JUKUAN/Lib/Options/Jiabailie/15_买入日历价差策略商品期货.py

# 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()