金融量化分析【day113】：羊驼策略-白红宇

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金融量化分析【day113】：羊驼策略

阅读量：4576 次

发布时间：2019-06-08

本文共 42671 字，大约阅读时间需要 142 分钟。

零、动量策略VS反转策略

1、实现代码

# 导入函数库import jqdataimport pandas as pdimport numpy as npimport datetimeimport math     def initialize(context):        set_option('use_real_price', True)    set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')        g.benchmark = '000300.XSHG'    g.N = 10    set_benchmark(g.benchmark)    run_monthly(handle, 1)    def handle(context):        stock = get_index_stocks('000300.XSHG')    df_close = history(30,field='close',security_list=list(stock)).T    df_close['ret']=(df_close.iloc[:,-1]-df_close.iloc[:,0])/df_close.iloc[:,0]    sorted_stocks = df_close.sort('ret',ascending=True).index    tohold = sorted_stocks[:g.N]    for stock in context.portfolio.positions:        if stock not in tohold:            order_target_value(stock, 0)                 tobuy = [stock for stock in tohold if stock not in context.portfolio.positions]         if len(tobuy) > 0:        print('Buying')        cash = context.portfolio.available_cash / len(tobuy)        cash_every_stock = cash / len(tobuy)        for stock in tobuy:            order_value(stock, cash_every_stock)

2、长线截图

一、羊驼交易法则

二、羊驼交易法则实现代码

import jqdataimport pandas as pddef initialize(context):    set_benchmark('000002.XSHG')    set_option('use_real_price', True)    set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')        g.security = get_index_stocks('000002.XSHG')    g.period = 30    g.N = 10    g.change = 1    g.init = True        run_monthly(handle, 1)    def get_sorted_stocks(context,stocks):    df = history(g.period, field='close', security_list=stocks).T    # print(df)    df['ret'] = (df.iloc[:,len(df.columns)-1] - df.iloc[:,0])/df.iloc[:,0]    df =df.sort(columns='ret', ascending=False)    return df.index.values    def handle(context):    if g.init:        stocks = get_sorted_stocks(context, g.security)[:g.N]        cash =context.portfolio.available_cash * 0.9 / len(stocks)        for stock in stocks:            order_value(stock, cash)        g.init = False        return    stocks = get_sorted_stocks(context, context.portfolio.positions.keys())    for stock in stocks[-g.change:]:        order_target(stock, 0)

