From c2da9a76e63df6367123d327bb129ccd0f049010 Mon Sep 17 00:00:00 2001 From: aaron yang Date: Thu, 9 Nov 2023 09:20:26 +0800 Subject: [PATCH] =?UTF-8?q?=E2=9C=A8=20feat:=202.0.0.a77?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit * strategy增加lifecycle * 保留最后一个回测周期仅供交易使用，不调用`predict` * Security获取股票列表时，如果不调用`types`，将获取股票列表，调用`types()`不传参数将获取带指数、股票的列表。 --- HISTORY.md | 4 + docs/_static/strategy_lifecycle.drawio | 98 + docs/usage.md | 10 +- omicron/models/security.py | 25 +- omicron/plotting/metrics.py | 3 +- omicron/strategy/base.py | 145 +- omicron/strategy/sma.py | 34 +- poetry.lock | 2898 +++++++++++++----------- pyproject.toml | 6 +- tests/strategy/test_strategy.py | 80 +- 10 files changed, 1985 insertions(+), 1318 deletions(-) create mode 100644 docs/_static/strategy_lifecycle.drawio diff --git a/HISTORY.md b/HISTORY.md index 1ae5c52..89b94ad 100644 --- a/HISTORY.md +++ b/HISTORY.md @@ -1,5 +1,9 @@ # History +## 2.0.0-alpha77 +* 增加lifecycle +* 保留最后一个回测周期仅供交易使用，不调用`predict` +* Security获取股票列表时，如果不调用`types`，将获取股票列表，调用`types()`不传参数将获取带指数、股票的列表。 ## 2.0.0-alpha76 * 增加backtestlog模块，用于输出回测日志时，将时间替换为回测时间 * 增加行情预取功能 diff --git a/docs/_static/strategy_lifecycle.drawio b/docs/_static/strategy_lifecycle.drawio new file mode 100644 index 0000000..6264463 --- /dev/null +++ b/docs/_static/strategy_lifecycle.drawio @@ -0,0 +1,98 @@ + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + diff --git a/docs/usage.md b/docs/usage.md index c70edae..cd5e534 100644 --- a/docs/usage.md +++ b/docs/usage.md @@ -268,7 +268,7 @@ Board.init('192.168.100.101') omicron 通过 [strategy](/api/strategy) 来提供策略框架。通过该框架编写的策略，可以在实盘和回测之间无缝转换 -- 根据初始化时传入的服务器不同而自动切换。 -omicron 提供了一个简单的 [双均线策略](/api/strategy/#omicron.strategy.sma) 作为策略编写的示范，可结合其源码，以及本文档中的[完整策略示例](/usage/#完整sma回测示例)在notebook中运行查看。 +omicron 提供了一个简单的 [双均线策略](/latest/api/strategy/#omicron.strategy.sma) 作为策略编写的示范，可结合其源码，以及本文档中的[完整策略示例](/latest/usage/#完整sma回测示例)在notebook中运行查看。 策略框架提供了回测驱动逻辑及一些基本函数。要编写自己的策略，您需要从基类[BaseStrategy](/api/strategy/#omicron.strategy.base.BaseStrategy)派生出自己的子类，并改写它的`predict`方法来实现调仓换股。 @@ -284,8 +284,8 @@ omicron 提供了一个简单的 [双均线策略](/api/strategy/#omicron.strate 1. 从此基类派生出一个策略子类，比如sma.py 2. 子类需要重载`predict`方法，根据当前传入的时间帧和帧类型参数，获取数据并进行处理，评估出交易信号。 3. 子类根据交易信号，在`predict`方法里，调用基类的`buy`和`sell`方法来进行交易 -4. 生成策略实例，通过实例调用`backtest`方法来进行回测，该方法将根据策略构建时指定的回测起始时间、终止时间、帧类型，逐帧生成各个时间帧，并调用子类的`predict`方法。如果调用时指定了`portfolio`和`min_bars`参数，`backtest`还将进行数据预取，并将截止到当前回测帧时的数据传入。 -4. 在交易结束时，调用`plot_metrics`方法来获取如下所示的回测指标图 +4. 生成策略实例，通过实例调用`backtest`方法来进行回测，该方法将根据策略构建时指定的回测起始时间、终止时间、帧类型，逐帧生成各个时间帧，并调用子类的`predict`方法。如果调用时指定了`prefetch_stocks`参数，`backtest`还将进行数据预取（预取的数据长度由`warmup_peroid`决定），并将截止到当前回测帧时的数据传入。 +5. 在交易结束时，调用`plot_metrics`方法来获取如下所示的回测指标图 ![](https://images.jieyu.ai/images/2023/05/20230508160012.png?2) 如何派生子类，可以参考[sma][omicron.strategy.sma.SMAStrategy]源代码。 @@ -301,7 +301,7 @@ sma = SMAStrategy( frame_type=FrameType.DAY, ) -await sma.backtest(portfolio=["600000.XSHG", min_bars=20]) +await sma.backtest(prefetch_stocks=["600000.XSHG", min_bars=20]) ``` 在回测时，必须要指定`is_backtest=True`和`start`, `end`参数。 ### 3.2. 回测报告 @@ -346,7 +346,7 @@ await sma.plot_metrics(indicator) 在回测中，可以使用主周期的数据预取，以加快回测速度。工作原理如下： -如果策略在调用`backtest`时传入了`portfolio`及`min_bars`参数，则`backtest`将会在回测之前，预取从[start - min_bars * frame_type, end]间的portfolio行情数据，并在每次调用`predict`方法时，通过`barss`参数，将[start - min_bars * frame_type, start + i * frame_type]间的数据传给`predict`方法。传入的数据已进行前复权。 +如果策略在调用`backtest`时传入了`prefetch_stocks`及`min_bars`参数，则`backtest`将会在回测之前，预取从[start - min_bars * frame_type, end]间的portfolio行情数据，并在每次调用`predict`方法时，通过`barss`参数，将[start - min_bars * frame_type, start + i * frame_type]间的数据传给`predict`方法。