JUKUAN/Lib/Options/Jiabailie/09_商品主力合约备兑认购策略.py

# 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()