[QUANTAXIS量化分析]三因素模型

基本原理

• 三因素模型表达式：
  
  E(Rit) − Rft = βi[E(Rmt − Rft] + siE(SMBt) + hiE(HMIt)
• 根据一篇文章，选择三个因子作测试：
  • 财务因子：EPS
  • 成交量因子：log(30日日均交易量/昨日交易量)
  • 反转因子：(ma10-ma5)/ma5
  • 综合选取这三个因子,0.3,0.4,0.3的权值加和，选取较高的股票并持仓。综合选取这三个因子,0.3,0.4,0.3的权值加和，选取较高的股票并持仓。

策略实现

• 初始资金100万，20万无明显效果差异，时间段为2017-01-01~2018-01-01.
• 选取市盈率0~20之间的股票，每日对三因子加和进行排序
• 每天进行判断，选取三因子加和排名前n的股票，若已持股，继续买入，未持股则买入，已持股中有不在排名前n中的，卖出。
• （每日操作10只股票）运行截图（忽略曲线名）：
  
• （每日操作20只股票）运行截图（忽略曲线名）：
  

遇到的问题及改进：

• 采用的三个因子或许还能有其他财务因子进行代表
• 本次代码中取得EPS的时间有些过长，有点想法，等我后面改进（已改进，不必每只股票每天的eps都获取一次）

代码如下：

# coding: utf-8
# @author: lin
# @date: 2018/11/20

import QUANTAXIS as QA
import datetime
import pandas as pd
import time
import math
import matplotlib.pyplot as plt
import numpy as np

pd.set_option('max_colwidth', 5000)
pd.set_option('display.max_columns', 5000)
pd.set_option('display.max_rows', 5000)


class ThreePara:
    def __init__(self, start_time, stop_time, n_stock=10, stock_init_cash=1000000, n_days_before=1):
        self.Account = QA.QA_Account()  # 初始化账户
        self.Account.reset_assets(stock_init_cash)  # 初始化账户
        self.Account.account_cookie = 'three_para'
        self.Broker = QA.QA_BacktestBroker()
        self.time_quantum_list = ['-12-31', '-09-30', '-06-30', '-03-31']
        self.start_time = start_time
        self.stop_time = stop_time
        self.n_days_before = n_days_before
        self.stock_pool = []
        self.data = None
        self.ind = None
        self.n_stock = n_stock
        self.get_stock_pool()

    def get_financial_time(self):
        """
        得到此日期前一个财务数据的日期
        :return:
        """
        year = self.start_time[0:4]
        while (True):
            for day in self.time_quantum_list:
                the_financial_time = year + day
                if the_financial_time <= self.start_time:
                    return the_financial_time
            year = str(int(year) - 1)

    def get_assets_eps(self, stock_code, the_financial_time):
        """
        得到高级财务数据
        :param stock_code:
        :param the_financial_time: 离开始时间最近的财务数据的时间
        :return:
        """
        financial_report = QA.QA_fetch_financial_report(stock_code, the_financial_time)
        if financial_report is not None:
            return financial_report.iloc[0]['totalAssets'], financial_report.iloc[0]['EPS']
        return None, None

    def get_stock_pool(self):
        """
        选取哪些股票
        """
        stock_code_list = QA.QA_fetch_stock_list_adv().code.tolist()
        the_financial_time = self.get_financial_time()
        for stock_code in stock_code_list:
            # print(stock_code)
            assets, EPS = self.get_assets_eps(stock_code, the_financial_time)
            if assets is not None and EPS != 0:
                data = QA.QA_fetch_stock_day_adv(stock_code, self.start_time, self.stop_time)
                if data is None:
                    continue
                price = data.to_pd().iloc[0]['close']
                if 0 < price / EPS < 20:  # 满足条件才添加进行排序
                    # print(price / EPS)
                    self.stock_pool.append(stock_code)

    def cjlyz(self, data, n=20):
        # log(30日日均交易量/昨日交易量)
        data['cjlyz'] = 0
        data['n_days_vol_ave'] = QA.MA(data['volume'], n)
        data = data.fillna(0)
        last_index = 0
        for index, row in data.iterrows():
            if last_index != 0:
                data.loc[index, 'cjlyz'] = row['n_days_vol_ave'] / data.loc[last_index, 'volume']
            last_index = index
        for index, row in data.iterrows():
            if row['cjlyz'] != 0:
                data.loc[index, 'cjlyz'] = math.log10(row['cjlyz'])
        return data