传入的数据已进行前复权。 如果在回测过程中，需要偷看未来数据，可以使用peek方法。 diff --git a/omicron/models/security.py b/omicron/models/security.py index ad5871a..b4395d5 100644 --- a/omicron/models/security.py +++ b/omicron/models/security.py @@ -127,6 +127,8 @@ def include_exit(self) -> "Query": def types(self, types: List[str]) -> "Query": """选择类型在`types`中的证券品种 + 如果不调用此方法，默认选择所有股票类型。 + 如果调用此方法但不传入参数，默认选择指数+股票 Args: types: 有效的类型包括: 对股票指数而言是（'index', 'stock'），对基金而言则是（'etf', 'fjb', 'mmf', 'reits', 'fja', 'fjm', 'lof'） """ @@ -219,6 +221,7 @@ async def eval(self) -> List[str]: return None results = [] + self._type_pattern = self._type_pattern or SecurityType.STOCK.value for record in records: if self._type_pattern is not None: if record["type"] not in self._type_pattern: @@ -232,27 +235,37 @@ async def eval(self) -> List[str]: # 创业板，科创板，ST暂时限定为股票类型 if self._only_cyb: - if record["type"] != "stock" or not ( + if record["type"] != SecurityType.STOCK.value or not ( record["code"][:3] in ("300", "301") ): continue if self._only_kcb: if ( - record["type"] != "stock" + record["type"] != SecurityType.STOCK.value or record["code"].startswith("688") is False ): continue if self._only_st: - if record["type"] != "stock" or record["alias"].find("ST") == -1: + if ( + record["type"] != SecurityType.STOCK.value + or record["alias"].find("ST") == -1 + ): continue if self._exclude_cyb: - if record["type"] == "stock" and record["code"][:3] in ("300", "301"): + if record["type"] == SecurityType.STOCK.value and record["code"][ + :3 + ] in ("300", "301"): continue if self._exclude_st: - if record["type"] == "stock" and record["alias"].find("ST") != -1: + if ( + record["type"] == SecurityType.STOCK.value + and record["alias"].find("ST") != -1 + ): continue if self._exclude_kcb: - if record["type"] == "stock" and record["code"].startswith("688"): + if record["type"] == SecurityType.STOCK.value and record[ + "code" + ].startswith("688"): continue # 退市暂不限定是否为股票 diff --git a/omicron/plotting/metrics.py b/omicron/plotting/metrics.py index a77293c..ee07b7b 100644 --- a/omicron/plotting/metrics.py +++ b/omicron/plotting/metrics.py @@ -62,7 +62,8 @@ def __init__( if indicator is not None: self.indicator = indicator.join( - pd.Series(index=self.frames, name="frames"), how="right" + pd.Series(index=self.frames, name="frames", dtype=np.float64), + how="right", ) else: self.indicator = None diff --git a/omicron/strategy/base.py b/omicron/strategy/base.py index 3a369e9..a3970c1 100644 --- a/omicron/strategy/base.py +++ b/omicron/strategy/base.py @@ -1,5 +1,4 @@ import datetime -import logging import uuid from asyncio import gather from dataclasses import dataclass @@ -8,8 +7,9 @@ import jqdatasdk as jq import numpy as np import pandas as pd +import traderclient from coretypes import BarsArray, Frame, FrameType -from numpy.typing import NDArray +from deprecation import deprecated from traderclient import TraderClient from omicron import tf @@ -27,6 +27,8 @@ class BacktestState(object): end: Frame barss: Union[None, Dict[str, BarsArray]] cursor: int + warmup_peroid: int + baseline: str = "399300.XSHE" class BaseStrategy: @@ -41,7 +43,7 @@ def __init__( start: Optional[Frame] = None, end: Optional[Frame] = None, frame_type: Optional[FrameType] = None, - baseline: Optional[str] = "399300.XSHE", + warmup_period: int = 0, ): """构造函数 @@ -57,7 +59,7 @@ def __init__( start: 如果是回测模式，则需要提供回测起始时间 end: 如果是回测模式，则需要提供回测结束时间 frame_type: 如果是回测模式，则需要提供回测时使用的主周期 - baseline: 如果是回测模式，则可以提供此参数作为回测基准 + warmup_period: 策略执行时需要的最小bar数（以frame_type）计。 """ self.ver = ver or "0.1" self.name = name or self.__class__.__name__.lower() + f"_v{self.ver}" @@ -66,14 +68,17 @@ def __init__( self.account = account or f"smallcap-{self.token[-4:]}" self.url = url + self.bills = None + self.metrics = None + # used by both live and backtest + self.warmup_period = warmup_period + self.is_backtest = is_backtest if is_backtest: if start is None or end is None or frame_type is None: raise ValueError("start, end and frame_type must be presented.") - self.bs = BacktestState(start, end, None, 0) - self.bills = None - self.metrics = None + self.bs = BacktestState(start, end, None, 0, warmup_period) self._frame_type = frame_type self.broker = TraderClient( url, @@ -83,7 +88,6 @@ def __init__( start=self.bs.start, end=self.bs.end, ) - self._baseline = baseline else: if account is None or token is None: raise ValueError("account and token must be presented.") @@ -108,7 +112,10 @@ def _next(self): return None self.bs.cursor += 1 - return {k: Stock.qfq(v[: self.bs.cursor]) for (k, v) in self.bs.barss.items()} + return { + k: Stock.qfq(v[self.bs.cursor - self.bs.warmup_peroid : self.bs.cursor]) + for (k, v) in self.bs.barss.items() + } async def peek(self, code: str, n: int): """允许策略偷看未来数据 @@ -133,35 +140,57 @@ async def backtest(self, stop_on_error: bool = True, **kwargs): Args: stop_on_error: 如果为True，则发生异常时，将停止回测。否则忽略错误，继续执行。 Keyword Args: - portfolio Dict[str, BarsArray]: 代码列表。在该列表中的品种，将在回测之前自动预取行情数据，并在调用predict时，传入截止到当前frame的，长度为n的行情数据。行情周期由构造时的frame_type指定 - min_bars int: 回测时必要的bars的最小值 + prefetch_stocks Dict[str, BarsArray]: 代码列表。在该列表中的品种，将在回测之前自动预取行情数据，并在调用predict时，传入截止到当前frame的，长度为n的行情数据。行情周期由构造时的frame_type指定。预取数据长度由`self.warmup_period`决定 """ - portfolio: List[str] = kwargs.get("portfolio") # type: ignore - n = kwargs.get("min_bars", 0) - await self._cache_bars_for_backtest(portfolio, n) - self.bs.cursor = n + prefetch_stocks: List[str] = kwargs.get("prefetch_stocks") # type: ignore + await self._cache_bars_for_backtest(prefetch_stocks, self.warmup_period) + self.bs.cursor = self.warmup_period - converter = ( - tf.int2date if self._frame_type in tf.day_level_frames else tf.int2time - ) + intra_day = self._frame_type in tf.minute_level_frames + converter = tf.int2time if intra_day else tf.int2date + + await self.before_start() + # 最后一周期不做预测，留出来执行上一周期的信号 + end_ = tf.shift(self.bs.end, -1, self._frame_type) for i, frame in enumerate( - tf.get_frames(self.bs.start, self.bs.end, self._frame_type) # type: ignore + tf.get_frames(self.bs.start, end_, self._frame_type) # type: ignore ): barss = self._next() - logger.debug("%sth iteration", i, date=converter(frame)) + frame_ = converter(frame) + + prev_frame = tf.shift(frame_, -1, self._frame_type) + next_frame = tf.shift(frame_, 1, self._frame_type) + + # new trading day start + if (not intra_day and prev_frame > frame_) or ( + intra_day and prev_frame.date() < frame_.date() + ): + await self.before_trade(frame_) + + logger.debug("%sth iteration", i, date=frame_) try: await self.predict( - converter(frame), self._frame_type, i, barss=barss, **kwargs # type: ignore + frame_, self._frame_type, i, barss=barss, **kwargs # type: ignore ) except Exception as e: logger.exception(e) if stop_on_error: raise e + # trading day ends + if (not intra_day and next_frame > frame_) or ( + intra_day and next_frame.date() > frame_.date() + ): + await self.after_trade(frame_) + self.broker.stop_backtest() + + await self.after_stop() self.bills = self.broker.bills() - self.metrics = self.broker.metrics(baseline=self._baseline) + baseline = kwargs.get("baseline", "399300.XSHE") + self.metrics = self.broker.metrics(baseline=baseline) + self.bs.baseline = baseline @property def cash(self): @@ -200,7 +229,7 @@ async def buy( Returns: 见traderclient中的`buy`方法。 """ - logger.info( + logger.debug( "buy order: %s, %s, %s, %s", sec, f"{price:.2f}" if price is not None else None, @@ -208,6 +237,7 @@ async def buy( f"{money:.0f}" if money is not None else None, date=order_time, ) + if vol is None: if money is None: raise ValueError("parameter `mnoey` must be presented!") @@ -240,7 +270,7 @@ async def sell( Returns: Union[List, Dict]: 成交返回，详见traderclient中的`buy`方法，trade server只返回一个委托单信息 """ - logger.info( + logger.debug( "sell order: %s, %s, %s, %s", sec, f"{price:.2f}" if price is not None else None, @@ -273,12 +303,56 @@ async def filter_paused_stock(self, buylist: List[str], dt: datetime.date): return np.intersect1d(buylist, in_trading) + async def before_start(self): + """策略启动前的准备工作。 + + 在一次回测中，它会在backtest中、进入循环之前调用。如果策略需要根据过去的数据来计算一些自适应参数，可以在此方法中实现。 + """ + if self.bs is not None: + logger.info( + "BEFORE_START: %s<%s - %s>", + self.name, + self.bs.start, + self.bs.end, + date=self.bs.start, + ) + else: + logger.info("BEFORE_START: %s", self.name) + + async def before_trade(self, date: datetime.date): + """每日开盘前的准备工作 + + Args: + date: 日期。在回测中为回测当日日期，在实盘中为系统日期 + """ + logger.debug("BEFORE_TRADE: %s", self.name, date=date) + + async def after_trade(self, date: Frame): + """每日收盘后的收尾工作 + + Args: + date: 日期。在回测中为回测当日日期，在实盘中为系统日期 + """ + logger.debug("AFTER_TRADE: %s", self.name, date=date) + + async def after_stop(self): + if self.bs is not None: + logger.info( + "STOP %s<%s - %s>", + self.name, + self.bs.start, + self.bs.end, + date=self.bs.end, + ) + else: + logger.info("STOP %s", self.name) + async def predict( self, frame: Frame, frame_type: FrameType, i: int, - barss: Dict[str, BarsArray], + barss: Optional[Dict[str, BarsArray]] = None, **kwargs, ): """策略评估函数。在此函数中实现交易信号检测和处理。 @@ -293,8 +367,14 @@ async def predict( """ raise NotImplementedError + @deprecated("2.0.0", details="use `make_report` instead") async def plot_metrics( self, indicator: Union[pd.DataFrame, List[Tuple], None] = None + ): + return await self.make_report(indicator) + + async def make_report( + self, indicator: Union[pd.DataFrame, List[Tuple], None] = None ): """策略回测报告 @@ -309,13 +389,10 @@ async def plot_metrics( indicator = pd.DataFrame(indicator, columns=["date", "value"]) indicator.set_index("date", inplace=True) - if self._baseline is not None: - mg = MetricsGraph( - self.bills, - self.metrics, - baseline_code=self._baseline, - indicator=indicator, - ) - else: - mg = MetricsGraph(self.bills, self.metrics, indicator=indicator) + mg = MetricsGraph( + self.bills, + self.metrics, + indicator=indicator, + baseline_code=self.bs.baseline, + ) await mg.plot() diff --git a/omicron/strategy/sma.py b/omicron/strategy/sma.py index 2f9fee2..72b57e7 100644 --- a/omicron/strategy/sma.py +++ b/omicron/strategy/sma.py @@ -1,3 +1,4 @@ +import datetime from typing import Union import numpy as np @@ -21,15 +22,44 @@ def __init__(self, sec: str, n_short: int = 5, n_long: int = 10, *args, **kwargs super().