金融量化分析【day113】：羊驼策略
零、动量策略VS反转策略
1、实现代码
# 导入函数库
import jqdata
import pandas as pd
import numpy as np
import datetime
import 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 jqdata
import pandas as pd def 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
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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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) 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) 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) 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) 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=) 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
目标数量已经满足, 没有提交委托) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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) 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) 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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。 2015-06-29 09:29:00 - INFO - 分红前，price=20.66, avg_cost=26.58, acc_avg_cost=26.5966666667, amount=300 2015-06-29 09:29:00 - INFO - 分红后，price=20.66, avg_cost=26.576, acc_avg_cost=26.5926666667, amount=300 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=) 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: 10.54 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=) 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。 2015-07-16 09:29:00 - INFO - 分红前，price=8.16, avg_cost=20.76, acc_avg_cost=20.7725, amount=400 2015-07-16 09:29:00 - INFO - 分红后，price=8.15, avg_cost=20.747, acc_avg_cost=20.7595, amount=400 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。 2015-07-21 09:29:00 - INFO - 分红前，price=11.08, avg_cost=19.87, acc_avg_cost=19.8825, amount=400 2015-07-21 09:29:00 - INFO - 分红后，price=11.08, avg_cost=19.869, acc_avg_cost=19.8815, amount=400 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=0 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。 2015-08-25 09:29:00 - INFO - 分红前，price=7.57, avg_cost=25.53, acc_avg_cost=25.5466666667, amount=300 2015-08-25 09:29:00 - INFO - 分红后，price=5.0, avg_cost=16.9766666667, acc_avg_cost=16.9877777778, amount=450 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=) 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: 8.04 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=) 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=) 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: 7.79 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=) 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=0 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=) 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: 8.35 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=) 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=) 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: 8.1 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=) 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=0 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=0 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=) 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: 10.09 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=) 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=0 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=) 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: 9.95 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
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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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) 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) 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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 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) 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) 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=) 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) 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: 5.0 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) 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。 2014-06-16 09:29:00 - INFO - 分红前，price=2.49, avg_cost=5.71, acc_avg_cost=5.71333333333, amount=1500 2014-06-16 09:29:00 - INFO - 分红后，price=0.65, avg_cost=1.727, acc_avg_cost=1.72811111111, amount=4500 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=) 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: 13.19 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=) 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=) 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: 15.0 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=) 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=) 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: 15.0 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=) 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=) 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: 15.26 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=) 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=) 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: 12.24 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=) 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=0 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=) 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: 16.77 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=) 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=) 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: 27.79 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=) 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=) 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: 23.04 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=) 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=) 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: 18.78 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
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