# 买入日历价差策略-商品期货 # 参考资料： # - 原始策略来源: https://www.joinquant.com/view/community/detail/af07500292294804acd19f7f0f5b23e4 # - 研究网址: https://www.joinquant.com/research?target=research&url=/user/75474983526/notebooks/Options/%E4%B9%B0%E5%85%A5%E6%97%A5%E5%8E%86%E4%BB%B7%E5%B7%AE%E7%AD%96%E7%95%A5-%E5%95%86%E5%93%81%E6%9C%9F%E8%B4%A7.ipynb 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 #获取期权合约信息 def getContractForCode(code): 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 == code,) contract_info = opt.run_query(q_contract_info) return(contract_info) def getContract(symbol,date,type="CO"): # CO为认购，PO为认沽 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 == symbol, opt.OPT_CONTRACT_INFO.contract_type == type, # 期权类型 opt.OPT_CONTRACT_INFO.last_trade_date >= date, opt.OPT_CONTRACT_INFO.list_date <= date ) contract_info = opt.run_query(q_contract_info) commodity_cls = get_price(symbol, date, date, fields=['close']).values[0][0] if type == 'CO': contract_info['price_spread'] = contract_info['exercise_price'] - commodity_cls else: contract_info['price_spread'] = commodity_cls - contract_info['exercise_price'] 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]) return(contract_info) #获取期权价格等信息 def getContractExercisePrice(code,last_trade_date,type='CO'): 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 == code, opt.OPT_CONTRACT_INFO.contract_type == type, # 期权类型 opt.OPT_CONTRACT_INFO.last_trade_date >= last_trade_date, ) contract_info = opt.run_query(q_contract_info) return(contract_info) #处理合约切换标记 def contractChange(holding_contract,main_list,error_date): data2 = pd.DataFrame(holding_contract) 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_contract.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'] return(data2) def optionProfit(data2,price_gap,fee): #计算平仓期权的收益 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) - fee #手续费 pre_close2 = data2.loc[t,'close'] return(opt_ret2) #获得指定行权价以及到期日的合约 def getContractForPrice(exercise_price,enddate,contratType='PO'): q_contract_info = query(opt.OPT_CONTRACT_INFO.code, opt.OPT_CONTRACT_INFO.trading_code, opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称 opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date, opt.OPT_CONTRACT_INFO.list_date ).filter(opt.OPT_CONTRACT_INFO.contract_type == contratType, # 期权类型 opt.OPT_CONTRACT_INFO.last_trade_date == enddate, # 到期月 opt.OPT_CONTRACT_INFO.exercise_price == exercise_price) #指定行权价 contract_info = opt.run_query(q_contract_info) return(contract_info) #获得指定行权价以及合约的期权 def getContractForContractAndPrice(symbol,exercise_price,date,contratType='CO'): q_contract_info = query(opt.OPT_CONTRACT_INFO.code, opt.OPT_CONTRACT_INFO.trading_code, opt.OPT_CONTRACT_INFO.name, #合约代码,合约交易代码,合约简称 opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.last_trade_date, opt.OPT_CONTRACT_INFO.list_date ).filter( opt.OPT_CONTRACT_INFO.underlying_symbol == symbol, opt.OPT_CONTRACT_INFO.contract_type == contratType, #期权类型 opt.OPT_CONTRACT_INFO.exercise_price == exercise_price, #指定行权价 opt.OPT_CONTRACT_INFO.list_date <= date) contract_info = opt.run_query(q_contract_info) return(contract_info) # 返回相对于主力合约之前，或之后的合约，用来定位近月或远月合约,pos = 0 表示返回主力合约； # pos=-1，返回主力合约之前一个周期的可交易合约；pos=1，返回主力合约之后一个周期的可交易合约 def findContractsForMonth(symbol,date,pos=0): dominant = get_dominant_future(symbol, date=date) contracts_list = get_future_contracts(symbol, date=date) pattern = re.compile(r'\d+') numbers_list = [pattern.findall(contract)[0] for contract in contracts_list] sorted_combined = sorted(zip(contracts_list, numbers_list), key=lambda x: x[1]) sorted_contracts, sorted_B = map(list, zip(*sorted_combined)) num = sorted_contracts.index(dominant) find_pos = num + pos if find_pos<0: find_pos = 0 elif find_pos >= len(contracts_list): find_pos = len(contracts_list) return(sorted_contracts[find_pos]) # 设置各项参数 # 合约代码 symbol = 'AL' #手续费 fee = 5 #合约价差 price_gap = 10 #起始时间 starttime = '2022-01-01' endtime = '2024-05-01' SUBJECT_MATTER = get_dominant_future(symbol,date = starttime) SUBJECT_MATTER #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 #主力合约列表 main_list = pd.Series(index=trade_days.index) main_list[trade_days.index[0]] = SUBJECT_MATTER close_main_list = pd.Series(index=trade_days.index) after_main_list = pd.Series(index=trade_days.index) #获取首个近月认购持仓合约 holding_contract_close = pd.Series(index=trade_days.index) close_main = findContractsForMonth(symbol,trade_days.index[0],-1) close_main_list[trade_days.index[0]] = close_main contract_info = getContract(close_main,trade_days.index[0],type='CO') if contract_info.empty: #近月合约已经过期，则采用主力合约替代 contract_info = getContract(SUBJECT_MATTER,trade_days.index[0],type='CO') close_main_list[trade_days.index[0]] = SUBJECT_MATTER contract = contract_info['code'].iloc[0] holding_contract_close[trade_days.index[0]] = contract print(holding_contract_close[:3]) #获取首个远月认购持仓合约 holding_contract_after = pd.Series(index=trade_days.index) after_main = findContractsForMonth(symbol,trade_days.index[0],1) contract_info = getContractForContractAndPrice(after_main,contract_info['exercise_price'].iloc[0],trade_days.index[0],'CO') after_main_list[trade_days.index[0]] = after_main contract = contract_info['code'].iloc[0] holding_contract_after[trade_days.index[0]] = contract print(holding_contract_after[:3]) # 循环访问每一个交易日，判断交易情况 # 规则: 同时卖出一份近月认购期权以及买入相同行权价的远月认购，待行权价低于现价的95%时 # 平仓原期权合约，重新调整持仓；到期前1天移仓换月至次月合约 error_date =[] pre_hold_close = holding_contract_close[0] pre_hold_after = holding_contract_after[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 close_main_list[cur_day] = close_main_list[pre_day] after_main_list[cur_day] = after_main_list[pre_day] expire_close = getContractForCode(pre_hold_close) expire_close = expire_close['last_trade_date'].iloc[0] expire_after = getContractForCode(pre_hold_after) expire_after = expire_after['last_trade_date'].iloc[0] if cur_main != pre_main or expire_close < cur_day.date() or expire_after < cur_day.date(): #主力合约切换 或者合约到期 close_main = findContractsForMonth(symbol,cur_day,-1) close_main_list[cur_day] = close_main contract_info_close = getContract(close_main,cur_day,type='CO') if contract_info_close.empty: #近月合约已经过期，则采用主力合约替代 contract_info_close = getContract(cur_main,cur_day,type='CO') if contract_info_close.empty: error_date.append(cur_day) continue close_main_list[cur_day] = cur_main contract_close = contract_info_close['code'].iloc[0] #获取相同行权价、到期日的认沽合约 after_main = findContractsForMonth(symbol,cur_day,1) after_main_list[cur_day] = after_main contract_info_after = getContractForContractAndPrice(after_main,contract_info_close['exercise_price'].iloc[0],cur_day,'CO') if contract_info_after.empty: error_date.append(cur_day) continue contract_after = contract_info_after['code'].iloc[0] else: pre_cls = get_price(close_main_list[cur_day], cur_day, cur_day, fields=['pre_close']).values[0][0] contract_info_close = getContractExercisePrice(pre_hold_close,cur_day,"CO") pre_exercise_price_close = contract_info_close contract_info_after = getContractExercisePrice(pre_hold_after,cur_day,"CO") pre_exercise_price_after = contract_info_after if pre_exercise_price_close.empty | pre_exercise_price_after.empty: error_date.append(cur_day) continue else: pre_exercise_price_close = pre_exercise_price_close['exercise_price'][0] if pre_cls * 0.95 >= pre_exercise_price_close: close_main = findContractsForMonth(symbol,cur_day,-1) close_main_list[cur_day] = close_main contract_info_close = getContract(close_main,cur_day,type='CO') if contract_info_close.empty: #近月合约已经过期，则采用主力合约替代 contract_info_close = getContract(cur_main,cur_day) close_main_list[cur_day] = cur_main contract_close = contract_info_close['code'].iloc[0] after_main = findContractsForMonth(symbol,cur_day,1) after_main_list[cur_day] = after_main contract_info_after = getContractForContractAndPrice(after_main,contract_info_close['exercise_price'].iloc[0],cur_day,'CO') contract_after = contract_info_after['code'].iloc[0] else: contract_close = pre_hold_close contract_after = pre_hold_after holding_contract_close[cur_day] = contract_close pre_hold_close = contract_close holding_contract_after[cur_day] = contract_after pre_hold_after = contract_after holding_contract_close = holding_contract_close.fillna(method='ffill') holding_contract_after = holding_contract_after.fillna(method='ffill') data_list_close = contractChange(holding_contract_close,close_main_list,error_date) data_list_after = contractChange(holding_contract_after,after_main_list,error_date) #计算平仓期权的收益 opt_ret_close = optionProfit(data_list_close,price_gap,fee) opt_ret_after = optionProfit(data_list_after,price_gap,fee) opt_ret = opt_ret_close + opt_ret_after print(opt_ret) #计算现货收益 commodity_price = [get_price(main_list[t],data_list_close.index[t],data_list_close.index[t],fields=['close'])['close'][0] for t in range(0,len(data_list_close.index))] commodity_price = pd.Series(commodity_price,index=data_list_close.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 + opt_ret.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+ '买入日历价差策略净值') plt.legend(loc='upper left', fontsize='large') plt.xlabel('时间',size=12) plt.ylabel('净值',size=12) plt.show()