__init__(*args, **kwargs) + async def before_start(self): + date = self.bs.end if self.bs is not None else None + logger.info("before_start, cash is %s", self.cash, date=date) + + async def before_trade(self, date: datetime.date): + logger.info( + "before_trade, cash is %s, portfolio is %s", + self.cash, + self.positions(date), + date=date, + ) + + async def after_trade(self, date: datetime.date): + logger.info( + "after_trade, cash is %s, portfolio is %s", + self.cash, + self.positions(date), + date=date, + ) + + async def after_stop(self): + date = self.bs.end if self.bs is not None else None + logger.info( + "after_stop, cash is %s, portfolio is %s", + self.cash, + self.positions, + date=date, + ) + async def predict( self, frame: Frame, frame_type: FrameType, i: int, barss, **kwargs ): if barss is None: - raise ValueError("please specify `portfolio` and `min_bars`") + raise ValueError("please specify `prefetch_stocks` and `min_bars`") bars: Union[BarsArray, None] = barss.get(self._sec) if bars is None: - raise ValueError(f"{self._sec} not found in `portfolio`") + raise ValueError(f"{self._sec} not found in `prefetch_stocks`") ma_short = np.mean(bars["close"][-self._n_short :]) ma_long = np.mean(bars["close"][-self._n_long :]) diff --git a/poetry.lock b/poetry.lock index 8a42819..b598c33 100644 --- a/poetry.lock +++ b/poetry.lock @@ -2,106 +2,106 @@ [[package]] name = "aiohttp" -version = "3.8.3" +version = "3.8.6" description = "Async http client/server framework (asyncio)" category = "main" optional = false python-versions = ">=3.6" files = [ - {file = "aiohttp-3.8.3-cp310-cp310-macosx_10_9_universal2.whl", hash = "sha256:ba71c9b4dcbb16212f334126cc3d8beb6af377f6703d9dc2d9fb3874fd667ee9"}, - {file = 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tf.day_frames = np.array([tf.date2int(f.item()) for f in self.bars["frame"]]) + # tf.day_frames = np.array([tf.date2int(f.item()) for f in self.bars["frame"]]) return await super().asyncSetUp() - async def get_bars(self, sec, n, frame_type, end): + async def get_bars(self, sec, n, frame_type, end, fq=None): return self.bars[self.bars["frame"] < tf.combine_time(end, 0)][-n:] async def asyncTearDown(self) -> None: @@ -33,9 +65,36 @@ async def asyncTearDown(self) -> None: @mock.patch("omicron.strategy.base.TraderClient") @mock.patch("omicron.strategy.base.BaseStrategy.sell") @mock.patch("omicron.strategy.base.BaseStrategy.buy") - async def test_strategy(self, mc1, mc2, mc3): + async def test_base_strategy(self, mc1, mc2, mc3) -> None: + s = DummyStrategy( + url="", + is_backtest=True, + start=datetime.date(2023, 2, 3), + end=datetime.date(2023, 4, 28), + frame_type=FrameType.DAY, + ) + + with mock.patch.object(omicron.models.stock.Stock, "get_bars", self.get_bars): + await s.backtest(stop_on_error=True) + + s = DummyStrategy( + url="", + is_backtest=True, + start=datetime.datetime(2023, 2, 3, 10), + end=datetime.datetime(2023, 4, 28, 15), + frame_type=FrameType.MIN30, + ) + + with mock.patch.object(omicron.models.stock.Stock, "get_bars", self.get_bars): + await s.backtest(stop_on_error=True) + + @mock.patch("omicron.strategy.base.TraderClient") + @mock.patch("omicron.strategy.base.BaseStrategy.sell") + @mock.patch("omicron.strategy.base.BaseStrategy.buy") + async def test_sma_strategy(self, mc1, mc2, mc3): + code = "600000.XSHG" sma = SMAStrategy( - "600000.XSHG", + code, url="", is_backtest=True, start=datetime.date(2023, 2, 3), @@ -43,6 +102,15 @@ async def test_strategy(self, mc1, mc2, mc3): frame_type=FrameType.DAY, ) + # setup the mock + mc3.return_value.available_shares.return_value = 500 + mc3.return_value.available_money = 1_000_000 + mc3.return_value.positions.return_value = np.array( + [(code, 500)], dtype=[("code", object), ("shares", int)] + ) + mc3.buy = mock.AsyncMock() + mc3.sell = mock.AsyncMock() + # no exception is ok with mock.patch.object(omicron.models.stock.Stock, "get_bars", self.get_bars): - await sma.backtest(stop_on_error=True) + await sma.backtest(stop_on_error=True, portfolio=[code], min_bars=10)