@wesky1475369 我是看别人的，自己还没实现。。

嗯，我也还在试。@浮生浅斟唱

@青牛煮茶 回撤18，收益204，挺不错了。

@莫邪的救赎 回测就是14：50的效果好。换到开盘买收益差很多。

我什么都没干,只是克隆了策略运行,但是报错,为什么? Traceback (most recent call last): File "kuanke/user_space.py", line 140, in exec_msg return getattr(self, func)(*msg['args'], **msg['kwargs']) File "kuanke/user_space.py", line 289, in handle_data self.func_handle_data(self.user_context, user_space_api.SecuritiesData()) File "user_code.py", line 274, in handle_data do_handle_data(context, data) File "user_code.py", line 293, in do_handle_data adjust_position(context, buy_stocks) File "user_code.py", line 698, in adjust_position close_position(position) File "user_code.py", line 505, in close_position g.trade_stat.watch(security, order.filled, position.avg_cost, position.price) TypeError: watch() takes exactly 3 arguments (5 given) ========全局变量======== { 'g': PersistentState({'min_pe': 0, 'period': 10, 'last_high': {'600605.XSHG': 7.6299999999999999, '600892.XSHG': 13.08, '600520.XSHG': 9.2100000000000009, '000546.XSHE': 5.6799999999999997, '600656.XSHG': 5.7800000000000002}, 'index_growth_rate_20': 0.0, 'filter_gem': True, 'is_market_stop_loss_by_price': False, 'trade_stat': , 'adjust_position_minute': 52, 'is_stock_stop_profit': False, 'is_last_day_3_black_crows': False, 'day_count': 10, 'buy_stock_count': 5, 'tested_fields': set(['min_pe', 'period', 'last_high', 'index_growth_rate_20', 'index2', 'is_market_stop_loss_by_price', 'trade_stat', 'adjust_position_minute', 'is_last_day_3_black_crows', 'day_count', 'buy_stock_count', 'pick_by_eps', 'max_pe', 'index_4_stop_loss_by_3_black_crows', 'pick_stock_count', 'index8', 'is_stock_stop_loss', 'filter_gem', 'adjust_position_hour', 'is_stock_stop_profit', 'pick_by_pe', 'filter_blacklist', 'is_rank_stock', 'is_market_stop_loss_by_3_black_crows']), 'pick_by_eps': False, 'max_pe': 200, 'pick_by_pe': True, 'pick_stock_count': 100, 'index8': u'000905.XSHG', 'is_stock_stop_loss': False, 'index2': u'000300.XSHG', 'adjust_position_hour': 14, 'index_4_stop_loss_by_3_black_crows': u'000001.XSHG', 'filter_blacklist': False, 'is_rank_stock': False, 'is_market_stop_loss_by_3_black_crows': False})} ========局部变量======== File "kuanke/user_space.py", line 140, in exec_msg return getattr(self, func)(*msg['args'], **msg['kwargs']) { 'context': , 'data': None, 'self': } ------------ File "kuanke/user_space.py", line 289, in handle_data self.func_handle_data(self.user_context, user_space_api.SecuritiesData()) { 'context': UserContext({'current_dt': datetime.datetime(2014, 