三、股灾时期测试

1、编译运行

2、完成输出日志

1 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 300: Order(security=600503.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None)  2   3 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973576 security=600503.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=)  4   5 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973576 security=600503.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300)  6   7 2015-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973576 security=600503.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) trade price: 26.58, amount:300, commission: 5.0  8   9 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973576 security=600503.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 10  11 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 300: Order(security=601608.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 12  13 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973577 security=601608.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 14  15 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973577 security=601608.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 16  17 2015-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973577 security=601608.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) trade price: 25.53, amount:300, commission: 5.0 18  19 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973577 security=601608.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 20  21 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 300: Order(security=600701.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 22  23 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973578 security=600701.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 24  25 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973578 security=600701.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 26  27 2015-06-01 09:30:00 - WARNING - 已经涨停, 市价买单取消: StockOrder(entrust_id=1540973578 security=600701.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 28  29 2015-06-01 09:30:00 - INFO  - 订单取消完成：StockOrder(entrust_id=1540973578 security=600701.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 30  31 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973578 security=600701.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 32  33 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 0: Order(security=603600.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 34  35 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973579 security=603600.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 36  37 2015-06-01 09:30:00 - WARNING - 订单委托失败: StockOrder(entrust_id=1540973579 security=603600.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 0 38 目标数量已经满足, 没有提交委托) 39  40 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 400: Order(security=600293.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 41  42 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973580 security=600293.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 43  44 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973580 security=600293.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 45  46 2015-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973580 security=600293.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) trade price: 20.76, amount:400, commission: 5.0 47  48 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973580 security=600293.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 49  50 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 300: Order(security=600090.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 51  52 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973581 security=600090.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 53  54 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973581 security=600090.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 55  56 2015-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973581 security=600090.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) trade price: 23.61, amount:300, commission: 5.0 57  58 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973581 security=600090.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 300) 59  60 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 500: Order(security=600076.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 61  62 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973582 security=600076.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 63  64 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973582 security=600076.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 500) 65  66 2015-06-01 09:30:00 - WARNING - 已经涨停, 市价买单取消: StockOrder(entrust_id=1540973582 security=600076.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 500) 67  68 2015-06-01 09:30:00 - INFO  - 订单取消完成：StockOrder(entrust_id=1540973582 security=600076.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 500) 69  70 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973582 security=600076.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 500) 71  72 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 200: Order(security=600745.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 73  74 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973583 security=600745.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 75  76 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973583 security=600745.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 200) 77  78 2015-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973583 security=600745.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 200) trade price: 42.1, amount:200, commission: 5.0 79  80 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973583 security=600745.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 200) 81  82 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 400: Order(security=600179.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 83  84 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973584 security=600179.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 85  86 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973584 security=600179.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 87  88 2015-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973584 security=600179.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) trade price: 20.63, amount:400, commission: 5.0 89  90 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973584 security=600179.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 91  92 2015-06-01 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 400: Order(security=601106.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 93  94 2015-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973585 security=601106.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=) 95  96 2015-06-01 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540973585 security=601106.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 97  98 2015-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973585 security=601106.