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Merge pull request #216 from fasiondog/feature/factor
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update PF/AF; update sys_performance 同时支持 PF 绘图
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@fasiondog
fasiondog committed Apr 1, 2024
2 parents b7f4c53 + e9477a9 commit b77d0cc
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Showing 15 changed files with 264 additions and 162 deletions.
3 changes: 2 additions & 1 deletion hikyuu/draw/drawplot/__init__.py
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Original file line number Diff line number Diff line change
Expand Up @@ -29,7 +29,7 @@
# 1. 20171122, Added by fasiondog
# ===============================================================================

from hikyuu.core import KData, Indicator, SignalBase, ConditionBase, EnvironmentBase, System
from hikyuu.core import KData, Indicator, SignalBase, ConditionBase, EnvironmentBase, System, Portfolio

import matplotlib
from matplotlib.pylab import gca as mpl_gca
Expand Down Expand Up @@ -123,6 +123,7 @@ def use_draw_with_matplotlib():

System.plot = mpl_sysplot
System.performance = mpl_sys_performance
Portfolio.performance = mpl_sys_performance


def use_draw_with_echarts():
Expand Down
100 changes: 38 additions & 62 deletions hikyuu/draw/drawplot/matplotlib_draw.py
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Original file line number Diff line number Diff line change
Expand Up @@ -743,16 +743,13 @@ def sysplot(sys, new=True, axes=None, style=1):
def sys_performance(sys, ref_stk=None):
k = sys.to
if k is None or k.empty():
hku_info("sys.to is None or empty!")
return
query = Query(k[0].datetime.start_of_day(), k[-1].datetime.start_of_day() + TimeDelta(1), Query.DAY)
if ref_stk is None:
ref_stk = get_stock('sh000300')
ref_k = ref_stk.get_kdata(sys.query)
query = Query(ref_k[0].datetime.start_of_day(), ref_k[-1].datetime.start_of_day() + TimeDelta(1), Query.DAY)
ref_k = ref_stk.get_kdata(query)
ref_dates = ref_k.get_datetime_list()
profit = sys.tm.get_profit_curve(ref_dates)
Expand All @@ -762,8 +759,8 @@ def sys_performance(sys, ref_stk=None):
funds_return = profit / REF(funds, 1) + 1
# funds_return = cum_return(funds)
funds_return.name = "系统累积收益率"
cum_return = get_part("default.ind.累积收益率")
ref_return = cum_return(ref_k.close)
# cum_return = get_part("default.ind.累积收益率")
ref_return = ROCR(ref_k.close, 0)
ref_return.name = ref_stk.name
per = Performance()
Expand All @@ -787,56 +784,35 @@ def sys_performance(sys, ref_stk=None):
t3 = '系统胜率: {:<.2f}% 盈/亏比: 1 : {:<.2f} 夏普比率: {:<.2f}'.format(
per['赢利交易比例%'], per['净赢利/亏损比例'], sharp)
mp_back = matplotlib.get_backend()
if "nbagg" in mp_back:
fg = figure(figsize=(13, 10))
ax1 = fg.add_axes([0.05, 0.35, 0.65, 0.6])
ax2 = fg.add_axes([0.05, 0.05, 0.65, 0.25], sharex=ax1)
ref_return.plot(axes=ax1, legend_on=True)
funds_return.plot(axes=ax1, legend_on=True)
label = t1 + '\n\n' + t2 + '\n\n' + t3
ax1.text(1.01,
1,
text,
horizontalalignment='left',
verticalalignment='top',
transform=ax1.transAxes,
# color='r'
)
ax2.text(0.02,
1.0,
label,
horizontalalignment='left',
verticalalignment='top',
transform=ax2.transAxes,
# color='r'
)
# ax2.set_visible(False)
ax2.xaxis.set_visible(False)
ax2.yaxis.set_visible(False)
ax2.set_frame_on(False)
else:
ref_return.plot(legend_on=True)
funds_return.plot(legend_on=True, new=False)
axis = gca()
axis.text(-0.05,
0.97,
text,
horizontalalignment='right',
verticalalignment='top',
transform=axis.transAxes,
# color=text_color
)
label = t1 + '\n\n' + t2 + '\n\n' + t3
axis.text(0.05,
-0.06,
label,
horizontalalignment='left',
verticalalignment='top',
transform=axis.transAxes,
# color=text_color
)
import matplotlib.pyplot as plt
fg = plt.figure(figsize=(15, 10))
gs = fg.add_gridspec(5, 4)
ax1 = fg.add_subplot(gs[:4, :3])
ax2 = fg.add_subplot(gs[:, 3:])
ax3 = fg.add_subplot(gs[4:, :3])
ref_return.plot(axes=ax1, legend_on=True)
funds_return.plot(axes=ax1, legend_on=True)
ax1.set_title(f"{sys.name} 累积收益率")
label = t1 + '\n\n' + t2 + '\n\n' + t3
ax2.text(0,
1,
text,
horizontalalignment='left',
verticalalignment='top',
transform=ax2.transAxes,
# color='r'
)
ax3.text(0.02,
0.9,
label,
horizontalalignment='left',
verticalalignment='top',
transform=ax3.transAxes,
# color='r'
)
ax2.xaxis.set_visible(False)
ax2.yaxis.set_visible(False)
ax2.set_frame_on(False)
ax3.xaxis.set_visible(False)
ax3.yaxis.set_visible(False)
ax3.set_frame_on(False)
2 changes: 1 addition & 1 deletion hikyuu_cpp/hikyuu/Stock.h
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Original file line number Diff line number Diff line change
Expand Up @@ -132,7 +132,7 @@ class HKU_API Stock {
/** 获取不同类型K线数据量 */
size_t getCount(KQuery::KType dataType = KQuery::DAY) const;

