配对交易策略–量化交易实战(附Python完整代码)

def fetch_data(ids):    url_5m = 'http://stock2.finance.sina.com.cn/futures/api/json.php/IndexService.getInnerFuturesMiniKLine5m?symbol='    result = []    for id in ids:        url = url_5m + id        req = urllib2.Request(url)        rsp = urllib2.urlopen(req)        res = rsp.read()        res_json = json.loads(res)        result.append(res_json)    close_result = []    for instrument in result:        oneDay_list = []        for oneDay in instrument:            oneDay_list.append(float(oneDay[-2]))        close_result.append(np.array(oneDay_list))    close_result = np.array(close_result)    close_result = close_result.T    df = pd.DataFrame(data=close_result, columns=ids)    return df

from statsmodels.tsa.stattools import adfuller, coint
def check_stationarity(price):    result = adfuller(price)    print(result)
def check_coint(price_A, price_B):    result = coint(price_A, price_B)    print(result)

def strategy(df, sigma):    price_A = df['rb1907'].values    price_B = df['rb1908'].values    spread = price_A - price_B    mspread = spread - np.mean(spread)    open_threshold = 2 * sigma    stop_threshold = 3 * sigma
    # Plotting the spread and thresholds    fig = plt.figure()    ax = fig.add_subplot(111)    ax.plot(range(len(mspread)), mspread)    ax.hlines(0, 0, len(mspread))    ax.hlines(open_threshold, 0, len(mspread), colors='b')    ax.hlines(-stop_threshold, 0, len(mspread), colors='b')    ax.hlines(stop_threshold, 0, len(mspread), colors='r')    ax.hlines(-stop_threshold, 0, len(mspread), colors='r')    plt.show()

def strategy():    df = pd.read_csv('./data.csv')    price_A = df['rb1907'].values    price_B = df['rb1908'].values    spread = price_A - price_B    mspread = spread - np.mean(spread)    sigma = np.std(mspread)    open = 2 * sigma    stop = 3 * sigma    profit_list = []    hold = False    hold_price_A = 0    hold_price_B = 0    hold_state = 0 # 1 (A:long B:short) -1 (A:short B:long)    profit_sum = 0    for i in range(len(price_A)):        if hold == False:            if mspread[i] >= open:                hold_price_A = price_A[i]                hold_price_B = price_B[i]                hold_state = -1                hold = True            elif mspread[i] <= -open:                hold_price_A = price_A[i]                hold_price_B = price_B[i]                hold_state = 1                hold = True        else:            if mspread[i] >= stop and hold_state == -1:                profit = (hold_price_A - price_A[i]) + (price_B[i] - hold_price_B)                profit_sum += profit                hold_state = 0                hold = False            elif mspread[i] <= -stop and hold_state == 1:                profit = (price_A[i] - hold_price_A) + (hold_price_B - price_B[i])                profit_sum += profit                hold_state = 0                hold = False            if mspread[i] <= 0 and hold_state == -1:                profit = (hold_price_A - price_A[i]) + (price_B[i] - hold_price_B)                profit_sum += profit                hold_state = 0                hold = False            if mspread[i] >= 0 and hold_state == 1:                profit = (price_A[i] - hold_price_A) + (hold_price_B - price_B[i])                profit_sum += profit                hold_state = 0                hold = False    profit_list.append(profit_sum)    print(profit_list)    fig = plt.figure()    ax = fig.add_subplot(111)    ax.plot(range(len(profit_list)), profit_list)    plt.show()