# 商品主力合约-备兑看涨策略 # 参考资料： # - 原始策略来源: https://www.joinquant.com/view/community/detail/e306e04ca7a0c557f759487e8d252c65 # - 研究网址: https://www.joinquant.com/research?target=research&url=/user/75474983526/notebooks/Options/%E5%95%86%E5%93%81%E4%B8%BB%E5%8A%9B%E5%90%88%E7%BA%A6-%E5%A4%87%E5%85%91%E7%9C%8B%E6%B6%A8%E7%AD%96%E7%95%A5.ipynb # TODO: 添加商品主力合约备兑看涨策略相关代码 import jqdata from jqdata import * import pandas as pd import numpy as np import datetime import matplotlib.pyplot as plt from datetime import datetime, timedelta plt.rcParams['font.sans-serif']=['SimHei'] plt.rcParams['axes.unicode_minus'] = False def is_last_day_of_month(date_str): # 将字符串转换为日期对象 date_obj = datetime.strptime(date_str, '%Y-%m-%d') # 获取下一个日期对象 next_date_obj = date_obj + timedelta(days=1) # 判断是否为下个月的第一天，如果是，则当前日期为月末 return date_obj.month != next_date_obj.month def get_last_day_of_month(date_str): # 将字符串转换为日期对象 date_obj = datetime.strptime(date_str, '%Y-%m-%d') # 获取下个月的第一天日期对象 next_month_first_day = datetime(date_obj.year, date_obj.month + 1, 1) # 从下个月的第一天减去一天，得到当前月的月末日期对象 last_day_of_month = next_month_first_day - timedelta(days=1) # 返回月末日期的字符串形式 return last_day_of_month.strftime('%Y-%m-%d') #获取看涨期权 def getContract(code,date): q_contract_info = query(opt.OPT_CONTRACT_INFO.code, opt.OPT_CONTRACT_INFO.trading_code, opt.OPT_CONTRACT_INFO.name, opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date, # 行权价格,最后交易日 opt.OPT_CONTRACT_INFO.list_date ).filter(opt.OPT_CONTRACT_INFO.underlying_symbol == code, opt.OPT_CONTRACT_INFO.contract_type == 'CO', # 看涨期权 ) contract_info = opt.run_query(q_contract_info) commodity_cls = get_price(code, date, date, fields=['close']).values[0][0] contract_info['price_spread'] = contract_info['exercise_price'] - commodity_cls if contract_info['price_spread'].max() > 0: contract_info = contract_info[contract_info['price_spread'] > 0] # 选出虚值期权 contract_info = contract_info.sort_values('exercise_price') else: # 全是实值期权 contract_info = contract_info.sort_values('exercise_price', ascending=False) return(contract_info['code'].iloc[0]) # 合约代码 symbol = 'AU' #合约价差 price_gap = 10 #起始时间 starttime = '2025-01-01' endtime = '2025-06-01' SUBJECT_MATTER = get_dominant_future(symbol,date = starttime) #查询相关的合约,适用于商品 qy = query(opt.OPT_CONTRACT_INFO).filter( opt.OPT_CONTRACT_INFO.underlying_symbol == SUBJECT_MATTER, ##期权标的物 opt.OPT_CONTRACT_INFO.contract_type == 'CO' ).order_by(opt.OPT_CONTRACT_INFO.exercise_price) optList = opt.run_query(qy) optList[:2] #获取交易时间和时间间隔（频率：月） #根据不同交易日分割月份 #指定回测的起始时间 trade_days = pd.Series(index=jqdata.get_trade_days(starttime,endtime)) trade_days.index = pd.to_datetime(trade_days.index) ##持仓情况 main_list = pd.Series(index=trade_days.index) main_list[trade_days.index[0]] = SUBJECT_MATTER holding_contract2 = pd.Series(index=trade_days.index) #获取首个持仓合约 contract = getContract(SUBJECT_MATTER,trade_days.index[0]) holding_contract2[trade_days.index[0]] = contract holding_contract2[:3] #循环访问每一个交易日，判断交易情况 #规则:判断当前主力合约对应的期权，持有略虚值看涨期权，待行权价低于现价的95%时，平仓原期权合约，重新开仓略虚值看涨期权 error_date =[] pre_hold = holding_contract2[0] for i in range(1,len(trade_days)): pre_day = trade_days.index[i-1] cur_day = trade_days.index[i] cur_main = get_dominant_future(symbol,date = cur_day) #当前主力合约 pre_main = get_dominant_future(symbol,date = pre_day) #上一个交易日的主力合约 main_list[cur_day] = cur_main if cur_main != pre_main: #主力合约切换 contract = getContract(cur_main,cur_day) else: pre_cls = get_price(cur_main, cur_day, cur_day, fields=['pre_close']).values[0][0] q_contract_info = query(opt.OPT_CONTRACT_INFO.code, opt.OPT_CONTRACT_INFO.trading_code, opt.OPT_CONTRACT_INFO.name, opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date, # 行权价格,最后交易日 opt.OPT_CONTRACT_INFO.list_date ).filter(opt.OPT_CONTRACT_INFO.code == pre_hold, opt.OPT_CONTRACT_INFO.contract_type == 'CO', # 看涨期权 opt.OPT_CONTRACT_INFO.last_trade_date >= cur_day ) contract_info = opt.run_query(q_contract_info) pre_exercise_price = contract_info if pre_exercise_price.empty: error_date.append(cur_day) continue else: pre_exercise_price = pre_exercise_price['exercise_price'][0] if pre_cls * 0.95 >= pre_exercise_price: contract = getContract(pre_main,cur_day) else: contract = pre_hold holding_contract2[cur_day] = contract pre_hold = contract holding_contract2 = holding_contract2.fillna(method='ffill') data2 = pd.DataFrame(holding_contract2) data2.columns = ['holding_contract'] data2 = data2.reindex(columns=['holding_contract','close','last_close']) data2 = data2.drop(error_date) main_list = main_list.drop(error_date) last_contract = holding_contract2.iloc[0] #记录上个持仓 for i in range(0,len(data2.index)): t = data2.index[i] if last_contract == data2.loc[t,'holding_contract']: #期权未换仓 q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close, ).filter(opt.OPT_DAILY_PRICE.code==last_contract, opt.OPT_DAILY_PRICE.date==t) price = opt.run_query(q_price)['close'][0] data2.loc[t,'close'] = price else: #合约换仓 q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close, ).filter(opt.OPT_DAILY_PRICE.code==data2.loc[t,'holding_contract'], opt.OPT_DAILY_PRICE.date==t) price = opt.run_query(q_price)['close'][0] data2.loc[t,'close'] = price #收盘价,旧 q_price = query(opt.OPT_DAILY_PRICE.code, opt.OPT_DAILY_PRICE.date, opt.OPT_DAILY_PRICE.close, ).filter(opt.OPT_DAILY_PRICE.code==last_contract, opt.OPT_DAILY_PRICE.date==data2.index[i-1]) price = opt.run_query(q_price)['close'][0] data2.loc[t,'last_close'] = price last_contract = data2.loc[t,'holding_contract'] print(data2) #计算卖出期权的收益 opt_ret2 = pd.Series(0,index=data2.index) pre_close2 = data2['close'].iloc[0] for t in data2.index[1:]: if data2.isna().loc[t,'last_close']: #未换仓,last为空 opt_ret2[t] = -price_gap*(data2.loc[t,'close'] - pre_close2) else: opt_ret2[t] = -price_gap*(data2.loc[t,'last_close'] - pre_close2) - 5 #手续费5元 pre_close2 = data2.loc[t,'close'] opt_ret2 #计算持仓收益 commodity_price = [get_price(main_list[t],data2.index[t],data2.index[t],fields=['close'])['close'][0] for t in range(0,len(data2.index))] commodity_price = pd.Series(commodity_price,index=data2.index) commodity_ret = commodity_price.diff(1).fillna(0) commodity_ret #计算净值 init_asset2 = commodity_price.iloc[0]*price_gap ass2 = init_asset2 + (commodity_ret + opt_ret2).cumsum() pfl_ret2 = (ass2/ass2.shift(1) - 1).fillna(0) pfl_nv2 = (1 + pfl_ret2).cumprod() pfl_nv2 #绘制净值图 plt.figure(figsize=(30,20)) plt.plot(commodity_price/commodity_price.iloc[0], label='现货净值') plt.plot(pfl_nv2, label=symbol+'备兑看涨策略净值') plt.legend(loc='upper left', fontsize='large') plt.xlabel('时间',size=12) plt.ylabel('净值',size=12) plt.show()