/** 获取指定日期时刻的市值，即小于等于指定日期的最后一条记录的收盘价 */
/** 获取指定日期时刻的市值，即小于等于指定日期的最后一条记录的收盘价, 如果证券已失效，则为0 */
price_t getMarketValue(const Datetime&, KQuery::KType) const;

/**
Expand Down
153 changes: 90 additions & 63 deletions hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -266,7 +266,21 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(

bool trace = getParam<bool>("trace");
HKU_INFO_IF(trace, "[AF] {} _adjust_with_running", date);
HKU_IF_RETURN(se_list.size() == 0, delay_list);

// 如果选中列表为空，则需要全部执行清仓，这里不能返回
// HKU_IF_RETURN(se_list.size() == 0, delay_list);

//-----------------------------------------------------------------
// 回收所有运行中系统剩余资金，用于重新分配
//-----------------------------------------------------------------
for (const auto& sys : running_set) {
auto sub_tm = sys->getTM();
auto sub_cash = sub_tm->currentCash();
if (sub_cash > 0.0 && sub_tm->checkout(date, sub_cash)) {
m_cash_tm->checkin(date, sub_cash);
HKU_INFO_IF(trace, "[AF] Recycle cash: {:<.2f} from {}", sub_cash, sys->name());
}
}

// 获取计划分配的资产权重
SystemWeightList sw_list = _allocateWeight(date, se_list);
Expand All @@ -279,32 +293,35 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
getParam<bool>("ignore_zero_weight"));

//-----------------------------------------------------------------
// 先将已不在 sw_list 中的运行系统进行清仓，回收可分配资金
// 先将已不在 sw_list 中的运行系统进行强制清仓，回收可分配资金
// 不需要区分延迟买入系统，不管什么类型的系统，都是立刻使用收盘价进行清仓
//-----------------------------------------------------------------
std::unordered_set<SYSPtr> running_in_sw_list;
std::unordered_set<SYSPtr> running_in_sw_set;
for (const auto& sw : sw_list) {
if (running_set.find(sw.sys) != running_set.cend()) {
running_in_sw_list.insert(sw.sys);
running_in_sw_set.insert(sw.sys);
}
}

