Paired trading

来源：https://uqer.io/community/share/54895a8df9f06c31c3950ca0

配对交易

策略思路

寻找走势相关且股价相近的一对股票，根据其价格变动买卖

策略实现

历史前五日的Pearson相关系数若大于给定的阈值则触发买卖操作

from scipy.stats.statsimport pearsonrstart = datetime(2013,1,1)end   = datetime(2014,12,1)benchmark ='HS300'universe = ['000559.XSHE','600126.XSHG']capital_base =1e6 corlen =5definitialize(account):    add_history('hist', corlen)    account.cutoff =0.9    account.prev_prc1 =0    account.prev_prc2 =0    account.prev_prcb =0defhandle_data(account, data):    stk1 = universe[0]    stk2 = universe[1]    prc1 = data[stk1]['closePrice']    prc2 = data[stk2]['closePrice']    prcb = data['HS300']['return']    px1 = account.hist[stk1]['closePrice'].values    px2 = account.hist[stk2]['closePrice'].values    pxb = account.hist['HS300']['return'].values    corval, pval = pearsonr(px1, px2)    mov1, mov2 = adj(prc1, prc2, prcb, account.prev_prc1, account.prev_prc2, account.prev_prcb)    amount =1e4 / prc2if (mov1 >0)and (abs(corval) > account.cutoff):        order(stk2, amount)elif (mov1 <0)and (abs(corval) > account.cutoff):if (account.position.stkpos.get(stk2,0) > amount):            order(stk2, -amount)else:            order_to(stk2,0)    amount =1e4 / prc1if (mov2 >0)and (abs(corval) > account.cutoff):        order(stk1, amount)elif (mov2 <0)and (abs(corval) > account.cutoff):if (account.position.stkpos.get(stk1,0) > amount):            order(stk1, -amount)else:            order_to(stk1,0)    account.prev_prc1 = prc1    account.prev_prc2 = prc2    account.prev_prcb = prcbdefdmv(curr, prev):    delta = curr / prev -1return deltadefadj(x, y, base, prev_x, prev_y, prev_base):    dhs = dmv(base, prev_base)    dx = dmv(x, prev_x) - dhs    dy = dmv(y, prev_y) - dhsreturn (dx, dy)