2, 12, 14, 52), 'portfolio': Portfolio({'_unsell_positions': {}, 'portfolio_value': 110967.81999999999, 'cash': 23486.819999999996, 'starting_cash': 100000.0, 'returns': 0.10967819999999984, 'capital_used': 76513.180000000008, 'positions': {'600892.XSHG': Position({'avg_cost': 13.1, 'sellable_amount': 1500, 'security': '600892.XSHG', 'last_sale_price': 14.390000000000001, 'total_amount': 1500}), '600520.XSHG': Position({'avg_cost': 9.22, 'sellable_amount': 2100, 'security': '600520.XSHG', 'last_sale_price': 9.7799999999999994, 'total_amount': 2100}), '000546.XSHE': Position({'avg_cost': 5.69, 'sellable_amount': 3500, 'security': '000546.XSHE', 'last_sale_price': 6.4800000000000004, 'total_amount': 3500}), '600656.XSHG': Position({'avg_cost': 5.79, 'sellable_amount': 3400, 'security': '600656.XSHG', 'last_sale_price': 6.6699999999999999, 'total_amount': 3400})}, 'positions_value': 87481.0}), 'previous_date': datetime.date(2014, 2, 11), 'run_params': RunParams({'end_date': datetime.date(2016, 8, 30), 'frequency': u'minute', 'type': 'simple_backtest', 'start_date': datetime.date(2014, 1, 1), 'extra_gloabl_vars': {}}), 'universe': ['600605.XSHG', '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG']}), 'data': { }, 'hour': 14, 'minute': 52} ------------ File "user_code.py", line 274, in handle_data do_handle_data(context, data) { 'buy_stocks': [ '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG', '600241.XSHG'], 'context': UserContext({'current_dt': datetime.datetime(2014, 2, 12, 14, 52), 'portfolio': Portfolio({'_unsell_positions': {}, 'portfolio_value': 110967.81999999999, 'cash': 23486.819999999996, 'starting_cash': 100000.0, 'returns': 0.10967819999999984, 'capital_used': 76513.180000000008, 'positions': {'600892.XSHG': Position({'avg_cost': 13.1, 'sellable_amount': 1500, 'security': '600892.XSHG', 'last_sale_price': 14.390000000000001, 'total_amount': 1500}), '600520.XSHG': Position({'avg_cost': 9.22, 'sellable_amount': 2100, 'security': '600520.XSHG', 'last_sale_price': 9.7799999999999994, 'total_amount': 2100}), '000546.XSHE': Position({'avg_cost': 5.69, 'sellable_amount': 3500, 'security': '000546.XSHE', 'last_sale_price': 6.4800000000000004, 'total_amount': 3500}), '600656.XSHG': Position({'avg_cost': 5.79, 'sellable_amount': 3400, 'security': '600656.XSHG', 'last_sale_price': 6.6699999999999999, 'total_amount': 3400})}, 'positions_value': 87481.0}), 'previous_date': datetime.date(2014, 2, 11), 'run_params': RunParams({'end_date': datetime.date(2016, 