JUKUAN/Lib/Options/Jiabailie/07_50ETF备兑认购策略改进版.py

# 50ETF-备兑看涨策略-改进版
# 参考资料：
# - 原始策略来源: https://www.joinquant.com/view/community/detail/22955d161ec0a36d836a0e4f13fe66d7
# - 研究网址: https://www.joinquant.com/research?target=research&url=/user/75474983526/notebooks/Options/50ETF-%E5%A4%87%E5%85%91%E7%9C%8B%E6%B6%A8%E7%AD%96%E7%95%A5-%E6%94%B9%E8%BF%9B%E7%89%88.ipynb

# TODO: 添加50ETF备兑看涨策略改进版相关代码

import jqdata
from   jqdata import *
import pandas as pd
import numpy as np
import datetime
import matplotlib.pyplot as plt

plt.rcParams['font.sans-serif']=['SimHei']
plt.rcParams['axes.unicode_minus'] = False

from datetime import datetime, timedelta


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

starttime = '2020-01-01'
endtime   = '2024-04-10'

trade_days = pd.Series(index=jqdata.get_trade_days(starttime,endtime))
trade_days.index = pd.to_datetime(trade_days.index)
last_day = get_last_day_of_month(endtime)

month_split = list(trade_days.resample('M',label='left').mean().index) + [pd.to_datetime(last_day)]
month_split

##持仓情况
holding_contract2 = pd.Series(index=trade_days.index)


#获取首个持仓合约
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 == 'CO',             # 看涨期权
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',           # 上交所
                  opt.OPT_CONTRACT_INFO.last_trade_date > month_split[0],  # 时间-到期月开始
                  opt.OPT_CONTRACT_INFO.last_trade_date < month_split[1],  # 时间-到期月结束
                  opt.OPT_CONTRACT_INFO.list_date < trade_days.index[0])   # 在交易前上市


contract_info = opt.run_query(q_contract_info)

contract_info

etf_cls = get_price('510050.XSHG',trade_days.index[0],trade_days.index[0],fields=['close']).values[0][0]
etf_cls

contract_info['price_spread'] = contract_info['exercise_price'] - etf_cls
contract_info

etf_cls = get_price('510050.XSHG',trade_days.index[0],trade_days.index[0],fields=['close']).values[0][0]

contract_info['price_spread'] = contract_info['exercise_price'] - etf_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)    
    
contract_info

holding_contract2[trade_days.index[0]] = contract_info['code'].iloc[0]

newest_exercise_price = contract_info['exercise_price'].iloc[0]

newest_expire_date = contract_info['last_trade_date'].iloc[0]


print(newest_exercise_price)
print(newest_expire_date)

# 循环访问每一个交易日，判断交易情况
 
# 规则: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
# 到期前 1 天移仓换月至次月合约

for t in trade_days.index[1:]:
    
    #到期前一天
    if t >= pd.to_datetime(get_trade_days(end_date=pd.to_datetime(newest_expire_date),count=2)[0]):
        
        #寻找month_idx
        for month_idx in range(len(month_split)):
            if month_split[month_idx] >= t:
                break
                
        if month_idx == len(month_split) -1:
            lasttradeday = t
            break
        else:
            lasttradeday = ''
            
        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,  
                                opt.OPT_CONTRACT_INFO.list_date
                 ).filter(opt.OPT_CONTRACT_INFO.contract_type == 'CO',     # 看涨期权
                          opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   # 上交所
                          opt.OPT_CONTRACT_INFO.last_trade_date > month_split[month_idx],    # 时间-到期月开始
                          opt.OPT_CONTRACT_INFO.last_trade_date <= month_split[month_idx+1], # 时间-到期月结束
                          opt.OPT_CONTRACT_INFO.list_date < t)    # 在交易前上市
        
        contract_info = opt.run_query(q_contract_info)
        
        etf_cls = get_price('510050.XSHG',t,t,fields=['close']).values[0][0]   #现货收盘价
        
        contract_info['price_spread'] = contract_info['exercise_price'] - etf_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) 
            
            
        if contract_info['last_trade_date'].iloc[0] >= newest_expire_date:
            
            holding_contract2[t] = contract_info['code'].iloc[0]
            newest_exercise_price = contract_info['exercise_price'].iloc[0]
            newest_expire_date = contract_info['last_trade_date'].iloc[0]
            
    else:
        
        #获取昨日50etf收盘价
        pre_cls = get_price('510050.XSHG',t,t,fields=['pre_close']).values[0][0]
        
        if pre_cls*0.95 >= newest_exercise_price:  #原虚值变为实值,重新开仓略虚值期权
            
            #寻找month_idx
            for month_idx in range(len(month_split)):
                if month_split[month_idx] >= t:
                    break
                    
            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.contract_type == 'CO',  #看涨期权
                              opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                              opt.OPT_CONTRACT_INFO.last_trade_date > month_split[month_idx-1],  #时间-到期月开始
                              opt.OPT_CONTRACT_INFO.last_trade_date <= month_split[month_idx],  #时间-到期月结束
                              opt.OPT_CONTRACT_INFO.list_date < t)    #在交易前上市
            
            contract_info = opt.run_query(q_contract_info)
            etf_cls = get_price('510050.XSHG',t,t,fields=['close']).values[0][0]
            contract_info['price_spread'] = contract_info['exercise_price'] - etf_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) 
                
                
            if contract_info['last_trade_date'].iloc[0] >= newest_expire_date:
                
                holding_contract2[t] = contract_info['code'].iloc[0]
                newest_exercise_price = contract_info['exercise_price'].iloc[0]  
                newest_expire_date = contract_info['last_trade_date'].iloc[0]

                
holding_contract2 = holding_contract2.fillna(method='ffill')

holding_contract2

if lasttradeday != '':
    holding_contract2 = holding_contract2[holding_contract2.index < lasttradeday]

data2 = pd.DataFrame(holding_contract2)
data2.columns = ['holding_contract']
data2 = data2.reindex(columns=['holding_contract','close','last_close'])


last_contract = holding_contract2.iloc[0]   #记录上个持仓

for t in data2.index:
    
    if last_contract == data2.loc[t,'holding_contract']:  #期权未换仓
        
        #收盘价
        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:
        
        #收盘价,新
        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==t)
        
        price = opt.run_query(q_price)['close'][0]
        
        data2.loc[t,'last_close'] = price

        last_contract = data2.loc[t,'holding_contract']
        
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] = -10000*(data2.loc[t,'close'] - pre_close2)
        
    else:
        
        opt_ret2[t] = -10000*(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
etf_price = get_price('510050.XSHG',trade_days.index[0],trade_days.index[-1],fields=['close'])['close']
etf_ret = 10000*etf_price.diff(1).fillna(0)
etf_ret

#计算净值
init_asset2 = etf_price.iloc[0]*10000

ass2 = init_asset2 + (etf_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(etf_price/etf_price.iloc[0], label='50ETF现货净值')
plt.plot(pfl_nv2, label='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()