min(bt.cash)232096.85369499651

import pandasas pdimport numpyas npfrom datetimeimport datetimeimport quartzimport quartz.backtestas qbimport quartz.performanceas qpfrom quartz.apiimport *from scipy.stats.statsimport pearsonrstart = datetime(2013,1,1)# 回测起始时间end   = datetime(2014,12,1)# 回测结束时间benchmark ='HS300'# 使用沪深 300 作为参考标准capital_base =1e6# 起始资金corlen =5definitialize(account):# 初始化虚拟账户状态    add_history('hist', corlen)    account.cutoff =0.9    account.prev_prc1 =0    account.prev_prc2 =0    account.prev_prcb =0defhandle_data(account, data):# 每个交易日的买入卖出指令    stk1 = universe[0]    stk2 = universe[1]    prc1 = data[stk1]['closePrice']    prc2 = data[stk2]['closePrice']    prcb = data['HS300']['return']    px1 = account.hist[stk1]['closePrice'].values    px2 = account.hist[stk2]['closePrice'].values    pxb = account.hist['HS300']['return'].values    corval, pval = pearsonr(px1, px2)    mov1, mov2 = adj(prc1, prc2, prcb, account.prev_prc1, account.prev_prc2, account.prev_prcb)#amount = int( 0.08 * capital_base / prc2)    amount =1e4 / prc2if (mov1 >0)and (abs(corval) > account.cutoff):        order(stk2, amount)elif (mov1 <0)and (abs(corval) > account.cutoff):if (account.position.stkpos.get(stk2,0) > amount):            order(stk2, -amount)else:            order_to(stk2,0)#amount = int(0.08 * capital_base / prc1)    amount =1e4 / prc1if (mov2 >0)and (abs(corval) > account.cutoff):        order(stk1, amount)elif (mov2 <0)and (abs(corval) > account.cutoff):if (account.position.stkpos.get(stk1,0) > amount):            order(stk1, -amount)else:            order_to(stk1,0)    account.prev_prc1 = prc1    account.prev_prc2 = prc2    account.prev_prcb = prcbdefdmv(curr, prev):    delta = curr / prev -1return deltadefadj(x, y, base, prev_x, prev_y, prev_base):    dhs = dmv(base, prev_base)    dx = dmv(x, prev_x) - dhs    dy = dmv(y, prev_y) - dhsreturn (dx, dy)pool_raw = pd.read_csv("po.pair.2012.csv")pool = []for iin range(len(pool_raw)):    s1, s2 = pool_raw.loc[i].tolist()if [s2, s1]notin pool:        pool.append([s1, s2])outfile = []for i, universein enumerate(pool):print itry:        bt = qb.backtest(start, end, benchmark, universe, capital_base, initialize = initialize, handle_data = handle_data)        perf = qp.perf_parse(bt)        outfile.append(universe + [perf["annualized_return"], perf["sharpe"]])except:pass    keys = ['stock1','stock2','annualized_return','sharpe']outdict = {}outfile =  zip(*sorted(outfile, key=lambda x:x[2], reverse=True))for i,kin enumerate(keys):    outdict[k] = outfile[i]outdict = pd.DataFrame(outdict).loc[:, keys]outdict['000066.XSHE','000707.XSHE']['000066.XSHE','600117.XSHG']['000066.XSHE','600126.XSHG']['000066.XSHE','600819.XSHG']['000089.XSHE','600035.XSHG']['000089.XSHE','600037.XSHG']['000089.XSHE','600595.XSHG']['000159.XSHE','000967.XSHE']['000159.XSHE','600595.XSHG']['000417.XSHE','000541.XSHE']['000417.XSHE','000685.XSHE']['000417.XSHE','600875.XSHG']['000425.XSHE','000528.XSHE']['000507.XSHE','600391.XSHG']['000541.XSHE','000987.XSHE']['000541.XSHE','600330.XSHG']['000541.XSHE','600883.XSHG']['000554.XSHE','000707.XSHE']['000559.XSHE','600026.XSHG']['000559.XSHE','600126.XSHG']['000559.XSHE','600477.XSHG']['000559.XSHE','600581.XSHG']['000559.XSHE','601666.XSHG']['000635.XSHE','000707.XSHE']['000635.XSHE','600068.XSHG']['000635.XSHE','600117.XSHG']['000635.XSHE','600188.XSHG']['000635.XSHE','600295.XSHG']['000635.XSHE','600550.XSHG']['000635.XSHE','600819.XSHG']['000635.XSHE','601168.XSHG']['000635.XSHE','601233.XSHG']['000650.XSHE','600261.XSHG']['000683.XSHE','000936.XSHE']['000683.XSHE','600595.XSHG']['000685.XSHE','000988.XSHE']['000685.XSHE','601101.XSHG']['000698.XSHE','000949.XSHE']['000707.XSHE','000911.XSHE']['000707.XSHE','000969.XSHE']['000707.XSHE','000987.XSHE']['000707.XSHE','600117.XSHG']['000707.XSHE','600295.XSHG']['000707.XSHE','600550.XSHG']['000707.XSHE','600831.XSHG']['000