8, 30), 'frequency': u'minute', 'type': 'simple_backtest', 'start_date': datetime.date(2014, 1, 1), 'extra_gloabl_vars': {}}), 'universe': ['600605.XSHG', '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG']}), 'data': { }, 'gr_index2': 0.021035179362606325, 'gr_index8': 0.10220279519181005} ------------ File "user_code.py", line 293, in do_handle_data adjust_position(context, buy_stocks) { 'buy_stocks': [ '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG', '600241.XSHG'], 'context': UserContext({'current_dt': datetime.datetime(2014, 2, 12, 14, 52), 'portfolio': Portfolio({'_unsell_positions': {}, 'portfolio_value': 110967.81999999999, 'cash': 23486.819999999996, 'starting_cash': 100000.0, 'returns': 0.10967819999999984, 'capital_used': 76513.180000000008, 'positions': {'600892.XSHG': Position({'avg_cost': 13.1, 'sellable_amount': 1500, 'security': '600892.XSHG', 'last_sale_price': 14.390000000000001, 'total_amount': 1500}), '600520.XSHG': Position({'avg_cost': 9.22, 'sellable_amount': 2100, 'security': '600520.XSHG', 'last_sale_price': 9.7799999999999994, 'total_amount': 2100}), '000546.XSHE': Position({'avg_cost': 5.69, 'sellable_amount': 3500, 'security': '000546.XSHE', 'last_sale_price': 6.4800000000000004, 'total_amount': 3500}), '600656.XSHG': Position({'avg_cost': 5.79, 'sellable_amount': 3400, 'security': '600656.XSHG', 'last_sale_price': 6.6699999999999999, 'total_amount': 3400})}, 'positions_value': 87481.0}), 'previous_date': datetime.date(2014, 2, 11), 'run_params': RunParams({'end_date': datetime.date(2016, 8, 30), 'frequency': u'minute', 'type': 'simple_backtest', 'start_date': datetime.date(2014, 1, 1), 'extra_gloabl_vars': {}}), 'universe': ['600605.XSHG', '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG']}), 'position': Position({'avg_cost': 7.64, 'sellable_amount': 2600, 'security': '600605.XSHG', 'last_sale_price': 8.4800000000000004, 'total_amount': 2600}), 'stock': '600605.XSHG'} ------------ File "user_code.py", line 698, in adjust_position close_position(position) { 'order': Order({'status': OrderStatus.held, 'order_id': 6, 'symbol': '600605.XSHG', 'cash': 22022.0, 'is_buy': False, 'amount': 2600, 'limit': None, 'security': '600605.XSHG', '_avg_cost_before_sell': 7.64, 'filled': 2600, 'add_time': datetime.datetime(2014, 2, 12, 14, 52)}), 'position': Position({'avg_cost': 7.64, 'sellable_amount': 2600, 'security': '600605.XSHG', 'last_sale_price': 8.4800000000000004, 'total_amount': 2600}), 'security': '600605.XSHG'} ------------

我只是克隆了策略运行,但是报错,为什么? Traceback (most recent call last): File "kuanke/user_space.py", line 140, in exec_msg return getattr(self, func)(*msg['args'], **msg['kwargs']) File "kuanke/user_space.py", line 289, in handle_data self.func_handle_data(self.user_context, user_space_api.SecuritiesData()) File "user_code.py", line 274, in handle_data do_handle_data(context, data) File "user_code.py", line 293, in do_handle_data adjust_position(context, buy_stocks) File "user_code.py", line 698, in adjust_position close_position(position) File "user_code.py", line 505, in close_position g.trade_stat.watch(security, order.filled, position.avg_cost, position.price) TypeError: watch() takes exactly 3 arguments (5 given) ========全局变量======== { 'g': PersistentState({'min_pe': 0, 'period': 10, 'last_high': {'600605.XSHG': 7.6299999999999999, '600892.XSHG': 13.08, '600520.XSHG': 9.2100000000000009, '000546.XSHE': 5.6799999999999997, '600656.XSHG': 5.7800000000000002}, 'index_growth_rate_20': 0.0, 'filter_gem': True, 'is_market_stop_loss_by_price': False, 'trade_stat': , 'adjust_position_minute': 52, 'is_stock_stop_profit': False, 'is_last_day_3_black_crows': False, 'day_count': 10, 'buy_stock_count': 5, 'tested_fields': set(['min_pe', 'period', 'last_high', 'index_growth_rate_20', 'index2', 'is_market_stop_loss_by_price', 'trade_stat', 'adjust_position_minute', 'is_last_day_3_black_crows', 'day_count', 'buy_stock_count', 'pick_by_eps', 'max_pe', 'index_4_stop_loss_by_3_black_crows', 'pick_stock_count', 'index8', 'is_stock_stop_loss', 'filter_gem', 'adjust_position_hour', 'is_stock_stop_profit', 'pick_by_pe', 'filter_blacklist', 'is_rank_stock', 'is_market_stop_loss_by_3_black_crows']), 'pick_by_eps': False, 'max_pe': 200, 'pick_by_pe': True, 'pick_stock_count': 100, 'index8': u'000905.XSHG', 'is_stock_stop_loss': False, 'index2': u'000300.XSHG', 'adjust_position_hour': 14, 'index_4_stop_loss_by_3_black_crows': u'000001.XSHG', 'filter_blacklist': False, 'is_rank_stock': False, 'is_market_stop_loss_by_3_black_crows': False})} ========局部变量======== File "kuanke/user_space.py", line 140, in exec_msg return getattr(self, func)(*msg['args'], **msg['kwargs']) { 'context': , 'data': None, 'self': } ------------ File "kuanke/user_space.py", line 289, in handle_data self.func_handle_data(self.user_context, user_space_api.SecuritiesData()) { 'context': UserContext({'current_dt': datetime.datetime(2014, 2, 12, 14, 52), 'portfolio': Portfolio({'_unsell_positions': {}, 'portfolio_value': 110967.81999999999, 'cash': 23486.819999999996, 'starting_cash': 100000.0, 'returns': 0.10967819999999984, 'capital_used': 76513.180000000008, 'positions': {'600892.XSHG': Position({'avg_cost': 13.1, 'sellable_amount': 1500, 'security': '600892.XSHG', 'last_sale_price': 14.390000000000001, 'total_amount': 1500}), '600520.XSHG': Position({'avg_cost': 9.22, 'sellable_amount': 2100, 'security': '600520.XSHG', 'last_sale_price': 9.7799999999999994, 'total_amount': 2100}), '000546.XSHE': Position({'avg_cost': 5.69, 'sellable_amount': 3500, 'security': '000546.XSHE', 'last_sale_price': 6.4800000000000004, 'total_amount': 3500}), '600656.XSHG': Position({'avg_cost': 5.79, 'sellable_amount': 3400, 'security': '600656.XSHG', 'last_sale_price': 6.6699999999999999, 'total_amount': 3400})}, 'positions_value': 87481.0}), 'previous_date': datetime.date(2014, 2, 11), 'run_params': RunParams({'end_date': datetime.date(2016, 8, 30), 'frequency': u'minute', 'type': 'simple_backtest', 'start_date': datetime.date(2014, 1, 1), 'extra_gloabl_vars': {}}), 'universe': ['600605.XSHG', '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG']}), 'data': { }, 'hour': 14, 'minute': 52} ------------ File "user_code.py", line 274, in