for (const auto& sys : running_set) {
if (running_in_sw_list.find(sys) == running_in_sw_list.cend()) {
if (sys->getParam<bool>("buy_delay")) {
delay_list.emplace_back(sys, MAX_DOUBLE);
if (running_in_sw_set.find(sys) == running_in_sw_set.cend()) {
PositionRecord position = sys->getTM()->getPosition(date, sys->getStock());
auto tr = sys->sellForceOnClose(date, position.number, PART_ALLOCATEFUNDS);
if (!tr.isNull()) {
auto sub_tm = sys->getTM();
auto sub_cash = sub_tm->currentCash();
if (sub_tm->checkout(date, sub_cash)) {
m_cash_tm->checkin(date, sub_cash);
m_tm->addTradeRecord(tr); // 向总账户加入交易记录
HKU_INFO_IF(trace, "[AF] Clean position sell: {}, recycle cash: {:<.2f}",
sys->name(), sub_cash);
}
} else {
// 非延迟卖出的系统，立即强制卖出并回收资金
auto tr = sys->sellForceOnClose(date, MAX_DOUBLE, PART_ALLOCATEFUNDS);
// HKU_DEBUG_IF(trace && tr.isNull(), "[AF] failed to sell: {}", sys->name());
if (!tr.isNull()) {
auto sub_tm = sys->getTM();
auto sub_cash = sub_tm->currentCash();
if (sub_tm->checkout(date, sub_cash)) {
m_cash_tm->checkin(date, sub_cash);
m_tm->addTradeRecord(tr); // 向总账户加入交易记录
HKU_INFO_IF(trace, "[AF] Adjust sell: {}, recycle cash: {:<.2f}",
sys->name(), sub_cash);
}
// 清仓卖出失败情况，也加入到延迟卖出列表中，以便下一交易日可执行
PositionRecord position = sys->getTM()->getPosition(date, sys->getStock());
if (position.number > 0.0) {
delay_list.emplace_back(sys, position.number);
HKU_INFO_IF(trace, "[AF] Clean delay {}", sys->name());
}
}
}
Expand All @@ -316,8 +333,7 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
// 获取当前总资产市值，计算需保留的资产
int precision = m_cash_tm->getParam<int>("precision");
FundsRecord funds = m_tm->getFunds(date, m_query.kType());
price_t total_funds =
funds.cash + funds.market_value + funds.borrow_asset - funds.short_market_value;
price_t total_funds = funds.total_assets();
price_t reserve_funds = roundEx(total_funds * reserve_percent, precision);

std::unordered_set<SYSPtr> reduced_running_set; // 缓存已执行过减仓的运行中系统
Expand All @@ -327,35 +343,56 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
TMPtr sub_tm = iter->sys->getTM();
const KQuery& query = iter->sys->getTO().getQuery();
FundsRecord sub_funds = sub_tm->getFunds(date, query.kType());
price_t sub_total_funds = sub_funds.cash + sub_funds.market_value +
sub_funds.borrow_asset - sub_funds.short_market_value;
price_t sub_total_funds = sub_funds.total_assets();
price_t sub_will_funds = total_funds * iter->weight;

// 如果需要执行减仓
if (sub_total_funds > sub_will_funds) {
reduced_running_set.insert(iter->sys); // 缓存执行了减仓的系统
price_t need_back_funds = sub_total_funds - sub_will_funds;
Stock stock = iter->sys->getStock();
KRecord krecord = stock.getKRecord(date, query.kType());
size_t need_back_shou =
size_t(need_back_funds / krecord.closePrice / stock.minTradeNumber());
if (need_back_shou > 0) {
size_t need_back_num = need_back_shou * stock.minTradeNumber();
size_t hold_num = sub_tm->getHoldNumber(date, stock);
if (hold_num - need_back_num < stock.minTradeNumber()) {
need_back_num = hold_num;
}
if (iter->sys->getParam<bool>("buy_delay")) {
delay_list.emplace_back(iter->sys, need_back_num);
} else {
auto tr =
iter->sys->sellForceOnClose(date, need_back_num, PART_ALLOCATEFUNDS);
if (!tr.isNull()) {
auto sub_cash = sub_tm->currentCash();
if (sub_tm->checkout(date, sub_cash)) {
m_cash_tm->checkin(date, sub_cash);
m_tm->addTradeRecord(tr); // 向总账户加入交易记录
}
}

// 获取当前最后的收盘价
price_t last_close_price = stock.getMarketValue(date, query.kType());
if (last_close_price <= 0.0) {
// 证券已失效，无法处理，资产全部损失
HKU_WARN_IF(trace, "{} has been delisted!", iter->sys->name());
continue;
}

double hold_num = sub_tm->getHoldNumber(date, stock);
if (hold_num <= 0.0) {
// 实际无持仓
continue;
}