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) trade price: 19.87, amount:400, commission: 5.0 99 100 2015-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973585 security=601106.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2015-06-01 09:30:00 error=开仓数量必须是100的整数倍，调整为 400)101 102 2015-06-29 09:29:00 - INFO  - Security(code=600503.XSHG) 在 2015-06-29 发生了分红：每股税前分红0.004, 税后分红0.0032, 每股变成1.0股。103 104 2015-06-29 09:29:00 - INFO  - 分红前，price=20.66, avg_cost=26.58, acc_avg_cost=26.5966666667, amount=300105 106 2015-06-29 09:29:00 - INFO  - 分红后，price=20.66, avg_cost=26.576, acc_avg_cost=26.5926666667, amount=300107 108 2015-07-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973586 security=600090.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-07-01 09:30:00 error=)109 110 2015-07-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973586 security=600090.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-07-01 09:30:00 error=) trade price: 18.48, amount:300, commission: 10.54111 112 2015-07-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973586 security=600090.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-07-01 09:30:00 error=)113 114 2015-07-16 09:29:00 - INFO  - Security(code=600293.XSHG) 在 2015-07-16 发生了分红：每股税前分红0.013, 税后分红0.0104, 每股变成1.0股。115 116 2015-07-16 09:29:00 - INFO  - 分红前，price=8.16, avg_cost=20.76, acc_avg_cost=20.7725, amount=400117 118 2015-07-16 09:29:00 - INFO  - 分红后，price=8.15, avg_cost=20.747, acc_avg_cost=20.7595, amount=400119 120 2015-07-21 09:29:00 - INFO  - Security(code=601106.XSHG) 在 2015-07-21 发生了分红：每股税前分红0.001, 税后分红0.0008, 每股变成1.0股。121 122 2015-07-21 09:29:00 - INFO  - 分红前，price=11.08, avg_cost=19.87, acc_avg_cost=19.8825, amount=400123 124 2015-07-21 09:29:00 - INFO  - 分红后，price=11.08, avg_cost=19.869, acc_avg_cost=19.8815, amount=400125 126 2015-08-03 09:30:00 - WARNING - 下单失败，证券(600745.XSHG)今日停牌: StockOrder: _locked_cash=0, _commission=0, _hold_cost=0, _order_id=1540973587, _margin=False, _side=long, _amount=200, _action=close, _mode=OrderTargetAmount: _amount=0, _style=MarketOrderStyle, _order_cost=0, _security=Security(code=600745.XSHG), _status=new, _filled_amount=0, _avg_cost=0127 128 2015-08-25 09:29:00 - INFO  - Security(code=601608.XSHG) 在 2015-08-25 发生了分红：每股税前分红0.065, 税后分红0.052, 每股变成1.5股。129 130 2015-08-25 09:29:00 - INFO  - 分红前，price=7.57, avg_cost=25.53, acc_avg_cost=25.5466666667, amount=300131 132 2015-08-25 09:29:00 - INFO  - 分红后，price=5.0, avg_cost=16.9766666667, acc_avg_cost=16.9877777778, amount=450133 134 2015-09-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973588 security=600293.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-09-01 09:30:00 error=)135 136 2015-09-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973588 security=600293.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-09-01 09:30:00 error=) trade price: 7.59, amount:400, commission: 8.04137 138 2015-09-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973588 security=600293.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-09-01 09:30:00 error=)139 140 2015-10-08 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973589 security=600503.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-10-08 09:30:00 error=)141 142 2015-10-08 09:30:00 - INFO  - order StockOrder(entrust_id=1540973589 security=600503.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-10-08 09:30:00 error=) trade price: 9.3, amount:300, commission: 7.79143 144 2015-10-08 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973589 security=600503.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-10-08 09:30:00 error=)145 146 2015-11-02 09:30:00 - WARNING - 下单失败，证券(600745.XSHG)今日停牌: StockOrder: _locked_cash=0, _commission=0, _hold_cost=0, _order_id=1540973590, _margin=False, _side=long, _amount=200, _action=close, _mode=OrderTargetAmount: _amount=0, _style=MarketOrderStyle, _order_cost=0, _security=Security(code=600745.XSHG), _status=new, _filled_amount=0, _avg_cost=0147 148 2015-12-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973591 security=601106.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-12-01 09:30:00 error=)149 150 2015-12-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973591 security=601106.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-12-01 09:30:00 error=) trade price: 8.37, amount:400, commission: 8.35151 152 2015-12-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973591 security=601106.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-12-01 09:30:00 error=)153 154 2016-01-04 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973592 security=601608.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-01-04 09:30:00 error=)155 156 2016-01-04 09:30:00 - INFO  - order StockOrder(entrust_id=1540973592 security=601608.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-01-04 09:30:00 error=) trade price: 6.89, amount:450, commission: 8.1157 158 2016-01-04 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973592 security=601608.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-01-04 09:30:00 error=)159 160 2016-02-01 09:30:00 - WARNING - 下单失败，证券(600745.XSHG)今日停牌: StockOrder: _locked_cash=0, _commission=0, _hold_cost=0, _order_id=1540973593, _margin=False, _side=long, _amount=200, _action=close, _mode=OrderTargetAmount: _amount=0, _style=MarketOrderStyle, _order_cost=0, _security=Security(code=600745.XSHG), _status=new, _filled_amount=0, _avg_cost=0161 162 2016-03-01 09:30:00 - WARNING - 下单失败，证券(600745.XSHG)今日停牌: StockOrder: _locked_cash=0, _commission=0, _hold_cost=0, _order_id=1540973594, _margin=False, _side=long, _amount=200, _action=close, _mode=OrderTargetAmount: _amount=0, _style=MarketOrderStyle, _order_cost=0, _security=Security(code=600745.XSHG), _status=new, _filled_amount=0, _avg_cost=0163 164 2016-04-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973595 security=600179.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-04-01 09:30:00 error=)165 166 2016-04-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973595 security=600179.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-04-01 09:30:00 error=) trade price: 12.73, amount:400, commission: 10.09167 168 2016-04-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973595 security=600179.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-04-01 09:30:00 error=)169 170 2016-05-03 09:30:00 - WARNING - 下单失败，证券(600745.XSHG)今日停牌: StockOrder: _locked_cash=0, _commission=0, _hold_cost=0, _order_id=1540973596, _margin=False, _side=long, _amount=200, _action=close, _mode=OrderTargetAmount: _amount=0, _style=MarketOrderStyle, _order_cost=0, _security=Security(code=600745.XSHG), _status=new, _filled_amount=0, _avg_cost=0171 172 2016-06-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540973597 security=600745.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-06-01 09:30:00 error=)173 174 2016-06-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540973597 security=600745.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-06-01 09:30:00 error=) trade price: 24.73, amount:200, commission: 9.95175 176 2016-06-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540973597 security=600745.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2016-06-01 09:30:00 error=)

