Simple Bollinger Bands · Python 量化交易教程

# Simple Bollinger Bands > 來源；https://uqer.io/community/share/54b5c1b4f9f06c276f651a15 策略思路：在一段時間內，股票價格可以認為是在一定水平上下波動。例如，可以簡單認為股價在過去100天的平均值基礎上，上下波動幾個標準差。策略實現： (1) 股價高于這個波動區間，說明股價虛高，故賣出 (2) 股價低于這個波動區間，說明股價虛低，故買入 PS：本策略適用于股市平穩波動時期，在大牛市或者大熊市不太適用 ```py import quartz import quartz.backtest as qb import quartz.performance as qp from quartz.api import * import pandas as pd import numpy as np from datetime import datetime from matplotlib import pylab import talib ``` ```py start = datetime(2011, 1, 1) end = datetime(2014, 10, 1) benchmark = 'HS300' universe = ['601398.XSHG', '600028.XSHG', '601988.XSHG', '600036.XSHG', '600030.XSHG', '601318.XSHG', '600000.XSHG', '600019.XSHG', '600519.XSHG', '601166.XSHG'] capital_base = 1000000 refresh_rate = 5 window = 200 def initialize(account): account.amount = 10000 account.universe = universe add_history('hist', window) def handle_data(account): for stk in account.universe: prices = account.hist[stk]['closePrice'] if prices is None: return mu = prices.mean() sd = prices.std() upper = mu + 2*sd middle = mu lower = mu - 2*sd cur_pos = account.position.stkpos.get(stk, 0) cur_prc = prices[-1] if cur_prc > upper and cur_pos >= 0: order_to(stk, 0) if cur_prc < lower and cur_pos <= 0: order(stk, account.amount) ``` ![](https://box.kancloud.cn/2016-07-30_579cbb00e8a74.jpg) ```py bt ``` | | tradeDate | cash | stock_position | portfolio_value | benchmark_return | blotter | | --- | --- | | 0 | 2011-11-01 | 1000000.00000 | {} | 1000000.00000 | 0.000000 | [] | | 1 | 2011-11-02 | 1000000.00000 | {} | 1000000.00000 | 0.016629 | [] | | 2 | 2011-11-03 | 1000000.00000 | {} | 1000000.00000 | 0.000697 | [] | | 3 | 2011-11-04 | 1000000.00000 | {} | 1000000.00000 | 0.007086 | [] | | 4 | 2011-11-07 | 1000000.00000 | {} | 1000000.00000 | -0.009950 | [] | | 5 | 2011-11-08 | 1000000.00000 | {} | 1000000.00000 | -0.003120 | [] | | 6 | 2011-11-09 | 1000000.00000 | {} | 1000000.00000 | 0.008778 | [] | | 7 | 2011-11-10 | 1000000.00000 | {} | 1000000.00000 | -0.018922 | [] | | 8 | 2011-11-11 | 1000000.00000 | {} | 1000000.00000 | -0.001699 | [] | | 9 | 2011-11-14 | 1000000.00000 | {} | 1000000.00000 | 0.020480 | [] | | 10 | 2011-11-15 | 1000000.00000 | {} | 1000000.00000 | -0.002005 | [] | | 11 | 2011-11-16 | 1000000.00000 | {} | 1000000.00000 | -0.027167 | [] | | 12 | 2011-11-17 | 1000000.00000 | {} | 1000000.00000 | -0.003033 | [] | | 13 | 2011-11-18 | 1000000.00000 | {} | 1000000.00000 | -0.020857 | [] | | 14 | 2011-11-21 | 1000000.00000 | {} | 1000000.00000 | 0.001225 | [] | | 15 | 2011-11-22 | 1000000.00000 | {} | 1000000.00000 | -0.000081 | [] | | 16 | 2011-11-23 | 1000000.00000 | {} | 1000000.00000 | -0.009758 | [] | | 17 | 2011-11-24 | 1000000.00000 | {} | 1000000.00000 | 0.001898 | [] | | 18 | 2011-11-25 | 1000000.00000 | {} | 1000000.00000 | -0.007317 | [] | | 19 | 2011-11-28 | 1000000.00000 | {} | 1000000.00000 | 0.001303 | [] | | 20 | 2011-11-29 | 1000000.00000 | {} | 1000000.00000 | 0.013697 | [] | | 21 | 2011-11-30 | 1000000.00000 | {} | 1000000.00000 | -0.033370 | [] | | 22 | 2011-12-01 | 1000000.00000 | {} | 1000000.00000 | 0.024625 | [] | | 23 | 2011-12-02 | 1000000.00000 | {} | 1000000.00000 | -0.010180 | [] | | 24 | 2011-12-05 | 1000000.00000 | {} | 1000000.00000 | -0.014048 | [] | | 25 | 2011-12-06 | 1000000.00000 | {} | 1000000.00000 | -0.002000 | [] | | 26 | 2011-12-07 | 1000000.00000 | {} | 1000000.00000 | 0.004724 | [] | | 27 | 2011-12-08 | 1000000.00000 | {} | 1000000.00000 | -0.001276 | [] | | 28 | 2011-12-09 | 1000000.00000 | {} | 1000000.00000 | -0.008531 | [] | | 29 | 2011-12-12 | 1000000.00000 | {} | 1000000.00000 | -0.010293 | [] | | ... | ... | ... | ... | ... | ... | ... | | 679 | 2014-08-19 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1149017.27989 | 0.000087 | [] | | 680 | 2014-08-20 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1168551.04989 | -0.003633 | [Order({'transact_price': 0.0, 'symbol': '6000... | | 681 | 2014-08-21 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1155719.88989 | -0.005028 | [] | | 682 | 2014-08-22 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1152026.33989 | 0.004723 | [] | | 683 | 2014-08-25 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1148250.45989 | -0.009513 | [] | | 684 | 2014-08-26 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1141866.53989 | -0.008012 | [] | | 685 | 2014-08-27 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1133729.60989 | 0.001507 | [] | | 686 | 2014-08-28 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1130309.43989 | -0.007010 | [] | | 687 | 2014-08-29 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1144849.97989 | 0.011686 | [] | | 688 | 2014-09-01 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1146127.24989 | 0.007283 | [] | | 689 | 2014-09-02 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1171994.81989 | 0.013222 | [] | | 690 | 2014-09-03 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1186363.06989 | 0.009377 | [Order({'transact_price': 0.0, 'symbol': '6000... | | 691 | 2014-09-04 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1188453.82989 | 0.007218 | [] | | 692 | 2014-09-05 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1203626.03989 | 0.009494 | [] | | 693 | 2014-09-09 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1182303.76989 | -0.001647 | [] | | 694 | 2014-09-10 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1180321.58989 | -0.005231 | [] | | 695 | 2014-09-11 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1168537.55989 | -0.003691 | [Order({'transact_price': 0.0, 'symbol': '6000... | | 696 | 2014-09-12 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1171787.86989 | 0.006150 | [] | | 697 | 2014-09-15 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1153269.96989 | -0.000479 | [] | | 698 | 2014-09-16 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1141194.90989 | -0.019869 | [] | | 699 | 2014-09-17 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1145778.58989 | 0.005258 | [] | | 700 | 2014-09-18 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1152235.30989 | 0.003056 | [] | | 701 | 2014-09-19 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1162000.35989 | 0.006870 | [] | | 702 | 2014-09-22 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1136441.48989 | -0.019087 | [] | | 703 | 2014-09-23 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1139988.07989 | 0.008635 | [] | | 704 | 2014-09-24 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1157613.46989 | 0.017671 | [] | | 705 | 2014-09-25 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1169367.30989 | -0.002006 | [] | | 706 | 2014-09-26 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1169791.29989 | 0.000094 | [] | | 707 | 2014-09-29 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1170503.49989 | 0.004349 | [] | | 708 | 2014-09-30 | 96907.47989 | {u'601166.XSHG': 3877.0, u'600036.XSHG': 0, u'... | 1168692.07989 | 0.001303 | [] | ``` 709 rows × 6 columns ``` ```py perf = qp.perf_parse(bt) out_keys = ['annualized_return', 'volatility', 'information', 'sharpe', 'max_drawdown', 'alpha', 'beta'] for k in out_keys: print '%s: %s' % (k, perf[k]) annualized_return: 0.0594823977045 volatility: 0.214571802928 information: 0.407163653335 sharpe: 0.102806600884 max_drawdown: 0.36585509048 alpha: 0.052294592526 beta: 0.434097117249 ``` ```py perf['cumulative_return'].plot() perf['benchmark_cumulative_return'].plot() pylab.legend(['current_strategy','HS300']) <matplotlib.legend.Legend at 0x568fe90> ``` ![](https://box.kancloud.cn/2016-07-30_579cbb010b37a.png)