// 预期需要卖出的数量
double min_num = stock.minTradeNumber();
double need_back_num =
static_cast<int64_t>(need_back_funds / last_close_price / min_num) * min_num;
if (hold_num - need_back_num < min_num) {
need_back_num = hold_num;
}

if (need_back_num == 0.0) {
continue;
}

auto tr = iter->sys->sellForceOnClose(date, need_back_num, PART_ALLOCATEFUNDS);
if (!tr.isNull()) {
auto sub_cash = sub_tm->currentCash();
if (sub_tm->checkout(date, sub_cash)) {
m_cash_tm->checkin(date, sub_cash);
m_tm->addTradeRecord(tr); // 向总账户加入交易记录
HKU_INFO_IF(trace,
"[AF] Deduce position {}, sell num: {}, recycle cash: {}",
iter->sys->name(), need_back_num, sub_cash);
}
} else {
// 卖出失败的情况，也加入到延迟交易列表中
delay_list.emplace_back(iter->sys, need_back_num);
HKU_INFO_IF(trace, "[AF] Delay deduce position {}, need sell num: {}",
iter->sys->name(), need_back_num);
}
}
}
Expand Down Expand Up @@ -383,13 +420,8 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
break;
}

// 计算实际可用的权重
price_t current_weight = iter->weight + sum_weight > can_allocate_weight
? iter->weight + sum_weight - can_allocate_weight
: iter->weight;

// 系统期望分配的资产额
price_t will_funds = roundUp(total_funds * current_weight, precision);
price_t will_funds = roundUp(total_funds * iter->weight, precision);

// 如果该系统是当前运行中系统
if (running_set.find(iter->sys) != running_set.cend()) {
Expand All @@ -408,40 +440,35 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
// 未执行过减仓的系统，需要予以相应资金分配
if (sub_total_funds >= will_funds) {
sum_weight += sub_total_funds / total_funds;

} else {
price_t need_cash = will_funds - sub_total_funds;
if (need_cash > can_allocate_cash) {
need_cash = can_allocate_cash;
}
// 如果期望的资金连一手都买不起，则跳过
auto krecord = iter->sys->getStock().getKRecord(date, query.kType());
if (krecord.isValid() &&
need_cash < krecord.closePrice * iter->sys->getStock().minTradeNumber()) {

// 如果期望的资金连一手都买不起(含退市），则跳过
auto last_price = iter->sys->getStock().getMarketValue(date, query.kType());
if (need_cash < last_price * iter->sys->getStock().minTradeNumber()) {
continue;
}

if (m_cash_tm->checkout(date, need_cash)) {
sub_tm->checkin(date, need_cash);
HKU_INFO_IF(trace, "[AF] {} fetched cash: {}", iter->sys->name(),
need_cash);

can_allocate_cash = roundDown(can_allocate_cash - need_cash, precision);
// 更新已分配的累积权重
sum_weight += (sub_total_funds + need_cash) / total_funds;
}
}
}

} else {
// 非运行中的系统
// 计算子账户实际可获取的的资金
price_t need_cash = will_funds <= can_allocate_cash ? will_funds : can_allocate_cash;

// 如果期望的资金连一手都买不起，则跳过
const KQuery& query = iter->sys->getTO().getQuery();
auto krecord = iter->sys->getStock().getKRecord(date, query.kType());
if (krecord.isValid() &&
need_cash < krecord.closePrice * iter->sys->getStock().minTradeNumber()) {
continue;
}

// 尝试从资金账户中取出资金存入子账户
TMPtr sub_tm = iter->sys->getTM();
if (m_cash_tm->checkout(date, need_cash)) {
Expand Down
9 changes: 8 additions & 1 deletion hikyuu_cpp/hikyuu/trade_sys/moneymanager/imp/NotMoneyManager.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -13,12 +13,19 @@ BOOST_CLASS_EXPORT(hku::NotMoneyManager)

namespace hku {

NotMoneyManager::NotMoneyManager() : MoneyManagerBase("MM_Nothing") {}
NotMoneyManager::NotMoneyManager() : MoneyManagerBase("MM_Nothing") {
// 如果已有持仓，则不再买入
setParam<bool>("if_have_a_position_will_not_buy", false);
}

NotMoneyManager::~NotMoneyManager() {}

double NotMoneyManager ::_getBuyNumber(const Datetime& datetime, const Stock& stock, price_t price,
price_t risk, SystemPart from) {
if (getParam<bool>("if_have_a_position_will_not_buy") &&
m_tm->getHoldNumber(datetime, stock) > 0.) {
return 0.0;
}
return m_tm->cash(datetime, m_query.kType()) / price;
}

Expand Down

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