    # 反转因子
    def fzyz(self, data, n=10, m=5):
        # (ma10-ma5)/ma5
        data['ma_10'] = QA.MA(data['close'], n)
        data['ma_5'] = QA.MA(data['close'], m)
        data['fzyz'] = (data['ma_10'] - data['ma_5']) / data['ma_5']
        data = data.fillna(0)
        return data

    def get_EPS(self, stock_code, the_time):
        # 由财政数据中得到EPS，是上个季度的
        year = the_time[0:4]
        if_break = False
        n_EPS_list = []
        while (True):
            for day in self.time_quantum_list:
                date = year + day
                if date < the_time:
                    financial_report = QA.QA_fetch_financial_report(stock_code, date)
                    if financial_report is not None:
                        return financial_report.iloc[0]['EPS']
            if if_break:  # 触发，则跳出循环
                break
            year = str(int(year) - 1)

    def three_para(self, data):
        # 整合三个因子
        data = self.cjlyz(data)
        data = self.fzyz(data)
        data['EPS'] = 0
        if_first = True
        last_index = None
        for index, row in data.iterrows():
            if_value_equal = True  # 值是否跟上次值相同
            the_time = str(index[0])[:10]
            if not if_first:
                last_time = str(last_index[0])[:10]
                for time_quantum in self.time_quantum_list:
                    middle_time = last_time[:4] + time_quantum  # 得到判断的分界点
                    if last_time < middle_time < the_time:  # 有一次处于分界点左右，则需要重新计算
                        if_value_equal = False
                        break
                if if_value_equal:
                    data.loc[index, 'EPS'] = data.loc[last_index, 'EPS']
            if if_first or not if_value_equal:
                stock_code = str(index[1])
                # print(stock_code)
                value = self.get_EPS(stock_code, the_time)
                data.loc[index, 'EPS'] = value
            if_first = False
            last_index = index  # 把当次索引加入，下次调用则为上次索引
        data['decided_para'] = 0.3 * data['EPS'] + 0.4 * data['cjlyz'] + 0.3 * data['fzyz']
        return data

    def solve_data(self):
        self.data = QA.QA_fetch_stock_day_adv(self.stock_pool, self.start_time, self.stop_time)
        self.ind = self.data.add_func(self.three_para)

    def run(self):
        self.solve_data()
        print(self.ind)
        for items in self.data.panel_gen:
            today_time = items.index[0][0]
            one_day_data = self.ind.loc[today_time]      # 得到有包含因子的DataFrame
            one_day_data['date'] = items.index[0][0]
            one_day_data.reset_index(inplace=True)
            one_day_data.sort_values(by='decided_para', axis=0, ascending=False, inplace=True)
            today_stock = list(one_day_data.iloc[0:self.n_stock]['code'])
            one_day_data.set_index(['date', 'code'], inplace=True)
            one_day_data = QA.QA_DataStruct_Stock_day(one_day_data)  # 转换格式，便于计算
            bought_stock_list = list(self.Account.hold.index)
            print("SELL:")
            for stock_code in bought_stock_list:
                # 如果直接在循环中对bought_stock_list操作，会跳过一些元素
                if stock_code not in today_stock:
                    try:
                        item = one_day_data.select_day(str(today_time)).select_code(stock_code)
                        order = self.Account.send_order(
                            code=stock_code,
                            time=today_time,
                            amount=self.Account.sell_available.get(stock_code, 0),
                            towards=QA.ORDER_DIRECTION.SELL,
                            price=0,
                            order_model=QA.ORDER_MODEL.MARKET,
                            amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
                        )
                        self.Broker.receive_order(QA.QA_Event(order=order, market_data=item))
                        trade_mes = self.Broker.query_orders(self.Account.account_cookie, 'filled')
                        res = trade_mes.loc[order.account_cookie, order.realorder_id]
                        order.trade(res.trade_id, res.trade_price, res.trade_amount, res.trade_time)
                    except Exception as e:
                        print(e)
            print('BUY:')
            for stock_code in today_stock:
                try:
                    item = one_day_data.select_day(str(today_time)).select_code(stock_code)
                    order = self.Account.send_order(
                        code=stock_code,
                        time=today_time,
                        amount=1000,
                        towards=QA.ORDER_DIRECTION.BUY,
                        price=0,
                        order_model=QA.ORDER_MODEL.CLOSE,
                        amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
                    )
                    self.Broker.receive_order(QA.QA_Event(order=order, market_data=item))
                    trade_mes = self.Broker.query_orders(self.Account.account_cookie, 'filled')
                    res = trade_mes.loc[order.account_cookie, order.realorder_id]
                    order.trade(res.trade_id, res.trade_price, res.trade_amount, res.trade_time)
                except Exception as e:
                    print(e)
            self.Account.settle()
        Risk = QA.QA_Risk(self.Account)
        print(Risk.message)
        # plt.show()
        Risk.assets.plot()  # 总资产
        plt.show()
        Risk.benchmark_assets.plot()  # 基准收益的资产
        plt.show()
        Risk.plot_assets_curve()  # 两个合起来的对比图
        plt.show()
        Risk.plot_dailyhold()  # 每只股票每天的买入量
        plt.show()


start = time.time()
sss = ThreePara('2017-01-01', '2018-01-01', 10)
stop = time.time()
print(stop - start)
print(len(sss.stock_pool))
sss.run()
stop2 = time.time()
print(stop2 - stop)