输出完整日志

3、运行回测

5、最大回撤

四、非股灾时期测试

1、编译运行

2、完成输出日志

1 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 700: Order(security=600234.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None)  2   3 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974090 security=600234.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=)  4   5 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974090 security=600234.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 700)  6   7 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974090 security=600234.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 700) trade price: 12.06, amount:700, commission: 5.0  8   9 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974090 security=600234.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 700) 10  11 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 1500: Order(security=600317.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 12  13 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974091 security=600317.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 14  15 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974091 security=600317.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1500) 16  17 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974091 security=600317.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1500) trade price: 5.71, amount:1500, commission: 5.0 18  19 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974091 security=600317.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1500) 20  21 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 1800: Order(security=600074.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 22  23 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974092 security=600074.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 24  25 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974092 security=600074.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1800) 26  27 2014-06-03 09:30:00 - WARNING - 已经涨停, 市价买单取消: StockOrder(entrust_id=1540974092 security=600074.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1800) 28  29 2014-06-03 09:30:00 - INFO  - 订单取消完成：StockOrder(entrust_id=1540974092 security=600074.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1800) 30  31 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974092 security=600074.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1800) 32  33 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 1200: Order(security=600876.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 34  35 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974093 security=600876.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 36  37 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974093 security=600876.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1200) 38  39 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974093 security=600876.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1200) trade price: 7.3, amount:1200, commission: 5.0 40  41 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974093 security=600876.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1200) 42  43 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 400: Order(security=600756.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 44  45 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974094 security=600756.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 46  47 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974094 security=600756.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 48  49 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974094 security=600756.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) trade price: 18.96, amount:400, commission: 5.0 50  51 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974094 security=600756.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 52  53 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 500: Order(security=600432.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 54  55 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974095 security=600432.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 56  57 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974095 security=600432.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 500) 58  59 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974095 security=600432.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 500) trade price: 15.37, amount:500, commission: 5.0 60  61 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974095 security=600432.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 500) 62  63 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 700: Order(security=600139.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 64  65 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974096 security=600139.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 66  67 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974096 security=600139.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 700) 68  69 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974096 security=600139.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 700) trade price: 11.38, amount:700, commission: 5.0 70  71 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974096 security=600139.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 700) 72  73 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 1500: Order(security=601001.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 74  75 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974097 security=601001.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 76  77 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974097 security=601001.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1500) 78  79 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974097 security=601001.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1500) trade price: 5.93, amount:1500, commission: 5.0 80  81 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974097 security=601001.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1500) 82  83 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 1100: Order(security=600760.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 84  85 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974098 security=600760.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 86  87 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974098 security=600760.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1100) 88  89 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974098 security=600760.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1100) trade price: 7.77, amount:1100, commission: 5.0 90  91 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974098 security=600760.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 1100) 92  93 2014-06-03 09:30:00 - WARNING - 开仓数量必须是100的整数倍，调整为 400: Order(security=600536.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=None) 94  95 2014-06-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974099 security=600536.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=) 96  97 2014-06-03 09:30:00 - WARNING - 下单检查标的数量: StockOrder(entrust_id=1540974099 security=600536.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) 98  99 2014-06-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974099 security=600536.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 400) trade price: 22.02, amount:400, commission: 5.0100 101 2014-06-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974099 security=600536.XSHG mode=OrderValue: _value=9000.0 style=MarketOrderStyle side=long margin=False entrust_time=2014-06-03 09:30:00 error=开仓数量必须是100的整数倍，调整为 400)102 103 2014-06-16 09:29:00 - INFO  - Security(code=600317.XSHG) 在 2014-06-16 发生了分红：每股税前分红0.529, 税后分红0.4232, 每股变成3.0股。104 105 2014-06-16 09:29:00 - INFO  - 分红前，price=2.49, avg_cost=5.71, acc_avg_cost=5.71333333333, amount=1500106 107 2014-06-16 09:29:00 - INFO  - 分红后，price=0.65, avg_cost=1.727, acc_avg_cost=1.72811111111, amount=4500108 109 2014-07-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974100 security=601001.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-07-01 09:30:00 error=)110 111 2014-07-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540974100 security=601001.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-07-01 09:30:00 error=) trade price: 5.46, amount:1500, commission: 13.19112 113 2014-07-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974100 security=601001.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-07-01 09:30:00 error=)114 115 2014-08-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974101 security=600234.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-08-01 09:30:00 error=)116 117 2014-08-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540974101 security=600234.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-08-01 09:30:00 error=) trade price: 14.28, amount:700, commission: 15.0118 119 2014-08-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974101 security=600234.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-08-01 09:30:00 error=)120 121 2014-09-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974102 security=600139.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-09-01 09:30:00 error=)122 123 2014-09-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540974102 security=600139.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-09-01 09:30:00 error=) trade price: 14.29, amount:700, commission: 15.0124 125 2014-09-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974102 security=600139.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-09-01 09:30:00 error=)126 127 2014-10-08 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974103 security=600756.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-10-08 09:30:00 error=)128 129 2014-10-08 09:30:00 - INFO  - order StockOrder(entrust_id=1540974103 security=600756.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-10-08 09:30:00 error=) trade price: 25.65, amount:400, commission: 15.26130 131 2014-10-08 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974103 security=600756.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-10-08 09:30:00 error=)132 133 2014-11-03 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974104 security=600432.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-11-03 09:30:00 error=)134 135 2014-11-03 09:30:00 - INFO  - order StockOrder(entrust_id=1540974104 security=600432.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-11-03 09:30:00 error=) trade price: 14.48, amount:500, commission: 12.24136 137 2014-11-03 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974104 security=600432.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2014-11-03 09:30:00 error=)138 139 2014-12-01 09:30:00 - WARNING - 下单失败，证券(600760.XSHG)今日停牌: StockOrder: _locked_cash=0, _commission=0, _hold_cost=0, _order_id=1540974105, _margin=False, _side=long, _amount=1100, _action=close, _mode=OrderTargetAmount: _amount=0, _style=MarketOrderStyle, _order_cost=0, _security=Security(code=600760.XSHG), _status=new, _filled_amount=0, _avg_cost=0140 141 2015-01-05 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974106 security=600760.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-01-05 09:30:00 error=)142 143 2015-01-05 09:30:00 - INFO  - order StockOrder(entrust_id=1540974106 security=600760.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-01-05 09:30:00 error=) trade price: 10.7, amount:1100, commission: 16.77144 145 2015-01-05 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974106 security=600760.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-01-05 09:30:00 error=)146 147 2015-02-02 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974107 security=600317.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-02-02 09:30:00 error=)148 149 2015-02-02 09:30:00 - INFO  - order StockOrder(entrust_id=1540974107 security=600317.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-02-02 09:30:00 error=) trade price: 4.75, amount:4500, commission: 27.79150 151 2015-02-02 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974107 security=600317.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-02-02 09:30:00 error=)152 153 2015-03-02 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974108 security=600536.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-03-02 09:30:00 error=)154 155 2015-03-02 09:30:00 - INFO  - order StockOrder(entrust_id=1540974108 security=600536.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-03-02 09:30:00 error=) trade price: 44.3, amount:400, commission: 23.04156 157 2015-03-02 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974108 security=600536.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-03-02 09:30:00 error=)158 159 2015-04-01 09:30:00 - INFO  - 订单已提交: StockOrder(entrust_id=1540974109 security=600876.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-04-01 09:30:00 error=)160 161 2015-04-01 09:30:00 - INFO  - order StockOrder(entrust_id=1540974109 security=600876.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-04-01 09:30:00 error=) trade price: 11.48, amount:1200, commission: 18.78162 163 2015-04-01 09:30:00 - INFO  - 订单已委托: StockOrder(entrust_id=1540974109 security=600876.XSHG mode=OrderTargetAmount: _amount=0 style=MarketOrderStyle side=long margin=False entrust_time=2015-04-01 09:30:00 error=)

