配對交易（搬磚）
阿新 • • 發佈：2019-02-03
首先，歷史前五日的Pearson相關係數若大於給定的閾值。
如果兩隻股票走勢趨同，則按上漲（下跌）趨勢買入（賣出）股票。
如果兩隻股票走勢背離，則買入下跌股票，賣出上漲股票。
首先需要在A股中尋找走勢相關性很大的股票，這是一項很繁複的工作。為簡單起見，這裡直接使用了一個現成的結果：000159和000967在2012年的走勢十分相似，這一點可以通過復權收盤價曲線來驗證。
df = DataAPI.MktEqudAdjGet(secID = '000159.XSHE', field = 'closePrice', beginDate = '20120101', endDate = '20130101')
df['000159'] = df['closePrice']
df = df.loc[:, ['000159']].reset_index()
df2 = DataAPI.MktEqudAdjGet(secID = '000967.XSHE', field = 'closePrice', beginDate = '20120101', endDate = '20130101')
df2['000967'] = df2['closePrice']
df2 = df2.loc[:, ['000967']].reset_index()
df = df.merge(df2, left_on=['index'], right_on=['index'])
df = df.loc[:, ['000159', '000967']]
df.plot() 回測： from scipy.stats.stats import pearsonr start = '2013-01-01'
end = '2014-01-01'
benchmark = 'HS300'
universe = ['000159.XSHE', '000967.XSHE']
capital_base = 1000000 def initialize(account):
account.cutoff = 0.9
account.prev_prc1 = 0
account.prev_prc2 = 0
account.prev_prcb = 0 def handle_data(account):
if len(account.universe) < 2: return
clsp = account.get_attribute_history('closePrice', 5)
stk1, stk2 = universe
px1, px2 = clsp[stk1], clsp[stk2]
prc1, prc2 = px1[-1], px2[-1]
prcb = account.get_symbol_history('benchmark', 1)['return'][0]
if account.prev_prc1 == 0:
df['000159'] = df['closePrice']
df = df.loc[:, ['000159']].reset_index()
df2 = DataAPI.MktEqudAdjGet(secID = '000967.XSHE', field = 'closePrice', beginDate = '20120101', endDate = '20130101')
df2['000967'] = df2['closePrice']
df2 = df2.loc[:, ['000967']].reset_index()
df = df.merge(df2, left_on=['index'], right_on=['index'])
df = df.loc[:, ['000159', '000967']]
df.plot() 回測： from scipy.stats.stats import pearsonr start = '2013-01-01'
end = '2014-01-01'
benchmark = 'HS300'
universe = ['000159.XSHE', '000967.XSHE']
capital_base = 1000000 def initialize(account):
account.cutoff = 0.9
account.prev_prc1 = 0
account.prev_prc2 = 0
account.prev_prcb = 0 def handle_data(account):
if len(account.universe) < 2: return
clsp = account.get_attribute_history('closePrice', 5)
stk1, stk2 = universe
px1, px2 = clsp[stk1], clsp[stk2]
prc1, prc2 = px1[-1], px2[-1]
prcb = account.get_symbol_history('benchmark', 1)['return'][0]
if account.prev_prc1 == 0: