JUKUAN/Lib/Options/Jiabailie/13_卖出跨式策略50ETF.py

# 卖出跨式策略-50ETF
# 参考资料：
# - 原始策略来源: https://www.joinquant.com/view/community/detail/73a7f044b73242b136c8c840ef7f1748
# - 研究网址: https://www.joinquant.com/research?target=research&url=/user/75474983526/notebooks/Options/%E5%8D%96%E5%87%BA%E8%B7%A8%E5%BC%8F%E7%AD%96%E7%95%A5-50ETF.ipynb

# TODO: 添加卖出跨式策略50ETF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')



#获得虚值合约
def getContract(start,end,listdate,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.contract_type == contratType,  #期权类型
                  opt.OPT_CONTRACT_INFO.exchange_code == 'XSHG',   #上交所
                  opt.OPT_CONTRACT_INFO.last_trade_date > start,  #时间-到期月开始
                  opt.OPT_CONTRACT_INFO.last_trade_date <= end,  #时间-到期月结束
                  opt.OPT_CONTRACT_INFO.list_date < listdate)    #在交易前上市
    
    contract_info = opt.run_query(q_contract_info)
    
    etf_cls = get_price('510050.XSHG',listdate,listdate,fields=['close']).values[0][0]
    
    
    if contratType == 'CO':
        
        contract_info['price_spread'] = contract_info['exercise_price'] - etf_cls
        
    else:
        
        contract_info['price_spread'] = etf_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)



#处理合约切换标记
def contractChange(holding_contract):
    
    data2 = pd.DataFrame(holding_contract)
    data2.columns = ['holding_contract']
    data2 = data2.reindex(columns=['holding_contract','close','last_close'])

    last_contract = holding_contract.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']
            
    return(data2)


#平仓期权收益
def optionProfit(data2,fee=5):
    
    #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] = -10000*(data2.loc[t,'close'] - pre_close2)
            
        else:
            
            opt_ret2[t] = -10000*(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.exchange_code == 'XSHG',   #上交所
                  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   = '2024-03-01'

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_contract_CO = pd.Series(index=trade_days.index)
holding_contract_PO = pd.Series(index=trade_days.index)

#获取首个持仓认购合约
contract_info_CO = getContract(month_split[0],month_split[1],trade_days.index[0],'CO')
holding_contract_CO[trade_days.index[0]] = contract_info_CO['code'].iloc[0]

#获取首个持仓认沽合约
contract_info_PO = getContractForPrice(contract_info_CO['exercise_price'].iloc[0],contract_info_CO['last_trade_date'].iloc[0],'PO')
holding_contract_PO[trade_days.index[0]] = contract_info_PO['code'].iloc[0]

newest_exercise_price = contract_info_CO['exercise_price'].iloc[0]
newest_expire_date = contract_info_CO['last_trade_date'].iloc[0]

# 循环访问每一个交易日，判断交易情况
# 规则:同时卖出认购期权以及同一到期日的和同一行权价的认沽期权，待行权价低于现价的95%时
# 平仓原期权合约，重新卖出认沽以及认购期权；到期前1天移仓换月至次月合约
erro_date = []

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 = ''
        contract_info_CO = getContract(month_split[month_idx],month_split[month_idx+1],t,'CO')
        contract_info_PO = contract_info_PO = getContractForPrice(contract_info_CO['exercise_price'].iloc[0],contract_info_CO['last_trade_date'].iloc[0],'PO')

        if contract_info_CO['last_trade_date'].iloc[0] >= newest_expire_date:
            holding_contract_CO[t] = contract_info_CO['code'].iloc[0]
            holding_contract_PO[t] = contract_info_PO['code'].iloc[0]
            
            newest_exercise_price = contract_info_CO['exercise_price'].iloc[0]
            newest_expire_date = contract_info_CO['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
            contract_info_CO = getContract(month_split[month_idx-1],month_split[month_idx],t,'CO')
            contract_info_PO = contract_info_PO = getContractForPrice(contract_info_CO['exercise_price'].iloc[0],contract_info_CO['last_trade_date'].iloc[0],'PO')
            
            if contract_info_CO['last_trade_date'].iloc[0] >= newest_expire_date:
                holding_contract_CO[t] = contract_info_CO['code'].iloc[0]
                holding_contract_PO[t] = contract_info_PO['code'].iloc[0]
                
                newest_exercise_price = contract_info_CO['exercise_price'].iloc[0]  
                newest_expire_date = contract_info_CO['last_trade_date'].iloc[0]

holding_contract_CO = holding_contract_CO.fillna(method='ffill')
holding_contract_PO = holding_contract_PO.fillna(method='ffill') 

if lasttradeday != '':
    
    holding_contract_CO = holding_contract_CO[holding_contract_CO.index < lasttradeday]
    holding_contract_PO = holding_contract_PO[holding_contract_PO.index < lasttradeday]
    
data_CO = contractChange(holding_contract_CO)
data_PO = contractChange(holding_contract_PO)

#计算期权的收益
opt_ret_CO = optionProfit(data_CO)
opt_ret_PO = optionProfit(data_PO)

opt_ret = opt_ret_CO + opt_ret_PO
opt_ret

#计算现货收益
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 + 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=(8, 5))

plt.plot(etf_price/etf_price.iloc[0], label='50ETF现货净值')
plt.plot(pfl_nv2, label='卖出跨式策略净值')

plt.legend(loc='upper left', fontsize='large')
plt.xlabel('时间',size=12)
plt.ylabel('净值',size=12)

plt.show()