输出完整日志

3、运行回测

5、最大回撤

五、报错

1、测试前超过一年

1、错误信息

Traceback (most recent call last):  File "jqboson/core/entry.py", line 356, in _run    engine.start()  File "jqboson/core/engine.py", line 224, in start    self._dispatcher.start()  File "jqboson/core/dispatcher.py", line 223, in start    self._run_loop()  File "jqboson/core/dispatcher.py", line 190, in _run_loop    self._loop.run()  File "jqboson/core/loop/loop.py", line 73, in run    self._handle_queue()  File "jqboson/core/loop/loop.py", line 103, in _handle_queue    message.callback(**message.callback_data)  File "jqboson/core/dispatcher.py", line 103, in callback    self._event_bus.emit(evt)  File "jqboson/core/bus.py", line 47, in emit    ret.append(call(event))  File "jqboson/core/strategy.py", line 285, in _wrapper    return cb(self._context.strategy_environment.strategy_context)  File "/tmp/strategy/user_code.py", line 33, in handle    stocks = get_sorted_stocks(context, context.portfolio.positions.keys())  File "/tmp/strategy/user_code.py", line 21, in get_sorted_stocks    df['ret'] = (df.iloc[:,len(df.columns)-1] - df.iloc[:,0]) / df.iloc[:,0]  File "pandas/core/indexing.py", line 1187, in __getitem__    return self._getitem_tuple(key)  File "pandas/core/indexing.py", line 1426, in _getitem_tuple    retval = getattr(retval, self.name)._getitem_axis(key, axis=axis)  File "pandas/core/indexing.py", line 1480, in _getitem_axis    return self._get_loc(key, axis=axis)  File "pandas/core/indexing.py", line 89, in _get_loc    return self.obj._ixs(key, axis=axis)  File "pandas/core/frame.py", line 1743, in _ixs    label = self.columns[i]  File "pandas/core/index.py", line 1076, in __getitem__    return getitem(key)IndexError: index -1 is out of bounds for axis 0 with size 0

转载于:https://www.cnblogs.com/luoahong/p/9884069.html

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