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Simple Bollinger Bands

来源；https://uqer.io/community/share/54b5c1b4f9f06c276f651a15

策略思路： 在一段时间内，股票价格可以认为是在一定水平上下波动。例如，可以简单认为股价在过去100天的平均值基础上，上下波动几个标准差。

策略实现： (1) 股价高于这个波动区间，说明股价虚高，故卖出 (2) 股价低于这个波动区间，说明股价虚低，故买入

PS：本策略适用于股市平稳波动时期，在大牛市或者大熊市不太适用

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

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)


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

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

perf['cumulative_return'].plot()
perf['benchmark_cumulative_return'].plot()
pylab.legend(['current_strategy','HS300'])

<matplotlib.legend.Legend at 0x568fe90>

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