707.XSHE','601168.XSHG']['000707.XSHE','601233.XSHG']['000708.XSHE','600327.XSHG']['000709.XSHE','601107.XSHG']['000709.XSHE','601618.XSHG']['000717.XSHE','600282.XSHG']['000717.XSHE','600307.XSHG']['000717.XSHE','600808.XSHG']['000761.XSHE','600320.XSHG']['000761.XSHE','600548.XSHG']['000822.XSHE','600117.XSHG']['000830.XSHE','600068.XSHG']['000830.XSHE','600320.XSHG']['000830.XSHE','600550.XSHG']['000877.XSHE','601519.XSHG']['000898.XSHE','600022.XSHG']['000898.XSHE','600808.XSHG']['000911.XSHE','600550.XSHG']['000916.XSHE','600033.XSHG']['000916.XSHE','600035.XSHG']['000916.XSHE','600126.XSHG']['000930.XSHE','600026.XSHG']['000932.XSHE','600569.XSHG']['000933.XSHE','600348.XSHG']['000933.XSHE','600595.XSHG']['000936.XSHE','600477.XSHG']['000937.XSHE','600348.XSHG']['000937.XSHE','600508.XSHG']['000937.XSHE','600997.XSHG']['000937.XSHE','601001.XSHG']['000939.XSHE','600819.XSHG']['000967.XSHE','600879.XSHG']['000969.XSHE','600831.XSHG']['000973.XSHE','600460.XSHG']['000987.XSHE','600636.XSHG']['000987.XSHE','600827.XSHG']['000987.XSHE','601001.XSHG']['600008.XSHG','600035.XSHG']['600012.XSHG','600428.XSHG']['600020.XSHG','600033.XSHG']['600020.XSHG','600035.XSHG']['600026.XSHG','600068.XSHG']['600026.XSHG','600089.XSHG']['600026.XSHG','600126.XSHG']['600026.XSHG','600307.XSHG']['600026.XSHG','600331.XSHG']['600026.XSHG','600375.XSHG']['600026.XSHG','600581.XSHG']['600026.XSHG','600963.XSHG']['600026.XSHG','601666.XSHG']['600026.XSHG','601898.XSHG']['600033.XSHG','600035.XSHG']['600035.XSHG','600126.XSHG']['600035.XSHG','600269.XSHG']['600035.XSHG','600307.XSHG']['600035.XSHG','600586.XSHG']['600037.XSHG','600327.XSHG']['600068.XSHG','600126.XSHG']['600068.XSHG','600269.XSHG']['600068.XSHG','600320.XSHG']['600068.XSHG','600550.XSHG']['600068.XSHG','601001.XSHG']['600068.XSHG','601666.XSHG']['600089.XSHG','600581.XSHG']['600100.XSHG','600117.XSHG']['600117.XSHG','600295.XSHG']['600117.XSHG','600339.XSHG']['600117.XSHG','601168.XSHG']['600117.XSHG','601233.XSHG']['600126.XSHG','600282.XSHG']['600126.XSHG','600327.XSHG']['600126.XSHG','600569.XSHG']['600126.XSHG','600581.XSHG']['600126.XSHG','600808.XSHG']['600126.XSHG','600963.XSHG']['600160.XSHG','600449.XSHG']['600160.XSHG','601216.XSHG']['600160.XSHG','601311.XSHG']['600188.XSHG','600295.XSHG']['600188.XSHG','601001.XSHG']['600231.XSHG','600282.XSHG']['600269.XSHG','601618.XSHG']['600282.XSHG','600307.XSHG']['600282.XSHG','600569.XSHG']['600282.XSHG','600808.XSHG']['600282.XSHG','600963.XSHG']['600307.XSHG','600581.XSHG']['600307.XSHG','600808.XSHG']['600307.XSHG','600963.XSHG']['600320.XSHG','600548.XSHG']['600320.XSHG','601600.XSHG']['600330.XSHG','600883.XSHG']['600330.XSHG','601268.XSHG']['600331.XSHG','600581.XSHG']['600348.XSHG','600508.XSHG']['600348.XSHG','600997.XSHG']['600348.XSHG','601001.XSHG']['600368.XSHG','600527.XSHG']['600375.XSHG','600581.XSHG']['600391.XSHG','601100.XSHG']['600449.XSHG','601311.XSHG']['600449.XSHG','601519.XSHG']['600460.XSHG','601908.XSHG']['600477.XSHG','600581.XSHG']['600508.XSHG','600546.XSHG']['600508.XSHG','600997.XSHG']['600522.XSHG','600973.XSHG']['600550.XSHG','600831.XSHG']['600569.XSHG','600808.XSHG']['600569.XSHG','600963.XSHG']['600581.XSHG','600963.XSHG']['600581.XSHG','601001.XSHG']['600581.XSHG','601168.XSHG']['600581.XSHG','601666.XSHG']['600586.XSHG','601268.XSHG']['600595.XSHG','601001.XSHG']['600595.XSHG','601168.XSHG']['600595.XSHG','601666.XSHG']['600688.XSHG','600871.XSHG']['600785.XSHG','600827.XSHG']['600808.XSHG','600963.XSHG']['600827.XSHG','601001.XSHG']['600875.XSHG','601001.XSHG']['600883.XSHG','601268.XSHG']['601001.XSHG','601101.XSHG']['601001.XSHG','601168.XSHG']['601001.XSHG','601666.XSHG']['601101.XSHG','601666.XSHG']['601168.XSHG','601666.XSHG']

174 rows × 4 columns

a = list(outfile[2])'percentage of outperform HS300: %f' % (1.*len([xfor xin aif x>0.117]) / len(a))'percentage of outperform HS300: 0.741379'