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jxquant's Introduction

JXQuant

该库主要分享“匠芯量化”公众号内的策略源码,更多策略细节请关注微信公众号:“匠芯量化”(微信搜索公众号“jxquant”)。

目录:

Init_StockALL_Sp.py —— 【数据采集】利用tushare接口将日线行情存储到本地数据库。 DC.py —— 【数据预处理】将本地存储的日基础行情整合成一份训练集。 SVM.py —— 【SVM建模】对个股用SVM进行建模,训练和预测。 Model_Evaluate.py —— 【模型评估】通过回测+推进式建模的方式对模型进行评估,主要计算查准率Precision,查全率Recall,F1分值,并存入结果表。 Portfolio.py —— 【仓位管理】基于马科维茨投资组合理论,计算一段时间序列内投资组合的风险、仓位配比和夏普率,有市场方向和最佳收益方向两种结果。 Deal.py.py —— 【模拟交易】封装类,用于模拟交易过程中获取最新的资产账户相关数据。 Operator.py —— 【模拟交易】封装函数,用于模拟交易过程中执行买和卖操作。 Cap_Update_daily.py —— 【模拟交易】封装函数,用于在回测过程中,每日更新资产表中相关数据。 Filter.py —— 【策略回测】封装函数,用于在回测过程中,处理一些简单的逻辑(更新持仓天数,买卖顺序等)。 main.py —— 【策略回测】策略的框架,回测的主函数。 stock_my_capital.sql —— 【策略回测】回测主函数里用到的数据库表,可直接导入。资产账单表,表结构在文章内有介绍,该表内含一条初始数据,用于定义初始资金,可根据回测场景自行修改。 stock_stock_index.sql —— 【策略回测】回测主函数里用到的数据库表,可直接导入。大盘行情表,内含部分大盘行情。 stock_model_ev_mid.sql —— 【模型评估】模型评估过程中用到的中间表,用于暂存回测时间序列内的部分数据,并用于最终计算F1分值。 stock_model_ev_resu.sql —— 【模型评估】模型评估的结果表,用于存储股票在某个时间点上的F1分值。 stock_my_stock_pool.sql —— 【策略回测】当前股票资产详情表,主要字段为:持仓股票代码,成交均价,持仓量,持仓天数。 stock_stock_all.sql —— 【策略回测】股票每日行情数据表,包含所有股票的日线行情。 stock_stock_info.sql —— 【策略回测】<stock_all>表的瘦身版,表结构相同,但删除了冗余数据,用于提高回测运行速度。

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jxquant's Issues

Init_StockALL_Sp.py 运行报错

在运行Init_StockALL_Sp.py时报错,信息如下:
Traceback (most recent call last):
File "Init_StockALL_Sp.py", line 32, in
resu0 = list(df.ix[c_len-1-j])
AttributeError: 'DataFrame' object has no attribute 'ix'
如何解决?

运行SVM.py报错

使用的是python 3.7

svm类代码:
`from sklearn import svm
import DC

if name == 'main':
stock = '000538.SZ'
dc = DC.data_collect(stock, '2017-01-19', '2019-09-23')
train = dc.data_train
target = dc.data_target
test_case = [dc.test_case]
model = svm.SVC()
model.fit(train, target)
ans2 = model.predict(test_case)
print(ans2[0])`

报错信息:ValueError: The number of classes has to be greater than one; got 1 class

image

运行main.py出现以下的报错,请问该如何解决呢?

Traceback (most recent call last): File "/Users/ex02/main.py", line 132, in <module> profit_x = [dict_x[x[1]] for x in done_set_show_profit] File "/Users/ex02/main.py", line 132, in <listcomp> profit_x = [dict_x[x[1]] for x in done_set_show_profit] KeyError: '2018-03-02'

stock_index表数据如何自建

您好,
stock_index 在sql建表语句中给了初始数据,但是只给到了 2018-08-01 ,我想把数据自己补齐,请问需要 调用哪个接口进行数据录入呢?

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