handle_data do_handle_data(context, data) { 'buy_stocks': [ '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG', '600241.XSHG'], 'context': UserContext({'current_dt': datetime.datetime(2014, 2, 12, 14, 52), 'portfolio': Portfolio({'_unsell_positions': {}, 'portfolio_value': 110967.81999999999, 'cash': 23486.819999999996, 'starting_cash': 100000.0, 'returns': 0.10967819999999984, 'capital_used': 76513.180000000008, 'positions': {'600892.XSHG': Position({'avg_cost': 13.1, 'sellable_amount': 1500, 'security': '600892.XSHG', 'last_sale_price': 14.390000000000001, 'total_amount': 1500}), '600520.XSHG': Position({'avg_cost': 9.22, 'sellable_amount': 2100, 'security': '600520.XSHG', 'last_sale_price': 9.7799999999999994, 'total_amount': 2100}), '000546.XSHE': Position({'avg_cost': 5.69, 'sellable_amount': 3500, 'security': '000546.XSHE', 'last_sale_price': 6.4800000000000004, 'total_amount': 3500}), '600656.XSHG': Position({'avg_cost': 5.79, 'sellable_amount': 3400, 'security': '600656.XSHG', 'last_sale_price': 6.6699999999999999, 'total_amount': 3400})}, 'positions_value': 87481.0}), 'previous_date': datetime.date(2014, 2, 11), 'run_params': RunParams({'end_date': datetime.date(2016, 8, 30), 'frequency': u'minute', 'type': 'simple_backtest', 'start_date': datetime.date(2014, 1, 1), 'extra_gloabl_vars': {}}), 'universe': ['600605.XSHG', '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG']}), 'data': { }, 'gr_index2': 0.021035179362606325, 'gr_index8': 0.10220279519181005} ------------ File "user_code.py", line 293, in do_handle_data adjust_position(context, buy_stocks) { 'buy_stocks': [ '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG', '600241.XSHG'], 'context': UserContext({'current_dt': datetime.datetime(2014, 2, 12, 14, 52), 'portfolio': Portfolio({'_unsell_positions': {}, 'portfolio_value': 110967.81999999999, 'cash': 23486.819999999996, 'starting_cash': 100000.0, 'returns': 0.10967819999999984, 'capital_used': 76513.180000000008, 'positions': {'600892.XSHG': Position({'avg_cost': 13.1, 'sellable_amount': 1500, 'security': '600892.XSHG', 'last_sale_price': 14.390000000000001, 'total_amount': 1500}), '600520.XSHG': Position({'avg_cost': 9.22, 'sellable_amount': 2100, 'security': '600520.XSHG', 'last_sale_price': 9.7799999999999994, 'total_amount': 2100}), '000546.XSHE': Position({'avg_cost': 5.69, 'sellable_amount': 3500, 'security': '000546.XSHE', 'last_sale_price': 6.4800000000000004, 'total_amount': 3500}), '600656.XSHG': Position({'avg_cost': 5.79, 'sellable_amount': 3400, 'security': '600656.XSHG', 'last_sale_price': 6.6699999999999999, 'total_amount': 3400})}, 'positions_value': 87481.0}), 'previous_date': datetime.date(2014, 2, 11), 'run_params': RunParams({'end_date': datetime.date(2016, 8, 30), 'frequency': u'minute', 'type': 'simple_backtest', 'start_date': datetime.date(2014, 1, 1), 'extra_gloabl_vars': {}}), 'universe': ['600605.XSHG', '600892.XSHG', '600520.XSHG', '000546.XSHE', '600656.XSHG']}), 'position': Position({'avg_cost': 7.64, 'sellable_amount': 2600, 'security': '600605.XSHG', 'last_sale_price': 8.4800000000000004, 'total_amount': 2600}), 'stock': '600605.XSHG'} ------------ File "user_code.py", line 698, in adjust_position close_position(position) { 'order': Order({'status': OrderStatus.held, 'order_id': 6, 'symbol': '600605.XSHG', 'cash': 22022.0, 'is_buy': False, 'amount': 2600, 'limit': None, 'security': '600605.XSHG', '_avg_cost_before_sell': 7.64, 'filled': 2600, 'add_time': datetime.datetime(2014, 2, 12, 14, 52)}), 'position': Position({'avg_cost': 7.64, 'sellable_amount': 2600, 'security': '600605.XSHG', 'last_sale_price': 8.4800000000000004, 'total_amount': 2600}), 'security': '600605.XSHG'} ------------

