loader = DataLoader()
# data_loader.login_by_token(api_token='token') # 可選
obj = strategies.BackTest(
stock_id="0056",
start_date="2018-01-01",
end_date="2019-01-01",
trader_fund=500000.0,
fee=0.001425,
data_loader=data_loader,
)
obj.stock_price
將會用以下 data 計算回測
date stock_id Trading_Volume Trading_money open max min close spread Trading_turnover CashEarningsDistribution StockEarningsDistribution
0 2018-01-02 2330 18055269 4188555408 231.5 232.5 231.0 232.5 3.0 9954.0 0.0 0.0
1 2018-01-03 2330 31706091 7504382512 236.0 238.0 235.5 237.0 4.5 13633.0 0.0 0.0
2 2018-01-04 2330 29179613 6963192636 240.0 240.0 236.5 239.5 2.5 10953.0 0.0 0.0
3 2018-01-05 2330 23721255 5681934695 240.0 240.0 238.0 240.0 0.5 8659.0 0.0 0.0
4 2018-01-08 2330 21846692 5281823362 242.0 242.5 240.5 242.0 2.0 10251.0 0.0 0.0
.. ... ... ... ... ... ... ... ... ... ... ... ...
729 2020-12-25 2330 12581145 6449612552 514.0 515.0 510.0 511.0 1.0 14988.0 0.0 0.0
730 2020-12-28 2330 19262886 9890545245 512.0 515.0 509.0 515.0 4.0 16673.0 0.0 0.0
731 2020-12-29 2330 20151736 10370562545 515.0 517.0 513.0 515.0 0.0 17186.0 0.0 0.0
732 2020-12-30 2330 46705107 24306881615 516.0 525.0 514.0 525.0 10.0 33173.0 0.0 0.0
733 2020-12-31 2330 30326332 15989936054 526.0 530.0 524.0 530.0 5.0 25134.0 0.0 0.0
設計策略
class ShortSaleMarginPurchaseRatio(Strategy):
"""
summary:
策略概念: 券資比越高代表散戶看空，法人買超股票會上漲，這時候賣可以跟大部分散戶進行相反的操作，反之亦然
策略規則: 券資比>=30% 且法人買超股票, 賣
券資比<30% 且法人賣超股票 買
"""
ShortSaleMarginPurchaseTodayRatioThreshold = 0.3
def load_taiwan_stock_margin_purchase_short_sale(self):
self.TaiwanStockMarginPurchaseShortSale = (
self.data_loader.taiwan_stock_margin_purchase_short_sale(
stock_id=self.stock_id,
start_date=self.start_date,
end_date=self.end_date,
)
)
self.TaiwanStockMarginPurchaseShortSale[
["ShortSaleTodayBalance", "MarginPurchaseTodayBalance"]
] = self.TaiwanStockMarginPurchaseShortSale[
["ShortSaleTodayBalance", "MarginPurchaseTodayBalance"]
].astype(
int
)
self.TaiwanStockMarginPurchaseShortSale[
"ShortSaleMarginPurchaseTodayRatio"
] = (
self.TaiwanStockMarginPurchaseShortSale["ShortSaleTodayBalance"]
/ self.TaiwanStockMarginPurchaseShortSale[
"MarginPurchaseTodayBalance"
]
)
def load_institutional_investors_buy_sell(self):
self.InstitutionalInvestorsBuySell = (
self.data_loader.taiwan_stock_institutional_investors(
stock_id=self.stock_id,
start_date=self.start_date,
end_date=self.end_date,
)
)
self.InstitutionalInvestorsBuySell[["sell", "buy"]] = (
self.InstitutionalInvestorsBuySell[["sell", "buy"]]
.fillna(0)
.astype(int)
)
self.InstitutionalInvestorsBuySell = (
self.InstitutionalInvestorsBuySell.groupby(
["date", "stock_id"], as_index=False
).agg({"buy": np.sum, "sell": np.sum})
)
self.InstitutionalInvestorsBuySell["diff"] = (
self.InstitutionalInvestorsBuySell["buy"]
- self.InstitutionalInvestorsBuySell["sell"]
)
def create_trade_sign(self, stock_price: pd.DataFrame) -> pd.DataFrame:
stock_price = stock_price.sort_values("date")
self.load_taiwan_stock_margin_purchase_short_sale()
self.load_institutional_investors_buy_sell()
stock_price = pd.merge(
stock_price,
self.InstitutionalInvestorsBuySell[["stock_id", "date", "diff"]],
on=["stock_id", "date"],
how="left",
).fillna(0)
stock_price = pd.merge(
stock_price,
self.TaiwanStockMarginPurchaseShortSale[
["stock_id", "date", "ShortSaleMarginPurchaseTodayRatio"]
],
on=["stock_id", "date"],
how="left",
).fillna(0)
stock_price.index = range(len(stock_price))
stock_price["signal"] = 0
sell_mask = (
stock_price["ShortSaleMarginPurchaseTodayRatio"]
>= self.ShortSaleMarginPurchaseTodayRatioThreshold
) & (stock_price["diff"] > 0)
stock_price.loc[sell_mask, "signal"] = -1
buy_mask = (
stock_price["ShortSaleMarginPurchaseTodayRatio"]
< self.ShortSaleMarginPurchaseTodayRatioThreshold
) & (stock_price["diff"] < 0)
stock_price.loc[buy_mask, "signal"] = 1
return stock_price
output
output
stock_id date EverytimeProfit RealizedProfit UnrealizedProfit board_lot hold_cost hold_volume signal tax fee trade_price trader_fund
0 2330 2018-01-03 0.00 0.00 0.00 1000 0.0000 0 0 0.003 0.001425 236.0 500000.000
1 2330 2018-01-04 0.00 0.00 0.00 1000 0.0000 0 0 0.003 0.001425 240.0 500000.000
2 2330 2018-01-05 0.00 0.00 0.00 1000 0.0000 0 0 0.003 0.001425 240.0 500000.000
3 2330 2018-01-08 0.00 0.00 0.00 1000 0.0000 0 -1 0.003 0.001425 242.0 500000.000
4 2330 2018-01-09 0.00 0.00 0.00 1000 0.0000 0 -1 0.003 0.001425 242.0 500000.000
.. ... ... ... ... ... ... ... ... ... ... ... ... ...
728 2330 2020-12-25 692703.01 160992.91 531710.10 1000 245.8705 2000 0 0.003 0.001425 514.0 47251.925
729 2330 2020-12-28 688720.71 160992.91 527727.80 1000 245.8705 2000 0 0.003 0.001425 512.0 47251.925
730 2330 2020-12-29 694694.16 160992.91 533701.25 1000 245.8705 2000 0 0.003 0.001425 515.0 47251.925
731 2330 2020-12-30 696685.31 160992.91 535692.40 1000 245.8705 2000 0 0.003 0.001425 516.0 47251.925
732 2330 2020-12-31 716596.81 160992.91 555603.90 1000 245.8705 2000 0 0.003 0.001425 526.0 47251.925