找到原因了,我没有克隆研究,已解决.

@Scheddier 那实盘其实也可以放在14:50交易。这样的好处是第二天有情况可以及时跑路。

今天模拟第一天，遇上大跌，无交易。但13：36-14：02之间无信号，有谁知道是什么原因吗？![截图00.png][1] [1]: https://joinquant-image.b0.upaiyun.com/80dbcb265fd12fef61df2ab690a8a308

@莫邪的救赎 这个策略，就是要尾盘操作，因为整体向上，你就能抓到上涨股当天的收益，然后去换一个滞涨的。

昨天的模拟交易经受了考验，有个很奇怪的现象。我是同时运行着2.4和2.6的版本。2.4早上10点就清仓了。2.6到了下午14:50才进行清仓。。。这2个版本的参数我都是调的一模一样的。。 有点奇怪。。没有一起来晒晒昨天的日志的。。 2.4 是8月29日开始运行，2.6是9月7日开始运行 @Morningstar ![2.4.JPG][1] ![2.6.JPG][2] [1]: https://joinquant-image.b0.upaiyun.com/5fe25774e05affe12f38b2f34033b529 [2]: https://joinquant-image.b0.upaiyun.com/d639f5500a09fb7ca47e08ebedf5c760

@青牛煮茶 2.4 和 2.6 的区别记得是判断大盘三乌鸦的改变。 2.4是早上“大盘三乌鸦”发出清仓指令的。 2.6的看代码昨天是指定时间检查“ 28指数的20日涨幅小于0”， 发出卖出信号。 两次的卖出原因不同。

@马克61 可能是平台问题

@青牛煮茶 调仓时间不同吧，一个10点？

@Morningstar 尾盘统计功能好像失效了

@青牛煮茶 应该是你2.4的调仓时间是10点。

@Morningstar 大神，有办法调仓时间还是14:50，清仓策略盘中即时执行吗？

您好，我想问一下 pct_change = h['close'].pct_change(m)为何可以这么写？我看API好像没有pct_change()这个方法啊@ Morningstar

哪位老师能否帮个忙帮我把下面这个策略加一个大盘择止损：“沪深300指数和中证500指数当前的20日涨幅，如果2个指数涨幅都为负”，则清仓的代码进去啊。先谢了。 def initialize(context): # 定义一个全局变量, 保存要操作的股票 # 选股 g.count = 20 # run_monthly(update_stock_set,1,time = 'before_open') #def update_stock_set(context): g.stock = get_industry_stocks('C39')+get_industry_stocks('I64')\ +get_industry_stocks('I65')+get_industry_stocks('R85')\ +get_industry_stocks('R86') #选fundamental比较好的前15只,pe_ration<30，market_cap，按market_cap取后15只股票。 q = query(\ valuation.code, valuation.market_cap, valuation.pe_ratio\ ).filter(\ valuation.code.in_(g.stock), valuation.pe_ratio < 20\ ).order_by(\ valuation.market_cap.asc()\ ).limit(\ g.count\ ) df = get_fundamentals(q) g.stock = list(df['code']) set_universe(list(df['code'])) g.cash = 1000000 # 每个单位时间(如果按天回测,则每天调用一次,如果按分钟,则每分钟调用一次)调用一次 # 择时 def handle_data(context, data): # if context.portfolio.positions.keys() !=[]: # for stock in context.portfolio.positions.keys(): # if stock not in g.stock: # order_target_value(stock, 0) # 指数止损 hist1 = attribute_history('000001.XSHG', 2, '1d', 'close',df=False) index_return = (hist1['close'][-1]-hist1['close'][0])/hist1['close'][0] print hist1,index_return if index_return<= -0.03: for stock in g.stock: order_target_value(stock,0) log.info("Sell %s for stoploss" %stock) return for stock in g.stock: his = history(6,'1d','close',[stock],df =False) cnt = 0 for i in range(len(his[stock])-1): daily_returns = (his[stock][i+1] - his[stock][i])/his[stock][i] if daily_returns <0: cnt += 1 if cnt == 5: return #2.大于5日平均或10日平均20%以上 current_price = data[stock].price mavg5 = data[stock].mavg(5) print mavg5 mavg10 = data[stock].mavg(10) if current_price > 1.2*mavg5 or current_price > 1.2*mavg10: return #建仓，5步法、将头寸5等分，每下跌2%加一部分 cash = context.portfolio.cash amount = int(g.cash/g.count*2/current_price/300) returns = data[stock].returns if returns > 0.01 and context.portfolio.positions[stock].amount < 300*amount and cash > 0: order_value(stock,g.cash/g.count/5) log.info("Buying %s"%stock) #跌10%的严格止损, 或者整体收益大于10%（止盈） cost = context.portfolio.positions[stock].avg_cost if cost != 0: security_returns = (current_price-cost)/cost if security_returns < -0.05 or security_returns > 0.15: order_target_value(stock,0) log.info("Selling %s" % stock) #根据大盘止损 #15分钟K线，连续4次收益率为正且收益率大于8%(暂不做分钟级） #还未实现复利滚动